0001752724-22-169813.txt : 20220728
0001752724-22-169813.hdr.sgml : 20220728
20220728153538
ACCESSION NUMBER: 0001752724-22-169813
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220531
FILED AS OF DATE: 20220728
DATE AS OF CHANGE: 20220728
PERIOD START: 20220531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INVESTMENTS TRUST
CENTRAL INDEX KEY: 0000939934
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07257
FILM NUMBER: 221114969
BUSINESS ADDRESS:
STREET 1: 1 FREEDOM VALLEY DRIVE
CITY: OAK
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610 676-3097
MAIL ADDRESS:
STREET 1: 1 FREEDOM VALLEY DRIVE
CITY: OAK
STATE: PA
ZIP: 19456
0000939934
S000033123
SIIT Multi-Asset Real Return Fund
C000102014
SIIT Multi-Asset Real Return Fund - Class A
SEIAX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000939934
XXXXXXXX
S000033123
C000102014
SEI INSTITUTIONAL INVESTMENTS TRUST
811-07257
0000939934
0N2JSH1PTH72JCCP2A88
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIIT MULTI-ASSET REAL RETURN FUND
S000033123
RLBJSW7LJOPG225GSL87
2022-05-31
2022-05-31
N
1060562428.00
272883232.15
787679195.85
0.00000000
144437329.33000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
119104513.87000000
USD
N
N/A
N/A
Credit Default Swap
CDS316815
-26058.84460000
NC
USD
-5999.35000000
-0.00076164890
N/A
DCR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2049-12-31
0.00000000
USD
-1299.29000000
USD
-26058.84460000
USD
-4700.06000000
N
N
N
BBCMS TRUST
N/A
BBCMS 2020-BID MORTGAGE TRUST BBCMS 2020-BID A
05493BAA6
710000.00000000
PA
USD
701443.01000000
0.089051864476
Long
ABS-MBS
US
Y
2
2037-10-15
Floating
3.01500000
N
N
N
N
N
N
PAR PACIFIC HOLDINGS, INC.
549300BTNS7MHSHRLR55
PAR PACIFIC HOLDINGS INC COMMON STOCK
69888T207
2977.00000000
NS
USD
48822.80000000
0.006198310207
Long
EC
US
N
1
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2010-C1 MORTGAGE TRUST COMM 2010-C1 D
12622DAK0
675945.14160000
PA
USD
670526.56000000
0.085126859200
Long
ABS-MBS
US
N
2
2046-07-10
Floating
5.75207280
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-07-21
N/A
1.00000000
NC
USD
70340.48000000
0.008930092399
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
7245469.99000000
CAD
5797767.92000000
USD
2022-07-21
70340.48000000
N
N
N
MIDDLESEX WATER COMPANY
N/A
MIDDLESEX WATER CO COMMON STOCK
596680108
200.00000000
NS
USD
17006.00000000
0.002159000782
Long
EC
US
N
1
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) SEP22 FINANCIAL COMMODITY FUTURE.
N/A
-107.00000000
NC
USD
-22587867.19000000
-2.86764806141
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Sep 2022
2022-10-03
-22571376.39000000
USD
-16490.80000000
N
N
N
HUBSPOT, INC.
529900BLNVEW0MVKJB37
HUBSPOT INC COMMON STOCK
443573100
100.00000000
NS
USD
33769.00000000
0.004287151441
Long
EC
US
N
1
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
ROYALTY PHARMA PLC- CL A COMMON STOCK
G7709Q104
2100.00000000
NS
USD
86394.00000000
0.010968170856
Long
EC
US
N
1
N
N
N
NUVASIVE, INC.
549300C5ZB4NZ6TWM881
NUVASIVE INC COMMON STOCK
670704105
400.00000000
NS
USD
22964.00000000
0.002915400091
Long
EC
US
N
1
N
N
N
ROKU, INC.
549300KR6ITU0YIR1T71
ROKU INC COMMON STOCK
77543R102
863.00000000
NS
USD
81898.70000000
0.010397468973
Long
EC
US
N
1
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 4.050000% 03/15/2032
03027XBW9
104000.00000000
PA
USD
97957.24000000
0.012436184745
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STACR REMIC TRUST 2021-DNA5 STACR 2021-DNA5 M2
35564KHE2
253702.57590000
PA
USD
248073.60000000
0.031494242999
Long
DBT
USGA
US
N
2
2034-01-25
Floating
2.23445880
N
N
N
N
N
N
NEW JERSEY RESOURCES CORPORATION
549300QKBSQBIX4DQ583
NEW JERSEY RESOURCES CORP COMMON STOCK
646025106
1300.00000000
NS
USD
59696.00000000
0.007578719904
Long
EC
US
N
1
N
N
N
INSTALLED BUILDING PRODUCTS, INC.
549300I95Y9P9YM5FI86
INSTALLED BUILDING PRODUCTS COMMON STOCK
45780R101
-522.00000000
NS
USD
-49871.88000000
-0.00633149640
Short
EC
US
N
1
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 COMMON STOCK
718546104
15664.00000000
NS
USD
1579087.84000000
0.200473472997
Long
EC
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION 30YR TBA JUN
01F022667
5956000.00000000
PA
USD
5480915.91000000
0.695830985365
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
2.50000000
N
N
N
N
N
N
TAKE-TWO INTERACTIVE SOFTWARE, INC.
BOMSTHHJK882EWYX3334
TAKE-TWO INTERACTIVE SOFTWRE COMMON STOCK
874054109
1522.00000000
NS
USD
189534.66000000
0.024062417923
Long
EC
US
N
1
N
N
N
HELMERICH & PAYNE, INC.
254900NAOGHJ88RZ4C73
HELMERICH & PAYNE COMMON STOCK
423452101
3712.00000000
NS
USD
186899.20000000
0.023727832470
Long
EC
US
N
1
N
N
N
VISTEON CORPORATION
549300MOVLYHRW4GGW78
VISTEON CORP COMMON STOCK
92839U206
-1227.00000000
NS
USD
-137681.67000000
-0.01747940922
Short
EC
US
N
1
N
N
N
CDW CORPORATION
9845001B052ABF0B6755
CDW CORP/DE COMMON STOCK
12514G108
-583.00000000
NS
USD
-99028.38000000
-0.01257217157
Short
EC
US
N
1
N
N
N
N/A
N/A
LME ZINC FUTURE SEP22 PHYSICAL COMMODITY FUTURE.
N/A
14.00000000
NC
USD
1370250.00000000
0.173960415257
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Zinc
Zinc Special Grade Composite Commodity Future Sep 2022
2022-09-22
1312621.94000000
USD
57628.06000000
N
N
N
Azenta, Inc.
35ZN6X1ANPH25YN32Y17
AZENTA INC COMMON STOCK
114340102
1100.00000000
NS
USD
84304.00000000
0.010702834408
Long
EC
US
N
1
N
N
N
THE KRAFT HEINZ COMPANY
N/A
KRAFT HEINZ CO/THE COMMON STOCK
500754106
16041.00000000
NS
USD
606831.03000000
0.077040378011
Long
EC
US
N
1
N
N
N
NEXTIER OILFIELD SOLUTIONS INC.
529900L27H2D4QT0IT24
NEXTIER OILFIELD SOLUTIONS I COMMON STOCK
65290C105
8900.00000000
NS
USD
97010.00000000
0.012315927665
Long
EC
US
N
1
N
N
N
AVALONBAY COMMUNITIES, INC.
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUNITIES INC REIT
053484101
2231.00000000
NS
USD
463958.76000000
0.058901994929
Long
EC
US
N
1
N
N
N
BIOGEN INC.
W8J5WZB5IY3K0NDQT671
BIOGEN INC COMMON STOCK
09062X103
1577.00000000
NS
USD
315400.00000000
0.040041682154
Long
EC
US
N
1
N
N
N
PARK HOTELS & RESORTS INC.
5493005UZ5TQN0H6HS73
PARK HOTELS & RESORTS INC REIT
700517105
3709.00000000
NS
USD
66984.54000000
0.008504038237
Long
EC
US
N
1
N
N
N
WEIS MARKETS, INC.
N/A
WEIS MARKETS INC COMMON STOCK
948849104
1200.00000000
NS
USD
88224.00000000
0.011200498942
Long
EC
US
N
1
N
N
N
N/A
N/A
BRENT CRUDE FUTR NOV22 PHYSICAL COMMODITY FUTURE.
N/A
10.00000000
NC
USD
1076700.00000000
0.136692705059
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Crude Oil
BRENT CRUDE OIL(ICE) Nov 2022
2022-10-03
1043626.19000000
USD
33073.81000000
N
N
N
N/A
N/A
SUGAR #11 (WORLD) OCT22 PHYSICAL COMMODITY FUTURE.
N/A
25.00000000
NC
USD
547960.00000000
0.069566392369
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Sugar
Sugar #11 World Future Oct 2022
2022-10-03
553082.50000000
USD
-5122.50000000
N
N
N
NATIONAL VISION HOLDINGS, INC.
549300JHURCBLI5ROA42
NATIONAL VISION HOLDINGS INC COMMON STOCK
63845R107
-700.00000000
NS
USD
-19698.00000000
-0.00250076428
Short
EC
US
N
1
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 5.300000% MATURITY: PERPETUAL
902973AZ9
408000.00000000
PA
USD
376463.31000000
0.047793989226
Long
DBT
CORP
US
N
2
2171-04-15
Fixed
5.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-89 KI
3136BCF21
3542308.90200000
PA
USD
662790.44000000
0.084144718242
Long
DBT
USGA
US
N
2
2050-12-25
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-07-21
N/A
1.00000000
NC
USD
-7651.80000000
-0.00097143609
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
7664651.58000000
AUD
5493501.06000000
USD
2022-07-21
-7651.80000000
N
N
N
DELEK US HOLDINGS, INC.
5493003O53JMENV1N385
DELEK US HOLDINGS INC COMMON STOCK
24665A103
2782.00000000
NS
USD
81123.12000000
0.010299005029
Long
EC
US
N
1
N
N
N
THE CHEMOURS COMPANY
549300M1BOLNXL8DOV14
CHEMOURS CO/THE COMMON STOCK
163851108
-1900.00000000
NS
USD
-81871.00000000
-0.01039395231
Short
EC
US
N
1
N
N
N
LB-UBS COMMERCIAL MORTGAGE TRUST
N/A
LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C6 LBUBS 2006-C6 AJ
50179MAH4
84382.63560000
PA
USD
35117.76000000
0.004458383588
Long
ABS-MBS
US
N
2
2039-09-15
Fixed
5.45200000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP COMMON STOCK
125523100
2853.00000000
NS
USD
765431.37000000
0.097175521967
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORP MTN VARIABLE RATE 08/05/2022
3134GTS87
2500000.00000000
PA
USD
2500572.83000000
0.317460819477
Long
DBT
USGA
US
N
2
2022-08-05
Floating
0.91000080
N
N
N
N
N
N
ATLASSIAN CORPORATION PLC
549300AGBII4MWBVJY22
ATLASSIAN CORP PLC-CLASS A COMMON STOCK
G06242104
622.00000000
NS
USD
110293.04000000
0.014002279174
Long
EC
US
N
1
N
N
N
VICI PROPERTIES INC.
254900RKH6RY9KCJQH63
VICI PROPERTIES INC REIT
925652109
9070.00000000
NS
USD
279809.50000000
0.035523281746
Long
EC
US
N
1
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
ALTICE FRANCE SA/FRANCE 3.375000% 01/15/2028
N/A
112000.00000000
PA
100619.91000000
0.012774224650
Long
DBT
NUSS
FR
N
2
2028-01-15
Fixed
3.37500000
N
N
N
N
N
N
SILGAN HOLDINGS INC.
KAF673KJXD92C8KSLU49
SILGAN HOLDINGS INC COMMON STOCK
827048109
-2000.00000000
NS
USD
-87620.00000000
-0.01112381797
Short
EC
US
N
1
N
N
N
N/A
N/A
WHEAT FUTURE(CBT) JUL22 PHYSICAL COMMODITY FUTURE.
N/A
6.00000000
NC
USD
326250.00000000
0.041419146489
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Wheat
Wheat Future (CBT) Jul 2022
2022-07-17
333079.40000000
USD
-6829.40000000
N
N
N
ENTEGRIS, INC.
IYX6OWO7BT5DKO3BYG52
ENTEGRIS INC COMMON STOCK
29362U104
-500.00000000
NS
USD
-55480.00000000
-0.00704347661
Short
EC
US
N
1
N
N
N
Americold Realty Trust Inc
N/A
AMERICOLD REALTY TRUST INC COMMON STOCK
03064D108
3783.00000000
NS
USD
104751.27000000
0.013298722443
Long
EC
US
N
1
N
N
N
WHIRLPOOL CORPORATION
WHENKOULSSK7WUM60H03
WHIRLPOOL CORP COMMON STOCK
963320106
-2070.00000000
NS
USD
-381376.80000000
-0.04841778251
Short
EC
US
N
1
N
N
N
LIMA METRO LINE 2 FINANCE LIMITED
5493009BVQNQT1UKQ352
LIMA METRO LINE 2 FINANCE LTD 5.875000% 07/05/2034
G54897AA4
231286.01200000
PA
USD
230999.22000000
0.029326561018
Long
DBT
NUSS
PE
N
2
2034-07-05
Fixed
5.87500000
N
N
N
N
N
N
BRISTOW GROUP INC.
5493005Q24EN3UC1PV68
BRISTOW GROUP INC COMMON STOCK
11040G103
1500.00000000
NS
USD
47685.00000000
0.006053860537
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS894577
-480740.87350000
NC
USD
-110677.73000000
-0.01405111758
N/A
DCR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2063-05-11
0.00000000
USD
-55626.70000000
USD
-480740.87350000
USD
-55051.03000000
N
N
N
Coursera Inc
N/A
COURSERA INC COMMON STOCK
22266M104
-1500.00000000
NS
USD
-25365.00000000
-0.00322021961
Short
EC
US
N
1
N
N
N
CHIPOTLE MEXICAN GRILL, INC.
N/A
CHIPOTLE MEXICAN GRILL INC COMMON STOCK
169656105
-582.00000000
NS
USD
-816284.10000000
-0.10363154242
Short
EC
US
N
1
N
N
N
NEXTGEN HEALTHCARE, INC.
N/A
NEXTGEN HEALTHCARE INC COMMON STOCK
65343C102
2384.00000000
NS
USD
43174.24000000
0.005481195926
Long
EC
US
N
1
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.102000% 02/24/2033
38141GZM9
93000.00000000
PA
USD
82639.20000000
0.010491479327
Long
DBT
CORP
US
N
2
2033-02-24
Fixed
3.10200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY FRN VARIABLE RATE 07/31/2022
91282CAA9
2000000.00000000
PA
USD
2000655.68000000
0.253993718577
Long
SN
UST
US
N
2
2022-07-31
Floating
1.11784680
N
N
N
N
N
N
TESLA, INC.
54930043XZGB27CTOV49
TESLA INC COMMON STOCK
88160R101
-6842.00000000
NS
USD
-5188014.92000000
-0.65864567038
Short
EC
US
N
1
N
N
N
BALCHEM CORPORATION
549300VR70OPMHUI3557
BALCHEM CORP COMMON STOCK
057665200
-400.00000000
NS
USD
-49772.00000000
-0.00631881611
Short
EC
US
N
1
N
N
N
TENGIZCHEVROIL FINANCE COMPANY INTERNATIONAL LTD.
5493001VEV2XTJIBZH31
TENGIZCHEVROIL FINANCE CO INTERNATIONAL LTD 144A 3.250000% 08/15/2030
88034QAC1
255000.00000000
PA
USD
204124.95000000
0.025914731666
Long
DBT
NUSS
KZ
N
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
MESA LABORATORIES, INC.
549300ZCG738WLX8ZW79
MESA LABORATORIES INC COMMON STOCK
59064R109
98.00000000
NS
USD
20506.50000000
0.002603407593
Long
EC
US
N
1
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MATURITY: PERPETUAL
46625HHA1
291000.00000000
PA
USD
285323.71000000
0.036223339590
Long
DBT
CORP
US
N
2
2170-10-30
Floating
4.70886120
N
N
N
N
N
N
NELNET PRIVATE EDUCATION LOAN TRUST
N/A
NELNET STUDENT LOAN TRUST 2021-D NSLT 2021-DA AFX
64034YAB7
234828.70120000
PA
USD
221232.61000000
0.028086638718
Long
ABS-MBS
US
Y
2
2062-04-20
Fixed
1.63000000
N
N
N
N
N
N
Biohaven Pharmaceutical Holding Company Ltd
5299007STZTNN32O9920
BIOHAVEN PHARMACEUTICAL HOLD COMMON STOCK
G11196105
500.00000000
NS
USD
71865.00000000
0.009123638199
Long
EC
US
N
1
N
N
N
CPS AUTO RECEIVABLES TRUST
N/A
CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A C
12659WAE8
600000.00000000
PA
USD
570753.06000000
0.072460090733
Long
ABS-MBS
US
Y
2
2029-04-16
Fixed
2.17000000
N
N
N
N
N
N
PAYCHEX, INC.
529900K900DW6SUBM174
PAYCHEX INC COMMON STOCK
704326107
871.00000000
NS
USD
107855.93000000
0.013692875293
Long
EC
US
N
1
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 2.871000% 04/19/2032
09659W2P8
687000.00000000
PA
USD
585452.32000000
0.074326238789
Long
DBT
NUSS
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD.
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD COMMON STOCK
V7780T103
-4613.00000000
NS
USD
-267876.91000000
-0.03400837693
Short
EC
US
N
1
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK VARIABLE RATE 05/08/2023
3133ELYS7
7400000.00000000
PA
USD
7425253.09000000
0.942674775355
Long
DBT
USGA
US
N
2
2023-05-08
Floating
1.15999920
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP - CLASS B COMMON STOCK
35137L204
-1500.00000000
NS
USD
-49065.00000000
-0.00622905876
Short
EC
US
N
1
N
N
N
CORN FUTURE JUL22
N/A
CORN FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-13.00000000
NC
USD
-489775.00000000
-0.06217950183
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
N/A
N/A
2022-07-17
-505987.86000000
USD
16212.86000000
N
N
N
EQUINIX, INC.
