0001752724-20-078056.txt : 20200424
0001752724-20-078056.hdr.sgml : 20200424
20200424115708
ACCESSION NUMBER: 0001752724-20-078056
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: 20813506
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
S000033960
Global Multi-Strategy Fund
C000104712
Class A
PMSAX
C000104714
Institutional Class
PSMIX
C000115417
Class C
PMSCX
C000190071
R-6
PGLSX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000898745
XXXXXXXX
S000033960
C000104712
C000190071
C000104714
C000115417
Principal Funds, Inc
811-07572
0000898745
549300HZGBXSW6DSXF23
801 Grand Ave
Des Moines
50309
515-248-0156
Global Multi-Strategy Fund
S000033960
8NGI32D81QECIPVVIM53
2020-08-31
2020-02-29
N
1923925510.72
1023065001.17
900860509.55
0.00000000
4895159.37000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
70498930.91000000
0.00000000
0.00000000
145912123.62000000
USD
ZAR
EUR
N
Harmonic Inc
549300LRGRD8XC9BTL66
Harmonic Inc
413160102
16089.00000000
NS
USD
98786.46000000
0.010965788704
Long
EC
CORP
US
N
1
N
N
N
Teleflex Inc
UUL85LWXB4NGSWWXIQ25
Teleflex Inc
879369106
977.00000000
NS
USD
-327314.54000000
-0.03633354293
Short
EC
CORP
US
N
1
N
N
N
Endesa SA
549300LHK07F2CHV4X31
Endesa SA
N/A
14068.00000000
NS
361997.05000000
0.040183474151
Long
EC
CORP
ES
N
2
N
N
N
Washington H Soul Pattinson & Co Ltd
N/A
Washington H Soul Pattinson & Co Ltd
N/A
852.00000000
NS
10945.99000000
0.001215059366
Long
EC
CORP
AU
N
2
N
N
N
Pioneer Natural Resources Co
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787107
3893.00000000
NS
USD
-477982.54000000
-0.05305844078
Short
EC
CORP
US
N
1
N
N
N
Lundin Petroleum AB
549300IULC8F8IGXKI15
Lundin Petroleum AB
N/A
13533.00000000
NS
386344.21000000
0.042886130083
Long
EC
CORP
SE
N
2
N
N
N
Ford Credit Auto Owner Trust 2017-B
N/A
Ford Credit Auto Owner Trust 2017-B
34531HAD1
652671.41000000
PA
USD
653055.51000000
0.072492411763
Long
ABS-O
CORP
US
N
2
2021-11-15
Fixed
1.69000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
82.00000000
NC
USD
63607.10000000
0.007060704662
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
Corn; May 2020
2020-05-17
1509825.00000000
USD
63607.10000000
N
N
N
N/A
N/A
Futures
N/A
28.00000000
NC
USD
234493.28000000
0.026029921115
N/A
DCO
N/A
N
1
ICF
N/A
Short
N/A
NY Harb ULSD; April 2020
2020-04-01
1737304.80000000
USD
234493.28000000
N
N
N
Veracode Inc
N/A
Veracode Inc
N/A
6031.00000000
NS
USD
3280.86000000
0.000364191788
Long
EP
CORP
US
Y
3
N
N
N
ViacomCBS Inc
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
92556H206
501.00000000
NS
USD
12329.61000000
0.001368648072
Long
EC
CORP
US
N
1
N
N
N
Apidos CLO XXII
5493003SQW0Q40KVFQ19
Apidos CLO XXII
03766AAA3
750000.00000000
PA
USD
750000.00000000
0.083253732631
Long
ABS-O
CORP
KY
N
2
2027-10-20
Floating
7.82000000
N
N
N
N
N
N
Apartment Investment & Management Co
549300O8FT5GJ4RU1D57
Apartment Investment & Management Co
03748R754
2980.00000000
NS
USD
-142563.20000000
-0.01582522471
Short
EC
CORP
US
N
1
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AvalonBay Communities Inc
053484101
463.00000000
NS
USD
92873.17000000
0.010309384085
Long
EC
CORP
US
N
1
N
N
N
CK Infrastructure Holdings Ltd
5299005U11RQ1C27MR12
CK Infrastructure Holdings Ltd
N/A
6000.00000000
NS
-41286.17000000
-0.00458297034
Short
EC
CORP
HK
N
2
N
N
N
Nasdaq Inc
549300L8X1Q78ERXFD06
Nasdaq Inc
631103108
3863.00000000
NS
USD
396150.65000000
0.043974693728
Long
EC
CORP
US
N
1
N
N
N
Comcast Corp - Class A
51M0QTTNCGUN7KFCFZ59
Comcast Corp - Class A
20030N101
1928.00000000
NS
USD
77949.04000000
0.008652731380
Long
EC
CORP
US
N
1
N
N
N
Adams Outdoor Advertising LP
549300BTFXNHDCUHER30
Adams Outdoor Advertising LP
006346AS9
759058.15450000
PA
USD
808895.10000000
0.089791381842
Long
ABS-O
CORP
US
N
2
2048-11-15
Fixed
4.81000000
N
N
N
N
N
N
Hill Street - Warrants
N/A
Hill Street - Warrants
N/A
377.00000000
NS
USD
263.90000000
0.000029294213
Long
EC
CORP
US
N
3
N
N
N
Skyline Champion Corp
N/A
Skyline Champion Corp
830830105
7069.00000000
NS
USD
180118.12000000
0.019994007739
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-2868.90000000
-0.00031846217
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
Call
Written
Citigroup Inc
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-2868.90000000
-0.00031800
DFE
99234000.00000000
JPY
894000.00000000
USD
N/A
894000.00000000
USD
111.00000000
USD
2020-06-01
XXXX
3058.32000000
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913Y100
2472.00000000
NS
USD
163770.00000000
0.018179285057
Long
EC
CORP
US
N
1
N
N
N
Mondi PLC
213800LOZA69QFDC9N34
Mondi PLC
N/A
3477.00000000
NS
-70616.55000000
-0.00783878849
Short
EC
CORP
GB
N
2
N
N
N
Cloudera Inc
549300PGONC4JOI0RG62
Cloudera Inc
18914U100
12392.00000000
NS
USD
110288.80000000
0.012242605689
Long
EC
CORP
US
N
1
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671D857
55997.00000000
NS
USD
-557730.12000000
-0.06191081905
Short
EC
CORP
US
N
1
N
N
N
Hypoport AG
391200GNIFXXP6KRYQ46
Hypoport AG
N/A
466.00000000
NS
158288.30000000
0.017570789075
Long
EC
CORP
DE
N
2
N
N
N
CBRE Group Inc
52990016II9MJ2OSWA10
CBRE Group Inc
12504L109
5412.00000000
NS
USD
303829.68000000
0.033726606592
Long
EC
CORP
US
N
1
N
N
N
SAP SE
529900D6BF99LW9R2E68
SAP SE
N/A
5669.00000000
NS
707730.69000000
0.078561628853
Long
EC
CORP
DE
N
2
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YW4
7528000.00000000
PA
USD
7682382.79000000
0.852782723691
Long
DBT
UST
US
N
2
2022-12-15
Fixed
1.63000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-74251.50000000
-0.00824228603
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1463000.00000000
USD
4898722000.00000000
COP
2020-05-14
-74251.50000000
N
N
N
BHP Group PLC
549300C116EOWV835768
BHP Group PLC
N/A
20737.00000000
NS
378986.27000000
0.042069362124
Long
EC
CORP
AU
N
2
N
N
N
Imagine! Print Solutions Inc
549300DWKPERQP6FBA14
Imagine! Print Solutions Inc
N/A
427000.00000000
PA
USD
60493.09000000
0.006715034054
Long
LON
CORP
US
N
2
2023-06-21
Floating
10.35990000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-845.47000000
-0.00009385137
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
14878243.92000000
SEK
1547766.31000000
USD
2020-03-06
-845.47000000
N
N
N
Kellogg Co
LONOZNOJYIBXOHXWDB86
Kellogg Co
487836108
2825.00000000
NS
USD
-170827.75000000
-0.01896273043
Short
EC
CORP
US
N
1
N
N
N
Cemex SAB de CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290889
88953.00000000
NS
USD
291765.84000000
0.032387460312
Long
EC
CORP
MX
N
1
N
N
N
SL Green Realty Corp
549300VQZPJU97H3GT17
SL Green Realty Corp
78440X101
719.00000000
NS
USD
-56398.36000000
-0.00626049864
Short
EC
CORP
US
N
1
N
N
N
Ajax Mortgage Loan Trust 2017-B
N/A
Ajax Mortgage Loan Trust 2017-B
00969DAA8
274855.33000000
PA
USD
278153.18000000
0.030876387304
Long
ABS-O
CORP
US
N
2
2056-09-25
Variable
3.16000000
N
N
N
N
N
N
Airxcel Inc
549300A4MOMQ8PMPXC81
Airxcel Inc
N/A
282000.00000000
PA
USD
252390.00000000
0.028016546105
Long
LON
CORP
US
N
2
2026-04-27
Floating
10.35320000
N
N
N
N
N
N
Lehman XS Trust Series 2006-2N
N/A
Lehman XS Trust Series 2006-2N
525221HA8
95366.51990000
PA
USD
88641.09000000
0.009839602142
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
1.89000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-6673.19000000
-0.00074075730
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
373457.04000000
USD
563000.00000000
AUD
2020-03-06
-6673.19000000
N
N
N
Itochu Techno-Solutions Corp
N/A
Itochu Techno-Solutions Corp
N/A
20000.00000000
NS
560187.00000000
0.062183544961
Long
EC
CORP
JP
N
2
N
N
N
Santander Drive Auto Receivables Trust 2019-2
N/A
Santander Drive Auto Receivables Trust 2019-2
80286GAG6
655000.00000000
PA
USD
672307.65000000
0.074629495118
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
3.22000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
48.00000000
NC
USD
-183723.30000000
-0.02039420066
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US Ultra Bond; June 2020
2020-06-22
9960000.00000000
USD
-183723.30000000
N
N
N
United Airlines 2019-2 Class B Pass Through Trust
N/A
United Airlines 2019-2 Class B Pass Through Trust
90932KAA7
925000.00000000
PA
USD
959308.81000000
0.106488052237
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
2747801.29000000
OU
Notional Amount
-173924.30000000
-0.01930646289
N/A
DE
N/A
N
2
JPMorgan Chase
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in GBP
SSE PLC
32991.00000000
N/A
646757.94000000
N/A
RSA Insurance Group PLC
196463.00000000
N/A
1306831.35000000
N/A
Royal Bank of Scotland Group PLC
81080.00000000
N/A
185718.67000000
N/A
Lloyds Banking Group PLC
945395.00000000
N/A
608493.33000000
N/A
Y
Total return on a custom basket of long and short securities traded in GBP
2020-11-02
0.00000000
USD
0.00000000
USD
2747801.29000000
USD
-173924.30000000
N
N
N
Reinsurance Group of America Inc
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351604
5416.00000000
NS
USD
-660914.48000000
-0.07336479654
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
85188000.00000000
OU
Notional Amount
-25671.97000000
-0.00284971643
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Prague Interbank Offered Rate
Y
2021-08-16
0.00000000
USD
246.41000000
USD
85188000.00000000
CZK
-25425.56000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
23730300.00000000
PA
USD
-23730300.00000000
-2.63418140194
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
23265000.00000000
USD
24033755.77096800
USD
UST
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540109
26107.00000000
NS
USD
1561198.60000000
0.173300814437
Long
EC
CORP
US
N
1
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142103
13908.00000000
NS
USD
1497613.44000000
0.166242545224
Long
EC
CORP
US
N
1
N
N
N
Juniper Networks Inc
AUHIXNGG7U2U7JEHM527
Juniper Networks Inc
48203R104
3335.00000000
NS
USD
-70768.70000000
-0.00785567790
Short
EC
CORP
US
N
1
N
N
N
Masco Corp
5GCSNMQXHEYA1JO8QN11
Masco Corp
574599106
10688.00000000
NS
USD
441628.16000000
0.049022923673
Long
EC
CORP
US
N
1
N
N
N
Navistar Financial Dealer Note Master Owner Trust II
549300S28N49H5RT4J50
Navistar Financial Dealer Note Master Owner Trust II
63938PBD0
205000.00000000
PA
USD
205394.11000000
0.022799768423
Long
ABS-O
CORP
US
N
2
2023-09-25
Floating
2.26000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
902973304
23027.00000000
NS
USD
1069373.88000000
0.118705822784
Long
EC
CORP
US
N
1
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
N/A
17700.00000000
NS
561617.66000000
0.062342355342
Long
EC
CORP
JP
N
2
N
N
N
Mosaic Co/The
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945C103
6077.00000000
NS
USD
-103491.31000000
-0.01148805046
Short
EC
CORP
US
N
1
N
N
N
Sumitomo Electric Industries Ltd
5493005SP87FL5TOS202
Sumitomo Electric Industries Ltd
N/A
25000.00000000
NS
-295092.04000000
-0.03275668506
Short
EC
CORP
JP
N
2
N
N
N
ServiceNow Inc
549300HJTQM36M0E1G39
ServiceNow Inc
81762P102
1863.00000000
NS
USD
-607505.67000000
-0.06743615282
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
3.00000000
NC
USD
-43.75000000
-0.00000485646
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Iron Mountain Inc
Iron Mountain Inc
3.00000000
35.00000000
USD
2020-04-20
XXXX
45.38000000
N
N
N
Midwest Connector Capital Co LLC
N/A
Midwest Connector Capital Co LLC
59833CAB8
410000.00000000
PA
USD
422814.96000000
0.046934564843
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
3.63000000
N
N
N
N
N
N
Archer-Daniels-Midland Co
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039483102
4517.00000000
NS
USD
170065.05000000
0.018878066936
Long
EC
CORP
US
N
1
N
N
N
Fastenal Co
529900PP0C7H2HHPSJ32
Fastenal Co
311900104
8150.00000000
NS
USD
278893.00000000
0.030958511006
Long
EC
CORP
US
N
1
N
N
N
Cengage Learning Inc
549300BYGM0FWUSVXJ88
Cengage Learning Inc
15137NAA1
1548000.00000000
PA
USD
1347735.24000000
0.149605319104
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
9.50000000
N
N
N
N
N
N
Walgreens Boots Alliance Inc
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427108
1006.00000000
NS
USD
-46034.56000000
-0.00511006526
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-101842.12000000
-0.01130498217
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
1904953.44000000
USD
16955000.00000000
NOK
2020-04-15
-101842.12000000
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229106
19455.00000000
NS
USD
300190.65000000
0.033322656151
Long
EC
CORP
US
N
1
N
N
N
Louisiana-Pacific Corp
549300C7E2UAO5BVRR75
Louisiana-Pacific Corp
546347105
3092.00000000
NS
USD
87967.40000000
0.009764819199
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
11500000.00000000
NC
USD
29741.45000000
0.003301448968
N/A
DIR
N/A
N
2
HSBC Securities Inc
N/A
Egypt Government Bond, 14.30%, 09/03/2022
Egypt Government Bond, 14.30%, 09/03/2022
Y
Receive positive return on reference instrument
2020-12-24
0.00000000
USD
0.00000000
USD
757723.49000000
USD
29741.45000000
N
N
N
Dow Inc
5493003S21INSLK2IP73
Dow Inc
260557103
6008.00000000
NS
USD
242783.28000000
0.026950152373
Long
EC
CORP
US
N
1
N
N
N
Asahi Group Holdings Ltd
353800KAJ02XNHLCJW79
Asahi Group Holdings Ltd
N/A
2600.00000000
NS
99521.95000000
0.011047431754
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
401.23000000
0.000044538526
N/A
DFE
N/A
N
2
Bank of America NA
N/A
252000.00000000
CHF
261987.49000000
USD
2020-03-20
401.23000000
N
N
N
NH Foods Ltd
353800NLDBIOUQILWU82
NH Foods Ltd
N/A
3100.00000000
NS
-116792.57000000
-0.01296455652
Short
EC
CORP
JP
N
2
N
N
N
Waters Corp
5T547R1474YC9HOD8Q74
Waters Corp
941848103
633.00000000
NS
USD
-123365.37000000
-0.01369417003
Short
EC
CORP
US
N
1
N
N
N
Jardine Strategic Holdings Ltd
213800BZ6VW56K2S6677
Jardine Strategic Holdings Ltd
N/A
5500.00000000
NS
USD
-159536.59000000
-0.01770935547
Short
EC
CORP
HK
N
2
N
N
N
Global Payments Inc
549300NOMHGVQBX6S778
Global Payments Inc
37940X102
6337.00000000
NS
USD
1165817.89000000
0.129411587880
Long
EC
CORP
US
N
1
N
N
N
Aptiv PLC
N/A
Aptiv PLC
G6095L109
1816.00000000
NS
USD
-141847.76000000
-0.01574580731
Short
EC
CORP
IE
N
1
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523100
656.00000000
NS
USD
120008.64000000
0.013321556303
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
150.00000000
NC
USD
9375.00000000
0.001040671657
N/A
DIR
N/A
N
1
CBT
N/A
Put
Purchased
CBT
N/A
N/A
N/A
FUTURE
N/A
150.00000000
NC
USD
9375.00000000
0.00104100
DIR
Short
N/A
US 10 Year Note Future; June 2020
N/A
150000.00000000
USD
150.00000000
129.00000000
USD
2020-04-27
XXXX
-18563.25000000
N
N
N
UGI Corp
DX6GCWD4Q1JO9CRE5I40
UGI Corp
902681105
4725.00000000
NS
USD
-170289.00000000
-0.01890292650
Short
EC
CORP
US
N
1
N
N
N
Fairfax Financial Holdings Ltd
GLS7OQD0WOEDI8YAP031
Fairfax Financial Holdings Ltd
N/A
1100.00000000
NS
473854.35000000
0.052600191147
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-85988.58000000
-0.00954516033
N/A
DFE
N/A
N
2
Bank of America NA
N/A
3810720.11000000
USD
73506000.00000000
MXN
2020-03-20
-85988.58000000
N
N
N
Boliden AB
21380059QU7IM1ONDJ56
Boliden AB
N/A
25546.00000000
NS
-536497.17000000
-0.05955385593
Short
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Options
N/A
18.00000000
NC
USD
-128128.95000000
-0.01422295112
N/A
DE
N/A
N
1
CBT
N/A
Put
Written
S&P 500 Index
SPX
S&P 500 Index
18.00000000
2800.00000000
USD
2020-03-23
XXXX
-81028.85000000
N
N
N
N/A
N/A
Futures
N/A
255.00000000
NC
73383.64000000
0.008145949258
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
90 Day Short Sterling; June 2021
2021-06-17
40694837.12000000
USD
73383.64000000
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045V100
883.00000000
NS
USD
26931.50000000
0.002989530533
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128287D6
2908345.95000000
PA
USD
-3070558.13000000
-0.34084723411
Short
DBT
UST
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
Hadrian Merger Sub Inc
N/A
Hadrian Merger Sub Inc
42239PAA7
971000.00000000
PA
USD
992847.50000000
0.110211013744
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
8.50000000
N
N
N
N
N
N
JELD-WEN Inc
549300XWE6NM0N1HFW16
JELD-WEN Inc
N/A
299814.20000000
PA
USD
297940.36000000
0.033072862761
Long
LON
CORP
US
N
2
2024-12-14
Floating
3.94440000
N
N
N
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809H107
14448.00000000
NS
USD
-811688.64000000
-0.09010147868
Short
EC
CORP
US
N
1
N
N
N
Vertex Pharmaceuticals Inc
54930015RAQRRZ5ZGJ91
Vertex Pharmaceuticals Inc
92532F100
3838.00000000
NS
USD
-859827.14000000
-0.09544509176
Short
EC
CORP
US
N
1
N
N
N
T-Mobile US Inc
N/A
T-Mobile US Inc
87299ATW4
706000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
3
2028-02-01
None
0.00000000
N
N
N
N
N
N
Flowserve Corp
6Y0GK87T6V7NJKZJVM41
Flowserve Corp
34354P105
643.00000000
NS
USD
-25842.17000000
-0.00286860948
Short
EC
CORP
US
N
1
N
N
N
Alfresa Holdings Corp
N/A
Alfresa Holdings Corp
N/A
21600.00000000
NS
-376643.08000000
-0.04180925637
Short
EC
CORP
JP
N
2
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SA
984245AQ3
240000.00000000
PA
USD
192002.40000000
0.021313221965
Long
DBT
CORP
AR
N
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
ViacomCBS Inc
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
92556H206
11672.00000000
NS
USD
-287247.92000000
-0.03188594870
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
36214.18000000
0.004019954212
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
Put
Purchased
Goldman Sachs & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
36214.18000000
0.00402000
DFE
5185180.00000000
USD
22296274.00000000
BRL
N/A
5185180.00000000
USD
4.30000000
USD
2020-06-15
XXXX
-49113.14000000
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GCS6
835000.00000000
PA
USD
865231.12000000
0.096044960438
Long
DBT
CORP
US
N
2
2022-01-11
Fixed
3.38000000
N
N
N
N
N
N
Corteva Inc
549300WZN9I2QKLS0O94
Corteva Inc
22052L104
16129.00000000
NS
USD
438708.80000000
0.048698860184
Long
EC
CORP
US
N
1
N
N
N
Prosper Pass-Thru Trust II Series 2019-St2
549300DCN6PLVC4QVK93
Prosper Pass-Thru Trust II Series 2019-St2
74361EAC1
594925.00000000
PA
USD
430762.36000000
0.047816765795
Long
ABS-O
CORP
US
N
2
2025-11-15
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-91.46000000
-0.00001015251
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
QUALCOMM Inc
QUALCOMM Inc
1.00000000
95.00000000
USD
2020-04-20
XXXX
-9.75000000
N
N
N
NetApp Inc
QTX3D84DZDD5JYOCYH15
NetApp Inc
64110D104
10665.00000000
NS
USD
498268.80000000
0.055310316604
Long
EC
CORP
US
N
1
N
N
N
EVERTEC Inc
N/A
EVERTEC Inc
30040P103
2590.00000000
NS
USD
76871.20000000
0.008533085775
Long
EC
CORP
PR
N
1
N
N
N
Whiting Petroleum Corp
52990028CHK9KUB1B293
Whiting Petroleum Corp
966387BG6
175000.00000000
PA
USD
63875.00000000
0.007090442895
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.63000000
N
N
N
N
N
N
Cerved Group SpA
8156005E0EF91772E207
Cerved Group SpA
N/A
21559.00000000
NS
205324.44000000
0.022792034707
Long
EC
CORP
IT
N
2
N
N
N
Suzuki Motor Corp
353800D83H0V3ZV1SV24
Suzuki Motor Corp
N/A
3000.00000000
NS
-120708.35000000
-0.01339922759
Short
EC
CORP
JP
N
2
N
N
N
Nitori Holdings Co Ltd
N/A
Nitori Holdings Co Ltd
N/A
2700.00000000
NS
375125.21000000
0.041640765248
Long
EC
CORP
JP
N
2
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076CAJ5
515000.00000000
PA
USD
533008.51000000
0.059166597308
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-22219.14000000
-0.00246643512
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1892028.25000000
USD
7875000.00000000
MYR
2020-03-16
-22219.14000000
N
N
N
Remy Cointreau SA
5493004V6A3Z027YT216
Remy Cointreau SA
N/A
5029.00000000
NS
-512294.72000000
-0.05686726352
Short
EC
CORP
FR
N
2
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCQ3
950000.00000000
PA
USD
995125.00000000
0.110463827579
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
6.49000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
37520.62000000
0.004164975554
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
18400000.00000000
SEK
1954194.11000000
USD
2020-03-18
37520.62000000
N
N
N
Nokia OYJ
549300A0JPRWG1KI7U06
Nokia OYJ
N/A
11287.00000000
NS
-43128.01000000
-0.00478742375
Short
EC
CORP
FI
N
2
N
N
N
Big Yellow Group PLC
213800W7Q4V2ZI8LIW31
Big Yellow Group PLC
N/A
8191.00000000
NS
113715.06000000
0.012622937601
Long
EC
CORP
GB
N
2
N
N
N
DENTSPLY SIRONA Inc
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA Inc
24906P109
1559.00000000
NS
USD
-76765.16000000
-0.00852131480
Short
EC
CORP
US
N
1
N
N
N
Veeva Systems Inc
549300YZEXPDB92M2F02
Veeva Systems Inc
922475108
2625.00000000
NS
USD
372671.25000000
0.041368363475
Long
EC
CORP
US
N
1
N
N
N
Deluxe Corp
KWGNKB8TX9LE5TV29231
Deluxe Corp
248019101
1981.00000000
NS
USD
65967.30000000
0.007322698608
Long
EC
CORP
US
N
1
N
N
N
Endava PLC
213800JJ6CRPCWCQVZ25
Endava PLC
29260V105
1046.00000000
NS
USD
55490.30000000
0.006159699466
Long
EC
CORP
GB
N
1
N
N
N
KLA Corp
549300H0BF5JCG96TJ81
KLA Corp
482480100
407.00000000
NS
USD
62559.97000000
0.006944468021
Long
EC
CORP
US
N
1
N
N
N
USAA Capital Corp
N/A
USAA Capital Corp
90327QD30
560000.00000000
PA
USD
570145.96000000
0.063289039086
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
2.63000000
N
N
N
N
N
N
Jardine Cycle & Carriage Ltd
254900WEP6OCEXFWML09
Jardine Cycle & Carriage Ltd
N/A
19400.00000000
NS
-381165.57000000
-0.04231127527
Short
EC
CORP
SG
N
2
N
N
N
Rockwell Automation Inc
VH3R4HHBHH12O0EXZJ88
Rockwell Automation Inc
773903109
3444.00000000
NS
USD
-631974.00000000
-0.07015225923
Short
EC
CORP
US
N
1
N
N
N
Linde PLC
8945002PAZHZLBGKGF02
Linde PLC
G5494J103
458.00000000
NS
USD
-87482.58000000
-0.00971100176
Short
EC
CORP
GB
N
1
N
N
N
Elior Group SA
969500LYSYS0E800SQ95
Elior Group SA
N/A
11611.00000000
NS
146417.47000000
0.016253067866
Long
EC
CORP
FR
N
2
N
N
N
NIKE Inc
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106103
2653.00000000
NS
USD
237125.14000000
0.026322070674
Long
EC
CORP
US
N
1
N
N
N
Great Western Bancorp Inc
5493004X4OTHDTFBHI90
Great Western Bancorp Inc
391416104
2796.00000000
NS
USD
75128.52000000
0.008339639622
Long
EC
CORP
US
N
1
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAC4
255000.00000000
PA
USD
265290.53000000
0.029448569138
Long
DBT
CORP
US
Y
2
2026-11-01
Fixed
8.00000000
N
N
N
N
N
N
Rexnord Corp
549300AM3633XDFU1Q85
Rexnord Corp
76169B102
8106.00000000
NS
USD
236370.96000000
0.026238352940
Long
EC
CORP
US
N
1
N
N
N
Persol Holdings Co Ltd
N/A
Persol Holdings Co Ltd
N/A
34000.00000000
NS
457411.11000000
0.050774909672
Long
EC
CORP
JP
N
2
N
N
N
Hologic Inc
549300DYP6F5ZJL0LB74
Hologic Inc
436440101
6687.00000000
NS
USD
-315091.44000000
-0.03497671800
Short
EC
CORP
US
N
1
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932107
286.00000000
NS
USD
12735.58000000
0.001413712762
Long
EC
CORP
US
N
1
N
N
N
Tabula Rasa HealthCare Inc
549300K6KY242XRMEF28
Tabula Rasa HealthCare Inc
873379101
1588.00000000
NS
USD
89197.96000000
0.009901417484
Long
EC
CORP
US
N
1
N
N
N
Parallel 2018-2 Ltd
N/A
Parallel 2018-2 Ltd
69916DAE9
480000.00000000
PA
USD
465360.00000000
0.051657276022
Long
ABS-O
CORP
KY
N
2
2031-10-20
Floating
3.97000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC32
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAP0
2476000.00000000
PA
USD
2022964.79000000
0.224559159665
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.43000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2019-JWDR
N/A
Wells Fargo Commercial Mortgage Trust 2019-JWDR
95002NAJ6
650000.00000000
PA
USD
666665.74000000
0.074003215029
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
3.14000000
N
N
N
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
20120000.00000000
PA
USD
-20120000.00000000
-2.23342013405
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
20120000.00000000
USD
20305679.85000000
USD
UST
N
N
N
OceanFirst Financial Corp
N/A
OceanFirst Financial Corp
675234108
4001.00000000
NS
USD
81780.44000000
0.009078035848
Long
EC
CORP
US
N
1
N
N
N
Broadridge Financial Solutions Inc
N/A
Broadridge Financial Solutions Inc
11133T103
3447.00000000
NS
USD
-359728.92000000
-0.03993170043
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5502000.00000000
OU
Notional Amount
USD
-119692.01000000
-0.01328640879
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2022-04-11
168.89000000
USD
0.00000000
USD
5502000.00000000
USD
-119860.90000000
N
N
N
ASML Holding NV
724500Y6DUVHQD6OXN27
ASML Holding NV
N/A
2095.00000000
NS
580927.97000000
0.064485895856
Long
EC
CORP
NL
N
2
N
N
N
Genesis Sales Finance Master Trust Series 2019-A
N/A
Genesis Sales Finance Master Trust Series 2019-A
37186XAA3
255000.00000000
PA
USD
260439.20000000
0.028910047364
Long
ABS-O
CORP
US
N
2
2023-08-20
Fixed
4.68000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-4905.44000000
-0.00054452825
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1019711230.00000000
KRW
844500.00000000
USD
2020-04-02
-4905.44000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-747.25000000
-0.00008294846
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-747.25000000
-0.00008300
DFE
100351500.00000000
JPY
894000.00000000
USD
N/A
894000.00000000
USD
112.25000000
USD
2020-04-24
XXXX
2775.11000000
N
N
N
Zebra Technologies Corp
PO0I32GKZ3HZMMDPZZ08
Zebra Technologies Corp
989207105
2040.00000000
NS
USD
430378.80000000
0.047774188727
Long
EC
CORP
US
N
1
N
N
N
OGX Austria GmbH
N/A
OGX Austria GmbH
670849AA6
600000.00000000
PA
USD
6.00000000
0.000000666029
Long
DBT
CORP
AT
N
2
2018-06-01
None
0.00000000
Y
N
N
N
N
N
Assurant Inc
H3F39CAXWQRVWURFXL38
Assurant Inc
04621X108
2101.00000000
NS
USD
253359.59000000
0.028124175420
Long
EC
CORP
US
N
1
N
N
N
ECN Capital Corp
549300E2G773NN59KY61
ECN Capital Corp
N/A
21067.00000000
NS
86167.13000000
0.009564980270
Long
EC
CORP
CA
N
1
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287Y109
25031.00000000
NS
USD
2145407.01000000
0.238150855460
Long
EC
CORP
US
N
1
N
N
N
Front Range BidCo Inc
N/A
Front Range BidCo Inc
98919VAB1
18000.00000000
PA
USD
17778.60000000
0.001973513081
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
6.13000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
4040.07000000
0.000448467876
N/A
DFE
N/A
N
2
BNP Paribas
N/A
Call
Purchased
BNP Paribas
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
4040.07000000
0.00044800
DFE
8452781.40000000
RON
1718045.00000000
EUR
N/A
1718045.00000000
EUR
4.92000000
EUR
2020-05-15
XXXX
-6657.47000000
N
N
N
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAB2
465000.00000000
PA
USD
488491.80000000
0.054225020946
Long
DBT
CORP
XX
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
1360418.38000000
0.151013210766
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
765851917.00000000
MXN
40180000.00000000
USD
2020-03-18
1360418.38000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5873000.00000000
OU
Notional Amount
-55208.08000000
-0.00612837164
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2023-05-17
1419.89000000
USD
0.00000000
USD
5873000.00000000
PLN
-56627.97000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
25773.11000000
0.002860943478
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
5254157.19000000
BRL
1195730.00000000
USD
2020-05-27
25773.11000000
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361702
11302.00000000
NS
USD
521361.26000000
0.057873694592
Long
EC
CORP
US
N
1
N
N
N
Great-West Lifeco Inc
549300X81X4VZEESFU46
Great-West Lifeco Inc
N/A
6600.00000000
NS
-155233.38000000
-0.01723167775
Short
EC
CORP
CA
N
1
N
N
N
Mountain View CLO X Ltd
549300RHYK4B5L898W39
Mountain View CLO X Ltd
62432CAQ4
608358.79000000
PA
USD
606107.86000000
0.067280988962
Long
ABS-O
CORP
KY
N
2
2027-10-13
Floating
2.67000000
N
N
N
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
N/A
3633.00000000
NS
41657.24000000
0.004624160961
Long
EC
CORP
LU
N
2
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
18689850.00000000
PA
USD
-18689850.00000000
-2.07466636642
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
18234000.00000000
USD
18813338.12000000
USD
UST
N
N
N
HEICO Corp - Class A
529900O1DTDLCJ7L0I14
HEICO Corp - Class A
422806208
1428.00000000
NS
USD
126135.24000000
0.014001639395
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-79508.96000000
-0.00882589026
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1988487.00000000
USD
12095297.00000000
TRY
2020-04-10
-79508.96000000
N
N
N
Teva Pharmaceutical Finance Netherlands III BV
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAF8
1420000.00000000
PA
USD
1104050.00000000
0.122555044681
Long
DBT
CORP
NL
N
2
2046-10-01
Fixed
4.10000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
21.00000000
NC
-928115.08000000
-0.10302539296
N/A
DE
N/A
N
1
CBT
N/A
Long
DAX Index; March 2020
N/A
DAX Index; March 2020
2020-03-23
6849967.96000000
USD
-928115.08000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
58182.35000000
0.006458530414
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
1118720.00000000
EUR
1299985.08000000
USD
2020-06-12
58182.35000000
N
N
N
First Citizens BancShares Inc/NC
549300N3Z00ZHE2XC526
First Citizens BancShares Inc/NC
31946M103
321.00000000
NS
USD
145512.51000000
0.016152612802
Long
EC
CORP
US
N
1
N
N
N
Comerica Inc
I9Q57JVPWHHZ3ZGBW498
Comerica Inc
200340107
174.00000000
NS
USD
9159.36000000
0.001016734544
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
41.00000000
NC
USD
-246273.56000000
-0.02733759082
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
LME Zinc; March 2020
2020-03-17
2063325.00000000
USD
-246273.56000000
N
N
N
Electronic Arts Inc
549300O7A67PUEYKDL45
Electronic Arts Inc
285512109
774.00000000
NS
USD
78460.38000000
0.008709492664
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141G104
1324.00000000
NS
USD
265819.48000000
0.029507285221
Long
EC
CORP
US
N
1
N
N
N
Navient Private Education Refi Loan Trust 2019-G
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAB4
105000.00000000
PA
USD
109366.54000000
0.012140230239
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
3.08000000
N
N
N
N
N
N
Rockford Tower CLO 2017-2 Ltd
549300G18KVCW7VUKI86
Rockford Tower CLO 2017-2 Ltd
77340GAN1
295000.00000000
PA
USD
295000.00000000
0.032746468168
Long
ABS-O
CORP
KY
N
2
2029-10-15
Floating
0.00000000
N
N
N
N
N
N
Expedia Group Inc
CI7MUJI4USF3V0NJ1H64
Expedia Group Inc
30212P303
178.00000000
NS
USD
17554.36000000
0.001948621325
Long
EC
CORP
US
N
1
N
N
N
McCormick & Co Inc/MD
549300JQQA6MQ4OJP259
McCormick & Co Inc/MD
579780206
874.00000000
NS
USD
127770.06000000
0.014183112551
Long
EC
CORP
US
N
1
N
N
N
Sunac China Holdings Ltd
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
N/A
200000.00000000
PA
USD
204577.10000000
0.022709076247
Long
DBT
CORP
KY
N
2
2022-06-14
Fixed
7.25000000
N
N
N
N
N
N
Kronos Acquisition Holdings Inc
N/A
Kronos Acquisition Holdings Inc
50106GAA0
1000000.00000000
PA
USD
965000.00000000
0.107119802652
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
9.00000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162100
2339.00000000
NS
USD
467168.47000000
0.051858025193
Long
EC
CORP
US
N
1
N
N
N
NVR Inc
529900RWXR4JI3JYTV70
NVR Inc
62944T105
68.00000000
NS
USD
-249368.24000000
-0.02768111570
Short
EC
CORP
US
N
1
N
N
N
Carl Zeiss Meditec AG
529900GRL4MZ8NMOOK95
Carl Zeiss Meditec AG
N/A
811.00000000
NS
86277.30000000
0.009577209688
Long
EC
CORP
DE
N
2
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
N/A
26824.00000000
NS
295403.31000000
0.032791237585
Long
EC
CORP
CH
N
2
N
N
N
CK Asset Holdings Ltd
5299006GJZSGP78B8S35
CK Asset Holdings Ltd
N/A
23500.00000000
NS
149999.74000000
0.016650717664
Long
EC
CORP
HK
N
2
N
N
N
Gosforth Funding 2018-1 plc
213800GD24WOLHNGMP34
Gosforth Funding 2018-1 plc
38312RAA1
224229.69000000
PA
USD
224350.55000000
0.024904027607
Long
ABS-MBS
CORP
GB
N
2
2060-08-25
Floating
2.13000000
N
N
N
N
N
N
COMM 2015-LC21 Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FAE4
10000000.00000000
PA
USD
539673.00000000
0.059906388866
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
1.05000000
N
N
N
N
N
N
Meridian Energy Ltd
N/A
Meridian Energy Ltd
N/A
89377.00000000
NS
259288.27000000
0.028782288406
Long
EC
CORP
NZ
N
2
N
N
N
HOCHTIEF AG
529900Y25S8NZIYTT924
HOCHTIEF AG
N/A
2563.00000000
NS
255714.41000000
0.028385572160
Long
EC
CORP
DE
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
23365000.00000000
OU
Notional Amount
29673.58000000
0.003293915060
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month Johannesburg Interbank Agreed Rate
Y
2030-01-31
290.94000000
USD
0.00000000
USD
23365000.00000000
ZAR
29382.64000000
N
N
N
Kennametal Inc
549300GZDSG25XUV0Y08
Kennametal Inc
489170100
2922.00000000
NS
USD
81231.60000000
0.009017111876
Long
EC
CORP
US
N
1
N
N
N
Mitsui OSK Lines Ltd
353800P8O843TMAZ6S09
Mitsui OSK Lines Ltd
N/A
18000.00000000
NS
-370772.04000000
-0.04115754171
Short
EC
CORP
JP
N
2
N
N
N
Advanced Micro Devices Inc
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903107
9545.00000000
NS
USD
-434106.60000000
-0.04818799307
Short
EC
CORP
US
N
1
N
N
N
FamilyMart Co Ltd
529900GD7JL8DBCSE791
FamilyMart Co Ltd
N/A
17100.00000000
NS
372698.84000000
0.041371426103
Long
EC
CORP
JP
N
2
N
N
N
Dell Technologies Inc
549300TJB5YBRUPOG437
Dell Technologies Inc
24703L202
8853.00000000
NS
USD
-358192.38000000
-0.03976113684
Short
EC
CORP
US
N
1
N
N
N
ABC-Mart Inc
N/A
ABC-Mart Inc
N/A
4100.00000000
NS
236130.14000000
0.026211620722
Long
EC
CORP
JP
N
2
N
N
N
Hasbro Inc
549300NUB6D2R1ITYR45
Hasbro Inc
418056107
1119.00000000
NS
USD
-86442.75000000
-0.00959557546
Short
EC
CORP
US
N
1
N
N
N
MUFG Union Bank NA
OX3PU53ZLPQKJ4700D47
MUFG Union Bank NA
624786FV6
750000.00000000
PA
USD
753659.34000000
0.083659937583
Long
DBT
CORP
US
N
2
2022-12-09
Floating
2.27000000
N
N
N
N
N
N
ANA Holdings Inc
5493008IRKIY0G3TE305
ANA Holdings Inc
N/A
3000.00000000
NS
-80770.80000000
-0.00896596078
Short
EC
CORP
JP
N
2
N
N
N
GMO Payment Gateway Inc
353800Q6U21E2PM83F86
GMO Payment Gateway Inc
N/A
6500.00000000
NS
-403310.38000000
-0.04476945939
Short
EC
CORP
JP
N
2
N
N
N
Dukinfield II PLC
213800B7W4OACLGF5491
Dukinfield II PLC
N/A
285555.28000000
PA
369392.71000000
0.041004429218
Long
ABS-MBS
CORP
GB
N
2
2052-12-20
Floating
2.05000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
N/A
56902.00000000
NS
411747.99000000
0.045706076094
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Futures
N/A
19.00000000
NC
-106249.55000000
-0.01179422883
N/A
DIR
N/A
N
1
CME
N/A
Short
N/A
Euro Buxl 30 Year Bond; June 2020
2020-06-09
4575907.45000000
USD
-106249.55000000
N
N
N
Ferrovial SA
95980020140005757903
Ferrovial SA
N/A
45360.00000000
NS
-1302912.87000000
-0.14462981296
Short
EC
CORP
ES
N
2
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558103
598.00000000
NS
USD
-41477.28000000
-0.00460418450
Short
EC
CORP
US
N
1
N
N
N
Genworth Financial Inc
549300EMCG286BDNKJ33
Genworth Financial Inc
37247D106
137897.00000000
NS
USD
537798.30000000
0.059698287836
Long
EC
CORP
US
N
1
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
N/A
3657.00000000
NS
-56694.36000000
-0.00629335611
Short
EC
CORP
DK
N
2
N
N
N
N/A
N/A
Repurchase Agreement
N/A
49117395.00000000
PA
USD
49117395.00000000
5.452275294488
Long
RA
US
N
2
Repurchase
N
1.51000000
2020-03-02
48332000.00000000
USD
50365487.33000000
USD
UST
N
N
N
Freddie Mac STACR Trust 2019-HRP1
549300RWLR7W4OBRM426
Freddie Mac STACR Trust 2019-HRP1
35564RCB8
270000.00000000
PA
USD
290219.60000000
0.032215819976
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Floating
5.68000000
N
N
N
N
N
N
Varian Medical Systems Inc
TK3LAKL7I0QNTCVWSY07
Varian Medical Systems Inc
92220P105
906.00000000
NS
USD
-111410.82000000
-0.01236715549
Short
EC
CORP
US
N
1
N
N
N
Rheinmetall AG
5299001OU9CSE29O6S05
Rheinmetall AG
N/A
1632.00000000
NS
151509.09000000
0.016818263026
Long
EC
CORP
DE
N
2
N
N
N
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
N/A
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
N/A
3588511.63000000
NS
USD
3588511.63000000
0.398342650383
Long
STIV
RF
US
N
1
N
N
N
Suzuken Co Ltd/Aichi Japan
N/A
Suzuken Co Ltd/Aichi Japan
N/A
200.00000000
NS
-6602.46000000
-0.00073290591
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
5590653.75000000
PA
USD
-5590653.75000000
-0.62059039004
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
4107000.00000000
USD
5856998.75000000
USD
UST
N
N
N
Marvell Technology Group Ltd
8DF36O58U3QIHUCGZB18
Marvell Technology Group Ltd
G5876H105
7392.00000000
NS
USD
157449.60000000
0.017477689201
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
473731.13000000
0.052586513114
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
37467875.40000000
BRL
8831750.00000000
USD
2020-04-22
473731.13000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
404579.61000000
0.044910350238
N/A
DFE
N/A
N
2
Bank of America NA
N/A
20963000.00000000
NZD
13506683.93000000
USD
2020-03-20
404579.61000000
N
N
N
Everbridge Inc
549300WCY0UMR64ATW81
Everbridge Inc
29978A104
734.00000000
NS
USD
77554.44000000
0.008608928816
Long
EC
CORP
US
N
1
N
N
N
Lennar Corp - A Shares
529900G61XVRLX5TJX09
Lennar Corp - A Shares
526057104
547.00000000
NS
USD
33005.98000000
0.003663828045
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
36799.16000000
0.004084889903
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
2160000.00000000
AUD
1445072.40000000
USD
2020-04-22
36799.16000000
N
N
N
Grifols SA
959800HSSNXWRKBK4N60
Grifols SA
398438408
3047.00000000
NS
USD
65236.27000000
0.007241550640
Long
EC
CORP
ES
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-338.98000000
-0.00003762846
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
46290.31000000
EUR
50787.37000000
USD
2020-03-11
-338.98000000
N
N
N
Aeon Co Ltd
5299009MXFL34SA71416
Aeon Co Ltd
N/A
3900.00000000
NS
-72899.56000000
-0.00809221396
Short
EC
CORP
JP
N
2
N
N
N
Forward Venture Services LLC
N/A
Forward Venture Services LLC
N/A
32815.00000000
NS
USD
184092.15000000
0.020435144847
Long
EP
CORP
US
Y
3
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-31.52000000
-0.00000349887
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Citigroup Inc
Citigroup Inc
1.00000000
80.00000000
USD
2020-04-20
XXXX
36.19000000
N
N
N
China Evergrande Group
549300CUF7B1LAB15T90
China Evergrande Group
N/A
925000.00000000
PA
USD
869810.17000000
0.096553257777
Long
DBT
CORP
KY
N
2
2022-03-23
Fixed
8.25000000
N
N
N
N
N
N
Invitation Homes 2018-SFR2 Trust
N/A
Invitation Homes 2018-SFR2 Trust
46185HAJ1
835000.00000000
PA
USD
830890.46000000
0.092232976270
Long
ABS-O
CORP
US
N
2
2037-06-17
Floating
3.66000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
67.00000000
NC
USD
-161246.30000000
-0.01789914179
N/A
DCO
N/A
N
1
MSE
N/A
Long
N/A
LME PRI Alum; March 2020
2020-03-17
2823212.50000000
USD
-161246.30000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
105000000.00000100
OU
Notional Amount
-38957.60000000
-0.00432448748
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month Johannesburg Interbank Agreed Rate
Y
2022-11-11
6156.95000000
USD
0.00000000
USD
105000000.00000100
ZAR
-45114.55000000
N
N
N
N/A
N/A
Futures
N/A
11.00000000
NC
269754.09000000
0.029944046513
N/A
DE
N/A
N
1
CBT
N/A
Short
Nikkei 225 OSE; March 2020
N/A
Nikkei 225 OSE; March 2020
2020-03-14
2149823.84000000
USD
269754.09000000
N
N
N
REV Group Inc
549300SRD0SIG5ZZ3X20
REV Group Inc
749527107
6846.00000000
NS
USD
53604.18000000
0.005950330759
Long
EC
CORP
US
N
1
N
N
N
Cranswick PLC
549300LDZLPU51XOSK43
Cranswick PLC
N/A
5804.00000000
NS
249261.25000000
0.027669239283
Long
EC
CORP
GB
N
2
N
N
N
Square Inc
549300OHIIUWSTIZME52
Square Inc
852234103
2647.00000000
NS
USD
220574.51000000
0.024484868374
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-40257.60000000
-0.00446879395
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1696755.00000000
USD
5725699.75000000
PEN
2020-03-20
-40257.60000000
N
N
N
Roper Technologies Inc
54930003T4SXCIWVXY35
Roper Technologies Inc
776696106
1497.00000000
NS
USD
-526494.90000000
-0.05844355418
Short
EC
CORP
US
N
1
N
N
N
Montenegro Government International Bond
747800V014106FYLL014
Montenegro Government International Bond
N/A
2282000.00000000
PA
2654535.55000000
0.294666657252
Long
DBT
NUSS
ME
N
2
2021-03-10
Fixed
5.75000000
N
N
N
N
N
N
Vistra Energy Corp
549300KP43CPCUJOOG15
Vistra Energy Corp
92840M102
41601.00000000
NS
USD
799987.23000000
0.088802563939
Long
EC
CORP
US
N
1
N
N
N
TransDigm Group Inc
N/A
TransDigm Group Inc
893641100
1168.00000000
NS
USD
651522.08000000
0.072322193402
Long
EC
CORP
US
N
1
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
Deutsche Telekom AG
N/A
51644.00000000
NS
846004.36000000
0.093910694389
Long
EC
CORP
DE
N
2
N
N
N
Navient Private Education Refi Loan Trust 2019-F
N/A
Navient Private Education Refi Loan Trust 2019-F
63935CAC5
445000.00000000
PA
USD
464499.94000000
0.051561805082
Long
ABS-O
CORP
US
N
2
2068-08-15
Fixed
3.12000000
N
N
N
N
N
N
Swedish Match AB
529900YVXCGNWAUYZG78
Swedish Match AB
N/A
7788.00000000
NS
456957.32000000
0.050724536724
Long
EC
CORP
SE
N
2
N
N
N
Coca-Cola Bottlers Japan Holdings Inc
353800XN1G90665VTQ16
Coca-Cola Bottlers Japan Holdings Inc
N/A
39700.00000000
NS
-915644.19000000
-0.10164106210
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-7945.90000000
-0.00088203444
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
252951.10000000
USD
3600000000.00000000
IDR
2020-05-28
-7945.90000000
N
N
N
Harley-Davidson Inc
ZDNAWZWXIKMWI51R2A08
Harley-Davidson Inc
412822108
8320.00000000
NS
USD
-253510.40000000
-0.02814091608
Short
EC
CORP
US
N
1
N
N
N
Elanco Animal Health Inc
549300SHPNDCE059M934
Elanco Animal Health Inc
28414H103
30630.00000000
NS
USD
839262.00000000
0.093162258873
Long
EC
CORP
US
N
1
N
N
N
Interpublic Group of Cos Inc/The
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690100
12934.00000000
NS
USD
276270.24000000
0.030667371593
Long
EC
CORP
US
N
1
N
N
N
Ingersoll-Rand PLC
549300BURLR9SLYY2705
Ingersoll-Rand PLC
G47791101
7092.00000000
NS
USD
915151.68000000
0.101586391044
Long
EC
CORP
US
N
1
N
N
N
Honda Auto Receivables 2016-4 Owner Trust
N/A
Honda Auto Receivables 2016-4 Owner Trust
43814RAC0
9336.61000000
PA
USD
9334.38000000
0.001036162635
Long
ABS-O
CORP
US
N
2
2020-12-18
Fixed
1.21000000
N
N
N
N
N
N
ANDRITZ AG
549300VZKC61IR5U8G96
ANDRITZ AG
N/A
5303.00000000
NS
-187660.46000000
-0.02083124501
Short
EC
CORP
AT
N
2
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285V8
26693000.00000000
PA
USD
27472936.09000000
3.049632634437
Long
DBT
UST
US
N
2
2022-01-15
Fixed
2.50000000
N
N
N
N
N
N
Qualtek USA LLC
N/A
Qualtek USA LLC
N/A
581182.97000000
PA
USD
566653.40000000
0.062901347544
Long
LON
CORP
US
N
2
2025-07-18
Floating
8.10890000
N
N
N
N
N
N
BioMarin Pharmaceutical Inc
NSLL8ITTRR0J5HEMR848
BioMarin Pharmaceutical Inc
09061G101
167.00000000
NS
USD
-15091.79000000
-0.00167526379
Short
EC
CORP
US
N
1
N
N
N
Nucor Corp
549300GGJCRSI2TIEJ46
Nucor Corp
670346105
2928.00000000
NS
USD
121072.80000000
0.013439683360
Long
EC
CORP
US
N
1
N
N
N
Fortune Brands Home & Security Inc
54930032LHW54PQUJD44
Fortune Brands Home & Security Inc
34964C106
16326.00000000
NS
USD
1008130.50000000
0.111907502805
Long
EC
CORP
US
N
1
N
N
N
Incyte Corp
549300Z4WN6JVZ3T4680
Incyte Corp
45337C102
14199.00000000
NS
USD
-1070746.59000000
-0.11885820042
Short
EC
CORP
US
N
1
N
N
N
Cable Onda SA
5299008Q5GONPYNF9J32
Cable Onda SA
12686LAA7
205000.00000000
PA
USD
208587.50000000
0.023154250606
Long
DBT
CORP
PA
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
Neste Oyj
5493009GY1X8GQ66AM14
Neste Oyj
N/A
14348.00000000
NS
573432.97000000
0.063653913554
Long
EC
CORP
FI
N
2
N
N
N
Avery Point VII CLO Ltd
549300ZZJXJNKXU40667
Avery Point VII CLO Ltd
05364DAA8
1400000.00000000
PA
USD
1387050.00000000
0.153969453127
Long
ABS-O
CORP
KY
N
2
2028-01-15
Floating
8.43000000
N
N
N
N
N
N
Millicom International Cellular SA
549300CTHC1CP86P2G96
Millicom International Cellular SA
N/A
1946.00000000
NS
-89887.17000000
-0.00997792322
Short
EC
CORP
LU
N
2
N
N
N
Celestica Inc
549300J3CG5T6RZWLN53
Celestica Inc
N/A
1029.00000000
NS
6485.63000000
0.000719937207
Long
EC
CORP
CA
N
1
N
N
N
Discovery Inc - A Shares
5493006ZCRFWKF6B1K26
Discovery Inc - A Shares
25470F104
6845.00000000
NS
USD
175916.50000000
0.019527607008
Long
EC
CORP
US
N
1
N
N
N
Glenveagh Properties PLC
635400QUQ2YYGMOAK834
Glenveagh Properties PLC
N/A
183548.00000000
NS
153482.15000000
0.017037282506
Long
EC
CORP
IE
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
56729.03000000
0.006297204661
N/A
DFE
N/A
N
2
Bank of America NA
N/A
4638000.00000000
GBP
6005631.76000000
USD
2020-03-20
56729.03000000
N
N
N
Sequoia Mortgage Trust 2018-CH1
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAA7
131296.56000000
PA
USD
134732.77000000
0.014956008013
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
4.00000000
N
N
N
N
N
N
DT Auto Owner Trust 2018-3
N/A
DT Auto Owner Trust 2018-3
23343CAE1
395000.00000000
PA
USD
404081.37000000
0.044855043118
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
3.79000000
N
N
N
N
N
N
Nokian Renkaat OYJ
743700YQIO8Y4L4WKR40
Nokian Renkaat OYJ
N/A
16238.00000000
NS
-425033.54000000
-0.04718083826
Short
EC
CORP
FI
N
2
N
N
N
East Japan Railway Co
353800SENYJ2DSM6PS44
East Japan Railway Co
N/A
100.00000000
NS
7638.29000000
0.000847888204
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Options
N/A
2.00000000
NC
USD
-54.26000000
-0.00000602313
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Intel Corp
Intel Corp
2.00000000
67.50000000
USD
2020-04-20
XXXX
111.16000000
N
N
N
Peloton Interactive Inc
5493002YS021166W0339
Peloton Interactive Inc
70614W100
7496.00000000
NS
USD
200068.24000000
0.022208570347
Long
EC
CORP
US
N
1
N
N
N
Millicom International Cellular SA
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AN7
200000.00000000
PA
USD
206000.00000000
0.022867025229
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
Charter Communications Inc
0J0XRGZE3PBRFEZ7MV65
Charter Communications Inc
16119P108
3278.00000000
NS
USD
1616611.26000000
0.179451895477
Long
EC
CORP
US
N
1
N
N
N
Limelight Networks Inc
529900BNCMDQGEKW5M59
Limelight Networks Inc
53261M104
23328.00000000
NS
USD
117689.76000000
0.013064149083
Long
EC
CORP
US
N
1
N
N
N
Science Applications International Corp
549300LZPNZIXQGZPZ48
Science Applications International Corp
808625107
21017.00000000
NS
USD
1684092.21000000
0.186942616769
Long
EC
CORP
US
N
1
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513105
12510.00000000
NS
USD
509782.50000000
0.056588394606
Long
EC
CORP
US
N
1
N
N
N
National Oilwell Varco Inc
549300EHF3IW1AR6U008
National Oilwell Varco Inc
637071101
14511.00000000
NS
USD
271500.81000000
0.030137941126
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae Connecticut Avenue Securities
N/A
Fannie Mae Connecticut Avenue Securities
30711XEQ3
1215000.00000000
PA
USD
1443645.14000000
0.160251795333
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
7.38000000
N
N
N
N
N
N
Oxford Finance Funding 2019-1 LLC
N/A
Oxford Finance Funding 2019-1 LLC
69145AAB4
145000.00000000
PA
USD
149335.98000000
0.016577037001
Long
ABS-O
CORP
US
N
2
2027-02-15
Fixed
4.46000000
N
N
N
N
N
N
Centene Corp
549300Z7JJ4TQSQGT333
Centene Corp
15135B101
4483.00000000
NS
USD
-237688.66000000
-0.02638462419
Short
EC
CORP
US
N
1
N
N
N
Mohawk Industries Inc
549300JI1115MG3Q6322
Mohawk Industries Inc
608190104
475.00000000
NS
USD
57546.25000000
0.006387920148
Long
EC
CORP
US
N
1
N
N
N
Hargreaves Lansdown PLC
2138008ZCE93ZDSESG90
Hargreaves Lansdown PLC
N/A
14265.00000000
NS
286374.44000000
0.031788988080
Long
EC
CORP
GB
N
2
N
N
N
First Republic Bank/CA
YWC0TIKBQM2JV8L4IV08
First Republic Bank/CA
33616C100
6738.00000000
NS
USD
677640.66000000
0.075221485770
Long
EC
CORP
US
N
1
N
N
N
Bonos de la Tesoreria de la Republica
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica
N/A
5380743060.00000000
PA
7297936.88000000
0.810107314354
Long
DBT
NUSS
CL
N
2
2030-09-01
Fixed
1.90000000
N
N
N
N
N
N
Galapagos NV
549300QKJ78IY0IOV655
Galapagos NV
36315X101
246.00000000
NS
USD
51994.56000000
0.005771654928
Long
EC
CORP
BE
N
1
N
N
N
IHS Netherlands Holdco BV
5493006Z6YQYCCN2XI74
IHS Netherlands Holdco BV
44963LAB2
265000.00000000
PA
USD
281398.20000000
0.031236600674
Long
DBT
CORP
NL
N
2
2025-03-18
Fixed
7.13000000
N
N
N
N
N
N
Banca Generali SpA
815600903231FA2E7698
Banca Generali SpA
N/A
5481.00000000
NS
170376.85000000
0.018912678288
Long
EC
CORP
IT
N
2
N
N
N
Digital Room Holdings Inc
549300I680V3FDWE2N30
Digital Room Holdings Inc
N/A
239795.00000000
PA
USD
224208.33000000
0.024888240479
Long
LON
CORP
US
N
2
2026-05-08
Floating
6.60260000
N
N
N
N
N
N
Sumitomo Dainippon Pharma Co Ltd
529900D60UKVYLJ2OJ79
Sumitomo Dainippon Pharma Co Ltd
N/A
26467.00000000
NS
377644.53000000
0.041920422306
Long
EC
CORP
JP
N
2
N
N
N
Citizens Financial Group Inc
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610105
5951.00000000
NS
USD
188587.19000000
0.020934116658
Long
EC
CORP
US
N
1
N
N
N
Bayview Opportunity Master Fund Trust IVb 2019-RN1
N/A
Bayview Opportunity Master Fund Trust IVb 2019-RN1
07334DAA1
99460.09000000
PA
USD
99643.34000000
0.011060906649
Long
ABS-O
CORP
US
N
2
2034-02-28
Variable
4.09000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C21
5493000F7E2NMQ4HIO61
WFRBS Commercial Mortgage Trust 2014-C21
92939FAG4
1030000.00000000
PA
USD
837133.84000000
0.092926022522
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.49000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
28742.14000000
0.003190520585
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
Call
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
28742.14000000
0.00319100
DFE
7953024.00000000
ZAR
476800.00000000
EUR
N/A
476800.00000000
EUR
16.68000000
EUR
2020-04-24
XXXX
19581.06000000
N
N
N
Snap-on Inc
HHWAT5TDOYZMM26KKQ73
Snap-on Inc
833034101
1357.00000000
NS
USD
-196425.75000000
-0.02180423582
Short
EC
CORP
US
N
1
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431109
834.00000000
NS
USD
164906.82000000
0.018305477735
Long
EC
CORP
US
N
1
N
N
N
Vornado Realty Trust
N/A
Vornado Realty Trust
929042109
4582.00000000
NS
USD
-245503.56000000
-0.02725211699
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
23.00000000
NC
USD
143.75000000
0.000015956965
N/A
DIR
N/A
N
1
CME
N/A
Put
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
23.00000000
NC
USD
143.75000000
0.00001600
DIR
Short
N/A
90 Day Eurodollar Future; March 2020
N/A
57500.00000000
USD
23.00000000
97.37500000
USD
2020-03-17
XXXX
-3345.58000000
N
N
N
Badger Daylighting Ltd
N/A
Badger Daylighting Ltd
N/A
2276.00000000
NS
53243.73000000
0.005910319015
Long
EC
CORP
CA
N
1
N
N
N
Advance Auto Parts Inc
529900UCNQ5H9FSL0Y70
Advance Auto Parts Inc
00751Y106
1369.00000000
NS
USD
-182049.62000000
-0.02020841385
Short
EC
CORP
US
N
1
N
N
N
Coats Group PLC
2138003SPYWGAITNFY17
Coats Group PLC
N/A
140482.00000000
NS
108457.92000000
0.012039368897
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Total Return Swaps
N/A
2661128.18000000
OU
Notional Amount
264668.12000000
0.029379478531
N/A
DE
N/A
N
2
Morgan Stanley & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in JPY
Toshiba TEC Corp
22853.00000000
N/A
843268.50000000
N/A
Nippon Telegraph & Telephone Corp
-9131.00000000
N/A
-214137.44000000
N/A
Inpex Corp
-12855.00000000
N/A
-111185.14000000
N/A
MSYOAUTO Index
-17305.00000000
N/A
-144328.13000000
N/A
T&D Holdings Inc
-6555.00000000
N/A
-64723.48000000
N/A
Astellas Pharma Inc
-11818.00000000
N/A
-186155.96000000
N/A
NTT DOCOMO Inc
-8437.00000000
N/A
-228994.23000000
N/A
Marubeni Corp
-15179.00000000
N/A
-100874.35000000
N/A
Mizuho Financial Group Inc
-161179.00000000
N/A
-220563.88000000
N/A
Shionogi & Co Ltd
-1068.00000000
N/A
-57875.58000000
N/A
Idemitsu Kosan Co Ltd
-10340.00000000
N/A
-254809.20000000
N/A
KDDI Corp
-8261.00000000
N/A
-234212.29000000
N/A
Y
Total return on a custom basket of long and short securities traded in JPY
2021-01-21
0.00000000
USD
0.00000000
USD
2661128.18000000
USD
264668.12000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-36327.42000000
-0.00403252441
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1206284.31000000
USD
5254157.17000000
BRL
2020-05-27
-36327.42000000
N
N
N
CFLD Cayman Investment Ltd
3003006ZC30FH27GHL08
CFLD Cayman Investment Ltd
N/A
200000.00000000
PA
USD
200750.24000000
0.022284275742
Long
DBT
CORP
KY
N
2
2020-12-21
Fixed
6.50000000
N
N
N
N
N
N
Lam Research Corp
549300I4GMO6D34U1T02
Lam Research Corp
512807108
4177.00000000
NS
USD
1225657.11000000
0.136054039111
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-144816.72000000
-0.01607537664
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
97413772.26000000
CNY
13814138.00000000
USD
2020-03-05
-144816.72000000
N
N
N
Capital One Bank USA NA
LKE37K2B8CFZUR7F9816
Capital One Bank USA NA
14042TCS4
1445000.00000000
PA
USD
1457835.10000000
0.161826951514
Long
DBT
CORP
US
N
2
2023-01-27
Variable
2.01000000
N
N
N
N
N
N
Agree Realty Corp
N/A
Agree Realty Corp
008492100
1306.00000000
NS
USD
93796.92000000
0.010411924932
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796TN9
2285000.00000000
PA
USD
2269657.18000000
0.251943242703
Long
DBT
UST
US
N
2
2020-10-08
None
1.53000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-LC14
549300QGM7D5K3CV2643
WFRBS Commercial Mortgage Trust 2014-LC14
96221TAS6
1300000.00000000
PA
USD
1095818.23000000
0.121641277243
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
3.50000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-31871.43000000
-0.00353788734
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
Put
Written
Goldman Sachs & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-31871.43000000
-0.00353800
DFE
10370360.00000000
USD
43451808.40000000
BRL
N/A
10370360.00000000
USD
4.19000000
USD
2020-06-15
XXXX
49971.45000000
N
N
N
Fukuoka Financial Group Inc
N/A
Fukuoka Financial Group Inc
N/A
5900.00000000
NS
88294.86000000
0.009801168889
Long
EC
CORP
JP
N
2
N
N
N
Osaka Gas Co Ltd
353800024KMNOPQRWZ02
Osaka Gas Co Ltd
N/A
29600.00000000
NS
473821.14000000
0.052596504672
Long
EC
CORP
JP
N
2
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
Walt Disney Co/The
254687106
7898.00000000
NS
USD
929199.70000000
0.103145791179
Long
EC
CORP
US
N
1
N
N
N
Connecticut Avenue Securities Trust 2019-R07
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAE6
2000000.00000000
PA
USD
2055042.60000000
0.228119956221
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
5.03000000
N
N
N
N
N
N
Credit Suisse Commercial Mortgage Securities Corp 2019-SLKZ
N/A
Credit Suisse Commercial Mortgage Securities Corp 2019-SLKZ
12655GAL1
155000.00000000
PA
USD
155294.33000000
0.017238443505
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
5.26000000
N
N
N
N
N
N
Stabilus SA
529900JOSL94HJN4VZ28
Stabilus SA
N/A
2321.00000000
NS
127086.09000000
0.014107188477
Long
EC
CORP
LU
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8900000000.00000000
OU
Notional Amount
-92698.02000000
-0.01028994156
N/A
DIR
N/A
N
2
Citigroup Inc
N/A
N/A
Sinacofi Chile Interbank Rate Avg
Y
2021-12-18
0.00000000
USD
0.00000000
USD
8900000000.00000000
CLP
-92698.02000000
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
61767EAN4
3150000.00000000
PA
USD
190886.54000000
0.021189355952
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
0.88000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036P108
1471.00000000
NS
USD
253570.98000000
0.028147640762
Long
EC
CORP