549300EVUN2BTLJ3GT74
EQUINIX INC REIT
29444U700
1343.00000000
NS
USD
922761.87000000
0.117149453084
Long
EC
US
N
1
N
N
N
TOPBUILD CORP.
5493007YSKHOL4RWII46
TOPBUILD CORP COMMON STOCK
89055F103
-1081.00000000
NS
USD
-213238.06000000
-0.02707168871
Short
EC
US
N
1
N
N
N
N/A
N/A
SOYBEAN OIL FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-36.00000000
NC
USD
-1683072.00000000
-0.21367480680
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Soybean Oil
Soybean Oil Future Jul 2022
2022-07-17
-1742939.96000000
USD
59867.96000000
N
N
N
SBA Communications Corporation
5299001HX8ZN8Y8QIT49
SBA COMMUNICATIONS CORP REIT
78410G104
1675.00000000
NS
USD
563821.75000000
0.071580124620
Long
EC
US
N
1
N
N
N
AVANTOR, INC.
N/A
AVANTOR INC COMMON STOCK
05352A100
4694.00000000
NS
USD
150395.76000000
0.019093529547
Long
EC
US
N
1
N
N
N
Swiss Re Finance (Luxembourg) S.A.
549300CLQZ6TM98LW631
SWISS RE FINANCE LUXEMBOURG SA 5.000000% 04/02/2049
N/A
400000.00000000
PA
USD
392000.00000000
0.049766453407
Long
DBT
NUSS
CH
N
2
2049-04-02
Fixed
5.00000000
N
N
N
N
N
N
DORMAN PRODUCTS, INC.
N/A
DORMAN PRODUCTS INC COMMON STOCK
258278100
-1980.00000000
NS
USD
-200079.00000000
-0.02540107712
Short
EC
US
N
1
N
N
N
UNIVERSAL CORPORATION
549300BZXZ66F6DTIF20
UNIVERSAL CORP/VA COMMON STOCK
913456109
900.00000000
NS
USD
57312.00000000
0.007276058616
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 08/11/2022
912796L64
7000000.00000000
PA
USD
6985711.25000000
0.886872636322
Long
DBT
UST
US
N
2
2022-08-11
None
0.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON, INC.
ZDNAWZWXIKMWI51R2A08
HARLEY-DAVIDSON INC COMMON STOCK
412822108
-9574.00000000
NS
USD
-336813.32000000
-0.04276021529
Short
EC
US
N
1
N
N
N
Oleoducto Central S.A
254900W4CPYCQFVH5E92
OLEODUCTO CENTRAL SA 144A 4.000000% 07/14/2027
680617AC1
235000.00000000
PA
USD
211500.00000000
0.026851032896
Long
DBT
NUSS
CO
N
2
2027-07-14
Fixed
4.00000000
N
N
N
N
N
N
DT MIDSTREAM, INC.
N/A
DT MIDSTREAM INC COMMON STOCK
23345M107
3471.00000000
NS
USD
201665.10000000
0.025602440823
Long
EC
US
N
1
N
N
N
QUANTUMSCAPE CORPORATION
N/A
QUANTUMSCAPE CORP COMMON STOCK
74767V109
-13146.00000000
NS
USD
-168137.34000000
-0.02134591606
Short
EC
US
N
1
N
N
N
GILEAD SCIENCES, INC.
549300WTZWR07K8MNV44
GILEAD SCIENCES INC COMMON STOCK
375558103
10425.00000000
NS
USD
676061.25000000
0.085829517087
Long
EC
US
N
1
N
N
N
OMNICELL, INC.
5493008RH0GTKHHPZI77
OMNICELL INC COMMON STOCK
68213N109
250.00000000
NS
USD
27790.00000000
0.003528086071
Long
EC
US
N
1
N
N
N
HOST HOTELS & RESORTS, L.P.
FXB7X4WXVA8QPMNOGS12
HOST HOTELS & RESORTS LP 3.500000% 09/15/2030
44107TAZ9
131000.00000000
PA
USD
116862.07000000
0.014836251943
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 2.188000% 04/30/2026
95000U2N2
420000.00000000
PA
USD
399425.22000000
0.050709123981
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
ACADIA REALTY TRUST
N/A
ACADIA REALTY TRUST REIT
004239109
4000.00000000
NS
USD
78640.00000000
0.009983759938
Long
EC
US
N
1
N
N
N
ALLEGHENY TECHNOLOGIES INCORPORATED
ZW1LRE7C3H17O2ZN9B45
ALLEGHENY TECHNOLOGIES INC COMMON STOCK
01741R102
-2700.00000000
NS
USD
-74250.00000000
-0.00942642644
Short
EC
US
N
1
N
N
N
Mirati Therapeutics Inc
529900GYRW59IDQV6N54
MIRATI THERAPEUTICS INC COMMON STOCK
60468T105
282.00000000
NS
USD
11043.12000000
0.001401981930
Long
EC
US
N
1
N
N
N
KEURIG DR PEPPER INC.
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC COMMON STOCK
49271V100
15417.00000000
NS
USD
535586.58000000
0.067995521885
Long
EC
US
N
1
N
N
N
PDC ENERGY, INC.
5493008W8H2T511J5Y59
PDC ENERGY INC COMMON STOCK
69327R101
3099.00000000
NS
USD
245254.86000000
0.031136389191
Long
EC
US
N
1
N
N
N
HEALTHPEAK PROPERTIES, INC.
PZ9HF5U52KPF0MH0QN75
HEALTHPEAK PROPERTIES INC REIT
42250P103
8651.00000000
NS
USD
256848.19000000
0.032608223164
Long
EC
US
N
1
N
N
N
N/A
N/A
LME ZINC FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-4.00000000
NC
USD
-392350.00000000
-0.04981088774
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Zinc
LME ZINC FUTURE Jul 2022
2022-07-21
-401477.66000000
USD
9127.66000000
N
N
N
PORTLAND GENERAL ELECTRIC COMPANY
GJOUP9M7C39GLSK9R870
PORTLAND GENERAL ELECTRIC CO COMMON STOCK
736508847
1024.00000000
NS
USD
50432.00000000
0.006402606577
Long
EC
US
N
1
N
N
N
N/A
N/A
HEATING OIL FUT JUL22 PHYSICAL COMMODITY FUTURE.
N/A
12.00000000
NC
USD
1983240.00000000
0.251782706773
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Heating Oil
HEATING OIL FUTURE Jul 2022
2022-07-02
1619327.04000000
USD
363912.96000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 4.017000% 03/28/2028
456837BB8
286000.00000000
PA
USD
278987.40000000
0.035418911845
Long
DBT
NUSS
NL
N
2
2028-03-28
Fixed
4.01700000
N
N
N
N
N
N
EQT CORPORATION
4NT01YGM4X7ZX86ISY52
EQT CORP COMMON STOCK
26884L109
11010.00000000
NS
USD
525397.20000000
0.066701926719
Long
EC
US
N
1
N
N
N
PPG INDUSTRIES, INC.
549300BKPEP01R3V6C59
PPG INDUSTRIES INC COMMON STOCK
693506107
-2392.00000000
NS
USD
-302564.08000000
-0.03841209487
Short
EC
US
N
1
N
N
N
AVANOS MEDICAL, INC.
549300YCXWOM7NEWMQ58
AVANOS MEDICAL INC COMMON STOCK
05350V106
842.00000000
NS
USD
24156.98000000
0.003066855152
Long
EC
US
N
1
N
N
N
CARETRUST REIT, INC.
5493001NVXE2B9GPLU96
CARETRUST REIT INC REIT
14174T107
2100.00000000
NS
USD
38913.00000000
0.004940209187
Long
EC
US
N
1
N
N
N
L STREET SECURITIES
N/A
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST LSS 2015-WF1 2M2
949771AG4
30108.91970000
PA
USD
23753.89000000
0.003015680765
Long
ABS-MBS
US
N
2
2025-11-25
Floating
6.50571120
N
N
N
N
N
N
Canoo Inc
5493004KHMS7ZZPSQE04
CANOO INC COMMON STOCK
13803R102
-8000.00000000
NS
USD
-26800.00000000
-0.00340240038
Short
EC
US
N
1
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK COMMON STOCK
212015101
2388.00000000
NS
USD
162551.16000000
0.020636721251
Long
EC
US
N
1
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2021-3 UPST 2021-3 B
91679LAB8
460000.00000000
PA
USD
426458.64000000
0.054141158259
Long
ABS-MBS
US
Y
2
2031-07-20
Fixed
1.66000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS737953
-26058.84450000
NC
USD
-5999.35000000
-0.00076164890
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-3261.25000000
USD
-26058.84450000
USD
-2738.10000000
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 4.175000% 03/24/2028
05964HAQ8
200000.00000000
PA
USD
195507.04000000
0.024820642849
Long
DBT
NUSS
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
LUMEN TECHNOLOGIES, INC.
8M3THTGWLTYZVE6BBY25
LUMEN TECHNOLOGIES INC COMMON STOCK
550241103
20130.00000000
NS
USD
246391.20000000
0.031280653506
Long
EC
US
N
1
N
N
N
UNIVERSAL HEALTH SERVICES, INC.
549300YGMGQDO0NMJD09
UNIVERSAL HEALTH SERVICES-B COMMON STOCK
913903100
423.00000000
NS
USD
52710.03000000
0.006691814418
Long
EC
US
N
1
N
N
N
CONSTELLIUM SE
724500KRJEMC79KAAU28
CONSTELLIUM SE COMMON STOCK
F21107101
-2800.00000000
NS
USD
-47292.00000000
-0.00600396712
Short
EC
US
N
1
N
N
N
N/A
N/A
PLATINUM FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
8.00000000
NC
USD
387320.00000000
0.049172302891
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Platinum
PLATINUM FUTURE(Consolidated) Jul 2022
2022-07-30
408577.89000000
USD
-21257.89000000
N
N
N
SOUTH JERSEY INDUSTRIES, INC.
549300DJYWYT5VXLFA46
SOUTH JERSEY INDUSTRIES COMMON STOCK
838518108
2100.00000000
NS
USD
73185.00000000
0.009291219113
Long
EC
US
N
1
N
N
N
BIOMARIN PHARMACEUTICAL INC.
NSLL8ITTRR0J5HEMR848
BIOMARIN PHARMACEUTICAL INC COMMON STOCK
09061G101
1431.00000000
NS
USD
107511.03000000
0.013649088431
Long
EC
US
N
1
N
N
N
N/A
N/A
BRK: HSBC SECURITIES NEW YORK AMT: 52,093,250.00
N/A
-52093250.00000000
PA
USD
-52093250.00000000
-6.61351096670
Short
RA
US
N
2
Reverse repurchase
N
0.83000000
2050-12-31
41800000.00000000
USD
52610440.34000000
USD
UST
N
N
N
DANAHER CORPORATION
S4BKK9OTCEWQ3YHPFM11
DANAHER CORP COMMON STOCK
235851102
5444.00000000
NS
USD
1436236.08000000
0.182337693767
Long
EC
US
N
1
N
N
N
Marcus & Millichap Inc
549300B2HE8ULXNB1N48
MARCUS & MILLICHAP INC COMMON STOCK
566324109
600.00000000
NS
USD
25128.00000000
0.003190131227
Long
EC
US
N
1
N
N
N
NOVOCURE LIMITED
213800YPP55UMHWA4826
NOVOCURE LTD COMMON STOCK
G6674U108
712.00000000
NS
USD
57230.56000000
0.007265719381
Long
EC
US
N
1
N
N
N
ARROWHEAD PHARMACEUTICALS, INC.
549300O3CSB8T7OZ3D66
ARROWHEAD PHARMACEUTICALS IN COMMON STOCK
04280A100
822.00000000
NS
USD
27421.92000000
0.003481356387
Long
EC
US
N
1
N
N
N
CCO HOLDINGS, LLC
N/A
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 144A 4.500000% 08/15/2030
1248EPCE1
54000.00000000
PA
USD
48767.40000000
0.006191276887
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
MISSION LANE CREDIT CARD MASTER TRUST
N/A
MISSION LANE CREDIT CARD MASTER TRUST MLANE 2021-A B
60510MAB4
152000.00000000
PA
USD
147503.76000000
0.018726374998
Long
ABS-MBS
US
Y
2
2026-09-15
Fixed
2.24000000
N
N
N
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 2.44
N/A
3640000.00000000
NC
USD
68924.98000000
0.008750387259
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2027-04-04
0.00000000
USD
0.00000000
USD
-3640000.00000000
USD
68924.98000000
N
N
N
N/A
N/A
Credit Default Swap
CDS725097
-953381.27000000
NC
USD
-90213.70000000
-0.01145310177
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-20010.30000000
USD
-953381.27000000
USD
-70203.40000000
N
N
N
AES Panama Generation Holding, S.R.L.
N/A
AES PANAMA GENERATION HOLDINGS SRL 144A 4.375000% 05/31/2030
00109AAB3
297000.00000000
PA
USD
271755.00000000
0.034500720779
Long
DBT
NUSS
PA
N
2
2030-05-31
Fixed
4.37500000
N
N
N
N
N
N
J & J SNACK FOODS CORP.
N/A
J & J SNACK FOODS CORP COMMON STOCK
466032109
153.00000000
NS
USD
19617.66000000
0.002490564699
Long
EC
US
N
1
N
N
N
TREEHOUSE FOODS, INC.
5493007M7EVHE470Q576
TREEHOUSE FOODS INC COMMON STOCK
89469A104
979.00000000
NS
USD
40256.48000000
0.005110771010
Long
EC
US
N
1
N
N
N
INTEGER HOLDINGS CORPORATION
549300SUD2ED5XG6X569
INTEGER HOLDINGS CORP COMMON STOCK
45826H109
400.00000000
NS
USD
31912.00000000
0.004051395564
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS745722
-170730.40960000
NC
USD
-39306.11000000
-0.00499011656
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-17164.60000000
USD
-170730.40960000
USD
-22141.51000000
N
N
N
POTLATCHDELTIC CORPORATION
54930084YA8UJOTXDM59
POTLATCHDELTIC CORP REIT
737630103
1021.00000000
NS
USD
53561.66000000
0.006799933308
Long
EC
US
N
1
N
N
N
BALLY'S CORPORATION
549300NS4D5IK406VT62
BALLY'S CORP COMMON STOCK
05875B106
-900.00000000
NS
USD
-23526.00000000
-0.00298674893
Short
EC
US
N
1
N
N
N
TEXAS ROADHOUSE, INC.
5299002Y1CNRPDGXTQ75
TEXAS ROADHOUSE INC COMMON STOCK
882681109
-1572.00000000
NS
USD
-122568.84000000
-0.01556075628
Short
EC
US
N
1
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP-CLASS A COMMON STOCK
20030N101
-58271.00000000
NS
USD
-2580239.88000000
-0.32757496879
Short
EC
US
N
1
N
N
N
WARNER BROS. DISCOVERY, INC.
5493006ZCRFWKF6B1K26
WARNER BROS DISCOVERY INC COMMON STOCK
934423104
23141.00000000
NS
USD
426951.45000000
0.054203723070
Long
EC
US
N
1
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA4 STACR 2022-DNA4 M1A
35564KWS4
607767.00000000
PA
USD
605871.07000000
0.076918506060
Long
DBT
USGA
US
N
2
2042-05-25
Floating
2.55071160
N
N
N
N
N
N
MERITAGE HOMES CORPORATION
52990044W9UMFJO2FB97
MERITAGE HOMES CORP COMMON STOCK
59001A102
-1748.00000000
NS
USD
-149121.88000000
-0.01893180380
Short
EC
US
N
1
N
N
N
UGI CORPORATION
DX6GCWD4Q1JO9CRE5I40
UGI CORP COMMON STOCK
902681105
1563.00000000
NS
USD
66802.62000000
0.008480942540
Long
EC
US
N
1
N
N
N
N/A
N/A
N/A
TR1263048
12579999.17000000
NC
USD
231972.93000000
0.029450178603
N/A
DE
XX
N
2
N/A
N/A
Y
2022-06-20
0.00000000
USD
0.00000000
USD
-40012.72000000
USD
231972.93000000
N
N
N
HALLIBURTON COMPANY
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO COMMON STOCK
406216101
31334.00000000
NS
USD
1269027.00000000
0.161109625173
Long
EC
US
N
1
N
N
N
SEAGEN INC.
N/A
SEAGEN INC COMMON STOCK
81181C104
1100.00000000
NS
USD
149248.00000000
0.018947815403
Long
EC
US
N
1
N
N
N
F5, INC.
54930015FPK9KT966303
F5 INC COMMON STOCK
315616102
-403.00000000
NS
USD
-65705.12000000
-0.00834160916
Short
EC
US
N
1
N
N
N
CABOT CORPORATION
K05C0SER542GQ6VLRO68
CABOT CORP COMMON STOCK
127055101
-900.00000000
NS
USD
-68049.00000000
-0.00863917700
Short
EC
US
N
1
N
N
N
FRESHPET, INC.
549300S4ZK8ZQ6HNPN59
FRESHPET INC COMMON STOCK
358039105
1000.00000000
NS
USD
71970.00000000
0.009136968499
Long
EC
US
N
1
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.580000% 04/22/2032
46647PCC8
688000.00000000
PA
USD
600047.51000000
0.076179174613
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
ATALAYA EQUIPMENT LEASING TRUST LLC.
N/A
ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A B
046497AC7
170000.00000000
PA
USD
161725.42000000
0.020531889232
Long
ABS-MBS
US
Y
2
2027-02-15
Fixed
2.08000000
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE COMPANY
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE COMMON STOCK
42824C109
-5957.00000000
NS
USD
-92929.20000000
-0.01179784872
Short
EC
US
N
1
N
N
N
ENGIE Energia Chile S.A.