US
N
1
N
N
N
Panasonic Corp
254900GE1G59KGWPHX32
Panasonic Corp
N/A
8400.00000000
NS
-79674.39000000
-0.00884425381
Short
EC
CORP
JP
N
2
N
N
N
Electronics For Imaging Inc
549300PN42C4XYPSEV84
Electronics For Imaging Inc
N/A
374000.00000000
PA
USD
344080.00000000
0.038194592431
Long
LON
CORP
US
N
2
2026-07-02
Floating
6.66670000
N
N
N
N
N
N
Peruvian Government International Bond
254900STKLK2DBJJZ530
Peruvian Government International Bond
N/A
11150000.00000000
PA
3929774.14000000
0.436224487402
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
Willis Towers Watson PLC
549300WHC56FF48KL350
Willis Towers Watson PLC
G96629103
6812.00000000
NS
USD
1289171.00000000
0.143104396999
Long
EC
CORP
GB
N
1
N
N
N
Genting Singapore Ltd
254900Y2N3AK93K1O866
Genting Singapore Ltd
N/A
717800.00000000
NS
423125.29000000
0.046969013017
Long
EC
CORP
SG
N
2
N
N
N
Chase Issuance Trust
5493008SHVCX2Y068L12
Chase Issuance Trust
161571HD9
1150000.00000000
PA
USD
1156314.65000000
0.128356680944
Long
ABS-O
CORP
US
N
2
2023-06-15
Floating
2.21000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
40.00000000
NC
USD
840882.54000000
0.093342146879
N/A
DE
N/A
N
1
CBT
N/A
Put
Purchased
S&P 500 Index
SPX
S&P 500 Index
40.00000000
2875.00000000
USD
2020-12-21
XXXX
380909.42000000
N
N
N
Sunac China Holdings Ltd
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
N/A
1531000.00000000
PA
USD
1579298.07000000
0.175309945686
Long
DBT
CORP
KY
N
2
2022-02-15
Fixed
7.88000000
N
N
N
N
N
N
Ascentium Equipment Receivables 2017-2 Trust
N/A
Ascentium Equipment Receivables 2017-2 Trust
04364YAE7
80000.00000000
PA
USD
81626.93000000
0.009060995474
Long
ABS-O
CORP
US
N
2
2022-08-10
Fixed
2.87000000
N
N
N
N
N
N
N/A
N/A
Repurchase Agreement
N/A
30188812.50000000
PA
USD
30188812.50000000
3.351108432434
Long
RA
US
N
2
Repurchase
N
1.59000000
2020-03-02
28413000.00000000
USD
31235127.08000000
USD
UST
N
N
N
N/A
N/A
Futures
N/A
47.00000000
NC
USD
-50326.12000000
-0.00558644978
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Wheat; May 2020
2020-05-15
1233750.00000000
USD
-50326.12000000
N
N
N
Campbell Soup Co
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429109
9656.00000000
NS
USD
435678.72000000
0.048362506223
Long
EC
CORP
US
N
1
N
N
N
Public Service Enterprise Group Inc
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573106
3779.00000000
NS
USD
193900.49000000
0.021523919402
Long
EC
CORP
US
N
1
N
N
N
Sampo Oyj
743700UF3RL386WIDA22
Sampo Oyj
N/A
20860.00000000
NS
852378.79000000
0.094618287844
Long
EC
CORP
FI
N
2
N
N
N
Makita Corp
529900CDR9E94BCM6294
Makita Corp
N/A
500.00000000
NS
16946.31000000
0.001881124749
Long
EC
CORP
JP
N
2
N
N
N
Royal Dutch Shell PLC - A Shares
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC - A Shares
N/A
5143.00000000
NS
111019.28000000
0.012323692605
Long
EC
CORP
NL
N
2
N
N
N
Bandwidth Inc
549300QC70JB7MUGXM66
Bandwidth Inc
05988J103
2665.00000000
NS
USD
167601.85000000
0.018604639477
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Repurchase Agreement
N/A
23353470.00000000
PA
USD
23353470.00000000
2.592351396518
Long
RA
US
N
2
Repurchase
N
1.25000000
2020-03-02
23412000.00000000
USD
23952497.91000000
USD
UST
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748102
10030.00000000
NS
USD
1048736.80000000
0.116415004196
Long
EC
CORP
US
N
1
N
N
N
Pinterest Inc
N/A
Pinterest Inc
72352L106
2521.00000000
NS
USD
49159.50000000
0.005456949159
Long
EC
CORP
US
N
1
N
N
N
Enerpac Tool Group Corp
IZW37BPZKUJE1QXGB081
Enerpac Tool Group Corp
292765104
4244.00000000
NS
USD
90694.28000000
0.010067516451
Long
EC
CORP
US
N
1
N
N
N
B. Riley Financial Inc
N/A
B. Riley Financial Inc
05580M108
4001.00000000
NS
USD
94663.66000000
0.010508137386
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
33674.92000000
0.003738083714
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
25711679.95000000
ZAR
1662403.06000000
USD
2020-05-26
33674.92000000
N
N
N
Aker BP ASA
549300NFTY73920OYK69
Aker BP ASA
00973RAF0
355000.00000000
PA
USD
361391.33000000
0.040116236217
Long
DBT
CORP
NO
N
2
2030-01-15
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
49451512.50000000
PA
USD
-49451512.50000000
-5.48936399983
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
48841000.00000000
USD
51029117.96000000
USD
UST
N
N
N
Ecobat Holdings, Inc - Class B
N/A
Ecobat Holdings, Inc - Class B
N/A
2998.00000000
NS
USD
2013657.67000000
0.223526023025
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
835000.00000000
PA
USD
-835000.00000000
-0.09268915566
Short
RA
US
N
2
Reverse repurchase
N
2.25000000
N/A
1000000.00000000
USD
997811.11328100
USD
CDS
N
N
N
Allegion plc
N/A
Allegion plc
G0176J109
2813.00000000
NS
USD
323466.87000000
0.035906432413
Long
EC
CORP
IE
N
1
N
N
N
Canadian Tire Corp Ltd
549300RLHDA7VQYMUB14
Canadian Tire Corp Ltd
N/A
300.00000000
NS
-29500.47000000
-0.00327469898
Short
EC
CORP
CA
N
1
N
N
N
Michaels Cos Inc/The
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
59408Q106
8557.00000000
NS
USD
36709.53000000
0.004074940527
Long
EC
CORP
US
N
1
N
N
N
Sofi Professional Loan Program 2016-A LLC
549300MIP15HTYPHSM46
Sofi Professional Loan Program 2016-A LLC
78469PAC8
217186.65000000
PA
USD
222073.22000000
0.024651232643
Long
ABS-O
CORP
US
N
2
2038-01-26
Fixed
3.57000000
N
N
N
N
N
N
Jazz Pharmaceuticals PLC
635400GAUMJCLEZRRV50
Jazz Pharmaceuticals PLC
G50871105
958.00000000
NS
USD
109767.64000000
0.012184754336
Long
EC
CORP
IE
N
1
N
N
N
United Auto Credit Securitization Trust 2019-1
N/A
United Auto Credit Securitization Trust 2019-1
90945QAC5
480000.00000000
PA
USD
483366.96000000
0.053656138200
Long
ABS-O
CORP
US
N
2
2024-08-12
Fixed
3.16000000
N
N
N
N
N
N
Diamond Resorts International Inc
5493008MIJR7VMQP7U77
Diamond Resorts International Inc
23422RAA0
180000.00000000
PA
USD
185850.00000000
0.020630274945
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
10.75000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828T67
20120000.00000000
PA
USD
20221385.89000000
2.244674472422
Long
DBT
UST
US
N
2
2021-10-31
Fixed
1.25000000
N
N
N
N
N
N
Akamai Technologies Inc
OC1LZNN2LF5WTJ5RIL89
Akamai Technologies Inc
00971T101
693.00000000
NS
USD
-59951.43000000
-0.00665490709
Short
EC
CORP
US
N
1
N
N
N
Resorts World Las Vegas LLC / RWLV Capital Inc
N/A
Resorts World Las Vegas LLC / RWLV Capital Inc
76120HAA5
2800000.00000000
PA
USD
3032701.42000000
0.336644950894
Long
DBT
CORP
US
N
2
2029-04-16
Fixed
4.63000000
N
N
N
N
N
N
United Community Banks Inc/GA
549300GVW0FV66X3U703
United Community Banks Inc/GA
90984P303
3237.00000000
NS
USD
80180.49000000
0.008900433435
Long
EC
CORP
US
N
1
N
N
N
Alimentation Couche-Tard Inc
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
N/A
19647.00000000
NS
596618.90000000
0.066227667177
Long
EC
CORP
CA
N
1
N
N
N
Auckland International Airport Ltd
549300HFZIZDJWB7AK60
Auckland International Airport Ltd
N/A
3749.00000000
NS
-18522.52000000
-0.00205609190
Short
EC
CORP
NZ
N
2
N
N
N
SimCorp A/S
5299000WVEJNSG42AK88
SimCorp A/S
N/A
606.00000000
NS
58519.38000000
0.006495942421
Long
EC
CORP
DK
N
2
N
N
N
Equifax Inc
5493004MCF8JDC86VS77
Equifax Inc
294429105
2570.00000000
NS
USD
365042.80000000
0.040521567560
Long
EC
CORP
US
N
1
N
N
N
Rapid7 Inc
549300GNVG5D60KEYN14
Rapid7 Inc
753422104
2422.00000000
NS
USD
112138.60000000
0.012447942696
Long
EC
CORP
US
N
1
N
N
N
Equinix Inc
549300EVUN2BTLJ3GT74
Equinix Inc
29444U700
651.00000000
NS
USD
-372892.80000000
-0.04139295662
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
548675.21000000
PA
USD
-548675.21000000
-0.06090567897
Short
RA
US
N
2
Reverse repurchase
N
2.40000000
N/A
677000.00000000
USD
713144.27732800
USD
N
N
N
Isetan Mitsukoshi Holdings Ltd
529900SY5RZO92EFG035
Isetan Mitsukoshi Holdings Ltd
N/A
7700.00000000
NS
-49927.30000000
-0.00554217878
Short
EC
CORP
JP
N
2
N
N
N
Elekta AB
54930044O54BK617EP80
Elekta AB
N/A
6560.00000000
NS
69627.69000000
0.007729020115
Long
EC
CORP
SE
N
2
N
N
N
Under Armour Inc - Class C
549300D4549QKWETZ406
Under Armour Inc - Class C
904311206
3446.00000000
NS
USD
43006.08000000
0.004773888914
Long
EC
CORP
US
N
1
N
N
N
Gulfport Energy Corp
549300FJX18IDUFPHD40
Gulfport Energy Corp
402635AL0
705000.00000000
PA
USD
223837.50000000
0.024847076503
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.38000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
74.00000000
NC
66959.87000000
0.007432878818
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
Canadian Bank Acceptance; December 2020
2020-12-15
13602961.45000000
USD
66959.87000000
N
N
N
Deluxe Entertainment Services Group Inc
549300TO70LQC2GV7A35
Deluxe Entertainment Services Group Inc
N/A
781520.22000000
PA
USD
566602.16000000
0.062895659649
Long
LON
CORP
US
N
2
2024-09-25
Floating
7.94000000
N
N
Y
N
N
N
N/A
N/A
Futures
N/A
379.00000000
NC
USD
724610.29000000
0.080435348460
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
90 Day Eurodollar; June 2021
2021-06-15
94010950.00000000
USD
724610.29000000
N
N
N
BE Semiconductor Industries NV
7245007A1YFLI2GNYX06
BE Semiconductor Industries NV
N/A
2132.00000000
NS
82920.79000000
0.009204620373
Long
EC
CORP
NL
N
2
N
N
N
Walgreens Boots Alliance Inc
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427108
3551.00000000
NS
USD
162493.76000000
0.018037616065
Long
EC
CORP
US
N
1
N
N
N
COMM 2015-CCRE25 Mortgage Trust
N/A
COMM 2015-CCRE25 Mortgage Trust
12593PBB7
2280000.00000000
PA
USD
2110913.38000000
0.234321890861
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
3.79000000
N
N
N
N
N
N
Popular Inc
5493008CARDZMVQ3LO89
Popular Inc
733174700
281.00000000
NS
USD
13482.38000000
0.001496611279
Long
EC
CORP
PR
N
1
N
N
N
J Front Retailing Co Ltd
N/A
J Front Retailing Co Ltd
N/A
30000.00000000
NS
-318765.49000000
-0.03538455583
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-445.17000000
-0.00004941608
N/A
DFE
N/A
N
2
Bank of America NA
N/A
891084.12000000
USD
858000.00000000
CHF
2020-03-20
-445.17000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-385906.47000000
-0.04283753876
N/A
DFE
N/A
N
2
Bank of America NA
N/A
13588157.03000000
USD
17719000.00000000
CAD
2020-03-20
-385906.47000000
N
N
N
Resona Holdings Inc
52990067JE75XZCYYT81
Resona Holdings Inc
N/A
600.00000000
NS
2233.49000000
0.000247928505
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
146200000.00000100
OU
Notional Amount
288774.19000000
0.032055372273
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2022-01-28
838.11000000
USD
0.00000000
USD
146200000.00000100
PLN
287936.08000000
N
N
N
N/A
N/A
Futures
N/A
25.00000000
NC
USD
54315.15000000
0.006029251967
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
LME Copper; June 2020
2020-06-16
3525625.00000000
USD
54315.15000000
N
N
N
Roche Holding AG
549300U41AUUVOAAOB37
Roche Holding AG
N/A
7229.00000000
NS
2324367.56000000
0.258016367168
Long
EC
CORP
CH
N
2
N
N
N
McKesson Corp
549300WZWOM80UCFSF54
McKesson Corp
58155Q103
2775.00000000
NS
USD
-388111.50000000
-0.04308230806
Short
EC
CORP
US
N
1
N
N
N
Otsuka Holdings Co Ltd
N/A
Otsuka Holdings Co Ltd
N/A
1400.00000000
NS
52451.51000000
0.005822378652
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-20.05000000
-0.00000222564
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
30000.00000000
BRL
6676.68000000
USD
2020-04-02
-20.05000000
N
N
N
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAB8
205859.56000000
PA
USD
210800.42000000
0.023399895740
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
4.21000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C21
5493000F7E2NMQ4HIO61
WFRBS Commercial Mortgage Trust 2014-C21
92939FAE9
4515000.00000000
PA
USD
4082115.35000000
0.453135119890
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
3.00000000
NC
USD
-4205.31000000
-0.00046681033
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
90 Day Eurodollar; March 2021
2021-03-16
744037.50000000
USD
-4205.31000000
N
N
N
Vestas Wind Systems A/S
549300DYMC8BGZZC8844
Vestas Wind Systems A/S
N/A
4514.00000000
NS
435512.29000000
0.048344031665
Long
EC
CORP
DK
N
2
N
N
N
Hennes & Mauritz AB
529900O5RR7R39FRDM42
Hennes & Mauritz AB
N/A
19144.00000000
NS
347427.42000000
0.038566172711
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-21258.68000000
-0.00235981928
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
1498500000.00000000
JPY
13885109.03000000
USD
2020-03-18
-21258.68000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
45830.42000000
0.005087404710
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
13559354.93000000
ZAR
909181.76000000
USD
2020-04-20
45830.42000000
N
N
N
Ionis Pharmaceuticals Inc
549300SI4ZGLG0BLUZ92
Ionis Pharmaceuticals Inc
462222100
2545.00000000
NS
USD
129235.10000000
0.014345739282
Long
EC
CORP
US
N
1
N
N
N
Intuitive Surgical Inc
54930052SRG011710797
Intuitive Surgical Inc
46120E602
881.00000000
NS
USD
470418.76000000
0.052218823559
Long
EC
CORP
US
N
1
N
N
N
Fast Retailing Co Ltd
353800ZCXKHDPY0N5218
Fast Retailing Co Ltd
N/A
400.00000000
NS
197308.55000000
0.021902231023
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-383250.34000000
-0.04254269511
N/A
DFE
N/A
N
2
Bank of America NA
N/A
18272285.71000000
USD
13947000.00000000
GBP
2020-03-20
-383250.34000000
N
N
N
Essex Property Trust Inc
549300TR2H2VEFX0NC60
Essex Property Trust Inc
297178105
412.00000000
NS
USD
-116744.32000000
-0.01295920053
Short
EC
CORP
US
N
1
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCT7
2200000.00000000
PA
USD
2296800.00000000
0.254956230809
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-107046.65000000
-0.01188271090
N/A
DFE
N/A
N
2
Bank of America NA
N/A
9645938.03000000
USD
8632000.00000000
EUR
2020-03-20
-107046.65000000
N
N
N
WE Company Common Class A
N/A
WE Company Common Class A
N/A
356.00000000
NS
USD
2342.48000000
0.000260026938
Long
EC
CORP
US
Y
3
N
N
N
COMM 2012-LC4 Mortgage Trust
N/A
COMM 2012-LC4 Mortgage Trust
126192AG8
10000.00000000
PA
USD
10483.60000000
0.001163731775
Long
ABS-MBS
CORP
US
N
2
2044-12-10
Variable
5.54000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
61765TAP8
349848.00000000
PA
USD
316497.31000000
0.035132776566
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
4.53000000
N
N
N
N
N
N
Kinnevik AB
2138006PZH76JOS6MN27
Kinnevik AB
N/A
5438.00000000
NS
-110749.71000000
-0.01229376899
Short
EC
CORP
SE
N
2
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH Network Corp
25470MAD1
555000.00000000
PA
USD
515967.00000000
0.057274904885
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
2.38000000
N
N
N
N
N
DISH Network Corp
DISH Network Corp
USD
XXXX
N
N
N
Borregaard ASA
5967007LIEEXZXGYXC05
Borregaard ASA
N/A
8162.00000000
NS
86678.29000000
0.009621721574
Long
EC
CORP
NO
N
2
N
N
N
N/A
N/A
Total Return Swaps
N/A
0.00000000
OU
Notional Amount
-9418.95000000
-0.00104555032
N/A
DE
N/A
N
2
Goldman Sachs & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in GBP
Y
Total return on a custom basket of long and short securities traded in GBP
2028-12-22
0.00000000
USD
0.00000000
USD
0.00000000
USD
-9418.95000000
N
N
N
MonotaRO Co Ltd
N/A
MonotaRO Co Ltd
N/A
33900.00000000
NS
754802.43000000
0.083786826262
Long
EC
CORP
JP
N
2
N
N
N
Activision Blizzard Inc
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507V109
6201.00000000
NS
USD
-360464.13000000
-0.04001331240
Short
EC
CORP
US
N
1
N
N
N
Norwegian Cruise Line Holdings Ltd
N/A
Norwegian Cruise Line Holdings Ltd
G66721104
7636.00000000
NS
USD
-284517.36000000
-0.03158284295
Short
EC
CORP
US
N
1
N
N
N
Atlantia SpA
8156008DEC771409C487
Atlantia SpA
N/A
10158.00000000
NS
219704.75000000
0.024388320685
Long
EC
CORP
IT
N
2
N
N
N
Oil Search Ltd
529900NIUGGGKB5VMO41
Oil Search Ltd
N/A
11006.00000000
NS
-40252.15000000
-0.00446818897
Short
EC
CORP
AU
N
2
N
N
N
STERIS PLC
549300F1857N5E6G6T48
STERIS PLC
G8473T100
1675.00000000
NS
USD
265688.50000000
0.029492745789
Long
EC
CORP
US
N
1
N
N
N
Banc of America Funding 2005-7 Trust
N/A
Banc of America Funding 2005-7 Trust
05946XS61
74660.35700000
PA
USD
81778.44000000
0.009077813838
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.75000000
N
N
N
N
N
N
Whirlpool Corp
WHENKOULSSK7WUM60H03
Whirlpool Corp
963320106
881.00000000
NS
USD
112644.66000000
0.012504117874
Long
EC
CORP
US
N
1
N
N
N
WFRBS Commercial Mortgage Trust 2011-C4
N/A
WFRBS Commercial Mortgage Trust 2011-C4
92936CAW9
845000.00000000
PA
USD
865108.30000000
0.096031326806
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5.23000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-29409.42000000
-0.00326459198
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
206100934.20000000
JPY
1885935.00000000
USD
2020-04-10
-29409.42000000
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YY0
48332000.00000000
PA
USD
-50223744.45000000
-5.57508558956
Short
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
American Homes 4 Rent 2014-SFR2 Trust
N/A
American Homes 4 Rent 2014-SFR2 Trust
02665UAD7
280000.00000000
PA
USD
305137.48000000
0.033871778900
Long
ABS-O
CORP
US
N
2
2036-10-17
Fixed
5.15000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-2436.17000000
-0.00027042699
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1198400.00000000
USD
8346136.96000000
CNY
2020-03-05
-2436.17000000
N
N
N
N/A
N/A
Futures
N/A
10.00000000
NC
59966.91000000
0.006656625455
N/A
DE
N/A
N
1
CME
N/A
Short
S&P/TSX 60 Index; March 2020
N/A
S&P/TSX 60 Index; March 2020
2020-03-20
1447122.38000000
USD
59966.91000000
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828W89
18234000.00000000
PA
USD
18598680.00000000
2.064546042682
Long
DBT
UST
US
N
2
2022-03-31
Fixed
1.88000000
N
N
N
N
N
N
Ameris Bancorp
PBJHNT51T5V6G5UQFV42
Ameris Bancorp
03076K108
2192.00000000
NS
USD
74922.56000000
0.008316777037
Long
EC
CORP
US
N
1
N
N
N
Avid Automobile Receivables Trust 2019-1
N/A
Avid Automobile Receivables Trust 2019-1
05369DAC9
150000.00000000
PA
USD
153385.95000000
0.017026603827
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
3.14000000
N
N
N
N
N
N
FormFactor Inc
549300YCEEO6SZD1ZR61
FormFactor Inc
346375108
4151.00000000
NS
USD
92857.87000000
0.010307685708
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-3883.37000000
-0.00043107339
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
355773.77000000
USD
563000.00000000
NZD
2020-03-13
-3883.37000000
N
N
N
Alnylam Pharmaceuticals Inc
529900S3ZI14OWRJII50
Alnylam Pharmaceuticals Inc
02043Q107
1220.00000000
NS
USD
-143545.20000000
-0.01593423160
Short
EC
CORP
US
N
1
N
N
N
Lumentum Holdings Inc
549300JLWRRC38DWEF52
Lumentum Holdings Inc
55024U109
857.00000000
NS
USD
66691.74000000
0.007403115054
Long
EC
CORP
US
N
1
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC
N/A
34466.00000000
NS
-677613.61000000
-0.07521848308
Short
EC
CORP
GB
N
2
N
N
N
Hill-Rom Holdings Inc
JLZ01A0E2071OH26RE45
Hill-Rom Holdings Inc
431475102
1033.00000000
NS
USD
99219.65000000
0.011013874950
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
4434.69000000
0.000492272660
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
365000.00000000
BRL
86055.48000000
USD
2020-03-03
4434.69000000
N
N
N
Direct Line Insurance Group PLC
213800FF2R23ALJQOP04
Direct Line Insurance Group PLC
N/A
27649.00000000
NS
110214.17000000
0.012234321388
Long
EC
CORP
GB
N
2
N
N
N
Hellenic Telecommunications Organization SA
ELPUFM0XZRZO4LFXW404
Hellenic Telecommunications Organization SA
N/A
11201.00000000
NS
159362.76000000
0.017690059483
Long
EC
CORP
GR
N
2
N
N
N
Allergan PLC
635400FWJZQC1IPYUH69
Allergan PLC
G0177J108
1524.00000000
NS
USD
290581.08000000
0.032255946055
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
65413.49000000
0.007261222942
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
30000000.00000000
MXN
1585587.98000000
USD
2020-03-20
65413.49000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
76624.36000000
0.008505685307
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
3420225.00000000
USD
377097633.65000000
JPY
2020-03-06
76624.36000000
N
N
N
NortonLifeLock Inc
YF6ZV0M6AU4FY94MK914
NortonLifeLock Inc
668771108
43554.00000000
NS
USD
828832.62000000
0.092004545788
Long
EC
CORP
US
N
1
N
N
N
American Airlines Group Inc
N/A
American Airlines Group Inc
02376R102
20392.00000000
NS
USD
-388467.60000000
-0.04312183694
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
27364560.00000000
PA
USD
-27364560.00000000
-3.03760234907
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
26828000.00000000
USD
27714489.56903200
USD
UST
N
N
N
EnerSys
7ZS3DE5PN30BYUJFWP05
EnerSys
29275Y102
2507.00000000
NS
USD
154381.06000000
0.017137065990
Long
EC
CORP
US
N
1
N
N
N
Electric Power Development Co Ltd
549300KMHPUAQI8VEH90
Electric Power Development Co Ltd
N/A
2200.00000000
NS
47177.68000000
0.005236957275
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Total Return Swaps
N/A
4444383.39000000
OU
Notional Amount
34884.52000000
0.003872355334
N/A
DE
N/A
N
2
JPMorgan Chase
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in EUR
Alstom SA
24818.00000000
N/A
1218926.98000000
N/A
Klepierre SA
-14116.00000000
N/A
-421061.47000000
N/A
LVMH Moet Hennessy Louis Vuitton SE
-363.00000000
N/A
-148611.84000000
N/A
Ferrari NV
-1711.00000000
N/A
-267367.36000000
N/A
TeamViewer AG
-3445.00000000
N/A
-122269.66000000
N/A
CNH Industrial NV
-14638.00000000
N/A
-134932.55000000
N/A
EXOR NV
12154.00000000
N/A
859785.75000000
N/A
Pernod Ricard SA
-809.00000000
N/A
-130748.92000000
N/A
Electricite de France SA
15310.00000000
N/A
212789.12000000
N/A
Unibail-Rodamco-Westfield
-3664.00000000
N/A
-440890.22000000
N/A
Fiat Chrysler Automobiles NV
-18403.00000000
N/A
-228391.91000000
N/A
Bolsas y Mercados Espanoles SHMSF SA
6794.00000000
N/A
258607.61000000
N/A
Y
Total return on a custom basket of long and short securities traded in EUR
2020-11-03
0.00000000
USD
0.00000000
USD
4444383.39000000
USD
34884.52000000
N
N
N
Sundrug Co Ltd
N/A
Sundrug Co Ltd
N/A
11200.00000000
NS
349212.25000000
0.038764297724
Long
EC
CORP
JP
N
2
N
N
N
Norbord Inc
549300VL705RQ5PHI407
Norbord Inc
65548P403
3870.00000000
NS
USD
103290.30000000
0.011465737359
Long
EC
CORP
CA
N
1
N
N
N
Dryden 63 GBP CLO 2018 BV
N/A
Dryden 63 GBP CLO 2018 BV
BCC2G9V39
2060000.00000000
PA
2624985.26000000
0.291386427995
Long
ABS-O
CORP
NL
N
2
2032-10-15
Floating
3.62000000
N
N
N
N
N
N
Advanced Micro Devices Inc
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903107
8764.00000000
NS
USD
398586.72000000
0.044245109622
Long
EC
CORP
US
N
1
N
N
N
Lowe's Cos Inc
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661107
17203.00000000
NS
USD
1833323.71000000
0.203508055971
Long
EC
CORP
US
N
1
N
N
N
COMM 2015-LC21 Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FAL8
1012000.00000000
PA
USD
846119.64000000
0.093923491043
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
3.25000000
N
N
N
N
N
N
IMCD NV
724500NSJPNFJPDAUP02
IMCD NV
N/A
1228.00000000
NS
100492.68000000
0.011155187616
Long
EC
CORP
NL
N
2
N
N
N
M&T Bank Corp
549300WYXDDBYRASEG81
M&T Bank Corp
55261F104
5069.00000000
NS
USD
711586.22000000
0.078989611871
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-98183.97000000
-0.01089890931
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
2068000.00000000
USD
28454447400.00000000
IDR
2020-03-18
-98183.97000000
N
N
N
First Hawaiian Inc
5493002DJSH46F5OLV06
First Hawaiian Inc
32051X108
2975.00000000
NS
USD
71251.25000000
0.007909243356
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Repurchase Agreement
N/A
3190001.25000000
PA
USD
3190001.25000000
0.354106014880
Long
RA
US
N
2
Repurchase
N
1.45000000
N/A
3071000.00000000
USD
3264818.49000000
USD
N
N
N
Trimble Inc
549300E2MI7NSZFQWS19
Trimble Inc
896239100
7114.00000000
NS
USD
-280860.72000000
-0.03117693771
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
71665.79000000
0.007955259359
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
20098144000.00000000
IDR
1463000.00000000
USD
2020-03-18
71665.79000000
N
N
N
CarMax Inc
N/A
CarMax Inc
143130102
12805.00000000
NS
USD
-1118004.55000000
-0.12410406918
Short
EC
CORP
US
N
1
N
N
N
Hertz Vehicle Financing II LP
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DBS7
135000.00000000
PA
USD
141689.55000000
0.015728245216
Long
ABS-O
CORP
US
N
2
2024-02-25
Fixed
4.39000000
N
N
N
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494103
7877.00000000
NS
USD
534296.91000000
0.059309616121
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
14.00000000
NC
USD
-266079.88000000
-0.02953619091
N/A
DE
N/A
N
1
EUX
N/A
Long
E-Mini DJIA Index; March 2020
N/A
E-Mini DJIA Index; March 2020
2020-03-23
1775480.00000000
USD
-266079.88000000
N
N
N
Norfolk Southern Corp
54930036C8MWP850MI84
Norfolk Southern Corp
655844108
749.00000000
NS
USD
-136580.15000000
-0.01516107638
Short
EC
CORP
US
N
1
N
N
N
Sanne Group PLC
2138005UBLKEZRITH576
Sanne Group PLC
N/A
14697.00000000
NS
108176.44000000
0.012008123216
Long
EC
CORP
JE
N
2
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244109
11563.00000000
NS
USD
906886.09000000
0.100668869418
Long
EC
CORP
US
N
1
N
N
N
Easterly Government Properties Inc
549300ERMCEFC6S8HL77
Easterly Government Properties Inc
27616P103
4531.00000000
NS
USD
107701.87000000
0.011955443585
Long
EC
CORP
US
N
1
N
N
N
Global Blood Therapeutics Inc
549300U4G0QKK99GRT15
Global Blood Therapeutics Inc
37890U108
1725.00000000
NS
USD
110331.00000000
0.012247290099
Long
EC
CORP
US
N
1
N
N
N
Electronic Arts Inc
549300O7A67PUEYKDL45
Electronic Arts Inc
285512109
3512.00000000
NS
USD
-356011.44000000
-0.03951904165
Short
EC
CORP
US
N
1
N
N
N
Las Vegas Sands Corp
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834107
5833.00000000
NS
USD
-340122.23000000
-0.03775526026
Short
EC
CORP
US
N
1
N
N
N
Maxim Integrated Products Inc
SO0H5YEO14Y4PVKQH532
Maxim Integrated Products Inc
57772K101
8898.00000000
NS
USD
494906.76000000
0.054937113432
Long
EC
CORP
US
N
1
N
N
N
Sage Therapeutics Inc
5493000JX4BJS9W6CN35
Sage Therapeutics Inc
78667J108
850.00000000
NS
USD
39950.00000000
0.004434648824
Long
EC
CORP
US
N
1
N
N
N
Bellatrix Exploration Ltd
549300S2235IL73TH941
Bellatrix Exploration Ltd
N/A
94641.00000000
NS
0.00000000
0.000000
Long
EC
CORP
CA
N
3
N
N
N
AES Corp/VA
2NUNNB7D43COUIRE5295
AES Corp/VA
00130H105
1956.00000000
NS
USD
32723.88000000
0.003632513541
Long
EC
CORP
US
N
1
N
N
N
Ooma Inc
N/A
Ooma Inc
683416101
5756.00000000
NS
USD
73849.48000000
0.008197659817
Long
EC
CORP
US
N
1
N
N
N
Eastman Chemical Co
FDPVHDGJ1IQZFK9KH630
Eastman Chemical Co
277432100
1333.00000000
NS
USD
81992.83000000
0.009101612195
Long
EC
CORP
US
N
1
N
N
N
Aeroports de Paris
969500PJMBSFHYC37989
Aeroports de Paris
N/A
229.00000000
NS
34041.02000000
0.003778722636
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1305000.00000000
OU
Notional Amount
1855.27000000
0.000205944203
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2029-08-27
632.87000000
USD
0.00000000
USD
1305000.00000000
EUR
1222.40000000
N
N
N
N/A
N/A
Futures
N/A
85.00000000
NC
USD
-34150.45000000
-0.00379086991
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
90 Day Eurodollar; September 2023
2023-09-19
21036437.50000000
USD
-34150.45000000
N
N
N
NMI Holdings Inc
529900KNNGFXJX1C3Z08
NMI Holdings Inc
629209305
3150.00000000
NS
USD
73521.00000000
0.008161196902
Long
EC
CORP
US
N
1
N
N
N
Banco Supervielle SA
579100KDDBKHFJKKF050
Banco Supervielle SA
05970MAA4
5500000.00000000
PA
83839.39000000
0.009306589545
Long
DBT
CORP
AR
N
2
2020-08-09
Floating
38.71000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swaps
N/A
1900000.00000000
OU
Notional Amount
USD
91044.71000000
0.010106415925
N/A
DCR
N/A
N
2
Barclays Bank PLC
N/A
Ukraine Government Bond, 7.75%, 09/01/2022
Ukraine Government Bond, 7.75%, 09/01/2022
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-12-20
75511.03000000
USD
0.00000000
USD
1900000.00000000
USD
15533.68000000
N
N
N
Staniford Street CLO Ltd
549300VQ0AVDB6585K37
Staniford Street CLO Ltd
854432AE1
195429.47830000
PA
USD
195351.31000000
0.021684967642
Long
ABS-O
CORP
KY
N
2
2025-06-15
Floating
3.07000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-21119.14000000
-0.00234432964
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
748385.06000000
USD
2850000.00000000
PLN
2020-04-15
-21119.14000000
N
N
N
Maxim Integrated Products Inc
SO0H5YEO14Y4PVKQH532
Maxim Integrated Products Inc
57772K101
5432.00000000
NS
USD
-302127.84000000
-0.03353769388
Short
EC
CORP
US
N
1
N
N
N
Daito Trust Construction Co Ltd
353800QQ4DRI3KXS3038
Daito Trust Construction Co Ltd
N/A
1900.00000000
NS
193245.37000000
0.021451197821
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-201823.16000000
-0.02240337520
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
7354016.60000000
USD
6474900.00000000
EUR
2020-03-13
-201823.16000000
N
N
N
Sony Financial Holdings Inc
353800O7BDSU41WOZA60
Sony Financial Holdings Inc
N/A
21474.00000000
NS
428342.79000000
0.047548181484
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
182814.84000000
0.020293357080
N/A
DFE
N/A
N
2
Bank of America NA
N/A
11023038.19000000
USD
1207425000.00000000
JPY
2020-03-19
182814.84000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
44594.35000000
0.004950194789
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
8739302.00000000
USD
61299180.07000000
CNY
2020-03-05
44594.35000000
N
N
N
CarMax Inc
N/A
CarMax Inc
143130102
4902.00000000
NS
USD
427993.62000000
0.047509421876
Long
EC
CORP
US
N
1
N
N
N
GMR Hyderabad International Airport Ltd
335800NSPGIN89SVOU83
GMR Hyderabad International Airport Ltd
N/A
270000.00000000
PA
USD
281729.56000000
0.031273383283
Long
DBT
CORP
IN
N
2
2024-04-10
Fixed
5.38000000
N
N
N
N
N
N
Edwards Lifesciences Corp
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp
28176E108
1256.00000000
NS
USD
-257279.04000000
-0.02855925387
Short
EC
CORP
US
N
1
N
N
N
Hexion Holdings Corp
549300LBB370MUHGLV84
Hexion Holdings Corp
42830K103
22049.00000000
NS
USD
243641.45000000
0.027045413514
Long
EC
CORP
US
N
2
N
N
N
Babcock International Group PLC
213800TSKOLX4EU6L377
Babcock International Group PLC
N/A
34916.00000000
NS
200959.82000000
0.022307540165
Long
EC
CORP
GB
N
2
N
N
N
Micron Technology Inc
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112103
2704.00000000
NS
USD
142122.24000000
0.015776275959
Long
EC
CORP
US
N
1
N
N
N
T-Mobile US Inc
549300QHIJYOHPACPG31
T-Mobile US Inc
872590104
1242.00000000
NS
USD
111978.72000000
0.012430195220
Long
EC
CORP
US
N
1
N
N
N
voestalpine AG
529900ZAXBMQDIWPNB72
voestalpine AG
N/A
15378.00000000
NS
-334850.83000000
-0.03717010862
Short
EC
CORP
AT
N
2
N
N
N
WF-RBS Commercial Mortgage Trust 2011-C2
N/A
WF-RBS Commercial Mortgage Trust 2011-C2
92935JAN5
115000.00000000
PA
USD
117354.72000000
0.013026957975
Long
ABS-MBS
CORP
US
N
2
2044-02-15
Variable
5.66000000
N
N
N
N
N
N
Republic of South Africa Government Bond
378900AAFB4F17004C49
Republic of South Africa Government Bond
N/A
18237600.00000000
PA
1075116.40000000
0.119343271083
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.88000000
N
N
N
N
N
N
Bruin E&P Partners LLC
549300NZ4QCWC7W8KP34
Bruin E&P Partners LLC
11680JAA0
675000.00000000
PA
USD
357750.00000000
0.039712030465
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.88000000
N
N
N
N
N
N
White Mountains Insurance Group Ltd
549300N3FL068JERBG02
White Mountains Insurance Group Ltd
G9618E107
266.00000000
NS
USD
263366.60000000
0.029235003333
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
520370.14000000
PA
USD
-520370.14000000
-0.05776367533
Short
RA
US
N
2
Reverse repurchase
N
2.65000000
N/A
1000000.00000000
USD
899194.44263000
USD
CDS
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-164265.28000000
-0.01823426360
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
2394560.41000000
USD
9973656.87000000
BRL
2020-03-02
-164265.28000000
N
N
N
Fannie Mae Connecticut Avenue Securities
N/A
Fannie Mae Connecticut Avenue Securities
30711XY32
4451000.00000000
PA
USD
4918052.78000000
0.545928334949
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Floating
5.88000000
N
N
N
N
N
N
International Bank of Azerbaijan OJSC
549300Y3ZQ0BCCDJGI40
International Bank of Azerbaijan OJSC
N/A
2000000.00000000
PA
USD
1930000.00000000
0.214239605304
Long
DBT
CORP
AZ
N
2
2024-09-01
Fixed
3.50000000
N
N
N
N
N
N
Kurita Water Industries Ltd
52990086GS2ON69UMX34
Kurita Water Industries Ltd
N/A
800.00000000
NS
-20633.27000000
-0.00229039565
Short
EC
CORP
JP
N
2
N
N
N
Ecolab Inc
82DYEISM090VG8LTLS26
Ecolab Inc
278865100
135.00000000
NS
USD
24360.75000000
0.002704164489
Long
EC
CORP
US
N
1
N
N
N
Daimler AG
529900R27DL06UVNT076
Daimler AG
N/A
1948.00000000
NS
-81961.33000000
-0.00909811553
Short
EC
CORP
DE
N
2
N
N
N
3i Group PLC
35GDVHRBMFE7NWATNM84
3i Group PLC
N/A
3228.00000000
NS
42490.77000000
0.004716686939
Long
EC
CORP
GB
N
2
N
N
N
Barrick Gold Corp
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
N/A
3100.00000000
NS
-59124.60000000
-0.00656312485
Short
EC
CORP
CA
N
1
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C26
549300DT2BKPLXAJ4C66
Wells Fargo Commercial Mortgage Trust 2015-C26
94989CAJ0
1981000.00000000
PA
USD
1579823.73000000
0.175368296562
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.25000000
N
N
N
N
N
N
NVIDIA Corp
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066G104
3696.00000000
NS
USD
998178.72000000
0.110802805697
Long
EC
CORP
US
N
1
N
N
N
Intuit Inc
VI90HBPH7XSFMB9E4M29
Intuit Inc
461202103
856.00000000
NS
USD
-227567.60000000
-0.02526113616
Short
EC
CORP
US
N
1
N
N
N
China Biologic Products Holdings Inc
529900C439Y0Z6RPYG51
China Biologic Products Holdings Inc
G21515104
6571.00000000
NS
USD
758096.27000000
0.084152458894
Long
EC
CORP
CN
N
1
N
N
N
Toyota Auto Receivables 2017-A Owner Trust
N/A
Toyota Auto Receivables 2017-A Owner Trust
89238MAD0
36551.89000000
PA
USD
36554.12000000
0.004057689244
Long
ABS-O
CORP
US
N
2
2021-02-16
Fixed
1.73000000
N
N
N
N
N
N
Americredit Automobile Receivables Trust 2018-3
N/A
Americredit Automobile Receivables Trust 2018-3
03066MAC0
185297.99000000
PA
USD
185296.34000000
0.020568815930
Long
ABS-O
CORP
US
N
2
2022-01-18
Floating
1.91000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
72500000000.00000000
OU
Notional Amount
110194.22000000
0.012232106839
N/A
DIR
N/A
N
2
Bank of America NA
N/A
Call
Purchased
Bank of America NA
N/A
N/A
N/A
Interest Rate Swap
N/A
72500000000.00000000
OU
Notional Amount
110194.22000000
0.01223200
DIR
N/A
3 Month KRW Certificate of Deposit
N/A
N/A
N/A
N/A
N/A
72500000000.00000000
KRW
72500000000.00000000
KRW
0.95000000
KRW
2020-08-06
XXXX
-81604.94000000
N
N
N
Julius Baer Group Ltd
5299007MF0604ZGJER92
Julius Baer Group Ltd
N/A
5411.00000000
NS
227630.44000000
0.025268111720
Long
EC
CORP
CH
N
2
N
N
N
Toyota Motor Corp
5493006W3QUS5LMH6R84
Toyota Motor Corp
N/A
600.00000000
NS
-39398.83000000
-0.00437346621
Short
EC
CORP
JP
N
2
N
N
N
Worldline SA/France
549300CJMQNCA0U4TS33
Worldline SA/France
N/A
1488.00000000
NS
-114786.17000000
-0.01274183614
Short
EC
CORP
FR
N
2
N
N
N
Nissan Motor Co Ltd
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
N/A
52800.00000000
NS
-226292.70000000
-0.02511961592
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-1906.96000000
-0.00021168205
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1540520.94000000
USD
14475752.41000000
NOK
2020-03-04
-1906.96000000
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796TU3
1200000.00000000
PA
USD
1190627.50000000
0.132165578064
Long
DBT
UST
US
N
2
2020-12-03
None
1.47000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
580135101
2696.00000000
NS
USD
523482.32000000
0.058109142808
Long
EC
CORP
US
N
1
N
N
N
iHeartMedia Inc
N/A
iHeartMedia Inc
45174J509
18582.00000000
NS
USD
280774.02000000
0.031167313587
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
31.00000000
NC
USD
-69787.51000000
-0.00774676093
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US Long Bond; June 2020
2020-06-22
5277750.00000000
USD
-69787.51000000
N
N
N
Greenhill & Co Inc
529900VEOQHHHSPI9C69
Greenhill & Co Inc
395259104
4829.00000000
NS
USD
70599.98000000
0.007836949144
Long
EC
CORP
US
N
1
N
N
N
American Homes 4 Rent 2014-SFR3 Trust
N/A
American Homes 4 Rent 2014-SFR3 Trust
02665XAE9
900000.00000000
PA
USD
1008440.91000000
0.111941959860
Long
ABS-O
CORP
US
N
2
2036-12-17
Fixed
6.42000000
N
N
N
N
N
N
N/A
N/A
Repurchase Agreement
N/A
680268.75000000
PA
USD
680268.75000000
0.075513216839
Long
RA
US
N
2
Repurchase
N
2.00000000
N/A
497000.00000000
USD
691851.70000000
USD
N
N
N
Spirax-Sarco Engineering PLC
213800WFVZQMHOZP2W17
Spirax-Sarco Engineering PLC
N/A
993.00000000
NS
108796.61000000
0.012076965173
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-24.88000000
-0.00000276180
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Interpublic Group of Cos Inc/The
Interpublic Group of Cos Inc/The
1.00000000
25.00000000
USD
2020-04-20
XXXX
4.83000000
N
N
N
Motorola Solutions Inc
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076307
10557.00000000
NS
USD
1749083.76000000
0.194157002272
Long
EC
CORP
US
N
1
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
Comision Federal de Electricidad
N/A
4000000.00000000
PA
USD
-4943040.00000000
-0.54870204072
Short
DBT
CORP
MX
N
2
2045-06-16
Fixed
6.13000000
N
N
N
N
N
N
Electrocomponents PLC
549300KVXDURRKVW7R37
Electrocomponents PLC
N/A
20951.00000000
NS
164415.96000000
0.018250989832
Long
EC
CORP
GB
N
2
N
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137LAA3
910000.00000000
PA
USD
947736.16000000
0.105203430492
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
3.67000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
11885650.00000000
OU
Notional Amount
56167.93000000
0.006234919768
N/A
DIR
N/A
N
2
Bank of America NA
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2022-06-22
0.00000000
USD
0.00000000
USD
11885650.00000000
CNY
56167.93000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
20532.31000000
0.002279188596
N/A
DFE
N/A
N
2
Bank of America NA
N/A
Put
Purchased
Bank of America NA
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
20532.31000000
0.00227900
DFE
2815000.00000000
EUR
28994500.00000000
NOK
N/A
2815000.00000000
EUR
10.30000000
EUR
2020-04-30
XXXX
-7577.77000000
N
N
N
Dominican Republic International Bond
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
3250000.00000000
PA
USD
3225625.00000000
0.358060428424
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
BHP Group Ltd
WZE1WSENV6JSZFK0JC28
BHP Group Ltd
N/A
24722.00000000
NS
537342.25000000
0.059647664017
Long
EC
CORP
AU
N
2
N
N
N
Jand Inc
N/A
Jand Inc
N/A
1693.00000000
NS
USD
26613.96000000
0.002954282013
Long
EC
CORP
US
Y
3
N
N
N
FMC Corp
CKDHZ2X64EEBQCSP7013
FMC Corp
302491303
4047.00000000
NS
USD
376775.70000000
0.041823977852
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3180000.00000000
OU
Notional Amount
USD
-338094.89000000
-0.03753021543
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2025-05-22
298.47000000
USD
0.00000000
USD
3180000.00000000
USD
-338393.36000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
55954.16000000
0.006211190234
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
2897930.95000000
USD
318300000.00000000
JPY
2020-03-18
55954.16000000
N
N
N
Hilltop Holdings Inc
54930010TA543US0PM65
Hilltop Holdings Inc
432748101
3604.00000000
NS
USD
75071.32000000
0.008333290138
Long
EC
CORP
US
N
1
N
N
N
Assa Abloy AB
549300YECS8HKCIMMB67
Assa Abloy AB
N/A
25657.00000000
NS
577004.21000000
0.064050338968
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Total Return Swaps
N/A
298394.28000000
OU
Notional Amount
40568.28000000
0.004503280981
N/A
DE
N/A
N
2
JPMorgan Chase
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in CHF
Cie Financiere Richemont SA
-4402.00000000
N/A
-298394.28000000
N/A
Y
Total return on a custom basket of long and short securities traded in CHF
2021-02-26
0.00000000
USD
0.00000000
USD
298394.28000000
USD
40568.28000000
N
N
N
Berkeley Group Holdings PLC
2138009OQSSLVVHQAL78
Berkeley Group Holdings PLC
N/A
7911.00000000
NS
487879.47000000
0.054157049268
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
31766.02000000
0.003526186314
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
Put
Purchased
Citigroup Inc
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
31766.02000000
0.00352600
DFE
1788000.00000000
USD
194892000.00000000
JPY
N/A
1788000.00000000
USD
109.00000000
USD
2020-04-13
XXXX
18472.24000000
N
N
N
Fannie Mae Connecticut Avenue Securities
N/A
Fannie Mae Connecticut Avenue Securities
30711XNX8
38459.17000000
PA
USD
39117.65000000
0.004342253832
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
3.83000000
N
N
N
N
N
N
Corning Inc
549300X2937PB0CJ7I56
Corning Inc
219350105
9569.00000000
NS
USD
-228316.34000000
-0.02534425003
Short
EC
CORP
US
N
1
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027X100
1141.00000000
NS
USD
-258778.80000000
-0.02872573470
Short
EC
CORP
US
N
1
N
N
N
Drive Auto Receivables Trust 2018-1
N/A
Drive Auto Receivables Trust 2018-1
26208GAG4
685000.00000000
PA
USD
698389.97000000
0.077524762446
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
3.81000000
N
N
N
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953101
17695.00000000
NS
USD
-434589.20000000
-0.04824156408
Short
EC
CORP
US
N
1
N
N
N
Rogers Communications Inc
54930030NVF3Y2OL0A78
Rogers Communications Inc
N/A
1600.00000000
NS
73321.66000000
0.008139069170
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
12626.94000000
0.001401653182
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
1955000.00000000
CAD
1469350.33000000
USD
2020-04-13
12626.94000000
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343V104
1278.00000000
NS
USD
69216.48000000
0.007683373759
Long
EC
CORP
US
N
1
N
N
N
Oi SA
254900YEMWCRRAGD4978
Oi SA
670851500
5266.00000000
NS
USD
5529.30000000
0.000613779818
Long
EC
CORP
BR
N
1
N
N
N
Five9 Inc
254900MXP6EWY0SFFR59
Five9 Inc
338307101
1290.00000000
NS
USD
94208.70000000
0.010457634561
Long
EC
CORP
US
N
1
N
N
N
TechnipFMC PLC
549300D5I93QWCJTCK36
TechnipFMC PLC
G87110105
5251.00000000
NS
USD
-77924.84000000
-0.00865004505
Short
EC
CORP
GB
N
1
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135F101
2869.00000000
NS
USD
782146.78000000
0.086822185200
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
37349.25000000
0.004145952631
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
10293645000.00000000
IDR
743277.13000000
USD
2020-04-14
37349.25000000
N
N
N
SoFi Professional Loan Program 2020-ATrust
N/A
SoFi Professional Loan Program 2020-ATrust
83406TAC6
160000.00000000
PA
USD
168635.52000000
0.018719381992
Long
ABS-O
CORP
US
N
2
2046-05-15
Fixed
3.12000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-21542.75000000
-0.00239135246
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
16541935.15000000
CNY
2348099.22000000
USD
2020-03-18
-21542.75000000
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448108
3262.00000000
NS
USD
430681.86000000
0.047807829895
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
12.00000000
NC
-40084.39000000
-0.00444956678
N/A
DE
N/A
N
1
MSE
N/A
Long
Hang Seng Index; March 2020
N/A
Hang Seng Index; March 2020
2020-03-31
2014368.23000000
USD
-40084.39000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
10712498.00000000
OU
Notional Amount
-84470.25000000
-0.00937661814
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2023-12-12
0.00000000
USD
0.00000000
USD
10712498.00000000
PLN
-84470.25000000
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C28
549300S7ENI2U7O0XH56
Wells Fargo Commercial Mortgage Trust 2015-C28
94989JAL0
1794000.00000000
PA
USD
1398151.93000000
0.155201822610
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.00000000
N
N
N
N
N
N
Bayview Opportunity Master Fund IVa Trust 2019-RN2
N/A
Bayview Opportunity Master Fund IVa Trust 2019-RN2
07334RAA0
76701.45000000
PA
USD
76862.22000000
0.008532088951
Long
ABS-O
CORP
US
N
2
2034-03-28
Variable
3.97000000
N
N
N
N
N
N
Cubic Corp
6HHLXIOGCDNZ4IRAIW26
Cubic Corp
229669106
8012.00000000
NS
USD
436173.28000000
0.048417404845
Long
EC
CORP
US
N
1
N
N
N
Iliad SA
969500FZ9BTRZS3JNB97
Iliad SA
N/A
2558.00000000
NS
-359562.52000000
-0.03991322920
Short
EC
CORP
FR
N
2
N
N
N
Raymond James Financial Inc
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730109
304.00000000
NS
USD
25423.52000000
0.002822137248
Long
EC
CORP
US
N
1
N
N
N
Accelerated Assets 2018-1 LLC
N/A
Accelerated Assets 2018-1 LLC
00436MAB1
161739.76000000
PA
USD
168522.19000000
0.018706801798
Long
ABS-O
CORP
US
N
2
2033-12-02
Fixed
4.51000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13793500000.00000000
OU
Notional Amount
3849.46000000
0.000427309218
N/A
DIR
N/A
N
2
CME
N/A
N/A
Colombia IBR Overnight Interbank Reference Rate
Y
2023-03-02
0.00000000
USD
0.00000000
USD
13793500000.00000000
COP
3849.46000000
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550108
1898.00000000
NS
USD
303091.62000000
0.033644678258
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16890000.00000000
OU
Notional Amount
USD
25661.59000000
0.002848564203
N/A
DIR
N/A
N
2
LCH
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2025-02-07
0.00000000
USD
0.00000000
USD
16890000.00000000
USD
25661.59000000
N
N
N
Domino's Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAH3
327462.50000000
PA
USD
350316.11000000
0.038886831677
Long
ABS-O
CORP
US
N
2
2047-07-25
Fixed
4.12000000
N
N
N
N
N
N
WE Company Preferred D-2
N/A
WE Company Preferred D-2
N/A
3824.00000000
NS
USD
42599.36000000
0.004728740970
Long
EP
CORP
US
Y
3
N
N
N
Republic of South Africa Government Bond
378900AAFB4F17004C49
Republic of South Africa Government Bond
N/A
41142500.00000000
PA
2446396.35000000
0.271562170176
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
Marshalls PLC
213800S21IFC367J5V62
Marshalls PLC
N/A
8755.00000000
NS
82030.17000000
0.009105757121
Long
EC
CORP
GB
N
2
N
N
N
Dexus
N/A
Dexus
N/A
1657.00000000
NS
13199.97000000
0.001465262364
Long
EC
CORP
AU
N
2
N
N
N
Moody's Corp
549300GCEDD8YCF5WU84
Moody's Corp
615369105
6919.00000000
NS
USD
1660767.57000000
0.184353465646
Long
EC
CORP
US
N
1
N
N
N
Atmos Energy Corp
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560105
10856.00000000
NS
USD
-1120882.00000000
-0.12442348045
Short
EC
CORP
US
N
1
N
N
N
Planet Fitness Master Issuer LLC
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAA1
597437.50000000
PA
USD
617505.43000000
0.068546175956
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.26000000
N
N
N
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
18530302.50000000
PA
USD
-18530302.50000000
-2.05695579987
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
18234000.00000000
USD
18741600.18000000
USD
UST
N
N
N
Hitachi Construction Machinery Co Ltd
5493009B7C53PDH8W826
Hitachi Construction Machinery Co Ltd
N/A
10000.00000000
NS
-243549.87000000
-0.02703524767
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Futures
N/A
14.00000000
NC
-14643.09000000
-0.00162545586
N/A
DIR
N/A
N
1
CME
N/A
Short
N/A
Mini Japan 10 Year Bond; March 2020
2020-03-13
1999666.20000000
USD
-14643.09000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
5752.74000000
0.000638582770
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
385097.67000000
USD
353879.92000000
EUR
2020-03-11
5752.74000000
N
N
N
Marriott International Inc/MD
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BC6
455000.00000000
PA
USD
457692.20000000
0.050806112061
Long
DBT
CORP
US
N
2
2022-10-03
Fixed
2.13000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
5112.91000000
0.000567558456
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
378440.00000000
EUR
423914.78000000
USD
2020-04-14
5112.91000000
N
N
N
Hellenic Republic Treasury Bill
2138003EKTMKZ5598902
Hellenic Republic Treasury Bill
N/A
1124000.00000000
PA
1240837.23000000
0.137739107980
Long
DBT
NUSS
GR
N
2
2020-06-12
None
0.00000000
N
N
N
N
N
N
Cincinnati Financial Corp
254900Q4WEDMZBOZ0002
Cincinnati Financial Corp
172062101
4419.00000000
NS
USD
412027.56000000
0.045737109755
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-766940.83000000
-0.08513424907
N/A
DFE
N/A
N
2
Bank of America NA
N/A
12343829.27000000
USD
17766000.00000000
AUD
2020-03-20
-766940.83000000
N
N
N
Evraz PLC
5493005B7DAN39RXLK23
Evraz PLC
N/A
131704.00000000
NS
562422.21000000
0.062431664396
Long
EC
CORP
RU
N
2
N
N
N
VF Corp
CWAJJ9DJ5Z7P057HV541
VF Corp
918204108
5618.00000000
NS
USD
-404496.00000000
-0.04490106911
Short
EC
CORP
US
N
1
N
N
N
Banco Mercantil del Norte SA/Grand Cayman
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
N/A
1925000.00000000
PA
USD
2035706.75000000
0.225973580639
Long
DBT
CORP
MX
N
2
N/A
Variable
6.75000000
N
N
N
N
N
N
Hexagon AB
549300WJFW6ILNI4TA80
Hexagon AB
N/A
11282.00000000
NS
607751.45000000
0.067463435632
Long
EC
CORP
SE
N
2
N
N
N
Allstate Corp/The
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002101
2233.00000000
NS
USD
235023.25000000
0.026088750423
Long
EC
CORP
US
N
1
N
N
N
Terumo Corp
353800JX1R4582QVK932
Terumo Corp
N/A
400.00000000
NS
-12843.51000000
-0.00142569353
Short
EC
CORP
JP
N
2
N
N
N
FactSet Research Systems Inc
549300ZSJE7NBK6K9P30
FactSet Research Systems Inc
303075105
687.00000000
NS
USD
182735.13000000
0.020284508873
Long
EC
CORP
US
N
1
N
N
N
Compass Group PLC
2138008M6MH9OZ6U2T68
Compass Group PLC
N/A
24419.00000000
NS
538010.30000000
0.059721820891
Long
EC
CORP
GB
N
2
N
N
N
Orange SA
969500MCOONR8990S771
Orange SA
N/A
13833.00000000
NS
-186169.06000000
-0.02066569219
Short
EC
CORP
FR
N
2
N
N
N
McAfee LLC
549300713UKUTLV9T378
McAfee LLC
N/A
1435000.00000000
PA
USD
1433206.25000000
0.159093026590
Long
LON
CORP
US
N
2
2025-09-29
Floating
10.10340000
N
N
N
N
N
N
Linde PLC
8945002PAZHZLBGKGF02
Linde PLC
G5494J103
1891.00000000
NS
USD
361199.91000000
0.040094987644
Long
EC
CORP
GB
N
1
N
N
N
African Export-Import Bank/The
21380068LJCDYA42GJ76
African Export-Import Bank/The
00831TAA9
1700000.00000000
PA
USD
1775140.00000000
0.197049374590
Long
DBT
CORP
XX
N
2
2029-09-21
Fixed
3.99000000
N
N
N
N
N
N
Invitation Homes 2018-SFR4 Trust
N/A
Invitation Homes 2018-SFR4 Trust
46187XAG0
210000.00000000
PA
USD
208851.11000000
0.023183512628
Long
ABS-O
CORP
US
N
2
2038-01-17
Floating
3.31000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
900000000.00000100
OU
Notional Amount
-875.39000000
-0.00009717264
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
N/A
Sinacofi Chile Interbank Rate Avg
Y
2022-01-28
0.00000000
USD
0.00000000
USD
900000000.00000100
CLP
-875.39000000
N
N
N
Estee Lauder Cos Inc/The
549300VFZ8XJ9NUPU221
Estee Lauder Cos Inc/The
518439104
1588.00000000
NS
USD
291556.80000000
0.032364255831
Long
EC
CORP
US
N
1
N
N
N
Navient Private Education Refi Loan Trust 2018-A
N/A
Navient Private Education Refi Loan Trust 2018-A
63940PAD7
140000.00000000
PA
USD
148148.70000000
0.016445243012
Long
ABS-O
CORP
US
N
2
2042-02-18
Fixed
3.68000000
N
N
N
N
N
N
Juniper Networks Inc
AUHIXNGG7U2U7JEHM527
Juniper Networks Inc
48203R104
5098.00000000
NS
USD
108179.56000000
0.012008469552
Long
EC
CORP
US
N
1
N
N
N
Darden Restaurants Inc
CY1NFSCCB5GUXC7WZC70
Darden Restaurants Inc
237194105
6219.00000000
NS
USD
-606352.50000000
-0.06730814522
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
91911.16000000
0.010202596187
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
6565345.00000000
EUR
7347021.54000000
USD
2020-03-20
91911.16000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
38935.72000000
0.004322058696
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
11850000.00000000
NOK
1298822.90000000
USD
2020-03-18
38935.72000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
21711.48000000
0.002410082334
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
1535074.93000000
USD
1500000.00000000
CHF
2020-03-18
21711.48000000
N
N
N
STACR Trust 2018-HRP2
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ABF7
2390000.00000000
PA
USD
2440712.93000000
0.270931282271
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
4.03000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
3.00000000
NC
USD
-167.03000000
-0.00001854116
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Bristol-Myers Squibb Co
Bristol-Myers Squibb Co
3.00000000
67.50000000
USD
2020-04-20
XXXX
99.09000000
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023105
3115.00000000
NS
USD
-856967.65000000
-0.09512767414
Short
EC
CORP
US
N
1
N
N
N
OPAP SA
213800M4NRGFJCI34834
OPAP SA
N/A
14223.00000000
NS
155132.13000000
0.017220438498
Long
EC
CORP
GR
N
2
N
N
N
Peru Government Bond
254900STKLK2DBJJZ530
Peru Government Bond
N/A
9875000.00000000
PA
3282073.43000000
0.364326485089
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
IHI Corp
549300ETQIESIUQ2OE26
IHI Corp
N/A
10300.00000000
NS
-214154.96000000
-0.02377226637
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Futures
N/A
36.00000000
NC
15094.05000000
0.001675514670
N/A
DIR
N/A
N
1
EUX
N/A
Long
N/A
Canadian Bank Acceptance; March 2021
2021-03-16
6620003.72000000
USD
15094.05000000
N
N
N
Calix Inc
5299002RQRZ4SXSCSJ58
Calix Inc
13100M509
12359.00000000
NS
USD
111231.00000000
0.012347194579
Long
EC
CORP
US
N
1
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
N/A
3700.00000000
NS
-281610.73000000
-0.03126019256
Short
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-81.29000000
-0.00000902359
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Target Corp
Target Corp
1.00000000
125.00000000
USD
2020-04-20
XXXX
83.42000000
N
N
N
JSR Corp
353800TL8FC0AWR22506
JSR Corp
N/A
8764.00000000
NS
152363.07000000
0.016913059056
Long
EC
CORP
JP
N
2
N
N
N
American Water Works Co Inc
549300DXHIJQMD5WFW18
American Water Works Co Inc
030420103
1517.00000000
NS
USD
-187592.22000000
-0.02082367003
Short
EC
CORP
US
N
1
N
N
N
Microchip Technology Inc
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017104
4116.00000000
NS
USD
-373362.36000000
-0.04144508012
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
192.00000000
NC
USD
1639739.72000000
0.182019269644
N/A
DE
N/A
N
1
CME
N/A
Short
Russell 2000 Emini; March 2020
N/A
Russell 2000 Emini; March 2020
2020-03-23
14159040.00000000
USD
1639739.72000000
N
N
N
Carriage Services Inc
N/A
Carriage Services Inc
143905107
4021.00000000
NS
USD
85044.15000000
0.009440323901
Long
EC
CORP
US
N
1
N
N
N
Outfront Media Inc
549300RZWDYU5722I639
Outfront Media Inc
69007J106
3100.00000000
NS
USD
81654.00000000
0.009064000379
Long
EC
CORP
US
N
1
N
N
N
Berkshire Hathaway Inc - Class B
5493000C01ZX7D35SD85
Berkshire Hathaway Inc - Class B
084670702
18918.00000000
NS
USD
3903540.12000000
0.433312380620
Long
EC
CORP
US
N
1
N
N
N
Alphabet Inc - A Shares
5493006MHB84DD0ZWV18
Alphabet Inc - A Shares
02079K305
2311.00000000
NS
USD
3095006.75000000
0.343561152607
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
719859.14000000
OU
Notional Amount
44168.08000000
0.004902876697
N/A
DE
N/A
N
2
Morgan Stanley & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in CHF
Nestle SA
-7026.00000000
N/A
-719859.14000000
N/A
Y
Total return on a custom basket of long and short securities traded in CHF
2021-03-10
0.00000000
USD
0.00000000
USD
719859.14000000
USD
44168.08000000
N
N
N
CSMC 2018-RPL2 Trust
N/A
CSMC 2018-RPL2 Trust
12653LAA6
558834.52000000
PA
USD
558268.87000000
0.061970622985
Long
ABS-MBS
CORP
US
N
2
2062-08-25
Variable
4.03000000
N
N
N
N
N
N
Align Technology Inc
549300N5YSE0U3LCP840
Align Technology Inc
016255101
1256.00000000
NS
USD
274247.60000000