5493000FIKCC3ZDWTO77
ENGIE ENERGIA CHILE SA 3.400000% 01/28/2030
P3762TAA9
349000.00000000
PA
USD
299707.24000000
0.038049404069
Long
DBT
NUSS
CL
N
2
2030-01-28
Fixed
3.40000000
N
N
N
N
N
N
CADENCE DESIGN SYSTEMS, INC.
GCT7RXJOGLXPV0NXZY22
CADENCE DESIGN SYS INC COMMON STOCK
127387108
1159.00000000
NS
USD
178173.07000000
0.022620004557
Long
EC
US
N
1
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.700000% 04/02/2027
05526DBP9
545000.00000000
PA
USD
541252.02000000
0.068714779170
Long
DBT
CORP
GB
N
2
2027-04-02
Fixed
4.70000000
N
N
N
N
N
N
HECLA MINING COMPANY
5493009Y6HOBZD1QD537
HECLA MINING CO COMMON STOCK
422704106
-9900.00000000
NS
USD
-46728.00000000
-0.00593236437
Short
EC
US
N
1
N
N
N
REALOGY HOLDINGS CORP.
5493004HBTOTE9DI9P12
REALOGY HOLDINGS CORP COMMON STOCK
75605Y106
2800.00000000
NS
USD
34664.00000000
0.004400776379
Long
EC
US
N
1
N
N
N
LIBERTY SIRIUS XM
549300ZKUTPIBZLWLL89
LIBERTY MEDIA COR-SIRIUSXM C COMMON STOCK
531229607
-2500.00000000
NS
USD
-102750.00000000
-0.01304465073
Short
EC
US
N
1
N
N
N
UNITED STATES STEEL CORPORATION
JNLUVFYJT1OZSIQ24U47
UNITED STATES STEEL CORP COMMON STOCK
912909108
-2600.00000000
NS
USD
-65182.00000000
-0.00827519634
Short
EC
US
N
1
N
N
N
SOUTHWESTERN ENERGY COMPANY
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO COMMON STOCK
845467109
37602.00000000
NS
USD
342930.24000000
0.043536790333
Long
EC
US
N
1
N
N
N
MCCORMICK & COMPANY, INCORPORATED
549300JQQA6MQ4OJP259
MCCORMICK & CO-NON VTG SHRS COMMON STOCK
579780206
5805.00000000
NS
USD
538239.60000000
0.068332336671
Long
EC
US
N
1
N
N
N
VULCAN MATERIALS COMPANY
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO COMMON STOCK
929160109
-1793.00000000
NS
USD
-295611.91000000
-0.03752948047
Short
EC
US
N
1
N
N
N
IRON MOUNTAIN INCORPORATED
SQL3F6CKNNBM3SQGHX24
IRON MOUNTAIN INC REIT
46284V101
4056.00000000
NS
USD
218618.40000000
0.027754751065
Long
EC
US
N
1
N
N
N
XENIA HOTELS & RESORTS, INC.
54930075IWIPHF5IQL62
XENIA HOTELS & RESORTS INC REIT
984017103
2172.00000000
NS
USD
39943.08000000
0.005070983239
Long
EC
US
N
1
N
N
N
CAESARS ENTERTAINMENT, INC.
549300FA4CTCW903Y781
CAESARS ENTERTAINMENT INC COMMON STOCK
12769G100
-4138.00000000
NS
USD
-207603.46000000
-0.02635634673
Short
EC
US
N
1
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 2.500000% 09/15/2028
86964WAL6
861000.00000000
PA
USD
744549.75000000
0.094524490925
Long
DBT
NUSS
BR
N
2
2028-09-15
Fixed
2.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 3.971000% 03/30/2026
853254CJ7
207000.00000000
PA
USD
204477.29000000
0.025959463075
Long
DBT
NUSS
GB
N
2
2026-03-30
Fixed
3.97100000
N
N
N
N
N
N
SANDERSON FARMS, INC.
529900KZGVFTWHUO2759
SANDERSON FARMS INC COMMON STOCK
800013104
505.00000000
NS
USD
100747.50000000
0.012790422868
Long
EC
US
N
1
N
N
N
CLEARWAY ENERGY, INC.
549300LHAZ9HA9G3XC48
CLEARWAY ENERGY INC-C COMMON STOCK
18539C204
1281.00000000
NS
USD
44899.05000000
0.005700169591
Long
EC
US
N
1
N
N
N
MARATHON PETROLEUM CORPORATION
3BNYRYQHD39K4LCKQF12
MARATHON PETROLEUM CORP 6.500000% 03/01/2041
56585AAF9
150000.00000000
PA
USD
170465.19000000
0.021641448815
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
SERVICE PROPERTIES TRUST REIT
81761L102
2782.00000000
NS
USD
17610.06000000
0.002235689363
Long
EC
US
N
1
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP COMMON STOCK
68389X105
5182.00000000
NS
USD
372689.44000000
0.047314876660
Long
EC
US
N
1
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-07-21
N/A
1.00000000
NC
14330.54000000
0.001819337120
N/A
DFE
AU
N
2
HSBC
N/A
5827017.52000000
USD
8138639.08000000
AUD
2022-07-21
14330.54000000
N
N
N
N/A
N/A
Credit Default Swap
CDS858889
-6290.07110000
NC
USD
-1448.12000000
-0.00018384641
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-764.30000000
USD
-6290.07110000
USD
-683.82000000
N
N
N
IRONWOOD PHARMACEUTICALS, INC.
549300PC8MR6QHH6P296
IRONWOOD PHARMACEUTICALS INC COMMON STOCK
46333X108
2400.00000000
NS
USD
27048.00000000
0.003433885285
Long
EC
US
N
1
N
N
N
PHYSICIANS REALTY TRUST
549300ITOVH0OY7PZC34
PHYSICIANS REALTY TRUST REIT
71943U104
2813.00000000
NS
USD
52181.15000000
0.006624670332
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4719 JS
3137FAXY9
828759.21000000
PA
USD
121016.25000000
0.015363646854
Long
DBT
USGA
US
N
2
2047-09-15
Floating
5.27528880
N
N
N
N
N
N
THE SIMPLY GOOD FOODS COMPANY
N/A
SIMPLY GOOD FOODS CO/THE COMMON STOCK
82900L102
1700.00000000
NS
USD
67932.00000000
0.008624323247
Long
EC
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2014-17 SA
3136AJWQ5
1611466.00640000
PA
USD
263004.63000000
0.033389815471
Long
DBT
USGA
US
N
2
2044-04-25
Floating
5.04429120
N
N
N
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
ALTERNATIVE LOAN TRUST 2005-20CB CWALT 2005-20CB 3A6
12667GQL0
38392.28250000
PA
USD
30023.93000000
0.003811695187
Long
ABS-MBS
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
MEDTRONIC PUBLIC LIMITED COMPANY
549300GX3ZBSQWUXY261
MEDTRONIC PLC COMMON STOCK
G5960L103
11827.00000000
NS
USD
1184474.05000000
0.150375185258
Long
EC
US
N
1
N
N
N
TRI POINTE HOMES, INC.
N/A
TRI POINTE HOMES INC COMMON STOCK
87265H109
-6044.00000000
NS
USD
-127347.08000000
-0.01616737888
Short
EC
US
N
1
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 4.298000% 04/01/2028
23636ABC4
207000.00000000
PA
USD
200661.30000000
0.025475003155
Long
DBT
NUSS
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
MID-AMERICA APARTMENT COMMUNITIES, INC.
549300FQZKFR5YNSHZ21
MID-AMERICA APARTMENT COMM REIT
59522J103
1637.00000000
NS
USD
296297.00000000
0.037616456237
Long
EC
US
N
1
N
N
N
HELEN OF TROY LIMITED
N/A
HELEN OF TROY LTD COMMON STOCK
G4388N106
-1098.00000000
NS
USD
-203338.62000000
-0.02581490295
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS915154
-13478.72230000
NC
USD
-3103.11000000
-0.00039395606
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-1293.64000000
USD
-13478.72230000
USD
-1809.47000000
N
N
N
DIAMONDROCK HOSPITALITY COMPANY
529900KKD4BPVBUAQ734
DIAMONDROCK HOSPITALITY CO REIT
252784301
5700.00000000
NS
USD
58653.00000000
0.007446305591
Long
EC
US
N
1
N
N
N
THE NEW YORK TIMES COMPANY
529900J1WEMMIW7BOH57
NEW YORK TIMES CO-A COMMON STOCK
650111107
-2224.00000000
NS
USD
-76705.76000000
-0.00973819803
Short
EC
US
N
1
N
N
N
Gaming and Leisure Properties, Inc.
5493006GWRDBCZYWTM57
GAMING AND LEISURE PROPERTIE REIT
36467J108
3225.00000000
NS
USD
150994.50000000
0.019169542726
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS849803
-58407.77010000
NC
USD
-13446.83000000
-0.00170714550
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-6309.03000000
USD
-58407.77010000
USD
-7137.80000000
N
N
N
PELOTON INTERACTIVE, INC.
5493002YS021166W0339
PELOTON INTERACTIVE INC-A COMMON STOCK
70614W100
-11478.00000000
NS
USD
-160232.88000000
-0.02034240346
Short
EC
US
N
1
N
N
N
HEALTHSTREAM, INC.
529900OJ88H8635JNH64
HEALTHSTREAM INC COMMON STOCK
42222N103
1168.00000000
NS
USD
23792.16000000
0.003020539342
Long
EC
US
N
1
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-E SMB 2021-E A1A
78450MAA0
540440.62720000
PA
USD
508213.34000000
0.064520345678
Long
ABS-MBS
US
Y
2
2051-02-15
Fixed
1.68000000
N
N
N
N
N
N
BELLRING BRANDS, INC.
549300S3BOK5CMTS8054
BELLRING BRANDS INC COMMON STOCK
07831C103
2119.00000000
NS
USD
55411.85000000
0.007034824620
Long
EC
US
N
1
N
N
N
FHF TRUST
N/A
FHF TRUST 2021-2 FHF 2021-2A A
30322JAA4
266566.86660000
PA
USD
257456.20000000
0.032685413218
Long
ABS-MBS
US
Y
2
2026-12-15
Fixed
0.83000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS922638
-30551.75530000
NC
USD
-7033.72000000
-0.00089296759
N/A
DCR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2063-05-11
0.00000000
USD
-2812.46000000
USD
-30551.75530000
USD
-4221.26000000
N
N
N
WESTLAKE CORPORATION
GOXNEVUM0LL78B1OS344
Westlake Corporation COMMON STOCK
960413102
-500.00000000
NS
USD
-66055.00000000
-0.00838602826
Short
EC
US
N
1
N
N
N
N/A
N/A
SOYBEAN FUTURE NOV22 PHYSICAL COMMODITY FUTURE.
N/A
21.00000000
NC
USD
1584975.00000000
0.201220878798
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Soybeans
Soybean Future Nov 2022
2022-11-17
1590581.08000000
USD
-5606.08000000
N
N
N
N/A
N/A
LOW SU GASOIL G JUL22 PHYSICAL COMMODITY FUTURE.
N/A
22.00000000
NC
USD
2637800.00000000
0.334882527543
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Gasoil
GAS OIL FUT (ICE) Jul 2022
2022-07-15
2066679.12000000
USD
571120.88000000
N
N
N
N/A
N/A
BRK: HSBC SECURITIES NEW YORK AMT: 16,662,625.00
N/A
-16662625.00000000
PA
USD
-16662625.00000000
-2.11540752730
Short
RA
US
N
2
Reverse repurchase
N
0.83000000
2050-12-31
13700000.00000000
USD
16800632.42000000
USD
UST
N
N
N
AMERICAN STATES WATER COMPANY
529900L26LIS2V8PWM23
AMERICAN STATES WATER CO COMMON STOCK
029899101
500.00000000
NS
USD
39625.00000000
0.005030601316
Long
EC
US
N
1
N
N
N
SAGE THERAPEUTICS, INC.
5493000JX4BJS9W6CN35
SAGE THERAPEUTICS INC COMMON STOCK
78667J108
703.00000000
NS
USD
21982.81000000
0.002790832881
Long
EC
US
N
1
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY COMMON STOCK
30040W108
3281.00000000
NS
USD
302901.92000000
0.038454985430
Long
EC
US
N
1
N
N
N
HOST HOTELS & RESORTS, L.P.
FXB7X4WXVA8QPMNOGS12
HOST HOTELS & RESORTS LP 4.000000% 06/15/2025
44107TAV8
391000.00000000
PA
USD
386961.85000000
0.049126833873
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS850394
-80872.29400000
NC
USD
-18618.68000000
-0.00236373895
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-8542.62000000
USD
-80872.29400000
USD
-10076.06000000
N
N
N
FAIR ISAAC CORPORATION
RI6HET5SJUEY30V1PS26
FAIR ISAAC CORP COMMON STOCK
303250104
100.00000000
NS
USD
40955.00000000
0.005199451783
Long
EC
US
N
1
N
N
N
PEABODY ENERGY CORPORATION
EJCO258LNNVSKAR2JX59
PEABODY ENERGY CORP COMMON STOCK
704551100
3500.00000000
NS
USD
82635.00000000
0.010490946115
Long
EC
US
N
1
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 7.500000% MATURITY: PERPETUAL
H3698DBW3
419000.00000000
PA
USD
413896.83000000
0.052546370677
Long
DBT
NUSS
CH
N
2
2171-01-17
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS112081
1258013.48840000
NC
USD
289623.97000000
0.036769280123
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS INTERNATIONAL
N/A
Y
2063-05-11
332192.28000000
USD
0.00000000
USD
1258013.48840000
USD
-42568.31000000
N
N
N
OMNICOM GROUP INC.
HKUPACFHSSASQK8HLS17
OMNICOM GROUP COMMON STOCK
681919106
-3259.00000000
NS
USD
-243153.99000000
-0.03086967274
Short
EC
US
N
1
N
N
N
SYNOPSYS, INC.
QG7T915N9S0NY5UKNE63
SYNOPSYS INC COMMON STOCK
871607107
655.00000000
NS
USD
209076.00000000
0.026543293399
Long
EC
US
N
1
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.210000% 04/20/2028
61747YER2
191000.00000000
PA
USD
191317.32000000
0.024288735948
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.21000000
N
N
N
N
N
N
V.F. CORPORATION
CWAJJ9DJ5Z7P057HV541
VF CORP COMMON STOCK
918204108
-12061.00000000
NS
USD
-608598.06000000
-0.07726471172
Short
EC
US
N
1
N
N
N
THE AES CORPORATION
2NUNNB7D43COUIRE5295
AES CORP COMMON STOCK
00130H105
6544.00000000
NS
USD
144229.76000000
0.018310723548
Long
EC
US
N
1
N
N
N
MASIMO CORPORATION
549300Q4A8JK0PIYCU29
MASIMO CORP COMMON STOCK
574795100
428.00000000
NS
USD
60104.04000000
0.007630522719
Long
EC
US
N
1
N
N
N
BALLYROCK CLO LTD
N/A
BALLYROCK CLO 16 LTD BALLY 2021-16A A1
05876KAA3
1054462.00000000
PA
USD
1026787.64000000
0.130356069502
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
2.19270960
N
N
N
N
N
N
OEC FINANCE LIMITED
N/A
OEC FINANCE LTD 144A 5.250000% 12/27/2033
67614CAE0
206078.00000000
PA
USD
7212.73000000
0.000915693855
Long
DBT
NUSS
BR
N
2
2033-12-27
Fixed
5.25000000
N
N
Y
N
N
N
Santander Holdings USA, Inc.
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA INC 4.400000% 07/13/2027
80282KAP1
351000.00000000
PA
USD
347317.46000000
0.044093770894
Long
DBT
CORP
US
N
2
2027-07-13
Fixed
4.40000000
N
N
N
N
N
N
PULTEGROUP, INC.
N/A
PULTEGROUP INC COMMON STOCK
745867101
-8758.00000000
NS
USD
-396387.08000000
-0.05032341619
Short
EC
US
N
1
N
N
N
S&P GLOBAL INC.
Y6X4K52KMJMZE7I7MY94
S&P GLOBAL INC 144A 4.750000% 08/01/2028
78409VAY0
31000.00000000
PA
USD
32247.91000000
0.004094041098
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
AGL CLO LTD
N/A
AGL CLO 12 LTD AGL 2021-12A A1
00120BAA8
836911.00000000
PA
USD
813406.35000000
0.103266196985
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
2.22270840
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS894035
-57509.19000000
NC
USD
-13239.95000000
-0.00168088100
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-6543.24000000
USD
-57509.19000000
USD
-6696.71000000
N
N
N
VISTA OUTDOOR INC.
549300QI2D33ESTJLN81
VISTA OUTDOOR INC COMMON STOCK
928377100
-1960.00000000
NS
USD
-75538.40000000
-0.00958999557
Short
EC
US
N
1
N
N
N
CONMED CORPORATION
Z6C0YCECH9DCU5ZIQW84
CONMED CORP COMMON STOCK
207410101
400.00000000
NS
USD
46516.00000000
0.005905449863
Long
EC
US
N
1
N
N
N
TAPESTRY, INC.
549300LJNVY5SW3VTN33
TAPESTRY INC COMMON STOCK
876030107
-9411.00000000
NS
USD
-324679.50000000
-0.04121976328
Short
EC
US
N
1
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2014-GC18 GSMS 2014-GC18 D
36252RAG4
169711.75050000
PA
USD
70006.10000000
0.008887641106
Long
ABS-MBS
US
N
2
2047-01-10
Floating
5.05715400
N
N
N
N
N
N
LIBERTY SIRIUS XM
549300ZKUTPIBZLWLL89
LIBERTY MEDIA COR-SIRIUSXM A COMMON STOCK
531229409
-1700.00000000
NS
USD
-70227.00000000
-0.00891568551
Short
EC
US
N
1
N
N
N
EQUITY LIFESTYLE PROPERTIES, INC.
529900PEQG66LENB6798
EQUITY LIFESTYLE PROPERTIES REIT
29472R108
2327.00000000
NS
USD
176153.90000000
0.022363660349
Long
EC
US
N
1
N
N
N
GREEN PLAINS INC.