0.030442848486
Long
EC
CORP
US
N
1
N
N
N
Dryden 63 GBP CLO 2018 BV
N/A
Dryden 63 GBP CLO 2018 BV
BCC2G9V62
1052000.00000000
PA
1347203.12000000
0.149546251136
Long
ABS-O
CORP
NL
N
2
2032-10-15
Floating
5.23000000
N
N
N
N
N
N
Citrix Systems Inc
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376100
8241.00000000
NS
USD
852036.99000000
0.094580346343
Long
EC
CORP
US
N
1
N
N
N
Ubisoft Entertainment SA
969500I7C8V1LBIMSM05
Ubisoft Entertainment SA
N/A
45.00000000
NS
3374.77000000
0.000374616265
Long
EC
CORP
FR
N
2
N
N
N
Aeon Mall Co Ltd
N/A
Aeon Mall Co Ltd
N/A
1300.00000000
NS
-18416.13000000
-0.00204428208
Short
EC
CORP
JP
N
2
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG
N/A
210.00000000
NS
-35670.80000000
-0.00395963632
Short
EC
CORP
DE
N
2
N
N
N
Adobe Inc
FU4LY2G4933NH2E1CP29
Adobe Inc
00724F101
4058.00000000
NS
USD
1400496.96000000
0.155462132611
Long
EC
CORP
US
N
1
N
N
N
Paycom Software Inc
254900LSB0HNJUDC6Q18
Paycom Software Inc
70432V102
681.00000000
NS
USD
-192484.65000000
-0.02136675411
Short
EC
CORP
US
N
1
N
N
N
Cardlytics Inc
549300JETJBH94EIPC66
Cardlytics Inc
14161W105
629.00000000
NS
USD
49936.31000000
0.005543178935
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
11500.00000000
NC
USD
6984.92000000
0.000775360882
N/A
DIR
N/A
N
2
Citigroup Inc
N/A
iShares J.P. Morgan USD EM Bond UCITS ETF
iShares J.P. Morgan USD EM Bond UCITS ETF
Y
Pay positive return on reference instrument
2020-05-21
0.00000000
USD
0.00000000
USD
1315600.00000000
USD
6984.92000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-12991.42000000
-0.00144211227
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1350000.00000000
EUR
1480990.50000000
USD
2020-04-14
-12991.42000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
4187937.50000000
PA
USD
-4187937.50000000
-0.46488190520
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
3622000.00000000
USD
4515523.59000000
USD
UST
N
N
N
Pebblebrook Hotel Trust
5493004Q1NNH6JXCSI52
Pebblebrook Hotel Trust
70509V100
3151.00000000
NS
USD
63681.71000000
0.007068986743
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-567.88000000
-0.00006303750
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
432499.34000000
USD
390000.00000000
EUR
2020-04-28
-567.88000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
85700000000.00000000
OU
Notional Amount
933379.73000000
0.103609795312
N/A
DIR
N/A
N
2
Bank of America NA
N/A
Call
Purchased
Bank of America NA
N/A
N/A
N/A
Interest Rate Swap
N/A
85700000000.00000000
OU
Notional Amount
933379.73000000
0.10361000
DIR
N/A
3 Month KRW Certificate of Deposit
N/A
N/A
N/A
N/A
N/A
85700000000.00000000
KRW
85700000000.00000000
KRW
1.75000000
KRW
2020-03-16
XXXX
750892.41000000
N
N
N
Connecticut Avenue Securities Trust 2019-R04
N/A
Connecticut Avenue Securities Trust 2019-R04
20753TAC7
280000.00000000
PA
USD
313375.36000000
0.034786224579
Long
ABS-MBS
CORP
US
N
2
2039-06-25
Floating
6.88000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
1.00000000
NC
USD
-534.23000000
-0.00005930218
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
LME Zinc; June 2020
2020-06-16
50525.00000000
USD
-534.23000000
N
N
N
Bureau Veritas SA
969500TPU5T3HA5D1F11
Bureau Veritas SA
N/A
63507.00000000
NS
1563167.90000000
0.173519416538
Long
EC
CORP
FR
N
2
N
N
N
GATX Corp
549300IHYHCQP2PIR591
GATX Corp
361448103
3447.00000000
NS
USD
246563.91000000
0.027369821119
Long
EC
CORP
US
N
1
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAE0
570000.00000000
PA
USD
594225.00000000
0.065961932363
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
7.50000000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
Truist Financial Corp
89832Q109
7317.00000000
NS
USD
337606.38000000
0.037475988393
Long
EC
CORP
US
N
1
N
N
N
Ross Stores Inc
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296103
2661.00000000
NS
USD
-289463.58000000
-0.03213189799
Short
EC
CORP
US
N
1
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446104
18661.00000000
NS
USD
1889612.86000000
0.209756431763
Long
EC
CORP
US
N
1
N
N
N
Markel Corp
549300SCNO12JLWIK605
Markel Corp
570535104
1226.00000000
NS
USD
1448641.60000000
0.160806427259
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-2171.90000000
-0.00024109170
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-2171.90000000
-0.00024100
DFE
894000.00000000
EUR
965520.00000000
USD
N/A
894000.00000000
EUR
1.08000000
EUR
2020-04-24
XXXX
2494.81000000
N
N
N
PSC Industrial Outsourcing LP
N/A
PSC Industrial Outsourcing LP
N/A
980000.00000000
PA
USD
938350.00000000
0.104161520019
Long
LON
CORP
US
N
2
2025-10-13
Floating
10.17510000
N
N
N
N
N
N
Cochlear Ltd
5493001OLLWY8KV5UC08
Cochlear Ltd
N/A
3851.00000000
NS
527477.85000000
0.058552666523
Long
EC
CORP
AU
N
2
N
N
N
Pinnacle West Capital Corp
TWSEY0NEDUDCKS27AH81
Pinnacle West Capital Corp
723484101
472.00000000
NS
USD
-42239.28000000
-0.00468877029
Short
EC
CORP
US
N
1
N
N
N
Vistra Operations Co LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAG7
1210000.00000000
PA
USD
1228766.53000000
0.136399200206
Long
DBT
CORP
US
N
2
2027-01-30
Fixed
3.70000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-6608.70000000
-0.00073359859
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
563000.00000000
USD
5234485.18000000
NOK
2020-03-06
-6608.70000000
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887109
625.00000000
NS
USD
148637.50000000
0.016499502245
Long
EC
CORP
US
N
1
N
N
N
Ukraine Government Bond
6354001WLTJXOMEXPY07
Ukraine Government Bond
N/A
51750000.00000000
PA
2259247.57000000
0.250787724187
Long
DBT
NUSS
UA
N
2
2021-08-11
Fixed
16.00000000
N
N
N
N
N
N
Marel HF
5299008YTLEN09WTHW26
Marel HF
N/A
28882.00000000
NS
129501.45000000
0.014375305458
Long
EC
CORP
IS
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7419000.00000000
OU
Notional Amount
USD
-168907.51000000
-0.01874957423
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2022-03-03
160.35000000
USD
0.00000000
USD
7419000.00000000
USD
-169067.86000000
N
N
N
Argentine Republic Government International Bond
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GX2
6381000.00000000
PA
USD
-2759846.31000000
-0.30635667572
Short
DBT
NUSS
AR
N
2
2026-04-22
Fixed
7.50000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183AP9
130000.00000000
PA
USD
132558.84000000
0.014714690964
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
3.71000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust
14315XAG3
175000.00000000
PA
USD
179132.73000000
0.019884624545
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
2.64000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
643.44000000
0.000071425042
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
1350000.00000000
HKD
173850.71000000
USD
2020-03-18
643.44000000
N
N
N
American Axle & Manufacturing Inc
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing Inc
N/A
402747.66000000
PA
USD
391672.10000000
0.043477552389
Long
LON
CORP
US
N
2
2024-03-08
Floating
3.88020000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
48207.41000000
0.005351262430
N/A
DFE
N/A
N
2
Standard Chartered Hong Kong
N/A
Call
Purchased
Standard Chartered Hong Kong
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
48207.41000000
0.00535100
DFE
178710000.00000000
THB
5550000.00000000
USD
N/A
5550000.00000000
USD
32.20000000
USD
2020-08-25
XXXX
-13647.34000000
N
N
N
Discovery Inc - C Shares
5493006ZCRFWKF6B1K26
Discovery Inc - C Shares
25470F302
24249.00000000
NS
USD
608649.90000000
0.067563168054
Long
EC
CORP
US
N
1
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076102
11200.00000000
NS
USD
2439808.00000000
0.270830830537
Long
EC
CORP
US
N
1
N
N
N
Workday Inc
549300J0DYC0N31V7G13
Workday Inc
98138H101
4652.00000000
NS
USD
805959.00000000
0.089465460130
Long
EC
CORP
US
N
1
N
N
N
Iovance Biotherapeutics Inc
549300220Z2GHH33XL82
Iovance Biotherapeutics Inc
462260100
6600.00000000
NS
USD
217206.00000000
0.024110946999
Long
EC
CORP
US
N
1
N
N
N
Crown Castle International Corp
54930012H97VSM0I2R19
Crown Castle International Corp
22822V101
2368.00000000
NS
USD
-339310.72000000
-0.03766517861
Short
EC
CORP
US
N
1
N
N
N
Boise Cascade Co
549300Z8B8LSRHC7XA55
Boise Cascade Co
09739D100
3210.00000000
NS
USD
113890.80000000
0.012642445616
Long
EC
CORP
US
N
1
N
N
N
Tower Semiconductor Ltd
54930086ZSNXZOUX0C54
Tower Semiconductor Ltd
M87915274
14452.00000000
NS
USD
285716.04000000
0.031715902403
Long
EC
CORP
IL
N
1
N
N
N
Marvell Technology Group Ltd
8DF36O58U3QIHUCGZB18
Marvell Technology Group Ltd
G5876H105
27900.00000000
NS
USD
-594270.00000000
-0.06596692758
Short
EC
CORP
US
N
1
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818108
8184.00000000
NS
USD
1307885.04000000
0.145181748576
Long
EC
CORP
US
N
1
N
N
N
Tapestry Inc
549300LJNVY5SW3VTN33
Tapestry Inc
876030107
12820.00000000
NS
USD
300629.00000000
0.033371315182
Long
EC
CORP
US
N
1
N
N
N
American International Group Inc
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874784
5867.00000000
NS
USD
-247352.72000000
-0.02745738295
Short
EC
CORP
US
N
1
N
N
N
Scentre Group
N/A
Scentre Group
N/A
12042.00000000
NS
27284.78000000
0.003028746372
Long
EC
CORP
AU
N
2
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
N/A
274749.98000000
PA
USD
271796.42000000
0.030170755307
Long
LON
CORP
US
N
2
2023-07-13
Floating
5.10870000
N
N
N
N
N
N
SG Commercial Mortgage Securities Trust 2016-C5
549300SZQW4U3UN4A157
SG Commercial Mortgage Securities Trust 2016-C5
78419CAX2
1665000.00000000
PA
USD
1232070.03000000
0.136765905147
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
2.54000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3937750.00000000
OU
Notional Amount
USD
-352341.37000000
-0.03911164561
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2025-03-07
286.59000000
USD
0.00000000
USD
3937750.00000000
USD
-352627.96000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
8382.08000000
0.000930452596
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
8382.08000000
0.00093000
DFE
3265400.00000000
USD
2815000.00000000
EUR
N/A
2815000.00000000
EUR
1.16000000
EUR
2020-06-12
XXXX
-7107.18000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1575000.00000000
OU
Notional Amount
USD
-140499.47000000
-0.01559614041
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2025-03-29
290.03000000
USD
0.00000000
USD
1575000.00000000
USD
-140789.50000000
N
N
N
Elevation CLO 2015-4 Ltd
549300FXZU8M44ED2J89
Elevation CLO 2015-4 Ltd
28623DAA7
242192.17000000
PA
USD
242071.07000000
0.026871093519
Long
ABS-O
CORP
KY
N
2
2027-04-18
Floating
2.81000000
N
N
N
N
N
N
Toyota Auto Receivables 2018-B Owner Trust
N/A
Toyota Auto Receivables 2018-B Owner Trust
89238TAD5
1190000.00000000
PA
USD
1203446.76000000
0.133588579723
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
2.96000000
N
N
N
N
N
N
Gartner Inc
PP55B5R38BFB8O8HH686
Gartner Inc
366651107
4067.00000000
NS
USD
-526229.13000000
-0.05841405238
Short
EC
CORP
US
N
1
N
N
N
Arista Networks Inc
635400H1WKBLOQERUU95
Arista Networks Inc
040413106
1079.00000000
NS
USD
-208376.48000000
-0.02313082633
Short
EC
CORP
US
N
1
N
N
N
Hertz Vehicle Financing II LP
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DBJ7
185000.00000000
PA
USD
197545.89000000
0.021928576944
Long
ABS-O
CORP
US
N
2
2023-10-25
Fixed
5.31000000
N
N
N
N
N
N
Japan Airport Terminal Co Ltd
353800W9WEQSGUY2EO26
Japan Airport Terminal Co Ltd
N/A
24700.00000000
NS
-960162.03000000
-0.10658276390
Short
EC
CORP
JP
N
2
N
N
N
Principia Biopharma Inc
549300WHPKRLU16IRE69
Principia Biopharma Inc
74257L108
600.00000000
NS
USD
38736.00000000
0.004299888782
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
9724.00000000
NS
USD
1129053.64000000
0.125330573160
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RP5
7353000.00000000
PA
USD
9380819.53000000
1.041317654681
Long
DBT
UST
US
N
2
2045-11-15
Fixed
3.00000000
N
N
N
N
N
N
Gaming and Leisure Properties Inc
5493006GWRDBCZYWTM57
Gaming and Leisure Properties Inc
36467J108
320.00000000
NS
USD
14294.40000000
0.001586749540
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YZ7
26000.00000000
PA
USD
26333.13000000
0.002923108485
Long
DBT
UST
US
N
2
2021-12-31
Fixed
1.63000000
N
N
N
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167768
355.00000000
NS
USD
46150.00000000
0.005122879681
Long
EP
CORP
US
N
1
N
N
N
Fiat Chrysler Automobiles NV
549300LKT9PW7ZIBDF31
Fiat Chrysler Automobiles NV
N/A
24133.00000000
NS
304090.33000000
0.033755540039
Long
EC
CORP
GB
N
2
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
28668.00000000
NS
USD
4644502.68000000
0.515562912433
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Repurchase Agreement
N/A
18992696.25000000
PA
USD
18992696.25000000
2.108283807388
Long
RA
US
N
2
Repurchase
N
1.59000000
2020-03-02
18689000.00000000
USD
19622776.12000000
USD
UST
N
N
N
N/A
N/A
Futures
N/A
32.00000000
NC
-16086.41000000
-0.00178567156
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Cocoa; May 2020
2020-05-14
802112.96000000
USD
-16086.41000000
N
N
N
Seagate Technology PLC
396PBGKP6TE3O062MS44
Seagate Technology PLC
G7945M107
7125.00000000
NS
USD
-341643.75000000
-0.03792415655
Short
EC
CORP
US
N
1
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AL5
208425.00000000
PA
USD
223931.82000000
0.024857546493
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
4.35000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110L106
1069.00000000
NS
USD
394493.07000000
0.043790694099
Long
EC
CORP
US
N
1
N
N
N
FXI Holdings Inc
549300VLKCUZW3MSVS50
FXI Holdings Inc
36120RAA7
1182000.00000000
PA
USD
1111080.00000000
0.123335409669
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
7.88000000
N
N
N
N
N
N
Alternative Loan Trust 2004-16CB
N/A
Alternative Loan Trust 2004-16CB
12667FLT0
71683.01110000
PA
USD
73534.64000000
0.008162711010
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
44.00000000
NC
USD
27203.26000000
0.003019697246
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
Soybean; May 2020
2020-05-15
1964050.00000000
USD
27203.26000000
N
N
N
Equifax Inc
5493004MCF8JDC86VS77
Equifax Inc
294429105
1612.00000000
NS
USD
-228968.48000000
-0.02541664081
Short
EC
CORP
US
N
1
N
N
N
Bellatrix Exploration Ltd
549300S2235IL73TH941
Bellatrix Exploration Ltd
078314AK7
257000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
CA
Y
3
2023-12-15
None
0.00000000
Y
Y
Y
N
N
N
Live Nation Entertainment Inc
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034109
1010.00000000
NS
USD
61377.70000000
0.006813230167
Long
EC
CORP
US
N
1
N
N
N
Disco Corp
N/A
Disco Corp
N/A
600.00000000
NS
121643.79000000
0.013503066091
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
40852.29000000
0.004534807505
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
6046300.80000000
PEN
1788000.00000000
USD
2020-05-11
40852.29000000
N
N
N
SBI Holdings Inc/Japan
353800L6LMHYIPSMRQ17
SBI Holdings Inc/Japan
N/A
15700.00000000
NS
-316688.81000000
-0.03515403402
Short
EC
CORP
JP
N
2
N
N
N
Tryg A/S
213800ZRS8AC4LSTCE39
Tryg A/S
N/A
10091.00000000
NS
283138.43000000
0.031429774865
Long
EC
CORP
DK
N
2
N
N
N
Blackstone Group Inc/The
5299004LW4QWGZUB8Y96
Blackstone Group Inc/The
09260D107
2702.00000000
NS
USD
145475.68000000
0.016148524489
Long
EC
CORP
US
N
1
N
N
N
Jacobs Engineering Group Inc
549300CZ8QS1GE53O776
Jacobs Engineering Group Inc
469814107
15133.00000000
NS
USD
-1397381.22000000
-0.15511626996
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Repurchase Agreement
N/A
37245000.00000000
PA
USD
37245000.00000000
4.134380362460
Long
RA
US
N
2
Repurchase
N
1.54000000
2020-03-02
37245000.00000000
USD
38433127.55000000
USD
UST
N
N
N
N/A
N/A
Futures
N/A
1.00000000
NC
17423.06000000
0.001934046371
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
Japan 10 Year Bond TSE; March 2020
2020-03-14
1428425.74000000
USD
17423.06000000
N
N
N
Sysmex Corp
5299001ZO4CKWACMZI55
Sysmex Corp
N/A
3800.00000000
NS
243003.60000000
0.026974608990
Long
EC
CORP
JP
N
2
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z78
37245000.00000000
PA
USD
-38387082.91000000
-4.26115724943
Short
DBT
UST
US
N
2
2027-01-31
Fixed
1.50000000
N
N
N
N
N
N
Weyerhaeuser Co
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166104
10485.00000000
NS
USD
272400.30000000
0.030237788993
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Credit Default Swaps
N/A
2550000.00000000
OU
Notional Amount
USD
-181290.59000000
-0.02012415774
N/A
DCR
N/A
N
2
JPMorgan Chase
N/A
Petroleos Mexicanos, 6.63%, 06/15/2035
Petroleos Mexicanos, 6.63%, 06/15/2035
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-06-20
0.00000000
USD
183709.68000000
USD
2550000.00000000
USD
2419.09000000
N
N
N
Thule Group AB
549300XHHOGBOERKU333
Thule Group AB
N/A
5653.00000000
NS
123866.46000000
0.013749793523
Long
EC
CORP
SE
N
2
N
N
N
Eiffage SA
969500OQXKE5WDM9M994
Eiffage SA
N/A
3842.00000000
NS
410977.14000000
0.045620507908
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Options
N/A
60.00000000
NC
USD
-22875.00000000
-0.00253923884
N/A
DIR
N/A
N
1
CME
N/A
Put
Written
CME
N/A
N/A
N/A
FUTURE
N/A
60.00000000
NC
USD
-22875.00000000
-0.00253900
DIR
Short
N/A
90 Day Eurodollar Future; March 2023
N/A
150000.00000000
USD
60.00000000
98.75000000
USD
2021-03-15
XXXX
25772.40000000
N
N
N
Panera Bread Co
5493008627EIK5RECQ92
Panera Bread Co
69840W108
1664.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
Cardinal Health Inc
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149Y108
8934.00000000
NS
USD
-465640.08000000
-0.05168836629
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
37875.01000000
0.004204314607
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
1752705.96000000
USD
1620345.00000000
EUR
2020-03-20
37875.01000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
165.18000000
0.000018335802
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
165.18000000
0.00001800
DFE
7873687.50000000
USD
6427500.00000000
EUR
N/A
6427500.00000000
EUR
1.22500000
EUR
2020-03-31
XXXX
-60709.08000000
N
N
N
Kyowa Kirin Co Ltd
529900TBXKVTQGYA3582
Kyowa Kirin Co Ltd
N/A
13703.00000000
NS
326571.09000000
0.036251016282
Long
EC
CORP
JP
N
2
N
N
N
McDermott Technology Americas Inc
549300MSF84ZAB7RHN59
McDermott Technology Americas Inc
N/A
360113.94000000
PA
USD
364316.47000000
0.040440941315
Long
LON
CORP
US
N
2
2020-10-21
Floating
10.72340000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C20
549300UVB571ELWL8972
WFRBS Commercial Mortgage Trust 2014-C20
92890FAC0
267000.00000000
PA
USD
222707.48000000
0.024721638659
Long
ABS-MBS
CORP
US
N
2
2047-05-15
Fixed
3.99000000
N
N
N
N
N
N
AMERCO
5493003WIDMLDHYC6Y24
AMERCO
023586100
1195.00000000
NS
USD
385399.45000000
0.042781257021
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Repurchase Agreement
N/A
3134666.25000000
PA
USD
3134666.25000000
0.347963554487
Long
RA
US
N
2
Repurchase
N
1.25000000
N/A
6381000.00000000
USD
2930006.31000000
USD
N
N
N
Willis Towers Watson PLC
549300WHC56FF48KL350
Willis Towers Watson PLC
G96629103
1519.00000000
NS
USD
-287470.75000000
-0.03191068394
Short
EC
CORP
GB
N
1
N
N
N
GC EOS Buyer Inc
N/A
GC EOS Buyer Inc
N/A
980037.78000000
PA
USD
957986.93000000
0.106341316979
Long
LON
CORP
US
N
2
2025-06-27
Floating
6.14510000
N
N
N
N
N
N
4L Technologies
N/A
4L Technologies
N/A
204685.90000000
PA
USD
200934.01000000
0.022304675126
Long
LON
CORP
US
N
2
2024-02-05
Floating
9.16000000
N
N
N
N
N
N
Fortive Corp
549300MU9YQJYHDQEF63
Fortive Corp
34959J108
6212.00000000
NS
USD
429621.92000000
0.047690171280
Long
EC
CORP
US
N
1
N
N
N
GCA2014 Holdings Ltd - Class E
549300P7I2VS2S4LJI66
GCA2014 Holdings Ltd - Class E
36163UAC4
1030000.00000000
PA
USD
0.00000000
0.000000
Long
ABS-O
CORP
BM
N
3
2030-01-05
Fixed
0.00000000
N
N
N
N
N
N
PRPM 2019-4 LLC
N/A
PRPM 2019-4 LLC
69359NAA9
204396.43000000
PA
USD
205893.20000000
0.022855169897
Long
ABS-O
CORP
US
N
2
2024-11-25
Variable
3.35000000
N
N
N
N
N
N
Adani Electricity Mumbai Ltd
N/A
Adani Electricity Mumbai Ltd
00654GAA1
1800000.00000000
PA
USD
1809254.88000000
0.200836296054
Long
DBT
CORP
IN
N
2
2030-02-12
Fixed
3.95000000
N
N
N
N
N
N
Clear Channel Outdoor Holdings Inc
N/A
Clear Channel Outdoor Holdings Inc
18453H106
43695.00000000
NS
USD
90448.65000000
0.010040250298
Long
EC
CORP
US
N
1
N
N
N
Rhythm Pharmaceuticals Inc
529900JPNWXQ8DPLA551
Rhythm Pharmaceuticals Inc
76243J105
3260.00000000
NS
USD
62200.80000000
0.006904598363
Long
EC
CORP
US
N
1
N
N
N
WW Grainger Inc
549300TWZSP6O1IH2V34
WW Grainger Inc
384802104
853.00000000
NS
USD
236741.62000000
0.026279498045
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
16589.08000000
0.001841470441
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1052000.00000000
NZD
674127.71000000
USD
2020-03-09
16589.08000000
N
N
N
Chugoku Electric Power Co Inc/The
353800MV866ELME96Q46
Chugoku Electric Power Co Inc/The
N/A
44900.00000000
NS
-596063.52000000
-0.06616601723
Short
EC
CORP
JP
N
2
N
N
N
Triumph Group Inc
5493007L6S47Q14SL582
Triumph Group Inc
896818101
3599.00000000
NS
USD
68381.00000000
0.007590631321
Long
EC
CORP
US
N
1
N
N
N
CPS Auto Receivables Trust 2017-D
54930087Z25SUMBR4I05
CPS Auto Receivables Trust 2017-D
12652BAD3
190000.00000000
PA
USD
194236.72000000
0.021561242605
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.73000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1785000.00000000
OU
Notional Amount
USD
-112982.97000000
-0.01254167196
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2023-05-10
255.20000000
USD
0.00000000
USD
1785000.00000000
USD
-113238.17000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-41403.80000000
-0.00459602786
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
755037.52000000
USD
3200000.00000000
BRL
2020-04-30
-41403.80000000
N
N
N
Adtalem Global Education Inc
549300Z467EZLMODV621
Adtalem Global Education Inc
00737L103
3008.00000000
NS
USD
92856.96000000
0.010307584694
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796SV2
1470000.00000000
PA
USD
1464520.58000000
0.162569073066
Long
DBT
UST
US
N
2
2020-06-18
None
1.90000000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599105
12400.00000000
NS
USD
405976.00000000
0.045065356478
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
21.00000000
NC
USD
556287.37000000
0.061750666624
N/A
DE
N/A
N
1
CBOE
N/A
Put
Purchased
S&P 500 Index
SPX
S&P 500 Index
21.00000000
3200.00000000
USD
2020-03-23
XXXX
488695.20000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650DD9
1385000.00000000
PA
USD
1388878.00000000
0.154172370225
Long
DBT
CORP
US
N
2
2021-03-09
Floating
2.60000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
68954.99000000
0.007654347068
N/A
DFE
N/A
N
2
UBS AG
N/A
58310000.00000000
THB
1918975.84000000
USD
2020-04-22
68954.99000000
N
N
N
Unifin Financiera SAB de CV
5493007GRMPGDJG93Z17
Unifin Financiera SAB de CV
N/A
2890000.00000000
PA
USD
2926153.90000000
0.324817645904
Long
DBT
CORP
MX
N
2
2023-09-27
Fixed
7.25000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320102
7422.00000000
NS
USD
-559989.90000000
-0.06216166588
Short
EC
CORP
US
N
1
N
N
N
Williams Cos Inc/The
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457100
15385.00000000
NS
USD
-293084.25000000
-0.03253381038
Short
EC
CORP
US
N
1
N
N
N
Honeywell International Inc
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516106
10639.00000000
NS
USD
1725326.63000000
0.191519842607
Long
EC
CORP
US
N
1
N
N
N
Duke Realty Corp
N/A
Duke Realty Corp
264411505
2287.00000000
NS
USD
74258.89000000
0.008243106364
Long
EC
CORP
US
N
1
N
N
N
First Investors Auto Owner Trust 2019-2
N/A
First Investors Auto Owner Trust 2019-2
32058RAD6
75000.00000000
PA
USD
77196.11000000
0.008569152402
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
2.80000000
N
N
N
N
N
N
EMS-Chemie Holding AG
529900G1XFTGSE0DIX60
EMS-Chemie Holding AG
N/A
2032.00000000
NS
1192823.43000000
0.132409337223
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-39316.25000000
-0.00436429942
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
2745000.00000000
EUR
2993718.02000000
USD
2020-03-18
-39316.25000000
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160K105
1297.00000000
NS
USD
364638.58000000
0.040476697128
Long
EC
CORP
US
N
1
N
N
N
Provincia de Buenos Aires/Government Bonds
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
N/A
11045000.00000000
PA
96788.33000000
0.010743986330
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
38.68000000
N
N
N
N
N
N
Starwood Retail Property Trust 2014-STAR
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAS6
645000.00000000
PA
USD
284325.42000000
0.031561536662
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
6.06000000
N
N
N
N
N
N
Oversea-Chinese Banking Corp Ltd
5493007O3QFXCPOGWK22
Oversea-Chinese Banking Corp Ltd
N/A
8000.00000000
NS
61584.08000000
0.006836139374
Long
EC
CORP
SG
N
2
N
N
N
N/A
N/A
Futures
N/A
54.00000000
NC
USD
30204.14000000
0.003352809861
N/A
DE
N/A
N
1
OSE
N/A
Short
FTSE China A50 Index; March 2020
N/A
FTSE China A50 Index; March 2020
2020-03-31
716040.00000000
USD
30204.14000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-50266.72000000
-0.00557985608
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
2035383.35000000
USD
3176000.00000000
NZD
2020-03-09
-50266.72000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-470711.12000000
-0.05225127697
N/A
DFE
N/A
N
2
Bank of America NA
N/A
3283362000.00000000
JPY
30001468.97000000
USD
2020-03-19
-470711.12000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
1339.73000000
0.000148716697
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
756255.00000000
USD
5292650.62000000
CNY
2020-04-17
1339.73000000
N
N
N
E*TRADE Financial Corp
549300LYE2HSVYJFJD24
E*TRADE Financial Corp
269246401
3084.00000000
NS
USD
-141185.52000000
-0.01567229537
Short
EC
CORP
US
N
1
N
N
N
Dominican Republic International Bond
254900EHU7Q8FGVPI369
Dominican Republic International Bond
N/A
298000.00000000
PA
USD
315510.48000000
0.035023233525
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
Teladoc Health Inc
549300I2PVFBC9MFAC61
Teladoc Health Inc
87918A105
693.00000000
NS
USD
86597.28000000
0.009612729060
Long
EC
CORP
US
N
1
N
N
N
Norwegian Cruise Line Holdings Ltd
N/A
Norwegian Cruise Line Holdings Ltd
G66721104
1732.00000000
NS
USD
64534.32000000
0.007163630697
Long
EC
CORP
US
N
1
N
N
N
Xenia Hotels & Resorts Inc
54930075IWIPHF5IQL62
Xenia Hotels & Resorts Inc
984017103
1040.00000000
NS
USD
15558.40000000
0.001727059831
Long
EC
CORP
US
N
1
N
N
N
Argentine Republic Government International Bond
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HQ6
1300000.00000000
PA
USD
523263.00000000
0.058084797197
Long
DBT
NUSS
AR
N
2
2028-01-11
Fixed
5.88000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
18894000.00000000
OU
Notional Amount
84503.88000000
0.009380351242
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2024-11-08
0.00000000
USD
0.00000000
USD
18894000.00000000
CNY
84503.88000000
N
N
N
Southcross Energy
N/A
Southcross Energy
N/A
768756.05000000
PA
USD
784131.17000000
0.087042462366
Long
LON
CORP
US
N
2
2025-01-06
Floating
10.64980000
N
N
N
N
N
N
Ultra Electronics Holdings PLC
213800E68EATZGAJIP64
Ultra Electronics Holdings PLC
N/A
5883.00000000
NS
149065.93000000
0.016547060107
Long
EC
CORP
GB
N
2
N
N
N
Admiral Group PLC
213800FGVM7Z9EJB2685
Admiral Group PLC
N/A
17435.00000000
NS
478523.55000000
0.053118495585
Long
EC
CORP
GB
N
2
N
N
N
Carlsberg A/S
5299001O0WJQYB5GYZ19
Carlsberg A/S
N/A
3266.00000000
NS
431953.83000000
0.047949024895
Long
EC
CORP
DK
N
2
N
N
N
Ashland Global Holdings Inc
529900E4L9R04SB8HB11
Ashland Global Holdings Inc
044186104
16377.00000000
NS
USD
1171610.58000000
0.130054605300
Long
EC
CORP
US
N
1
N
N
N
Zions Bancorp NA
8WH0EE09O9V05QJZ3V89
Zions Bancorp NA
989701107
3643.00000000
NS
USD
-145537.85000000
-0.01615542566
Short
EC
CORP
US
N
1
N
N
N
Legg Mason Inc
OWUNCC6U1ZJXMZKFBJ36
Legg Mason Inc
524901105
16516.00000000
NS
USD
822827.12000000
0.091337905400
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-22621.33000000
-0.00251108021
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
411655.00000000
USD
7782420.11000000
MXN
2020-06-16
-22621.33000000
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZA1
5108000.00000000
PA
USD
5132741.88000000
0.569759893522
Long
DBT
UST
US
N
2
2022-02-28
Fixed
1.13000000
N
N
N
N
N
N
Stora Enso Oyj
7437000ZP669LKUTZ738
Stora Enso Oyj
N/A
8893.00000000
NS
-105390.21000000
-0.01169883782
Short
EC
CORP
FI
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
745000000.00000100
OU
Notional Amount
12939.67000000
0.001436367768
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Budapest Interbank Offered Rate
Y
2025-02-10
805.98000000
USD
0.00000000
USD
745000000.00000100
HUF
12133.69000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
97387.36000000
0.010810481641
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
3811000.00000000
GBP
4985322.00000000
USD
2020-03-18
97387.36000000
N
N
N
Ivory Coast Government International Bond
254900ICW11T82O6H590
Ivory Coast Government International Bond
N/A
3319000.00000000
PA
3732702.52000000
0.414348556788
Long
DBT
NUSS
CI
N
2
2030-03-22
Fixed
5.25000000
N
N
N
N
N
N
United Airlines Holdings Inc
N/A
United Airlines Holdings Inc
910047109
1820.00000000
NS
USD
-112093.80000000
-0.01244296967
Short
EC
CORP
US
N
1
N
N
N
Performance Food Group Co
549300EUK8GR9IT1YK57
Performance Food Group Co
71377A103
2151.00000000
NS
USD
91202.40000000
0.010123920299
Long
EC
CORP
US
N
1
N
N
N
Motel 6 Trust 2017-M6MZ
N/A
Motel 6 Trust 2017-M6MZ
61975GAA5
954556.02000000
PA
USD
964213.26000000
0.107032470596
Long
ABS-MBS
CORP
US
N
2
2024-08-15
Floating
8.58000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161N101
7010.00000000
NS
USD
-302201.10000000
-0.03354582610
Short
EC
CORP
US
N
1
N
N
N
Vail Resorts Inc
529900PSZHRNU9HKH870
Vail Resorts Inc
91879Q109
460.00000000
NS
USD
97800.60000000
0.010856353338
Long
EC
CORP
US
N
1
N
N
N
Driven Brands Funding LLC
N/A
Driven Brands Funding LLC
26208LAC2
167025.00000000
PA
USD
178892.13000000
0.019857916747
Long
ABS-O
CORP
US
N
2
2048-04-20
Fixed
4.74000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-18109.68000000
-0.00201026460
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
8207435.80000000
CNY
1156710.00000000
USD
2020-04-17
-18109.68000000
N
N
N
Constellation Software Inc/Canada
549300B6PYHMCTDWQV29
Constellation Software Inc/Canada
N/A
603.00000000
NS
614312.01000000
0.068191690443
Long
EC
CORP
CA
N
1
N
N
N
Albemarle Corp
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp
012653101
15227.00000000
NS
USD
-1246329.95000000
-0.13834882723
Short
EC
CORP
US
N
1
N
N
N
Liberty Global PLC - C Shares
549300BSGXG3QLIQYT84
Liberty Global PLC - C Shares
G5480U120
13895.00000000
NS
USD
258308.05000000
0.028673479108
Long
EC
CORP
GB
N
1
N
N
N
Equity Residential
5493008RACSH5EP3PI59
Equity Residential
29476L107
854.00000000
NS
USD
64135.40000000
0.007119348591
Long
EC
CORP
US
N
1
N
N
N
Cie de Saint-Gobain
NFONVGN05Z0FMN5PEC35
Cie de Saint-Gobain
N/A
9152.00000000
NS
323151.41000000
0.035871414783
Long
EC
CORP
FR
N
2
N
N
N
Xcel Energy Inc
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98389B100
4738.00000000
NS
USD
-295272.16000000
-0.03277667928
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-46.56000000
-0.00000516839
N/A
DE
N/A
N
1
CBOE
N/A
Call
Written
LPL Financial Holdings Inc
LPL Financial Holdings Inc
1.00000000
100.00000000
USD
2020-04-20
XXXX
10.15000000
N
N
N
Reliance Steel & Aluminum Co
549300E287ZOFT3C5Z56
Reliance Steel & Aluminum Co
759509102
41.00000000
NS
USD
4193.89000000
0.000465542662
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
1546973.35000000
OU
Notional Amount
USD
133304.13000000
0.014797421863
N/A
DE
N/A
N
2
JPMorgan Chase
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in CNY
Kweichow Moutai Co Ltd
2631.00000000
N/A
397849.36000000
N/A
Wuhan Jingce Electronic Group Co Ltd
66440.00000000
N/A
578759.89000000
N/A
ENN Ecological Holdings Co Ltd
105647.00000000
N/A
144490.03000000
N/A
NARI Technology Co Ltd
150119.00000000
N/A
425874.07000000
N/A
Y
Total return on a custom basket of long and short securities traded in CNY
2020-12-04
0.00000000
USD
0.00000000
USD
1546973.35000000
USD
133304.13000000
N
N
N
Cairn Homes PLC
635400DPX6WP2KKDOA83
Cairn Homes PLC
N/A
143660.00000000
NS
193579.25000000
0.021488260163
Long
EC
CORP
IE
N
2
N
N
N
Plantronics Inc
5493006O3W5M472F6668
Plantronics Inc
727493108
2630.00000000
NS
USD
36109.90000000
0.004008378613
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
205187.24000000
0.022776804824
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
298707410.93000000
THB
9690403.00000000
USD
2020-06-11
205187.24000000
N
N
N
Tricon American Homes 2019-SFR1 Trust
N/A
Tricon American Homes 2019-SFR1 Trust
89612LAA4
220000.00000000
PA
USD
229535.68000000
0.025479602842
Long
ABS-O
CORP
US
N
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
NGK Insulators Ltd
353800701BNCL25VYY16
NGK Insulators Ltd
N/A
11300.00000000
NS
-177459.00000000
-0.01969883218
Short
EC
CORP
JP
N
2
N
N
N
Front Range BidCo Inc
N/A
Front Range BidCo Inc
98919VAA3
35000.00000000
PA
USD
34256.25000000
0.003802614237
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.00000000
N
N
N
N
N
N
BCC Funding XIV LLC
549300UOGJDZQ0HU5P22
BCC Funding XIV LLC
055377AF2
250000.00000000
PA
USD
258275.73000000
0.028669891427
Long
ABS-O
CORP
US
N
2
2025-04-21
Fixed
6.00000000
N
N
N
N
N
N
Alternative Loan Trust 2005-J1
N/A
Alternative Loan Trust 2005-J1
12667FT88
81821.64000000
PA
USD
84160.91000000
0.009342279865
Long
ABS-MBS
CORP
US
N
2
2025-02-25
Fixed
5.50000000
N
N
N
N
N
N
JB Hunt Transport Services Inc
549300XCD1MPI1C5GK90
JB Hunt Transport Services Inc
445658107
2700.00000000
NS
USD
-260388.00000000
-0.02890436390
Short
EC
CORP
US
N
1
N
N
N
Keyence Corp
529900M7PQBS7A89DZ11
Keyence Corp
N/A
100.00000000
NS
31930.56000000
0.003544451073
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Futures
N/A
56.00000000
NC
184285.74000000
0.020456634300
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
Euro Bond 10 Year Bond; March 2020
2020-03-09
10970767.38000000
USD
184285.74000000
N
N
N
Industrivarden AB
549300TM1DLIQI3B3T37
Industrivarden AB
N/A
2854.00000000
NS
-64541.19000000
-0.00716439330
Short
EC
CORP
SE
N
2
N
N
N
CF Industries Holdings Inc
529900CG8YAQFZ2JMV97
CF Industries Holdings Inc
125269100
12315.00000000
NS
USD
-453930.90000000
-0.05038858904
Short
EC
CORP
US
N
1
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320102
46.00000000
NS
USD
3470.70000000
0.000385264973
Long
EC
CORP
US
N
1
N
N
N
Aflac Inc
549300N0B7DOGLXWPP39
Aflac Inc
001055102
7100.00000000
NS
USD
-304235.00000000
-0.03377159912
Short
EC
CORP
US
N
1
N
N
N
Monster Beverage Corp
52990090AP0E7HCB6F33
Monster Beverage Corp
61174X109
23320.00000000
NS
USD
1455401.20000000
0.161556776501
Long
EC
CORP
US
N
1
N
N
N
Children's Place Inc/The
549300BGVK2OO5O7TC19
Children's Place Inc/The
168905107
2258.00000000
NS
USD
130060.80000000
0.014437396091
Long
EC
CORP
US
N
1
N
N
N
Evergy Inc
549300PGTHDQY6PSUI61
Evergy Inc
30034W106
13612.00000000
NS
USD
889544.20000000
0.098743833320
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
24288.57000000
0.002696152150
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
3200000.00000000
BRL
737922.29000000
USD
2020-04-30
24288.57000000
N
N
N
Ferrari NV
549300RIVY5EX8RCON76
Ferrari NV
N/A
4968.00000000
NS
782547.12000000
0.086866624932
Long
EC
CORP
IT
N
2
N
N
N
Republic Services Inc
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759100
1529.00000000
NS
USD
138007.54000000
0.015319523781
Long
EC
CORP
US
N
1
N
N
N
NBM US Holdings Inc
5493008K1QMSP0J8UC24
NBM US Holdings Inc
62877VAA9
795000.00000000
PA
USD
830775.00000000
0.092220159635
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
7.00000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust 2018-3
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAL6
225000.00000000
PA
USD
232927.54000000
0.025856116183
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
6866.68000000
0.000762235654
N/A
DFE
N/A
N
2
Bank of America NA
N/A
Put
Purchased
Bank of America NA
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
6866.68000000
0.00076200
DFE
2815000.00000000
EUR
28150000.00000000
NOK
N/A
2815000.00000000
EUR
10.00000000
EUR
2020-06-15
XXXX
-20871.84000000
N
N
N
Jardine Matheson Holdings Ltd
2138009KENVUNWOLPK41
Jardine Matheson Holdings Ltd
N/A
1600.00000000
NS
USD
-87540.15000000
-0.00971739232
Short
EC
CORP
HK
N
2
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206R102
58814.00000000
NS
USD
2071429.08000000
0.229938937054
Long
EC
CORP
US
N
1
N
N
N
Discover Card Execution Note Trust
549300CKCX1QE4RUW216
Discover Card Execution Note Trust
254683CK9
585000.00000000
PA
USD
604815.24000000
0.067137501709
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
3.04000000
N
N
N
N
N
N
Kintetsu Group Holdings Co Ltd
N/A
Kintetsu Group Holdings Co Ltd
N/A
9800.00000000
NS
-422704.82000000
-0.04692233875
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
22191869.00000000
OU
Notional Amount
16671.03000000
0.001850567299
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2024-09-02
2822.89000000
USD
0.00000000
USD
22191869.00000000
PLN
13848.14000000
N
N
N
Laboratory Corp of America Holdings
OZ7UA8IXAIFILY2VZH07
Laboratory Corp of America Holdings
50540R409
1877.00000000
NS
USD
329770.13000000
0.036606125643
Long
EC
CORP
US
N
1
N
N
N
C&W Senior Financing DAC
5493009O8OIWZPZRY516
C&W Senior Financing DAC
12674TAB2
1850000.00000000
PA
USD
1942500.00000000
0.215627167514
Long
DBT
CORP
IE
N
2
2026-10-15
Fixed
7.50000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824100
6552.00000000
NS
USD
504700.56000000
0.056024273974
Long
EC
CORP
US
N
1
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833100
22722.00000000
NS
USD
6211285.92000000
0.689483649705
Long
EC
CORP
US
N
1
N
N
N
Ralph Lauren Corp
HO1QNWM0IXBZ0QSMMO20
Ralph Lauren Corp
751212101
2654.00000000
NS
USD
280023.54000000
0.031084006572
Long
EC
CORP
US
N
1
N
N
N
First American Government Obligations Fund
N/A
First American Government Obligations Fund
N/A
2236587.16000000
NS
USD
2236587.16000000
0.248272305899
Long
STIV
RF
US
N
1
N
N
N
Anglo American PLC
549300S9XF92D1X8ME43
Anglo American PLC
N/A
6749.00000000
NS
-158786.91000000
-0.01762613726
Short
EC
CORP
GB
N
2
N
N
N
United Rentals North America Inc
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BN3
630000.00000000
PA
USD
612612.00000000
0.068002980872
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.00000000
N
N
N
N
N
N
TUI AG
529900SL2WSPV293B552
TUI AG
N/A
20696.00000000
NS
-163293.82000000
-0.01812642670
Short
EC
CORP
DE
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6420000.00000000
OU
Notional Amount
-36888.89000000
-0.00409485038
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2022-03-10
1172.42000000
USD
0.00000000
USD
6420000.00000000
PLN
-38061.31000000
N
N
N
Avery Dennison Corp
549300PW7VPFCYKLIV37
Avery Dennison Corp
053611109
2380.00000000
NS
USD
272486.20000000
0.030247324320
Long
EC
CORP
US
N
1
N
N
N
PPG Industries Inc
549300BKPEP01R3V6C59
PPG Industries Inc
693506107
6535.00000000
NS
USD
682580.75000000
0.075769860346
Long
EC
CORP
US
N
1
N
N
N
DraftKings Inc
N/A
DraftKings Inc
N/A
54277.00000000
NS
USD
279689.00000000
0.031046870967
Long
EC
CORP
US
Y
3
N
N
N
Lowe's Cos Inc
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661107
5441.00000000
NS
USD
-579847.37000000
-0.06436594387
Short
EC
CORP
US
N
1
N
N
N
Kawasaki Heavy Industries Ltd
5493008FFSI8SQ74AT93
Kawasaki Heavy Industries Ltd
N/A
14100.00000000
NS
-252700.01000000
-0.02805095875
Short
EC
CORP
JP
N
2
N
N
N
SLM Private Credit Student Loan Trust 2003-B
549300BLEHJGFV7XSO25
SLM Private Credit Student Loan Trust 2003-B
78443CAN4
500000.00000000
PA
USD
499254.50000000
0.055419734210
Long
ABS-O
CORP
US
N
2
2033-03-15
Floating
5.04000000
N
N
N
N
N
N
Novo Nordisk A/S
549300DAQ1CVT6CXN342
Novo Nordisk A/S
N/A
6840.00000000
NS
400748.48000000
0.044485075741
Long
EC
CORP
DK
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
50874.22000000
0.005647291612
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
3330000000.00000000
COP
996737.41000000
USD
2020-04-07
50874.22000000
N
N
N
SEACOR Holdings Inc
549300IQTYSR1SC4II14
SEACOR Holdings Inc
811904101
4543.00000000
NS
USD
169453.90000000
0.018810226245
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
4.00000000
NC
USD
-164.20000000
-0.00001822701
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
AT&T Inc
AT&T Inc
4.00000000
39.00000000
USD
2020-04-20
XXXX
94.63000000
N
N
N
N/A
N/A
Futures
N/A
27.00000000
NC
8972.05000000
0.000995942202
N/A
DIR
N/A
N
1
EUX
N/A
Long
N/A
Short Term Euro-BTP; March 2020
2020-03-09
3355923.78000000
USD
8972.05000000
N
N
N
Nissan Auto Receivables 2017-A Owner Trust
N/A
Nissan Auto Receivables 2017-A Owner Trust
654747AD6
100281.94000000
PA
USD
100323.41000000
0.011136397803
Long
ABS-O
CORP
US
N
2
2021-08-16
Fixed
1.74000000
N
N
N
N
N
N
PayPal Holdings Inc
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450Y103
2690.00000000
NS
USD
-290493.10000000
-0.03224617983
Short
EC
CORP
US
N
1
N
N
N
Vinci SA
213800WFQ334R8UXUG83
Vinci SA
N/A
1836.00000000
NS
185523.27000000
0.020594006289
Long
EC
CORP
FR
N
2
N
N
N
GoPro Inc
549300CQJMLT21SZFL16
GoPro Inc
38268T103
20253.00000000
NS
USD
76860.14000000
0.008531858060
Long
EC
CORP
US
N
1
N
N
N
Cavco Industries Inc
N/A
Cavco Industries Inc
149568107
623.00000000
NS
USD
125671.56000000
0.013950168607
Long
EC
CORP
US
N
1
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
N/A
900000.00000000
PA
USD
939600.00000000
0.104300276240
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Capri Holdings Ltd
549300LPG8W0H1OX3A26
Capri Holdings Ltd
G1890L107
4900.00000000
NS
USD
-126518.00000000
-0.01404412766
Short
EC
CORP
GB
N
1
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH Network Corp
25470M109
767.00000000
NS
USD
25709.84000000
0.002853920193
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
9706.68000000
0.001077489788
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
Put
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
9706.68000000
0.00107700
DFE
1604095.00000000
USD
6865526.60000000
BRL
N/A
1604095.00000000
USD
4.28000000
USD
2020-06-15
XXXX
-14009.86000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-930.89000000
-0.00010333342
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
1500000.00000000
HKD
191521.64000000
USD
2020-03-18
-930.89000000
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
N/A
66870.00000000
NS
-527760.32000000
-0.05858402209
Short
EC
CORP
FI
N
2
N
N
N
Aurizon Holdings Ltd
5299005PC1O6NOWL3H48
Aurizon Holdings Ltd
N/A
59726.00000000
NS
190141.23000000
0.021106622832
Long
EC
CORP
AU
N
2
N
N
N
Kinder Morgan Inc/DE
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456B101
21267.00000000
NS
USD
-407688.39000000
-0.04525544029
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-6649.53000000
-0.00073813092
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
9388276.49000000
CNY
1335839.00000000
USD
2020-05-26
-6649.53000000
N
N
N
Avid Technology Inc
549300PQGW3DXKJTQ914
Avid Technology Inc
05367P100
10255.00000000
NS
USD
75784.45000000
0.008412451117
Long
EC
CORP
US
N
1
N
N
N
Global Container Assets Ltd
N/A
Global Container Assets Ltd
37890RAF2
226495.33000000
PA
USD
226083.65000000
0.025096410332
Long
ABS-O
CORP
BM
N
2
2030-02-05
Fixed
4.50000000
N
N
N
N
N
N
Vulcan Materials Co
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160109
100.00000000
NS
USD
12026.00000000
0.001334945851
Long
EC
CORP
US
N
1
N
N
N
WFRBS Commercial Mortgage Trust 2012-C6
N/A
WFRBS Commercial Mortgage Trust 2012-C6
92936QAS7
500000.00000000
PA
USD
529340.55000000
0.058759435494
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Variable
5.58000000
N
N
N
N
N
N
SMB Private Education Loan Trust 2017-B
549300NWENTZ8X7JUC78
SMB Private Education Loan Trust 2017-B
83189DAC4
255207.67000000
PA
USD
254965.99000000
0.028302493815
Long
ABS-O
CORP
US
N
2
2035-10-15
Floating
2.41000000
N
N
N
N
N
N
Freddie Mac Stacr Remic Trust 2019-Hqa4
5493005LAQ76UDHPEE03
Freddie Mac Stacr Remic Trust 2019-Hqa4
35565CBE5
530000.00000000
PA
USD
572283.14000000
0.063526276702
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Floating
8.23000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
32376.74000000
0.003593979273
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
6291402.00000000
ZAR
432499.34000000
USD
2020-04-28
32376.74000000
N
N
N
Marriott Vacations Worldwide Corp
549300WA6BT5H4F7IO94
Marriott Vacations Worldwide Corp
57164Y107
2496.00000000
NS
USD
241562.88000000
0.026814681900
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-7657.09000000
-0.00084997509
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
549073.05000000
USD
490000.00000000
EUR
2020-03-18
-7657.09000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
14051165.00000000
PA
USD
-14051165.00000000
-1.55974924542
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
13414000.00000000
USD
14303181.44000000
USD
UST
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
50422095.00000000
PA
USD
-50422095.00000000
-5.59710348777
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
48717000.00000000
USD
51685203.56000000
USD
UST
N
N
N
Banc of America Mortgage 2005-A Trust
N/A
Banc of America Mortgage 2005-A Trust
05949AH86
25129.66800000
PA
USD
25533.36000000
0.002834330035
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
3.68000000
N
N
N
N
N
N
Sumitomo Mitsui Trust Holdings Inc
353800P843RLCDBLNT17
Sumitomo Mitsui Trust Holdings Inc
N/A
17300.00000000
NS
587327.00000000
0.065196220033
Long
EC
CORP
JP
N
2
N
N
N
Liberty Broadband Corp - C Shares
549300MIX43II8JLN536
Liberty Broadband Corp - C Shares
530307305
5401.00000000
NS
USD
-679931.89000000
-0.07547582370
Short
EC
CORP
US
N
1
N
N
N
Sonova Holding AG
5299004A0QNX7FBNHS61
Sonova Holding AG
N/A
91.00000000
NS
21734.82000000
0.002412673190
Long
EC
CORP
CH
N
2
N
N
N
Hilton Worldwide Holdings Inc
549300HVGPK36ICB0B89
Hilton Worldwide Holdings Inc
43300A203
6575.00000000
NS
USD
639090.00000000
0.070942170649
Long
EC
CORP
US
N
1
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738108
3140.00000000
NS
USD
-343390.40000000
-0.03811804339
Short
EC
CORP
US
N
1
N
N
N
ServiceNow Inc
549300HJTQM36M0E1G39
ServiceNow Inc
81762P102
937.00000000
NS
USD
305546.33000000
0.033917163285
Long
EC
CORP
US
N
1
N
N
N
Tapestry Inc
549300LJNVY5SW3VTN33
Tapestry Inc
876030107
2498.00000000
NS
USD
-58578.10000000
-0.00650246063
Short
EC
CORP
US
N
1
N
N
N
Knight-Swift Transportation Holdings Inc
N/A
Knight-Swift Transportation Holdings Inc
499049104
13701.00000000
NS
USD
-437609.94000000
-0.04857688125
Short
EC
CORP
US
N
1
N
N
N
Floor & Decor Holdings Inc
549300M5FR3N688XGQ36
Floor & Decor Holdings Inc
339750101
4552.00000000
NS
USD
232379.60000000
0.025795292116
Long
EC
CORP
US
N
1
N
N
N
Brown-Forman Corp - B Shares
549300873K3LXF7ARU34
Brown-Forman Corp - B Shares
115637209
7311.00000000
NS
USD
-448968.51000000
-0.04983773905
Short
EC
CORP
US
N
1
N
N
N
Cie Generale des Etablissements Michelin SCA
549300SOSI58J6VIW052
Cie Generale des Etablissements Michelin SCA
N/A
4443.00000000
NS
-476140.80000000
-0.05285399847
Short
EC
CORP
FR
N
2
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C26
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C26
46643TAN2
1300000.00000000
PA
USD
1152886.28000000
0.127976114812
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796TL3
4000000.00000000
PA
USD
3997307.88000000
0.443721068647
Long
DBT
UST
US
N
2
2020-03-19
None
1.47000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081103
14871.00000000
NS
USD
496988.82000000
0.055168232454
Long
EC
CORP
US
N
1
N
N
N
Puma SE
529900GRZ2BQY5ZM9N49
Puma SE
N/A
1409.00000000
NS
-109242.78000000
-0.01212649226
Short
EC
CORP
DE
N
2
N
N
N
CH Robinson Worldwide Inc
529900WNWN5L0OVDHA79
CH Robinson Worldwide Inc
12541W209
3090.00000000
NS
USD
212901.00000000
0.023633070574
Long
EC
CORP
US
N
1
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599105
26600.00000000
NS
USD
-870884.00000000
-0.09667245825
Short
EC
CORP
US
N
1
N
N
N
JBS Investments II GmbH
529900V1Q46CPWIWT649
JBS Investments II GmbH
46650CAA7
2400000.00000000
PA
USD
2562000.00000000
0.284394750667
Long
DBT
CORP
AT
N
2
2026-01-15
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1892000.00000000
OU
Notional Amount
USD
-103193.32000000
-0.01145497209
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2023-03-08
241.40000000
USD
0.00000000
USD
1892000.00000000
USD
-103434.72000000
N
N
N
Carnival Corp
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658300
11310.00000000
NS
USD
378432.60000000
0.042007901999
Long
EC
CORP
US
N
1
N
N
N
First Quantum Minerals Ltd
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
N/A
5200.00000000
NS
38430.99000000
0.004266031154
Long
EC
CORP
CA
N
1
N
N
N
Seattle Genetics Inc
N/A
Seattle Genetics Inc
812578102
1947.00000000
NS
USD
-221685.42000000
-0.02460818491
Short
EC
CORP
US
N
1
N
N
N
Welcia Holdings Co Ltd
N/A
Welcia Holdings Co Ltd
N/A
5600.00000000
NS
334360.80000000
0.037115712860
Long
EC
CORP
JP
N
2
N
N
N
Colony American Finance 2016-1 Ltd
N/A
Colony American Finance 2016-1 Ltd
19625GAC3
260000.00000000
PA
USD
262779.50000000
0.029169832311
Long
ABS-O
CORP
US
N
2
2048-06-15
Variable
4.64000000
N
N
N
N
N
N
MINDBODY Inc
549300DOX928XM8ENR47
MINDBODY Inc
60255W105
9229.00000000
NS
USD
336858.50000000
0.037392969991
Long
EC
CORP
US
N
3
N
N
N
Airbnb Inc - Series E
N/A
Airbnb Inc - Series E
N/A
1685.00000000
NS
USD
199933.68000000
0.022193633518
Long
EP
CORP
US
Y
3
N
N
N
CRH PLC
549300MIDJNNTH068E74
CRH PLC
N/A
9587.00000000
NS
-323428.12000000
-0.03590213097
Short
EC
CORP
IE
N
2
N
N
N
Easy Tactic Ltd
549300WYFMC41MKE6E16
Easy Tactic Ltd
N/A
200000.00000000
PA
USD
197276.91000000
0.021898718825
Long
DBT
CORP
VG
N
2
2023-02-27
Fixed
8.13000000
N
N
N
N
N
N
Restaurant Brands International Inc
5299009RXTX9DN9AKJ98
Restaurant Brands International Inc
N/A
1000.00000000
NS
58938.35000000
0.006542450176
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
105000000.00000100
OU
Notional Amount
141164.81000000
0.015669996464
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month Johannesburg Interbank Agreed Rate
Y
2022-11-11
0.00000000
USD
9844.06000000
USD
105000000.00000100
ZAR
151008.87000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
78779.02000000
0.008744863290
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
12099921.82000000
TRY
1988487.00000000
USD
2020-04-10
78779.02000000
N
N
N
Alstom SA
96950032TUYMW11FB530
Alstom SA
N/A
3968.00000000
NS
195904.43000000
0.021746366715
Long
EC
CORP
FR
N
2
N
N
N
Bendigo & Adelaide Bank Ltd
549300Y9URD6W70K0360
Bendigo & Adelaide Bank Ltd
N/A
124108.00000000
NS
-749371.66000000
-0.08318398376
Short
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Futures
N/A
10.00000000
NC
USD
-119448.10000000
-0.01325933357
N/A
DCO
N/A
N
1
SFE
N/A
Long
N/A
Gasoline RBOB; April 2020
2020-04-01
622776.00000000
USD
-119448.10000000
N
N
N
Medibank Pvt Ltd
BDYVSUPTML83OLINBJ17
Medibank Pvt Ltd
N/A
28877.00000000
NS
53944.20000000
0.005988074671
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Total Return Swaps
N/A
24750000.00000000
NC
USD
113571.08000000
0.012606955105
N/A
DIR
N/A
N
2
HSBC Securities Inc
N/A
Egypt Treasury Bills, 0.00%, 08/11/2020
Egypt Treasury Bills, 0.00%, 08/11/2020
Y
Receive positive return on reference instrument
2020-08-12
0.00000000
USD
0.00000000
USD
1374109.33000000
USD
113571.08000000
N
N
N
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AM8
280000.00000000
PA
USD
265650.00000000
0.029488472097
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
4.25000000
N
N
N
N
N
N
Kenbourne Invest SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAA8
355000.00000000
PA
USD
362100.00000000
0.040194902114
Long
DBT
CORP
LU
N
2
2024-11-26
Fixed
6.88000000
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040H105
344.00000000
NS
USD
30361.44000000
0.003370270944
Long
EC
CORP
US
N
1
N
N
N
CoStar Group Inc
N/A
CoStar Group Inc
22160N109
188.00000000
NS
USD
125506.92000000
0.013931892748
Long
EC
CORP
US
N
1
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167CY1
190000.00000000
PA
USD
49756.25000000
0.005523191378
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.50000000
N
N
N
N
N
Chesapeake Energy Corp
Chesapeake Energy Corp
USD
XXXX
N
N
N
Imerys SA
54930075MZSSIB2TGC64
Imerys SA
N/A
3444.00000000
NS
135440.41000000
0.015034559575
Long
EC
CORP
FR
N
2
N
N
N
Royal Caribbean Cruises Ltd
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
V7780T103
3369.00000000
NS
USD
-270901.29000000
-0.03007139142
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
118.00000000
NC
123285.04000000
0.013685253010
N/A
DIR
N/A
N
1
EUX
N/A
Long
N/A
Canadian Bank Acceptance; June 2021
2021-06-15
21701098.91000000
USD
123285.04000000
N
N
N
Yamada Denki Co Ltd
353800MDZ4K1DQKLO464
Yamada Denki Co Ltd
N/A
8300.00000000
NS
-39922.22000000
-0.00443156510
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
27260226.25000000
PA
USD
-27260226.25000000
-3.02602078357
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
26693000.00000000
USD
27557268.37000000
USD
UST
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
8649.93000000
0.000960185279
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
5400000000.00000000
KRW
4484304.93000000
USD
2020-03-20
8649.93000000
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCF0
122000.00000000
PA
USD
114704.40000000
0.012732759265
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.25000000
N
N
N
N
N
N
Alleghany Corp
549300DCJE6AYX159479
Alleghany Corp
017175100
1861.00000000
NS
USD
1251057.25000000
0.138873581063
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
14.00000000
NC
USD
-20183.96000000
-0.00224052001
N/A
DCO
N/A
N
1
EUX
N/A
Long
N/A
Soybean Oil; May 2020
2020-05-15
240912.00000000
USD
-20183.96000000
N
N
N
Autodesk Inc
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769106
1019.00000000
NS
USD
-194506.72000000
-0.02159121394
Short
EC
CORP
US
N
1
N
N
N
Argan Inc
529900E4KZWBV9KGBS83
Argan Inc
04010E109
3534.00000000
NS
USD
147473.82000000
0.016370327973
Long
EC
CORP
US
N
1
N
N
N
Hanesbrands Inc
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345102
8930.00000000
NS
USD
118233.20000000
0.013124473627
Long
EC
CORP
US
N
1
N
N
N
Drive Auto Receivables Trust 2018-5
N/A
Drive Auto Receivables Trust 2018-5
26208MAG1
420000.00000000
PA
USD
437443.99000000
0.048558459979
Long
ABS-O
CORP
US
N
2
2026-04-15
Fixed
4.30000000
N
N
N
N
N
N
Adevinta ASA - B Shares
529900W8V3YLHRSZH763
Adevinta ASA - B Shares
N/A
29845.00000000
NS
309881.16000000
0.034398350989
Long
EC
CORP
NO
N
2
N
N
N
Boston Properties Inc
549300OF70FSEUQBT254
Boston Properties Inc
101121101
107.00000000
NS
USD
13796.58000000
0.001531489043
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-4174.89000000
-0.00046343356
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
17587950.00000000
THB
555000.00000000
USD
2020-08-27
-4174.89000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-4625.00000000
-0.00051339801
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
190000.00000000
EUR
205374.04000000
USD
2020-03-23
-4625.00000000
N
N
N
Boston Scientific Corp
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137107
7226.00000000
NS
USD
-270180.14000000
-0.02999134018
Short
EC
CORP
US
N
1
N
N
N
NTT Data Corp
353800SZGJGSLJRRWB43
NTT Data Corp
N/A
35553.00000000
NS
424016.39000000
0.047067929552
Long
EC
CORP
JP
N
2
N
N
N
DuPont de Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26614N102
2212.00000000
NS
USD
-94894.80000000
-0.01053379507
Short
EC
CORP
US
N
1
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389X105
22736.00000000
NS
USD
1124522.56000000
0.124827600730
Long
EC
CORP
US
N
1
N
N
N
Black Knight Inc
549300TUSNXS3BFFML48
Black Knight Inc
09215C105
6546.00000000
NS
USD
436683.66000000
0.048474059565
Long
EC
CORP
US
N
1
N
N
N
Odebrecht Offshore Drilling Finance Ltd
549300L7LF2PIRAWID66
Odebrecht Offshore Drilling Finance Ltd
N/A
669307.42000000
PA
USD
662614.35000000
0.073553490576
Long
DBT
CORP
KY
N
2
2022-12-01
Fixed
6.72000000
N
N
N
N
N
N
Electrolux AB
549300Y3HHZB1ZGFPJ93
Electrolux AB
N/A
7539.00000000
NS
-153359.05000000
-0.01702361779
Short
EC
CORP
SE
N
2
N
N
N
HollyFrontier Corp
549300J3U2WK73C9ZK26
HollyFrontier Corp
436106108
13560.00000000
NS
USD
456700.80000000
0.050696061727
Long
EC
CORP
US
N
1
N
N
N
CTS Eventim AG & Co KGaA
529900FDHSN08UBJII80
CTS Eventim AG & Co KGaA
N/A
3659.00000000
NS
196084.73000000
0.021766380912
Long
EC
CORP
DE
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
21785.62000000
0.002418312243
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
2320000.00000000
EUR
2585224.43000000
USD
2020-03-18
21785.62000000
N
N
N
CIG AUTO RECEIVABLES TRUST 2017-1
N/A
CIG AUTO RECEIVABLES TRUST 2017-1
171787AA2
14945.71000000
PA
USD
14972.61000000
0.001662034226
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
2.71000000
N
N
N
N
N
N
Schneider Electric SE
969500A1YF1XUYYXS284
Schneider Electric SE
N/A
3087.00000000
NS
313636.88000000
0.034815254601
Long
EC
CORP
FR
N
2
N
N
N
Ovintiv Inc
N/A
Ovintiv Inc
N/A
13260.00000000
NS
153222.28000000
0.017008435642
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
10.00000000
NC
USD
-13655.40000000
-0.00151581736
N/A
DFE
N/A
N
1
ICF
N/A
Long
N/A
Dollar Index; March 2020
2020-03-17
980810.00000000
USD
-13655.40000000
N
N
N
N/A
N/A
Credit Default Swaps
N/A
925000.00000000
OU
Notional Amount
USD
-65762.27000000
-0.00729993925
N/A
DCR
N/A
N
2
Citigroup Inc
N/A
Petroleos Mexicanos, 6.63%, 06/15/2035
Petroleos Mexicanos, 6.63%, 06/15/2035
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-06-20
0.00000000
USD
63956.39000000
USD
925000.00000000
USD
-1805.88000000
N
N
N
Keyera Corp
N/A
Keyera Corp
N/A
12100.00000000
NS
-290454.09000000
-0.03224184953
Short
EC
CORP
CA
N
1
N
N
N
Mexico Government International Bond
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAE0
2552000.00000000
PA
USD
-2730640.00000000
-0.30311462996
Short
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
Cintas Corp
N/A
Cintas Corp
172908105
5410.00000000
NS
USD
1443063.40000000
0.160187219297
Long
EC
CORP
US
N
1
N
N
N
Palo Alto Networks Inc
549300QXR2YVZV231H43
Palo Alto Networks Inc
697435105
317.00000000
NS
USD
-58524.54000000
-0.00649651520
Short
EC
CORP
US
N
1
N
N
N
Continental Resources Inc/OK
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015101
4741.00000000
NS
USD
89841.95000000
0.009972903579
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283J7
48717000.00000000
PA
USD
51424980.24000000
5.708428740614
Long
DBT
UST
US
N
2
2024-11-30
Fixed
2.13000000
N
N
N
N
N
N
Confie Seguros Holding II Co
549300OPJ6GS39HUF828
Confie Seguros Holding II Co
N/A
979000.00000000
PA
USD
925155.00000000
0.102696809349
Long
LON
CORP
US
N
2
2025-10-31
Floating
10.08000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
State Street Corp
857477103
5074.00000000
NS
USD
-345590.14000000
-0.03836222548
Short
EC
CORP
US
N
1
N
N
N
Koninklijke Philips NV
H1FJE8H61JGM1JSGM897
Koninklijke Philips NV
N/A
9063.00000000
NS
388114.86000000
0.043082681046
Long
EC
CORP
NL
N
2
N
N
N
Qorvo Inc
254900YAUJV2EUEVBR11
Qorvo Inc
74736K101
10741.00000000
NS
USD
1080329.78000000
0.119921982210
Long
EC
CORP
US
N
1
N
N
N
California Resources Corp
N/A
California Resources Corp
N/A
184000.00000000
PA
USD
156247.28000000
0.017344225697
Long
LON
CORP
US
N
2
2022-11-14
Floating
6.36490000
N
N
N
N
N
N
Citibank Credit Card Issuance Trust
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGC3
1330000.00000000
PA
USD
1330215.19000000
0.147660506360
Long
ABS-O
CORP
US
N
2
2022-04-07
Floating
1.89000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust 2018-C
N/A
Citigroup Mortgage Loan Trust 2018-C
17327KAA3
516379.32000000
PA
USD
522474.92000000
0.057997316394
Long
ABS-MBS
CORP
US
N
2
2059-03-25
Variable
4.13000000
N
N
N
N
N
N
Regions Financial Corp
CW05CS5KW59QTC0DG824
Regions Financial Corp
7591EP100
18204.00000000
NS
USD
-246118.08000000
-0.02732033177
Short
EC
CORP
US
N
1
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650100
27941.00000000
NS
USD
1653548.38000000
0.183552099628
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-39.13000000
-0.00000434362
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Eaton Corp PLC
Eaton Corp PLC
1.00000000
110.00000000
USD
2020-04-20
XXXX
22.58000000
N
N
N
CSG Systems International Inc
549300D7FJZUOHHXUA81
CSG Systems International Inc
126349109
1787.00000000
NS
USD
79074.75000000
0.008777690792
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
923320000.00000100
OU
Notional Amount
-3800.48000000
-0.00042187219
N/A
DIR
N/A
N
2
CME
N/A
N/A
Sinacofi Chile Interbank Rate Avg
Y
2025-01-31
318.36000000
USD
0.00000000
USD
923320000.00000100
CLP
-4118.84000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
4705.08000000
0.000522287296
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
4504658.80000000
CNY
650000.11000000
USD
2020-03-18
4705.08000000
N
N
N
Egypt Government International Bond
529900GFIVH4086NMH82
Egypt Government International Bond
N/A
3850000.00000000
PA
4255511.46000000
0.472382951065
Long
DBT
NUSS
EG
N
2
2030-04-16
Fixed
5.63000000
N
N
N
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
90353T100
42792.00000000
NS
USD
1449365.04000000
0.160886732700
Long
EC
CORP
US
N
1
N
N
N
Turkey Government International Bond
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123AL4
497000.00000000
PA
USD
-684474.36000000
-0.07598006048
Short
DBT
NUSS
TR
N
2
2030-01-15
Fixed
11.88000000
N
N
N
N
N
N
Parallel 2015-1 Ltd
549300IVH7GEF68EFD31
Parallel 2015-1 Ltd
69915VAN0
530590.68000000
PA
USD
529635.62000000
0.058792189732
Long
ABS-O
CORP
KY
N
2
2027-07-20
Floating
2.67000000
N
N
N
N
N
N
Rede D'or Finance Sarl
549300FDE772OLJUCP79
Rede D'or Finance Sarl
75735GAA6
660000.00000000
PA
USD
644160.00000000
0.071504965882
Long
DBT
CORP
LU
N
2
2030-01-22
Fixed
4.50000000
N
N
N
N
N
N
FUCHS PETROLUB SE
529900SNF9E1P5ZO4P98
FUCHS PETROLUB SE
N/A
1260.00000000
NS
48233.18000000
0.005354123028
Long
EP
CORP
DE
N
2
N
N
N
Ventas Inc
ORQTRC074CWLT3DKHT41
Ventas Inc
92276F100
1276.00000000
NS
USD
-68610.52000000
-0.00761610918
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
25497.75000000
0.002830377148
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
7875000.00000000
MYR
1895306.86000000
USD
2020-03-16
25497.75000000
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211K100
30213.00000000
NS
USD
915756.03000000
0.101653476902
Long
EC
CORP
US
N
1
N
N
N
Starwood Retail Property Trust 2014-STAR
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAN7
170000.00000000
PA
USD
158246.95000000
0.017566199019
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
4.41000000
N
N
N
N
N
N
Shiseido Co Ltd
5299008QCD0YDT5OF506
Shiseido Co Ltd
N/A
2500.00000000
NS
-149224.45000000
-0.01656465661
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
1408220.00000000
PA
USD
-1408220.00000000
-0.15631942848
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
1384000.00000000
USD
1422695.12000000
USD
UST
N
N
N
GVC Holdings PLC
213800GNI3K45LQR8L28
GVC Holdings PLC
N/A
2008.00000000
NS
20644.59000000
0.002291652234
Long
EC
CORP
IM
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
5214.49000000
0.000578834341
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
530000.00000000
CAD
400118.98000000
USD
2020-03-23
5214.49000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-11866.85000000
-0.00131727940
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1733498.42000000
USD
1555710.00000000
EUR
2020-04-14
-11866.85000000
N
N
N
Ryohin Keikaku Co Ltd
549300PMNF56J66BY371
Ryohin Keikaku Co Ltd
N/A
6000.00000000
NS
-81275.15000000
-0.00902194614
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2381000.00000000
OU
Notional Amount
USD
-242476.45000000
-0.02691609271
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2025-05-04
295.66000000
USD
0.00000000
USD
2381000.00000000
USD
-242772.11000000
N
N
N
Magellan Financial Group Ltd
549300X5WFW6USQQ9U26
Magellan Financial Group Ltd
N/A
1217.00000000
NS
45022.31000000
0.004997700478
Long
EC
CORP
AU
N
2
N
N
N
Everest Re Group Ltd
549300N24XF2VV0B3570
Everest Re Group Ltd
G3223R108
273.00000000
NS
USD
67671.24000000
0.007511844429
Long
EC
CORP
BM
N
1
N
N
N
Aozora Bank Ltd
X0XUGKC9FD2CYUQNC010
Aozora Bank Ltd
N/A
1300.00000000
NS
32261.68000000
0.003581207041
Long
EC
CORP
JP
N
2
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
170000.00000000
PA
USD
158204.67000000
0.017561505729
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.38000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-1745.52000000
-0.00019376140
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1421886.98000000
USD
13361400.88000000
NOK
2020-03-02
-1745.52000000
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312106
878.00000000
NS
USD
79450.22000000
0.008819369831
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-23322.14000000
-0.00258887361
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
2788400.00000000
EUR
3055473.75000000
USD
2020-03-06
-23322.14000000
N
N
N
Compass Minerals International Inc
2549008X9G8XP7YJGC47
Compass Minerals International Inc
20451N101
1263.00000000
NS
USD
68896.65000000
0.007647871037
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4061000.00000000
OU
Notional Amount
USD
-214652.79000000
-0.02382752798
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2024-04-03
233.71000000
USD
0.00000000
USD
4061000.00000000
USD
-214886.50000000
N
N
N
Adidas AG
549300JSX0Z4CW0V5023
Adidas AG
N/A
215.00000000
NS
-60532.74000000
-0.00671943540
Short
EC
CORP
DE
N
2
N
N
N
ASP Unifrax Holdings Inc
549300RRU6BWJLD0YT71
ASP Unifrax Holdings Inc
N/A
637000.00000000
PA
USD
572236.21000000
0.063521067238
Long
LON
CORP
US
N
2
2026-12-14
Floating
10.84180000
N
N
N
N
N
N
Marathon Oil Corp
1FRVQX2CRLGC1XLP5727
Marathon Oil Corp
565849106
55748.00000000
NS
USD
-461593.44000000
-0.05123916911
Short
EC
CORP
US
N
1
N
N
N
Sprite 2017-1 Ltd
N/A
Sprite 2017-1 Ltd
85208HAB9
247712.66480000
PA
USD
259525.12000000
0.028808579935
Long
ABS-O
CORP
KY
N
2
2037-12-15
Fixed
5.75000000
N
N
N
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062X103
4537.00000000
NS
USD
1399165.43000000
0.155314326154
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
5866.50000000
0.000651210696
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1236242.23000000
USD
11933524.49000000
SEK
2020-03-06
5866.50000000
N
N
N
N/A
N/A
Options
N/A
37.00000000
NC
USD
-321085.65000000
-0.03564210514
N/A
DE
N/A
N
1
CBOE
N/A
Put
Written
S&P 500 Index
SPX
S&P 500 Index
37.00000000
2550.00000000
USD
2020-09-21
XXXX
-29167.79000000
N
N
N
Progress Residential 2019-SFR1 Trust
N/A
Progress Residential 2019-SFR1 Trust
74333BAJ7
420000.00000000
PA
USD
438320.15000000
0.048655718099
Long
ABS-O
CORP
US
N
2
2035-08-17
Fixed
4.47000000
N
N
N
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
4820073.75000000
PA
USD
-4820073.75000000
-0.53505217499
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
4607000.00000000
USD
4866059.87000000
USD
UST
N
N
N
DiaSorin SpA
8156002878BDF0EE4348
DiaSorin SpA
N/A
1537.00000000
NS
176100.91000000
0.019548077436
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Futures
N/A
29.00000000
NC
USD
-452226.63000000
-0.05019940659
N/A
DE
N/A
N
1
CBT
N/A
Long
Nasdaq 100 E-Mini; March 2020
N/A
Nasdaq 100 E-Mini; March 2020
2020-03-23
4903320.00000000
USD
-452226.63000000
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12
61762XAG2
1275000.00000000
PA
USD
1130200.67000000
0.125457899199
Long
ABS-MBS
CORP
US
N
2
2046-10-15
Fixed
3.71000000
N
N
N
N
N
N
Daifuku Co Ltd
N/A
Daifuku Co Ltd
N/A
5700.00000000
NS
-335059.29000000
-0.03719324872
Short
EC
CORP
JP
N
2
N
N
N
UGI Corp
DX6GCWD4Q1JO9CRE5I40
UGI Corp
902681105
8157.00000000
NS
USD
293978.28000000
0.032633052163
Long
EC
CORP
US
N
1
N
N
N
Ziggo BV
213800TQASLF9JXH5J59
Ziggo BV
N/A
235000.00000000
PA
253914.87000000
0.028185814264
Long
LON
CORP
NL
N
2
2029-01-17
Floating
2.99950000
N
N
N
N
N
N
Sterling Bancorp/DE
549300LQK6SKH5ZXO648
Sterling Bancorp/DE
85917A100
4323.00000000
NS
USD
71675.34000000
0.007956319456
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
18585.39000000
0.002063070786
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
3608479.00000000
USD
3285540.00000000
EUR
2020-03-02
18585.39000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-31855.01000000
-0.00353606464
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
433618.84000000
USD
6317208.30000000
ZAR
2020-04-28
-31855.01000000
N
N
N
N/A
N/A
Options
N/A
338.00000000
NC
USD
-2112.50000000
-0.00023449801
N/A
DIR
N/A
N
1
CME
N/A
Put
Written
CME
N/A
N/A
N/A
FUTURE
N/A
338.00000000
NC
USD
-2112.50000000
-0.00023400
DIR
Short
N/A
90 Day Eurodollar Future; March 2020
N/A
845000.00000000
USD
338.00000000
98.00000000
USD
2020-03-17
XXXX
-402.22000000
N
N
N
Husky Energy Inc
N/A
Husky Energy Inc
N/A
1800.00000000
NS
-8569.19000000
-0.00095122273
Short
EC
CORP
CA
N
1
N
N
N
Intercontinental Exchange Inc
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866F104
1348.00000000
NS
USD
-120268.56000000
-0.01335040871
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4265000.00000000
OU
Notional Amount
USD
-84718.64000000
-0.00940419067
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2022-02-07
155.09000000
USD
0.00000000
USD
4265000.00000000
USD
-84873.73000000
N
N
N
Y-mAbs Therapeutics Inc
N/A
Y-mAbs Therapeutics Inc
984241109
2396.00000000
NS
USD
70490.32000000
0.007824776339
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-50075.06000000
-0.00555858087
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
327555000.00000000
JPY
2994815.95000000
USD
2020-04-15
-50075.06000000
N
N
N
Henkel AG & Co KGaA
549300VZCL1HTH4O4Y49
Henkel AG & Co KGaA
N/A
2783.00000000
NS
-259283.37000000
-0.02878174448
Short
EP
CORP
DE
N
2
N
N
N
Koninklijke Vopak NV
724500UL634GFV1KYF10
Koninklijke Vopak NV
N/A
5107.00000000
NS
-243116.60000000
-0.02698715255
Short
EC
CORP
NL
N
2
N
N
N
Nikon Corp
549300X7LIS9RFELXJ98
Nikon Corp
N/A
7600.00000000
NS
-77632.26000000
-0.00861756722
Short
EC
CORP
JP
N
2
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
N/A
607424.71000000
PA
USD
591479.81000000
0.065657202611
Long
LON
CORP
US
N
2
2026-01-02
Floating
3.39540000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-56808.40000000
-0.00630601512
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
2002014.31000000
USD
8745035.83000000
BRL
2020-06-16
-56808.40000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
38486.38000000
0.004272179720
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
3006404.63000000
USD
327555000.00000000
JPY
2020-04-15
38486.38000000
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
19647.00000000
NS
USD
951307.74000000
0.105599893647
Long
EC
CORP
US
N
1
N
N
N
Argentina POM Politica Monetaria
549300KPBYGYF7HCHO27
Argentina POM Politica Monetaria
N/A
6725000.00000000
PA
72212.41000000
0.008015936899
Long
DBT
NUSS
AR
N
2
2020-06-21
Floating
51.30000000
N
N
N
N
N
N
DaVita Inc
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918K108
3510.00000000
NS
USD
272446.20000000
0.030242884121
Long
EC
CORP
US
N
1
N
N
N
Barry Callebaut AG
213800Y5RWKLDPUTT265
Barry Callebaut AG
N/A
89.00000000
NS
-183591.15000000
-0.02037953135
Short
EC
CORP
CH
N
2
N
N
N
CI Financial Corp
549300M9W7JJQSVCEM78
CI Financial Corp
N/A
10800.00000000
NS
179349.60000000
0.019908698194
Long
EC
CORP
CA
N
1
N
N
N
Catena AB
549300EMLM7AH5LDLY65
Catena AB
N/A
4280.00000000
NS
142688.34000000
0.015839115877
Long
EC
CORP
SE
N
2
N
N
N
Zimmer Biomet Holdings Inc
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956P102
319.00000000
NS
USD
43431.85000000
0.004821151503
Long
EC
CORP
US
N
1
N
N
N
Malibu Boats Inc
N/A
Malibu Boats Inc
56117J100
1834.00000000
NS
USD
80585.96000000
0.008945442623
Long
EC
CORP
US
N
1
N
N
N
Costa Rica Government International Bond
N/A
Costa Rica Government International Bond
N/A
1880000.00000000
PA
USD
1875300.00000000
0.208167633070
Long
DBT
NUSS
CR
N
2
2023-01-26
Fixed
4.25000000
N
N
N
N
N
N
Omnicom Group Inc
HKUPACFHSSASQK8HLS17
Omnicom Group Inc
681919106
1468.00000000
NS
USD
101703.04000000
0.011289543599
Long
EC
CORP
US
N
1
N
N
N
PayPal Holdings Inc
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450Y103
2655.00000000
NS
USD
286713.45000000
0.031826619877
Long
EC
CORP
US
N
1
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WDF5
300000.00000000
PA
USD
303359.41000000
0.033674404281
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
1.95000000
N
N
N
N
N
N
HCA Healthcare Inc
529900PH4ZGUH2MNEU89
HCA Healthcare Inc
40412C101
2636.00000000
NS
USD
334798.36000000
0.037164284198
Long
EC
CORP
US
N
1
N
N
N
Odonate Therapeutics Inc
549300D50X5LSJ208C14
Odonate Therapeutics Inc
676079106
1847.00000000
NS
USD
54652.73000000
0.006066725027
Long
EC
CORP
US
N
1
N
N
N
Digital Realty Trust Inc
549300HKCZ31D08NEI41
Digital Realty Trust Inc
253868103
1577.00000000
NS
USD
189413.47000000
0.021025837850
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
21669.83000000
0.002405458977
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
Put
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
21669.83000000
0.00240500
DFE
3581085.00000000
USD
15327043.80000000
BRL
N/A
3581085.00000000
USD
4.28000000
USD
2020-06-15
XXXX
-35090.37000000
N
N
N
Western Digital Corp
549300QQXOOYEF89IC56
Western Digital Corp
958102105
17869.00000000
NS
USD
-992801.64000000
-0.11020592305
Short
EC
CORP
US
N
1
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
Illinois Tool Works Inc
452308109
8063.00000000
NS
USD
1352810.14000000
0.150168658261
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital I Trust 2011-C2
N/A
Morgan Stanley Capital I Trust 2011-C2
617459AJ1
475000.00000000
PA
USD
481544.69000000
0.053453857161
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5.49000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
13166.58000000
0.001461555907
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
591000.00000000
USD
65140357.07000000
JPY
2020-03-09
13166.58000000
N
N
N
Russian Federal Bond - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
N/A
444350000.00000100
PA
6971239.32000000
0.773842259273
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680103
7255.00000000
NS
USD
-484053.60000000
-0.05373235865
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
37964.04000000
0.004214197381
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
Put
Purchased
Goldman Sachs & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
37964.04000000
0.00421400
DFE
1689000.00000000
USD
184945500.00000000
JPY
N/A
1689000.00000000
USD
109.50000000
USD
2020-04-27
XXXX
24102.92000000
N
N
N
iShares Russell 2000 Value ETF
549300WJAJCAZZLTQD63
iShares Russell 2000 Value ETF
464287630
288.00000000
NS
USD
31711.68000000
0.003520154304
Long
EC
RF
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
19010.53000000
0.002110263442
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
750000.00000000
GBP
980949.91000000
USD
2020-03-18
19010.53000000
N
N
N
RWE AG
529900GB7KCA94ACC940
RWE AG
N/A
4814.00000000
NS
167089.00000000
0.018547710575
Long
EC
CORP
DE
N
2
N
N
N
Coty Inc
549300BO9IWPF3S48F93
Coty Inc
222070203
22109.00000000
NS
USD
-204066.07000000
-0.02265234937
Short
EC
CORP
US
N
1
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH Network Corp
25470M109
27708.00000000
NS
USD
-928772.16000000
-0.10309833211
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
42.00000000
NC
6494.80000000
0.000720955123
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
90 Day Short Sterling; March 2021
2021-03-18
6703015.62000000
USD
6494.80000000
N
N
N
Honda Auto Receivables 2017-3 Owner Trust
N/A
Honda Auto Receivables 2017-3 Owner Trust
43814PAC4
158091.06000000
PA
USD
158153.84000000
0.017555863346
Long
ABS-O
CORP
US
N
2
2021-09-20
Fixed
1.79000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YQ7
43386000.00000000
PA
USD
45040091.25000000
4.999674286144
Long
DBT
UST
US
N
2
2026-10-31
Fixed
1.63000000
N
N
N
N
N
N
Regeneron Pharmaceuticals Inc
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886F107
948.00000000
NS
USD
-421452.36000000
-0.04678330946
Short
EC
CORP
US
N
1
N
N
N
MSCI Inc
549300HTIN2PD78UB763
MSCI Inc
55354GAK6
265000.00000000
PA
USD
265331.25000000
0.029453089261
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.63000000
N
N
N
N
N
N
Suncorp Group Ltd
549300BVOKRTHDIWVT46
Suncorp Group Ltd
N/A
31412.00000000
NS
-234672.57000000
-0.02604982319
Short
EC
CORP
AU
N
2
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
Mastercard Inc
57636Q104
2322.00000000
NS
USD
673960.50000000
0.074812969694
Long
EC
CORP
US
N
1
N
N
N
Jack Henry & Associates Inc
529900X1QS8C54W0JB21
Jack Henry & Associates Inc
426281101
518.00000000
NS
USD
-78601.32000000
-0.00872513770
Short
EC
CORP
US
N
1
N
N
N
Kestrel Aircraft Funding Ltd
N/A
Kestrel Aircraft Funding Ltd
49255PAA1
359142.84000000
PA
USD
373941.14000000
0.041509327585
Long
ABS-O
CORP
KY
N
2
2038-12-15
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
712500.00000000
PA
USD
-712500.00000000
-0.07909104599
Short
RA
US
N
2
Reverse repurchase
N
2.25000000
N/A
1000000.00000000
USD
966250.00000000
USD
CDS
N
N
N
Raytheon Co
YR6K3WJN0KKLUPZSNL57
Raytheon Co
755111507
2953.00000000
NS
USD
556817.68000000
0.061809533673
Long
EC
CORP
US
N
1
N
N
N
Wolters Kluwer NV
724500TEM53I0U077B74
Wolters Kluwer NV
N/A
8345.00000000
NS
610531.56000000
0.067772041678
Long
EC
CORP
NL
N
2
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
Realty Income Corp
756109104
3755.00000000
NS
USD
271824.45000000
0.030173866777
Long
EC
CORP
US
N
1
N
N
N
Alliant Energy Corp
5493009ML300G373MZ12
Alliant Energy Corp
018802108
4270.00000000
NS
USD
-222552.40000000
-0.02470442400
Short
EC
CORP
US
N
1
N
N
N
Amcor PLC
549300GSODGFCDQ3DI89
Amcor PLC
G0250X107
11767.00000000
NS
USD
109668.44000000
0.012173742642
Long
EC
CORP
GB
N
1
N
N
N
Capri Holdings Ltd
549300LPG8W0H1OX3A26
Capri Holdings Ltd
G1890L107
12650.00000000
NS
USD
326623.00000000
0.036256778550
Long
EC
CORP
GB
N
1
N
N
N
Sherwin-Williams Co/The
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348106
2043.00000000
NS
USD
1055720.25000000
0.117190201902
Long
EC
CORP
US
N
1
N
N
N
Church & Dwight Co Inc
POOXSI30AWAQGYJZC921
Church & Dwight Co Inc
171340102
3556.00000000
NS
USD
-247213.12000000
-0.02744188666
Short
EC
CORP
US
N
1
N
N
N
AmerisourceBergen Corp
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073E105
2070.00000000
NS
USD
174542.40000000
0.019375075069
Long
EC
CORP
US
N
1
N
N
N
Cobalt International Energy Inc
N/A
Cobalt International Energy Inc
190ESCAE3
4635000.00000000
PA
USD
104287.50000000
0.011576431522
Long
DBT
CORP
US
N
2
2023-12-01
None
0.00000000
Y
N
N
N
N
N
Seibu Holdings Inc
353800JY9TYV9WTCN620
Seibu Holdings Inc
N/A
36200.00000000
NS
513382.70000000
0.056988034724
Long
EC
CORP
JP
N
2
N
N
N
ISS A/S
213800LEZA58SZNCBN19
ISS A/S
N/A
640.00000000
NS
-11372.43000000
-0.00126239632
Short
EC
CORP
DK
N
2
N
N
N
1011778 BC ULC / New Red Finance Inc
N/A
1011778 BC ULC / New Red Finance Inc
68245XAJ8
565000.00000000
PA
USD
562175.00000000
0.062404222855
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
4.38000000
N
N
N
N
N
N
Diamond Resorts Owner Trust 2018-1
N/A
Diamond Resorts Owner Trust 2018-1
252724AC3
277105.54000000
PA
USD
287540.25000000
0.031918398792
Long
ABS-O
CORP
US
N
2
2031-01-21
Fixed
4.53000000
N
N
N
N
N
N
Next PLC
213800WQD8ECPZP9PH98
Next PLC
N/A
3912.00000000
NS
308328.94000000
0.034226046844
Long
EC
CORP
GB
N
2
N
N
N
DXC Technology Co
549300DOVZ3EDJB7O259
DXC Technology Co
23355L106
5202.00000000
NS
USD
-125420.22000000
-0.01392226861
Short
EC
CORP
US
N
1
N
N
N
Veolia Environnement SA
969500LENY69X51OOT31
Veolia Environnement SA
N/A
7879.00000000
NS
227000.99000000
0.025198239637
Long
EC
CORP
FR
N
2
N
N
N
Agilent Technologies Inc
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies Inc
00846U101
1166.00000000
NS
USD
-89863.62000000
-0.00997530905
Short
EC
CORP
US
N
1
N
N
N
Envestnet Inc
549300HLWZ5OKIDM8737
Envestnet Inc
29404K106
1431.00000000
NS
USD
108011.88000000
0.011989856238
Long
EC
CORP
US
N
1
N
N
N
Parallel 2017-1 Ltd
N/A
Parallel 2017-1 Ltd
69915XAS5
305000.00000000
PA
USD
305000.00000000
0.033856517936
Long
ABS-O
CORP
KY
N
2
2029-07-20
Floating
3.71000000
N
N
N
N
N
N
Garmin Ltd
2549001E0HIPIJQ0W046
Garmin Ltd
H2906T109
9451.00000000
NS
USD
835373.89000000
0.092730659313
Long
EC
CORP
CH
N
1
N
N
N
N/A
N/A
Futures
N/A
28.00000000
NC
25080.81000000
0.002784094733
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
Canadian Bank Acceptance; September 2021
2021-09-14
5149413.30000000
USD
25080.81000000
N
N
N
Covestro AG
3912005AWHKLQ1CPLV11
Covestro AG
N/A
15828.00000000
NS
613295.23000000
0.068078822803
Long
EC
CORP
DE
N
2
N
N
N
Bancolombia SA
54930052NWJRPNMP1W58
Bancolombia SA
05968LAL6
1500000.00000000
PA
USD
1527765.00000000
0.169589518444
Long
DBT
CORP
CO
N
2
2029-12-18
Variable
4.63000000
N
N
N
N
N
N
Kikkoman Corp
529900T9K5UH9HXOND47
Kikkoman Corp
N/A
5000.00000000
NS
-229900.64000000
-0.02552011521
Short
EC
CORP
JP
N
2
N
N
N
eBay Inc
OML71K8X303XQONU6T67
eBay Inc
278642103
3518.00000000
NS
USD
-121863.52000000
-0.01352745721
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-41215.99000000
-0.00457518001
N/A
DFE
N/A
N
2
JPMorgan Chase
N/A
Call
Written
JPMorgan Chase
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-41215.99000000
-0.00457500
DFE
6277450.00000000
BRL
1407500.00000000
USD
N/A
1407500.00000000
USD
4.46000000
USD
2020-06-15
XXXX
-18151.29000000
N
N
N
Power Finance Corp Ltd
3358003Q6D9LIJJZ1614
Power Finance Corp Ltd
N/A
2740000.00000000
PA
USD
3006384.47000000
0.333723638468
Long
DBT
CORP
IN
N
2
2028-08-10
Fixed
5.25000000
N
N
N
N
N
N
Orpea
969500LHIH3NT7PK1V89
Orpea
N/A
1582.00000000
NS
205270.05000000
0.022785997146
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Options
N/A
2.00000000
NC
USD
-83.22000000
-0.00000923783
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Magellan Midstream Partners LP
Magellan Midstream Partners LP
2.00000000
62.50000000
USD
2020-04-20
XXXX
86.20000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-1329264.51000000
-0.14755497614
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
37551444.86000000
USD
714609099.49000000
MXN
2020-03-18
-1329264.51000000
N
N
N
easyJet PLC
2138001S47XKWIB7TH90
easyJet PLC
N/A
843.00000000
NS
-12169.03000000
-0.00135082289
Short
EC
CORP
GB
N
2
N
N
N
Onex Corp
894500LB8PNE5C7CEN88
Onex Corp
N/A
9800.00000000
NS
-550216.43000000
-0.06107676206
Short
EC
CORP
CA
N
1
N
N
N
GSR Mortgage Loan Trust 2005-4F
N/A
GSR Mortgage Loan Trust 2005-4F
36242DY31
39921.08000000
PA
USD
40526.75000000
0.004498670945
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
729.00000000
NC
USD
4556.25000000
0.000505766425
N/A
DIR
N/A
N
1
CME
N/A
Put
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
729.00000000
NC
USD
4556.25000000
0.00050600
DIR
Short
N/A
90 Day Eurodollar Future; March 2020
N/A
1822500.00000000
USD
729.00000000
98.37500000
USD
2020-03-17
XXXX
-14726.79000000
N
N
N
GoDaddy Inc
N/A
GoDaddy Inc
380237107
9405.00000000
NS
USD
658161.90000000
0.073059246467
Long
EC
CORP
US
N
1
N
N
N
Volvo AB - B Shares
549300HGV012CNC8JD22
Volvo AB - B Shares
N/A
17457.00000000
NS
274016.36000000
0.030417179695
Long
EC
CORP
SE
N
2
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796TP4
3100000.00000000
PA
USD
3077283.01000000
0.341593729259
Long
DBT
UST
US
N
2
2020-11-05
None
1.50000000
N
N
N
N
N
N
IQVIA Holdings Inc
549300W3R20NM4KQPH86
IQVIA Holdings Inc
46266C105
2407.00000000
NS
USD
-335752.43000000
-0.03727019071
Short
EC
CORP
US
N
1
N
N
N
AMETEK Inc
549300WZDEF9KKE40E98
AMETEK Inc
031100100
2849.00000000
NS
USD
245014.00000000
0.027197773395
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-4895.03000000
-0.00054337269
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
7100000.00000000
SEK
735846.61000000
USD
2020-04-15
-4895.03000000
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579TM0
574560.53790000
PA
USD
449539.67000000
0.049901140657
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.94000000
N
N
N
N
N
N
Altice USA Inc
54930064K3612MGCER95
Altice USA Inc
02156K103
32444.00000000
NS
USD
839001.84000000
0.093133379819
Long
EC
CORP
US
N
1
N
N
N
McDonald's Holdings Co Japan Ltd
529900FY9FV0AYNRC729
McDonald's Holdings Co Japan Ltd
N/A
8900.00000000
NS
375390.11000000
0.041670170467
Long
EC
CORP
JP
N
2
N
N
N
Lonza Group AG
549300EFW4H2TCZ71055
Lonza Group AG
N/A
2289.00000000
NS
913397.45000000
0.101391662784
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6337000.00000000
OU
Notional Amount
USD
-649619.35000000
-0.07211098090
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2025-08-21
234.53000000
USD
0.00000000
USD
6337000.00000000
USD
-649853.88000000
N
N
N
Getlink SE
9695007ZEQ7M0OE74G82
Getlink SE
N/A
36359.00000000
NS
-588706.45000000
-0.06534934584
Short
EC
CORP
FR
N
2
N
N
N
Tesla Inc
54930043XZGB27CTOV49
Tesla Inc
88160R101
194.00000000
NS
USD
129590.06000000
0.014385141609
Long
EC
CORP
US
N
1
N
N
N
Discover Financial Services
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709108
495.00000000
NS
USD
32462.10000000
0.003603454658
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
26675000.00000000
NC
USD
125549.52000000
0.013936621560
N/A
DIR
N/A
N
2
HSBC Securities Inc
N/A
Egypt Government Bond, 14.30%, 09/03/2022
Egypt Government Bond, 14.30%, 09/03/2022
Y
Receive positive return on reference instrument
2020-11-13
0.00000000
USD
0.00000000
USD
1706774.61000000
USD
125549.52000000
N
N
N
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
N/A
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
N/A
8152604.34000000
NS
USD
8152604.34000000
0.904979655959
Long
STIV
RF
US
N
1
N
N
N
Cabot Oil & Gas Corp
FCNMH6O7VWU7LHXMK351
Cabot Oil & Gas Corp
127097103
27712.00000000
NS
USD
-386028.16000000
-0.04285104696
Short
EC
CORP
US
N
1
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076C106
2942.00000000
NS
USD
-415704.60000000
-0.04614527949
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
118.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
N/A
N
1
CBT
N/A
Put
Purchased
CBT
N/A
N/A
N/A
FUTURE
N/A
118.00000000
NC
USD
0.00000000
0.00000000
DIR
Short
N/A
US 10 Year Note Future; June 2020
N/A
118000.00000000
USD
118.00000000
132.50000000
USD
2020-03-02
XXXX
-29283.12000000
N
N
N
Softbank Corp
353800M1YCTS9JRBJ535
Softbank Corp
N/A
9600.00000000
NS
126120.37000000
0.013999988751
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Options
N/A
60.00000000
NC
USD
90937.50000000
0.010094515081
N/A
DIR
N/A
N
1
CBT
N/A
Call
Purchased
CBT
N/A
N/A
N/A
FUTURE
N/A
60.00000000
NC
USD
90937.50000000
0.01009500
DIR
Long
N/A
US 10 Year Note Future; June 2020
N/A
60000.00000000
USD
60.00000000
134.50000000
USD
2020-04-27
XXXX
63637.20000000
N
N
N
AIA Group Ltd
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAG0
515000.00000000
PA
USD
515255.46000000
0.057195920404
Long
DBT
CORP
HK
N
2
2021-09-20
Floating
2.43000000
N
N
N
N
N
N
Moncler SpA
815600EBD7FB00525B20
Moncler SpA
N/A
7529.00000000
NS
296273.07000000
0.032887785274
Long
EC
CORP
IT
N
2
N
N
N
SLM Private Credit Student Loan Trust 2003-A
N/A
SLM Private Credit Student Loan Trust 2003-A
78443CAJ3
239000.00000000
PA
USD
239045.17000000
0.026535203559
Long
ABS-O
CORP
US
N
2
2032-06-15
Floating
5.05000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
3278.53000000
0.000363933146
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
2850000.00000000
PLN
730544.45000000
USD
2020-04-15
3278.53000000
N
N
N
PPL Corp
9N3UAJSNOUXFKQLF3V18
PPL Corp
69351T106
6952.00000000
NS
USD
-208629.52000000
-0.02315891503
Short
EC
CORP
US
N
1
N
N
N
Dollar Tree Inc
549300PMSTQITB1WHR43
Dollar Tree Inc
256746108
18295.00000000
NS
USD
-1519033.85000000
-0.16862031734
Short
EC
CORP
US
N
1
N
N
N
WFRBS Commercial Mortgage Trust 2011-C3
N/A
WFRBS Commercial Mortgage Trust 2011-C3
92935VAS7
350000.00000000
PA
USD
304699.12000000
0.033823118759
Long
ABS-MBS
CORP
US
N
2
2044-03-15
Variable
5.68000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933Y105
7574.00000000
NS
USD
579865.44000000
0.064367949738
Long
EC
CORP
US
N
1
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441C204
218.00000000
NS
USD
19990.60000000
0.002219056090
Long
EC
CORP
US
N
1
N
N
N
Nexon Co Ltd
5299005SFO0GAJFLKN43
Nexon Co Ltd
N/A
4600.00000000
NS
-72744.15000000
-0.00807496268
Short
EC
CORP
JP
N
2
N
N
N
Fresenius Medical Care AG & Co KGaA
549300CP8NY40UP89Q40
Fresenius Medical Care AG & Co KGaA
N/A
4614.00000000
NS
-355862.47000000
-0.03950250524
Short
EC
CORP
DE
N
2
N
N
N
Tractor Supply Co
549300OJ9VZHZRO6I137
Tractor Supply Co
892356106
2638.00000000
NS
USD
233489.38000000
0.025918483219
Long
EC
CORP
US
N
1
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG
N/A
1659.00000000
NS
275404.01000000
0.030571215752
Long
EP
CORP
DE
N
2
N
N
N
Ascendis Pharma A/S
549300B66JN3W3J8GH73
Ascendis Pharma A/S
04351P101
304.00000000
NS
USD
39635.52000000
0.004399739979
Long
EC
CORP
DK
N
1
N
N
N
JGC Holdings Corp
5493003WMGG79YLARU68
JGC Holdings Corp
N/A
38300.00000000
NS
463002.90000000
0.051395626192
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
49920.15000000
0.005541385094
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
36124716.28000000
THB
1195157.00000000
USD
2020-03-18
49920.15000000
N
N
N
Helmerich & Payne Inc
254900NAOGHJ88RZ4C73
Helmerich & Payne Inc
423452101
2429.00000000
NS
USD
89605.81000000
0.009946690863
Long
EC
CORP
US
N
1
N
N
N
Ameren Corp
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608102
2546.00000000
NS
USD
-201134.00000000
-0.02232687501
Short
EC
CORP
US
N
1
N
N
N
Heineken NV
724500K5PTPSST86UQ23
Heineken NV
N/A
1691.00000000
NS
168477.35000000
0.018701824335
Long
EC
CORP
NL
N
2
N
N
N
Halcyon Loan Advisors Funding 2014-2 Ltd
549300U92YP85EMXX728
Halcyon Loan Advisors Funding 2014-2 Ltd
40538BAM4
145549.47300000
PA
USD
145505.81000000
0.016151869069
Long
ABS-O
CORP
KY
N
2
2025-04-28
Floating
2.98000000
N
N
N
N
N
N
PACCAR Inc
KDTEY8BWE486IKZ3CC07
PACCAR Inc
693718108
5674.00000000
NS
USD
-379590.60000000
-0.04213644576
Short
EC
CORP
US
N
1
N
N
N
Canadian National Railway Co
3SU7BEP7TH9YEQOZCS77
Canadian National Railway Co
N/A
4993.00000000
NS
423284.39000000
0.046986673909
Long
EC
CORP
CA
N
1
N
N
N
Adobe Inc
FU4LY2G4933NH2E1CP29
Adobe Inc
00724PAA7
1160000.00000000
PA
USD
1175764.75000000
0.130515738844
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
1.70000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
53.00000000
NC
USD
107830.43000000
0.011969714384
N/A
DCO
N/A
N
1
EUX
N/A
Short
N/A
Natural Gas; April 2020
2020-03-30
892520.00000000
USD
107830.43000000
N
N
N
N/A
N/A
Repurchase Agreement
N/A
1330727.50000000
PA
USD
1330727.50000000
0.147717375319
Long
RA
US
N
2
Repurchase
N
1.30000000
N/A
1093000.00000000
USD
1332275.92000000
USD
N
N
N
Illumina Inc
SQ95QG8SR5Q56LSNF682
Illumina Inc
452327109
987.00000000
NS
USD
-262216.29000000
-0.02910731319
Short
EC
CORP
US
N
1
N
N
N
Fortum Oyj
635400IUIZZIUJSAMF76
Fortum Oyj
N/A
12366.00000000
NS
264086.42000000
0.029314906936
Long
EC
CORP
FI
N
2
N
N
N
Nitto Denko Corp
3538009GX5P09USH2J25
Nitto Denko Corp
N/A
5600.00000000
NS
278451.66000000
0.030909520069
Long
EC
CORP
JP
N
2
N
N
N
Progressive Corp/The
529900TACNVLY9DCR586
Progressive Corp/The
743315103
4561.00000000
NS
USD
-333682.76000000
-0.03704044704
Short
EC
CORP
US
N
1
N
N
N
Teva Pharmaceutical Finance Netherlands III BV
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAM3
210000.00000000
PA
USD
220920.00000000
0.024523219483
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.13000000
N
N
N
N
N
N
Westlake Chemical Corp
GOXNEVUM0LL78B1OS344
Westlake Chemical Corp
960413102
1000.00000000
NS
USD
-55870.00000000
-0.00620184805
Short
EC
CORP
US
N
1
N
N
N
Alternative Loan Trust 2004-J10
N/A
Alternative Loan Trust 2004-J10
12667FVB8
181332.63000000
PA
USD
187070.38000000
0.020765743199
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
THK Co Ltd
N/A
THK Co Ltd
N/A
600.00000000
NS
-13571.01000000
-0.00150644965
Short
EC
CORP
JP
N
2
N
N
N
Newmont Corp
549300VSP3RIX7FGDZ51
Newmont Corp
651639106
2107.00000000
NS
USD
-94035.41000000
-0.01043839850
Short
EC
CORP
US
N
1
N
N
N
Sequoia Mortgage Trust 2019-CH1
N/A
Sequoia Mortgage Trust 2019-CH1
81747MAA7
465259.82000000
PA
USD
477582.78000000
0.053014065433
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
4.50000000
N
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312106
120.00000000
NS
USD
-10858.80000000
-0.00120538084
Short
EC
CORP
US
N
1
N
N
N
Danaher Corp
S4BKK9OTCEWQ3YHPFM11
Danaher Corp
235851102
3817.00000000
NS
USD
551861.86000000
0.061259412988
Long
EC
CORP
US
N
1
N
N
N
Southern Co/The
549300FC3G3YU2FBZD92
Southern Co/The
842587107
1084.00000000
NS
USD
-65430.24000000
-0.00726308227
Short
EC
CORP
US
N
1
N
N
N
Yum! Brands Inc
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498101
13087.00000000
NS
USD
1168014.75000000
0.129655450274
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
32.00000000
NC
USD
18566.05000000
0.002060923950
N/A
DCO
N/A
N
1
EUX
N/A
Short
N/A
LME PRI Alum; June 2020
2020-06-16
1359800.00000000
USD
18566.05000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-33817.96000000
-0.00375396186
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
1682002.57000000
USD
25711679.99000000
ZAR
2020-03-02
-33817.96000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
6042.33000000
0.000670728701
N/A
DFE
N/A
N
2
Deutsche Bank AG
N/A
291000.00000000
GBP
379643.26000000
USD
2020-04-30
6042.33000000
N
N
N
Westlake Automobile Receivables Trust 2018-1
N/A
Westlake Automobile Receivables Trust 2018-1
96042NAL1
175000.00000000
PA
USD
177219.86000000
0.019672286455
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
3.41000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135106
1540.00000000
NS
USD
2900975.00000000
0.322022662692
Long
EC
CORP
US
N
1
N
N
N
Brenntag AG
NNROIXVWJ7CPSR27SV97
Brenntag AG
N/A
3393.00000000
NS
153950.38000000
0.017089258366
Long
EC
CORP
DE
N
2
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353RFR4
1480000.00000000
PA
USD
1487159.88000000
0.165082148038
Long
DBT
CORP
US
N
2
2022-12-09
Floating
2.32000000
N
N
N
N
N
N
NN Group NV
724500OHYNDT9OY6Q215
NN Group NV
N/A
1775.00000000
NS
60666.17000000
0.006734246795
Long
EC
CORP
NL
N
2
N
N
N
Moog Inc
549300WM2I4U7OBAHG07
Moog Inc
615394202
999.00000000
NS
USD
77042.88000000
0.008552143110
Long
EC
CORP
US
N
1
N
N
N
Hoshizaki Corp
5299001QAMLGU3SRBG20
Hoshizaki Corp
N/A
6800.00000000
NS
576216.34000000
0.063962881477
Long
EC
CORP
JP
N
2
N
N
N
Banco Macro SA
579100KKDKKIFEBKK040
Banco Macro SA
05963GAJ7
5115000.00000000
PA
45284.72000000
0.005026829294
Long
DBT
CORP
AR
N
2
2022-05-08
Fixed
17.50000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
1.00000000
NC
USD
-177.98000000
-0.00001975666
N/A
DCO
N/A
N
1
EUX
N/A
Long
N/A
LME PRI Alum; June 2020
2020-06-16
42493.75000000
USD
-177.98000000
N
N
N
Citigroup Mortgage Loan Trust 2018-A
N/A
Citigroup Mortgage Loan Trust 2018-A
17327LAA1
229303.98000000
PA
USD
229607.17000000
0.025487538588
Long
ABS-MBS
CORP
US
N
2
2068-01-25
Variable
4.00000000
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00766T100
28384.00000000
NS
USD
1275576.96000000
0.141595390904
Long
EC
CORP
US
N
1
N
N
N
Petrobras Global Finance BV
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAK5
125000.00000000
PA
USD
154212.50000000
0.017118354991
Long
DBT
CORP
NL
N
2
2044-03-17
Fixed
7.25000000
N
N
N
N
N
N
GEA Group AG
549300PHUU0ZZWO8EO07
GEA Group AG
N/A
2233.00000000
NS
59752.52000000
0.006632827098
Long
EC
CORP
DE
N
2
N
N
N
Rotork PLC
213800AH5RZIHGWRJ718
Rotork PLC
N/A
41895.00000000
NS
153190.91000000
0.017004953416
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Futures
N/A
37.00000000
NC
USD
163792.75000000
0.018181810420
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
LME Zinc; June 2020
2020-06-16
1869425.00000000
USD
163792.75000000
N
N
N
Chugai Pharmaceutical Co Ltd
529900T9LAII161DCN95
Chugai Pharmaceutical Co Ltd
N/A
1600.00000000
NS
172112.06000000
0.019105295234
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
19126.20000000
0.002123103388
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1013236.87000000
USD
111350680.17000000
JPY
2020-03-02
19126.20000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
2914605.00000000
PA
USD
-2914605.00000000
-0.32353566052
Short
RA
US
N
2
Reverse repurchase
N
1.62000000
2020-03-02
2868000.00000000
USD
3044974.90000000
USD
UST
N
N
N
Best Buy Co Inc
HL5XPTVRV0O8TUN5LL90
Best Buy Co Inc
086516101
2403.00000000
NS
USD
181786.95000000
0.020179256174
Long
EC
CORP
US
N
1
N
N
N
Whitbread PLC
21380099VMZKRMN3EX36
Whitbread PLC
N/A
8216.00000000
NS
-414373.73000000
-0.04599754630
Short
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Options
N/A
13.00000000
NC
88.48000000
0.000009821720
N/A
DE
N/A
N
1
OSAKA EXCH
N/A
Call
Purchased
MAXIS Nikkei 225 Index
NKY
MAXIS Nikkei 225 Index
13.00000000
24750.00000000
JPY
2020-03-16
XXXX
-24678.49000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5314000.00000000
OU
Notional Amount
USD
-135507.94000000
-0.01504205574
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2022-03-15
162.98000000
USD
0.00000000
USD
5314000.00000000
USD
-135670.92000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16312000.00000000
OU
Notional Amount
40243.75000000
0.004467256536
N/A
DIR
N/A
N
2
Bank of America NA
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2024-08-22
0.00000000
USD
0.00000000
USD
16312000.00000000
CNY
40243.75000000
N
N
N
REA Group Ltd
N/A
REA Group Ltd
N/A
158.00000000
NS
10256.62000000
0.001138535865
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
2269.89000000
0.000251969086
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1352000.00000000
USD
13008567.05000000
SEK
2020-03-09
2269.89000000
N
N
N
Novartis AG
5493007HIVTX6SY6XD66
Novartis AG
N/A
4195.00000000
NS
352897.03000000
0.039173326642
Long
EC
CORP
CH
N
2
N
N
N
Paychex Inc
529900K900DW6SUBM174
Paychex Inc
704326107
6935.00000000
NS
USD
537323.80000000
0.059645615975
Long
EC
CORP
US
N
1
N
N
N
ABIOMED Inc
5493001EZN4ZTB4Z5887
ABIOMED Inc
003654100
1860.00000000
NS
USD
279483.60000000
0.031024070545
Long
EC
CORP
US
N
1
N
N
N
STERIS PLC
549300F1857N5E6G6T48
STERIS PLC
G8473T100
852.00000000
NS
USD
-135144.24000000
-0.01500168323
Short
EC
CORP
US
N
1
N
N
N
Mid-America Apartment Communities Inc
549300FQZKFR5YNSHZ21
Mid-America Apartment Communities Inc
59522J103
2260.00000000
NS
USD
292127.60000000
0.032427617472
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
60.00000000
NC
USD
201562.50000000
0.022374440644
N/A
DIR
N/A
N
1
CBT
N/A
Call
Purchased
CBT
N/A
N/A
N/A
FUTURE
N/A
60.00000000
NC
USD
201562.50000000
0.02237400
DIR
Long
N/A
US 10 Year Note Future; June 2020
N/A
60000.00000000
USD
60.00000000
131.50000000
USD
2020-03-30
XXXX
161638.65000000
N
N
N
Hertz Vehicle Financing II LP
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DBG3
315000.00000000
PA
USD
327814.04000000
0.036388989918
Long
ABS-O
CORP
US
N
2
2023-10-25
Fixed
3.29000000
N
N
N
N
N
N
Toorak Mortgage Corp 2018-1 Ltd
N/A
Toorak Mortgage Corp 2018-1 Ltd
89051QAA1
1880000.00000000
PA
USD
1900001.32000000
0.210909602525
Long
ABS-MBS
CORP
US
N
2
2021-08-25
Variable
4.34000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
37.00000000
NC
USD
300220.13000000
0.033325928577
N/A
DE
N/A
N
1
CBOE
N/A
Put
Purchased
S&P 500 Index
SPX
S&P 500 Index
37.00000000
2850.00000000
USD
2020-03-23
XXXX
-28460.13000000
N
N
N
LANXESS AG
529900PTLRE72EMYIJ77
LANXESS AG
N/A
5062.00000000
NS
-269498.09000000
-0.02991562923
Short
EC
CORP
DE
N
2
N
N
N
Bank Leumi Le-Israel BM
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
06326BAA7
2975000.00000000
PA
USD
2971400.25000000
0.329840215938
Long
DBT
CORP
IL
N
2
2031-01-29
Variable
3.28000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
6060.12000000
0.000672703480
N/A
DFE
N/A
N
2
Societe Generale
N/A
Call
Purchased
Societe Generale
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
6060.12000000
0.00067300
DFE
12679209.00000000
RON
2577075.00000000
EUR
N/A
2577075.00000000
EUR
4.92000000
EUR
2020-05-15
XXXX
-10748.68000000
N
N
N
Ingersoll-Rand Services Co
N/A
Ingersoll-Rand Services Co
N/A
110000.00000000
PA
USD
108212.50000000
0.012012126056
Long
LON
CORP
US
N
2
2027-02-05
Floating
0.00000000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
223892.08000000
OU
Notional Amount
27171.43000000
0.003016163957
N/A
DE
N/A
N
2
Goldman Sachs & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in JPY
Concordia Financial Group Ltd
-31000.00000000
N/A
-106916.37000000
N/A
Shizuoka Bank Ltd/The
-18500.00000000
N/A
-116975.71000000
N/A
Y
Total return on a custom basket of long and short securities traded in JPY
2028-12-25
0.00000000
USD
0.00000000
USD
223892.08000000
USD
27171.43000000
N
N
N
CPS Auto Receivables Trust 2018-A
N/A
CPS Auto Receivables Trust 2018-A
12595MAC1
105000.00000000
PA
USD
105853.73000000
0.011750290847
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
3.05000000
N
N
N
N
N
N
First Investors Auto Owner Trust 2016-2
N/A
First Investors Auto Owner Trust 2016-2
32057HAJ6
70000.00000000
PA
USD
71001.80000000
0.007881553164
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
3.35000000
N
N
N
N
N
N
Mondi PLC
213800LOZA69QFDC9N34
Mondi PLC
N/A
7982.00000000
NS
162111.38000000
0.017995169982
Long
EC
CORP
GB
N
2
N
N
N
Hewlett Packard Enterprise Co
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824C109
630.00000000
NS
USD
8057.70000000
0.000894444801
Long
EC
CORP
US
N
1
N
N
N
Americredit Automobile Receivables Trust 2018-2
N/A
Americredit Automobile Receivables Trust 2018-2
03066LAG3
550000.00000000
PA
USD
582623.42000000
0.064674099244
Long
ABS-O
CORP
US
N
2
2024-07-18
Fixed
4.01000000
N
N
N
N
N
N
Ulta Beauty Inc
529900CIV6HN8M28YM82
Ulta Beauty Inc
90384S303
1399.00000000
NS
USD
-359668.91000000
-0.03992503902
Short
EC
CORP
US
N
1
N
N
N
Nokian Renkaat OYJ
743700YQIO8Y4L4WKR40
Nokian Renkaat OYJ
N/A
3903.00000000
NS
102161.96000000
0.011340486003
Long
EC
CORP
FI
N
2
N
N
N
Alaska Air Group Inc
529900G48RT4KWLC6C27
Alaska Air Group Inc
011659109
6961.00000000
NS
USD
351252.06000000
0.038990726785
Long
EC
CORP
US
N
1
N
N
N
Fairstone Financial Issuance Trust I
549300LY2ZF7LX6T3F37
Fairstone Financial Issuance Trust I
30575PAE6
515000.00000000
PA
387655.24000000
0.043031660938
Long
ABS-O
CORP
CA
N
2
2033-03-21
Fixed
3.95000000
N
N
N
N
N
N
Yamato Holdings Co Ltd
N/A
Yamato Holdings Co Ltd
N/A
8800.00000000
NS
-138927.38000000
-0.01542163059
Short
EC
CORP
JP
N
2
N
N
N
Constellation Merger Sub Inc
N/A
Constellation Merger Sub Inc
210374AA2
2449000.00000000
PA
USD
2106140.00000000
0.233792021924
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
8.50000000
N
N
N
N
N
N
Ares Management Corp
529900JUV61FH7B8VW38
Ares Management Corp
03990B101
1855.00000000
NS
USD
64164.45000000
0.007122573286
Long
EC
CORP
US
N
1
N
N
N
Argentine Republic Government International Bond
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
N/A
66000.00000000
PA
32495.80000000
0.003607195526
Long
DBT
NUSS
AR
N
2
2022-01-15
Fixed
3.88000000
N
N
N
N
N
N
Federal Agricultural Mortgage Corp
549300MS654K78GYF580
Federal Agricultural Mortgage Corp
313148306
1033.00000000
NS
USD
77536.98000000
0.008606990669
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
7.00000000
NC
USD
11080.69000000
0.001230011736
N/A
DFE
N/A
N
1
CBT
N/A
Short
N/A
EUR/USD Future; March 2020
2020-03-17
965956.25000000
USD
11080.69000000
N
N
N
N/A
N/A
Futures
N/A
56.00000000
NC
-1139899.42000000
-0.12653450871
N/A
DE
N/A
N
1
EUX
N/A
Long
Japan Topix Index; March 2020
N/A
Japan Topix Index; March 2020
2020-03-13
7785277.24000000
USD
-1139899.42000000
N
N
N
Edwards Lifesciences Corp
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp
28176E108
861.00000000
NS
USD
176367.24000000
0.019577641391
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
18.00000000
NC
USD
-68854.02000000
-0.00764313889
N/A
DCO
N/A
N
1
HKG
N/A
Long
N/A
Cotton No.2; May 2020
2020-05-07
553410.00000000
USD
-68854.02000000
N
N
N
N/A
N/A
Futures
N/A
43.00000000
NC
USD
-38473.97000000
-0.00427080214
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Sugar #11; May 2020
2020-05-01
680982.40000000
USD
-38473.97000000
N
N
N
Cadence BanCorp
54930022CKKXKBR5CK30
Cadence BanCorp
12739A100
5317.00000000
NS
USD
75076.04000000
0.008333814081
Long
EC
CORP
US
N
1
N
N
N
Jand Inc
N/A
Jand Inc
N/A
3781.00000000
NS
USD
59626.37000000
0.006618823820
Long
EP
CORP
US
Y
3
N
N
N
COMM 2014-CCRE18 Mortgage Trust
N/A
COMM 2014-CCRE18 Mortgage Trust
12632QAG8
1925000.00000000
PA
USD
1616213.64000000
0.179407757679
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
3.60000000
N
N
N
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH Network Corp
25470MAB5
480000.00000000
PA
USD
463443.62000000
0.051444548305
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.38000000
N
N
N
N
Y
DISH Network Corp
DISH Network Corp
USD
XXXX
N
N
N
N/A
N/A
Credit Default Swaps
N/A
1275000.00000000
OU
Notional Amount
USD
61095.79000000
0.006781936754
N/A
DCR
N/A
N
2
Barclays Bank PLC
N/A
Ukraine Government Bond, 7.75%, 09/01/2022
Ukraine Government Bond, 7.75%, 09/01/2022
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-12-20
56018.87000000
USD
0.00000000
USD
1275000.00000000
USD
5076.92000000
N
N
N
N/A
N/A
Futures
N/A
73.00000000
NC
USD
-728431.36000000
-0.08085950624
N/A
DE
N/A
N
1
CME
N/A
Long
Russell 2000 Emini; March 2020
N/A
Russell 2000 Emini; March 2020
2020-03-23
5383385.00000000
USD
-728431.36000000
N
N
N
Burlington Stores Inc
5299003Z37DVGKKC1W09
Burlington Stores Inc
122017106
545.00000000
NS
USD
117861.70000000
0.013083235278
Long
EC
CORP
US
N
1
N
N
N
Escrow Altegrity Inc NPV
N/A
Escrow Altegrity Inc NPV
021ESC017
33568.00000000
NS
USD
726344.38000000
0.080627841080
Long
EC
CORP
US
N
3
N
N
N
Taisei Corp
529900TF7XJKIOWMLQ79
Taisei Corp
N/A
21800.00000000
NS
739157.44000000
0.082050154509
Long
EC
CORP
JP
N
2
N
N
N
Domino's Pizza Inc
5299004V0Y8MI5D9FF45
Domino's Pizza Inc
25754A201
1608.00000000
NS
USD
545851.68000000
0.060592253097
Long
EC
CORP
US
N
1
N
N
N
PRPM 2018-1 LLC
N/A
PRPM 2018-1 LLC
69358VAB0
200000.00000000
PA
USD
201355.76000000
0.022351491475
Long
ABS-O
CORP
US
N
2
2023-04-25
Variable
5.00000000
N
N
N
N
N
N
Roper Technologies Inc
54930003T4SXCIWVXY35
Roper Technologies Inc
776696106
714.00000000
NS
USD
251113.80000000
0.027874881553
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
7593870.00000000
PA
USD
-7593870.00000000
-0.84295736348
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
7528000.00000000
USD
7708118.88000000
USD
UST
N
N
N
Kakaku.com Inc
353800KA15Y0DCPWYY65
Kakaku.com Inc
N/A
13000.00000000
NS
277617.13000000
0.030816883086
Long
EC
CORP
JP
N
2
N
N
N
Element Comm Aviation
N/A
Element Comm Aviation
3616399A7
280.00000000
NS
USD
2505440.00000000
0.278116309177
Long
EC
CORP
US
Y
3
N
N
N
IDEX Corp
549300U5Y5EL6PHYLF13
IDEX Corp
45167R104
10009.00000000
NS
USD
1481332.00000000
0.164435224354
Long
EC
CORP
US
N
1
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
200000.00000000
PA
USD
210197.19000000
0.023332934208
Long
DBT
CORP
DK
N
2
2025-12-20
Variable
3.24000000
N
N
N
N
N
N
AutoZone Inc
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332102
1964.00000000
NS
USD
2027849.64000000
0.225101402326
Long
EC
CORP
US
N
1
N
N
N
Country Garden Holdings Co Ltd
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
N/A
650000.00000000
PA
USD
651429.22000000
0.072311885479
Long
DBT
CORP
KY
N
2
2023-09-28
Fixed
4.75000000
N
N
N
N
N
N
FleetCor Technologies Inc
549300DG6RR0NQSFLN74
FleetCor Technologies Inc
339041105
57.00000000
NS
USD
15150.03000000
0.001681728729
Long
EC
CORP
US
N
1
N
N
N
E.ON SE
Q9MAIUP40P25UFBFG033
E.ON SE
N/A
44167.00000000
NS
-513054.38000000
-0.05695158957
Short
EC
CORP
DE
N
2
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C21
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C21
46642EAL0
1120000.00000000
PA
USD
899799.71000000
0.099882245970
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
3.90000000
N
N
N
N
N
N
Keihan Holdings Co Ltd
353800ADZSZ9AD39RL13
Keihan Holdings Co Ltd
N/A
300.00000000
NS
-12136.97000000
-0.00134726407
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
53613.11000000
0.005951322033
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
8751059.91000000
BRL
2000159.00000000
USD
2020-06-16
53613.11000000
N
N
N
Burberry Group PLC
213800PE1KEFCNFR1R50
Burberry Group PLC
N/A
1504.00000000
NS
32410.90000000
0.003597771203
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Credit Default Swaps
N/A
750000.00000000
OU
Notional Amount
-14233.77000000
-0.00158001930
N/A
DCR
N/A
N
2
Morgan Stanley & Co
N/A
Enel Spa, 5.25%, 05/20/2024
Enel Spa, 5.25%, 05/20/2024
Y
Payout of notional amount upon default event with regard to the reference instrument
2023-12-20
3818.84000000
USD
0.00000000
USD
750000.00000000
EUR
-18052.61000000
N
N
N
Santander Drive Auto Receivables Trust 2018-5
N/A
Santander Drive Auto Receivables Trust 2018-5
80286AAF1
490000.00000000
PA
USD
498855.48000000
0.055375441004
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
3.81000000
N
N
N
N
N
N
JB Hunt Transport Services Inc
549300XCD1MPI1C5GK90
JB Hunt Transport Services Inc
445658107
2725.00000000
NS
USD
262799.00000000
0.029171996908
Long
EC
CORP
US
N
1
N
N
N
Reynolds Consumer
549300DWNZYMOSR1X343
Reynolds Consumer
N/A
90000.00000000
PA
USD
88875.00000000
0.009865567316
Long
LON
CORP
US
N
2
2027-01-29
Floating
3.50120000
N
N
N
N
N
N
Quebecor Inc
N/A
Quebecor Inc
N/A
6800.00000000
NS
158873.53000000
0.017635752518
Long
EC
CORP
CA
N
1
N
N
N
Moelis & Co
549300891QNU7VTQUR83
Moelis & Co
60786M105
2553.00000000
NS
USD
81593.88000000
0.009057326759
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
39.00000000
NC
4273.67000000
0.000474398639
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
Euribor; March 2021
2021-03-16
10819998.56000000
USD
4273.67000000
N
N
N
Hulic Co Ltd
N/A
Hulic Co Ltd
N/A
13800.00000000
NS
-153717.72000000
-0.01706343194
Short
EC
CORP
JP
N
2
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YM6
19909000.00000000
PA
USD
-20437055.17000000
-2.26861483585
Short
DBT
UST
US
N
2
2024-10-31
Fixed
1.50000000
N
N
N
N
N
N
Northern Trust Corp
549300GLF98S992BC502
Northern Trust Corp
665859104
6612.00000000
NS
USD
-580269.12000000
-0.06441276022