VJ5WLTHARBSDR14KIZ98
GREEN PLAINS INC COMMON STOCK
393222104
1500.00000000
NS
USD
48870.00000000
0.006204302494
Long
EC
US
N
1
N
N
N
THE MOSAIC COMPANY
2YD5STGSJNMUB7H76907
MOSAIC CO/THE COMMON STOCK
61945C103
-4461.00000000
NS
USD
-279481.65000000
-0.03548165947
Short
EC
US
N
1
N
N
N
AMC ENTERTAINMENT HOLDINGS, INC.
549300ZO77UNR6NRBR11
AMC ENTERTAINMENT HLDS-CL A COMMON STOCK
00165C104
6500.00000000
NS
USD
93210.00000000
0.011833497760
Long
EC
US
N
1
N
N
N
O'Reilly Automotive, Inc.
549300K2RLMQL149Q332
O'REILLY AUTOMOTIVE INC COMMON STOCK
67103H107
-844.00000000
NS
USD
-537771.48000000
-0.06827290638
Short
EC
US
N
1
N
N
N
KB HOME
549300LGUCWQURMWLG09
KB HOME COMMON STOCK
48666K109
-4097.00000000
NS
USD
-141305.53000000
-0.01793947723
Short
EC
US
N
1
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.875000% 02/15/2031
87264ABT1
315000.00000000
PA
USD
276418.80000000
0.035092814620
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
CCO HOLDINGS, LLC
N/A
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 144A 4.500000% 06/01/2033
1248EPCL5
189000.00000000
PA
USD
162650.57000000
0.020649341871
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Carnival Corporation
F1OF2ZSX47CR0BCWA982
CARNIVAL CORP 144A 4.000000% 08/01/2028
143658BQ4
527000.00000000
PA
USD
477778.20000000
0.060656445227
Long
DBT
NUSS
US
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 1.66
N/A
1040000.00000000
NC
USD
51715.62000000
0.006565568860
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2026-11-08
0.00000000
USD
0.00000000
USD
-1040000.00000000
USD
51715.62000000
N
N
N
PEBBLEBROOK HOTEL TRUST
5493004Q1NNH6JXCSI52
PEBBLEBROOK HOTEL TRUST REIT
70509V100
2447.00000000
NS
USD
55081.97000000
0.006992944626
Long
EC
US
N
1
N
N
N
SONOCO PRODUCTS COMPANY
GKOMIK4RDJGHEF0VNP11
SONOCO PRODUCTS CO COMMON STOCK
835495102
-1288.00000000
NS
USD
-75309.36000000
-0.00956091774
Short
EC
US
N
1
N
N
N
FLOOR & DECOR HOLDINGS, INC.
549300M5FR3N688XGQ36
FLOOR & DECOR HOLDINGS INC-A COMMON STOCK
339750101
-1128.00000000
NS
USD
-85096.32000000
-0.01080342358
Short
EC
US
N
1
N
N
N
ACADEMY SPORTS AND OUTDOORS, INC.
N/A
ACADEMY SPORTS & OUTDOORS IN COMMON STOCK
00402L107
-1300.00000000
NS
USD
-43563.00000000
-0.00553055104
Short
EC
US
N
1
N
N
N
AMERICAN CAMPUS COMMUNITIES, INC.
529900MR3ZXRO3W6UX26
AMERICAN CAMPUS COMMUNITIES REIT
024835100
2331.00000000
NS
USD
151515.00000000
0.019235622928
Long
EC
US
N
1
N
N
N
ASBURY AUTOMOTIVE GROUP, INC.
549300JH4DTA7U42GL91
ASBURY AUTOMOTIVE GROUP COMMON STOCK
043436104
-200.00000000
NS
USD
-36230.00000000
-0.00459958828
Short
EC
US
N
1
N
N
N
BAIDU, INC.
254900AL64IANZYI1E02
BAIDU INC 3.425000% 04/07/2030
056752AR9
201000.00000000
PA
USD
185324.01000000
0.023527853849
Long
DBT
NUSS
CN
N
2
2030-04-07
Fixed
3.42500000
N
N
N
N
N
N
II-VI INCORPORATED
549300O5C25A0MMHHU33
II-VI INC COMMON STOCK
902104108
-418.00000000
NS
USD
-26125.00000000
-0.00331670560
Short
EC
US
N
1
N
N
N
STEEL DYNAMICS, INC.
549300HGGKEL4FYTTQ83
STEEL DYNAMICS INC COMMON STOCK
858119100
-2324.00000000
NS
USD
-198423.12000000
-0.02519085448
Short
EC
US
N
1
N
N
N
VALVOLINE INC.
549300CMHPBEY6VPOT75
VALVOLINE INC COMMON STOCK
92047W101
-3100.00000000
NS
USD
-103726.00000000
-0.01316855904
Short
EC
US
N
1
N
N
N
GROUP 1 AUTOMOTIVE, INC.
549300US8QAZJLWYAF63
GROUP 1 AUTOMOTIVE INC COMMON STOCK
398905109
-300.00000000
NS
USD
-53877.00000000
-0.00683996737
Short
EC
US
N
1
N
N
N
FRONTLINE LTD.
5493004BCIKYU1YL3H63
FRONTLINE LTD COMMON STOCK
G3682E192
6114.00000000
NS
USD
59183.52000000
0.007513657884
Long
EC
US
N
1
N
N
N
RLJ LODGING TRUST
N/A
RLJ LODGING TRUST REIT
74965L101
3871.00000000
NS
USD
51987.53000000
0.006600089258
Long
EC
US
N
1
N
N
N
STRIDE, INC.
254900BRWS3AFONWU277
STRIDE INC COMMON STOCK
86333M108
-300.00000000
NS
USD
-11733.00000000
-0.00148956581
Short
EC
US
N
1
N
N
N
KITE REALTY GROUP TRUST
N/A
KITE REALTY GROUP TRUST REIT
49803T300
4176.00000000
NS
USD
87528.96000000
0.011112259973
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CD1267799
3445000.00000000
NC
USD
-138473.72000000
-0.01757996411
N/A
DCR
XX
N
2
BRK: BNP PARIBAS SA
N/A
Y
2027-06-20
0.00000000
USD
-159083.75000000
USD
3445000.00000000
USD
20610.03000000
N
N
N
RANGE RESOURCES CORPORATION
H3Y3WLYCX0BTO1TRW162
RANGE RESOURCES CORP COMMON STOCK
75281A109
9095.00000000
NS
USD
308775.25000000
0.039200635439
Long
EC
US
N
1
N
N
N
W.P. CAREY INC.
54930042CRNE713E3Q67
WP CAREY INC REIT
92936U109
3408.00000000
NS
USD
286749.12000000
0.036404302857
Long
EC
US
N
1
N
N
N
MOHAWK INDUSTRIES, INC.
549300JI1115MG3Q6322
MOHAWK INDUSTRIES INC COMMON STOCK
608190104
-1883.00000000
NS
USD
-266369.18000000
-0.03381696271
Short
EC
US
N
1
N
N
N
G-III APPAREL GROUP, LTD.
529900O5KABM3R3SFM87
G-III APPAREL GROUP LTD COMMON STOCK
36237H101
-700.00000000
NS
USD
-17542.00000000
-0.00222704878
Short
EC
US
N
1
N
N
N
EXELIXIS, INC.
254900PJQB59O2O95R37
EXELIXIS INC COMMON STOCK
30161Q104
2196.00000000
NS
USD
40252.68000000
0.005110288580
Long
EC
US
N
1
N
N
N
GOLDENTREE LOAN MANAGEMENT US CLO LTD
N/A
GOLDENTREE LOAN MANAGEMENT US CLO 7 LTD GLM 2020-7A AR
38138LAL2
553039.00000000
PA
USD
540391.00000000
0.068605468171
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
2.13270840
N
N
N
N
N
N
STRATEGIC EDUCATION, INC.
0PYXF82EO1UCNGL5I740
STRATEGIC EDUCATION INC COMMON STOCK
86272C103
-900.00000000
NS
USD
-59238.00000000
-0.00752057440
Short
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2017-C03 1M2
30711XJX3
299809.90350000
PA
USD
303957.35000000
0.038588977797
Long
DBT
USGA
US
N
2
2029-10-25
Floating
4.00570920
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL COMMON STOCK
281020107
4085.00000000
NS
USD
285582.35000000
0.036256175293
Long
EC
US
N
1
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026
00774MAV7
569000.00000000
PA
USD
508789.69000000
0.064593516330
Long
DBT
NUSS
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
NATIONAL STORAGE AFFILIATES TRUST
N/A
NATIONAL STORAGE AFFILIATES REIT
637870106
1757.00000000
NS
USD
92154.65000000
0.011699515549
Long
EC
US
N
1
N
N
N
ENPHASE ENERGY, INC.
5493008U7KIGMI59Z314
ENPHASE ENERGY INC COMMON STOCK
29355A107
-666.00000000
NS
USD
-124002.54000000
-0.01574277201
Short
EC
US
N
1
N
N
N
Dominion Energy, Inc.
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC COMMON STOCK
25746U109
8269.00000000
NS
USD
696415.18000000
0.088413555121
Long
EC
US
N
1
N
N
N
THOR INDUSTRIES, INC.
254900XZO1228PDSG060
THOR INDUSTRIES INC COMMON STOCK
885160101
-2655.00000000
NS
USD
-201700.35000000
-0.02560691599
Short
EC
US
N
1
N
N
N
N/A
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2017-2A D
05377REW0
766000.00000000
PA
USD
765999.16000000
0.097247605882
Long
ABS-MBS
US
N
2
2024-03-20
Fixed
4.56000000
N
N
N
N
N
N
ACADIA PHARMACEUTICALS INC.
529900O3044NO0PEA039
ACADIA PHARMACEUTICALS INC COMMON STOCK
004225108
2900.00000000
NS
USD
46835.00000000
0.005945948585
Long
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2015-C04 1M2
30711XBF0
80231.24790000
PA
USD
84844.75000000
0.010771485453
Long
DBT
USGA
US
N
2
2028-04-25
Floating
6.70570920
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.000000% MATURITY: PERPETUAL
172967MU2
348000.00000000
PA
USD
313916.71000000
0.039853370719
Long
DBT
CORP
US
N
2
2171-03-10
Fixed
4.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP COMMON STOCK
25179M103
23649.00000000
NS
USD
1771310.10000000
0.224877095819
Long
EC
US
N
1
N
N
N
UNDER ARMOUR, INC.
549300D4549QKWETZ406
UNDER ARMOUR INC-CLASS C COMMON STOCK
904311206
-5941.00000000
NS
USD
-57627.70000000
-0.00731613838
Short
EC
US
N
1
N
N
N
GENUINE PARTS COMPANY
549300D46DQVEU651W04
GENUINE PARTS CO COMMON STOCK
372460105
-1321.00000000
NS
USD
-180620.33000000
-0.02293069703
Short
EC
US
N
1
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD MTN 3.240000% 06/03/2050
88032WAV8
412000.00000000
PA
USD
293044.05000000
0.037203477195
Long
DBT
NUSS
CN
N
2
2050-06-03
Fixed
3.24000000
N
N
N
N
N
N
NEXTERA ENERGY, INC.
N/A
NEXTERA ENERGY INC COMMON STOCK
65339F101
20912.00000000
NS
USD
1582829.28000000
0.200948468404
Long
EC
US
N
1
N
N
N
TELEDYNE TECHNOLOGIES INCORPORATED
549300VSMO9KYQWDND94
TELEDYNE TECHNOLOGIES INC COMMON STOCK
879360105
-200.00000000
NS
USD
-81030.00000000
-0.01028718295
Short
EC
US
N
1
N
N
N
Maravai LifeSciences Holdings Inc
N/A
MARAVAI LIFESCIENCES HLDGS-A COMMON STOCK
56600D107
1900.00000000
NS
USD
59185.00000000
0.007513845777
Long
EC
US
N
1
N
N
N
UNITED NATURAL FOODS, INC.
549300GKGW6WPZ282D40
UNITED NATURAL FOODS INC COMMON STOCK
911163103
1400.00000000
NS
USD
59374.00000000
0.007537840317
Long
EC
US
N
1
N
N
N
BLACK KNIGHT, INC.
549300TUSNXS3BFFML48
BLACK KNIGHT INC COMMON STOCK
09215C105
1000.00000000
NS
USD
67910.00000000
0.008621530231
Long
EC
US
N
1
N
N
N
KLA CORPORATION
549300H0BF5JCG96TJ81
KLA CORP COMMON STOCK
482480100
-665.00000000
NS
USD
-242625.25000000
-0.03080254642
Short
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 06/30/2022
912796R50
10500000.00000000
PA
USD
10494206.00000000
1.332294423324
Long
DBT
UST
US
N
2
2022-06-30
None
0.00000000
N
N
N
N
N
N
BELLEMEADE RE LTD.
N/A
BELLEMEADE RE 2019-3 LTD BMIR 2019-3A M1B
07877GAB5
208813.68700000
PA
USD
208037.88000000
0.026411498627
Long
ABS-MBS
BM
N
2
2029-07-25
Floating
2.60570880
N
N
N
N
N
N
TELEPHONE AND DATA SYSTEMS, INC.
N/A
TELEPHONE AND DATA SYSTEMS COMMON STOCK
879433829
3900.00000000
NS
USD
69147.00000000
0.008778573861
Long
EC
US
N
1
N
N
N
OCEANEERING INTERNATIONAL, INC.
549300L6PH74701W0R30
OCEANEERING INTL INC COMMON STOCK
675232102
6023.00000000
NS
USD
76612.56000000
0.009726365810
Long
EC
US
N
1
N
N
N
SK hynix Inc.
988400XAIK6XISWQV045
SK HYNIX INC 144A 2.375000% 01/19/2031
78392BAC1
262000.00000000
PA
USD
214902.88000000
0.027283046338
Long
DBT
NUSS
KR
N
2
2031-01-19
Fixed
2.37500000
N
N
N
N
N
N
HAWAIIAN ELECTRIC INDUSTRIES, INC.
JJ8FWOCWCV22X7GUPJ23
HAWAIIAN ELECTRIC INDS COMMON STOCK
419870100
1150.00000000
NS
USD
49645.50000000
0.006302756282
Long
EC
US
N
1
N
N
N
SS&C TECHNOLOGIES HOLDINGS, INC.
529900POY8H7NPPNKK71
SS&C TECHNOLOGIES HOLDINGS COMMON STOCK
78467J100
440.00000000
NS
USD
28155.60000000
0.003574500907
Long
EC
US
N
1
N
N
N
CORNING INCORPORATED
549300X2937PB0CJ7I56
CORNING INC COMMON STOCK
219350105
-3295.00000000
NS
USD
-118026.90000000
-0.01498413321
Short
EC
US
N
1
N
N
N
HESS CORPORATION
UASVRYNXNK17ULIGK870
HESS CORP COMMON STOCK
42809H107
9840.00000000
NS
USD
1211008.80000000
0.153743910767
Long
EC
US
N
1
N
N
N
N/A
N/A
CRUDE OIL OPT IPE Aug22C 110 LONG
N/A
43.00000000
NC
USD
445480.00000000
0.056556019550
N/A
DIR
GB
N
1
RBC CAPITAL MARKETS LLC
N/A
Call
Purchased
N/A
Call Option 110 Jun 2022 on BRENT CRUDE OIL(ICE) Aug 2022
43000.00000000
110.00000000
USD
2022-06-30
XXXX
91038.74000000
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.125000% 05/01/2024
00928QAQ4
172000.00000000
PA
USD
169926.31000000
0.021573035176
Long
DBT
NUSS
US
N
2
2024-05-01
Fixed
4.12500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 3.900000% MATURITY: PERPETUAL
949746TD3
306000.00000000
PA
USD
281662.73000000
0.035758559002
Long
DBT
CORP
US
N
2
2171-03-15
Fixed
3.90000000
N
N
N
N
N
N
NOV INC.
549300EHF3IW1AR6U008
NOV INC COMMON STOCK
62955J103
14016.00000000
NS
USD
280320.00000000
0.035588092395
Long
EC
US
N
1
N
N
N
STAG INDUSTRIAL, INC.
549300QWYX2W6FASVQ07
STAG INDUSTRIAL INC REIT
85254J102
3018.00000000
NS
USD
100499.40000000
0.012758925274
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4585 DS
3137BPFZ7
758165.70000000
PA
USD
115064.61000000
0.014608054980
Long
DBT
USGA
US
N
2
2046-05-15
Floating
5.12529120
N
N
N
N
N
N
ASHFORD HOSPITALITY TRUST
N/A
ASHFORD HOSPITALITY TRUST 2018-KEYS AHT1 2018-KEYS A
04410CAA7
525841.00000000
PA
USD
516674.70000000
0.065594559653
Long
ABS-MBS
US
N
2
2035-06-15
Floating
1.87499880
N
N
N
N
N
N
FLATIRON CLO LTD
N/A
FLATIRON CLO 21 LTD FLAT 2021-1A D
33883PAJ6
540000.00000000
PA
USD
500604.84000000
0.063554406748
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-19
Floating
3.94428960
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 4.125000% 08/01/2025
05369AAD3
6000.00000000
PA
USD
5851.16000000
0.000742835412
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.12500000
N
N
N
N
N
N
SkyMiles IP Ltd.
2549008L7P4I8VB90936
DELTA AIR LINES INC / SKYMILES IP LTD 144A 4.750000% 10/20/2028
830867AB3
450000.00000000
PA
USD
449393.21000000
0.057052822058
Long
DBT
NUSS
US
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
LUMENTUM HOLDINGS INC.
549300JLWRRC38DWEF52
LUMENTUM HOLDINGS INC COMMON STOCK
55024U109
-500.00000000
NS
USD
-43040.00000000
-0.00546415345
Short
EC
US
N
1
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A
00834HAA2
735003.47870000
PA
USD
724711.96000000
0.092005979568
Long
ABS-MBS
US
Y
2
2027-02-15
Fixed
1.75000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2020-R02 CAS 2020-R02 2M2
20754WAB1
166524.45390000
PA
USD
163281.11000000
0.020729392227
Long
ABS-MBS
US
N
2
2040-01-25
Floating
3.00570840
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 4.150000% 04/15/2032
11135FBT7
144000.00000000
PA
USD
134862.77000000
0.017121535100
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
4.15000000
N
N
N
N
N
N
CONSTELLATION BRANDS, INC.
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC-A COMMON STOCK
21036P108
3580.00000000
NS
USD
878782.60000000
0.111566054382
Long
EC
US
N
1
N
N
N
Carnival Corporation
F1OF2ZSX47CR0BCWA982
CARNIVAL CORP COMMON STOCK
143658300
-17165.00000000
NS
USD
-238250.20000000
-0.03024711091
Short
EC
US
N
1
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO COMMON STOCK
723787107
7641.00000000
NS
USD
2123739.54000000
0.269619859352
Long
EC
US
N
1
N
N
N
ARROW ELECTRONICS, INC.
549300YNNLBXT8N8R512
ARROW ELECTRONICS INC COMMON STOCK
042735100
-498.00000000
NS
USD
-60083.70000000
-0.00762794045
Short
EC
US
N
1
N
N
N
TAYLOR MORRISON HOME CORPORATION
5299009UDLLGLKOOJE30
TAYLOR MORRISON HOME CORP COMMON STOCK
87724P106
-4451.00000000
NS
USD
-128945.47000000
-0.01637030286
Short
EC
US
N
1
N
N
N
LIGAND PHARMACEUTICALS INCORPORATED
5493008K7TB0IKP37H79
LIGAND PHARMACEUTICALS COMMON STOCK
53220K504
222.00000000
NS
USD
19738.02000000
0.002505845032
Long
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R03 CAS 2022-R03 1M2
20753XAB0
743570.00000000
PA
USD
742640.91000000
0.094282153688
Long
ABS-MBS
US
Y
2
2042-03-25
Floating
4.08445920
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC.
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC COMMON STOCK
883556102
3054.00000000
NS
USD
1733358.78000000
0.220058976945
Long
EC
US
N
1
N
N
N
TRAVEL + LEISURE CO.
T4VNTWMFQ7JQB65L7T35
TRAVEL + LEISURE CO COMMON STOCK
894164102
-1952.00000000
NS
USD
-99766.72000000
-0.01266590771
Short
EC
US
N
1
N
N
N
OPTION CARE HEALTH, INC.
549300DI3Q5ACSYJRI17
OPTION CARE HEALTH INC COMMON STOCK
68404L201
2000.00000000
NS
USD
60720.00000000
0.007708722068
Long
EC
US
N
1
N
N
N
LAREDO PETROLEUM, INC
549300X0PTWU2QSLSL14
LAREDO PETROLEUM INC COMMON STOCK
516806205
500.00000000
NS
USD
42085.00000000
0.005342911203
Long
EC
US
N
1
N
N
N
DIGITAL REALTY TRUST, INC.
549300HKCZ31D08NEI41
DIGITAL REALTY TRUST INC REIT
253868103
4215.00000000
NS
USD
588371.85000000
0.074696888415
Long
EC
US
N
1
N
N
N
PERRIGO COMPANY PUBLIC LIMITED COMPANY
549300IFOQS6R1QLY196
PERRIGO CO PLC COMMON STOCK
G97822103
429.00000000
NS
USD
17099.94000000
0.002170926957
Long
EC
US
N
1
N
N
N
Volcan Compania Minera S.A.A.
549300XKJ91C4SZLG750
VOLCAN CIA MINERA SAA 144A 4.375000% 02/11/2026
92863UAB2
144000.00000000
PA
USD
131620.32000000
0.016709889088
Long
DBT
NUSS
PE
N
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
KAYNE CLO LTD
N/A
RAD CLO 7 LTD RAD 2020-7A C
48661CAE2
300000.00000000
PA
USD
280480.20000000
0.035608430624
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
3.04428960
N
N
N
N
N
N
MVW OWNER TRUST
N/A
MVW 2021-2 LLC MVWOT 2021-2A B
55400KAB1
385061.06390000
PA
USD
355339.74000000
0.045112241363
Long
ABS-MBS
US
Y
2
2039-05-20
Fixed
1.83000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.980000% 03/20/2030
172967ME8
196000.00000000
PA
USD
189726.70000000
0.024086798407
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.98000000
N
N
N
N
N
N
DIAMOND ISSUER LLC
N/A
DIAMOND ISSUER SHINE 2021-1A A
25267TAN1
767635.00000000
PA
USD
696613.49000000
0.088438731614
Long
ABS-MBS
US
Y
2
2051-11-20
Fixed
2.30500000
N
N
N
N
N
N
CACTUS, INC.
549300J3T8C9F8QFKV08
CACTUS INC - A COMMON STOCK
127203107
2000.00000000
NS
USD
104840.00000000
0.013309987181
Long
EC
US
N
1
N
N
N
VENTAS, INC.
ORQTRC074CWLT3DKHT41
VENTAS INC REIT
92276F100
6232.00000000
NS
USD
353603.68000000
0.044891839452
Long
EC
US
N
1
N
N
N
Unity Software Inc
549300D1ESJMGNQNG432
UNITY SOFTWARE INC COMMON STOCK
91332U101
400.00000000
NS
USD
15988.00000000
0.002029760349
Long
EC
US
N
1
N
N
N
ROSS STORES, INC.
549300ENZFLPGRDFZQ60
ROSS STORES INC COMMON STOCK
778296103
-3301.00000000
NS
USD
-280651.02000000
-0.03563011711
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS726958
-149164.44590000
NC
USD
-34341.13000000
-0.00435978634
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-12164.51000000
USD
-149164.44590000
USD
-22176.62000000
N
N
N
ON SEMICONDUCTOR CORPORATION
ZV20P4CNJVT8V1ZGJ064
ON SEMICONDUCTOR COMMON STOCK
682189105
-2377.00000000
NS
USD
-144236.36000000
-0.01831156145
Short
EC
US
N
1
N
N
N
Deutsche Lufthansa Aktiengesellschaft
529900PH63HYJ86ASW55
DEUTSCHE LUFTHANSA AG MTN 3.000000% 05/29/2026
D19062BY9
100000.00000000
PA
99264.27000000
0.012602119050
Long
DBT
NUSS
DE
N
2
2026-05-29
Fixed
3.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC COMMON STOCK
25278X109
6209.00000000
NS
USD
943892.18000000
0.119832056625
Long
EC
US
N
1
N
N
N
CUBESMART
N/A
CUBESMART REIT
229663109
5239.00000000
NS
USD
233292.67000000
0.029617726509
Long
EC
US
N
1
N
N
N
TRANSDIGM INC.
88Q84GB3X55CF5OC7582
TRANSDIGM INC 144A 6.250000% 03/15/2026
893647BE6
448000.00000000
PA
USD
455732.44000000
0.057857620513
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
ACADIA HEALTHCARE COMPANY, INC.
5493005CW985Y9D0NC11
ACADIA HEALTHCARE CO INC COMMON STOCK
00404A109
945.00000000
NS
USD
67255.65000000
0.008538457071
Long
EC
US
N
1
N
N
N
IDACORP, INC.
N134NUJDWN8UEFA8B673
IDACORP INC COMMON STOCK
451107106
790.00000000
NS
USD
86125.80000000
0.010934121461
Long
EC
US
N
1
N
N
N
N/A
N/A
CRUDE OIL FUT OPT Jul22C 105 LONG
N/A
211.00000000
NC
USD
2331550.00000000
0.296002485819
N/A
DIR
US
N
1
RBC CAPITAL MARKETS LLC
N/A
Call
Purchased
N/A
Call Option 105 Jun 2022 on WTI Crude Oil Future (NYM Consolidated) Jul 2022
211000.00000000
105.00000000
USD
2022-06-18
XXXX
87401.69000000
N
N
N
IQVIA INC.
549300PLWY28YB00C717
IQVIA INC 2.250000% 03/15/2029
N/A
200000.00000000
PA
187218.72000000
0.023768397208
Long
DBT
NUSS
US
N
2
2029-03-15
Fixed
2.25000000
N
N
N
N
N
N
CROWN HOLDINGS, INC.
NYLWZIOY8PUNIT4JOE22
CROWN HOLDINGS INC COMMON STOCK
228368106
-1435.00000000
NS
USD
-149871.40000000
-0.01902695929
Short
EC
US
N
1
N
N
N
MP Materials Corp
N/A
MP MATERIALS CORP COMMON STOCK
553368101
-400.00000000
NS
USD
-15772.00000000
-0.00200233801
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS922623
-128497.10230000
NC
USD
-29583.02000000
-0.00375571935
N/A
DCR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2063-05-11
0.00000000
USD
-11797.31000000
USD
-128497.10230000
USD
-17785.71000000
N
N
N
N/A
N/A
LEAN HOGS FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
18.00000000
NC
USD
777600.00000000
0.098720393289
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Hogs
LEAN HOGS FUTURE(Consolidated) Jul 2022
2022-07-18
737739.65000000
USD
39860.35000000
N
N
N
MERIT MEDICAL SYSTEMS, INC.
549300OYTY138SP2CE83
MERIT MEDICAL SYSTEMS INC COMMON STOCK
589889104
500.00000000
NS
USD
30695.00000000
0.003896891039
Long
EC
US
N
1
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 2.259000% 03/25/2028
05526DBR5
1268000.00000000
PA
USD
1096180.93000000
0.139165911169
Long
DBT
CORP
GB
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
OPENDOOR TECHNOLOGIES INC.
254900KX11YZ4HV5BQ47
OPENDOOR TECHNOLOGIES INC COMMON STOCK
683712103
7300.00000000
NS
USD
52779.00000000
0.006700570521
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS727295
-25160.26440000
NC
USD
-5792.48000000
-0.00073538567
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-2167.35000000
USD
-25160.26440000
USD
-3625.13000000
N
N
N
BFLD TRUST
N/A
BFLD TRUST BFLD 2021-FPM A
05554BAA2
1065000.00000000
PA
USD
1030772.82000000
0.130862008979
Long
ABS-MBS
US
Y
2
2038-06-15
Floating
2.47500000
N
N
N
N
N
N
COGENT COMMUNICATIONS HOLDINGS, INC.
N/A
COGENT COMMUNICATIONS HOLDIN COMMON STOCK
19239V302
600.00000000
NS
USD
36234.00000000
0.004600096103
Long
EC
US
N
1
N
N
N
DUPONT DE NEMOURS, INC.
5493004JF0SDFLM8GD76
DUPONT DE NEMOURS INC COMMON STOCK
26614N102
-6526.00000000
NS
USD
-442789.10000000
-0.05621439569
Short
EC
US
N
1
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC COMMON STOCK
49456B101
68300.00000000
NS
USD
1344827.00000000
0.170732832234
Long
EC
US
N
1
N
N
N
DTE ENERGY COMPANY
549300IX8SD6XXD71I78
DTE ENERGY COMPANY COMMON STOCK
233331107
1833.00000000
NS
USD
243257.43000000
0.030882804989
Long
EC
US
N
1
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-122 SA
38380GHH0
746192.86000000
PA
USD
105521.15000000
0.013396462742
Long
DBT
USGA
US
N
2
2047-08-20
Floating
5.27271120
N
N
N
N
N
N
HANESBRANDS INC.
GX5LWVWZLL5S4W1L2F20
HANESBRANDS INC COMMON STOCK
410345102
-11870.00000000
NS
USD
-140896.90000000
-0.01788759951
Short
EC
US
N
1
N
N
N
LAS VEGAS SANDS CORP.
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP COMMON STOCK
517834107
-6846.00000000
NS
USD
-242759.16000000
-0.03081954700
Short
EC
US
N
1
N
N
N
APCOA Parking Holdings GmbH
529900H8FIYAOV5FUW68
APCOA PARKING HOLDINGS GMBH 4.625000% 01/15/2027
N/A
226000.00000000
PA
215470.97000000
0.027355168339
Long
DBT
NUSS
DE
N
2
2027-01-15
Fixed
4.62500000
N
N
N
N
N
N
INARI MEDICAL, INC.
N/A
INARI MEDICAL INC COMMON STOCK
45332Y109
500.00000000
NS
USD
32900.00000000
0.004176827339
Long
EC
US
N
1
N
N
N
TELEFLEX INCORPORATED
UUL85LWXB4NGSWWXIQ25
TELEFLEX INC COMMON STOCK
879369106
599.00000000
NS
USD
172356.26000000
0.021881530057
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK MSCR 2021-MN1 M1
35563FAA9
94542.32580000
PA
USD
87739.08000000
0.011138935808
Long
DBT
USGA
US
Y
2
2051-01-25
Floating
2.58446160
N
N
N
N
N
N
CENTERPOINT ENERGY, INC.
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC COMMON STOCK
15189T107
5806.00000000
NS
USD
186082.30000000
0.023624122736
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS857127
-29653.18510000
NC
USD
-6826.85000000
-0.00086670436
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-3549.82000000
USD
-29653.18510000
USD
-3277.03000000
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2015-C03 1M2
30711XBB9
122364.33760000
PA
USD
123899.04000000
0.015729632146
Long
DBT
USGA
US
N
2
2025-07-25
Floating
6.00571080
N
N
N
N
N
N
INTER PARFUMS, INC.
N/A
INTER PARFUMS INC COMMON STOCK
458334109
400.00000000
NS
USD
29520.00000000
0.003747718634
Long
EC
US
N
1
N
N
N
Inspire Medical Systems Inc
549300XQQCQ7HCJKTW25
INSPIRE MEDICAL SYSTEMS INC COMMON STOCK
457730109
200.00000000
NS
USD
35366.00000000
0.004489898957
Long
EC
US
N
1
N
N
N
N/A
N/A
KC HRW WHEAT FUT JUL22 PHYSICAL COMMODITY FUTURE.
N/A
11.00000000
NC
USD
641025.00000000
0.081381481620
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Wheat
WHEAT FUTURE(Consolidated) Jul 2022
2022-07-17
753025.99000000
USD
-112000.99000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 07/21/2022
912796S42
12000000.00000000
PA
USD
11985916.68000000
1.521674908154
Long
DBT
UST
US
N
2
2022-07-21
None
0.00000000
N
N
N
N
N
N
INDEPENDENCE REALTY TRUST, INC
549300Z3L8NU44NQEB29
INDEPENDENCE REALTY TRUST IN REIT
45378A106
5300.00000000
NS
USD
124603.00000000
0.015819003555
Long
EC
US
N
1
N
N
N
SKYWORKS SOLUTIONS, INC.
549300WZ3ORQ2BVKBD96
SKYWORKS SOLUTIONS INC COMMON STOCK
83088M102
-592.00000000
NS
USD
-64451.04000000
-0.00818239714
Short
EC
US
N
1
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.800000% 02/14/2029
02209SBD4
160000.00000000
PA
USD
159844.74000000
0.020293127055
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANCORP 4.500000% MATURITY: PERPETUAL
316773DB3
236000.00000000
PA
USD
225605.11000000
0.028641750497
Long
DBT
CORP
US
N
2
2170-09-30
Fixed
4.50000000
N
N
N
N
N
N
Nobel Bidco B.V.
549300NZZFLYK83VVT71
NOBEL BIDCO BV 3.125000% 06/15/2028
N/A
226000.00000000
PA
191260.75000000
0.024281554090
Long
DBT
NUSS
NL
N
2
2028-06-15
Fixed
3.12500000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 4.375000% 01/30/2024
05369AAF8
152000.00000000
PA
USD
151192.01000000
0.019194617656
Long
DBT
CORP
US
N
2
2024-01-30
Fixed
4.37500000
N
N
N
N
N
N
GROCERY OUTLET HOLDING CORP.
N/A
GROCERY OUTLET HOLDING CORP COMMON STOCK
39874R101
1687.00000000
NS
USD
64527.75000000
0.008192135877
Long
EC
US
N
1
N
N
N
CHILE ELECTRICITY PEC SPA
N/A
CHILE ELECTRICITY PEC SPA 144A ZERO COUPON 01/25/2028
168831AA3
491000.00000000
PA
USD
361306.16000000
0.045869709636
Long
DBT
NUSS
CL
Y
2
2028-01-25
Fixed
0.00000000
N
N
N
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 4.688000% 05/15/2029
200447AL4
294000.00000000
PA
USD
270480.00000000
0.034338852850
Long
DBT
NUSS
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
PACIRA BIOSCIENCES, INC.
549300P56LERYBDHCF69
PACIRA BIOSCIENCES INC COMMON STOCK
695127100
600.00000000
NS
USD
37950.00000000
0.004817951292
Long
EC
US
N
1
N
N
N
AUTODESK, INC.
FRKKVKAIQEF3FCSTPG55
AUTODESK INC COMMON STOCK
052769106
753.00000000
NS
USD
156435.75000000
0.019860337917
Long
EC
US
N
1
N
N
N
BALBOA BAY LOAN FUNDING
N/A
BALBOA BAY LOAN FUNDING 2021-1 LTD BOBA 2021-1A A
05765XAA9
520750.00000000
PA
USD
506511.65000000
0.064304307219
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
2.26271160
N
N
N
N
N
N
CHANGE HEALTHCARE INC.
549300GS1BPJEDOZHM07
CHANGE HEALTHCARE INC COMMON STOCK
15912K100
1000.00000000
NS
USD
24090.00000000
0.003058351690
Long
EC
US
N
1
N
N
N
SkyMiles IP Ltd.
2549008L7P4I8VB90936
DELTA AIR LINES INC / SKYMILES IP LTD 144A 4.500000% 10/20/2025
830867AA5
387782.00000000
PA
USD
386853.11000000
0.049113028760
Long
DBT
NUSS
US
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
MOTOROLA SOLUTIONS, INC.