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
1630.88000000
0.000181035796
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
197050.00000000
USD
836674.30000000
MYR
2020-03-18
1630.88000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
23996.06000000
0.002663682084
N/A
DFE
N/A
N
2
Deutsche Bank AG
N/A
Put
Purchased
Deutsche Bank AG
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
23996.06000000
0.00266400
DFE
3015265.00000000
EUR
1013129040.00000000
HUF
N/A
3015265.00000000
EUR
336.00000000
EUR
2020-05-15
XXXX
-7056.50000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
2020.87000000
0.000224326627
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
495226.69000000
USD
450400.00000000
EUR
2020-03-04
2020.87000000
N
N
N
N/A
N/A
Options
N/A
40.00000000
NC
USD
-516701.62000000
-0.05735645136
N/A
DE
N/A
N
1
CBT
N/A
Put
Written
S&P 500 Index
SPX
S&P 500 Index
40.00000000
2625.00000000
USD
2020-12-21
XXXX
-244994.74000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
11140000.00000000
OU
Notional Amount
-75726.24000000
-0.00840598951
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2024-05-27
46.81000000
USD
0.00000000
USD
11140000.00000000
PLN
-75773.05000000
N
N
N
BeiGene Ltd
549300JFUK6FRD5MH739
BeiGene Ltd
07725L102
700.00000000
NS
USD
-110845.00000000
-0.01230434665
Short
EC
CORP
CN
N
1
N
N
N
Federal Realty Investment Trust
549300LI6XZ51GOCJ427
Federal Realty Investment Trust
313747206
440.00000000
NS
USD
51189.60000000
0.005682300362
Long
EC
CORP
US
N
1
N
N
N
Kirkland Lake Gold Ltd
N/A
Kirkland Lake Gold Ltd
N/A
12300.00000000
NS
396697.34000000
0.044035379039
Long
EC
CORP
CA
N
1
N
N
N
Aerie Pharmaceuticals Inc
529900SFXHDHUO324R09
Aerie Pharmaceuticals Inc
00771V108
2237.00000000
NS
USD
39147.50000000
0.004345567330
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
31.00000000
NC
-694221.34000000
-0.07706202376
N/A
DE
N/A
N
1
CBT
N/A
Long
Nikkei 225 OSE; March 2020
N/A
Nikkei 225 OSE; March 2020
2020-03-14
6058594.46000000
USD
-694221.34000000
N
N
N
NMC Health Jersey Ltd
213800DOSDUW59675G88
NMC Health Jersey Ltd
N/A
800000.00000000
PA
USD
360000.00000000
0.039961791662
Long
DBT
CORP
JE
N
2
2025-04-30
Fixed
1.88000000
N
N
N
N
N
NMC Health Jersey Ltd
NMC Health Jersey Ltd
GBP
XXXX
N
N
N
Seven Bank Ltd
N/A
Seven Bank Ltd
N/A
10900.00000000
NS
28667.58000000
0.003182244054
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Futures
N/A
89.00000000
NC
USD
386097.53000000
0.042858747376
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
US Long Bond; June 2020
2020-06-22
15152250.00000000
USD
386097.53000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
26130.00000000
PA
USD
-26130.00000000
-0.00290056004
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
26000.00000000
USD
26403.93000000
USD
UST
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
14762250.00000000
PA
USD
-14762250.00000000
-1.63868321937
Short
RA
US
N
2
Reverse repurchase
N
1.68000000
2020-03-02
14580000.00000000
USD
14801266.09000000
USD
UST
N
N
N
N/A
N/A
Futures
N/A
423.00000000
NC
USD
599870.49000000
0.066588609850
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
US 5 Year Note; June 2020
2020-07-01
51923250.00000000
USD
599870.49000000
N
N
N
Twitter Inc
549300I8RX485XMK6836
Twitter Inc
90184L102
12010.00000000
NS
USD
-398732.00000000
-0.04426123642
Short
EC
CORP
US
N
1
N
N
N
MediArena Acquisition BV
54930084VI6DY1Z0AV74
MediArena Acquisition BV
N/A
490820.72000000
PA
USD
490167.93000000
0.054411079718
Long
LON
CORP
NL
N
2
2022-08-13
Floating
10.90810000
N
N
N
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866108
2549.00000000
NS
USD
367030.51000000
0.040742213262
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
294.00000000
NC
USD
568117.67000000
0.063063888801
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
US 10 Year Note; June 2020
2020-06-22
39616500.00000000
USD
568117.67000000
N
N
N
ABIOMED Inc
5493001EZN4ZTB4Z5887
ABIOMED Inc
003654100
2094.00000000
NS
USD
-314644.44000000
-0.03492709877
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
4319211.25000000
OU
Notional Amount
-622361.48000000
-0.06908522167
N/A
DE
N/A
N
2
UBS AG
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in GBP
British Land Co PLC/The
76246.00000000
N/A
489771.60000000
N/A
Tesco PLC
415918.00000000
N/A
1218520.18000000
N/A
Travis Perkins PLC
22491.00000000
N/A
421306.14000000
N/A
Rightmove PLC
-32973.00000000
N/A
-261690.48000000
N/A
Just Eat Takeaway
5991.00000000
N/A
523484.69000000
N/A
DS Smith PLC
79641.00000000
N/A
320834.96000000
N/A
Burberry Group PLC
51252.00000000
N/A
1083603.20000000
N/A
Y
Total return on a custom basket of long and short securities traded in GBP
2022-02-01
0.00000000
USD
0.00000000
USD
4319211.25000000
USD
-622361.48000000
N
N
N
Varian Medical Systems Inc
TK3LAKL7I0QNTCVWSY07
Varian Medical Systems Inc
92220P105
11585.00000000
NS
USD
1424607.45000000
0.158138516995
Long
EC
CORP
US
N
1
N
N
N
KLA Corp
549300H0BF5JCG96TJ81
KLA Corp
482480100
5567.00000000
NS
USD
-855703.57000000
-0.09498735497
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
2.00000000
NC
USD
-9.31000000
-0.00000103345
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Johnson Controls International plc
Johnson Controls International plc
2.00000000
44.00000000
USD
2020-04-20
XXXX
60.11000000
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826C839
7750.00000000
NS
USD
1408640.00000000
0.156366050577
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-19163.06000000
-0.00212719503
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
111350680.00000000
JPY
1013200.00000000
USD
2020-03-02
-19163.06000000
N
N
N
MISUMI Group Inc
353800SJWGE5BEK2V032
MISUMI Group Inc
N/A
17700.00000000
NS
-372815.13000000
-0.04138433487
Short
EC
CORP
JP
N
2
N
N
N
Jamestown CLO VII Ltd
549300UY2VE3PHVMFV71
Jamestown CLO VII Ltd
47048BAK6
467565.18000000
PA
USD
466536.54000000
0.051787877818
Long
ABS-O
CORP
KY
N
2
2027-07-25
Floating
2.62000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
18.00000000
NC
358153.74000000
0.039756847614
N/A
DE
N/A
N
1
EUX
N/A
Short
Japan Topix Index; March 2020
N/A
Japan Topix Index; March 2020
2020-03-13
2502410.53000000
USD
358153.74000000
N
N
N
VZ Holding AG
529900JMJUZCFUVQ0Q82
VZ Holding AG
N/A
428.00000000
NS
147700.31000000
0.016395469491
Long
EC
CORP
CH
N
2
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023105
6290.00000000
NS
USD
1730441.90000000
0.192087663035
Long
EC
CORP
US
N
1
N
N
N
Johnson Matthey PLC
2138001AVBSD1HSC6Z10
Johnson Matthey PLC
N/A
1473.00000000
NS
-48280.46000000
-0.00535937134
Short
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Futures
N/A
2.00000000
NC
-5381.40000000
-0.00059736218
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
Euro Bond 10 Year Bond; March 2020
2020-03-09
391813.12000000
USD
-5381.40000000
N
N
N
Fortinet Inc
549300O0QJWDBAS0QX03
Fortinet Inc
34959E109
4792.00000000
NS
USD
-489071.52000000
-0.05428937275
Short
EC
CORP
US
N
1
N
N
N
ROCKWOOL International A/S
213800QRC7LNX935OZ09
ROCKWOOL International A/S
N/A
759.00000000
NS
177080.05000000
0.019656766849
Long
EC
CORP
DK
N
2
N
N
N
Mimecast Ltd
254900ELSYFSTT9X2740
Mimecast Ltd
G14838109
3323.00000000
NS
USD
131557.57000000
0.014603545011
Long
EC
CORP
US
N
1
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GEF2
600000.00000000
PA
USD
601502.60000000
0.066769782183
Long
DBT
CORP
US
N
2
2023-01-13
Floating
2.14000000
N
N
N
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334104
4412.00000000
NS
USD
216188.00000000
0.023997943933
Long
EC
CORP
US
N
1
N
N
N
Kohl's Corp
549300JF6LPRTRJ0FH50
Kohl's Corp
500255104
9388.00000000
NS
USD
-367540.20000000
-0.04079879138
Short
EC
CORP
US
N
1
N
N
N
New Jersey Resources Corp
549300QKBSQBIX4DQ583
New Jersey Resources Corp
646025106
2200.00000000
NS
USD
77682.00000000
0.008623088610
Long
EC
CORP
US
N
1
N
N
N
CSMC 2019-RP10 Trust
N/A
CSMC 2019-RP10 Trust
12597FAC4
293234.48000000
PA
USD
297089.14000000
0.032978373105
Long
ABS-MBS
CORP
US
N
2
2059-12-26
Variable
3.32000000
N
N
N
N
N
N
Flutter Entertainment PLC
635400EG4YIJLJMZJ782
Flutter Entertainment PLC
N/A
3510.00000000
NS
-373254.44000000
-0.04143310046
Short
EC
CORP
IE
N
2
N
N
N
Power Assets Holdings Ltd
254900JOWYUW1ZX4DF47
Power Assets Holdings Ltd
N/A
6500.00000000
NS
-46627.17000000
-0.00517584792
Short
EC
CORP
HK
N
2
N
N
N
Carlyle Global Market Strategies Euro CLO 2015-1 Ltd
6354009FNKUUSW6DCK80
Carlyle Global Market Strategies Euro CLO 2015-1 Ltd
BCC2MQPU1
2205000.00000000
PA
2434204.72000000
0.270208838571
Long
ABS-O
CORP
IE
N
2
2033-01-16
Floating
3.40000000
N
N
N
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
611782.50000000
PA
USD
-611782.50000000
-0.06791090224
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
602000.00000000
USD
615281.31629900
USD
UST
N
N
N
Ingevity Corp
5493009UTFC4B5IMGF87
Ingevity Corp
45688C107
982.00000000
NS
USD
44229.28000000
0.004909670202
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-14202.35000000
-0.00157653153
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1544000.00000000
USD
2053335.70000000
CAD
2020-03-06
-14202.35000000
N
N
N
N/A
N/A
Options
N/A
226.00000000
NC
USD
1412.50000000
0.000156794529
N/A
DIR
N/A
N
1
CME
N/A
Put
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
226.00000000
NC
USD
1412.50000000
0.00015700
DIR
Short
N/A
90 Day Eurodollar Future; June 2020
N/A
565000.00000000
USD
226.00000000
98.25000000
USD
2020-06-16
XXXX
-15918.31000000
N
N
N
Provincia de Buenos Aires/Government Bonds
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
N/A
51665000.00000000
PA
496598.46000000
0.055124900551
Long
DBT
NUSS
AR
N
2
2022-05-31
Floating
43.08000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3605000.00000000
OU
Notional Amount
-20041.51000000
-0.00222470735
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2022-03-09
683.59000000
USD
0.00000000
USD
3605000.00000000
PLN
-20725.10000000
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BM5
455000.00000000
PA
USD
472102.68000000
0.052405747060
Long
ABS-O
CORP
US
N
2
2030-04-15
Fixed
3.92000000
N
N
N
N
N
N
Cooper Cos Inc/The
QJKMVPIGLH7530PCUE20
Cooper Cos Inc/The
216648402
670.00000000
NS
USD
-217461.90000000
-0.02413935317
Short
EC
CORP
US
N
1
N
N
N
PRA Health Sciences Inc
549300R1HR1VWWHIAK47
PRA Health Sciences Inc
69354M108
950.00000000
NS
USD
89490.00000000
0.009933835377
Long
EC
CORP
US
N
1
N
N
N
Fortinet Inc
549300O0QJWDBAS0QX03
Fortinet Inc
34959E109
3802.00000000
NS
USD
388032.12000000
0.043073496494
Long
EC
CORP
US
N
1
N
N
N
Astec Industries Inc
5493002DO2QKHLKB2A48
Astec Industries Inc
046224101
2438.00000000
NS
USD
91546.90000000
0.010162161514
Long
EC
CORP
US
N
1
N
N
N
TGS NOPEC Geophysical Co ASA
549300NUPLAXPB0WYH90
TGS NOPEC Geophysical Co ASA
N/A
5174.00000000
NS
120729.82000000
0.013401610873
Long
EC
CORP
NO
N
2
N
N
N
UDR Inc
P3CH2EG5X6Z1XWU1OO74
UDR Inc
902653104
940.00000000
NS
USD
42281.20000000
0.004693423626
Long
EC
CORP
US
N
1
N
N
N
Ares Capital Corp
WEQ82666OJYSI5GUAB47
Ares Capital Corp
04010LAY9
750000.00000000
PA
USD
767056.80000000
0.085147122320
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.25000000
N
N
N
N
N
N
Coinstar Funding LLC Series 2017-1
N/A
Coinstar Funding LLC Series 2017-1
19260MAA4
705062.50000000
PA
USD
733971.12000000
0.081474447177
Long
ABS-O
CORP
US
N
2
2047-04-25
Fixed
5.22000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
19789.26000000
0.002196706348
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
160066669.00000000
INR
2230200.00000000
USD
2020-03-18
19789.26000000
N
N
N
Rockwell Automation Inc
VH3R4HHBHH12O0EXZJ88
Rockwell Automation Inc
773903109
2791.00000000
NS
USD
512148.50000000
0.056851032381
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-15898.58000000
-0.00176482150
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1509880.50000000
USD
1350000.00000000
EUR
2020-04-14
-15898.58000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-533754.51000000
-0.05924940702
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
11260000.00000000
USD
214605747.50000000
MXN
2020-06-17
-533754.51000000
N
N
N
Wayfair Inc
54930027N9ZAVYFDHK53
Wayfair Inc
94419L101
360.00000000
NS
USD
-22755.60000000
-0.00252598485
Short
EC
CORP
US
N
1
N
N
N
Globus Medical Inc
5299003M2P4CIK0RF205
Globus Medical Inc
379577208
1186.00000000
NS
USD
53642.78000000
0.005954615551
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-20848.12000000
-0.00231424507
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
3285540.00000000
EUR
3606216.25000000
USD
2020-03-02
-20848.12000000
N
N
N
Fidelity National Financial Inc
549300CAZYIH39SYQ287
Fidelity National Financial Inc
31620R303
23435.00000000
NS
USD
908340.60000000
0.100830327267
Long
EC
CORP
US
N
1
N
N
N
PROS Holdings Inc
549300LPE1KNL5RWKQ48
PROS Holdings Inc
74346Y103
931.00000000
NS
USD
42630.49000000
0.004732196555
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z86
14580000.00000000
PA
USD
14793004.76000000
1.642097150799
Long
DBT
UST
US
N
2
2023-02-15
Fixed
1.38000000
N
N
N
N
N
N
Hibernia REIT plc
635400MHRA4QVVFTON18
Hibernia REIT plc
N/A
96428.00000000
NS
130220.17000000
0.014455086955
Long
EC
CORP
IE
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-19039.80000000
-0.00211351255
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
10556930.37000000
SEK
1080000.00000000
USD
2020-03-09
-19039.80000000
N
N
N
Mitsubishi Materials Corp
35380076QOBOSOUBRT89
Mitsubishi Materials Corp
N/A
16700.00000000
NS
-378856.39000000
-0.04205494479
Short
EC
CORP
JP
N
2
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851109
2716.00000000
NS
USD
-379642.48000000
-0.04214220470
Short
EC
CORP
US
N
1
N
N
N
Gap Inc/The
T2ZG1WRWZ4BUCMQL9224
Gap Inc/The
364760108
10021.00000000
NS
USD
-143600.93000000
-0.01594041790
Short
EC
CORP
US
N
1
N
N
N
CCRESG Commercial Mortgage Trust 2016-HEAT
N/A
CCRESG Commercial Mortgage Trust 2016-HEAT
12507GAJ6
255000.00000000
PA
USD
260529.85000000
0.028920109965
Long
ABS-MBS
CORP
US
N
2
2029-04-10
Variable
5.49000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-2607.52000000
-0.00028944769
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
724621.54000000
USD
563000.00000000
GBP
2020-03-13
-2607.52000000
N
N
N
M&T Bank Corp
549300WYXDDBYRASEG81
M&T Bank Corp
55261F104
1703.00000000
NS
USD
-239067.14000000
-0.02653764233
Short
EC
CORP
US
N
1
N
N
N
Eastern & Southern African Trade & Development Bank
2138004HC83AB2ENIZ64
Eastern & Southern African Trade & Development Bank
N/A
1425000.00000000
PA
USD
1509645.00000000
0.167578108263
Long
DBT
CORP
XX
N
2
2024-05-23
Fixed
4.88000000
N
N
N
N
N
N
3M Co
LUZQVYP4VS22CLWDAR65
3M Co
88579Y101
5071.00000000
NS
USD
756796.04000000
0.084008126893
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Repurchase Agreement
N/A
5073940.00000000
PA
USD
5073940.00000000
0.563232592195
Long
RA
US
N
2
Repurchase
N
1.51000000
2020-03-02
4742000.00000000
USD
5562166.91000000
USD
UST
N
N
N
SBA Communications Corp
5299001HX8ZN8Y8QIT49
SBA Communications Corp
78410G104
1301.00000000
NS
USD
-344882.09000000
-0.03828362841
Short
EC
CORP
US
N
1
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122108
31492.00000000
NS
USD
1859917.52000000
0.206460101234
Long
EC
CORP
US
N
1
N
N
N
Graphic Packaging Holding Co
N/A
Graphic Packaging Holding Co
388689101
53959.00000000
NS
USD
729525.68000000
0.080980981213
Long
EC
CORP
US
N
1
N
N
N
RSA Insurance Group PLC
549300HOGQ7E0TY86138
RSA Insurance Group PLC
N/A
16325.00000000
NS
109191.10000000
0.012120755526
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Options
N/A
60.00000000
NC
USD
-67500.00000000
-0.00749283593
N/A
DIR
N/A
N
1
CME
N/A
Call
Written
CME
N/A
N/A
N/A
FUTURE
N/A
60.00000000
NC
USD
-67500.00000000
-0.00749300
DIR
Long
N/A
90 Day Eurodollar Future; March 2023
N/A
150000.00000000
USD
60.00000000
98.75000000
USD
2021-03-15
XXXX
-28602.60000000
N
N
N
Tiffany & Co
549300EJG9IEYQL5XT21
Tiffany & Co
886547108
1489.00000000
NS
USD
-198915.51000000
-0.02208061158
Short
EC
CORP
US
N
1
N
N
N
Planet Fitness Master Issuer LLC
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAC7
275000.00000000
PA
USD
287331.00000000
0.031895171000
Long
ABS-O
CORP
US
N
2
2049-12-05
Fixed
3.86000000
N
N
N
N
N
N
Tele2 AB
213800EKD193RVI9HL76
Tele2 AB
N/A
1083.00000000
NS
-15766.50000000
-0.00175015996
Short
EC
CORP
SE
N
2
N
N
N
Republic of South Africa Government Bond
378900AAFB4F17004C49
Republic of South Africa Government Bond
N/A
56410000.00000000
PA
3131962.25000000
0.347663397029
Long
DBT
NUSS
ZA
N
2
2044-01-31
Fixed
8.75000000
N
N
N
N
N
N
Coloplast A/S
529900NN7SOJ5QG82X67
Coloplast A/S
N/A
174.00000000
NS
23358.71000000
0.002592933062
Long
EC
CORP
DK
N
2
N
N
N
Facebook Inc
BQ4BKCS1HXDV9HN80Z93
Facebook Inc
30303M102
7117.00000000
NS
USD
1369808.99000000
0.152055615212
Long
EC
CORP
US
N
1
N
N
N
Ball Corp
0BGI85ALH27ZJP15DY16
Ball Corp
058498106
5354.00000000
NS
USD
377242.84000000
0.041875832717
Long
EC
CORP
US
N
1
N
N
N
Abcam PLC
213800B9N83DSNT33F79
Abcam PLC
N/A
11092.00000000
NS
165185.41000000
0.018336402611
Long
EC
CORP
GB
N
2
N
N
N
Marlette Funding Trust 2019-3
549300W2612MGSLICQ35
Marlette Funding Trust 2019-3
57109MAA9
161897.58000000
PA
USD
163186.46000000
0.018114509213
Long
ABS-O
CORP
US
N
2
2029-09-17
Fixed
2.69000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
3.00000000
NC
USD
-23.00000000
-0.00000255311
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Comcast Corp
Comcast Corp
3.00000000
47.50000000
USD
2020-04-20
XXXX
111.13000000
N
N
N
Marklogic Corp
N/A
Marklogic Corp
N/A
14832.00000000
NS
USD
130521.60000000
0.014488547185
Long
EP
CORP
US
Y
3
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887102
5130.00000000
NS
USD
-136919.70000000
-0.01519876812
Short
EC
CORP
US
N
1
N
N
N
Targa Resources Corp
5493003QENHHS261UR94
Targa Resources Corp
87612G101
16400.00000000
NS
USD
-531360.00000000
-0.05898360449
Short
EC
CORP
US
N
1
N
N
N
Obic Co Ltd
N/A
Obic Co Ltd
N/A
1600.00000000
NS
197545.67000000
0.021928552523
Long
EC
CORP
JP
N
2
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAY2
270000.00000000
PA
USD
266329.57000000
0.029563907750
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.88000000
N
N
N
N
N
N
Marui Group Co Ltd
52990081ZYFHQZEEMU57
Marui Group Co Ltd
N/A
5000.00000000
NS
-97575.69000000
-0.01083138720
Short
EC
CORP
JP
N
2
N
N
N
Cie de Saint-Gobain
NFONVGN05Z0FMN5PEC35
Cie de Saint-Gobain
N/A
8005.00000000
NS
-282651.55000000
-0.03137572876
Short
EC
CORP
FR
N
2
N
N
N
Monster Beverage Corp
52990090AP0E7HCB6F33
Monster Beverage Corp
61174X109
4037.00000000
NS
USD
-251949.17000000
-0.02796761178
Short
EC
CORP
US
N
1
N
N
N
TechnipFMC PLC
549300D5I93QWCJTCK36
TechnipFMC PLC
G87110105
25590.00000000
NS
USD
379755.60000000
0.042154761583
Long
EC
CORP
GB
N
1
N
N
N
S&P Global Inc
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409V104
6012.00000000
NS
USD
1598650.92000000
0.177458208352
Long
EC
CORP
US
N
1
N
N
N
Coca-Cola HBC AG
549300EFP3TNG7JGVE49
Coca-Cola HBC AG
N/A
7156.00000000
NS
228207.64000000
0.025332183793
Long
EC
CORP
CH
N
2
N
N
N
Republic of Italy Government International Bond
815600DE60799F5A9309
Republic of Italy Government International Bond
465410BX5
412000.00000000
PA
USD
413739.17000000
0.045927106984
Long
DBT
NUSS
IT
N
2
2024-10-17
Fixed
2.38000000
N
N
N
N
N
N
Fastenal Co
529900PP0C7H2HHPSJ32
Fastenal Co
311900104
11480.00000000
NS
USD
-392845.60000000
-0.04360781673
Short
EC
CORP
US
N
1
N
N
N
Computershare Ltd
N/A
Computershare Ltd
N/A
2722.00000000
NS
-27587.22000000
-0.00306231871
Short
EC
CORP
AU
N
2
N
N
N
Japan Real Estate Investment Corp
3538003YAIR3CBGJJ928
Japan Real Estate Investment Corp
N/A
24.00000000
NS
164115.53000000
0.018217640606
Long
EC
CORP
JP
N
2
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
1756.00000000
NS
USD
111435.76000000
0.012369923958
Long
EC
CORP
US
N
1
N
N
N
TE Connectivity Ltd
894500ZRIX9K13RHXR17
TE Connectivity Ltd
H84989104
249.00000000
NS
USD
-20634.63000000
-0.00229054662
Short
EC
CORP
CH
N
1
N
N
N
N/A
N/A
Futures
N/A
204.00000000
NC
-961235.57000000
-0.10670193218
N/A
DE
N/A
N
1
CME
N/A
Long
DJ Euro Stoxx 50; March 2020
N/A
DJ Euro Stoxx 50; March 2020
2020-03-23
7463304.81000000
USD
-961235.57000000
N
N
N
Konica Minolta Inc
549300SVK6KRUOL1A740
Konica Minolta Inc
N/A
39300.00000000
NS
-215052.02000000
-0.02387184449
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
81819.43000000
0.009082363932
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
Call
Purchased
Goldman Sachs & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
81819.43000000
0.00908200
DFE
19705000.00000000
NOK
1970500.00000000
EUR
N/A
1970500.00000000
EUR
10.00000000
EUR
2020-03-03
XXXX
69880.74000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-1462.02000000
-0.00016229149
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
800963.01000000
USD
723490.00000000
EUR
2020-03-20
-1462.02000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-61016.43000000
-0.00677312739
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
4536671.43000000
USD
5400000000.00000000
KRW
2020-03-20
-61016.43000000
N
N
N
HubSpot Inc
529900BLNVEW0MVKJB37
HubSpot Inc
443573100
578.00000000
NS
USD
103722.10000000
0.011513669308
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
3428.34000000
0.000380562802
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
825269.55000000
USD
750000.00000000
EUR
2020-03-18
3428.34000000
N
N
N
N/A
N/A
Total Return Swaps
N/A
3946690.93000000
OU
Notional Amount
512470.42000000
0.056886767104
N/A
DE
N/A
N
2
UBS AG
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in EUR
Kering SA
-1345.00000000
N/A
-751016.74000000
N/A
BASF SE
-10018.00000000
N/A
-587030.20000000
N/A
Atlantia SpA
8038.00000000
N/A
172013.41000000
N/A
Worldline SA/France
30490.00000000
N/A
2317447.34000000
N/A
Salvatore Ferragamo SpA
7555.00000000
N/A
119183.24000000
N/A
Y
Total return on a custom basket of long and short securities traded in EUR
2022-02-01
0.00000000
USD
0.00000000
USD
3946690.93000000
USD
512470.42000000
N
N
N
MBIA Inc
54F1KGFE2KNP3VAL3P42
MBIA Inc
55262C100
8587.00000000
NS
USD
66978.60000000
0.007434957941
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
214924.49000000
0.023857688035
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
52530000.00000000
ZAR
3554776.58000000
USD
2020-04-30
214924.49000000
N
N
N
Comerica Inc
I9Q57JVPWHHZ3ZGBW498
Comerica Inc
200340107
2756.00000000
NS
USD
-145075.84000000
-0.01610414025
Short
EC
CORP
US
N
1
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040H105
967.00000000
NS
USD
-85347.42000000
-0.00947398838
Short
EC
CORP
US
N
1
N
N
N
Hewlett Packard Enterprise Co
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824C109
16109.00000000
NS
USD
-206034.11000000
-0.02287081160
Short
EC
CORP
US
N
1
N
N
N
Persimmon PLC
213800XI72Y57UWN6F31
Persimmon PLC
N/A
11568.00000000
NS
427690.66000000
0.047475791808
Long
EC
CORP
GB
N
2
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284V101
10554.00000000
NS
USD
-320947.14000000
-0.03562672984
Short
EC
CORP
US
N
1
N
N
N
Cimarex Energy Co
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798101
11531.00000000
NS
USD
-381099.55000000
-0.04230394672
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3963000.00000000
OU
Notional Amount
USD
-405088.55000000
-0.04496684511
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2025-06-11
301.25000000
USD
0.00000000
USD
3963000.00000000
USD
-405389.80000000
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WDG3
445000.00000000
PA
USD
444143.62000000
0.049302152252
Long
DBT
CORP
US
N
2
2023-05-10
Floating
2.10000000
N
N
N
N
N
N
Vulcan Materials Co
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160109
1360.00000000
NS
USD
-163553.60000000
-0.01815526358
Short
EC
CORP
US
N
1
N
N
N
JD.com Inc
549300HVTWB0GJZ16V92
JD.com Inc
47215P106
11463.00000000
NS
USD
441440.13000000
0.049002051407
Long
EC
CORP
CN
N
1
N
N
N
N/A
N/A
Futures
N/A
4.00000000
NC
USD
-2483.56000000
-0.00027568752
N/A
DCO
N/A
N
1
EUX
N/A
Long
N/A
KC HRW Wheat; July 2020
2020-07-15
92050.00000000
USD
-2483.56000000
N
N
N
Fannie Mae REMICS
N/A
Fannie Mae REMICS
3136AWHF7
1931340.19000000
PA
USD
412684.72000000
0.045810057786
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
4.47000000
N
N
N
N
N
N
Shaw Communications Inc
549300SCT0RG6178CI40
Shaw Communications Inc
N/A
15700.00000000
NS
271716.15000000
0.030161844938
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
80833.94000000
0.008972969637
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
33005519.64000000
MXN
1746010.00000000
USD
2020-04-17
80833.94000000
N
N
N
Nippon Paint Holdings Co Ltd
529900RYRJUN78A7PL87
Nippon Paint Holdings Co Ltd
N/A
6800.00000000
NS
307603.41000000
0.034145509403
Long
EC
CORP
JP
N
2
N
N
N
Activision Blizzard Inc
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507V109
2426.00000000
NS
USD
141023.38000000
0.015654297031
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
300313.45000000
0.033336287562
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
162655000.00000000
MXN
8430000.00000000
USD
2020-06-17
300313.45000000
N
N
N
Games Workshop Group PLC
213800RP9QJQYGWHNT41
Games Workshop Group PLC
N/A
1676.00000000
NS
137244.71000000
0.015234845855
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Futures
N/A
24.00000000
NC
-4065.86000000
-0.00045133069
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
Euribor; June 2021
2021-06-15
6658129.48000000
USD
-4065.86000000
N
N
N
Costa Rica Government International Bond
N/A
Costa Rica Government International Bond
N/A
2742000.00000000
PA
USD
2831115.00000000
0.314267855010
Long
DBT
NUSS
CR
N
2
2031-02-19
Fixed
6.13000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
60.00000000
NC
USD
12375.00000000
0.001373686588
N/A
DIR
N/A
N
1
CME
N/A
Put
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
60.00000000
NC
USD
12375.00000000
0.00137400
DIR
Short
N/A
90 Day Eurodollar Future; March 2021
N/A
150000.00000000
USD
60.00000000
98.75000000
USD
2021-03-16
XXXX
-23727.60000000
N
N
N
Hill Street
N/A
Hill Street
N/A
222.00000000
NS
USD
5994.00000000
0.000665363831
Long
EC
CORP
US
N
3
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0AL3
182193.92000000
PA
USD
184131.64000000
0.020439528433
Long
ABS-MBS
CORP
US
N
2
2024-02-25
Floating
3.83000000
N
N
N
N
N
N
Alexion Pharmaceuticals Inc
M1YXUUZR0EIMU8T0EM75
Alexion Pharmaceuticals Inc
015351109
2162.00000000
NS
USD
203292.86000000
0.022566519216
Long
EC
CORP
US
N
1
N
N
N
Kimco Realty Corp
549300EA7I6T15IBYS12
Kimco Realty Corp
49446R109
1119.00000000
NS
USD
19414.65000000
0.002155122773
Long
EC
CORP
US
N
1
N
N
N
Residential Asset Securitization Trust 2005-A8CB
N/A
Residential Asset Securitization Trust 2005-A8CB
45660LSX8
245330.37100000
PA
USD
224908.29000000
0.024965939522
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.38000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
3323.91000000
0.000368970552
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
2661546.13000000
CNY
384300.00000000
USD
2020-04-17
3323.91000000
N
N
N
TEGNA Inc
549300YC5EDBGX85AO10
TEGNA Inc
87901J105
5922.00000000
NS
USD
84803.04000000
0.009413559491
Long
EC
CORP
US
N
1
N
N
N
Concho Resources Inc
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605P101
11798.00000000
NS
USD
802499.96000000
0.089081489475
Long
EC
CORP
US
N
1
N
N
N
Colgate-Palmolive Co
YMEGZFW4SBUSS5BQXF88
Colgate-Palmolive Co
194162103
7853.00000000
NS
USD
530627.21000000
0.058902261157
Long
EC
CORP
US
N
1
N
N
N
Universal Health Services Inc
549300YGMGQDO0NMJD09
Universal Health Services Inc
913903100
1190.00000000
NS
USD
147250.60000000
0.016345549442
Long
EC
CORP
US
N
1
N
N
N
Mitsubishi Heavy Industries Ltd
353800TJ98PCAZROVE69
Mitsubishi Heavy Industries Ltd
N/A
400.00000000
NS
12638.99000000
0.001402990792
Long
EC
CORP
JP
N
2
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209S103
498.00000000
NS
USD
20104.26000000
0.002231672915
Long
EC
CORP
US
N
1
N
N
N
IPG Photonics Corp
5493002KZ51CADQ94G15
IPG Photonics Corp
44980X109
97.00000000
NS
USD
-12381.08000000
-0.00137436149
Short
EC
CORP
US
N
1
N
N
N
Principal Government Money Market Fund
549300WWK3YB7DNN4U34
Principal Government Money Market Fund
742537228
107586431.06000000
NS
USD
107586431.06000000
11.94262928827
Long
STIV
RF
US
N
1
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172109
31453.00000000
NS
USD
2575057.11000000
0.285844154861
Long
EC
CORP
US
N
1
N
N
N
Vera Bradley Inc
52990005Q6LEJKXO7M51
Vera Bradley Inc
92335C106
5872.00000000
NS
USD
48502.72000000
0.005384043310
Long
EC
CORP
US
N
1
N
N
N
WFRBS Commercial Mortgage Trust 2012-C7
N/A
WFRBS Commercial Mortgage Trust 2012-C7
92936TAK8
225000.00000000
PA
USD
194107.66000000
0.021546916303
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.81000000
N
N
N
N
N
N
DT Auto Owner Trust 2018-2
N/A
DT Auto Owner Trust 2018-2
23343DAG4
290000.00000000
PA
USD
298997.08000000
0.033190163941
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
4.15000000
N
N
N
N
N
N
Teva Pharmaceutical Finance Netherlands II BV
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
N/A
190000.00000000
PA
218635.08000000
0.024269581992
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
55872.41000000
0.006202115578
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
30175000.00000000
MXN
1584914.58000000
USD
2020-03-20
55872.41000000
N
N
N
Henry Schein Inc
VGO3WGL8H45T73F4RR92
Henry Schein Inc
806407102
8177.00000000
NS
USD
498306.38000000
0.055314488171
Long
EC
CORP
US
N
1
N
N
N
Scorpio Tankers Inc
549300NVJUH16NXG8K87
Scorpio Tankers Inc
Y7542C130
8843.00000000
NS
USD
174914.54000000
0.019416384461
Long
EC
CORP
MC
N
1
N
N
N
Leggett & Platt Inc
DKOVQUCDW4ZLYCUD4T55
Leggett & Platt Inc
524660107
6986.00000000
NS
USD
277064.76000000
0.030755567267
Long
EC
CORP
US
N
1
N
N
N
Corning Inc
549300X2937PB0CJ7I56
Corning Inc
219350105
9839.00000000
NS
USD
234758.54000000
0.026059366296
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Credit Default Swaps
N/A
11120000.00000000
OU
Notional Amount
USD
1327772.48000000
0.147389353393
N/A
DCR
N/A
N
2
ICE
N/A
Turkey Government International Bond, 11.88%, 01/15/2030
Turkey Government International Bond, 11.88%, 01/15/2030
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-12-20
1015603.35000000
USD
0.00000000
USD
11120000.00000000
USD
312169.13000000
N
N
N
Takeda Pharmaceutical Co Ltd
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
N/A
2291.00000000
NS
79116.43000000
0.008782317479
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-37090.60000000
-0.00411724119
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
14713457.50000000
EUR
16213509.44000000
USD
2020-03-11
-37090.60000000
N
N
N
Dollar General Corp
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677105
6102.00000000
NS
USD
917130.60000000
0.101806061013
Long
EC
CORP
US
N
1
N
N
N
Prosper Pass-Thru Trust II Series 2019-St2
549300DCN6PLVC4QVK93
Prosper Pass-Thru Trust II Series 2019-St2
74361EAB3
1189849.00000000
PA
USD
1104059.25000000
0.122556071477
Long
ABS-O
CORP
US
N
2
2025-11-15
Fixed
0.00000000
N
N
N
N
N
N
Cognizant Technology Solutions Corp
5493006IEVQEFQO40L83
Cognizant Technology Solutions Corp
192446102
951.00000000
NS
USD
57944.43000000
0.006432120110
Long
EC
CORP
US
N
1
N
N
N
Aircastle Ltd
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAS0
945000.00000000
PA
USD
1021158.80000000
0.113353708945
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
26.00000000
NC
USD
-272222.11000000
-0.03021800901
N/A
DE
N/A
N
1
CBOE
N/A
Put
Written
S&P 500 Index
SPX
S&P 500 Index
26.00000000
2750.00000000
USD
2020-06-22
XXXX
-201120.64000000
N
N
N
Emerson Electric Co
FGLT0EWZSUIRRITFOA30
Emerson Electric Co
291011104
13817.00000000
NS
USD
885807.87000000
0.098329082095
Long
EC
CORP
US
N
1
N
N
N
MarketAxess Holdings Inc
5493002U1CA1XJOVID83
MarketAxess Holdings Inc
57060D108
582.00000000
NS
USD
-188760.06000000
-0.02095330608
Short
EC
CORP
US
N
1
N
N
N
NiSource Inc
549300D8GOWWH0SJB189
NiSource Inc
65473P105
18042.00000000
NS
USD
-487494.84000000
-0.05411435342
Short
EC
CORP
US
N
1
N
N
N
FNB Corp/PA
PCYSKIGYNYFDTBLVZU83
FNB Corp/PA
302520101
5871.00000000
NS
USD
59238.39000000
0.006575756110
Long
EC
CORP
US
N
1
N
N
N
ALM VII R Ltd
549300RLLUH00ZYECJ34
ALM VII R Ltd
00163JAC5
2000000.00000000
PA
USD
1992500.00000000
0.221177416356
Long
ABS-O
CORP
KY
N
2
2028-10-15
Floating
8.97000000
N
N
N
N
N
N
Shin-Etsu Chemical Co Ltd
353800PX8Q64N86H5W41
Shin-Etsu Chemical Co Ltd
N/A
8500.00000000
NS
940499.09000000
0.104400079704
Long
EC
CORP
JP
N
2
N
N
N
Entergy Corp
4XM3TW50JULSLG8BNC79
Entergy Corp
29364G103
70.00000000
NS
USD
8183.70000000
0.000908431428
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2111000.00000000
OU
Notional Amount
USD
-35938.62000000
-0.00398936568
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2022-01-19
150.93000000
USD
0.00000000
USD
2111000.00000000
USD
-36089.55000000
N
N
N
Citigroup Mortgage Loan Trust 2019-B
N/A
Citigroup Mortgage Loan Trust 2019-B
17327VAA9
340353.75000000
PA
USD
340781.74000000
0.037828469156
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
3.26000000
N
N
N
N
N
N
Match Group Inc
549300BIJKT86CPCKK96
Match Group Inc
57665R106
803.00000000
NS
USD
52195.00000000
0.005793904766
Long
EC
CORP
US
N
1
N
N
N
Ajinomoto Co Inc
353800UT0TLROREPIC92
Ajinomoto Co Inc
N/A
11285.00000000
NS
189328.18000000
0.021016370236
Long
EC
CORP
JP
N
2
N
N
N
APX Group Inc
549300OMQVKPRU98OE64
APX Group Inc
00213MAV6
1000000.00000000
PA
USD
969380.00000000
0.107606004450
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
6.75000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1487000.00000000
OU
Notional Amount
-31742.33000000
-0.00352355660
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2024-04-18
759.34000000
USD
0.00000000
USD
1487000.00000000
EUR
-32501.67000000
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
N/A
1650000.00000000
PA
USD
1638797.46000000
0.181914674095
Long
DBT
CORP
KY
N
2
2022-06-30
Fixed
8.50000000
N
N
N
N
N
N
Cboe Global Markets Inc
529900RLNSGA90UPEH54
Cboe Global Markets Inc
12503M108
8585.00000000
NS
USD
978690.00000000
0.108639460784
Long
EC
CORP
US
N
1
N
N
N
Air Products & Chemicals Inc
7QEON6Y1RL5XR3R1W237
Air Products & Chemicals Inc
009158106
853.00000000
NS
USD
-187327.33000000
-0.02079426592
Short
EC
CORP
US
N
1
N
N
N
BrightView Holdings Inc
549300F8QN8YHVI7L866
BrightView Holdings Inc
10948C107
4359.00000000
NS
USD
61026.00000000
0.006774189716
Long
EC
CORP
US
N
1
N
N
N
GS Mortgage Securities Corp II
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36250SAT6
635000.00000000
PA
USD
527913.85000000
0.058601064693
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Variable
4.41000000
N
N
N
N
N
N
McCormick & Co Inc/MD
549300JQQA6MQ4OJP259
McCormick & Co Inc/MD
579780206
1389.00000000
NS
USD
-203057.91000000
-0.02254043859
Short
EC
CORP
US
N
1
N
N
N
PVH Corp
123WALMHY1GZXG2YDL90
PVH Corp
693656100
4128.00000000
NS
USD
305926.08000000
0.033959317425
Long
EC
CORP
US
N
1
N
N
N
Connecticut Avenue Securities Trust 2020-R01
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAF6
260000.00000000
PA
USD
260326.14000000
0.028897497141
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
4.88000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513105
6332.00000000
NS
USD
-258029.00000000
-0.02864250316
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
10608.45000000
0.001177590746
N/A
DFE
N/A
N
2
Bank of America NA
N/A
6305000.00000000
MXN
330098.46000000
USD
2020-03-20
10608.45000000
N
N
N
Under Armour Inc - Class A
549300D4549QKWETZ406
Under Armour Inc - Class A
904311107
11077.00000000
NS
USD
157182.63000000
0.017448054203
Long
EC
CORP
US
N
1
N
N
N
Automatic Data Processing Inc
HGBOLILQXWER4SAL2I23
Automatic Data Processing Inc
053015103
735.00000000
NS
USD
-113733.90000000
-0.01262502893
Short
EC
CORP
US
N
1
N
N
N
First Midwest Bancorp Inc/IL
7XRS7ORI584PF41IVU88
First Midwest Bancorp Inc/IL
320867104
4546.00000000
NS
USD
82509.90000000
0.009159009538
Long
EC
CORP
US
N
1
N
N
N
Smiths Group PLC
213800MJL6IPZS3ASA11
Smiths Group PLC
N/A
16461.00000000
NS
-328020.07000000
-0.03641186027
Short
EC
CORP
GB
N
2
N
N
N
Washtec AG
391200HHWCQ0KBSG9U91
Washtec AG
N/A
2580.00000000
NS
139521.21000000
0.015487548684
Long
EC
CORP
DE
N
2
N
N
N
Dommo Energia SA
254900VV84SMDXCU2986
Dommo Energia SA
257553206
269.00000000
NS
USD
538.00000000
0.000059720677
Long
EC
CORP
BR
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5283000.00000000
OU
Notional Amount
USD
-103235.58000000
-0.01145966316
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2022-01-23
151.81000000
USD
0.00000000
USD
5283000.00000000
USD
-103387.39000000
N
N
N
Wartsila OYJ Abp
743700G7A9J1PHM3X223
Wartsila OYJ Abp
N/A
4530.00000000
NS
-47361.15000000
-0.00525732335
Short
EC
CORP
FI
N
2
N
N
N
Cairn CLO XI DAC
54930036FO0EWQ03QK50
Cairn CLO XI DAC
BCC2M22A3
360000.00000000
PA
397421.18000000
0.044115728882
Long
ABS-O
CORP
IE
N
2
2035-07-15
Floating
6.77000000
N
N
N
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
21929.00000000
NS
USD
1274513.48000000
0.141477339331
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
11483350.00000000
PA
USD
-11483350.00000000
-1.27470900081
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
11272000.00000000
USD
11646994.70000000
USD
UST
N
N
N
Toyoda Gosei Co Ltd
353800ZV4HXVM4DWPO50
Toyoda Gosei Co Ltd
N/A
7300.00000000
NS
-154221.64000000
-0.01711936957
Short
EC
CORP
JP
N
2
N
N
N
Sonic Healthcare Ltd
549300NQQ5L2NONWR862
Sonic Healthcare Ltd
N/A
1203.00000000
NS
22835.58000000
0.002534863029
Long
EC
CORP
AU
N
2
N
N
N
Micron Technology Inc
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112103
8164.00000000
NS
USD
-429099.84000000
-0.04763221780
Short
EC
CORP
US
N
1
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460D109
3801.00000000
NS
USD
794865.12000000
0.088233984237
Long
EC
CORP
US
N
1
N
N
N
Splunk Inc
549300XGDSGBP6UEI867
Splunk Inc
848637104
2550.00000000
NS
USD
375691.50000000
0.041703626257
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-6007.43000000
-0.00066685462
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
245000.00000000
EUR
264780.81000000
USD
2020-03-23
-6007.43000000
N
N
N
Motor 2017-1 PLC
213800NKWDIRST4AJ454
Motor 2017-1 PLC
62006FAA8
143000.00000000
PA
USD
143008.29000000
0.015874631919
Long
ABS-O
CORP
GB
N
2
2024-09-25
Floating
2.16000000
N
N
N
N
N
N
Banco Hipotecario SA
579100KKDKKHFCBKB005
Banco Hipotecario SA
05961AAG8
10245000.00000000
PA
156409.56000000
0.017362239585
Long
DBT
CORP
AR
N
2
2022-11-07
Floating
35.88000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
21.00000000
NC
USD
-57093.75000000
-0.00633769039
N/A
DIR
N/A
N
1
CBT
N/A
Call
Written
CBT
N/A
N/A
N/A
FUTURE
N/A
21.00000000
NC
USD
-57093.75000000
-0.00633800
DIR
Long
N/A
US 10 Year Note Future; June 2020
N/A
21000.00000000
USD
21.00000000
132.50000000
USD
2020-04-27
XXXX
-48262.51000000
N
N
N
Seiko Epson Corp
549300NIOFQDR749W206
Seiko Epson Corp
N/A
32300.00000000
NS
-452835.95000000
-0.05026704414
Short
EC
CORP
JP
N
2
N
N
N
AMETEK Inc
549300WZDEF9KKE40E98
AMETEK Inc
031100100
3031.00000000
NS
USD
-260666.00000000
-0.02893522329
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
13918.29000000
0.001544999459
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1479243.83000000
CAD
1116000.00000000
USD
2020-03-06
13918.29000000
N
N
N
RPT Realty
N/A
RPT Realty
74971D101
6108.00000000
NS
USD
79159.68000000
0.008787118445
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
39.00000000
NC
-338545.44000000
-0.03758022872
N/A
DE
N/A
N
1
OSE
N/A
Long
CAC40 Index; March 2020
N/A
CAC40 Index; March 2020
2020-03-23
2284658.47000000
USD
-338545.44000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-17759.17000000
-0.00197135625
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1289000.00000000
USD
11958996.55000000
NOK
2020-03-09
-17759.17000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
31050000.00000000
OU
Notional Amount
-440113.56000000
-0.04885479553
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2030-01-28
0.00000000
USD
1979.54000000
USD
31050000.00000000
PLN
-438134.02000000
N
N
N
Carmax Auto Owner Trust 2019-1
549300LQMUNTYT3DC014
Carmax Auto Owner Trust 2019-1
14315NAC4
1415000.00000000
PA
USD
1454420.06000000
0.161447865078
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
3.05000000
N
N
N
N
N
N
Allianz SE
529900K9B0N5BT694847
Allianz SE
N/A
1463.00000000
NS
318713.75000000
0.035378812437
Long
EC
CORP
DE
N
2
N
N
N
Accenture PLC - Class A
N/A
Accenture PLC - Class A
G1151C101
2424.00000000
NS
USD
437750.16000000
0.048592446373
Long
EC
CORP
IE
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
4694026.23000000
PA
USD
4857210.48000000
0.539174536846
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
Aramark
549300MR6PG2DWZUIL39
Aramark
03852U106
36300.00000000
NS
USD
1261062.00000000
0.139984158105
Long
EC
CORP
US
N
1
N
N
N
Telenet Group Holding NV
213800FA3K4S56INQI67
Telenet Group Holding NV
N/A
5335.00000000
NS
205203.71000000
0.022778633076
Long
EC
CORP
BE
N
2
N
N
N
Seven & i Holdings Co Ltd
52990037G8JRM3TWGY86
Seven & i Holdings Co Ltd
N/A
16900.00000000
NS
574994.71000000
0.063827274467
Long
EC
CORP
JP
N
2
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284V101
692.00000000
NS
USD
21043.72000000
0.002335957651
Long
EC
CORP
US
N
1
N
N
N
Entegris Inc
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362U104
2325.00000000
NS
USD
123969.00000000
0.013761175974
Long
EC
CORP
US
N
1
N
N
N
CH Robinson Worldwide Inc
529900WNWN5L0OVDHA79
CH Robinson Worldwide Inc
12541W209
1109.00000000
NS
USD
-76410.10000000
-0.00848190138
Short
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828X88
28413000.00000000
PA
USD
-31036762.97000000
-3.44523515471
Short
DBT
UST
US
N
2
2027-05-15
Fixed
2.38000000
N
N
N
N
N
N
CK Hutchison Holdings Ltd
254900Z8HM1VEPOQ2G79
CK Hutchison Holdings Ltd
N/A
14500.00000000
NS
128180.99000000
0.014228727826
Long
EC
CORP
HK
N
2
N
N
N
Shopify Inc
549300HGQ43STJLLP808
Shopify Inc
N/A
1100.00000000
NS
-510740.92000000
-0.05669478399
Short
EC
CORP
CA
N
1
N
N
N
OneMain Financial Issuance Trust 2015-3
N/A
OneMain Financial Issuance Trust 2015-3
68268LAB3
790000.00000000
PA
USD
796179.22000000
0.088379855877
Long
ABS-O
CORP
US
N
2
2028-11-20
Fixed
4.16000000
N
N
N
N
N
N
Boston Beer Co Inc/The
529900Q02MQ0DCQNRM58
Boston Beer Co Inc/The
100557107
164.00000000
NS
USD
60809.56000000
0.006750163799
Long
EC
CORP
US
N
1
N
N
N
Johnson Controls International plc
549300XQ6S1GYKGBL205
Johnson Controls International plc
G51502105
21514.00000000
NS
USD
-786766.98000000
-0.08733505039
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
1004360.80000000
0.111489047344
N/A
DFE
N/A
N
2
Bank of America NA
N/A
33685000.00000000
AUD
22954573.96000000
USD
2020-03-20
1004360.80000000
N
N
N
Freddie Mac STACR REMIC Trust 2020-HQA1
549300TCRXCIFPAC3B85
Freddie Mac STACR REMIC Trust 2020-HQA1
35565JBE0
220000.00000000
PA
USD
216010.94000000
0.023978289392
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
6.73000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YS3
2868000.00000000
PA
USD
3030221.25000000
0.336369639680
Long
DBT
UST
US
N
2
2029-11-15
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
67471.18000000
0.007489636773
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
192600000.00000000
RUB
2935997.99000000
USD
2020-03-20
67471.18000000
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
4107000.00000000
PA
USD
5811725.84000000
0.645130492278
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust 2019-GS3
N/A
Legacy Mortgage Asset Trust 2019-GS3
52474WAA5
365791.71000000
PA
USD
371780.20000000
0.041269452491
Long
ABS-O
CORP
US
N
2
2059-04-25
Variable
3.75000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475105
3437.00000000
NS
USD
434436.80000000
0.048224646923
Long
EC
CORP
US
N
1
N
N
N
Lancashire Holdings Ltd
5493002UNUYXLHOWF752
Lancashire Holdings Ltd
N/A
9600.00000000
NS
89716.29000000
0.009958954693
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2362000.00000000
OU
Notional Amount
USD
-383975.54000000
-0.04262319592
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2028-08-07
253.02000000
USD
0.00000000
USD
2362000.00000000
USD
-384228.56000000
N
N
N
US Well Services Inc - Warrants
N/A
US Well Services Inc - Warrants
91274U119
103668.00000000
NS
USD
5287.07000000
0.000586891082
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
9413.58000000
0.001044954229
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1105000.00000000
AUD
729335.85000000
USD
2020-03-09
9413.58000000
N
N
N
Kenya Government International Bond
549300VVURQQYU45PR87
Kenya Government International Bond
491798AJ3
3400000.00000000
PA
USD
3585660.40000000
0.398026149663
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
Z Holdings Corp
52990078MD2OL792YM35
Z Holdings Corp
N/A
266825.00000000
NS
968654.06000000
0.107525421497
Long
EC
CORP
JP
N
2
N
N
N
Otsuka Corp
529900RG9DJ58J3UIE72
Otsuka Corp
N/A
24600.00000000
NS
1062569.76000000
0.117950531601
Long
EC
CORP
JP
N
2
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
17152.00000000
NS
USD
882298.88000000
0.097939566741
Long
EC
CORP
US
N
1
N
N
N
McDermott Technology Americas Inc
549300MSF84ZAB7RHN59
McDermott Technology Americas Inc
N/A
800000.00000000
PA
USD
869336.00000000
0.096500622547
Long
LON
CORP
US
N
2
2021-10-21
Floating
11.90970000
N
N
N
N
N
N
Mosaic Co/The
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945C103
10536.00000000
NS
USD
179428.08000000
0.019917409865
Long
EC
CORP
US
N
1
N
N
N
Southcross Energy Series A
N/A
Southcross Energy Series A
N/A
2399338.00000000
NS
USD
1871483.64000000
0.207743998117
Long
EP
CORP
US
N
3
N
N
N
Toys R Us Property Co I LLC
N/A
Toys R Us Property Co I LLC
N/A
9652.83000000
PA
USD
9701.09000000
0.001076869270
Long
LON
CORP
US
N
2
2024-02-04
Variable
0.00000000
N
N
N
N
N
N
OraSure Technologies Inc
529900GNNJPNM4XHXQ77
OraSure Technologies Inc
68554V108
6383.00000000
NS
USD
38489.49000000
0.004272524946
Long
EC
CORP
US
N
1
N
N
N
Arena Pharmaceuticals Inc
529900CVGQMPJ3A3NI85
Arena Pharmaceuticals Inc
040047607
1122.00000000
NS
USD
50041.20000000
0.005554822247
Long
EC
CORP
US
N
1
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408103
856.00000000
NS
USD
60305.20000000
0.006694177329
Long
EC
CORP
US
N
1
N
N
N
LKQ Corp
DS830JTTZQN6GK0I2E41
LKQ Corp
501889208
7222.00000000
NS
USD
213626.76000000
0.023713633546
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
4407845.91000000
OU
Notional Amount
-482029.99000000
-0.05350772787
N/A
DE
N/A
N
2
Morgan Stanley & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in GBP
J Sainsbury PLC
-60845.00000000
N/A
-152709.30000000
N/A
Meggitt PLC
208863.00000000
N/A
1451441.73000000
N/A
TSCO LN Hedge Basket
-5626.00000000
N/A
-657787.70000000
N/A
Capital & Counties Properties PLC
182829.00000000
N/A
464140.09000000
N/A
Quilter PLC
625533.00000000
N/A
1170959.54000000
N/A
Signature Aviation PLC
142489.00000000
N/A
510807.55000000
N/A
Y
Total return on a custom basket of long and short securities traded in GBP
2020-05-20
0.00000000
USD
0.00000000
USD
4407845.91000000
USD
-482029.99000000
N
N
N
OHA Loan Funding 2016-1 Ltd
54930016024GMIAF7A82
OHA Loan Funding 2016-1 Ltd
67110UAQ2
345000.00000000
PA
USD
345000.00000000
0.038296717010
Long
ABS-O
CORP
KY
N
2
2033-01-20
Floating
3.68000000
N
N
N
N
N
N
BA Credit Card Trust
5493006DQ60M1CRKHH19
BA Credit Card Trust
05522RCW6
1030000.00000000
PA
USD
1030103.00000000
0.114346559659
Long
ABS-O
CORP
US
N
2
2022-08-15
Fixed
1.95000000
N
N
N
N
N
N
WE Company Preferred D-1
N/A
WE Company Preferred D-1
N/A
4867.00000000
NS
USD
54218.38000000
0.006018510016
Long
EP
CORP
US
Y
3
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
N/A
6851.00000000
NS
-367782.70000000
-0.04082571009
Short
EC
CORP
AU
N
2
N
N
N
Hamamatsu Photonics KK
N/A
Hamamatsu Photonics KK
N/A
4700.00000000
NS
183337.47000000
0.020351371611
Long
EC
CORP
JP
N
2
N
N
N
Cerner Corp
549300L4UJ40IEVVI304
Cerner Corp
156782104
3189.00000000
NS
USD
220902.03000000
0.024521224724
Long
EC
CORP
US
N
1
N
N
N
Argentine Republic Government International Bond
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HF0
3750000.00000000
PA
USD
1607812.50000000
0.178475189327
Long
DBT
NUSS
AR
N
2
2028-07-06
Fixed
6.63000000
N
N
N
N
N
N
Alten SA
969500Y7G9TY7Y24GN07
Alten SA
N/A
2036.00000000
NS
228018.55000000
0.025311193862
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
24687.29000000
0.002740412054
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
14035000.00000000
MXN
733108.73000000
USD
2020-04-14
24687.29000000
N
N
N
Pentair PLC
549300EVR9D56WPSRP15
Pentair PLC
G7S00T104
3576.00000000
NS
USD
140858.64000000
0.015636010071
Long
EC
CORP
GB
N
1
N
N
N
Tandem Diabetes Care Inc
549300JEPFOD0K4D3I05
Tandem Diabetes Care Inc
875372203
2368.00000000
NS
USD
176794.88000000
0.019625111560
Long
EC
CORP
US
N
1
N
N
N
Verisk Analytics Inc
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345Y106
1449.00000000
NS
USD
-224754.39000000
-0.02494885585
Short
EC
CORP
US
N
1
N
N
N
Global Payments Inc
549300NOMHGVQBX6S778
Global Payments Inc
37940X102
1801.00000000
NS
USD
-331329.97000000
-0.03677927564
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
18484606.25000000
PA
USD
-18484606.25000000
-2.05188328870
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
17215000.00000000
USD
18989395.25000000
USD
UST
N
N
N
Travelers Cos Inc/The
549300Y650407RU8B149
Travelers Cos Inc/The
89417E109
636.00000000
NS
USD
76199.16000000
0.008458485991
Long
EC
CORP
US
N
1
N
N
N
Teck Resources Ltd
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
N/A
17100.00000000
NS
171987.33000000
0.019091449583
Long
EC
CORP
CA
N
1
N
N
N
Simon Property Group Inc
529900GQL5X8H7AO3T64
Simon Property Group Inc
828806109
5832.00000000
NS
USD
717802.56000000
0.079679656549
Long
EC
CORP
US
N
1
N
N
N
Gavilan Resources LLC
54930045U6YHRH5DKI14
Gavilan Resources LLC
N/A
680000.00000000
PA
USD
226664.40000000
0.025160876472
Long
LON
CORP
US
N
2
2024-03-01
Floating
7.64520000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8790000000.00000000
OU
Notional Amount
USD
-41180.27000000
-0.00457121491
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month KRW Certificate of Deposit
Y
2022-01-28
286.46000000
USD
0.00000000
USD
8790000000.00000000
USD
-41466.73000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-4839.81000000
-0.00053724299
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
Call
Written
Goldman Sachs & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-4839.81000000
-0.00053700
DFE
22796800.00000000
NOK
2192000.00000000
EUR
N/A
2192000.00000000
EUR
10.40000000
EUR
2020-03-03
XXXX
7441.36000000
N
N
N
Genuine Parts Co
549300D46DQVEU651W04
Genuine Parts Co
372460105
6421.00000000
NS
USD
-560168.04000000
-0.06218144030
Short
EC
CORP
US
N
1
N
N
N
Carrier Global Corp
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAD6
105000.00000000
PA
USD
106324.44000000
0.011802541999
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
1.92000000
N
N
N
N
N
N
Kone Oyj
2138001CNF45JP5XZK38
Kone Oyj
N/A
5913.00000000
NS
334925.25000000
0.037178369619
Long
EC
CORP
FI
N
2
N
N
N
Greenland Global Investment Ltd
549300RR3CIGB2A33O28
Greenland Global Investment Ltd
N/A
225000.00000000
PA
USD
217198.82000000
0.024110149984
Long
DBT
CORP
VG
N
2
2024-07-03
Fixed
5.88000000
N
N
N
N
N
N
CME Group Inc
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572Q105
2589.00000000
NS
USD
-514744.98000000
-0.05713925458
Short
EC
CORP
US
N
1
N
N
N
Fresenius SE & Co KGaA
XDFJ0CYCOO1FXRFTQS51
Fresenius SE & Co KGaA
N/A
2086.00000000
NS
-98928.54000000
-0.01098156029
Short
EC
CORP
DE
N
2
N
N
N
Deere & Co
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199105
180.00000000
NS
USD
28166.40000000
0.003126610579
Long
EC
CORP
US
N
1
N
N
N
Octagon Investment Partners XVI Ltd
N/A
Octagon Investment Partners XVI Ltd
67590DAG1
500000.00000000
PA
USD
454025.00000000
0.050399034610
Long
ABS-O
CORP
KY
N
2
2030-07-17
Floating
7.59000000
N
N
N
N
N
N
HPEFS Equipment Trust 2020-1
N/A
HPEFS Equipment Trust 2020-1
40438FAF1
115000.00000000
PA
USD
116176.66000000
0.012896187452
Long
ABS-O
CORP
US
N
2
2030-02-20
Fixed
2.26000000
N
N
N
N
N
N
Ukraine Government International Bond
6354001WLTJXOMEXPY07
Ukraine Government International Bond
N/A
3300000.00000000
PA
3434500.57000000
0.381246656234
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.38000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
86805.13000000
0.009635801445
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
Call
Purchased
Merrill Lynch
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
86805.13000000
0.00963600
DFE
24019200.00000000
ZAR
1440000.00000000
EUR
N/A
1440000.00000000
EUR
16.68000000
EUR
2020-04-24
XXXX
62674.32000000
N
N
N
Wynn Resorts Ltd
254900CEKKWIHTEAB172
Wynn Resorts Ltd
983134107
6961.00000000
NS
USD
-751648.78000000
-0.08343675541
Short
EC
CORP
US
N
1
N
N
N
RCO V Mortgage LLC 2019-1
N/A
RCO V Mortgage LLC 2019-1
74937LAA4
515960.94000000
PA
USD
520816.39000000
0.057813211310
Long
ABS-MBS
CORP
US
N
2
2024-05-24
Variable
3.72000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9200000.00000000
OU
Notional Amount
46172.93000000
0.005125425025
N/A
DIR
N/A
N
2
Bank of America NA
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2022-03-24
0.00000000
USD
0.00000000
USD
9200000.00000000
CNY
46172.93000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
41301.84000000
0.004584709792
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
3246103.00000000
USD
353741710.18000000
JPY
2020-04-10
41301.84000000
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
9131.00000000
NS
USD
852287.54000000
0.094608158639
Long
EC
CORP
US
N
1
N
N
N
Lamb Weston Holdings Inc
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272104
1940.00000000
NS
USD
-168566.60000000
-0.01871173152
Short
EC
CORP
US
N
1
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BZ1
870000.00000000
PA
USD
875834.17000000
0.097221951757
Long
DBT
CORP
US
N
2
2021-11-05
Floating
2.34000000
N
N
N
N
N
N
Edgewell Personal Care Co
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co
28035Q102
2394.00000000
NS
USD
72681.84000000
0.008068045965
Long
EC
CORP
US
N
1
N
N
N
Rubicon Project Inc/The
54930018FR2YX1HHSB02
Rubicon Project Inc/The
78112V102
9000.00000000
NS
USD
102150.00000000
0.011339158384
Long
EC
CORP
US
N
1
N
N
N
JSR Corp
353800TL8FC0AWR22506
JSR Corp
N/A
12800.00000000
NS
-222529.35000000
-0.02470186534
Short
EC
CORP
JP
N
2
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859102
3176.00000000
NS
USD
1015303.68000000
0.112703761485
Long
EC
CORP
US
N
1
N
N
N
Eaton Corp PLC
549300VDIGTMXUNT7H71
Eaton Corp PLC
G29183103
9039.00000000
NS
USD
820018.08000000
0.091026087979
Long
EC
CORP
US
N
1
N
N
N
MASTR Alternative Loan Trust 2004-5
N/A
MASTR Alternative Loan Trust 2004-5
576434RG1
45607.65640000
PA
USD
47094.65000000
0.005227740532
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
6.00000000
N
N
N
N
N
N
Ghana Government International Bond
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAG6
3300000.00000000
PA
USD
3265680.00000000
0.362506732771
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.38000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022642