6S552MUG6KGJVEBSEC55
MOTOROLA SOLUTIONS INC COMMON STOCK
620076307
-1158.00000000
NS
USD
-254458.92000000
-0.03230489282
Short
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R01 CAS 2022-R01 1M2
20754LAB5
1007763.00000000
PA
USD
952650.26000000
0.120943940759
Long
ABS-MBS
US
Y
2
2041-12-25
Floating
2.48446080
N
N
N
N
N
N
Embraer Netherlands Finance B.V.
724500PBR8LR26XBSP67
EMBRAER NETHERLANDS FINANCE BV 144A 6.950000% 01/17/2028
29082HAC6
242000.00000000
PA
USD
249356.80000000
0.031657151961
Long
DBT
NUSS
BR
N
2
2028-01-17
Fixed
6.95000000
N
N
N
N
N
N
POLARIS INC.
549300QJSN8UVWN1EI78
POLARIS INC COMMON STOCK
731068102
-1837.00000000
NS
USD
-195732.35000000
-0.02484924713
Short
EC
US
N
1
N
N
N
APPLIED MATERIALS, INC.
41BNNE1AFPNAZELZ6K07
APPLIED MATERIALS INC COMMON STOCK
038222105
-4367.00000000
NS
USD
-512205.43000000
-0.06502716241
Short
EC
US
N
1
N
N
N
N/A
N/A
NY HARB ULSD FUT JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-16.00000000
NC
USD
-2644320.00000000
-0.33571027569
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Heating Oil
HEATING OIL FUTURE Jul 2022
2022-07-03
-2462357.62000000
USD
-181962.38000000
N
N
N
ZEBRA TECHNOLOGIES CORPORATION
PO0I32GKZ3HZMMDPZZ08
ZEBRA TECHNOLOGIES CORP-CL A COMMON STOCK
989207105
-216.00000000
NS
USD
-73049.04000000
-0.00927395827
Short
EC
US
N
1
N
N
N
DYNATRACE, INC.
N/A
DYNATRACE INC COMMON STOCK
268150109
800.00000000
NS
USD
30136.00000000
0.003825923060
Long
EC
US
N
1
N
N
N
RENEWABLE ENERGY GROUP, INC.
549300HPU3BD8ZI0X358
RENEWABLE ENERGY GROUP INC COMMON STOCK
75972A301
1552.00000000
NS
USD
95153.12000000
0.012080187023
Long
EC
US
N
1
N
N
N
THE GOODYEAR TIRE & RUBBER COMPANY
5493002BI0S2ZQUY3437
GOODYEAR TIRE & RUBBER CO COMMON STOCK
382550101
-16336.00000000
NS
USD
-211061.12000000
-0.02679531478
Short
EC
US
N
1
N
N
N
WYNDHAM HOTELS & RESORTS, INC.
549300FE3MQ4RVXXC673
WYNDHAM HOTELS & RESORTS INC COMMON STOCK
98311A105
-1950.00000000
NS
USD
-156253.50000000
-0.01983720032
Short
EC
US
N
1
N
N
N
AKAMAI TECHNOLOGIES, INC.
OC1LZNN2LF5WTJ5RIL89
AKAMAI TECHNOLOGIES INC COMMON STOCK
00971T101
500.00000000
NS
USD
50520.00000000
0.006413778638
Long
EC
US
N
1
N
N
N
Deutsche Bank AG (New York Branch)
N/A
DEUTSCHE BANK AG/NEW YORK NY 2.129000% 11/24/2026
251526CE7
330000.00000000
PA
USD
301578.82000000
0.038287010954
Long
DBT
NUSS
DE
N
2
2026-11-24
Fixed
2.12900000
N
N
N
N
N
N
CHAMPIONX CORPORATION
549300EP2909K6DYYP38
CHAMPIONX CORP COMMON STOCK
15872M104
8045.00000000
NS
USD
187207.15000000
0.023766928336
Long
EC
US
N
1
N
N
N
N/A
N/A
KC HRW WHEAT FUT JUL22 PHYSICAL COMMODITY FUTURE.
N/A
24.00000000
NC
USD
1398600.00000000
0.177559596263
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Wheat
WHEAT FUTURE(Consolidated) Jul 2022
2022-07-17
1390875.27000000
USD
7724.73000000
N
N
N
ALTICE FINANCING S.A.
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA 3.000000% 01/15/2028
N/A
226000.00000000
PA
204747.30000000
0.025993742259
Long
DBT
NUSS
LU
N
2
2028-01-15
Fixed
3.00000000
N
N
N
N
N
N
JBG SMITH PROPERTIES
N/A
JBG SMITH PROPERTIES REIT
46590V100
1710.00000000
NS
USD
44135.10000000
0.005603182137
Long
EC
US
N
1
N
N
N
LAMAR ADVERTISING COMPANY
529900Y8WW4MKVPTB543
LAMAR ADVERTISING CO-A REIT
512816109
1669.00000000
NS
USD
163478.55000000
0.020754458269
Long
EC
US
N
1
N
N
N
DUKE ENERGY CORPORATION
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP COMMON STOCK
26441C204
7593.00000000
NS
USD
854364.36000000
0.108466030904
Long
EC
US
N
1
N
N
N
FISKER INC.
549300UUN5RWU44MBX79
FISKER INC COMMON STOCK
33813J106
-4700.00000000
NS
USD
-48786.00000000
-0.00619363825
Short
EC
US
N
1
N
N
N
REPLIGEN CORPORATION
54930006QJ0T5AUO1E71
REPLIGEN CORP COMMON STOCK
759916109
432.00000000
NS
USD
71051.04000000
0.009020301713
Long
EC
US
N
1
N
N
N
CLOUDFLARE, INC.
5493007DY18BGNLDWU14
CLOUDFLARE INC - CLASS A COMMON STOCK
18915M107
600.00000000
NS
USD
33600.00000000
0.004265696006
Long
EC
US
N
1
N
N
N
SCORPIO TANKERS INC.
549300NVJUH16NXG8K87
SCORPIO TANKERS INC COMMON STOCK
Y7542C130
2441.00000000
NS
USD
80675.05000000
0.010242120196
Long
EC
US
N
1
N
N
N
FIVE BELOW, INC.
529900AAXP5Z6BGI7418
FIVE BELOW COMMON STOCK
33829M101
-400.00000000
NS
USD
-52236.00000000
-0.00663163382
Short
EC
US
N
1
N
N
N
MASTERCARD INCORPORATED.
AR5L2ODV9HN37376R084
MASTERCARD INC - A COMMON STOCK
57636Q104
2628.00000000
NS
USD
940482.36000000
0.119399162115
Long
EC
US
N
1
N
N
N
CIENA CORPORATION
W0CZ7N0GH8UIGXDM1H41
CIENA CORP COMMON STOCK
171779309
-900.00000000
NS
USD
-45738.00000000
-0.00580667868
Short
EC
US
N
1
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 6.350000% 01/15/2031
682680BE2
124000.00000000
PA
USD
135061.89000000
0.017146814427
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
6.35000000
N
N
N
N
N
N
UDR, INC.
P3CH2EG5X6Z1XWU1OO74
UDR INC REIT
902653104
4828.00000000
NS
USD
230778.40000000
0.029298526762
Long
EC
US
N
1
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES COMMON STOCK
002824100
15282.00000000
NS
USD
1795023.72000000
0.227887664096
Long
EC
US
N
1
N
N
N
VOYA FINANCIAL, INC.
549300T065Z4KJ686G75
VOYA FINANCIAL INC 5.650000% 05/15/2053
45685EAG1
258000.00000000
PA
USD
250264.08000000
0.031772335910
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STACR REMIC TRUST 2021-HQA4 STACR 2021-HQA4 M2
35564KNS4
635266.00000000
PA
USD
584594.83000000
0.074217375941
Long
DBT
USGA
US
Y
2
2041-12-25
Floating
2.93446080
N
N
N
N
N
N
JACK HENRY & ASSOCIATES, INC.
529900X1QS8C54W0JB21
JACK HENRY & ASSOCIATES INC COMMON STOCK
426281101
349.00000000
NS
USD
65653.88000000
0.008335103979
Long
EC
US
N
1
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2018-2A A
05377RDC5
1100000.00000000
PA
USD
1107390.79000000
0.140589061617
Long
ABS-MBS
US
N
2
2025-03-20
Fixed
4.00000000
N
N
N
N
N
N
AVNET, INC.
XJI53DCPL7QABOWK4Z75
AVNET INC COMMON STOCK
053807103
-1200.00000000
NS
USD
-58140.00000000
-0.00738117755
Short
EC
US
N
1
N
N
N
DATADOG, INC.
549300F6JNO0KRPO1K63
DATADOG INC - CLASS A COMMON STOCK
23804L103
625.00000000
NS
USD
59618.75000000
0.007568912612
Long
EC
US
N
1
N
N
N
INTELLIA THERAPEUTICS, INC.
5493002T5BCPE5DZC723
INTELLIA THERAPEUTICS INC COMMON STOCK
45826J105
400.00000000
NS
USD
18456.00000000
0.002343085877
Long
EC
US
N
1
N
N
N
PURE STORAGE, INC.
549300NPDB0BZTK3WO90
PURE STORAGE INC - CLASS A COMMON STOCK
74624M102
-1112.00000000
NS
USD
-26387.76000000
-0.00335006435
Short
EC
US
N
1
N
N
N
APTARGROUP, INC.
VNPEQDQFAA7IY1T2PX43
APTARGROUP INC COMMON STOCK
038336103
-700.00000000
NS
USD
-74963.00000000
-0.00951694552
Short
EC
US
N
1
N
N
N
INEOS QUATTRO FINANCE 2 PLC
213800V48W4Y5MT5Q131
INEOS QUATTRO FINANCE 2 PLC 144A 2.500000% 01/15/2026
N/A
280000.00000000
PA
277091.09000000
0.035178165357
Long
DBT
NUSS
GB
N
2
2026-01-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
SUGAR #11 (WORLD) JUL22 PHYSICAL COMMODITY FUTURE.
N/A
74.00000000
NC
USD
1607872.00000000
0.204127772889
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Sugar
Sugar #11 World Future Jul 2022
2022-07-03
1667036.28000000
USD
-59164.28000000
N
N
N
ALKERMES PUBLIC LIMITED COMPANY
N/A
ALKERMES PLC COMMON STOCK
G01767105
2200.00000000
NS
USD
65670.00000000
0.008337150498
Long
EC
US
N
1
N
N
N
THE COCA-COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE COMMON STOCK
191216100
89358.00000000
NS
USD
5663510.04000000
0.719012266648
Long
EC
US
N
1
N
N
N
Cracker Barrel Old Country Store, Inc.
8P4PHQIUWPIECBFBW745
CRACKER BARREL OLD COUNTRY COMMON STOCK
22410J106
-300.00000000
NS
USD
-30603.00000000
-0.00388521115
Short
EC
US
N
1
N
N
N
N/A
N/A
SOYBEAN MEAL FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-18.00000000
NC
USD
-746640.00000000
-0.09478985911
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Soybean Meal
Soybean Meal Future Jul 2022
2022-07-17
-724181.19000000
USD
-22458.81000000
N
N
N
STAAR SURGICAL COMPANY
5299006LRHI7OJ8BY308
STAAR SURGICAL CO COMMON STOCK
852312305
220.00000000
NS
USD
14506.80000000
0.001841714250
Long
EC
US
N
1
N
N
N
Energy Fuels Inc.
529900P0GCATXMGK8I62
ENERGY FUELS INC COMMON STOCK
292671708
6200.00000000
NS
USD
39742.00000000
0.005045455079
Long
EC
US
N
1
N
N
N
HERBALIFE NUTRITION LTD.
549300BA7TYPBSZZIA41
HERBALIFE NUTRITION LTD COMMON STOCK
G4412G101
2034.00000000
NS
USD
44320.86000000
0.005626765342
Long
EC
US
N
1
N
N
N
MGP INGREDIENTS, INC.
2549006OMHFVZ4MS8538
MGP INGREDIENTS INC COMMON STOCK
55303J106
700.00000000
NS
USD
67802.00000000
0.008607819066
Long
EC
US
N
1
N
N
N
DISH DBS Corporation
N/A
DISH DBS CORP 144A 5.250000% 12/01/2026
25470XBE4
920000.00000000
PA
USD
778366.00000000
0.098817641001
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
HF SINCLAIR CORPORATION
N/A
HF SINCLAIR CORP COMMON STOCK
403949100
5853.00000000
NS
USD
287382.30000000
0.036484688374
Long
EC
US
N
1
N
N
N
N/A
N/A
WTI CRUDE FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
35.00000000
NC
USD
4013450.00000000
0.509528501088
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Crude Oil
WTI CRUDE Jul 2022
2022-06-20
3427946.10000000
USD
585503.90000000
N
N
N
ZIMMER BIOMET HOLDINGS, INC.
2P2YLDVPES3BXQ1FRB91
ZIMMER BIOMET HOLDINGS INC COMMON STOCK
98956P102
2422.00000000
NS
USD
291148.62000000
0.036962842427
Long
EC
US
N
1
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-N4 CRVNA 2021-N4 D
14687HAE3
329000.00000000
PA
USD
309549.52000000
0.039298933072
Long
ABS-MBS
US
N
2
2028-09-11
Fixed
2.30000000
N
N
N
N
N
N
FORESTAR GROUP INC.
549300BC2UB0GHV60V70
FORESTAR GROUP INC COMMON STOCK
346232101
1774.00000000
NS
USD
29412.92000000
0.003734124267
Long
EC
US
N
1
N
N
N
THE CHEESECAKE FACTORY INCORPORATED
529900872XMLK10SY247
CHEESECAKE FACTORY INC/THE COMMON STOCK
163072101
-700.00000000
NS
USD
-22862.00000000
-0.00290245065
Short
EC
US
N
1
N
N
N
STONERIDGE, INC.
PNBCIH9LE7WI83VJIF08
STONERIDGE INC COMMON STOCK
86183P102
-1270.00000000
NS
USD
-26263.60000000
-0.00333430159
Short
EC
US
N
1
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 1.950000% 09/20/2026
05369AAL5
142000.00000000
PA
USD
124457.98000000
0.015800592507
Long
DBT
CORP
US
N
2
2026-09-20
Fixed
1.95000000
N
N
N
N
N
N
TENET HEALTHCARE CORPORATION
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP COMMON STOCK
88033G407
900.00000000
NS
USD
58239.00000000
0.007393746122
Long
EC
US
N
1
N
N
N
RADNOR RE/ESSENT
N/A
RADNOR RE 2019-2 LTD RMIR 2019-2 M1B
75049TAB7
242283.26550000
PA
USD
241407.24000000
0.030647913677
Long
ABS-MBS
BM
N
2
2029-06-25
Floating
2.75571000
N
N
N
N
N
N
TERADYNE, INC.
C3X4YJ278QNZHRJULN75
TERADYNE INC COMMON STOCK
880770102
-603.00000000
NS
USD
-65883.78000000
-0.00836429098
Short
EC
US
N
1
N
N
N
FIRSTENERGY CORP.
549300SVYJS666PQJH88
FIRSTENERGY CORP COMMON STOCK
337932107
5941.00000000
NS
USD
255225.36000000
0.032402196394
Long
EC
US
N
1
N
N
N
M.D.C. HOLDINGS, INC.
5299005FV4VNV75R8R35
MDC HOLDINGS INC 6.000000% 01/15/2043
552676AQ1
340000.00000000
PA
USD
308433.69000000
0.039157272608
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2021-REV1 FORDR 2021-1 D
345340AD5
510000.00000000
PA
USD
463223.26000000
0.058808619351
Long
ABS-MBS
US
Y
2
2033-10-17
Fixed
2.31000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES, INC.
RLUFFFFW4GRYU77BTS24
HARLEY-DAVIDSON FINANCIAL SERVICES INC 144A 3.050000% 02/14/2027
41283LBA2
241000.00000000
PA
USD
222773.04000000
0.028282204376
Long
DBT
CORP
US
N
2
2027-02-14
Fixed
3.05000000
N
N
N
N
N
N
RED ROCK RESORTS, INC.
N/A
RED ROCK RESORTS INC-CLASS A COMMON STOCK
75700L108
-1000.00000000
NS
USD
-38730.00000000
-0.00491697637
Short
EC
US
N
1
N
N
N
Veracyte Inc
529900ESWZRHXOW27Z37
VERACYTE INC COMMON STOCK
92337F107
1100.00000000
NS
USD
19338.00000000
0.002455060397
Long
EC
US
N
1
N
N
N
Garmin Ltd.
2549001E0HIPIJQ0W046
GARMIN LTD COMMON STOCK
H2906T109
-6154.00000000
NS
USD
-649985.48000000
-0.08251906149
Short
EC
US
N
1
N
N
N
WESTROCK COMPANY
5493004Z9TCQW68YVL89
WESTROCK CO COMMON STOCK
96145D105
-2906.00000000
NS
USD
-140911.94000000
-0.01788950891
Short
EC
US
N
1
N
N
N
TRANSCANADA PIPELINES LIMITED
5BV01I6231JPDAPMGH09
TRANSCANADA PIPELINES LTD 6.200000% 10/15/2037
89352HAD1
302000.00000000
PA
USD
343727.24000000
0.043637973658
Long
DBT
NUSS
CA
N
2
2037-10-15
Fixed
6.20000000
N
N
N
N
N
N
ULTA BEAUTY, INC.
529900CIV6HN8M28YM82
ULTA BEAUTY INC COMMON STOCK
90384S303
-415.00000000
NS
USD
-175586.50000000
-0.02229162594
Short
EC
US
N
1
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD MTN 1.810000% 01/26/2026
88032WAT3
621000.00000000
PA
USD
574520.20000000
0.072938348889
Long
DBT
NUSS
CN
N
2
2026-01-26
Fixed
1.81000000
N
N
N
N
N
N
Olin Corporation
549300GKK294V7W57P06
OLIN CORP COMMON STOCK
680665205
-1900.00000000
NS
USD
-125001.00000000
-0.01586953174
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS738281
-18870.20330000
NC
USD
-4344.36000000
-0.00055153925
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-2417.37000000
USD
-18870.20330000
USD
-1926.99000000
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC COMMON STOCK
91324P102
7866.00000000
NS
USD
3907671.48000000
0.496099363876
Long
EC
US
N
1
N
N
N
SJW GROUP
N/A
SJW GROUP COMMON STOCK
784305104
700.00000000
NS
USD
43295.00000000
0.005496527041
Long
EC
US
N
1
N
N
N
AMERICAN EAGLE OUTFITTERS, INC.
5299001Z9HXK01DHW793
AMERICAN EAGLE OUTFITTERS COMMON STOCK
02553E106
-1200.00000000
NS
USD
-14532.00000000
-0.00184491352
Short
EC
US
N
1
N
N
N
N/A
N/A
LOW SU GASOIL G JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-3.00000000
NC
USD
-359700.00000000
-0.04566579921
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Gasoil
GAS OIL FUT (ICE) Jul 2022
2022-07-15
-327118.94000000
USD
-32581.06000000
N
N
N
LIFE STORAGE, INC.
W9EE01AFDDF9DQCQZC68
LIFE STORAGE INC REIT
53223X107
1143.00000000
NS
USD
133456.68000000
0.016943024609
Long
EC
US
N
1
N
N
N
LIGHT & WONDER, INC.
529900JXALYBOHXKFM62
LIGHT & WONDER INC COMMON STOCK
80874P109
-1638.00000000
NS
USD
-86486.40000000
-0.01097990152
Short
EC
US
N
1
N
N
N
FOUR CORNERS PROPERTY TRUST, INC.
549300SVTPZPBDVNER42
FOUR CORNERS PROPERTY TRUST REIT
35086T109
1856.00000000
NS
USD
51169.92000000
0.006496289386
Long
EC
US
N
1
N
N
N
PALO ALTO NETWORKS, INC.
549300QXR2YVZV231H43
PALO ALTO NETWORKS INC COMMON STOCK
697435105
378.00000000
NS
USD
190050.84000000
0.024127949678
Long
EC
US
N
1
N
N
N
THE WENDY'S COMPANY
529900M0JIUCMWVKHG76
WENDY'S CO/THE COMMON STOCK
95058W100
-3372.00000000
NS
USD
-62854.08000000
-0.00797965470
Short
EC
US
N
1
N
N
N
ANTERO RESOURCES CORPORATION
APVBKPOULHUX7YZLKU17
ANTERO RESOURCES CORP COMMON STOCK
03674X106
9066.00000000
NS
USD
388750.08000000
0.049353859039
Long
EC
US
N
1
N
N
N
CAL-MAINE FOODS, INC.
549300NHE5WMIEIEMF53
CAL-MAINE FOODS INC COMMON STOCK
128030202
1050.00000000
NS
USD
50116.50000000
0.006362552199
Long
EC
US
N
1
N
N
N
DUKE REALTY CORPORATION
254900E47KH1NFFKNF25
DUKE REALTY CORP REIT
264411505
5826.00000000
NS
USD
307787.58000000
0.039075245559
Long
EC
US
N
1
N
N
N
WORKHORSE GROUP INC.
5493006JUAG258V8X854
WORKHORSE GROUP INC COMMON STOCK
98138J206
-15900.00000000
NS
USD
-49131.00000000
-0.00623743781
Short
EC
US
N
1
N
N
N
ORMAT TECHNOLOGIES, INC.
5493000TSHHWY24VHM09
ORMAT TECHNOLOGIES INC COMMON STOCK
686688102
275.00000000
NS
USD
23089.00000000
0.002931269496
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 07/07/2022
912796R68
13000000.00000000
PA
USD
12990477.50000000
1.649209166427
Long
DBT
UST
US
N
2
2022-07-07
None
0.00000000
N
N
N
N
N
N
VONAGE HOLDINGS CORP.
529900W7N0N4WLN1JY21
VONAGE HOLDINGS CORP COMMON STOCK
92886T201
1649.00000000
NS
USD
31941.13000000
0.004055093770
Long
EC
US
N
1
N
N
N
AXALTA COATING SYSTEMS LTD.
529900AGLPA40GV6H619
AXALTA COATING SYSTEMS LTD COMMON STOCK
G0750C108
-2073.00000000
NS
USD
-56302.68000000
-0.00714792015
Short
EC
US
N
1
N
N
N
THE J. M. SMUCKER COMPANY
5493000WDH6A0LHDJD55
JM SMUCKER CO/THE COMMON STOCK
832696405
2400.00000000
NS
USD
300888.00000000
0.038199307736
Long
EC
US
N
1
N
N
N
INTUITIVE SURGICAL, INC.
54930052SRG011710797
INTUITIVE SURGICAL INC COMMON STOCK
46120E602
2871.00000000
NS
USD
653554.44000000
0.082972159661
Long
EC
US
N
1
N
N
N
PFIZER INC.
765LHXWGK1KXCLTFYQ30
PFIZER INC COMMON STOCK
717081103
46528.00000000
NS
USD
2467845.12000000
0.313305865256
Long
EC
US
N
1
N
N
N
AMERICAN HOMES 4 RENT
549300ZJUO7A58PNUW40
AMERICAN HOMES 4 RENT- A REIT
02665T306
4475.00000000
NS
USD
165396.00000000
0.020997888591
Long
EC
US
N
1
N
N
N
PACKAGING CORPORATION OF AMERICA
549300XZP8MFZFY8TJ84
PACKAGING CORP OF AMERICA COMMON STOCK
695156109
-1083.00000000
NS
USD
-170334.24000000
-0.02162482402
Short
EC
US
N
1
N
N
N
CENTENE CORPORATION
549300Z7JJ4TQSQGT333
CENTENE CORP COMMON STOCK
15135B101
4709.00000000
NS
USD
383500.96000000
0.048687455758
Long
EC
US
N
1
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 STACR 2022-DNA1 M1A
35564KPU7
476974.00000000
PA
USD
466167.58000000
0.059182416198
Long
DBT
USGA
US
Y
2
2042-01-25
Floating
1.58446080
N
N
N
N
N
N
BEST BUY CO., INC.
HL5XPTVRV0O8TUN5LL90
BEST BUY CO INC COMMON STOCK
086516101
-2353.00000000
NS
USD
-193087.18000000
-0.02451342894
Short
EC
US
N
1
N
N
N
CALIFORNIA WATER SERVICE GROUP
529900QABDOBU6UVRQ36
CALIFORNIA WATER SERVICE GRP COMMON STOCK
130788102
397.00000000
NS
USD
21306.99000000
0.002705033992
Long
EC
US
N
1
N
N
N
POOL CORPORATION
5493005VZK1KMN6CO617
POOL CORP COMMON STOCK
73278L105
-441.00000000
NS
USD
-175791.42000000
-0.02231764161
Short
EC
US
N
1
N
N
N
AGREE REALTY CORPORATION
N/A
AGREE REALTY CORP REIT
008492100
800.00000000
NS
USD
55656.00000000
0.007065820741
Long
EC
US
N
1
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC COMMON STOCK
969457100
42725.00000000
NS
USD
1583388.50000000
0.201019464312
Long
EC
US
N
1
N
N
N
Madison Square Garden Entertainment Corp
N/A
MADISON SQUARE GARDEN ENTERT COMMON STOCK
55826T102
322.00000000
NS
USD
21828.38000000
0.002771227184
Long
EC
US
N
1
N
N
N
BURLINGTON STORES, INC.
5299003Z37DVGKKC1W09
BURLINGTON STORES INC COMMON STOCK
122017106
-561.00000000
NS
USD
-94416.30000000
-0.01198664386
Short
EC
US
N
1
N
N
N
DRYDEN CLO LTD
N/A
DRYDEN 78 CLO LTD DRSLF 2020-78A C
26253LAE2
660000.00000000
PA
USD
612522.90000000
0.077762990723
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
2.99428920
N
N
N
N
N
N
CAVCO INDUSTRIES, INC.
N/A
CAVCO INDUSTRIES INC COMMON STOCK
149568107
-244.00000000
NS
USD
-54207.04000000
-0.00688186767
Short
EC
US
N
1
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC COMMON STOCK
023135106
-2400.00000000
NS
USD
-5770056.00000000
-0.73253883438
Short
EC
US
N
1
N
N
N
QUIDEL CORPORATION
549300X2FQ6S98OQLQ46
QUIDELORTHO CORP COMMON STOCK
219798105
200.00000000
NS
USD
19006.00000000
0.002412911258
Long
EC
US
N
1
N
N
N
ADVANCE AUTO PARTS, INC.
529900UCNQ5H9FSL0Y70
ADVANCE AUTO PARTS INC 3.900000% 04/15/2030
00751YAE6
784000.00000000
PA
USD
735031.44000000
0.093316091610
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.90000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS331915
-145570.12530000
NC
USD
-33513.63000000
-0.00425473088
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2049-12-31
0.00000000
USD
-8950.52000000
USD
-145570.12530000
USD
-24563.11000000
N
N
N
SERVICE CORPORATION INTERNATIONAL
549300RKVM2ME20JHZ15
SERVICE CORP INTERNATIONAL COMMON STOCK
817565104
-3970.00000000
NS
USD
-278019.10000000
-0.03529598108
Short
EC
US
N
1
N
N
N
ANAPLAN, INC.
N/A
ANAPLAN INC COMMON STOCK
03272L108
900.00000000
NS
USD
59040.00000000
0.007495437268
Long
EC
US
N
1
N
N
N
ASPEN TECHNOLOGY, INC.
N/A
ASPEN TECHNOLOGY INC COMMON STOCK
29109X106
178.00000000
NS
USD
34441.22000000
0.004372493291
Long
EC
US
N
1
N
N
N
THE PROCTER & GAMBLE COMPANY
2572IBTT8CCZW6AU4141
PROCTER & GAMBLE CO/THE COMMON STOCK
742718109
54036.00000000
NS
USD
7990843.68000000
1.014479463479
Long
EC
US
N
1
N
N
N
BIO-RAD LABORATORIES, INC.
549300ZC1GPV35XYDK53
BIO-RAD LABORATORIES-A COMMON STOCK
090572207
127.00000000
NS
USD
68299.33000000
0.008670957714
Long
EC
US
N
1
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GS MORTGAGE SECURITIES TRUST 2021-1 A2
36246LAE1
511000.00000000
PA
USD
479767.53000000
0.060909001091
Long
DBT
USGA
US
N
2
2026-08-17
Fixed
2.43510000
N
N
N
N
N
N
PENN NATIONAL GAMING, INC.
N/A
PENN NATIONAL GAMING INC COMMON STOCK
707569109
-4032.00000000
NS
USD
-128862.72000000
-0.01635979732
Short
EC
US
N
1
N
N
N
COSTCO WHOLESALE CORPORATION
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP COMMON STOCK
22160K105
10401.00000000
NS
USD
4849154.22000000
0.615625529472
Long
EC
US
N
1
N
N
N
GRAND CANYON EDUCATION, INC.
529900XFER799IYOSW74
GRAND CANYON EDUCATION INC COMMON STOCK
38526M106
-955.00000000
NS
USD
-85157.35000000
-0.01081117166
Short
EC
US
N
1
N
N
N
SOUTHWEST GAS HOLDINGS, INC.
N/A
SOUTHWEST GAS HOLDINGS INC COMMON STOCK
844895102
500.00000000
NS
USD
46565.00000000
0.005911670670
Long
EC
US
N
1
N
N
N
BROOKFIELD RENEWABLE CORPORATION
N/A
BROOKFIELD RENEWABLE COR-A COMMON STOCK
11284V105
1100.00000000
NS
USD
39798.00000000
0.005052564573
Long
EC
US
N
1
N
N
N
AMCOR PLC
549300GSODGFCDQ3DI89
AMCOR PLC COMMON STOCK
G0250X107
-18836.00000000
NS
USD
-246751.60000000
-0.03132640817
Short
EC
US
N
1
N
N
N
ARISTA NETWORKS, INC.
635400H1WKBLOQERUU95
ARISTA NETWORKS INC COMMON STOCK
040413106
-965.00000000
NS
USD
-98700.20000000
-0.01253050740
Short
EC
US
N
1
N
N
N
BOSTON SCIENTIFIC CORPORATION
Y6ZDD9FP4P8JSSJMW954
BOSTON SCIENTIFIC CORP COMMON STOCK
101137107
13441.00000000
NS
USD
551215.41000000
0.069979683722
Long
EC
US
N
1
N
N
N
BORGWARNER INC.
549300DSFX2IE88NSX47
BORGWARNER INC COMMON STOCK
099724106
-14591.00000000
NS
USD
-588309.12000000
-0.07468892451
Short
EC
US
N
1
N
N
N
JACK IN THE BOX INC.
5493002OJW26P0SUUP68
JACK IN THE BOX INC COMMON STOCK
466367109
-587.00000000
NS
USD
-40092.10000000
-0.00508990210
Short
EC
US
N
1
N
N
N
TERRENO REALTY CORPORATION
N/A
TERRENO REALTY CORP REIT
88146M101
1022.00000000
NS
USD
62045.62000000
0.007877016471
Long
EC
US
N
1
N
N
N
RADNOR RE/ESSENT
N/A
RADNOR RE 2020-1 LTD RMIR 2020-1 M1A
750493AA6
310781.00000000
PA
USD
304926.79000000
0.038712053283
Long
ABS-MBS
BM
N
2
2030-01-25
Floating
1.95571080
N
N
N
N
N
N
THE SOUTHERN COMPANY
549300FC3G3YU2FBZD92
SOUTHERN CO/THE COMMON STOCK
842587107
10640.00000000
NS
USD
805022.40000000
0.102201810615
Long
EC
US
N
1
N
N
N
NEWMARK GROUP, INC.
N/A
NEWMARK GROUP INC-CLASS A COMMON STOCK
65158N102
3341.00000000
NS
USD
36984.87000000
0.004695422983
Long
EC
US
N
1
N
N
N
FEDERAL REALTY INVESTMENT TRUST
N/A
FEDERAL REALTY INVS TRUST REIT
313745101
1099.00000000
NS
USD
126352.03000000
0.016041052076
Long
EC
US
N
1
N
N
N
BAKER HUGHES COMPANY
N/A
BAKER HUGHES CO COMMON STOCK
05722G100
26835.00000000
NS
USD
965523.30000000
0.122578240619
Long
EC
US
N
1
N
N
N
KIMBERLY-CLARK CORPORATION
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK CORP COMMON STOCK
494368103
7768.00000000
NS
USD
1033299.36000000
0.131182766466
Long
EC
US
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-06-16
N/A
1.00000000
NC
USD
39478.52000000
0.005012004913
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
5636377.09000000
MYR
1327768.45000000
USD
2022-06-16
39478.52000000
N
N
N
VAIL RESORTS, INC.
529900PSZHRNU9HKH870
VAIL RESORTS INC COMMON STOCK
91879Q109
-931.00000000
NS
USD
-234807.51000000
-0.02981004338
Short
EC
US
N
1
N
N
N
N/A
N/A
LME ZINC FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
5.00000000
NC
USD
490437.50000000
0.062263609675
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Zinc
LME ZINC FUTURE Jul 2022
2022-07-21
539023.65000000
USD
-48586.15000000
N
N
N
PLAYTECH PLC
21380068TTB6Z9ZEU548
PLAYTECH PLC 4.250000% 03/07/2026
N/A
200000.00000000
PA
211644.05000000
0.026869320799
Long
DBT
NUSS
GB
N
2
2026-03-07
Fixed
4.25000000
N
N
N
N
N
N
CUSHMAN & WAKEFIELD PLC
N/A
CUSHMAN & WAKEFIELD PLC COMMON STOCK
G2717B108
1464.00000000
NS
USD
27332.88000000
0.003470052293
Long
EC
US
N
1
N
N
N
TWITTER, INC.
549300I8RX485XMK6836
TWITTER INC COMMON STOCK
90184L102
3774.00000000
NS
USD
149450.40000000
0.018973511143
Long
EC
US
N
1
N
N
N
BLOOMIN' BRANDS, INC.
E1UJ2GO305B5FXGV7N04
BLOOMIN' BRANDS INC COMMON STOCK
094235108
-1700.00000000
NS
USD
-35887.00000000
-0.00455604263
Short
EC
US
N
1
N
N
N
HCA HEALTHCARE, INC.
529900PH4ZGUH2MNEU89
HCA HEALTHCARE INC COMMON STOCK
40412C101
1870.00000000
NS
USD
393448.00000000
0.049950284592
Long
EC
US
N
1
N
N
N
Federal Home Loan Banks
N/A
FED HOME LN DISCOUNT NT ZERO COUPON 06/17/2022
313385YE0
1000000.00000000
PA
USD
999637.11000000
0.126909167496
Long
DBT
USGA
US
N
2
2022-06-17
None
0.00000000
N
N
N
N
N
N
IQVIA HOLDINGS INC
549300W3R20NM4KQPH86
IQVIA HOLDINGS INC COMMON STOCK
46266C105
2021.00000000
NS
USD
435020.25000000
0.055228099496
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY FRN VARIABLE RATE 07/31/2023
91282CCQ2
6500000.00000000
PA
USD
6510573.62000000
0.826551425288
Long
SN
UST
US
N
2
2023-07-31
Floating
1.09184760
N
N
N
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.250000% 06/15/2026
00928QAS0
54000.00000000
PA
USD
51479.02000000
0.006535531250
Long
DBT
NUSS
US
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.943000% 01/21/2033
61747YEL5
107000.00000000
PA
USD
95275.01000000
0.012095661597
Long
DBT
CORP
US
N
2
2033-01-21
Fixed
2.94300000
N
N
N
N
N
N
AMERICAN WATER WORKS COMPANY, INC.