20168000.00000000
PA
USD
20553586.14000000
2.281550353480
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
2.50000000
N
N
N
N
N
N
Deere & Co
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199105
6117.00000000
NS
USD
-957188.16000000
-0.10625264953
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
34.00000000
NC
USD
227341.34000000
0.025236020181
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
Low Sulphur Gasoline; April 2020
2020-04-09
1494300.00000000
USD
227341.34000000
N
N
N
Venture XXI CLO Ltd
5493001C8B2BF8JNTO68
Venture XXI CLO Ltd
92330MAL3
446988.31000000
PA
USD
446317.83000000
0.049543500383
Long
ABS-O
CORP
KY
N
2
2027-07-15
Floating
2.71000000
N
N
N
N
N
N
Deluxe Entertainment Services Group Inc
549300TO70LQC2GV7A35
Deluxe Entertainment Services Group Inc
N/A
609115.17000000
PA
USD
625488.19000000
0.069432302045
Long
LON
CORP
US
N
2
2024-03-25
Floating
6.94000000
N
N
Y
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-14155.17000000
-0.00157129431
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
275810.00000000
USD
5186270.56000000
MXN
2020-04-17
-14155.17000000
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust
25272XAC9
78800.24000000
PA
USD
81582.60000000
0.009056074623
Long
ABS-O
CORP
US
N
2
2029-10-22
Fixed
6.07000000
N
N
N
N
N
N
N/A
N/A
Repurchase Agreement
N/A
2737020.00000000
PA
USD
2737020.00000000
0.303822841714
Long
RA
US
N
2
Repurchase
N
1.30000000
N/A
2552000.00000000
USD
2743931.67000000
USD
N
N
N
N/A
N/A
Futures
N/A
16.00000000
NC
22507.89000000
0.002498487808
N/A
DE
N/A
N
1
NYF
N/A
Short
HSCEI China Index; March 2020
N/A
HSCEI China Index; March 2020
2020-03-31
1063143.04000000
USD
22507.89000000
N
N
N
Copart Inc
549300KVYX3JWMYEHU61
Copart Inc
217204106
1690.00000000
NS
USD
142771.20000000
0.015848313749
Long
EC
CORP
US
N
1
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106L109
2691.00000000
NS
USD
298189.71000000
0.033100541852
Long
EC
CORP
US
N
1
N
N
N
Vicinity Centres
N/A
Vicinity Centres
N/A
135054.00000000
NS
191273.97000000
0.021232362610
Long
EC
CORP
AU
N
2
N
N
N
Chegg Inc
549300AKX7O8JG0O3G77
Chegg Inc
163092109
3756.00000000
NS
USD
147272.76000000
0.016348009313
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YF1
22274000.00000000
PA
USD
-22621161.23000000
-2.51106147846
Short
DBT
UST
US
N
2
2022-09-15
Fixed
1.50000000
N
N
N
N
N
N
Yum China Holdings Inc
529900DO9BYZ7VA3K502
Yum China Holdings Inc
98850P109
1747.00000000
NS
USD
76501.13000000
0.008492006163
Long
EC
CORP
CN
N
1
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620M106
6556.00000000
NS
USD
916004.32000000
0.101681038328
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
22903.25000000
0.002542374735
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
7776780.43000000
MXN
411655.00000000
USD
2020-06-16
22903.25000000
N
N
N
SoftBank Group Corp
5493003BZYYYCDIO0R13
SoftBank Group Corp
N/A
24486.00000000
NS
1137578.40000000
0.126276863947
Long
EC
CORP
JP
N
2
N
N
N
Booking Holdings Inc
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857L108
542.00000000
NS
USD
919047.72000000
0.102018870874
Long
EC
CORP
US
N
1
N
N
N
Weir Group PLC/The
549300KDR56WHY9I3D10
Weir Group PLC/The
N/A
14006.00000000
NS
-236569.71000000
-0.02626041517
Short
EC
CORP
GB
N
2
N
N
N
Ryman Healthcare Ltd
529900UR74KKRFG56I57
Ryman Healthcare Ltd
N/A
26852.00000000
NS
-257039.80000000
-0.02853269704
Short
EC
CORP
NZ
N
2
N
N
N
Flowserve Corp
6Y0GK87T6V7NJKZJVM41
Flowserve Corp
34354P105
151.00000000
NS
USD
6068.69000000
0.000673654792
Long
EC
CORP
US
N
1
N
N
N
A. Schulman Inc.
N/A
A. Schulman Inc.
N/A
2332.00000000
NS
USD
1009.76000000
0.000112088385
Long
EC
CORP
US
N
2
N
N
N
Insurance Australia Group Ltd
549300PFEWKNHRG25N08
Insurance Australia Group Ltd
N/A
288150.00000000
NS
1212601.59000000
0.134604811415
Long
EC
CORP
AU
N
2
N
N
N
Arrow Electronics Inc
549300YNNLBXT8N8R512
Arrow Electronics Inc
042735100
724.00000000
NS
USD
-48551.44000000
-0.00538945147
Short
EC
CORP
US
N
1
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058100
11458.00000000
NS
USD
-457174.20000000
-0.05074861148
Short
EC
CORP
US
N
1
N
N
N
Fox Corp - A Shares
549300DDU6FDRBIELS05
Fox Corp - A Shares
35137L105
1058.00000000
NS
USD
32522.92000000
0.003610205981
Long
EC
CORP
US
N
1
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc
609207105
549.00000000
NS
USD
28987.20000000
0.003217723464
Long
EC
CORP
US
N
1
N
N
N
Installed Building Products Inc
549300I95Y9P9YM5FI86
Installed Building Products Inc
45780R101
1405.00000000
NS
USD
92800.25000000
0.010301289602
Long
EC
CORP
US
N
1
N
N
N
Cummins Inc
ZUNI8PYC725B6H8JU438
Cummins Inc
231021106
3108.00000000
NS
USD
470209.32000000
0.052195574677
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-70.28000000
-0.00000780142
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Garmin Ltd
Garmin Ltd
1.00000000
105.00000000
USD
2020-04-20
XXXX
-29.57000000
N
N
N
Packaging Corp of America
549300XZP8MFZFY8TJ84
Packaging Corp of America
695156109
1534.00000000
NS
USD
139011.08000000
0.015430921716
Long
EC
CORP
US
N
1
N
N
N
American Homes 4 Rent 2015-SFR1
N/A
American Homes 4 Rent 2015-SFR1
02666AAE8
1045000.00000000
PA
USD
1155041.64000000
0.128215370499
Long
ABS-O
CORP
US
N
2
2052-04-17
Fixed
5.64000000
N
N
N
N
N
N
UCB SA
2138008J191VLSGY5A09
UCB SA
N/A
2095.00000000
NS
193967.19000000
0.021531323433
Long
EC
CORP
BE
N
2
N
N
N
N/A
N/A
Futures
N/A
19.00000000
NC
USD
465146.09000000
0.051633530948
N/A
DE
N/A
N
1
CBT
N/A
Short
S&P Mid 400 Emini; March 2020
N/A
S&P Mid 400 Emini; March 2020
2020-03-23
3443180.00000000
USD
465146.09000000
N
N
N
HCA Healthcare Inc
529900PH4ZGUH2MNEU89
HCA Healthcare Inc
40412C101
521.00000000
NS
USD
-66172.21000000
-0.00734544463
Short
EC
CORP
US
N
1
N
N
N
KBC Group NV
213800X3Q9LSAKRUWY91
KBC Group NV
N/A
3829.00000000
NS
255112.14000000
0.028318717192
Long
EC
CORP
BE
N
2
N
N
N
MercadoLibre Inc
549300DKPDN9M5S8GB14
MercadoLibre Inc
58733R102
56.00000000
NS
USD
-34497.68000000
-0.00382941416
Short
EC
CORP
AR
N
1
N
N
N
N/A
N/A
Futures
N/A
22.00000000
NC
USD
-18028.40000000
-0.00200124212
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
Soybean Meal; May 2020
2020-05-15
672320.00000000
USD
-18028.40000000
N
N
N
Keysight Technologies Inc
549300GLKVIO8YRCYN02
Keysight Technologies Inc
49338L103
3968.00000000
NS
USD
-376007.68000000
-0.04173872381
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-3259.58000000
-0.00036182960
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-3259.58000000
-0.00036200
DFE
894000.00000000
EUR
965520.00000000
USD
N/A
894000.00000000
EUR
1.08000000
EUR
2020-05-26
XXXX
1965.13000000
N
N
N
Devon Energy Corp
54930042348RKR3ZPN35
Devon Energy Corp
25179M103
5686.00000000
NS
USD
92340.64000000
0.010250270604
Long
EC
CORP
US
N
1
N
N
N
Cadence Design Systems Inc
GCT7RXJOGLXPV0NXZY22
Cadence Design Systems Inc
127387108
9879.00000000
NS
USD
653397.06000000
0.072530325513
Long
EC
CORP
US
N
1
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
14579.00000000
NS
USD
1650780.17000000
0.183244814541
Long
EC
CORP
US
N
1
N
N
N
Progressive Corp/The
529900TACNVLY9DCR586
Progressive Corp/The
743315103
5549.00000000
NS
USD
405964.84000000
0.045064117662
Long
EC
CORP
US
N
1
N
N
N
Bahrain Government International Bond
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2A1
2350000.00000000
PA
USD
2435258.00000000
0.270325757893
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.63000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swaps
N/A
1500000.00000000
OU
Notional Amount
USD
97146.93000000
0.010783792714
N/A
DCR
N/A
N
2
Citigroup Inc
N/A
CDX.32.EM.100
N/A
CDX.32.EM.100
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-12-20
73973.55000000
USD
0.00000000
USD
1500000.00000000
USD
23173.38000000
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525103
7734.00000000
NS
USD
605572.20000000
0.067221528036
Long
EC
CORP
US
N
1
N
N
N
GenOn Energy Inc - Escrow
N/A
GenOn Energy Inc - Escrow
3724ESC78
6143000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
3
2020-10-15
None
0.00000000
Y
N
N
N
N
N
Noble Energy Inc
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044105
34927.00000000
NS
USD
-552894.41000000
-0.06137403117
Short
EC
CORP
US
N
1
N
N
N
Ricoh Co Ltd
549300HFIB2GRUMDID72
Ricoh Co Ltd
N/A
71700.00000000
NS
-669570.17000000
-0.07432562121
Short
EC
CORP
JP
N
2
N
N
N
Navistar International Corp
WNDD3CRVXJGC8I7GX671
Navistar International Corp
63934E108
5621.00000000
NS
USD
204098.51000000
0.022655950375
Long
EC
CORP
US
N
1
N
N
N
Proofpoint Inc
529900C5FODDK0WSR085
Proofpoint Inc
743424103
700.00000000
NS
USD
74655.00000000
0.008287076546
Long
EC
CORP
US
N
1
N
N
N
MASTR Alternative Loan Trust 2003-9
N/A
MASTR Alternative Loan Trust 2003-9
576434KX1
39111.01800000
PA
USD
40001.97000000
0.004440417753
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.25000000
N
N
N
N
N
N
Boyd Gaming Corp
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BR1
430000.00000000
PA
USD
424680.90000000
0.047141693469
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.75000000
N
N
N
N
N
N
Red Rock Resorts Inc
N/A
Red Rock Resorts Inc
75700L108
3900.00000000
NS
USD
80379.00000000
0.008922469033
Long
EC
CORP
US
N
1
N
N
N
Amphenol Corp
549300D3L3G0R4U4VT04
Amphenol Corp
032095101
311.00000000
NS
USD
28512.48000000
0.003165027182
Long
EC
CORP
US
N
1
N
N
N
Arthur J Gallagher & Co
54930049QLLMPART6V29
Arthur J Gallagher & Co
363576109
4791.00000000
NS
USD
-467074.59000000
-0.05184760404
Short
EC
CORP
US
N
1
N
N
N
VeriSign Inc
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343E102
903.00000000
NS
USD
-171344.25000000
-0.01902006450
Short
EC
CORP
US
N
1
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411105
24998.00000000
NS
USD
622950.16000000
0.069150568084
Long
EC
CORP
US
N
1
N
N
N
Old Dominion Freight Line Inc
5299009TWK32WE417T96
Old Dominion Freight Line Inc
679580100
857.00000000
NS
USD
-166086.60000000
-0.01843643918
Short
EC
CORP
US
N
1
N
N
N
Textron Inc
3PPKBHUG1HD6BO7RNR87
Textron Inc
883203101
14271.00000000
NS
USD
-579402.60000000
-0.06431657219
Short
EC
CORP
US
N
1
N
N
N
Thermo Fisher Scientific Inc
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556102
2406.00000000
NS
USD
699664.80000000
0.077666274920
Long
EC
CORP
US
N
1
N
N
N
OBX 2019-EXP3 Trust
N/A
OBX 2019-EXP3 Trust
67113AAP5
262493.74000000
PA
USD
267677.18000000
0.029713499166
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SA
984245AN0
410000.00000000
PA
USD
90031.98000000
0.009993997854
Long
DBT
CORP
AR
N
2
2020-07-07
Floating
11.14000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932107
769.00000000
NS
USD
-34243.57000000
-0.00380120669
Short
EC
CORP
US
N
1
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080106
358.00000000
NS
USD
19528.90000000
0.002167805092
Long
EC
CORP
US
N
1
N
N
N
Toys R Us Property Co I LLC
N/A
Toys R Us Property Co I LLC
N/A
3364.86000000
PA
USD
3339.62000000
0.000370714440
Long
LON
CORP
US
N
2
2024-02-04
Variable
0.00000000
N
N
N
N
N
N
Hakuhodo DY Holdings Inc
N/A
Hakuhodo DY Holdings Inc
N/A
14300.00000000
NS
-165257.89000000
-0.01834444825
Short
EC
CORP
JP
N
2
N
N
N
Apidos CLO XXIII
635400C39IXGGYE6DH05
Apidos CLO XXIII
03765YAY0
370000.00000000
PA
USD
370000.00000000
0.041071841431
Long
ABS-O
CORP
KY
N
2
2033-04-15
Floating
2.21000000
N
N
N
N
N
N
Globe Life Inc
5493001JFHKQOPP6XA71
Globe Life Inc
37959E102
3375.00000000
NS
USD
312727.50000000
0.034714308895
Long
EC
CORP
US
N
1
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
Mexican Bonos
N/A
53200000.00000000
PA
2891498.25000000
0.320970696278
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Zillow Group Inc - C Shares
2549002XEELQDIR6FU05
Zillow Group Inc - C Shares
98954M200
5126.00000000
NS
USD
-286082.06000000
-0.03175653244
Short
EC
CORP
US
N
1
N
N
N
Mowi ASA
549300W1OGQF5LZIH349
Mowi ASA
N/A
5370.00000000
NS
-113763.15000000
-0.01262827583
Short
EC
CORP
NO
N
2
N
N
N
N/A
N/A
Options
N/A
60.00000000
NC
USD
80250.00000000
0.008908149391
N/A
DIR
N/A
N
1
CME
N/A
Call
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
60.00000000
NC
USD
80250.00000000
0.00890800
DIR
Long
N/A
90 Day Eurodollar Future; March 2021
N/A
150000.00000000
USD
60.00000000
98.75000000
USD
2021-03-16
XXXX
48647.40000000
N
N
N
GCA2014 Holdings Ltd - Class C
549300P7I2VS2S4LJI66
GCA2014 Holdings Ltd - Class C
36163UAA8
657675.55000000
PA
USD
547777.97000000
0.060806080874
Long
ABS-O
CORP
BM
N
3
2030-01-05
Fixed
6.00000000
N
N
N
N
N
N
Akzo Nobel NV
724500XYIJUGXAA5QD70
Akzo Nobel NV
N/A
14022.00000000
NS
1121903.96000000
0.124536923098
Long
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
482425000.00000100
OU
Notional Amount
-56196.86000000
-0.00623813114
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Budapest Interbank Offered Rate
Y
2023-07-11
7586.69000000
USD
0.00000000
USD
482425000.00000100
HUF
-63783.55000000
N
N
N
Simply Good Foods Co/The
N/A
Simply Good Foods Co/The
82900L102
8832.00000000
NS
USD
194833.92000000
0.021627534777
Long
EC
CORP
US
N
1
N
N
N
DR Horton Inc
529900ZIUEYVSB8QDD25
DR Horton Inc
23331A109
363.00000000
NS
USD
19337.01000000
0.002146504347
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital I Trust 2011-C2
N/A
Morgan Stanley Capital I Trust 2011-C2
617459AK8
160000.00000000
PA
USD
157071.54000000
0.017435722660
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Variable
5.49000000
N
N
N
N
N
N
Kajima Corp
N/A
Kajima Corp
N/A
11200.00000000
NS
-120035.92000000
-0.01332458451
Short
EC
CORP
JP
N
2
N
N
N
Archer-Daniels-Midland Co
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039483102
15100.00000000
NS
USD
-568515.00000000
-0.06310799440
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-26223.58000000
-0.00291094789
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
2479900.00000000
USD
177682729.00000000
INR
2020-03-18
-26223.58000000
N
N
N
Tokyo Electron Ltd
549300H5LSF8DP3RIJ34
Tokyo Electron Ltd
N/A
1000.00000000
NS
208911.68000000
0.023190236200
Long
EC
CORP
JP
N
2
N
N
N
Republic of South Africa Government Bond
378900AAFB4F17004C49
Republic of South Africa Government Bond
N/A
36732000.00000000
PA
2631753.62000000
0.292137749640
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
Western Union Co/The
28ID94QU1140NC23S047
Western Union Co/The
959802109
41083.00000000
NS
USD
919848.37000000
0.102107747009
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
7968.60000000
0.000884554258
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
555000.00000000
USD
17707275.00000000
THB
2020-08-27
7968.60000000
N
N
N
Owens Corning
JO5M6676RDJIZ2U8X907
Owens Corning
690742101
3455.00000000
NS
USD
-195172.95000000
-0.02166516879
Short
EC
CORP
US
N
1
N
N
N
Corteva Inc
549300WZN9I2QKLS0O94
Corteva Inc
22052L104
1361.00000000
NS
USD
-37019.20000000
-0.00410931543
Short
EC
CORP
US
N
1
N
N
N
KeyCorp
RKPI3RZGV1V1FJTH5T61
KeyCorp
493267108
5198.00000000
NS
USD
-84987.30000000
-0.00943401326
Short
EC
CORP
US
N
1
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc
40434L105
24567.00000000
NS
USD
510747.93000000
0.056695562141
Long
EC
CORP
US
N
1
N
N
N
Hitachi Chemical Co Ltd
549300HJBGCOVO2MLG52
Hitachi Chemical Co Ltd
N/A
15500.00000000
NS
-656402.16000000
-0.07286390656
Short
EC
CORP
JP
N
2
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBG1
320000.00000000
PA
USD
318400.00000000
0.035343984626
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
3.00000000
NC
USD
-47.45000000
-0.00000526718
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
MetLife Inc
MetLife Inc
3.00000000
52.50000000
USD
2020-04-20
XXXX
98.68000000
N
N
N
Nissan Auto Receivables 2018-A Owner Trust
N/A
Nissan Auto Receivables 2018-A Owner Trust
65478DAD9
622421.91000000
PA
USD
626145.42000000
0.069505257846
Long
ABS-O
CORP
US
N
2
2022-05-16
Fixed
2.65000000
N
N
N
N
N
N
InterDigital Inc
N/A
InterDigital Inc
45867G101
1443.00000000
NS
USD
76320.27000000
0.008471929803
Long
EC
CORP
US
N
1
N
N
N
Penn National Gaming Inc
N/A
Penn National Gaming Inc
707569109
422.00000000
NS
USD
12478.54000000
0.001385180043
Long
EC
CORP
US
N
1
N
N
N
Ball Corp
0BGI85ALH27ZJP15DY16
Ball Corp
058498106
1103.00000000
NS
USD
-77717.38000000
-0.00862701596
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
16363.52000000
0.001816432158
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
1754476.11000000
USD
17000000.00000000
SEK
2020-03-18
16363.52000000
N
N
N
N/A
N/A
Futures
N/A
34.00000000
NC
USD
202795.73000000
0.022511335312
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
LME Copper; March 2020
2020-03-17
4784650.00000000
USD
202795.73000000
N
N
N
Drive Auto Receivables Trust 2019-3
N/A
Drive Auto Receivables Trust 2019-3
26209WAD5
205000.00000000
PA
USD
206584.24000000
0.022931878777
Long
ABS-O
CORP
US
N
2
2023-06-15
Fixed
2.49000000
N
N
N
N
N
N
Fair Isaac Corp
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250104
333.00000000
NS
USD
125217.99000000
0.013899820080
Long
EC
CORP
US
N
1
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773100
4468.00000000
NS
USD
-109019.20000000
-0.01210167377
Short
EC
CORP
US
N
1
N
N
N
Intrado Corp
5493005Z5DB0O5S30R71
Intrado Corp
68163PAA2
1912000.00000000
PA
USD
1285820.00000000
0.142732419322
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
8.50000000
N
N
N
N
N
N
Dorian LPG Ltd
549300WP1W2WGMC7F395
Dorian LPG Ltd
Y2106R110
19152.00000000
NS
USD
212970.24000000
0.023640756559
Long
EC
CORP
US
N
1
N
N
N
Segro PLC
213800XC35KGM9NFC641
Segro PLC
N/A
13265.00000000
NS
140629.10000000
0.015610529988
Long
EC
CORP
GB
N
2
N
N
N
Atlantic Union Bankshares Corp
N/A
Atlantic Union Bankshares Corp
04911A107
2053.00000000
NS
USD
61056.22000000
0.006777544287
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
17184798.44000000
OU
Notional Amount
USD
2322913.39000000
0.257854947061
N/A
DE
N/A
N
2
Morgan Stanley & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in USD
Exxon Mobil Corp
-9322.00000000
N/A
-479523.68000000
N/A
Domino's Pizza Inc
-1134.00000000
N/A
-384947.64000000
N/A
UnitedHealth Group Inc
-3104.00000000
N/A
-791395.84000000
N/A
Cabot Oil & Gas Corp
-14757.00000000
N/A
-205565.01000000
N/A
iShares iBoxx High Yield Corporate Bond ETF
-22639.00000000
N/A
-1947859.56000000
N/A
Bristol-Myers Squibb Co
55774.00000000
N/A
186842.90000000
N/A
Morgan Stanley Leisure Travel Basket
-7875.00000000
N/A
-465412.50000000
N/A
Ceridian HCM Holding Inc
-2766.00000000
N/A
-195639.18000000
N/A
Alibaba Group Holding Ltd
-774.00000000
N/A
-160992.00000000
N/A
ONEOK Inc
-2747.00000000
N/A
-183279.84000000
N/A
T-Mobile US Inc
-690.00000000
N/A
-62210.40000000
N/A
Allergan PLC
29957.00000000
N/A
5711901.19000000
N/A
Walt Disney Co/The
-3392.00000000
N/A
-399068.80000000
N/A
American Express Co
-5658.00000000
N/A
-621983.94000000
N/A
AbbVie Inc
-25943.00000000
N/A
-2223574.53000000
N/A
Escrow Altegrity Inc NPV
124036.00000000
N/A
2683890.97000000
N/A
Navient Corp
-6918.00000000
N/A
-77689.14000000
N/A
iShares Nasdaq Biotechnology ETF
-3539.00000000
N/A
-403021.32000000
N/A
Y
Total return on a custom basket of long and short securities traded in USD
2020-08-24
0.00000000
USD
0.00000000
USD
17184798.44000000
USD
2322913.39000000
N
N
N
Hub Group Inc
N/A
Hub Group Inc
443320106
1600.00000000
NS
USD
73968.00000000
0.008210816127
Long
EC
CORP
US
N
1
N
N
N
Cooper Tire & Rubber Co
DE46ECQ8KH195MRIQN56
Cooper Tire & Rubber Co
216831107
2702.00000000
NS
USD
68873.98000000
0.007645354554
Long
EC
CORP
US
N
1
N
N
N
InterContinental Hotels Group PLC
2138007ZFQYRUSLU3J98
InterContinental Hotels Group PLC
N/A
1048.00000000
NS
58067.24000000
0.006445752631
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Options
N/A
2.00000000
NC
USD
-113.59000000
-0.00001260905
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Oracle Corp
Oracle Corp
2.00000000
57.50000000
USD
2020-04-20
XXXX
-15.49000000
N
N
N
Minera Mexico SA de CV
N/A
Minera Mexico SA de CV
60284MAB8
490000.00000000
PA
USD
493983.70000000
0.054834649178
Long
DBT
CORP
MX
N
2
2050-01-26
Fixed
4.50000000
N
N
N
N
N
N
Chipotle Mexican Grill Inc
N/A
Chipotle Mexican Grill Inc
169656105
639.00000000
NS
USD
-494317.62000000
-0.05487171596
Short
EC
CORP
US
N
1
N
N
N
Five Below Inc
529900AAXP5Z6BGI7418
Five Below Inc
33829M101
818.00000000
NS
USD
79305.10000000
0.008803260788
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZC7
14867000.00000000
PA
USD
-15020315.94000000
-1.66732982307
Short
DBT
UST
US
N
2
2025-02-28
Fixed
1.13000000
N
N
N
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
28740825.00000000
PA
USD
-28740825.00000000
-3.19037461352
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
28386000.00000000
USD
29622818.57142900
USD
UST
N
N
N
Sika AG
549300R3N69ECGYPU434
Sika AG
N/A
68.00000000
NS
-12172.24000000
-0.00135117921
Short
EC
CORP
CH
N
2
N
N
N
Copart Inc
549300KVYX3JWMYEHU61
Copart Inc
217204106
1739.00000000
NS
USD
-146910.72000000
-0.01630782107
Short
EC
CORP
US
N
1
N
N
N
Franco-Nevada Corp
N/A
Franco-Nevada Corp
N/A
1700.00000000
NS
182506.98000000
0.020259183088
Long
EC
CORP
CA
N
1
N
N
N
CDW Corp/DE
N/A
CDW Corp/DE
12514G108
825.00000000
NS
USD
94231.50000000
0.010460165475
Long
EC
CORP
US
N
1
N
N
N
Rakuten Inc
529900IMXUCQKUL1H943
Rakuten Inc
N/A
31200.00000000
NS
-262887.95000000
-0.02918187080
Short
EC
CORP
JP
N
2
N
N
N
Csail 2015-C2 Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
Csail 2015-C2 Commercial Mortgage Trust
12634NAZ1
960000.00000000
PA
USD
962077.44000000
0.106795383946
Long
ABS-MBS
CORP
US
N
2
2057-06-15
Variable
4.19000000
N
N
N
N
N
N
O'Reilly Automotive Inc
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103H107
593.00000000
NS
USD
-218650.96000000
-0.02427134475
Short
EC
CORP
US
N
1
N
N
N
Prestige Auto Receivables Trust 2019-1
N/A
Prestige Auto Receivables Trust 2019-1
74113NAG3
145000.00000000
PA
USD
149065.00000000
0.016546956872
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
3.90000000
N
N
N
N
N
N
PRA Group Inc
549300Q5HW3JSSB86K27
PRA Group Inc
69354N106
5555.00000000
NS
USD
215645.10000000
0.023937679331
Long
EC
CORP
US
N
1
N
N
N
Latam Airlines 2015-1 Pass Through Trust B
N/A
Latam Airlines 2015-1 Pass Through Trust B
51817UAB5
474871.35370000
PA
USD
475405.53000000
0.052772379847
Long
DBT
CORP
CL
N
2
2025-08-15
Fixed
4.50000000
N
N
N
N
N
N
Insulet Corp
549300TZTYD2PYN92D43
Insulet Corp
45784P101
2337.00000000
NS
USD
443959.89000000
0.049281757307
Long
EC
CORP
US
N
1
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-LC22
549300XO83D3BDYP0P62
Wells Fargo Commercial Mortgage Trust 2015-LC22
94989TAL8
260000.00000000
PA
USD
212456.24000000
0.023583700001
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Fixed
3.36000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
192467.59000000
0.021364860370
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
290950000.00000000
RUB
4525789.90000000
USD
2020-03-20
192467.59000000
N
N
N
GS Mortgage Securities Trust 2014-GC20
N/A
GS Mortgage Securities Trust 2014-GC20
36252WAE8
1820000.00000000
PA
USD
1684782.92000000
0.187019289017
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
4.96000000
N
N
N
N
N
N
Banque Ouest Africaine de Developpement
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
N/A
1900000.00000000
PA
USD
2059562.00000000
0.228621632113
Long
DBT
CORP
XX
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
101.00000000
NC
236971.73000000
0.026305041400
N/A
DIR
N/A
N
1
NYF
N/A
Long
N/A
Australia 10 Year Bond; March 2020
2020-03-17
9849462.08000000
USD
236971.73000000
N
N
N
Daikin Industries Ltd
549300Y7FWSTSHMW5Y57
Daikin Industries Ltd
N/A
2200.00000000
NS
296393.11000000
0.032901110311
Long
EC
CORP
JP
N
2
N
N
N
Crown Holdings Inc
NYLWZIOY8PUNIT4JOE22
Crown Holdings Inc
228368106
5515.00000000
NS
USD
388807.50000000
0.043159567533
Long
EC
CORP
US
N
1
N
N
N
Nordstrom Inc
549300S3IZB5P35KNV16
Nordstrom Inc
655664100
8463.00000000
NS
USD
-293666.10000000
-0.03259839862
Short
EC
CORP
US
N
1
N
N
N
Medtronic PLC
549300GX3ZBSQWUXY261
Medtronic PLC
G5960L103
15921.00000000
NS
USD
1602767.07000000
0.177915121487
Long
EC
CORP
IE
N
1
N
N
N
N/A
N/A
Futures
N/A
35.00000000
NC
USD
-333825.90000000
-0.03705633629
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Silver; May 2020
2020-05-28
2879975.00000000
USD
-333825.90000000
N
N
N
Nidec Corp
353800IF171MZTNL6Y31
Nidec Corp
N/A
1000.00000000
NS
-117773.30000000
-0.01307342243
Short
EC
CORP
JP
N
2
N
N
N
F5 Networks Inc
N/A
F5 Networks Inc
315616102
240.00000000
NS
USD
28788.00000000
0.003195611273
Long
EC
CORP
US
N
1
N
N
N
Tokyu Fudosan Holdings Corp
N/A
Tokyu Fudosan Holdings Corp
N/A
71100.00000000
NS
-449168.63000000
-0.04985995337
Short
EC
CORP
JP
N
2
N
N
N
Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2
N/A
Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2
590219AE1
15400.79000000
PA
USD
15735.51000000
0.001746719923
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.88000000
N
N
N
N
N
N
International Flavors & Fragrances Inc
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506101
2877.00000000
NS
USD
-344607.06000000
-0.03825309871
Short
EC
CORP
US
N
1
N
N
N
Renesas Electronics Corp
5299000EPC47VJQOFB81
Renesas Electronics Corp
N/A
57193.00000000
NS
348315.03000000
0.038664701838
Long
EC
CORP
JP
N
2
N
N
N
MASTR Alternative Loan Trust 2004-8
N/A
MASTR Alternative Loan Trust 2004-8
576434UQ5
241011.91000000
PA
USD
252360.75000000
0.028013299209
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
Fannie Mae REMICS
3136AQUA6
1161564.07000000
PA
USD
277939.40000000
0.030852656660
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Floating
4.57000000
N
N
N
N
N
N
CenturyLink Inc
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700106
30300.00000000
NS
USD
-365721.00000000
-0.04059685113
Short
EC
CORP
US
N
1
N
N
N
Kforce Inc
5493003RDQQDVXY2SK46
Kforce Inc
493732101
2088.00000000
NS
USD
63600.48000000
0.007059969809
Long
EC
CORP
US
N
1
N
N
N
Curtiss-Wright Corp
TEL51ETZWP7D0ZM4X325
Curtiss-Wright Corp
231561101
784.00000000
NS
USD
94032.96000000
0.010438126547
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-45016.19000000
-0.00499702112
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
222970479.53000000
JPY
2023000.00000000
USD
2020-03-09
-45016.19000000
N
N
N
Thales SA
529900FNDVTQJOVVPZ19
Thales SA
N/A
2549.00000000
NS
257455.22000000
0.028578810733
Long
EC
CORP
FR
N
2
N
N
N
PRPM 2020-1 LLC
N/A
PRPM 2020-1 LLC
69359GAA4
145000.00000000
PA
USD
145880.82000000
0.016193497045
Long
ABS-O
CORP
US
N
2
2025-02-25
Variable
2.98000000
N
N
N
N
N
N
Venture XX CLO Ltd
549300LQ92YS70N4PB21
Venture XX CLO Ltd
92330JCC8
194770.66970000
PA
USD
194342.17000000
0.021572948080
Long
ABS-O
CORP
KY
N
2
2027-04-15
Floating
2.65000000
N
N
N
N
N
N
SLM Private Credit Student Loan Trust 2003-B
549300BLEHJGFV7XSO25
SLM Private Credit Student Loan Trust 2003-B
78443CAP9
50000.00000000
PA
USD
49981.85000000
0.005548234101
Long
ABS-O
CORP
US
N
2
2033-03-15
Floating
4.59000000
N
N
N
N
N
N
Just Eat Takeaway
724500FVZIBSSQ7SHI95
Just Eat Takeaway
N/A
4890.00000000
NS
428666.40000000
0.047584103804
Long
EC
CORP
NL
N
2
N
N
N
Suez
549300JQIZM6CL7POC81
Suez
N/A
4175.00000000
NS
-66293.86000000
-0.00735894839
Short
EC
CORP
FR
N
2
N
N
N
Flight Centre Travel Group Ltd
254900BGNUI78EKEJY68
Flight Centre Travel Group Ltd
N/A
6253.00000000
NS
-134122.77000000
-0.01488829497
Short
EC
CORP
AU
N
2
N
N
N
TripAdvisor Inc
N/A
TripAdvisor Inc
896945201
1249.00000000
NS
USD
29289.05000000
0.003251230316
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-120.46000000
-0.00001337165
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
10651.78000000
USD
16166.00000000
AUD
2020-03-02
-120.46000000
N
N
N
CCG Receivables Trust 2018-1
N/A
CCG Receivables Trust 2018-1
12508VAD5
100000.00000000
PA
USD
101789.67000000
0.011299159961
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
3.42000000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
34400.00000000
NC
USD
57106.89000000
0.006339149001
N/A
DIR
N/A
N
2
Citigroup Inc
N/A
iShares J.P. Morgan USD EM Bond UCITS ETF
iShares J.P. Morgan USD EM Bond UCITS ETF
Y
Pay positive return on reference instrument
2020-05-21
0.00000000
USD
0.00000000
USD
3971593.52000000
USD
57106.89000000
N
N
N
MyoKardia Inc
549300OLNNNZ1NI9UY54
MyoKardia Inc
62857M105
877.00000000
NS
USD
55593.03000000
0.006171103007
Long
EC
CORP
US
N
1
N
N
N
Dentsu Group Inc
5299007PBBE83ZLJZG91
Dentsu Group Inc
N/A
7000.00000000
NS
-181008.69000000
-0.02009286544
Short
EC
CORP
JP
N
2
N
N
N
Hikari Tsushin Inc
3538001SOIIV8U3OXH94
Hikari Tsushin Inc
N/A
100.00000000
NS
19003.52000000
0.002109485297
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Credit Default Swaps
N/A
4440150.00000000
OU
Notional Amount
USD
-240065.59000000
-0.02664847525
N/A
DCR
N/A
N
2
ICE
N/A
CDX.33.HY.500
N/A
CDX.33.HY.500
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-12-20
0.00000000
USD
361286.93000000
USD
4440150.00000000
USD
121221.34000000
N
N
N
Kose Corp
353800NX4GGAVDHHY664
Kose Corp
N/A
600.00000000
NS
-71486.57000000
-0.00793536504
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
21936849.00000000
OU
Notional Amount
127167.57000000
0.014116233162
N/A
DIR
N/A
N
2
Bank of America NA
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2023-05-04
0.00000000
USD
0.00000000
USD
21936849.00000000
CNY
127167.57000000
N
N
N
Rollins Inc
549300F2A0BXT4SGWD84
Rollins Inc
775711104
17113.00000000
NS
USD
640710.72000000
0.071122078635
Long
EC
CORP
US
N
1
N
N
N
Elisa Oyj
743700TU2S3DXWGU7H32
Elisa Oyj
N/A
539.00000000
NS
31047.07000000
0.003446379286
Long
EC
CORP
FI
N
2
N
N
N
N/A
N/A
Options
N/A
52.00000000
NC
USD
971528.79000000
0.107844530834
N/A
DE
N/A
N
1
CBOE
N/A
Put
Purchased
S&P 500 Index
SPX
S&P 500 Index
52.00000000
3000.00000000
USD
2020-06-22
XXXX
661695.73000000
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508104
5875.00000000
NS
USD
670572.50000000
0.074436884833
Long
EC
CORP
US
N
1
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
N/A
5200.00000000
NS
143302.66000000
0.015907308454
Long
EC
CORP
CA
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286U9
50093000.00000000
PA
USD
51435336.11000000
5.709578293724
Long
DBT
UST
US
N
2
2022-05-15
Fixed
2.13000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
G47567105
2107.00000000
NS
USD
-150102.68000000
-0.01666214451
Short
EC
CORP
GB
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
928950000.00000100
OU
Notional Amount
4802.98000000
0.000533154683
N/A
DIR
N/A
N
2
CME
N/A
N/A
Sinacofi Chile Interbank Rate Avg
Y
2025-02-11
0.00000000
USD
84.70000000
USD
928950000.00000100
CLP
4887.68000000
N
N
N
AmeriCredit Automobile Receivables Trust 2019-3
N/A
AmeriCredit Automobile Receivables Trust 2019-3
03066NAD6
330000.00000000
PA
USD
334340.23000000
0.037113429488
Long
ABS-O
CORP
US
N
2
2024-04-18
Fixed
2.06000000
N
N
N
N
N
N
BorgWarner Inc
549300DSFX2IE88NSX47
BorgWarner Inc
099724106
12386.00000000
NS
USD
391397.60000000
0.043447081523
Long
EC
CORP
US
N
1
N
N
N
Financiera de Desarrollo Territorial SA Findeter
54930036EU95I2CWYJ76
Financiera de Desarrollo Territorial SA Findeter
N/A
3380000000.00000000
PA
1019677.40000000
0.113189266172
Long
DBT
CORP
CO
N
2
2024-08-12
Fixed
7.88000000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
249316.34000000
OU
Notional Amount
-31325.85000000
-0.00347732525
N/A
DE
N/A
N
2
UBS AG
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in HKD
Galaxy Entertainment Group Ltd
37773.00000000
N/A
249316.34000000
N/A
Y
Total return on a custom basket of long and short securities traded in HKD
2022-03-01
0.00000000
USD
0.00000000
USD
249316.34000000
USD
-31325.85000000
N
N
N
WAVE 2017-1 Trust
N/A
WAVE 2017-1 Trust
94353WAB1
244408.15000000
PA
USD
255239.10000000
0.028332810384
Long
ABS-O
CORP
US
N
2
2042-11-15
Fixed
5.68000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
3622000.00000000
PA
USD
4484913.21000000
0.497847687012
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.88000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828C57
13602000.00000000
PA
USD
13774150.31000000
1.528999236172
Long
DBT
UST
US
N
2
2021-03-31
Fixed
2.25000000
N
N
N
N
N
N
Dryden 33 Senior Loan Fund
5493003BMKJ887403407
Dryden 33 Senior Loan Fund
26249HAS7
700000.00000000
PA
USD
697235.00000000
0.077396555028
Long
ABS-O
CORP
KY
N
2
2029-04-15
Floating
8.80000000
N
N
N
N
N
N
Sarepta Therapeutics Inc
549300IKDPIED8J8IG21
Sarepta Therapeutics Inc
803607100
800.00000000
NS
USD
91576.00000000
0.010165391759
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
48442.43000000
OU
Notional Amount
8362.77000000
0.000928309090
N/A
DE
N/A
N
2
UBS AG
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in JPY
TDK Corp
-500.00000000
N/A
-48442.43000000
N/A
Y
Total return on a custom basket of long and short securities traded in JPY
2022-02-01
0.00000000
USD
0.00000000
USD
48442.43000000
USD
8362.77000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-35496.22000000
-0.00394025707
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1788000.00000000
USD
6064836.40000000
PEN
2020-05-11
-35496.22000000
N
N
N
Ukraine Government International Bond
6354001WLTJXOMEXPY07
Ukraine Government International Bond
N/A
1870000.00000000
PA
USD
1845615.20000000
0.204872472534
Long
DBT
NUSS
UA
N
2
2040-05-31
Variable
0.00000000
N
N
N
N
N
N
Silicon Motion Technology Corp
5299005RBVBZQJTYFC89
Silicon Motion Technology Corp
82706C108
2066.00000000
NS
USD
76896.52000000
0.008535896421
Long
EC
CORP
TW
N
1
N
N
N
N/A
N/A
Futures
N/A
441.00000000
NC
USD
-349068.26000000
-0.03874831411
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US 2 Year Note; June 2020
2020-07-01
96282703.57000000
USD
-349068.26000000
N
N
N
TriNet Group Inc
5299003FJVBETSFKE990
TriNet Group Inc
896288107
1761.00000000
NS
USD
93086.46000000
0.010333060336
Long
EC
CORP
US
N
1
N
N
N
International Paper Co
824LMFJDH41EY779Q875
International Paper Co
460146103
4827.00000000
NS
USD
178405.92000000
0.019803945017
Long
EC
CORP
US
N
1
N
N
N
CMS Energy Corp
549300IA9XFBAGNIBW29
CMS Energy Corp
125896100
1918.00000000
NS
USD
115885.56000000
0.012863873904
Long
EC
CORP
US
N
1
N
N
N
Eli Lilly & Co
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457108
2304.00000000
NS
USD
-290603.52000000
-0.03225843700
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4152000.00000000
OU
Notional Amount
-35217.05000000
-0.00390926781
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2023-03-23
1045.92000000
USD
0.00000000
USD
4152000.00000000
PLN
-36262.97000000
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620M106
1226.00000000
NS
USD
-171296.72000000
-0.01901478843
Short
EC
CORP
US
N
1
N
N
N
Clorox Co/The
54930044KVSC06Z79I06
Clorox Co/The
189054109
3607.00000000
NS
USD
-575027.94000000
-0.06383096316
Short
EC
CORP
US
N
1
N
N
N
Aflac Inc
549300N0B7DOGLXWPP39
Aflac Inc
001055102
7517.00000000
NS
USD
322103.45000000
0.035755086007
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828YL8
1384000.00000000
PA
USD
1422042.82000000
0.157853830301
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.13000000
N
N
N
N
N
N
Romanian Government International Bond
315700IASY927EDWBK92
Romanian Government International Bond
N/A
2850000.00000000
PA
3256369.78000000
0.361473252016
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-12038.94000000
-0.00133638225
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
453113.48000000
USD
677000.00000000
AUD
2020-03-09
-12038.94000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
31366.15000000
0.003481798754
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
31366.15000000
0.00348200
DFE
1953390.00000000
USD
1788000.00000000
EUR
N/A
1788000.00000000
EUR
1.09250000
EUR
2020-04-08
XXXX
18737.33000000
N
N
N
Troax Group AB
5493003TBEWGBIEG1X97
Troax Group AB
N/A
10341.00000000
NS
131301.84000000
0.014575157708
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
8773.18000000
0.000973866642
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
664791.34000000
USD
608650.00000000
EUR
2020-04-14
8773.18000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
441087.50000000
PA
USD
-441087.50000000
-0.04896290772
Short
RA
US
N
2
Reverse repurchase
N
2.65000000
N/A
497000.00000000
USD
507500.85000000
USD
N
N
N
Arconic Inc
549300HO5WFZUT5N2T22
Arconic Inc
03965L100
17143.00000000
NS
USD
503147.05000000
0.055851826633
Long
EC
CORP
US
N
1
N
N
N
L E Lundbergforetagen AB
529900BPSFZS6O3A9R04
L E Lundbergforetagen AB
N/A
1965.00000000
NS
-81510.83000000
-0.00904810779
Short
EC
CORP
SE
N
2
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
G47567105
445.00000000
NS
USD
31701.80000000
0.003519057574
Long
EC
CORP
GB
N
1
N
N
N
N/A
N/A
Futures
N/A
108.00000000
NC
USD
-135968.38000000
-0.01509316687
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US 10 Year Note; June 2020
2020-06-22
14553000.00000000
USD
-135968.38000000
N
N
N
Kyushu Electric Power Co Inc
549300BYNZPLKQVQH430
Kyushu Electric Power Co Inc
N/A
39800.00000000
NS
-288122.10000000
-0.03198298703
Short
EC
CORP
JP
N
2
N
N
N
DNB ASA
5967007LIEEXZX78M803
DNB ASA
N/A
3344.00000000
NS
56009.67000000
0.006217352121
Long
EC
CORP
NO
N
2
N
N
N
Obayashi Corp
529900YT4O5S0LCXWD54
Obayashi Corp
N/A
13500.00000000
NS
136188.94000000
0.015117650130
Long
EC
CORP
JP
N
2
N
N
N
JELD-WEN Holding Inc
529900AXX7CT9GZSCS30
JELD-WEN Holding Inc
47580P103
7808.00000000
NS
USD
146790.40000000
0.016294464952
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
30.00000000
NC
USD
-937.50000000
-0.00010406716
N/A
DIR
N/A
N
1
CBT
N/A
Put
Written
CBT
N/A
N/A
N/A
FUTURE
N/A
30.00000000
NC
USD
-937.50000000
-0.00010400
DIR
Short
N/A
US 10 Year Note Future; June 2020
N/A
30000.00000000
USD
30.00000000
130.00000000
USD
2020-03-30
XXXX
12850.74000000
N
N
N
ANSYS Inc
549300VJV8H15Z5FJ571
ANSYS Inc
03662Q105
11.00000000
NS
USD
-2664.09000000
-0.00029572724
Short
EC
CORP
US
N
1
N
N
N
Synopsys Inc
QG7T915N9S0NY5UKNE63
Synopsys Inc
871607107
1139.00000000
NS
USD
-157102.27000000
-0.01743913384
Short
EC
CORP
US
N
1
N
N
N
Terna Rete Elettrica Nazionale SpA
8156009E94ED54DE7C31
Terna Rete Elettrica Nazionale SpA
N/A
317.00000000
NS
2095.60000000
0.000232622029
Long
EC
CORP
IT
N
2
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796TJ8
2280000.00000000
PA
USD
2266502.40000000
0.251593046423
Long
DBT
UST
US
N
2
2020-09-10
None
1.52000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-190096.08000000
-0.02110161095
N/A
DFE
N/A
N
2
Bank of America NA
N/A
11851000.00000000
CHF
12111724.53000000
USD
2020-03-20
-190096.08000000
N
N
N
Progress Residential 2018-SFR2 Trust
N/A
Progress Residential 2018-SFR2 Trust
74332UAJ6
100000.00000000
PA
USD
103249.14000000
0.011461168394
Long
ABS-O
CORP
US
N
2
2035-08-17
Fixed
4.66000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
6192.00000000
NS
USD
252943.20000000
0.028077954058
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
34.00000000
NC
USD
-451033.99000000
-0.05006701761
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
LME Copper; March 2020
2020-03-17
4784650.00000000
USD
-451033.99000000
N
N
N
Planet Fitness Inc
549300LLE5HUPF6H8G33
Planet Fitness Inc
72703H101
3633.00000000
NS
USD
245191.17000000
0.027217440147
Long
EC
CORP
US
N
1
N
N
N
IndyMac INDX Mortgage Loan Trust 2005-AR11
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR11
45660LQH5
511867.16000000
PA
USD
462029.01000000
0.051287519555
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.61000000
N
N
N
N
N
N
Red Electrica Corp SA
5493009HMD0C90GUV498
Red Electrica Corp SA
N/A
30240.00000000
NS
577983.94000000
0.064159093874
Long
EC
CORP
ES
N
2
N
N
N
Education Funding Trust Trust
N/A
Education Funding Trust Trust
28141PAA3
394464.39000000
PA
USD
401436.35000000
0.044561432735
Long
ABS-O
CORP
US
N
2
2041-07-25
Fixed
2.79000000
N
N
N
N
N
N
Dycom Industries Inc
549300F56EKTHQI3WT60
Dycom Industries Inc
267475101
1966.00000000
NS
USD
58114.96000000
0.006451049788
Long
EC
CORP
US
N
1
N
N
N
CF Industries Holdings Inc
529900CG8YAQFZ2JMV97
CF Industries Holdings Inc
125269100
4130.00000000
NS
USD
152231.80000000
0.016898487433
Long
EC
CORP
US
N
1
N
N
N
Shionogi & Co Ltd
35380049VXDTHZI3DY35
Shionogi & Co Ltd
N/A
600.00000000
NS
32298.02000000
0.003585240962
Long
EC
CORP
JP
N
2
N
N
N
Ichor Holdings Ltd
529900PS8R2JVLJ2H892
Ichor Holdings Ltd
G4740B105
2633.00000000
NS
USD
76146.36000000
0.008452624928
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae Connecticut Avenue Securities
N/A
Fannie Mae Connecticut Avenue Securities
30711XUX0
65000.00000000
PA
USD
65917.64000000
0.007317186101
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
4.03000000
N
N
N
N
N
N
Cameco Corp
N4BHALMXL3GMZKCUON55
Cameco Corp
N/A
1400.00000000
NS
-12109.52000000
-0.00134421698
Short
EC
CORP
CA
N
1
N
N
N
Choice Hotels International Inc
5493003CYRY5RFGTIR97
Choice Hotels International Inc
169905106
6075.00000000
NS
USD
554526.00000000
0.061555145787
Long
EC
CORP
US
N
1
N
N
N
Outfront Media Capital LLC / Outfront Media Capital Corp
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAC8
120000.00000000
PA
USD
120334.80000000
0.013357761687
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
4.63000000
N
N
N
N
N
N
Turkey Government International Bond
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123AY6
497000.00000000
PA
USD
492030.00000000
0.054617778755
Long
DBT
NUSS
TR
N
2
2036-03-17
Fixed
6.88000000
N
N
N
N
N
N
Sectra AB - B Shares
549300R9ZBT8YSFFK266
Sectra AB - B Shares
N/A
2648.00000000
NS
96556.78000000
0.010718283127
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Options
N/A
6.00000000
NC
USD
-48.71000000
-0.00000540705
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Invesco Ltd
Invesco Ltd
6.00000000
19.00000000
USD
2020-04-20
XXXX
9.56000000
N
N
N
Republic FInance Issuance Trust 2019-A
N/A
Republic FInance Issuance Trust 2019-A
76041QAA1
490000.00000000
PA
USD
501246.28000000
0.055640831703
Long
ABS-O
CORP
US
N
2
2027-11-22
Fixed
3.43000000
N
N
N
N
N
N
Nielsen Holdings PLC
549300ZVCBHQE0XHG367
Nielsen Holdings PLC
G6518L108
12536.00000000
NS
USD
228280.56000000
0.025340278276
Long
EC
CORP
US
N
1
N
N
N
WFRBS Commercial Mortgage Trust 2012-C7
N/A
WFRBS Commercial Mortgage Trust 2012-C7
92936TAE2
80000.00000000
PA
USD
82201.42000000
0.009124766723
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.81000000
N
N
N
N
N
N
NXP Semiconductors NV
724500M9BY5293JDF951
NXP Semiconductors NV
N6596X109
92.00000000
NS
USD
10459.48000000
0.001161054335
Long
EC
CORP
NL
N
1
N
N
N
N/A
N/A
Futures
N/A
95.00000000
NC
144511.28000000
0.016041471289
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
UK 10 Year Gilt; June 2020
2020-06-29
16492294.32000000
USD
144511.28000000
N
N
N
IQVIA Holdings Inc
549300W3R20NM4KQPH86
IQVIA Holdings Inc
46266C105
6832.00000000
NS
USD
952995.68000000
0.105787263388
Long
EC
CORP
US
N
1
N
N
N
Emergent BioSolutions Inc
549300YW6TUOX8BE5103
Emergent BioSolutions Inc
29089Q105
1500.00000000
NS
USD
88020.00000000
0.009770658061
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
5740.20000000
0.000637190768
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
Put
Purchased
Goldman Sachs & Co
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
5740.20000000
0.00063700
DFE
2815000.00000000
EUR
28262600.00000000
NOK
N/A
2815000.00000000
EUR
10.04000000
EUR
2020-05-15
XXXX
-24120.32000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-76.13000000
-0.00000845080
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Applied Materials Inc
Applied Materials Inc
1.00000000
70.00000000
USD
2020-04-20
XXXX
7.58000000
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MX4
1369000.00000000
PA
USD
1562761.00000000
0.173474248613
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
6.58000000
N
N
N
N
N
N
IDEX Corp
549300U5Y5EL6PHYLF13
IDEX Corp
45167R104
1287.00000000
NS
USD
-190476.00000000
-0.02114378396
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4584000.00000000
OU
Notional Amount
USD
-443838.90000000
-0.04926832681
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2024-10-01
229.24000000
USD
0.00000000
USD
4584000.00000000
USD
-444068.14000000
N
N
N
Kinross Gold Corp
549300UEBMAQDN0K0R06
Kinross Gold Corp
N/A
36300.00000000
NS
182547.96000000
0.020263732072
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7120000.00000000
OU
Notional Amount
23675.59000000
0.002628108319
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2023-12-12
0.00000000
USD
0.00000000
USD
7120000.00000000
CNY
23675.59000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
39313.48000000
0.004363991936
N/A
DFE
N/A
N
2
Standard Chartered Hong Kong
N/A
Call
Purchased
Standard Chartered Hong Kong
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
39313.48000000
0.00436400
DFE
151575000.00000000
THB
4700000.00000000
USD
N/A
4700000.00000000
USD
32.25000000
USD
2020-08-26
XXXX
-11940.02000000
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YG9
48841000.00000000
PA
USD
50697339.45000000
5.627656991571
Long
DBT
UST
US
N
2
2026-09-30
Fixed
1.63000000
N
N
N
N
N
N
Kohl's Corp
549300JF6LPRTRJ0FH50
Kohl's Corp
500255104
13410.00000000
NS
USD
525001.50000000
0.058277779349
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286C9
18234000.00000000
PA
USD
18794553.09000000
2.086288930501
Long
DBT
UST
US
N
2
2022-02-15
Fixed
2.50000000
N
N
N
N
N
N
CoreCivic Inc
529900JFA3K6PTLT8B15
CoreCivic Inc
21871N101
5425.00000000
NS
USD
80344.25000000
0.008918611610
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
43.00000000
NC
-562370.29000000
-0.06242590101
N/A
DE
N/A
N
1
CME
N/A
Long
FTSE100 Index; March 2020
N/A
FTSE100 Index; March 2020
2020-03-23
3599321.87000000
USD
-562370.29000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
26952.61000000
0.002991873848
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
14224346.10000000
NOK
1539000.00000000
USD
2020-03-09
26952.61000000
N
N
N
CalAmp Corp
5493007SIGZIX83TOW07
CalAmp Corp
128126AD1
405000.00000000
PA
USD
342405.67000000
0.038008733468
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
2.00000000
N
N
N
N
Y
CalAmp Corp
CalAmp Corp
USD
XXXX
N
N
N
DR Horton Inc
529900ZIUEYVSB8QDD25
DR Horton Inc
23331A109
1452.00000000
NS
USD
-77348.04000000
-0.00858601738
Short
EC
CORP
US
N
1
N
N
N
Apellis Pharmaceuticals Inc
254900HS0ZFRXXSB9D42
Apellis Pharmaceuticals Inc
03753U106
3376.00000000
NS
USD
116877.12000000
0.012973941998
Long
EC
CORP
US
N
1
N
N
N
Gaztransport Et Technigaz SA
969500BVOHVZUUFWDT54
Gaztransport Et Technigaz SA
N/A
1040.00000000
NS
93147.44000000
0.010339829420
Long
EC
CORP
FR
N
2
N
N
N
Leonardo US Holdings Inc
529900WVR776KSXHSA85
Leonardo US Holdings Inc
583491AC9
716000.00000000
PA
USD
796550.00000000
0.088421014303
Long
DBT
CORP
US
N
2
2040-01-15
Fixed
6.25000000
N
N
N
N
N
N
CyberAgent Inc
3538006T5KZABPGS8Q08
CyberAgent Inc
N/A
7900.00000000
NS
-299174.88000000
-0.03320990062
Short
EC
CORP
JP
N
2
N
N
N
DCC PLC
213800UPS1QEE4TD3T45
DCC PLC
N/A
63.00000000
NS
4512.26000000
0.000500883316
Long
EC
CORP
IE
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
3809.00000000
0.000422817956
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
13361400.92000000
NOK
1423950.46000000
USD
2020-03-02
3809.00000000
N
N
N
Bunge Ltd
5493007M0RIN8HY3MM77
Bunge Ltd
G16962204
6930.00000000
NS
USD
693000.00000000
0.076926448951
Long
EP
CORP
BM
N
1
N
N
N
Canadian Pacific Railway Ltd
N/A
Canadian Pacific Railway Ltd
N/A
400.00000000
NS
99138.01000000
0.011004812504
Long
EC
CORP
CA
N
1
N
N
N
United Airlines Holdings Inc
N/A
United Airlines Holdings Inc
910047109
2964.00000000
NS
USD
182552.76000000
0.020264264896
Long
EC
CORP
US
N
1
N
N
N
GenOn Energy Inc - Escrow
N/A
GenOn Energy Inc - Escrow
3724ESC94
6993000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
3
2018-10-15
None
0.00000000
Y
N
N
N
N
N
Raiffeisen Bank International AG
9ZHRYM6F437SQJ6OUG95
Raiffeisen Bank International AG
N/A
11473.00000000
NS
236921.70000000
0.026299487821
Long
EC
CORP
AT
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-28695.66000000
-0.00318536107
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
3030000.00000000
CHF
3116012.88000000
USD
2020-03-18
-28695.66000000
N
N
N
HMS Networks AB
549300MOY2FDUUDIQ179
HMS Networks AB
N/A
4996.00000000
NS
65654.36000000
0.007287960711
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
12855000000.00000000
OU
Notional Amount
0.00000000
0.000000
N/A
DIR
N/A
N
2
Bank of America NA
N/A
Put
Written
Bank of America NA
N/A
N/A
N/A
Interest Rate Swap
N/A
12855000000.00000000
OU
Notional Amount
0.00000000
0.00000000
DIR
N/A
3 Month KRW Certificate of Deposit
N/A
N/A
N/A
N/A
N/A
12855000000.00000000
KRW
12855000000.00000000
KRW
2.00000000
KRW
2020-03-16
XXXX
70411.35000000
N
N
N
Yamazaki Baking Co Ltd
N/A
Yamazaki Baking Co Ltd
N/A
7200.00000000
NS
-121909.87000000
-0.01353260229
Short
EC
CORP
JP
N
2
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200101
2985.00000000
NS
USD
388497.75000000
0.043125183741
Long
EC
CORP
US
N
1
N
N
N
Sofi Consumer Loan Program 2018-2 Trust
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAB1
311641.88000000
PA
USD
313724.40000000
0.034824969756
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
3.35000000
N
N
N
N
N
N
Molson Coors Beverage Co
54930073LBBH6ZCBE225
Molson Coors Beverage Co
60871R209
676.00000000
NS
USD
33536.36000000
0.003722702865
Long
EC
CORP
US
N
1
N
N
N
American Electric Power Co Inc
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537101
2790.00000000
NS
USD
-249035.40000000
-0.02764416880
Short
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z52
23412000.00000000
PA
USD
-23925966.45000000
-2.65590135169
Short
DBT
UST
US
N
2
2025-01-31
Fixed
1.38000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
10643.17000000
0.001181444839
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
2532400.00000000
EUR
2814693.47000000
USD
2020-04-24
10643.17000000
N
N
N
Synthomer PLC
213800EHT3TI1KPQQJ56
Synthomer PLC
N/A
44110.00000000
NS
160721.38000000
0.017840873064
Long
EC
CORP
GB
N
2
N
N
N
Odakyu Electric Railway Co Ltd
N/A
Odakyu Electric Railway Co Ltd
N/A
2000.00000000
NS
-38435.95000000
-0.00426658173
Short
EC
CORP
JP
N
2
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCE3
62000.00000000
PA
USD
58751.20000000
0.006521675595
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.13000000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
23500000.00000000
NC
USD
26101.94000000
0.002897445245
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Egypt Treasury Bills, 0.00%, 01/05/2021
Egypt Treasury Bills, 0.00%, 01/05/2021
Y
Receive positive return on reference instrument
2021-01-08
0.00000000
USD
0.00000000
USD
1313972.08000000
USD
26101.94000000
N
N
N
Banc of America Commercial Mortgage Trust 2015-UBS7
N/A
Banc of America Commercial Mortgage Trust 2015-UBS7
06054ABE8
531000.00000000
PA
USD
457952.29000000
0.050834983345
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
3.17000000
N
N
N
N
N
N
Hamilton Lane Inc
5493006OKN3V1NORM833
Hamilton Lane Inc
407497106
1388.00000000
NS
USD
86250.32000000
0.009574214774
Long
EC
CORP
US
N
1
N
N
N
Dassault Systemes SE
96950065LBWY0APQIM86
Dassault Systemes SE
N/A
4040.00000000
NS
640998.98000000
0.071154076930
Long
EC
CORP
FR
N
2
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAH8
630000.00000000
PA
USD
631076.99000000
0.070052686660
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
NBCUniversal Enterprise Inc
N/A
NBCUniversal Enterprise Inc
63946CAE8
1205000.00000000
PA
USD
1239342.50000000
0.137573185511
Long
DBT
CORP
US
N
2
N/A
Fixed
5.25000000
N
N
N
N
N
N
CarMax Auto Owner Trust 2018-1
N/A
CarMax Auto Owner Trust 2018-1
14314AAG4
25000.00000000
PA
USD
25677.09000000
0.002850284780
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
3.37000000
N
N
N
N
N
N
JXTG Holdings Inc
3538001KQ5SAOZSQTT44
JXTG Holdings Inc
N/A
97537.00000000
NS
395135.86000000
0.043862046988
Long
EC
CORP
JP
N
2
N
N
N
Belden Inc
68BKYO1JC791TTJHUE82
Belden Inc
077454106
10273.00000000
NS
USD
410200.89000000
0.045534340294
Long
EC
CORP
US
N
1
N
N
N
Bank OZK
549300VYK2WBD7SST478
Bank OZK
06417N103
3088.00000000
NS
USD
78404.32000000
0.008703269725
Long
EC
CORP
US
N
1
N
N
N
Okta Inc
549300N8J06I8MRHU620
Okta Inc
679295105
1300.00000000
NS
USD
-166478.00000000
-0.01847988653
Short
EC
CORP
US
N
1
N
N
N
Bowman Park CLO Ltd
549300RY1CYH5GR2HE67
Bowman Park CLO Ltd
10302WAA1
1000000.00000000
PA
USD
997050.00000000
0.110677512159
Long
ABS-O
CORP
KY
N
2
2025-11-23
Floating
7.08000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-28943.28000000
-0.00321284812
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
737364.72000000
USD
14035000.00000000
MXN
2020-04-14
-28943.28000000
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156R108
5047.00000000
NS
USD
215607.84000000
0.023933543286
Long
EC
CORP
US
N
1
N
N
N
Opus Bank
5493002PJJERLWZ9O392
Opus Bank
684000102
3363.00000000
NS
USD
79602.21000000
0.008836241477
Long
EC
CORP
US
N
1
N
N
N
Banc of America Funding 2007-4 Trust
N/A
Banc of America Funding 2007-4 Trust
05953YBT7
97728.55000000
PA
USD
98980.35000000
0.010987311459
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
5.50000000
N
N
N
N
N
N
Elanco Animal Health
N/A
Elanco Animal Health
N/A
180000.00000000
PA
USD
177899.40000000
0.019747718777
Long
LON
CORP
US
N
2
2027-02-04
None
0.00000000
N
N
N
N
N
N
GlaxoSmithKline PLC
5493000HZTVUYLO1D793
GlaxoSmithKline PLC
N/A
749.00000000
NS
15114.35000000
0.001677768071
Long
EC
CORP
GB
N
2
N
N
N
Consolidated Edison Inc
54930033SBW53OO8T749
Consolidated Edison Inc
209115104
4425.00000000
NS
USD
-348778.50000000
-0.03871614931
Short
EC
CORP
US
N
1
N
N
N
Gap Inc/The
T2ZG1WRWZ4BUCMQL9224
Gap Inc/The
364760108
46086.00000000
NS
USD
660412.38000000
0.073309060947
Long
EC
CORP
US
N
1
N
N
N
Beazley PLC
213800VTOMUWD41GIT12
Beazley PLC
N/A
22100.00000000
NS
153199.84000000
0.017005944691
Long
EC
CORP
GB
N
2
N
N
N
Chubb Ltd
E0JAN6VLUDI1HITHT809
Chubb Ltd
H1467J104
3615.00000000
NS
USD
-524283.45000000
-0.05819807222
Short
EC
CORP
CH
N
1
N
N
N
Heritage Commerce Corp
549300CLIS851ELSR406
Heritage Commerce Corp
426927109
7684.00000000
NS
USD
78837.84000000
0.008751392603
Long
EC
CORP
US
N
1
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165B103
22748.00000000
NS
USD
661966.80000000
0.073481609303
Long
EC
CORP
US
N
1
N
N
N
James Hardie Industries PLC
635400NSGXKTVOO7JU45
James Hardie Industries PLC
N/A
18045.00000000
NS
-337204.20000000
-0.03743134441
Short
EC
CORP
IE
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-44536.63000000
-0.00494378758
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
750851.10000000
USD
1130000.00000000
NZD
2020-04-14
-44536.63000000
N
N
N
Americredit Automobile Receivables Trust 2018-3
N/A
Americredit Automobile Receivables Trust 2018-3
03066MAG1
670000.00000000
PA
USD
712256.70000000
0.079064038488
Long
ABS-O
CORP
US
N
2
2024-11-18
Fixed
4.04000000
N
N
N
N
N
N
Xilinx Inc
6EY4K7ZMF9UX1CU6KC79
Xilinx Inc
983919101
3896.00000000
NS
USD
-325277.04000000
-0.03610737029
Short
EC
CORP
US
N
1
N
N
N
Martin Marietta Materials Inc
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284106
999.00000000
NS
USD
227302.47000000
0.025231705418
Long
EC
CORP
US
N
1
N
N
N
Sandvik AB
5299008ZUAXN43LVZF54
Sandvik AB
N/A
29959.00000000
NS
499400.17000000
0.055435904305
Long
EC
CORP
SE
N
2
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209S103
16454.00000000
NS
USD
-664247.98000000
-0.07373483163
Short
EC
CORP
US
N
1
N
N
N
Odebrecht Drilling Norbe VIII/IX Ltd
549300YNW6BY570L6488
Odebrecht Drilling Norbe VIII/IX Ltd
N/A
1548582.78000000
PA
USD
1544726.81000000
0.171472363770
Long
DBT
CORP
KY
N
2
2021-12-01
Fixed
6.35000000
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
48300TAD4
210000.00000000
PA
USD
224721.00000000
0.024945149400
Long
DBT
CORP
KY
N
2
2022-10-22
Fixed
11.95000000
N
N
N
N
N
N
Euronext NV
724500QJ4QSZ3H9QU415
Euronext NV
N/A
2232.00000000
NS
186082.91000000
0.020656129115
Long
EC
CORP
NL
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-50321.95000000
-0.00558598689
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1195157.00000000
USD
36112041.96000000
THB
2020-03-18
-50321.95000000
N
N
N
Grubhub Inc
529900CR2K1AJ5W4RR39
Grubhub Inc
400110102
3993.00000000
NS
USD
-192103.23000000
-0.02132441459
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2700000.00000000
OU
Notional Amount
USD
-273519.49000000
-0.03036202465
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2025-04-25
294.25000000
USD
0.00000000
USD
2700000.00000000
USD
-273813.74000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-546923.20000000
-0.06071119715
N/A
DFE
N/A
N
2
Bank of America NA
N/A
9112698.09000000
USD
13705000.00000000
NZD
2020-03-20
-546923.20000000
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875P101
10270.00000000
NS
USD
649680.20000000
0.072117735555
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
12855000000.00000000
OU
Notional Amount
-697442.35000000
-0.07741957191
N/A
DIR
N/A
N
2
Bank of America NA
N/A
Call
Written
Bank of America NA
N/A
N/A
N/A
Interest Rate Swap
N/A
12855000000.00000000
OU
Notional Amount
-697442.35000000
-0.07742000
DIR
N/A
3 Month KRW Certificate of Deposit
N/A
N/A
N/A
N/A
N/A
12855000000.00000000
KRW
12855000000.00000000
KRW
1.70000000
KRW
2020-03-16
XXXX
-584002.37000000
N
N
N
Country Garden Holdings Co Ltd
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
N/A
975000.00000000
PA
USD
980586.37000000
0.108849967292
Long
DBT
CORP
KY
N
2
2022-07-25
Fixed
4.75000000
N
N
N
N
N
N
Koito Manufacturing Co Ltd
N/A
Koito Manufacturing Co Ltd
N/A
3100.00000000
NS
121441.60000000
0.013480621995
Long
EC
CORP
JP
N
2
N
N
N
CLP Holdings Ltd
25490002BUTSMP94GO68
CLP Holdings Ltd
N/A
1500.00000000
NS
-15849.78000000
-0.00175940446
Short
EC
CORP
HK
N
2
N
N
N
Sodexo SA
969500LCBOG12HXPYM84
Sodexo SA
N/A
2945.00000000
NS
-284633.22000000
-0.03159570399
Short
EC
CORP
FR
N
2
N
N
N
Splunk Inc
549300XGDSGBP6UEI867
Splunk Inc
848637104
2954.00000000
NS
USD
-435212.82000000
-0.04831078900
Short
EC
CORP
US
N
1
N
N
N
JPMBB Commercial Mortgage Securities Trust 2015-C29
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RAN5
2160000.00000000
PA
USD
1701729.65000000
0.188900460388
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
3.90000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
870000.00000000
OU
Notional Amount
-7757.85000000
-0.00086115995
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2034-08-27
0.00000000
USD
132.59000000
USD
870000.00000000
EUR
-7625.26000000
N
N
N
CSN Islands XI Corp
222100R8R68DM7VM3661
CSN Islands XI Corp
12642KAB0
1950000.00000000
PA
USD
1768650.00000000
0.196328952290
Long
DBT
CORP
KY
N
2
2028-01-28
Fixed
6.75000000
N
N
N
N
N
N
Lundin Mining Corp
549300FQDIM6C8HTN269
Lundin Mining Corp
N/A
30000.00000000
NS
-153101.14000000
-0.01699498850
Short
EC
CORP
CA
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
200093.42000000
0.022211365453
N/A
DFE
N/A
N
2
JPMorgan Chase
N/A
6245000000.00000000
CLP
7837403.68000000
USD
2020-03-20
200093.42000000
N
N
N
Slack Technologies Inc
549300VIZRB02KN4IJ45
Slack Technologies Inc
83088V102
8558.00000000
NS
USD
231237.16000000
0.025668475590
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
960000000.00000100
OU
Notional Amount
-7541.03000000
-0.00083709186
N/A
DIR
N/A
N
2
CME
N/A
N/A
Sinacofi Chile Interbank Rate Avg
Y
2025-01-13
532.06000000
USD
0.00000000
USD
960000000.00000100
CLP
-8073.09000000
N
N
N
N/A
N/A
Options
N/A
37.00000000
NC
USD
547279.58000000
0.060750757103
N/A
DE
N/A
N
1
CBOE
N/A
Put
Purchased
S&P 500 Index
SPX
S&P 500 Index
37.00000000
2775.00000000
USD
2020-09-21
XXXX
80475.44000000
N
N
N
CRH PLC
549300MIDJNNTH068E74
CRH PLC
N/A
6814.00000000
NS
229877.88000000
0.025517588745
Long
EC
CORP
IE
N
2
N
N
N
Konami Holdings Corp
353800FC4A5QCMIZFV94
Konami Holdings Corp
N/A
5900.00000000
NS
-212538.01000000
-0.02359277687
Short
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
27840000.00000000
OU
Notional Amount
12335.60000000
0.001369312992
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2022-02-19
1115.13000000
USD
0.00000000
USD
27840000.00000000
PLN
11220.47000000
N
N
N
Dropbox Inc - A Shares
549300JCDF7UAR6TJR51
Dropbox Inc - A Shares
26210C104
15314.00000000
NS
USD
299541.84000000
0.033250635012
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
11.00000000
NC
-198303.30000000
-0.02201265322
N/A
DIR
N/A
N
1
CME
N/A
Short
N/A
Japan 10 Year Bond TSE; March 2020
2020-03-14
15712683.14000000
USD
-198303.30000000
N
N
N
Regions Financial Corp
CW05CS5KW59QTC0DG824
Regions Financial Corp
7591EP100
5784.00000000
NS
USD
78199.68000000
0.008680553667
Long
EC
CORP
US
N
1
N
N
N
IDEXX Laboratories Inc
OGMTXK0LUU1HKV2P0J84
IDEXX Laboratories Inc
45168D104
1280.00000000
NS
USD
-325772.80000000
-0.03616240211
Short
EC
CORP
US
N
1
N
N
N
Stryker Corp
5493002F0SC4JTBU5137
Stryker Corp
863667101
959.00000000
NS
USD
-182775.81000000
-0.02028902455
Short
EC
CORP
US
N
1
N
N
N
LEG Immobilien AG
391200SO40AKONBO0Z96
LEG Immobilien AG
N/A
1383.00000000
NS
166076.68000000
0.018435338017
Long
EC
CORP
DE
N
2
N
N
N
Demant A/S
213800RM6L9LN78BVA56
Demant A/S
N/A
709.00000000
NS
-21712.96000000
-0.00241024662
Short
EC
CORP
DK
N
2
N
N
N
Constellation Pharmaceuticals Inc
N/A
Constellation Pharmaceuticals Inc
210373106
1550.00000000
NS
USD
54777.00000000
0.006080519616
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
54883.69000000
0.006092362737
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
5675144.52000000
PEN
1696755.00000000
USD
2020-03-20
54883.69000000
N
N
N
Spotify Technology SA
549300B4X0JHWV0DTD60
Spotify Technology SA
L8681T102
2682.00000000
NS
USD
367755.84000000
0.040822728502
Long
EC
CORP
SE
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5859000.00000000
OU
Notional Amount
31176.42000000
0.003460737780
N/A
DIR
N/A
N
2
Bank of America NA
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2022-09-18
0.00000000
USD
0.00000000
USD
5859000.00000000
CNY
31176.42000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
1598.41000000
0.000177431465
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
4644206.37000000
NOK
495226.69000000
USD
2020-03-04
1598.41000000
N
N
N
N/A
N/A
Credit Default Swaps
N/A
2990000.00000000
OU
Notional Amount
USD
193646.21000000
0.021495693056
N/A
DCR
N/A
N
2
Morgan Stanley & Co
N/A
CDX.32.EM.100
N/A
CDX.32.EM.100
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-12-20
137149.26000000
USD
0.00000000
USD
2990000.00000000
USD
56496.95000000
N
N
N
Hewlett Packard Enterprise Co
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBD0
930000.00000000
PA
USD
933707.47000000
0.103646176084
Long
DBT
CORP
US
N
2
2021-03-12
Floating
2.57000000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust 2019-2
N/A
GLS Auto Receivables Issuer Trust 2019-2
36257NAC7
785000.00000000
PA
USD
811556.39000000
0.090086798277
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.54000000
N
N
N
N
N
N
COMM 2015-LC21 Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FAG9
3125000.00000000
PA
USD
167161.56000000
0.018555765096
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
1.05000000
N
N
N
N
N
N
Intuitive Surgical Inc
54930052SRG011710797
Intuitive Surgical Inc
46120E602
448.00000000
NS
USD
-239214.08000000
-0.02655395341
Short
EC
CORP
US
N
1
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353108
2483.00000000
NS
USD
108755.40000000
0.012072390658
Long
EC
CORP
GB
N
1
N
N
N
Carnival Corp
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658300
151.00000000
NS
USD
-5052.46000000
-0.00056084820
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-846291.39000000
-0.09394255614
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
9204310.28000000
USD
37467875.41000000
BRL
2020-04-22
-846291.39000000
N
N
N
Dover Corp
549300FMC2ALGA7N9E80
Dover Corp
260003108
10800.00000000
NS
USD
1109592.00000000
0.123170234263
Long
EC
CORP
US
N
1
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BL7
175000.00000000
PA
USD
180568.85000000
0.020044041012
Long
ABS-O
CORP
US
N
2
2030-04-15
Fixed
3.57000000
N
N
N
N
N
N
L Brands Inc
GR3KVMWVCR54YWQNXU90
L Brands Inc
501797104
17990.00000000
NS
USD
-389663.40000000
-0.04325457669
Short
EC
CORP
US
N
1
N
N
N
International Flavors & Fragrances Inc
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506101
745.00000000
NS
USD
89236.10000000
0.009905651213
Long
EC
CORP
US
N
1
N
N
N
Australia & New Zealand Banking Group Ltd
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
N/A
15815.00000000
NS
-255047.01000000
-0.02831148743
Short
EC
CORP
AU
N
2
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
29265WAA6
320000.00000000
PA
USD
372000.00000000
0.041293851385
Long
DBT
CORP
IT
N
2
2073-09-24
Variable
8.75000000
N
N
N
N
N
N
CDK Global Inc
5493000L10CYRTHIJ385
CDK Global Inc
12508E101
9140.00000000
NS
USD
420622.80000000
0.046691224172
Long
EC
CORP
US
N
1
N
N
N
Whiting Petroleum Corp
52990028CHK9KUB1B293
Whiting Petroleum Corp
966387409
14653.00000000
NS
USD
27108.05000000
0.003009128462
Long
EC
CORP
US
N
1
N
N
N
Conduent Inc
549300SFJ2D2CYY6CQ11
Conduent Inc
206787103
8547.00000000
NS
USD
27948.69000000
0.003102443686
Long
EC
CORP
US
N
1
N
N
N
Univest Financial Corp
4WII2HCR8UEWNU03U507
Univest Financial Corp
915271100
2868.00000000
NS
USD
67111.20000000
0.007449677201
Long
EC
CORP
US
N
1
N
N
N
SOITEC
969500ZR92SQCU9TST26
SOITEC
N/A
1618.00000000
NS
134849.16000000
0.014968927882
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-725.03000000
-0.00008048193
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
70000.00000000
EUR
76861.61000000
USD
2020-05-13
-725.03000000
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
N53745100
2237.00000000
NS
USD
159856.02000000
0.017744813798
Long
EC
CORP
US
N
1
N
N
N
Huntington Ingalls Industries Inc
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries Inc
446413106
175.00000000
NS
USD
35967.75000000
0.003992599255
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-1662.54000000
-0.00018455021
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
96266.49000000
EUR
104661.09000000
USD
2020-03-11
-1662.54000000
N
N
N
N/A
N/A
Repurchase Agreement
N/A
2996325.00000000
PA
USD
2996325.00000000
0.332606987234
Long
RA
US
N
2
Repurchase
N
1.59000000
2020-03-02
2895000.00000000
USD
3071476.98000000
USD
UST
N
N
N
Sound Point Clo XV Ltd
549300YVZ0M0XDDYS744
Sound Point Clo XV Ltd
83609QAE3
1500000.00000000
PA
USD
1334775.00000000
0.148166667963
Long
ABS-O
CORP
KY
N
2
2029-01-23
Floating
7.77000000
N
N
N
N
N
N
Siemens Gamesa Renewable Energy SA
9598004BR8D81D3M1D64
Siemens Gamesa Renewable Energy SA
N/A
4150.00000000
NS
-67313.49000000
-0.00747213239
Short
EC
CORP
ES
N
2
N
N
N
N/A
N/A
Futures
N/A
51.00000000
NC
USD
-849630.57000000
-0.09431322174
N/A
DE
N/A
N
1
CBT
N/A
Long
S&P 500 Emini; March 2020
N/A
S&P 500 Emini; March 2020
2020-03-23
7525305.00000000
USD
-849630.57000000
N
N
N
American Homes 4 Rent 2014-SFR2 Trust
N/A
American Homes 4 Rent 2014-SFR2 Trust
02665UAE5
695000.00000000
PA
USD
770721.57000000
0.085553930029
Long
ABS-O
CORP
US
N
2
2036-10-17
Fixed
6.23000000
N
N
N
N
N
N
Spark New Zealand Ltd
529900HUN51H3Y7QBB66
Spark New Zealand Ltd
N/A
7108.00000000
NS
20220.93000000
0.002244623866
Long
EC
CORP
NZ
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
81567.64000000
0.009054413989
N/A
DFE
N/A
N
2
Bank of America NA
N/A
18097639.56000000
USD
17513000.00000000
CHF
2020-03-20
81567.64000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
128386.84000000
0.014251578200
N/A
DFE
N/A
N
2
Bank of America NA
N/A
13196000.00000000
CAD
9960595.11000000
USD
2020-03-20
128386.84000000
N
N
N
Chart Industries Inc
EM7QGKC1GYOF3LSZSL80
Chart Industries Inc
16115Q308
1024.00000000
NS
USD
58286.08000000
0.006470044960
Long
EC
CORP
US
N
1
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370860
4529.00000000
NS
USD
31521.84000000
0.003499081119
Long
EC
CORP
US
N
1
N
N
N
Shriram Transport Finance Co Ltd
335800TM2YO24B76XL26
Shriram Transport Finance Co Ltd
825547AC6
210000.00000000
PA
USD
211308.44000000
0.023456288488
Long
DBT
CORP
IN
N
2
2023-07-16
Fixed
5.10000000
N
N
N
N
N
N
Loews Corp
R8V1FN4M5ITGZOG7BS19
Loews Corp
540424108
577.00000000
NS
USD
26328.51000000
0.002922595642
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
105307.95000000
0.011689706550
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
41650000000.00000000
IDR
2939882.00000000
USD
2020-05-28
105307.95000000
N
N
N
LiveRamp Holdings Inc
254900GXS75LG1X7RF88
LiveRamp Holdings Inc
53815P108
2561.00000000
NS
USD
90761.84000000
0.010075015947
Long
EC
CORP
US
N
1
N
N
N
Neuberger Berman CLO XIV Ltd
549300Z5ZNFT7IECFZ07
Neuberger Berman CLO XIV Ltd
64129JBJ8
365000.00000000
PA
USD
365000.00000000
0.040516816547
Long
ABS-O
CORP
KY
N
2
2030-01-28
Floating
3.73000000
N
N
N
N
N
N
Shimano Inc
529900L32YT3P9DECR10
Shimano Inc
N/A
6400.00000000
NS
889147.47000000
0.098699794316
Long
EC
CORP
JP
N
2
N
N
N
Extra Space Storage Inc
N/A
Extra Space Storage Inc
30225T102
3951.00000000
NS
USD
396522.36000000
0.044015955388
Long
EC
CORP
US
N
1
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110L106
392.00000000
NS
USD
-144659.76000000
-0.01605795330
Short
EC
CORP
US
N
1
N
N
N
First Quantum Minerals Ltd
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AR6
205000.00000000
PA
USD
191941.50000000
0.021306461762
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
6.88000000
N
N
N
N
N
N
Change Healthcare Inc
549300GS1BPJEDOZHM07
Change Healthcare Inc
15912K100
69838.00000000
NS
USD
949098.42000000
0.105354648132
Long
EC
CORP
US
N
1
N
N
N
Astellas Pharma Inc
529900IB708DY2HBBB35
Astellas Pharma Inc
N/A
38200.00000000
NS
598716.82000000
0.066460546738
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4428000.00000000
OU
Notional Amount
USD
307842.45000000
0.034172044033
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2023-08-07
206.02000000
USD
0.00000000
USD
4428000.00000000
USD
307636.43000000
N
N
N
N/A
N/A
Total Return Swaps
N/A
1122519.31000000
OU
Notional Amount
-3940.57000000
-0.00043742288
N/A
DE
N/A
N
2
Morgan Stanley & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in HKD
ESR Cayman Ltd
146400.00000000
N/A
353839.13000000
N/A
Alibaba Group Holding Ltd
8600.00000000
N/A
220654.27000000
N/A
Tencent Holdings Ltd
11067.00000000
N/A
548025.91000000
N/A
Y
Total return on a custom basket of long and short securities traded in HKD
2021-01-28
0.00000000
USD
0.00000000
USD
1122519.31000000
USD
-3940.57000000
N
N
N
Alps Alpine Co Ltd
529900PWNU4ASLY9VI90
Alps Alpine Co Ltd
N/A
10300.00000000
NS
156867.83000000
0.017413109836
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
79707.86000000
0.008847969153
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
9973656.88000000
BRL
2310003.00000000
USD
2020-03-02
79707.86000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
14500000000.00000000
OU
Notional Amount
-43623.56000000
-0.00484243226
N/A
DIR
N/A
N
2
Bank of America NA
N/A
Put
Written
Bank of America NA
N/A
N/A
N/A
Interest Rate Swap
N/A
14500000000.00000000
OU
Notional Amount
-43623.56000000
-0.00484200
DIR
N/A
3 Month KRW Certificate of Deposit
N/A
N/A
N/A
N/A
N/A
14500000000.00000000
KRW
14500000000.00000000
KRW
1.40000000
KRW
2020-08-06
XXXX
24757.61000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
709.54000000
0.000078762471
N/A
DFE
N/A
N
2
Jefferies & Company
N/A
Call
Purchased
Jefferies & Company
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
709.54000000
0.00007900
DFE
3758025.00000000
USD
2815000.00000000
GBP
N/A
2815000.00000000
GBP
1.33500000
GBP
2020-03-18
XXXX
-41233.96000000
N
N
N
Cboe Global Markets Inc
529900RLNSGA90UPEH54
Cboe Global Markets Inc
12503M108
6817.00000000
NS
USD
-777138.00000000
-0.08626618569
Short
EC
CORP
US
N
1
N
N
N
Flagship Credit Auto Trust 2019-2
N/A
Flagship Credit Auto Trust 2019-2
33845WAG4
520000.00000000
PA
USD
544795.78000000
0.060475042942
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
3.53000000
N
N
N
N
N
N
Spirit AeroSystems Inc
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems Inc
85205TAK6
35000.00000000
PA
USD
34765.56000000
0.003859150182
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.60000000
N
N
N
N
N
N
Twilio Inc
5493004W8TRGD63APX93
Twilio Inc
90138F102
8741.00000000
NS
USD
-984586.24000000
-0.10929397276
Short
EC
CORP
US
N
1
N
N
N
Goodman Group
N/A
Goodman Group
N/A
11129.00000000
NS
109267.27000000
0.012129210775
Long
EC
CORP
AU
N
2
N
N
N
Singapore Exchange Ltd
549300IQ650PPXM76X03
Singapore Exchange Ltd
N/A
82800.00000000
NS
511295.86000000
0.056756385098
Long
EC
CORP
SG
N
2
N
N
N
ResMed Inc
529900T3QE5253CCXF22
ResMed Inc
761152107
170.00000000
NS
USD
-27023.20000000
-0.00299970969
Short
EC
CORP
US
N
1
N
N
N
Eaton Vance Corp
4JJ8ORNW1AFZPSV8GJ79
Eaton Vance Corp
278265103
14602.00000000
NS
USD
602478.52000000
0.066878114160
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
1687.38000000
0.000187307577
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
390000.00000000
EUR
433618.84000000
USD
2020-04-28
1687.38000000
N
N
N
Olympus Corp
5299000Y52IFDI1I2A21
Olympus Corp
N/A
13600.00000000
NS
246322.30000000
0.027343001207
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Futures
N/A
86.00000000
NC
48998.93000000
0.005439125089
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
Euro-Bobl 5 Year; March 2020
2020-03-09
12879493.08000000
USD
48998.93000000
N
N
N
First Interstate BancSystem Inc
N/A
First Interstate BancSystem Inc
32055Y201
2104.00000000
NS
USD
71662.24000000
0.007954865291
Long
EC
CORP
US
N
1
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938C108
6405.00000000
NS
USD
71928.15000000
0.007984382625
Long
EC
CORP
US
N
1
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
Massachusetts Educational Financing Authority
57563NAB4
529334.53000000
PA
USD
561248.11000000
0.062301333452
Long
DBT
MUN
US
N
2
2033-05-25
Fixed
3.85000000
N
N
N
N
N
N
Cisco Systems Inc
8E6NF1YAL0WT6CWXXV93
Cisco Systems Inc
17275R102
17034.00000000
NS
USD
680167.62000000
0.075501990906
Long
EC
CORP
US
N
1
N
N
N
KKR Clo 25 Ltd
549300MJB0YZ0QTQNZ45
KKR Clo 25 Ltd
48253AAA8
640000.00000000
PA
USD
597856.00000000
0.066364991434
Long
ABS-O
CORP
KY
N
2
2032-04-15
Floating
8.37000000
N
N
N
N
N
N
Leidos Holdings Inc
549300IUTGTP6EJP8124
Leidos Holdings Inc
525327102
5051.00000000
NS
USD
518485.15000000
0.057554432068
Long
EC
CORP
US
N
1
N
N
N
Shinsei Bank Ltd
549300PZYOQ2NW83V760
Shinsei Bank Ltd
N/A
17800.00000000
NS
233159.49000000
0.025881863787
Long
EC
CORP
JP
N
2
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830109
5815.00000000
NS
USD
2150794.05000000
0.238748843711
Long
EC
CORP
US
N
1
N
N
N
DTE Energy Co
549300IX8SD6XXD71I78
DTE Energy Co
233331107
2765.00000000
NS
USD
-308767.55000000
-0.03427473473
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
7.00000000
NC
USD
-55166.93000000
-0.00612380378
N/A
DCO
N/A
N
1
CME
N/A
Long
N/A
Brent Crude; May 2020
2020-04-01
347690.00000000
USD
-55166.93000000
N
N
N
N/A
N/A
Options
N/A
60.00000000
NC
USD
-11250.00000000
-0.00124880598
N/A
DIR
N/A
N
1
CBT
N/A
Put
Written
CBT
N/A
N/A
N/A
FUTURE
N/A
60.00000000
NC
USD
-11250.00000000
-0.00124900
DIR
Short
N/A
US 10 Year Note Future; June 2020
N/A
60000.00000000
USD
60.00000000
131.00000000
USD
2020-04-27
XXXX
9262.20000000
N
N
N
Radian Group Inc
54930005OUP720S5U385
Radian Group Inc
750236101
5027.00000000
NS
USD
106773.48000000
0.011852387674
Long
EC
CORP
US
N
1
N
N
N
Mettler-Toledo International Inc
5493000BD5GJNUDIUG10
Mettler-Toledo International Inc
592688105
107.00000000
NS
USD
75081.90000000
0.008334464570
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
9126911.25000000
PA
USD
-9126911.25000000
-1.01313257194
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
7353000.00000000
USD
9445663.29000000
USD
UST
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
3390149.44000000
PA
USD
-3390149.44000000
-0.37632346007
Short
RA
US
N
2
Reverse repurchase
N
1.75000000
N/A
4000000.00000000
USD
3997307.88000000
USD
UST
N
N
N
Grand Avenue Mortgage Loan Trust 2017-RPL1
N/A
Grand Avenue Mortgage Loan Trust 2017-RPL1
385210AA7
129030.26740000
PA
USD
131198.49000000
0.014563685344
Long
ABS-MBS
CORP
US
N
2
2064-08-25
Fixed
3.25000000
N
N
N
N
N
N
Southcross Energy
N/A
Southcross Energy
N/A
662574.61000000
PA
USD
499196.96000000
0.055413346984
Long
LON
CORP
US
N
2
2025-01-06
None
0.00000000
N
N
N
N
N
N
CSMC 2014-USA OA LLC
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAQ2
1055000.00000000
PA
USD
1028016.48000000
0.114114945555
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37000000
N
N
N
N
N
N
El Paso Energy Capital Trust I
N/A
El Paso Energy Capital Trust I
283678209
452.00000000
NS
USD
23042.96000000
0.002557883241
Long
EP
CORP
US
N
1
N
N
N
Aristocrat Leisure Ltd
529900TE2HO3OZKYKC27
Aristocrat Leisure Ltd
N/A
5413.00000000
NS
118728.40000000
0.013179443292
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
18.03000000
0.000002001419
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
6690.53000000
USD
30000.00000000
BRL
2020-03-03
18.03000000
N
N
N
Veritex Holdings Inc
549300F3SMOML02SC814
Veritex Holdings Inc
923451108
3300.00000000
NS
USD
79431.00000000
0.008817236315
Long
EC
CORP
US
N
1
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020107
6742.00000000
NS
USD
-452994.98000000
-0.05028469726
Short
EC
CORP
US
N
1
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612E106
14671.00000000
NS
USD
1511113.00000000
0.167741063569
Long
EC
CORP
US
N
1
N
N
N
Colony American Finance 2015-1 Ltd
N/A
Colony American Finance 2015-1 Ltd
19624VAD9
550000.00000000
PA
USD
561180.29000000
0.062293805095
Long
ABS-O
CORP
KY
N
2
2047-10-15
Fixed
5.65000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1690489000.00000000
OU
Notional Amount
USD
-52417.50000000
-0.00581860337
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month KRW Certificate of Deposit
Y
2029-12-18
0.00000000
USD
0.00000000
USD
1690489000.00000000
USD
-52417.50000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-100456.95000000
-0.01115122140
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
2815000.00000000
USD
53611675.00000000
MXN
2020-03-25
-100456.95000000
N
N
N
Lamar Media Corp
N/A
Lamar Media Corp
N/A
89920.69000000
PA
USD
89628.45000000
0.009949204016
Long
LON
CORP
US
N
2
2027-01-29
Floating
3.16680000
N
N
N
N
N
N
Thunderbolt Aircraft Lease Ltd
N/A
Thunderbolt Aircraft Lease Ltd
88606WAB8
164426.29000000
PA
USD
172328.78000000
0.019129352233
Long
ABS-O
CORP
KY
N
2
2032-05-17
Variable
5.75000000
N
N
N
N
N
N
Raymond James Financial Inc
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730109
7300.00000000
NS
USD
-610499.00000000
-0.06776842735
Short
EC
CORP
US
N
1
N
N
N
Welltower Inc
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040Q104
1408.00000000
NS
USD
105346.56000000
0.011693992453
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
21.00000000
NC
USD
-280742.46000000
-0.03116381027
N/A
DE
N/A
N
1
CBOE
N/A
Put
Written
S&P 500 Index
SPX
S&P 500 Index
21.00000000
3000.00000000
USD
2020-03-23
XXXX
-257530.63000000
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211K100
150.00000000
NS
USD
-4546.50000000
-0.00050468412
Short
EC
CORP
US
N
1
N
N
N
Alliance Data Systems Corp
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581108
1252.00000000
NS
USD
107521.76000000
0.011935450478
Long
EC
CORP
US
N
1
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
N/A
31213.00000000
NS
-290779.06000000
-0.03227792282
Short
EC
CORP
GB
N
2
N
N
N
Brink's Co/The
XFP140TFNOQMIVFTVQ13
Brink's Co/The
109696104
1076.00000000
NS
USD
84240.04000000
0.009351063689
Long
EC
CORP
US
N
1
N
N
N
Crown Resorts Ltd
549300D88XW2GD6R0Y98
Crown Resorts Ltd
N/A
3676.00000000
NS
-24531.71000000
-0.00272314190
Short
EC
CORP
AU
N
2
N
N
N
Nintendo Co Ltd
353800FEEXU6I9M0ZF27
Nintendo Co Ltd
N/A
1400.00000000
NS
469328.31000000
0.052097778182
Long
EC
CORP
JP
N
2
N
N
N
Alternative Loan Trust 2004-16CB
N/A
Alternative Loan Trust 2004-16CB
12667FLZ6
81382.42220000
PA
USD
83533.41000000
0.009272624242
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
5.50000000
N
N
N
N
N
N
PerkinElmer Inc
549300IKL1SDPFI7N655
PerkinElmer Inc
714046109
2767.00000000
NS
USD
239179.48000000
0.026550112638
Long
EC
CORP
US
N
1
N
N
N
Deluxe Entertainment
N/A
Deluxe Entertainment
N/A
67048.00000000
NS
USD
47805.22000000
0.005306617339
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
37750852.50000000
PA
USD
-37750852.50000000
-4.19053250750
Short
RA
US
N
2
Reverse repurchase
N
1.69000000
2020-03-02
36039000.00000000
USD
38523178.67000000
USD
UST
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030645
16550000.00000000
PA
USD
-17026378.18000000
-1.89001271556
Short
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-217966.20000000
-0.02419533298
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
9690403.00000000
USD
298304977.41000000
THB
2020-06-11
-217966.20000000
N
N
N
SMB Private Education Loan Trust 2015-C
549300GD7VLLBVPDNJ81
SMB Private Education Loan Trust 2015-C
78448RAE6
100000.00000000
PA
USD
105448.16000000
0.011705270558
Long
ABS-O
CORP
US
N
2
2043-09-15
Fixed
3.50000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
Skandinaviska Enskilda Banken AB
N/A
1495.00000000
NS
14329.51000000
0.001590646925
Long
EC
CORP
SE
N
2
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
N/A
1952.00000000
NS
173558.88000000
0.019265899455
Long
EC
CORP
AU
N
2
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
N53745100
2361.00000000
NS
USD
-168717.06000000
-0.01872843333
Short
EC
CORP
US
N
1
N
N
N
NextEra Energy Inc
N/A
NextEra Energy Inc
65339F101
326.00000000
NS
USD
-82399.76000000
-0.00914678345
Short
EC
CORP
US
N
1
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29272W109
1922.00000000
NS
USD
82626.78000000
0.009171983800
Long
EC
CORP
US
N
1
N
N
N
BioMarin Pharmaceutical Inc
NSLL8ITTRR0J5HEMR848
BioMarin Pharmaceutical Inc
09061GAH4
455000.00000000
PA
USD
498225.00000000
0.055305454586
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.60000000
N
N
N
N
N
BioMarin Pharmaceutical Inc
BioMarin Pharmaceutical Inc
USD
XXXX
N
N
N
Bharti Airtel Ltd
335800KQ1FPKOQ84OR26
Bharti Airtel Ltd
N/A
200000.00000000
PA
USD
213920.81000000
0.023746274559
Long
DBT
CORP
IN
N
2
2025-06-10
Fixed
4.38000000
N
N
N
N
N
N
Spencer Spirit IH LLC
N/A
Spencer Spirit IH LLC
N/A
488793.75000000
PA
USD
488182.76000000
0.054190715968
Long
LON
CORP
US
N
2
2026-06-12
Floating
7.62870000
N
N
N
N
N
N
FLIR Systems Inc
VOBD35NEPH6WISIRTJ85
FLIR Systems Inc
302445101
803.00000000
NS
USD
34103.41000000
0.003785648237
Long
EC
CORP
US
N
1
N
N
N
CHL Mortgage Pass-Through Trust 2004-HYB4
N/A
CHL Mortgage Pass-Through Trust 2004-HYB4
12669FV75
32429.55000000
PA
USD
32429.95000000
0.003599885848
Long
ABS-MBS
CORP
US
N
2
2034-09-20
Variable
4.10000000
N
N
N
N
N
N
Marlette Funding Trust 2019-1
549300FK0U6W6777SM18
Marlette Funding Trust 2019-1
57109XAA5
148174.83000000
PA
USD
149953.58000000
0.016645593675
Long
ABS-O
CORP
US
N
2
2029-04-16
Fixed
3.44000000
N
N
N
N
N
N
Lennox International Inc
S7DWAC87RDMPBF77GJ92
Lennox International Inc
526107107
2651.00000000
NS
USD
604772.63000000
0.067132771787
Long
EC
CORP
US
N
1
N
N
N
Madison Park Funding XII Ltd
N/A
Madison Park Funding XII Ltd
55818PAN0
250000.00000000
PA
USD
249850.00000000
0.027734593463
Long
ABS-O
CORP
KY
N
2
2026-07-20
Floating
3.47000000
N
N
N
N
N
N
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAC6
569141.17340000
PA
USD
588471.09000000
0.065323219717
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
5.68000000
N
N
N
N
N
N
Carmax Auto Owner Trust 2018-4
N/A
Carmax Auto Owner Trust 2018-4
14315EAG5
205000.00000000
PA
USD
216810.97000000
0.024067096703
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
4.15000000
N
N
N
N
N
N
4L Technologies
N/A
4L Technologies
N/A
24306.00000000
NS
USD
164065.50000000
0.018212087027
Long
EC
CORP
US
N
3
N
N
N
West Fraser Timber Co Ltd
5493005WD1ZK6WBVR988
West Fraser Timber Co Ltd
N/A
3600.00000000
NS
-134425.03000000
-0.01492184734
Short
EC
CORP
CA
N
1
N
N
N
SCF Equipment Leasing 2018-1 LLC
N/A
SCF Equipment Leasing 2018-1 LLC
78411KAD6
795000.00000000
PA
USD
815566.25000000
0.090531912693
Long
ABS-O
CORP
US
N
2
2027-04-20
Fixed
4.21000000
N
N
N
N
N
N
AIM Aviation Finance Ltd
N/A
AIM Aviation Finance Ltd
001406AB3
712838.71000000
PA
USD
709512.60000000
0.078759429731
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
5.07000000
N
N
N
N
N
N
CIMIC Group Ltd
529900Q5XXSXHRQERC81
CIMIC Group Ltd
N/A
6572.00000000
NS
103485.15000000
0.011487366679
Long
EC
CORP
AU
N
2
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752103
1955.00000000
NS
USD
-502610.95000000
-0.05579231686
Short
EC
CORP
US
N
1
N
N
N
Live Nation Entertainment Inc
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034109
5301.00000000
NS
USD
-322141.77000000
-0.03575933971
Short
EC
CORP
US
N
1
N
N
N
Expeditors International of Washington Inc
N/A
Expeditors International of Washington Inc
302130109
7858.00000000
NS
USD
553360.36000000
0.061425753946
Long
EC
CORP
US
N
1
N
N
N
Tidewater Auto Receivables Trust 2018-A
549300045J2AQZL8DT48
Tidewater Auto Receivables Trust 2018-A
88642MAE0
100000.00000000
PA
USD
102907.57000000
0.011423252424
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
4.30000000
N
N
N
N
N
N
First Investors Auto Owner Trust 2019-2
N/A
First Investors Auto Owner Trust 2019-2
32058RAE4
175000.00000000
PA
USD
179085.87000000
0.019879422851
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
3.88000000
N
N
N
N
N
N
Franklin Resources Inc
RIFQSET379FOGTEFKS80
Franklin Resources Inc
354613101
18500.00000000
NS
USD
402560.00000000
0.044686163477
Long
EC
CORP
US
N
1
N
N
N
Kraft Heinz Co/The
N/A
Kraft Heinz Co/The
500754106
7275.00000000
NS
USD
180201.75000000
0.020003291085
Long
EC
CORP
US
N
1
N
N
N
Innovative Water Care Global Corp
N/A
Innovative Water Care Global Corp
N/A
368217.50000000
PA
USD
290891.83000000
0.032290440852
Long
LON
CORP
US
N
2
2026-02-27
Floating
6.66680000
N
N
N
N
N
N
LPL Financial Holdings Inc
549300XROQ4Y8G2L7682
LPL Financial Holdings Inc
50212V100
223.00000000
NS
USD
17724.04000000
0.001967456649
Long
EC
CORP
US
N
1
N
N
N
IndyMac INDX Mortgage Loan Trust 2004-AR7
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR7
45660NU45
123995.78200000
PA
USD
117088.56000000
0.012997412891
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.85000000
N
N
N
N
N
N
Southern Co/The
549300FC3G3YU2FBZD92
Southern Co/The
842587107
4477.00000000
NS
USD
270231.72000000
0.029997065820
Long
EC
CORP
US
N
1
N
N
N
S-Jets 2017-1 Ltd
635400FR77IW5YEET913
S-Jets 2017-1 Ltd
784309AA4
773115.05220000
PA
USD
795756.11000000
0.088332888562
Long
ABS-O
CORP
BM
N
2
2042-08-15
Fixed
3.97000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
338.00000000
NC
USD
2112.50000000
0.000234498013
N/A
DIR
N/A
N
1
CME
N/A
Put
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
338.00000000
NC
USD
2112.50000000
0.00023400
DIR
Short
N/A
90 Day Eurodollar Future; March 2020
N/A
845000.00000000
USD
338.00000000
98.12500000
USD
2020-03-17
XXXX
-4978.74000000
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160K105
539.00000000
NS
USD
-151534.46000000
-0.01682107922
Short
EC
CORP
US
N
1
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-NXS1
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust 2015-NXS1
94989HBR0
1485000.00000000
PA
USD
1356092.35000000
0.150532999906
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
2.88000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1391000000.00000000
OU
Notional Amount
USD
-34022.89000000
-0.00377671011
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month KRW Certificate of Deposit
Y
2029-11-22
0.00000000
USD
0.00000000
USD
1391000000.00000000
USD
-34022.89000000
N
N
N
Crown Holdings Inc
NYLWZIOY8PUNIT4JOE22
Crown Holdings Inc
228368106
3643.00000000
NS
USD
-256831.50000000
-0.02850957470
Short
EC
CORP
US
N
1
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
12486.00000000
NS
USD
-510053.10000000
-0.05661843255
Short
EC
CORP
US
N
1
N
N
N
James River Group Holdings Ltd
N/A
James River Group Holdings Ltd
G5005R107
2382.00000000
NS
USD
96256.62000000
0.010684963873
Long
EC
CORP
BM
N
1
N
N
N
Pandora A/S
5299007OWYZ6I1E46843
Pandora A/S
N/A
1174.00000000
NS
52903.28000000
0.005872527371
Long
EC
CORP
DK
N
2
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165B103
10350.00000000
NS
USD
-301185.00000000
-0.03343303395
Short
EC
CORP
US
N
1
N
N
N
Banque Ouest Africaine de Developpement
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAB9
200000.00000000
PA
USD
216796.00000000
0.024065434959
Long
DBT
CORP
XX
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
Enterprise Products Partners LP
K4CDIF4M54DJZ6TB4Q48
Enterprise Products Partners LP
293792107
751.00000000
NS
USD
17528.34000000
0.001945732975
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
844630.56000000
OU
Notional Amount
-98497.54000000
-0.01093371714
N/A
DE
N/A
N
2
JPMorgan Chase
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in NOK
Schibsted ASA - A Shares
130.00000000
N/A
3277.46000000
N/A
Schibsted ASA - B Shares
35057.00000000
N/A
841353.10000000
N/A
Y
Total return on a custom basket of long and short securities traded in NOK
2020-11-02
0.00000000
USD
0.00000000
USD
844630.56000000
USD
-98497.54000000
N
N
N
Diploma PLC
2138008OGI7VYG8FGR19
Diploma PLC
N/A
8328.00000000
NS
200137.84000000
0.022216296294
Long
EC
CORP
GB
N
2
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040W108
1653.00000000
NS
USD
-142918.38000000
-0.01586465146
Short
EC
CORP
US
N
1
N
N
N
Towd Point Mortgage Trust 2019-4
N/A
Towd Point Mortgage Trust 2019-4
89178BAA2
440973.33000000
PA
USD
458522.35000000
0.050898262843
Long
ABS-O
CORP
US
N
2
2059-10-25
Variable
2.90000000
N
N
N
N
N
N
Rohm Co Ltd
5493009V2FGDEP7JFE59
Rohm Co Ltd
N/A
4888.00000000
NS
319461.26000000
0.035461789768
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Repurchase Agreement
N/A
20033431.25000000
PA
USD
20033431.25000000
2.223810571961
Long
RA
US
N
2
Repurchase
N
1.61000000
2020-03-02
19909000.00000000
USD
20537147.12000000
USD
UST
N
N
N
Cadence Design Systems Inc
GCT7RXJOGLXPV0NXZY22
Cadence Design Systems Inc
127387108
2709.00000000
NS
USD
-179173.26000000
-0.01988912357
Short
EC
CORP
US
N
1
N
N
N
AIS Holdco LLC
N/A
AIS Holdco LLC
N/A
11507.08000000
PA
USD
10586.51000000
0.001175155297
Long
LON
CORP
US
N
2
2025-08-15
Floating
6.78890000
N
N
N
N
N
N
Liberty Global PLC - A Shares
549300BSGXG3QLIQYT84
Liberty Global PLC - A Shares
G5480U104
2800.00000000
NS
USD
54656.00000000
0.006067088014
Long
EC
CORP
GB
N
1
N
N
N
ITT Inc
549300KDSERHTJOXUS80
ITT Inc
45073V108
1743.00000000
NS
USD
104841.45000000
0.011637922729
Long
EC
CORP
US
N
1
N
N
N
Atos SE
5493001EZOOA66PTBR68
Atos SE
N/A
5887.00000000
NS
-442921.84000000
-0.04916652859
Short
EC
CORP
FR
N
2
N
N
N
Ziggo BV
213800TQASLF9JXH5J59
Ziggo BV
98955DAA8
215000.00000000
PA
USD
223331.25000000
0.024790880234
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
4.88000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2015-C29
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RBH7
2735000.00000000
PA
USD
2366063.54000000
0.262644828463
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
3.68000000
N
N
N
N
N
N
JM Smucker Co/The
5493000WDH6A0LHDJD55
JM Smucker Co/The
832696405
543.00000000
NS
USD
-55923.57000000
-0.00620779459
Short
EC
CORP
US
N
1
N
N
N
Hitachi Metals Ltd
N/A
Hitachi Metals Ltd
N/A
90200.00000000
NS
-1299276.23000000
-0.14422612782
Short
EC
CORP
JP
N
2
N
N
N
Sturm Ruger & Co Inc
529900DV1BWFJSHFO847
Sturm Ruger & Co Inc
864159108
1723.00000000
NS
USD
82772.92000000
0.009188206067
Long
EC
CORP
US
N
1
N
N
N
Quest Diagnostics Inc
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics Inc
74834L100
2881.00000000
NS
USD
305558.86000000
0.033918554178
Long
EC
CORP
US
N
1
N
N
N
Lamb Weston Holdings Inc
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272104
1486.00000000
NS
USD
129118.54000000
0.014332800542
Long
EC
CORP
US
N
1
N
N
N
Lincoln National Corp
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187109
8200.00000000
NS
USD
-372198.00000000
-0.04131583037
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
42905.17000000
0.004762687402
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
42905.17000000
0.00476300
DFE
1788000.00000000
USD
196233000.00000000
JPY
N/A
1788000.00000000
USD
109.75000000
USD
2020-04-24
XXXX
31104.37000000
N
N
N
CNP Assurances
969500QKVPV2H8UXM738
CNP Assurances
N/A
11002.00000000
NS
172910.16000000
0.019193888306
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13602000.00000000
OU
Notional Amount
USD
-76245.21000000
-0.00846359777
N/A
DIR
N/A
N
2
LCH
N/A
N/A
US Federal Funds Effective Rate (continuous series)
Y
2021-03-31
245.85000000
USD
0.00000000
USD
13602000.00000000
USD
-76491.06000000
N
N
N
Johnson Controls International plc
549300XQ6S1GYKGBL205
Johnson Controls International plc
G51502105
537.00000000
NS
USD
19638.09000000
0.002179925725
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
37415.32000000
0.004153286730
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
37415.32000000
0.00415300
DFE
3951480.00000000
USD
3576000.00000000
EUR
N/A
3576000.00000000
EUR
1.10500000
EUR
2020-04-13
XXXX
12666.89000000
N
N
N
MSCI Inc
549300HTIN2PD78UB763
MSCI Inc
55354G100
2953.00000000
NS
USD
872434.32000000
0.096844551487
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
51.00000000
NC
606506.49000000
0.067325238876
N/A
DE
N/A
N
1
CME
N/A
Short
FTSE100 Index; March 2020
N/A
FTSE100 Index; March 2020
2020-03-23
4268963.00000000
USD
606506.49000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-9313.08000000
-0.00103379822
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
Put
Written
Citigroup Inc
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-9313.08000000
-0.00103400
DFE
1490000.00000000
EUR
1624100.00000000
USD
N/A
1490000.00000000
EUR
1.09000000
EUR
2020-06-01
XXXX
1211.72000000
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135F101
1070.00000000
NS
USD
-291703.40000000
-0.03238052916
Short
EC
CORP
US
N
1
N
N
N
Associated British Foods PLC
GBQKSY6W7G0OHCQ8OQ72
Associated British Foods PLC
N/A
1804.00000000
NS
52675.12000000
0.005847200475
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
758.61000000
0.000084209485
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
850000.00000000
USD
26792000.00000000
THB
2020-06-11
758.61000000
N
N
N
Rollins Inc
549300F2A0BXT4SGWD84
Rollins Inc
775711104
10010.00000000
NS
USD
-374774.40000000
-0.04160182359
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
64954.76000000
0.007210301629
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
15450000.00000000
PEN
4534781.33000000
USD
2020-03-20
64954.76000000
N
N
N
Drive Auto Receivables Trust 2019-1
N/A
Drive Auto Receivables Trust 2019-1
26208NAG9
260000.00000000
PA
USD
269347.26000000
0.029898886358
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
4.09000000
N
N
N
N
N
N
AMERCO
5493003WIDMLDHYC6Y24
AMERCO
023586100
142.00000000
NS
USD
-45796.42000000
-0.00508363054
Short
EC
CORP
US
N
1
N
N
N
SMB Private Education Loan Trust 2018-C
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAD9
100000.00000000
PA
USD
109563.73000000
0.012162119311
Long
ABS-O
CORP
US
N
2
2042-11-17
Fixed
4.00000000
N
N
N
N
N
N
Arthur J Gallagher & Co
54930049QLLMPART6V29
Arthur J Gallagher & Co
363576109
1935.00000000
NS
USD
188643.15000000
0.020940328497
Long
EC
CORP
US
N
1
N
N
N
1MDB Global Investments Ltd
N/A
1MDB Global Investments Ltd
N/A
4100000.00000000
PA
USD
3977151.21000000
0.441483577961
Long
DBT
NUSS
VG
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
Prologis Inc
529900DFH19P073LZ636
Prologis Inc
74340W103
1352.00000000
NS
USD
113946.56000000
0.012648635253
Long
EC
CORP
US
N
1
N
N
N
PACCAR Inc
KDTEY8BWE486IKZ3CC07
PACCAR Inc
693718108
6516.00000000
NS
USD
435920.40000000
0.048389333906
Long
EC
CORP
US
N
1
N
N
N
LVMH Moet Hennessy Louis Vuitton SE
IOG4E947OATN0KJYSD45
LVMH Moet Hennessy Louis Vuitton SE
N/A
1748.00000000
NS
729492.44000000
0.080977291408
Long
EC
CORP
FR
N
2
N
N
N
HPLY Trust 2019-HIT
N/A
HPLY Trust 2019-HIT
40443RAJ0
283719.98000000
PA
USD
283549.63000000
0.031475420111
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
3.26000000
N
N
N
N
N
N
Phillips 66
5493005JBO5YSIGK1814
Phillips 66
718546104
2366.00000000
NS
USD
177118.76000000
0.019661063851
Long
EC
CORP
US
N
1
N
N
N
Westinghouse Air Brake Technologies Corp
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
929740108
2753.00000000
NS
USD
-189131.10000000
-0.02099449337
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
6.00000000
NC
21951.31000000
0.002436704658
N/A
DE
N/A
N
1
MSE
N/A
Short
Hang Seng Index; March 2020
N/A
Hang Seng Index; March 2020
2020-03-31
1007184.09000000
USD
21951.31000000
N
N
N
OHA Credit Funding 5 Ltd
N/A
OHA Credit Funding 5 Ltd
67113GAJ6
420000.00000000
PA
USD
420000.00000000
0.046622090273
Long
ABS-O
CORP
KY
N
2
2033-04-18
Floating
0.00000000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
891714.43000000
OU
Notional Amount
-202413.52000000
-0.02246890810
N/A
DE
N/A
N
2
Goldman Sachs & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in EUR
Aeroports de Paris
6037.00000000
N/A
891714.43000000
N/A
Y
Total return on a custom basket of long and short securities traded in EUR
2029-02-01
0.00000000
USD
0.00000000
USD
891714.43000000
USD
-202413.52000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6219000.00000000
OU
Notional Amount
USD
-146131.28000000
-0.01622129935
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2022-03-08
161.45000000
USD
0.00000000
USD
6219000.00000000
USD
-146292.73000000
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAB7
685000.00000000
PA
USD
765495.88000000
0.084973852431
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z29
29516000.00000000
PA
USD
-30032530.00000000
-3.33376029714
Short
DBT
UST
US
N
2
2023-01-15
Fixed
1.50000000
N
N
N
N
N
N
Akamai Technologies Inc
OC1LZNN2LF5WTJ5RIL89
Akamai Technologies Inc
00971T101
2352.00000000
NS
USD
203471.52000000
0.022586351365
Long
EC
CORP
US
N
1
N
N
N
Wirecard AG
529900A8LX4KL0YUTH71
Wirecard AG
N/A
2911.00000000
NS
374969.39000000
0.041623468453
Long
EC
CORP
DE
N
2
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953101
15717.00000000
NS
USD
386009.52000000
0.042848977828
Long
EC
CORP
US
N
1
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324P102
1858.00000000
NS
USD
473715.68000000
0.052584798087
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
5142.38000000
0.000570829772
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
350000.00000000
EUR
391822.20000000
USD
2020-03-16
5142.38000000
N
N
N
Laboratory Corp of America Holdings
OZ7UA8IXAIFILY2VZH07
Laboratory Corp of America Holdings
50540R409
3922.00000000
NS
USD
-689056.18000000
-0.07648866530
Short
EC
CORP
US
N
1
N
N
N
Guidewire Software Inc
549300WXSG0J8IXZCK32
Guidewire Software Inc
40171V100
3072.00000000
NS
USD
336721.92000000
0.037377808931
Long
EC
CORP
US
N
1
N
N
N
GCA2014 Holdings Ltd - Class D
549300P7I2VS2S4LJI66
GCA2014 Holdings Ltd - Class D
36163UAB6
295290.80000000
PA
USD
174959.80000000
0.019421408547
Long
ABS-O
CORP
BM
N
3
2030-01-05
Fixed
7.50000000
N
N
N
N
N
N
Pattern Energy Group Inc
549300YTEUCT3H1Y2T51
Pattern Energy Group Inc
70338P100
1604.00000000
NS
USD
43388.20000000
0.004816306136
Long
EC
CORP
US
N
1
N
N
N
Central Japan Railway Co
353800YAR3OVUITHTG64
Central Japan Railway Co
N/A
1800.00000000
NS
295900.95000000
0.032846478102
Long
EC
CORP
JP
N
2
N
N
N
H&R Block Inc
549300CE3KUCWLZBG404
H&R Block Inc
093671105
338.00000000
NS
USD
6986.46000000
0.000775531830
Long
EC
CORP
US
N
1
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525103
849.00000000
NS
USD
-66476.70000000
-0.00737924454
Short
EC
CORP
US
N
1
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466L302
275.00000000
NS
USD
-46860.00000000
-0.00520169321
Short
EC
CORP
US
N
1
N
N
N
Entergy Corp
4XM3TW50JULSLG8BNC79
Entergy Corp
29364G103
10814.00000000
NS
USD
-1264264.74000000
-0.14033967818
Short
EC
CORP
US
N
1
N
N
N
CenterPoint Energy Inc
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189T107
13947.00000000
NS
USD
-321059.94000000
-0.03563925120
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-32199.92000000
-0.00357435137
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
185612919.61000000
JPY
1689000.00000000
USD
2020-03-06
-32199.92000000
N
N
N
CSAIL 2015-C3 Commercial Mortgage Trust
549300ZAGI6FKGY8O078
CSAIL 2015-C3 Commercial Mortgage Trust
12635FBA1
1690000.00000000
PA
USD
1482954.55000000
0.164615335479
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Variable
3.35000000
N
N
N
N
N
N
Bellatrix Exploration Ltd
549300S2235IL73TH941
Bellatrix Exploration Ltd
078314AF8
236000.00000000
PA
USD
141600.00000000
0.015718304720
Long
DBT
CORP
CA
N
3
2023-09-11
None
0.00000000
Y
Y
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
31596.14000000
0.003507328788
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
31596.14000000
0.00350700
DFE
1957860.00000000
USD
1788000.00000000
EUR
N/A
1788000.00000000
EUR
1.09500000
EUR
2020-04-24
XXXX
19546.13000000
N
N
N
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27
22541QL75
38125.50000000
PA
USD
39243.35000000
0.004356207157
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-47.03000000
-0.00000522056
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Omnicom Group Inc
Omnicom Group Inc
1.00000000
80.00000000
USD
2020-04-20
XXXX
31.68000000
N
N
N
Republic of South Africa Government International Bond
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AW4
3071000.00000000
PA
USD
-3201517.50000000
-0.35538437594
Short
DBT
NUSS
ZA
N
2
2027-09-27
Fixed
4.85000000
N
N
N
N
N
N
Healthpeak Properties Inc
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
42250P103
437.00000000
NS
USD
-13826.68000000
-0.00153483029
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
374853.45000000
0.041610598536
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
87919486.07000000
ZAR
5969624.28000000
USD
2020-04-24
374853.45000000
N
N
N
MIPS AB
549300LZSA4S0L54VQ25
MIPS AB
N/A
6549.00000000
NS
146120.00000000
0.016220047216
Long
EC
CORP
SE
N
2
N
N
N
NVR Inc
529900RWXR4JI3JYTV70
NVR Inc
62944T105
426.00000000
NS
USD
1562218.68000000
0.173414048394
Long
EC
CORP
US
N
1
N
N
N
Wyndham Hotels & Resorts Inc
549300FE3MQ4RVXXC673
Wyndham Hotels & Resorts Inc
98311A105
4260.00000000
NS
USD
217047.00000000
0.024093297208
Long
EC
CORP
US
N
1
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAE6
85000.00000000
PA
USD
84698.32000000
0.009401935050
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
Hartford Financial Services Group Inc/The
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515104
3806.00000000
NS
USD
190109.70000000
0.021103122845
Long
EC
CORP
US
N
1
N
N
N
Align Technology Inc
549300N5YSE0U3LCP840
Align Technology Inc
016255101
356.00000000
NS
USD
-77732.60000000
-0.00862870546
Short
EC
CORP
US
N
1
N
N
N
American Woodmark Corp
N/A
American Woodmark Corp
030506109
900.00000000
NS
USD
75393.00000000
0.008368998219
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-10875.40000000
-0.00120722352
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
751617.04000000
USD
7100000.00000000
SEK
2020-04-15
-10875.40000000
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285U0
36039000.00000000
PA
USD
38364641.72000000
4.258666165660
Long
DBT
UST
US
N
2
2023-12-31
Fixed
2.63000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
106714.62000000
0.011845853921
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
54761602.50000000
MXN
2815000.00000000
USD
2020-08-25
106714.62000000
N
N
N
Yokogawa Electric Corp
529900MV0U7C9WWF4L22
Yokogawa Electric Corp
N/A
9200.00000000
NS
149421.91000000
0.016586575659
Long
EC
CORP
JP
N
2
N
N
N
Parker-Hannifin Corp
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094104
4787.00000000
NS
USD
-884493.99000000
-0.09818323487
Short
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YX2
18689000.00000000
PA
USD
-19567967.03000000
-2.17214172699
Short
DBT
UST
US
N
2
2026-12-31
Fixed
1.75000000
N
N
N
N
N
N
Aon PLC
VVT2B79I2Z4U3R6BY589
Aon PLC
G0408V102
1296.00000000
NS
USD
269568.00000000
0.029923389597
Long
EC
CORP
GB
N
1
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343V104
9258.00000000
NS
USD
-501413.28000000
-0.05565936953
Short
EC
CORP
US
N
1
N
N
N
a2 Milk Co Ltd
529900PVC9CV0KFA2U62
a2 Milk Co Ltd
N/A
8326.00000000
NS
85817.04000000
0.009526118537
Long
EC
CORP
NZ
N
2
N
N
N
BancorpSouth Bank
Q7C315HKI8VX0SSKBS64
BancorpSouth Bank
05971J102
3275.00000000
NS
USD
80139.25000000
0.008895855590
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617446448
6657.00000000
NS
USD
299764.71000000
0.033275374691
Long
EC
CORP
US
N
1
N
N
N
Kroger Co/The
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044101
26848.00000000
NS
USD
-755234.24000000
-0.08383475932
Short
EC
CORP
US
N
1
N
N
N
Alexandria Real Estate Equities Inc
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271109
1961.00000000
NS
USD
297836.68000000
0.033061353765
Long
EC
CORP
US
N
1
N
N
N
COMM 2015-CCRE27 Mortgage Trust
N/A
COMM 2015-CCRE27 Mortgage Trust
12635QAN0
2800000.00000000
PA
USD
2338253.96000000
0.259557826679
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-127148.41000000
-0.01411410630
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
5311965.76000000
USD
4042472.00000000
GBP
2020-03-18
-127148.41000000
N
N
N
N/A
N/A
Futures
N/A
67.00000000
NC
USD
220433.93000000
0.024469263294
N/A
DCO
N/A
N
1
MSE
N/A
Short
N/A
LME PRI Alum; March 2020
2020-03-17
2823212.50000000
USD
220433.93000000
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818108
1013.00000000
NS
USD
-161887.53000000
-0.01797032151
Short
EC
CORP
US
N
1
N
N
N
Polymer Additives Inc
549300J5DBF1ZURBMN33
Polymer Additives Inc
N/A
963710.00000000
PA
USD
693871.20000000
0.077023156486
Long
LON
CORP
US
N
2
2025-07-25
Floating
7.86000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
312384.62000000
0.034676247508
N/A
DFE
N/A
N
2
Bank of America NA
N/A
29052000.00000000
EUR
32416633.02000000
USD
2020-03-20
312384.62000000
N
N
N
BRP Inc
529900EPQGESIRCPY551
BRP Inc
N/A
2122.00000000
NS
86998.44000000
0.009657259817
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Repurchase Agreement
N/A
29663580.00000000
PA
USD
29663580.00000000
3.292805010935
Long
RA
US
N
2
Repurchase
N
1.59000000
2020-03-02
29516000.00000000
USD
30088480.66000000
USD
UST
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216101
19201.00000000
NS
USD
325648.96000000
0.036148655263
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
36.00000000
NC
USD
232979.16000000
0.025861846260
N/A
DCO
N/A
N
1
OSE
N/A
Short
N/A
WTI Crude; April 2020
2020-03-23
1611360.00000000
USD
232979.16000000
N
N
N
Omnicell Inc
5493008RH0GTKHHPZI77
Omnicell Inc
68213N109
2940.00000000
NS
USD
239521.80000000
0.026588111862
Long
EC
CORP
US
N
1
N
N
N
Vidrala SA
95980020140005399488
Vidrala SA
N/A
2045.00000000
NS
199080.12000000
0.022098884110
Long
EC
CORP
ES
N
2
N
N
N
California Resources Corp
5493003Q8F0T4F4YMR48
California Resources Corp
13057QAG2
795000.00000000
PA
USD
178875.00000000
0.019856015232
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
Repurchase Agreement
N/A
3964400.00000000
PA
USD
3964400.00000000
0.440068130190
Long
RA
US
N
2
Repurchase
N
1.25000000
N/A
4000000.00000000
USD
4993401.11000000
USD
N
N
N
N/A
N/A
Credit Default Swaps
N/A
925000.00000000
OU
Notional Amount
USD
-65762.27000000
-0.00729993925
N/A
DCR
N/A
N
2
Goldman Sachs & Co
N/A
Petroleos Mexicanos, 6.63%, 06/15/2035
Petroleos Mexicanos, 6.63%, 06/15/2035
Y
Payout of notional amount upon default event with regard to the reference instrument
2024-06-20
0.00000000
USD
65632.59000000
USD
925000.00000000
USD
-129.68000000
N
N
N
Freddie Mac STACR Remic Trust 2020-DNA2
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBE7
470000.00000000
PA
USD
452729.10000000
0.050255183260
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
6.46000000
N
N
N
N
N
N
Movado Group Inc
549300WCGCGPWGHVXM59
Movado Group Inc
624580106
4361.00000000
NS
USD
64106.70000000
0.007116162748
Long
EC
CORP
US
N
1
N
N
N
Diamondback Energy Inc
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278X109
9001.00000000
NS
USD
-558062.00000000
-0.06194765938
Short
EC
CORP
US
N
1
N
N
N
Elis SA
969500UX71LCE8MAY492
Elis SA
N/A
7435.00000000
NS
129834.82000000
0.014412311187
Long
EC
CORP
FR
N
2
N
N
N
Argentine Republic Government International Bond
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
N/A
6490000.00000000
PA
2794202.07000000
0.310170336070
Long
DBT
NUSS
AR
N
2
2028-01-15
Fixed
5.25000000
N
N
N
N
N
N
MongoDB Inc
549300TPTG69WKWE1Z37
MongoDB Inc
60937P106
2300.00000000
NS
USD
-350750.00000000
-0.03893499562
Short
EC
CORP
US
N
1
N
N
N
Southwest Airlines Co
UDTZ87G0STFETI6HGH41
Southwest Airlines Co
844741108
5377.00000000
NS
USD
248363.63000000
0.027569598996
Long
EC
CORP
US
N
1
N
N
N
Xylem Inc/NY
549300DF5MV96DRYLQ48
Xylem Inc/NY
98419M100
1263.00000000
NS
USD
-97680.42000000
-0.01084301275
Short
EC
CORP
US
N
1
N
N
N
Wells Fargo Commercial Mortgage Trust 2016-NXS6
549300CFP9NBBMZH1008
Wells Fargo Commercial Mortgage Trust 2016-NXS6
95000KAC9
7575000.00000000
PA
USD
861677.46000000
0.095650486492
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
2.00000000
N
N
N
N
N
N
City Developments Ltd
254900BPLPJS0RJ72373
City Developments Ltd
N/A
62000.00000000
NS
-443141.72000000
-0.04919093636
Short
EC
CORP
SG
N
2
N
N
N
Umpqua Holdings Corp
5299002ENJ7CY215BW86
Umpqua Holdings Corp
904214103
4444.00000000
NS
USD
68393.16000000
0.007591981141
Long
EC
CORP
US
N
1
N
N
N
Five Guys Funding LLC
549300LV8X8T05G1H175
Five Guys Funding LLC
33830JAA3
461512.50000000
PA
USD
491548.66000000
0.054564347619
Long
ABS-O
CORP
US
N
2
2047-07-25
Fixed
4.60000000
N
N
N
N
N
N
ACCO Brands Corp
JCT8P4Y190IH4I1NX328
ACCO Brands Corp
00081T108
32508.00000000
NS
USD
260389.08000000
0.028904483795
Long
EC
CORP
US
N
1
N
N
N
Pargesa Holding SA
50670041A514US1R5558
Pargesa Holding SA
N/A
9027.00000000
NS
-665433.37000000
-0.07386641582
Short
EC
CORP
CH
N
2
N
N
N
Centrica PLC
E26EDV109X6EEPBKVH76
Centrica PLC
N/A
95349.00000000
NS
88321.36000000
0.009804110521
Long
EC
CORP
GB
N
2
N
N
N
DSLA Mortgage Loan Trust 2005-AR5
N/A
DSLA Mortgage Loan Trust 2005-AR5
23332UFF6
133602.34480000
PA
USD
109027.25000000
0.012102567361
Long
ABS-MBS
CORP
US
N
2
2045-09-19
Floating
1.98000000
N
N
N
N
N
N
Taiyo Nippon Sanso Corp
353800F1K6653B4VPY57
Taiyo Nippon Sanso Corp
N/A
2500.00000000
NS
44599.07000000
0.004950718732
Long
EC
CORP
JP
N
2
N
N
N
Dominican Republic International Bond
254900EHU7Q8FGVPI369
Dominican Republic International Bond
N/A
2253000.00000000
PA
USD
2489587.53000000
0.276356606112
Long
DBT
NUSS
DO
N
2
2028-07-19
Fixed
6.00000000
N
N
N
N
N
N
COMM 2016-CR28 Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YAN3
850000.00000000
PA
USD
705342.67000000
0.078296546748
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
10.00000000
NC
-5972.14000000
-0.00066293726
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
Canada 10 Year Bond; June 2020
2020-06-22
1063289.25000000
USD
-5972.14000000
N
N
N
LEM Holding SA
5067008AF2B2C5O7TJ43
LEM Holding SA
N/A
56.00000000
NS
72607.40000000
0.008059782755
Long
EC
CORP
CH
N
2
N
N
N
Baxter International Inc
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813109
3678.00000000
NS
USD
-307002.66000000
-0.03407882316
Short
EC
CORP
US
N
1
N
N
N
Eldorado Resorts Inc
5299000BKFWWVND5L441
Eldorado Resorts Inc
28470R102
237.00000000
NS
USD
11892.66000000
0.001320144447
Long
EC
CORP
US
N
1
N
N
N
MASTR Alternative Loan Trust 2004-5
N/A
MASTR Alternative Loan Trust 2004-5
576434RF3
36547.12410000
PA
USD
37510.81000000
0.004163886595
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
5.50000000
N
N
N
N
N
N
Murata Manufacturing Co Ltd
529900QZG6DL8ZRI7140
Murata Manufacturing Co Ltd
N/A
800.00000000
NS
41909.68000000
0.004652183057
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-1214.89000000
-0.00013485883
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
745452.04000000
USD
7000000.00000000
NOK
2020-03-18
-1214.89000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-5054.94000000
-0.00056112349
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
79967.17000000
USD
335000.00000000
BRL
2020-03-03
-5054.94000000
N
N
N
Alliance Data Systems Corp
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581108
1787.00000000
NS
USD
-153467.56000000
-0.01703566294
Short
EC
CORP
US
N
1
N
N
N
OneMain Financial Issuance Trust 2019-1
N/A
OneMain Financial Issuance Trust 2019-1
68267DAD8
620000.00000000
PA
USD
641642.77000000
0.071225540824
Long
ABS-O
CORP
US
N
2
2031-02-14
Fixed
4.22000000
N
N
N
N
N
N
Hannon Armstrong Sustainable Infrastructure Capital Inc
N/A
Hannon Armstrong Sustainable Infrastructure Capital Inc
41068X100
2908.00000000
NS
USD
98726.60000000
0.010959143946
Long
EC
CORP
US
N
1
N
N
N
Casio Computer Co Ltd
353800JRMIABSXKHV344
Casio Computer Co Ltd
N/A
2800.00000000
NS
47700.69000000
0.005295013988
Long
EC
CORP
JP
N
2
N
N
N
TGP Holdings III LLC
N/A
TGP Holdings III LLC
N/A
516000.00000000
PA
USD
469560.00000000
0.052123496925
Long
LON
CORP
US
N
2
2025-09-25
Floating
10.36050000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284S6
13414000.00000000
PA
USD
14210456.25000000
1.577431366938
Long
DBT
UST
US
N
2
2023-05-31
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
125.00000000
NC
177556.08000000
0.019709608548
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
Canada 10 Year Bond; June 2020
2020-06-22
13291115.69000000
USD
177556.08000000
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
State Street Corp
857477103
634.00000000
NS
USD
43181.74000000
0.004793388048
Long
EC
CORP
US
N
1
N
N
N
Credit Acceptance Corp
N/A
Credit Acceptance Corp
225310101
1130.00000000
NS
USD
455616.00000000
0.050575643528
Long
EC
CORP
US
N
1
N
N
N
Spectrum Brands Holdings Inc
549300JM0MJETDD30O20
Spectrum Brands Holdings Inc
84790A105
13749.00000000
NS
USD
740933.61000000
0.082247318219
Long
EC
CORP
US
N
1
N
N
N
Microchip Technology Inc
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017104
3314.00000000
NS
USD
300612.94000000
0.033369532442
Long
EC
CORP
US
N
1
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807102
1301.00000000
NS
USD
427820.84000000
0.047490242436
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-21132.56000000
-0.00234581933
N/A
DFE
N/A
N
2
Bank of America NA
N/A
5786000.00000000
EUR
6372753.62000000
USD
2020-03-20
-21132.56000000
N
N
N
TAL Advantage V LLC
549300DUZ8I1AWFHN784
TAL Advantage V LLC
87407PAE0
196875.01000000
PA
USD
198745.26000000
0.022061712983
Long
ABS-O
CORP
US
N
2
2038-11-20
Fixed
3.55000000
N
N
N
N
N
N
OCP CLO 2015-10 Ltd
254900FZYL5HDKV64882
OCP CLO 2015-10 Ltd
67092DAL3
341114.24340000
PA
USD
340432.01000000
0.037789647386
Long
ABS-O
CORP
KY
N
2
2027-10-26
Floating
2.61000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust 2018-3
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAE2
291176.35000000
PA
USD
291205.18000000
0.032325224262
Long
ABS-O
CORP
US
N
2
2022-01-18
Floating
2.01000000
N
N
N
N
N
N
Perrigo Co PLC
549300IFOQS6R1QLY196
Perrigo Co PLC
G97822103
16358.00000000
NS
USD
-829187.02000000
-0.09204388595
Short
EC
CORP
IE
N
1
N
N
N
MARB BondCo PLC
254900PVA1EU6QM1JN57
MARB BondCo PLC
N/A
3075000.00000000
PA
USD
3151875.00000000
0.349873811382
Long
DBT
CORP
GB
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
0.00000000
OU
Notional Amount
-16887.78000000
-0.00187462762
N/A
DE
N/A
N
2
JPMorgan Chase
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in HKD
Y
Total return on a custom basket of long and short securities traded in HKD
2020-11-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
-16887.78000000
N
N
N
Banco Mercantil del Norte SA/Grand Cayman
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05971PAA6
725000.00000000
PA
USD
766694.75000000
0.085106932968
Long
DBT
CORP
MX
N
2
N/A
Variable
6.75000000
N
N
N
N
N
N
Lanark Master Issuer PLC
213800KIOPB5OYXIVY33
Lanark Master Issuer PLC
513770BB2
254200.01000000
PA
USD
254956.00000000
0.028301384875
Long
ABS-MBS
CORP
GB
N
2
2069-12-22
Floating
2.45000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200101
1286.00000000
NS
USD
-167372.90000000
-0.01857922488
Short
EC
CORP
US
N
1
N
N
N
Invesco Ltd
ECPGFXU8A2SHKVVGJI15
Invesco Ltd
G491BT108
18145.00000000
NS
USD
261288.00000000
0.029004268388
Long
EC
CORP
US
N
1
N
N
N
Viscofan SA
95980020140005684765
Viscofan SA
N/A
2267.00000000
NS
121304.45000000
0.013465397663
Long
EC
CORP
ES
N
2
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0TH2
25000.00000000
PA
USD
25102.09000000
0.002786456919
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
3.43000000
N
N
N
N
N
N
Rio Tinto PLC
213800YOEO5OQ72G2R82
Rio Tinto PLC
N/A
4033.00000000
NS
189872.09000000
0.021076746953
Long
EC
CORP
GB
N
2
N
N
N
Schlumberger Ltd
213800ZUA17OK3QLGM62
Schlumberger Ltd
806857108
8495.00000000
NS
USD
-230129.55000000
-0.02554552536
Short
EC
CORP
US
N
1
N
N
N
SoFi Professional Loan Program 2015-C LLC
N/A
SoFi Professional Loan Program 2015-C LLC
834016AC1
39033.23000000
PA
USD
39806.91000000
0.004418765122
Long
ABS-O
CORP
US
N
2
2036-08-25
Fixed
3.58000000
N
N
N
N
N
N
Cheesecake Factory Inc/The
529900872XMLK10SY247
Cheesecake Factory Inc/The
163072101
4054.00000000
NS
USD
144444.02000000
0.016034005094
Long
EC
CORP
US
N
1
N
N
N
JCDecaux SA
9695009KV7AFPDEI5S30
JCDecaux SA
N/A
13034.00000000
NS
-301203.20000000
-0.03343505424
Short
EC
CORP
FR
N
2
N
N
N
SEACOR Marine Holdings Inc
5493003LNKFW1W43N030
SEACOR Marine Holdings Inc
78413P101
4844.00000000
NS
USD
38509.80000000
0.004274779457
Long
EC
CORP
US
N
1
N
N
N
News Corp - A Shares
549300ITS31QK8VRBQ14
News Corp - A Shares
65249B109
37275.00000000
NS
USD
-450095.63000000
-0.04996285498
Short
EC
CORP
US
N
1
N
N
N
Vocera Communications Inc
5493006D2J6NPNZ60K83
Vocera Communications Inc
92857F107
4244.00000000
NS
USD
103511.16000000
0.011490253918
Long
EC
CORP
US
N
1
N
N
N
Credit Saison Co Ltd
529900SV58ZWTGRH3A66
Credit Saison Co Ltd
N/A
22900.00000000
NS
-330216.67000000
-0.03665569380
Short
EC
CORP
JP
N
2
N
N
N
Concho Resources Inc
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605P101
708.00000000
NS
USD
-48158.16000000
-0.00534579543
Short
EC
CORP
US
N
1
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0AX7
60458.82000000
PA
USD
60634.16000000
0.006730693526
Long
ABS-MBS
CORP
US
N
2
2024-04-25
Floating
3.28000000
N
N
N
N
N
N
Analog Devices Inc
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654105
3228.00000000
NS
USD
-352013.40000000
-0.03907523931
Short
EC
CORP
US
N
1
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585A102
2449.00000000
NS
USD
116131.58000000
0.012891183348
Long
EC
CORP
US
N
1
N
N
N
Host Hotels & Resorts Inc
N6EL63S0K3PB1YFTDI24
Host Hotels & Resorts Inc
44107P104
1775.00000000
NS
USD
-25702.00000000
-0.00285304991
Short
EC
CORP
US
N
1
N
N
N
FinecoBank Banca Fineco SpA
549300L7YCATGO57ZE10
FinecoBank Banca Fineco SpA
N/A
41658.00000000
NS
437117.25000000
0.048522190213
Long
EC
CORP
IT
N
2
N
N
N
Schweitzer-Mauduit International Inc
549300Z1FU4IDULG1R21
Schweitzer-Mauduit International Inc
808541106
2593.00000000
NS
USD
87435.96000000
0.009705826714
Long
EC
CORP
US
N
1
N
N
N
Chubb Ltd
E0JAN6VLUDI1HITHT809
Chubb Ltd
H1467J104
1984.00000000
NS
USD
287739.52000000
0.031940518753
Long
EC
CORP
CH
N
1
N
N
N
BASF SE
529900PM64WH8AF1E917
BASF SE
N/A
2718.00000000
NS
-160862.26000000
-0.01785651144
Short
EC
CORP
DE
N
2
N
N
N
WR Berkley Corp
SQOAGCLKBDWNVYV1OV80
WR Berkley Corp
084423102
1836.00000000
NS
USD
123269.04000000
0.013683476930
Long
EC
CORP
US
N
1
N
N
N
Galapagos NV
549300QKJ78IY0IOV655
Galapagos NV
N/A
754.00000000
NS
158583.57000000
0.017603565515
Long
EC
CORP
BE
N
2
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DL1
720000.00000000
PA
USD
729093.84000000
0.080933044824
Long
DBT
CORP
US
N
2
2022-09-11
Fixed
1.70000000
N
N
N
N
N
N
Colombia Government International Bond
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CU7
1093000.00000000
PA
USD
-1320890.50000000
-0.14662541936
Short
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
153.00000000
NC
USD
956.25000000
0.000106148509
N/A
DIR
N/A
N
1
CME
N/A
Put
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
153.00000000
NC
USD
956.25000000
0.00010600
DIR
Short
N/A
90 Day Eurodollar Future; March 2021
N/A
382500.00000000
USD
153.00000000
98.25000000
USD
2020-03-16
XXXX
-12467.88000000
N
N
N
Loomis AB
213800NS2XXVRYS7WP40
Loomis AB
N/A
5523.00000000
NS
192874.24000000
0.021410000544
Long
EC
CORP
SE
N
2
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428X106
7624.00000000
NS
USD
-1076280.08000000
-0.11947244535
Short
EC
CORP
US
N
1
N
N
N
WEC Energy Group Inc
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939U106
2570.00000000
NS
USD
-237288.10000000
-0.02634016004
Short
EC
CORP
US
N
1
N
N
N
eBay Inc
OML71K8X303XQONU6T67
eBay Inc
278642103
24978.00000000
NS
USD
865237.92000000
0.096045715271
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16890000.00000000
OU
Notional Amount
USD
22501.29000000
0.002497755175
N/A
DIR
N/A
N
2
LCH
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2025-02-10
0.00000000
USD
0.00000000
USD
16890000.00000000
USD
22501.29000000
N
N
N
MSCI Inc
549300HTIN2PD78UB763
MSCI Inc
55354GAH3
155000.00000000
PA
USD
160626.50000000
0.017830340912
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.00000000
N
N
N
N
N
N
Hitachi High-Tech Corp
353800W8CVM6G32NTH93
Hitachi High-Tech Corp
N/A
51436.00000000
NS
3820415.28000000
0.424085109681
Long
EC
CORP
JP
N
2
N
N
N
SVB Financial Group
549300D2KJ20JMXE7542
SVB Financial Group
78486Q101
2053.00000000
NS
USD
427352.48000000
0.047438252145
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-41900.64000000
-0.00465117957
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
1498624.03000000
USD
1955000.00000000
CAD
2020-04-13
-41900.64000000
N
N
N
Taisho Pharmaceutical Holdings Co Ltd
N/A
Taisho Pharmaceutical Holdings Co Ltd
N/A
1900.00000000
NS
-116683.90000000
-0.01295249361
Short
EC
CORP
JP
N
2
N
N
N
Advanced Drainage Systems Inc
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems Inc
00790R104
3556.00000000
NS
USD
148854.16000000
0.016523552583
Long
EC
CORP
US
N
1
N
N
N
Haemonetics Corp
549300ZEL6TXZS6F5F95
Haemonetics Corp
405024100
1334.00000000
NS
USD
144512.22000000
0.016041575634
Long
EC
CORP
US
N
1
N
N
N
Santander Drive Auto Receivables Trust 2018-2
N/A
Santander Drive Auto Receivables Trust 2018-2
80285FAG9
800000.00000000
PA
USD
826753.36000000
0.091773737580
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
3.88000000
N
N
N
N
N
N
Klarna Holding AB
N/A
Klarna Holding AB
N/A
808.00000000
NS
190367.92000000
0.021131786550
Long
EC
CORP
SE
Y
3
N
N
N
PotlatchDeltic Corp
54930084YA8UJOTXDM59
PotlatchDeltic Corp
737630103
5486.00000000
NS
USD
201555.64000000
0.022373679150
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
13.00000000
NC
USD
-29786.02000000
-0.00330639646
N/A
DCO
N/A
N
1
MSE
N/A
Short
N/A
Coffee 'C'; May 2020
2020-05-19
542831.25000000
USD
-29786.02000000
N
N
N
CPS Auto Receivables Trust 2018-D
N/A
CPS Auto Receivables Trust 2018-D
22411XAC8
330000.00000000
PA
USD
338459.35000000
0.037570672308
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.83000000
N
N
N
N
N
N
Reliance Standard Life Global Funding II
N/A
Reliance Standard Life Global Funding II
75951AAM0
355000.00000000
PA
USD
361623.18000000
0.040141972721
Long
DBT
CORP
US
N
2
2023-01-21
Fixed
2.15000000
N
N
N
N
N
N
Toray Industries Inc
35380099TCYR5FHT0A11
Toray Industries Inc
N/A
56645.00000000
NS
325425.21000000
0.036123817899
Long
EC
CORP
JP
N
2
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431109
5212.00000000
NS
USD
-1030568.76000000
-0.11439826133
Short
EC
CORP
US
N
1
N
N
N
Cineworld Group PLC
213800J2J3TOOI176M73
Cineworld Group PLC
N/A
60789.00000000
NS
123460.19000000
0.013704695531
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-8046.20000000
-0.00089316824
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
27021500.00000000
THB
850000.00000000
USD
2020-06-11
-8046.20000000
N
N
N
N/A
N/A
Futures
N/A
40.00000000
NC
USD
-37057.90000000
-0.00411361133
N/A
DCO
N/A
N
1
OSE
N/A
Long
N/A
Gold 100 oz; April 2020
2020-04-29
6266800.00000000
USD
-37057.90000000
N
N
N
DuPont de Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26614N102
5107.00000000
NS
USD
219090.30000000
0.024320113677
Long
EC
CORP
US
N
1
N
N
N
Kansas City Southern
5493008C12PZMWP3WY03
Kansas City Southern
485170302
3522.00000000
NS
USD
530694.96000000
0.058909781744
Long
EC
CORP
US
N
1
N
N
N
Costa Rica Government International Bond
N/A
Costa Rica Government International Bond
N/A
1673000.00000000
PA
USD
1714825.00000000
0.190354109412
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
Orion Oyj
74370029VAHCXDR7B745
Orion Oyj
N/A
296.00000000
NS
-11813.45000000
-0.00131135174
Short
EC
CORP
FI
N
2
N
N
N
Arabian Centres Sukuk Ltd
5493003T55GS691ILI42
Arabian Centres Sukuk Ltd
03847PAA3
3450000.00000000
PA
USD
3567369.00000000
0.395995713230
Long
DBT
CORP
KY
N
2
2024-11-26
Fixed
5.38000000
N
N
N
N
N
N
OGX Austria GmbH
N/A
OGX Austria GmbH
67089WAA0
1100000.00000000
PA
USD
11.00000000
0.000001221054
Long
DBT
CORP
AT
N
2
2022-04-01
None
0.00000000
Y
Y
N
N
N
N
Third Point Reinsurance Ltd
N/A
Third Point Reinsurance Ltd
G8827U100
7017.00000000
NS
USD
62591.64000000
0.006947983548
Long
EC
CORP
BM
N
1
N
N
N
Freddie Mac Stacr Remic Trust 2020-DNA1
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBE4
350000.00000000
PA
USD
344896.86000000
0.038285267956
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
6.88000000
N
N
N
N
N
N
Umicore SA
529900F3AIQECS8ZSV61
Umicore SA
N/A
10643.00000000
NS
-448183.00000000
-0.04975054353
Short
EC
CORP
BE
N
2
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
N/A
1923.00000000
NS
168771.95000000
0.018734526401
Long
EC
CORP
GB
N
2
N
N
N
DMC Global Inc
549300CBDXD1Z5MRNG02
DMC Global Inc
23291C103
2124.00000000
NS
USD
76591.44000000
0.008502031023
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SK5
4742000.00000000
PA
USD
-5529060.85000000
-0.61375327160
Short
DBT
UST
US
N
2
2049-11-15
Fixed
2.38000000
N
N
N
N
N
N
Kinder Morgan Inc/DE
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456B101
35697.00000000
NS
USD
684311.49000000
0.075961981099
Long
EC
CORP
US
N
1
N
N
N
Harbour Aircraft Investments Ltd
N/A
Harbour Aircraft Investments Ltd
G4301UAH7
574390.45250000
PA
USD
581151.03000000
0.064510656626
Long
ABS-O
CORP
US
N
2
2037-11-15
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-81884.84000000
-0.00908962476
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
1490158.08000000
USD
2160000.00000000
AUD
2020-04-22
-81884.84000000
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Y79
17215000.00000000
PA
USD
18948604.21000000
2.103389371509
Long
DBT
UST
US
N
2
2025-07-31
Fixed
2.88000000
N
N
N
N
N
N
Advance Auto Parts Inc
529900UCNQ5H9FSL0Y70
Advance Auto Parts Inc
00751Y106
7095.00000000
NS
USD
943493.10000000
0.104732429715
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
1684000.00000000
PA
USD
-1684000.00000000
-0.18693238100
Short
RA
US
N
2
Reverse repurchase
N
2.65000000
N/A
2000000.00000000
USD
2100233.33000000
USD
CDS
N
N
N
Scout24 AG
5493007EIKM2ENQS7U66
Scout24 AG
N/A
4385.00000000
NS
288505.43000000
0.032025538575
Long
EC
CORP
DE
N
2
N
N
N
Smurfit Kappa Group PLC
635400CPLP8H5ITDVT56
Smurfit Kappa Group PLC
N/A
8472.00000000
NS
285420.29000000
0.031683072681
Long
EC
CORP
IE
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-13377.70000000
-0.00148499127
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1407500.00000000
EUR
1540520.94000000
USD
2020-03-04
-13377.70000000
N
N
N
Wingstop Funding 2018-1 LLC
N/A
Wingstop Funding 2018-1 LLC
974153AA6
153837.50000000
PA
USD
160332.52000000
0.017797707669
Long
ABS-O
CORP
US
N
2
2048-12-05
Fixed
4.97000000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
341830.93000000
OU
Notional Amount
40722.05000000
0.004520350217
N/A
DE
N/A
N
2
UBS AG
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in DKK
Carlsberg A/S
-2607.00000000
N/A
-341830.93000000
N/A
Y
Total return on a custom basket of long and short securities traded in DKK
2023-01-27
0.00000000
USD
0.00000000
USD
341830.93000000
USD
40722.05000000
N
N
N
Unilever NV
549300TK7G7NZTVM1Z30
Unilever NV
N/A
13891.00000000
NS
733405.55000000
0.081411666093
Long
EC
CORP
GB
N
2
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282W9
11272000.00000000
PA
USD
11558643.47000000
1.283066950706
Long
DBT
UST
US
N
2
2022-09-30
Fixed
1.88000000
N
N
N
N
N
N
Prudential PLC
5493001Z3ZE83NGK8Y12
Prudential PLC
N/A
17901.00000000
NS
-297594.61000000
-0.03303448279
Short
EC
CORP
GB
N
2
N
N
N
KalVista Pharmaceuticals Inc
529900Q7IDA3WUGRZA51
KalVista Pharmaceuticals Inc
483497103
3953.00000000
NS
USD
53167.85000000
0.005901895957
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
8382.08000000
0.000930452596
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
8382.08000000
0.00093000
DFE
3265400.00000000
USD
2815000.00000000
EUR
N/A
2815000.00000000
EUR
1.16000000
EUR
2020-06-12
XXXX
-7201.24000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4225000.00000000
OU
Notional Amount
USD
-73625.97000000
-0.00817284909
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2022-01-13
149.62000000
USD
0.00000000
USD
4225000.00000000
USD
-73775.59000000
N
N
N
Xerox Holdings Corp
N/A
Xerox Holdings Corp
98421M106
7042.00000000
NS
USD
226752.40000000
0.025170644910
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
111253.52000000
0.012349694411
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
9751000.00000000
EUR
10885431.00000000
USD
2020-03-18
111253.52000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
390618.29000000
0.043360574235
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
6474900.00000000
EUR
7542811.73000000
USD
2020-03-13
390618.29000000
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp
494368103
2576.00000000
NS
USD
337945.44000000
0.037513625740
Long
EC
CORP
US
N
1
N
N
N
US Bank NA/Cincinnati OH
6BYL5QZYBDK8S7L73M02
US Bank NA/Cincinnati OH
90331HPG2
1500000.00000000
PA
USD
1506783.99000000
0.167260521915
Long
DBT
CORP
US
N
2
2022-12-09
Floating
2.28000000
N
N
N
N
N
N
Novocure Ltd
213800YPP55UMHWA4826
Novocure Ltd
G6674U108
517.00000000
NS
USD
37611.75000000
0.004175091437
Long
EC
CORP
JE
N
1
N
N
N
Caterpillar Inc
WRJR7GS4GTRECRRTVX92
Caterpillar Inc
149123101
3712.00000000
NS
USD
461178.88000000
0.051193150894
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
53040.98000000
OU
Notional Amount
6167.29000000
0.000684599883
N/A
DE
N/A
N
2
JPMorgan Chase
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in JPY
Murata Manufacturing Co Ltd
-1000.00000000
N/A
-53040.98000000
N/A
Y
Total return on a custom basket of long and short securities traded in JPY
2021-03-25
0.00000000
USD
0.00000000
USD
53040.98000000
USD
6167.29000000
N
N
N
Domino's Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAJ9
49250.00000000
PA
USD
51816.91000000
0.005751934894
Long
ABS-O
CORP
US
N
2
2048-07-25
Fixed
4.12000000
N
N
N
N
N
N
SEI Investments Co
5LJTIFADGZ6XH1RVOC11
SEI Investments Co
784117103
12605.00000000
NS
USD
689619.55000000
0.076551202177
Long
EC
CORP
US
N
1
N
N
N
VeriSign Inc
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343E102
2964.00000000
NS
USD
562419.00000000
0.062431308070
Long
EC
CORP
US
N
1
N
N
N
Genuine Parts Co
549300D46DQVEU651W04
Genuine Parts Co
372460105
1653.00000000
NS
USD
144207.72000000
0.016007774618
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
300.00000000
NC
USD
-4687.50000000
-0.00052033582
N/A
DIR
N/A
N
1
CBT
N/A
Put
Written
CBT
N/A
N/A
N/A
FUTURE
N/A
300.00000000
NC
USD
-4687.50000000
-0.00052000
DIR
Short
N/A
US 10 Year Note Future; June 2020
N/A
300000.00000000
USD
300.00000000
128.00000000
USD
2020-03-30
XXXX
32176.50000000
N
N
N
Greenbrier Cos Inc/The
5493001GAGGFR30BP390
Greenbrier Cos Inc/The
393657AK7
80000.00000000
PA
USD
73611.79000000
0.008171275044
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
2.88000000
N
N
N
N
Y
Greenbrier Cos Inc/The
Greenbrier Cos Inc/The
USD
XXXX
N
N
N
CarMax Auto Owner Trust 2018-2
N/A
CarMax Auto Owner Trust 2018-2
14314XAG4
320000.00000000
PA
USD
334513.60000000
0.037132674421
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
3.99000000
N
N
N
N
N
N
DexCom Inc
549300YSK3QDSFR5EU59
DexCom Inc
252131107
1409.00000000
NS
USD
388884.00000000
0.043168059414
Long
EC
CORP
US
N
1
N
N
N
DBS Group Holdings Ltd
5493007FKT78NKPM5V55
DBS Group Holdings Ltd
N/A
2500.00000000
NS
43710.54000000
0.004852087480
Long
EC
CORP
SG
N
2
N
N
N
BlackRock Inc
549300LRIF3NWCU26A80
BlackRock Inc
09247X101
3455.00000000
NS
USD
1599699.55000000
0.177574611501
Long
EC
CORP
US
N
1
N
N
N
Travelers Cos Inc/The
549300Y650407RU8B149
Travelers Cos Inc/The
89417E109
2520.00000000
NS
USD
-301921.20000000
-0.03351475581
Short
EC
CORP
US
N
1
N
N
N
Sysco Corp
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829107
1216.00000000
NS
USD
-81046.40000000
-0.00899655375
Short
EC
CORP
US
N
1
N
N
N
Japan Exchange Group Inc
353800578ADEGIJTVW07
Japan Exchange Group Inc
N/A
5000.00000000
NS
-83605.41000000
-0.00928061660
Short
EC
CORP
JP
N
2
N
N
N
Prestige Auto Receivables Trust 2016-1
N/A
Prestige Auto Receivables Trust 2016-1
74113FAN5
815000.00000000
PA
USD
826496.39000000
0.091745212631
Long
ABS-O
CORP
US
N
2
2021-11-15
Fixed
5.15000000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978V103
3827.00000000
NS
USD
-509871.21000000
-0.05659824185
Short
EC
CORP
US
N
1
N
N
N
Robert Half International Inc
529900VPCUY9H3HLIC08
Robert Half International Inc
770323103
15584.00000000
NS
USD
785589.44000000
0.087204337594
Long
EC
CORP
US
N
1
N
N
N
FARO Technologies Inc
529900MFEFNOFP3YR823
FARO Technologies Inc
311642102
1850.00000000
NS
USD
105894.00000000
0.011754761017
Long
EC
CORP
US
N
1
N
N
N
CVP Cascade CLO-2 Ltd
254900WPOZSM5XGTH559
CVP Cascade CLO-2 Ltd
126611AL6
335220.61190000
PA
USD
335254.13000000
0.037214876936
Long
ABS-O
CORP
KY
N
2
2026-07-18
Floating
3.02000000
N
N
N
N
N
N
Grand Canyon Education Inc
529900XFER799IYOSW74
Grand Canyon Education Inc
38526M106
2052.00000000
NS
USD
165555.36000000
0.018377468902
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
3868.82000000
0.000429458274
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
3868.82000000
0.00042900
DFE
478198125.00000000
JPY
4222500.00000000
USD
N/A
4222500.00000000
USD
113.25000000
USD
2020-06-01
XXXX
-17285.91000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
1795000.00000000
PA
USD
-1795000.00000000
-0.19925393343
Short
RA
US
N
2
Reverse repurchase
N
2.67000000
2020-03-06
2735000.00000000
USD
2374446.94000000
USD
CDS
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746U109
3371.00000000
NS
USD
263544.78000000
0.029254782200
Long
EC
CORP
US
N
1
N
N
N
Diamond Resorts Owner Trust 2019-1
N/A
Diamond Resorts Owner Trust 2019-1
252722AB9
283570.05000000
PA
USD
290158.06000000
0.032208988730
Long
ABS-O
CORP
US
N
2
2032-02-20
Fixed
3.53000000
N
N
N
N
N
N
Coty Inc
549300BO9IWPF3S48F93
Coty Inc
222070203
43030.00000000
NS
USD
397166.90000000
0.044087502536
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
323.00000000
NC
1491965.00000000
0.165615540273
N/A
DE
N/A
N
1
CME
N/A
Short
DJ Euro Stoxx 50; March 2020
N/A
DJ Euro Stoxx 50; March 2020
2020-03-23
11816899.23000000
USD
1491965.00000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
3053000.00000000
PA
USD
-3053000.00000000
-0.33889819429
Short
RA
US
N
2
Reverse repurchase
N
2.82000000
2020-03-06
4515000.00000000
USD
4095272.81000000
USD
CDS
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0GM5
4460796.79250000
PA
USD
5399886.86000000
0.599414315840
Long
ABS-MBS
CORP
US
N
2
2028-03-25
Floating
10.43000000
N
N
N
N
N
N
Koninklijke Ahold Delhaize NV
724500C9GNBV20UYRX36
Koninklijke Ahold Delhaize NV
N/A
15780.00000000
NS
368655.94000000
0.040922644082
Long
EC
CORP
NL
N
2
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377508
54052.00000000
NS
USD
1795066.92000000
0.199261361883
Long
EC
CORP
US
N
1
N
N
N
VOLT LXXXVII LLC
N/A
VOLT LXXXVII LLC
92870GAA6
453434.30000000
PA
USD
455432.90000000
0.050555318517
Long
ABS-O
CORP
US
N
2
2050-02-25
Variable
2.98000000
N
N
N
N
N
N
Argentine Republic Government International Bond
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
N/A
1800000.00000000
PA
777792.99000000
0.086338892842
Long
DBT
NUSS
AR
N
2
2027-01-15
Fixed
5.00000000
N
N
N
N
N
N
Alternative Loan Trust 2003-22CB
N/A
Alternative Loan Trust 2003-22CB
12669FEE9
97411.75370000
PA
USD
100259.18000000
0.011129267954
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
5.75000000
N
N
N
N
N
N
Japan Retail Fund Investment Corp
353800QDHNIP60E1LQ93
Japan Retail Fund Investment Corp
N/A
81.00000000
NS
153552.47000000
0.017045088376
Long
EC
CORP
JP
N
2
N
N
N
East West Bancorp Inc
N/A
East West Bancorp Inc
27579R104
11118.00000000
NS
USD
430711.32000000
0.047811100101
Long
EC
CORP
US
N
1
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAX6
1170000.00000000
PA
USD
1173150.52000000
0.130225546304
Long
DBT
CORP
US
N
2
2022-05-20
Floating
2.29000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
83.00000000
NC
USD
1071553.74000000
0.118947798093
N/A
DE
N/A
N
1
CBT
N/A
Short
S&P 500 Emini; March 2020
N/A
S&P 500 Emini; March 2020
2020-03-23
12247065.00000000
USD
1071553.74000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
30082.27000000
0.003339281684
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
4136571.78000000
USD
3773650.00000000
EUR
2020-03-06
30082.27000000
N
N
N
Skyworks Solutions Inc
549300WZ3ORQ2BVKBD96
Skyworks Solutions Inc
83088M102
7723.00000000
NS
USD
773690.14000000
0.085883456073
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
22452.82000000
0.002492374764
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
16955000.00000000
NOK
1825564.14000000
USD
2020-04-15
22452.82000000
N
N
N
N/A
N/A
Options
N/A
226.00000000
NC
USD
-1412.50000000
-0.00015679452
N/A
DIR
N/A
N
1
CME
N/A
Put
Written
CME
N/A
N/A
N/A
FUTURE
N/A
226.00000000
NC
USD
-1412.50000000
-0.00015700
DIR
Short
N/A
90 Day Eurodollar Future; June 2020
N/A
565000.00000000
USD
226.00000000
98.12500000
USD
2020-06-16
XXXX
3856.69000000
N
N
N
Hitachi Metals Ltd
N/A
Hitachi Metals Ltd
N/A
86668.00000000
NS
1248399.92000000
0.138578604208
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14850000000.00000000
OU
Notional Amount
80491.70000000
0.008934979294
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
N/A
Sinacofi Chile Interbank Rate Avg
Y
2021-12-18
0.00000000
USD
0.00000000
USD
14850000000.00000000
CLP
80491.70000000
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
10268.00000000
NS
USD
1380840.64000000
0.153280183264
Long
EC
CORP
US
N
1
N
N
N
Stanley Black & Decker Inc
549300DJ09SMTO561131
Stanley Black & Decker Inc
854502101
3497.00000000
NS
USD
502518.90000000
0.055782098856
Long
EC
CORP
US
N
1
N
N
N
Singapore Airlines Ltd
549300ZG62N2599PWR15
Singapore Airlines Ltd
N/A
30800.00000000
NS
-178221.68000000
-0.01978349346
Short
EC
CORP
SG
N
2
N
N
N
Sankyo Co Ltd
3538009H2R9ZBZAOAK48
Sankyo Co Ltd
N/A
12300.00000000
NS
405177.14000000
0.044976679042
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5500000000.00000000
OU
Notional Amount
-36720.71000000
-0.00407618156
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
N/A
Sinacofi Chile Interbank Rate Avg
Y
2021-12-18
0.00000000
USD
0.00000000
USD
5500000000.00000000
CLP
-36720.71000000
N
N
N
N/A
N/A
Futures
N/A
33.00000000
NC
USD
125041.64000000
0.013880244352
N/A
DE
N/A
N
1
CBT
N/A
Short
eMini MSCI Emerging Markets; March 2020
N/A
eMini MSCI Emerging Markets; March 2020
2020-03-23
1664520.00000000
USD
125041.64000000
N
N
N
Banc of America Alternative Loan Trust 2003-8
N/A
Banc of America Alternative Loan Trust 2003-8
05948XTV3
72704.18000000
PA
USD
74609.29000000
0.008282002508
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
Subaru Corp
549300N244BVAEE6HH86
Subaru Corp
N/A
10000.00000000
NS
242033.83000000
0.026866959694
Long
EC
CORP
JP
N
2
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017109
2194.00000000
NS
USD
286514.46000000
0.031804530997
Long
EC
CORP
US
N
1
N
N
N
Inficon Holding AG
5067008UT6890I0YM937
Inficon Holding AG
N/A
159.00000000
NS
111984.57000000
0.012430844599
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
34784.73000000
0.003861278148
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
1130000.00000000
NZD
741099.20000000
USD
2020-04-14
34784.73000000
N
N
N
Knoll Inc
549300R7T7KP3H4DHH46
Knoll Inc
498904200
3929.00000000
NS
USD
69307.56000000
0.007693484092
Long
EC
CORP
US
N
1
N
N
N
Monmouth Real Estate Investment Corp
549300DFIUDCN3KVN260
Monmouth Real Estate Investment Corp
609720107
6726.00000000
NS
USD
95509.20000000
0.010601996534
Long
EC
CORP
US
N
1
N
N
N
Legrand SA
969500XXRPGD7HCAFA90
Legrand SA
N/A
5975.00000000
NS
458591.79000000
0.050905971028
Long
EC
CORP
FR
N
2
N
N
N
Citizens Financial Group Inc
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610105
7134.00000000
NS
USD
-226076.46000000
-0.02509561220
Short
EC
CORP
US
N
1
N
N
N
Cellavision AB
529900IUBZBZ0HXFJ114
Cellavision AB
N/A
3070.00000000
NS
92904.64000000
0.010312877411
Long
EC
CORP
SE
N
2
N
N
N
Expedia Group Inc
CI7MUJI4USF3V0NJ1H64
Expedia Group Inc
30212P303
4269.00000000
NS
USD
-421008.78000000
-0.04673406987
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6600000.00000000
OU
Notional Amount
-34512.69000000
-0.00383108035
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Warsaw Interbank Offered Rate
Y
2022-04-26
2067.11000000
USD
0.00000000
USD
6600000.00000000
PLN
-36579.80000000
N
N
N
Gogo Intermediate Holdings LLC / Gogo Finance Co Inc
N/A
Gogo Intermediate Holdings LLC / Gogo Finance Co Inc
38046XAE3
2000000.00000000
PA
USD
2034400.00000000
0.225828524886
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
9.88000000
N
N
N
N
N
N
MAPS 2018-1 Ltd
N/A
MAPS 2018-1 Ltd
56564RAA8
657135.00000000
PA
USD
680730.81000000
0.075564507799
Long
ABS-O
CORP
BM
N
2
2043-05-15
Fixed
4.21000000
N
N
N
N
N
N
Southcross Energy Series B
N/A
Southcross Energy Series B
N/A
703848.00000000
NS
USD
844617.60000000
0.093756757127
Long
EP
CORP
US
N
3
N
N
N
Wesfarmers Ltd
5493003L32ZX9557ST85
Wesfarmers Ltd
N/A
7445.00000000
NS
199264.30000000
0.022119329006
Long
EC
CORP
AU
N
2
N
N
N
Xperi Corp
529900L3ZKEYH5WX3L03
Xperi Corp
98421B100
5005.00000000
NS
USD
86035.95000000
0.009550418637
Long
EC
CORP
US
N
1
N
N
N
Unum Group
549300E32YFDO6TZ8R31
Unum Group
91529Y106
11261.00000000
NS
USD
-262493.91000000
-0.02913813040
Short
EC
CORP
US
N
1
N
N
N
N/A
N/A
Total Return Swaps
N/A
17113806.68000000
OU
Notional Amount
-891153.61000000
-0.09892248584
N/A
DE
N/A
N
2
Morgan Stanley & Co
N/A
N/A
N/A
Total return on a custom basket of long and short securities traded in EUR
Cie de Saint-Gobain
20304.00000000
N/A
708299.92000000
N/A
Delivery Hero SE
-3790.00000000
N/A
-284509.41000000
N/A
Eurofins Scientific SE
-393.00000000
N/A
-197315.64000000
N/A
Vivendi SA
48410.00000000
N/A
1230237.35000000
N/A
Grifols SA
-16589.00000000
N/A
-531088.27000000
N/A
Getlink SE
46152.00000000
N/A
742842.18000000
N/A
Engie SA
83461.00000000
N/A
1384812.80000000
N/A
Grifols SA
24406.00000000
N/A
538858.96000000
N/A
Stoxx Europe 600 Index
-27721.00000000
N/A
-11495842.15000000
N/A
Y
Total return on a custom basket of long and short securities traded in EUR
2020-10-09
0.00000000
USD
0.00000000
USD
17113806.68000000
USD
-891153.61000000
N
N
N
N/A
N/A
Reverse Repurchase Agreements
N/A
719976.25000000
PA
USD
-719976.25000000
-0.07992094695
Short
RA
US
N
2
Reverse repurchase
N
2.65000000
N/A
749000.00000000
USD
832770.65666700
USD
N
N
N
Pearson PLC
2138004JBXWWJKIURC57
Pearson PLC
N/A
45756.00000000
NS
-331923.71000000
-0.03684518374
Short
EC
CORP
GB
N
2
N
N
N
Staples Inc
XQM2JINI1UL7642TU573
Staples Inc
855030AP7
2048000.00000000
PA
USD
1960345.60000000
0.217608117929
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
10.75000000
N
N
N
N
N
N
nVent Electric PLC
N/A
nVent Electric PLC
G6700G107
3185.00000000
NS
USD
76471.85000000
0.008488755938
Long
EC
CORP
GB
N
1
N
N
N
Cheniere Energy Inc
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411R208
5892.00000000
NS
USD
-302200.68000000
-0.03354577948
Short
EC
CORP
US
N
1
N
N
N
Kaufman & Broad SA
969500CE0X343D8ALO86
Kaufman & Broad SA
N/A
3486.00000000
NS
140890.22000000
0.015639515608
Long
EC
CORP
FR
N
2
N
N
N
Ipsen SA
549300M6SGDPB4Z94P11
Ipsen SA
N/A
898.00000000
NS
58701.91000000
0.006516204160
Long
EC
CORP
FR
N
2
N
N
N
Aimmune Therapeutics Inc
549300WDF7T2EVBC1877
Aimmune Therapeutics Inc
00900T107
1948.00000000
NS
USD
46381.88000000
0.005148619515
Long
EC
CORP
US
N
1
N
N
N
Nissan Chemical Corp
3538002E4L1CUGJFFU25
Nissan Chemical Corp
N/A
12400.00000000
NS
520787.11000000
0.057809961084
Long
EC
CORP
JP
N
2
N
N
N
Jacobs Engineering Group Inc
549300CZ8QS1GE53O776
Jacobs Engineering Group Inc
469814107
8880.00000000
NS
USD
819979.20000000
0.091021772106
Long
EC
CORP
US
N
1
N
N
N
Ally Auto Receivables Trust 2019-4
N/A
Ally Auto Receivables Trust 2019-4
02007TAC9
705000.00000000
PA
USD
712319.59000000
0.079071019591
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
1.84000000
N
N
N
N
N
N
Incyte Corp
549300Z4WN6JVZ3T4680
Incyte Corp
45337C102
8200.00000000
NS
USD
618362.00000000
0.068641259489
Long
EC
CORP
US
N
1
N
N
N
York CLO-2 Ltd
5493009C48K5WG4EX118
York CLO-2 Ltd
98625TAN5
250000.00000000
PA
USD
242450.00000000
0.026913156635
Long
ABS-O
CORP
KY
N
2
2031-01-22
Floating
3.65000000
N
N
N
N
N
N
Unum Group
549300E32YFDO6TZ8R31
Unum Group
91529Y106
462.00000000
NS
USD
10769.22000000
0.001195437016
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
212.00000000
NC
USD
282715.52000000
0.031382829750
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
US 2 Year Note; June 2020
2020-07-01
46285562.71000000
USD
282715.52000000
N
N
N
Allegro CLO VI Ltd
635400AREEXNEGDZE419
Allegro CLO VI Ltd
01749BAD1
250000.00000000
PA
USD
239475.00000000
0.026582916829
Long
ABS-O
CORP
KY
N
2
2031-01-17
Floating
4.59000000
N
N
N
N
N
N
People's United Financial Inc
ROPY7PEPIPIDJNF0BO69
People's United Financial Inc
712704105
3412.00000000
NS
USD
-47733.88000000
-0.00529869824
Short
EC
CORP
US
N
1
N
N
N
MTN Mauritius Investments Ltd
2549009PQD415OQIR074
MTN Mauritius Investments Ltd
N/A
2610000.00000000
PA
USD
2707875.00000000
0.300587601664
Long
DBT
CORP
MU
N
2
2022-02-13
Fixed
5.37000000
N
N
N
N
N
N
Kontoor Brands Inc
549300M0CPXV65RFF271
Kontoor Brands Inc
50050N103
2722.00000000
NS
USD
91840.28000000
0.010194728154
Long
EC
CORP
US
N
1
N
N
N
Exact Sciences Corp
549300VM3X1FYD4N9Z14
Exact Sciences Corp
30063P105
1165.00000000
NS
USD
-94306.75000000
-0.01046851859
Short
EC
CORP
US
N
1
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441C204
529.00000000
NS
USD
-48509.30000000
-0.00538477372
Short
EC
CORP
US
N
1
N
N
N
Carlyle Global Market Strategies Euro CLO 2015-1 Ltd
6354009FNKUUSW6DCK80
Carlyle Global Market Strategies Euro CLO 2015-1 Ltd
BCC2MQPX5
882000.00000000
PA
939603.02000000
0.104300611475
Long
ABS-O
CORP
IE
N
2
2033-01-16
Floating
5.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C12
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C12
46639NAC5
932000.00000000
PA
USD
887339.31000000
0.098499079557
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Variable
4.10000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swaps
N/A
3184000.00000000
OU
Notional Amount
USD
1987124.85000000
0.220580747955
N/A
DCR
N/A
N
2
ICE
N/A
Argentine Republic Government International Bond, 7.50%, 04/22/2026
Argentine Republic Government International Bond, 7.50%, 04/22/2026
Y
Payout of notional amount upon default event with regard to the reference instrument
2023-06-20
1639364.60000000
USD
0.00000000
USD
3184000.00000000
USD
347760.25000000
N
N
N
Celanese Corp
549300FHJQTDPPN41627
Celanese Corp
150870103
4275.00000000
NS
USD
400738.50000000
0.044483967911
Long
EC
CORP
US
N
1
N
N
N
Toyota Tsusho Corp
549300CEE2ENIUJNXB84
Toyota Tsusho Corp
N/A
4100.00000000
NS
123205.79000000
0.013676455865
Long
EC
CORP
JP
N
2
N
N
N
Wienerberger AG
529900VXIFBHO0SW2I31
Wienerberger AG
N/A
6846.00000000
NS
175262.24000000
0.019454980892
Long
EC
CORP
AT
N
2
N
N
N
N/A
N/A
Repurchase Agreement
N/A
22468897.50000000
PA
USD
22468897.50000000
2.494159446641
Long
RA
US
N
2
Repurchase
N
1.60000000
2020-03-02
22274000.00000000
USD
22775365.85000000
USD
UST
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
Walt Disney Co/The
254687106
6892.00000000
NS
USD
-810843.80000000
-0.09000769724
Short
EC
CORP
US
N
1
N
N
N
Medifast Inc
5299000YHQJ21T5KKI80
Medifast Inc
58470H101
930.00000000
NS
USD
77292.30000000
0.008579829971
Long
EC
CORP
US
N
1
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027X100
3605.00000000
NS
USD
817614.00000000
0.090759223135
Long
EC
CORP
US
N
1
N
N
N
Hostess Brands Inc
N/A
Hostess Brands Inc
44109J106
6318.00000000
NS
USD
80301.78000000
0.008913897229
Long
EC
CORP
US
N
1
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
Export-Import Bank of Korea
302154CX5
650000.00000000
PA
USD
653077.17000000
0.072494816131
Long
DBT
NUSS
KR
N
2
2022-06-25
Floating
2.47000000
N
N
N
N
N
N
Csail 2015-C2 Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
Csail 2015-C2 Commercial Mortgage Trust
12634NBA5
2184000.00000000
PA
USD
2006067.55000000
0.222683481930
Long
ABS-MBS
CORP
US
N
2
2057-06-15
Variable
4.19000000
N
N
N
N
N
N
Huntington Bancshares Inc/OH
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150104
20070.00000000
NS
USD
-246258.90000000
-0.02733596349
Short
EC
CORP
US
N
1
N
N
N
SUMCO Corp
353800SUSRUOM0V6KU92
SUMCO Corp
N/A
5900.00000000
NS
-89337.71000000
-0.00991693042
Short
EC
CORP
JP
N
2
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816109
7869.00000000
NS
USD
865039.17000000
0.096023653032
Long
EC
CORP
US
N
1
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604103
26227.00000000
NS
USD
-285349.76000000
-0.03167524350
Short
EC
CORP
US
N
1
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0ET2
217921.54000000
PA
USD
219259.64000000
0.024338911260
Long
ABS-MBS
CORP
US
N
2
2027-10-25
Floating
3.48000000
N
N
N
N
N
N
Cabot Oil & Gas Corp
FCNMH6O7VWU7LHXMK351
Cabot Oil & Gas Corp
127097103
1037.00000000
NS
USD
14445.41000000
0.001603512402
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
41.00000000
NC
USD
459637.00000000
0.051021994540
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
LME Zinc; March 2020
2020-03-17
2063325.00000000
USD
459637.00000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-74689.47000000
-0.00829090288
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
3100000.00000000
EUR
3350188.91000000
USD
2020-03-16
-74689.47000000
N
N
N
Yaskawa Electric Corp
3538003K39GR98R0CK58
Yaskawa Electric Corp
N/A
13600.00000000
NS
-423686.13000000
-0.04703126904
Short
EC
CORP
JP
N
2
N
N
N
Regency Centers Corp
529900053A7X7FJ97S58
Regency Centers Corp
758849103
5820.00000000
NS
USD
-334300.80000000
-0.03710905256
Short
EC
CORP
US
N
1
N
N
N
Progress Residential 2017-SFR2 Trust
N/A
Progress Residential 2017-SFR2 Trust
74333KAJ7
100000.00000000
PA
USD
101501.76000000
0.011267200518
Long
ABS-O
CORP
US
N
2
2034-12-17
Fixed
4.14000000
N
N
N
N
N
N
Westinghouse Air Brake Technologies Corp
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
929740108
218.00000000
NS
USD
14976.60000000
0.001662477136
Long
EC
CORP
US
N
1
N
N
N
Zoom Video Communications Inc
549300T9GCHU0ODOM055
Zoom Video Communications Inc
98980L101
658.00000000
NS
USD
69090.00000000
0.007669333849
Long
EC
CORP
US
N
1
N
N
N
Southcross Holdings
N/A
Southcross Holdings
N/A
388623.00000000
NS
USD
38862.30000000
0.004313908711
Long
EC
CORP
US
N
3
N
N
N
Marriott International Inc/MD
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571900BA6
845000.00000000
PA
USD
849227.98000000
0.094268532253
Long
DBT
CORP
US
N
2
2021-03-08
Floating
2.54000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
7687.20000000
0.000853317457
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
900000.00000000
CAD
678260.58000000
USD
2020-03-18
7687.20000000
N
N
N
Wynn Macau Ltd
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
N/A
9600.00000000
NS
19938.06000000
0.002213223888
Long
EC
CORP
MO
N
2
N
N
N
Ocado Group PLC
213800LO8F61YB8MBC74
Ocado Group PLC
N/A
14797.00000000
NS
-204986.26000000
-0.02275449504
Short
EC
CORP
GB
N
2
N
N
N
Hormel Foods Corp
MSD54751OJP1FS2ND863
Hormel Foods Corp
440452100
12876.00000000
NS
USD
-535641.60000000
-0.05945888340
Short
EC
CORP
US
N
1
N
N
N
Woodward Inc
YPYKXXTR8TFDH54ZMB45
Woodward Inc
980745103
14372.00000000
NS
USD
1483190.40000000
0.164641516003
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
8951.89000000
0.000993704342
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
1399999.98000000
USD
9835574.67000000
CNY
2020-03-18
8951.89000000
N
N
N
Invitation Homes 2018-SFR1 Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAJ7
469935.77000000
PA
USD
470378.31000000
0.052214333408
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
3.66000000
N
N
N
N
N
N
AO Smith Corp
549300XG4US7UJNECY36
AO Smith Corp
831865209
3721.00000000
NS
USD
147165.55000000
0.016336108469
Long
EC
CORP
US
N
1
N
N
N
Allegiance Bancshares Inc
N/A
Allegiance Bancshares Inc
01748H107
2066.00000000
NS
USD
68529.22000000
0.007607084479
Long
EC
CORP
US
N
1
N
N
N
United Rentals Inc
5323X5O7RN0NKFCDRY08
United Rentals Inc
911363109
3306.00000000
NS
USD
437978.88000000
0.048617835431
Long
EC
CORP
US
N
1
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WDF7
855000.00000000
PA
USD
866271.13000000
0.096160406724
Long
DBT
CORP
US
N
2
2021-01-28
Fixed
2.95000000
N
N
N
N
N
N
Carter's Inc
5299003WAQK4R3L3ZU36
Carter's Inc
146229109
1554.00000000
NS
USD
142144.38000000
0.015778733610
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
83304.32000000
0.009247194112
N/A
DFE
N/A
N
2
Bank of New York Mellon
N/A
3100000.00000000
GBP
4062050.59000000
USD
2020-04-17
83304.32000000
N
N
N
Halma PLC
2138007FRGLUR9KGBT40
Halma PLC
N/A
8736.00000000
NS
219543.06000000
0.024370372291
Long
EC
CORP
GB
N
2
N
N
N
Bayerische Motoren Werke AG
YEH5ZCD6E441RHVHD759
Bayerische Motoren Werke AG
N/A
256.00000000
NS
-16891.55000000
-0.00187504611
Short
EC
CORP
DE
N
2
N
N
N
Take-Two Interactive Software Inc
BOMSTHHJK882EWYX3334
Take-Two Interactive Software Inc
874054109
7065.00000000
NS
USD
759346.20000000
0.084291207345
Long
EC
CORP
US
N
1
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89171YAN1
234373.45950000
PA
USD
235018.13000000
0.026088182077
Long
ABS-O
CORP
US
N
2
2060-11-25
Variable
2.50000000
N
N
N
N
N
N
Exact Sciences Corp
549300VM3X1FYD4N9Z14
Exact Sciences Corp
30063P105
2212.00000000
NS
USD
179061.40000000
0.019876706560
Long
EC
CORP
US
N
1
N
N
N
PulteGroup Inc
N/A
PulteGroup Inc
745867101
7259.00000000
NS
USD
291811.80000000
0.032392562101
Long
EC
CORP
US
N
1
N
N
N
AIG CLO 2018-1 Ltd
549300BOP4S1F44PKE29
AIG CLO 2018-1 Ltd
00140QAA1
2640000.00000000
PA
USD
2445300.00000000
0.271440469870
Long
ABS-O
CORP
KY
N
2
2032-01-20
Floating
8.27000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8370000.00000000
OU
Notional Amount
46571.75000000
0.005169696030
N/A
DIR
N/A
N
2
Bank of America NA
N/A
N/A
China Foreign Exchange Trade System Fixing Repo Rates 7 Day
Y
2022-09-08
0.00000000
USD
0.00000000
USD
8370000.00000000
CNY
46571.75000000
N
N
N
PVH Corp
123WALMHY1GZXG2YDL90
PVH Corp
693656100
413.00000000
NS
USD
-30607.43000000
-0.00339757705
Short
EC
CORP
US
N
1
N
N
N
LIXIL Group Corp
353800KB8G4F9WUJJ886
LIXIL Group Corp
N/A
26700.00000000
NS
397691.66000000
0.044145753508
Long
EC
CORP
JP
N
2
N
N
N
T Rowe Price Group Inc
549300SIV6FPS9Y7IH33
T Rowe Price Group Inc
74144T108
5707.00000000
NS
USD
673483.07000000
0.074759972588
Long
EC
CORP
US
N
1
N
N
N
Atlas Copco AB - A Shares
213800T8PC8Q4FYJZR07
Atlas Copco AB - A Shares
N/A
5442.00000000
NS
194034.19000000
0.021538760767
Long
EC
CORP
SE
N
2
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBU9
675000.00000000
PA
USD
698997.47000000
0.077592197969
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
3.40000000
N
N
N
N
N
N
Natus Medical Inc
549300ZW3JLSJGT2D838
Natus Medical Inc
639050103
2437.00000000
NS
USD
65506.56000000
0.007271554175
Long
EC
CORP
US
N
1
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216100
8374.00000000
NS
USD
447925.26000000
0.049721933113
Long
EC
CORP
US
N
1
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505104
10879.00000000
NS
USD
310051.50000000
0.034417259577
Long
EC
CORP
US
N
1
N
N
N
St James's Place PLC
213800M993ICXOMBCP87
St James's Place PLC
N/A
37280.00000000
NS
-494290.19000000
-0.05486867109
Short
EC
CORP
GB
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-1198.37000000
-0.00013302503
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
420000.00000000
EUR
463596.00000000
USD
2020-04-14
-1198.37000000
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140100
26302.00000000
NS
USD
1460287.04000000
0.162099129057
Long
EC
CORP
US
N
1
N
N
N
Mylan NV
549300A0CD4KNFGIIS89
Mylan NV
N59465109
9093.00000000
NS
USD
156308.67000000
0.017351040293
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
26756.97000000
0.002970156835
N/A
DFE
N/A
N
2
Bank of America NA
N/A
2085015.67000000
USD
1911000.00000000
EUR
2020-03-20
26756.97000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
USD
-44.91000000
-0.00000498523
N/A
DE
N/A
N
1
NYSE
N/A
Call
Written
Verizon Communications Inc
Verizon Communications Inc
1.00000000
60.00000000
USD
2020-04-20
XXXX
26.80000000
N
N
N
Wendy's Funding LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAH1
84575.00000000
PA
USD
88857.03000000
0.009863572557
Long
ABS-O
CORP
US
N
2
2049-06-15
Fixed
4.08000000
N
N
N
N
N
N
Interpump Group SpA
815600C79D0F31F4D395
Interpump Group SpA
N/A
5309.00000000
NS
160728.26000000
0.017841636779
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-37940.09000000
-0.00421153881
N/A
DFE
N/A
N
2
Merrill Lynch
N/A
743867.97000000
USD
10293645000.00000000
IDR
2020-04-14
-37940.09000000
N
N
N
2020-04-03
Principal Funds, Inc
Sara Reece
/s/ Sara Reece
Vice President and Controller