549300DXHIJQMD5WFW18
AMERICAN WATER WORKS CO INC COMMON STOCK
030420103
1816.00000000
NS
USD
274670.00000000
0.034870795299
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS895273
-166237.48890000
NC
USD
-38271.74000000
-0.00485879787
N/A
DCR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2063-05-11
0.00000000
USD
-19526.87000000
USD
-166237.48890000
USD
-18744.87000000
N
N
N
CITIC Limited
2549006I3Q3M98KHOT11
CITIC LTD MTN 2.850000% 02/25/2030
N/A
278000.00000000
PA
USD
247275.68000000
0.031392942876
Long
DBT
NUSS
CN
N
2
2030-02-25
Fixed
2.85000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS857203
-26058.84450000
NC
USD
-5999.35000000
-0.00076164890
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-3119.52000000
USD
-26058.84450000
USD
-2879.83000000
N
N
N
TRIMBLE INC.
549300E2MI7NSZFQWS19
TRIMBLE INC COMMON STOCK
896239100
-976.00000000
NS
USD
-66416.80000000
-0.00843196067
Short
EC
US
N
1
N
N
N
GETTY REALTY CORP.
N/A
GETTY REALTY CORP REIT
374297109
1100.00000000
NS
USD
30734.00000000
0.003901842293
Long
EC
US
N
1
N
N
N
CHARTER COMMUNICATIONS, INC.
0J0XRGZE3PBRFEZ7MV65
CHARTER COMMUNICATIONS INC-A COMMON STOCK
16119P108
-1573.00000000
NS
USD
-797400.89000000
-0.10123421999
Short
EC
US
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-07-21
N/A
1.00000000
NC
USD
-1445.28000000
-0.00018348586
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
467225.80000000
AUD
333896.84000000
USD
2022-07-21
-1445.28000000
N
N
N
THE ENSIGN GROUP, INC.
5493003K4HEEA8Q0BC72
ENSIGN GROUP INC/THE COMMON STOCK
29358P101
361.00000000
NS
USD
29302.37000000
0.003720089365
Long
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 1.593%
N/A
2440000.00000000
NC
USD
208133.63000000
0.026423654591
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2029-09-27
0.00000000
USD
0.00000000
USD
-2440000.00000000
USD
208133.63000000
N
N
N
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC
N/A
DUKE ENERGY CAROLINAS NC STORM FUNDING LLC 2.617000% 07/01/2041
26443KAB1
314000.00000000
PA
USD
266481.89000000
0.033831271843
Long
DBT
CORP
US
N
2
2041-07-01
Fixed
2.61700000
N
N
N
N
N
N
OEC FINANCE LIMITED
N/A
OEC FINANCE LTD 144A 7.125000% 12/26/2046
67614CAF7
221317.00000000
PA
USD
7303.46000000
0.000927212504
Long
DBT
NUSS
BR
N
2
2046-12-26
Fixed
7.12500000
N
N
Y
N
N
N
NETFLIX, INC.
549300Y7VHGU0I7CE873
NETFLIX INC COMMON STOCK
64110L106
4118.00000000
NS
USD
813057.92000000
0.103221961971
Long
EC
US
N
1
N
N
N
N/A
N/A
LME PRI ALUM FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-3.00000000
NC
USD
-208050.00000000
-0.02641303732
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Aluminum
LME ALUM HG FUTUR Jul 2022
2022-07-21
-245148.87000000
USD
37098.87000000
N
N
N
VISTRA CORP.
549300KP43CPCUJOOG15
VISTRA CORP 144A 7.000000% MATURITY: PERPETUAL
92840MAC6
272000.00000000
PA
USD
260839.84000000
0.033114984040
Long
DBT
CORP
US
N
2
2170-06-15
Fixed
7.00000000
N
N
N
N
N
N
JABIL INC.
5493000CGCQY2OQU7669
JABIL INC COMMON STOCK
466313103
-678.00000000
NS
USD
-41710.56000000
-0.00529537408
Short
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 1.9905
N/A
2040000.00000000
NC
USD
50460.66000000
0.006406245114
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2025-04-21
0.00000000
USD
0.00000000
USD
-2040000.00000000
USD
50460.66000000
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC COMMON STOCK
682680103
16468.00000000
NS
USD
1084417.80000000
0.137672520197
Long
EC
US
N
1
N
N
N
LEAR CORPORATION
549300UPNBTXA1SYTQ33
LEAR CORP COMMON STOCK
521865204
-3492.00000000
NS
USD
-492232.32000000
-0.06249147147
Short
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R02 CAS 2022-R02 2M1
20754BAA9
755477.43820000
PA
USD
741692.09000000
0.094161696018
Long
ABS-MBS
US
Y
2
2042-01-25
Floating
1.78445880
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST 2021-P4 CRVNA 2021-P4 D
14687KAG1
420000.00000000
PA
USD
366370.66000000
0.046512674440
Long
ABS-MBS
US
N
2
2028-09-11
Fixed
2.61000000
N
N
N
N
N
N
THE GAP, INC.
T2ZG1WRWZ4BUCMQL9224
GAP INC/THE COMMON STOCK
364760108
-1700.00000000
NS
USD
-18751.00000000
-0.00238053767
Short
EC
US
N
1
N
N
N
SUNCOKE ENERGY, INC.
1KF1J2NXQE2PI0QOB943
SUNCOKE ENERGY INC COMMON STOCK
86722A103
-1500.00000000
NS
USD
-12135.00000000
-0.00154060181
Short
EC
US
N
1
N
N
N
CHASE MORTGAGE REFERENCE NOTES
N/A
JPMORGAN CHASE BANK NA - CHASE CHASE 2019-CL1 M3
46591HAC4
114708.74500000
PA
USD
111984.87000000
0.014217065854
Long
ABS-MBS
US
Y
2
2047-04-25
Floating
3.10570920
N
N
N
N
N
N
N/A
N/A
BRENT CRUDE FUTR SEP22 PHYSICAL COMMODITY FUTURE.
N/A
9.00000000
NC
USD
1013220.00000000
0.128633586533
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Crude Oil
BRENT CRUDE OIL(ICE) Sep 2022
2022-08-01
947217.37000000
USD
66002.63000000
N
N
N
SANMINA CORPORATION
X5K24XLM8QYRXF00EB42
SANMINA CORP COMMON STOCK
801056102
-1200.00000000
NS
USD
-52668.00000000
-0.00668647848
Short
EC
US
N
1
N
N
N
BAXTER INTERNATIONAL INC.
J5OIVXX3P24RJRW5CK77
BAXTER INTERNATIONAL INC COMMON STOCK
071813109
4796.00000000
NS
USD
364735.80000000
0.046305120399
Long
EC
US
N
1
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A
00834TAA6
218671.70700000
PA
USD
213897.73000000
0.027155437280
Long
ABS-MBS
US
Y
2
2026-11-16
Fixed
1.17000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
PARAMOUNT GLOBAL-CLASS B COMMON STOCK
92556H206
-6942.00000000
NS
USD
-238318.86000000
-0.03025582765
Short
EC
US
N
1
N
N
N
BRK: MERRILL LYNCH
N/A
BRK: MERRILL LYNCH REF: BLOOMBERG COMMODITY INDEX 2 MONTH FORWARD TR
N/A
4107.40950000
NC
USD
-4432.52000000
-0.00056273163
N/A
DE
US
N
2
BRK: MERRILL LYNCH
N/A
Y
2022-06-22
0.00000000
USD
0.00000000
USD
-2928440.25000000
USD
-4432.52000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 1.734000% 07/22/2027
06051GJS9
1043000.00000000
PA
USD
949649.66000000
0.120562998871
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
Capri Holdings Limited
549300LPG8W0H1OX3A26
CAPRI HOLDINGS LTD COMMON STOCK
G1890L107
-4654.00000000
NS
USD
-226835.96000000
-0.02879801335
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS730016
-25160.26440000
NC
USD
-5792.48000000
-0.00073538567
N/A
DCR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2063-05-11
0.00000000
USD
-2783.45000000
USD
-25160.26440000
USD
-3009.03000000
N
N
N
Comision Federal de Electricidad
4469000001BFPONMPF32
COMISION FEDERAL DE ELECTRICIDAD 144A 3.348000% 02/09/2031
200447AH3
574000.00000000
PA
USD
460353.74000000
0.058444318756
Long
DBT
NUSS
MX
N
2
2031-02-09
Fixed
3.34800000
N
N
N
N
N
N
COGNEX CORPORATION
549300JQTYZCLC43S226
COGNEX CORP COMMON STOCK
192422103
-900.00000000
NS
USD
-43578.00000000
-0.00553245537
Short
EC
US
N
1
N
N
N
Edgewell Personal Care Company
549300CY8QZDL4Z3RU59
EDGEWELL PERSONAL CARE CO COMMON STOCK
28035Q102
1666.00000000
NS
USD
60642.40000000
0.007698870342
Long
EC
US
N
1
N
N
N
PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED
PUSS41EMO3E6XXNV3U28
PUBLIC SERVICE ENTERPRISE GP COMMON STOCK
744573106
5926.00000000
NS
USD
406168.04000000
0.051565160301
Long
EC
US
N
1
N
N
N
THE TJX COMPANIES, INC.
V167QI9I69W364E2DY52
TJX COMPANIES INC COMMON STOCK
872540109
-11266.00000000
NS
USD
-716179.62000000
-0.09092275431
Short
EC
US
N
1
N
N
N
BOOT BARN HOLDINGS, INC.
529900QE1BFMYA3N4E71
BOOT BARN HOLDINGS INC COMMON STOCK
099406100
-500.00000000
NS
USD
-40350.00000000
-0.00512264386
Short
EC
US
N
1
N
N
N
ALIGN TECHNOLOGY, INC.
549300N5YSE0U3LCP840
ALIGN TECHNOLOGY INC COMMON STOCK
016255101
962.00000000
NS
USD
267089.68000000
0.033908433967
Long
EC
US
N
1
N
N
N
N/A
N/A
BRK: HSBC SECURITIES NEW YORK AMT: 13,740,250.00
N/A
-13740250.00000000
PA
USD
-13740250.00000000
-1.74439671282
Short
RA
US
N
2
Reverse repurchase
N
0.32000000
2050-12-31
12200000.00000000
USD
13877621.30000000
USD
UST
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2011-131 ST
3136A2N58
527613.53700000
PA
USD
87724.88000000
0.011137133043
Long
DBT
USGA
US
N
2
2041-12-25
Floating
5.53429080
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.075000% 04/23/2029
172967LW9
288000.00000000
PA
USD
282685.39000000
0.035888391046
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS737905
-259689.92510000
NC
USD
-59786.66000000
-0.00759022966
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-33350.93000000
USD
-259689.92510000
USD
-26435.73000000
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.906000% 04/02/2030
05526DBN4
447000.00000000
PA
USD
432819.81000000
0.054948742112
Long
DBT
CORP
GB
N
2
2030-04-02
Fixed
4.90600000
N
N
N
N
N
N
INVITATION HOMES INC.
984500FE452E665C9F85
INVITATION HOMES INC REIT
46187W107
11096.00000000
NS
USD
418541.12000000
0.053135987620
Long
EC
US
N
1
N
N
N
PALANTIR TECHNOLOGIES INC.
549300UVN46B3BBDHO85
PALANTIR TECHNOLOGIES INC-A COMMON STOCK
69608A108
3300.00000000
NS
USD
28644.00000000
0.003636505845
Long
EC
US
N
1
N
N
N
GLOBAL PAYMENTS INC.
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC COMMON STOCK
37940X102
781.00000000
NS
USD
102342.24000000
0.012992883465
Long
EC
US
N
1
N
N
N
DAVITA INC.
M2XHYMU3TZNEZURC6H66
DAVITA INC COMMON STOCK
23918K108
511.00000000
NS
USD
49817.39000000
0.006324578618
Long
EC
US
N
1
N
N
N
ZOETIS INC.
549300HD9Q1LOC9KLJ48
ZOETIS INC COMMON STOCK
98978V103
4094.00000000
NS
USD
699787.42000000
0.088841678653
Long
EC
US
N
1
N
N
N
Domino's Pizza Master Issuer LLC
N/A
DOMINO'S PIZZA MASTER ISSUER LLC DPABS 2021-1A A2I
25755TAN0
391050.00000000
PA
USD
348787.27000000
0.044280370973
Long
ABS-MBS
US
Y
2
2051-04-25
Fixed
2.66200000
N
N
N
N
N
N
Blueprint Medicines Corp
5299004CC60O9T5HVM83
BLUEPRINT MEDICINES CORP COMMON STOCK
09627Y109
472.00000000
NS
USD
25960.00000000
0.003295757985
Long
EC
US
N
1
N
N
N
PAGERDUTY, INC.
549300U1SB749EDAGH21
PAGERDUTY INC COMMON STOCK
69553P100
1210.00000000
NS
USD
29826.50000000
0.003786630414
Long
EC
US
N
1
N
N
N
Shockwave Medical Inc
549300LDXO56IC5Y1538
SHOCKWAVE MEDICAL INC COMMON STOCK
82489T104
200.00000000
NS
USD
32842.00000000
0.004169463935
Long
EC
US
N
1
N
N
N
L STREET SECURITIES
N/A
WELLS FARGO CREDIT RISK TRANSFER SECURITIES TRUST LSS 2015-WF1 1M2
949771AC3
116142.88930000
PA
USD
90575.89000000
0.011499083697
Long
ABS-MBS
US
N
2
2025-11-25
Floating
6.25570920
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 3.500000% 11/01/2027
05369AAA9
157000.00000000
PA
USD
144523.31000000
0.018347991258
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD.
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 144A 11.500000% 06/01/2025
780153AZ5
301000.00000000
PA
USD
326274.97000000
0.041422316562
Long
DBT
NUSS
US
N
2
2025-06-01
Fixed
11.50000000
N
N
N
N
N
N
BEYOND MEAT, INC.
549300XQ946NCE51DR09
BEYOND MEAT INC COMMON STOCK
08862E109
1228.00000000
NS
USD
32480.60000000
0.004123582312
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2021-DNA7 M2
35564KMH9
952776.00000000
PA
USD
890798.40000000
0.113091523134
Long
DBT
USGA
US
N
2
2041-11-25
Floating
2.38446000
N
N
N
N
N
N
STORE CAPITAL CORPORATION
5493004EA6C9IHDZ7N66
STORE CAPITAL CORP REIT
862121100
4340.00000000
NS
USD
119740.60000000
0.015201696405
Long
EC
US
N
1
N
N
N
CORPORATE OFFICE PROPERTIES TRUST
YY1J47X6LF9TYY8JY420
CORPORATE OFFICE PROPERTIES REIT
22002T108
1429.00000000
NS
USD
39497.56000000
0.005014422141
Long
EC
US
N
1
N
N
N
N/A
N/A
SOYBEAN OIL FUTR DEC22 PHYSICAL COMMODITY FUTURE.
N/A
-4.00000000
NC
USD
-179328.00000000
-0.02276662897
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Soybean Oil
Soybean Oil Future Dec 2022
2022-12-17
-177371.00000000
USD
-1957.00000000
N
N
N
EBAY INC.
OML71K8X303XQONU6T67
EBAY INC COMMON STOCK
278642103
-6280.00000000
NS
USD
-305647.60000000
-0.03880356388
Short
EC
US
N
1
N
N
N
INTUIT INC.
VI90HBPH7XSFMB9E4M29
INTUIT INC COMMON STOCK
461202103
754.00000000
NS
USD
312502.84000000
0.039673872516
Long
EC
US
N
1
N
N
N
SKECHERS U.S.A., INC.
529900D2R54KZPA4XR56
SKECHERS USA INC-CL A COMMON STOCK
830566105
-5368.00000000
NS
USD
-211499.20000000
-0.02685093133
Short
EC
US
N
1
N
N
N
FISERV, INC.
GI7UBEJLXYLGR2C7GV83
FISERV INC COMMON STOCK
337738108
2398.00000000
NS
USD
240231.64000000
0.030498665099
Long
EC
US
N
1
N
N
N
AMN HEALTHCARE SERVICES, INC.
529900W3ARRTCNFH2I39
AMN HEALTHCARE SERVICES INC COMMON STOCK
001744101
500.00000000
NS
USD
48450.00000000
0.006150981294
Long
EC
US
N
1
N
N
N
PG&E CORPORATION
8YQ2GSDWYZXO2EDN3511
P G & E CORP COMMON STOCK
69331C108
19463.00000000
NS
USD
237448.60000000
0.030145343593
Long
EC
US
N
1
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-07-21
N/A
1.00000000
NC
-16179.19000000
-0.00205403292
N/A
DFE
CA
N
2
BNP PARIBAS
N/A
1614662.30000000
USD
2022157.69000000
CAD
2022-07-21
-16179.19000000
N
N
N
SOUTHERN COPPER CORPORATION
2549007U6NAP46Q9TU15
SOUTHERN COPPER CORP COMMON STOCK
84265V105
-925.00000000
NS
USD
-57146.50000000
-0.00725504752
Short
EC
US
N
1
N
N
N
KOSMOS ENERGY LTD.
213800YDFJ3OT9B5P157
KOSMOS ENERGY LTD COMMON STOCK
500688106
15416.00000000
NS
USD
119319.84000000
0.015148278719
Long
EC
US
N
1
N
N
N
HENRY SCHEIN, INC.
VGO3WGL8H45T73F4RR92
HENRY SCHEIN INC COMMON STOCK
806407102
936.00000000
NS
USD
80159.04000000
0.010176610023
Long
EC
US
N
1
N
N
N
GODADDY INC.
549300J8H1TB0I2CB447
GODADDY INC - CLASS A COMMON STOCK
380237107
1000.00000000
NS
USD
75050.00000000
0.009527990633
Long
EC
US
N
1
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11 CGCMT 2013-GC11 D
17320DAU2
249599.00000000
PA
USD
245901.09000000
0.031218431475
Long
ABS-MBS
US
N
2
2046-04-10
Floating
4.41728640
N
N
N
N
N
N
BUNGE LIMITED
5493007M0RIN8HY3MM77
BUNGE LTD COMMON STOCK
G16962105
3340.00000000
NS
USD
395188.80000000
0.050171288270
Long
EC
US
N
1
N
N
N
D.R. HORTON, INC.
529900ZIUEYVSB8QDD25
DR HORTON INC COMMON STOCK
23331A109
-11326.00000000
NS
USD
-851148.90000000
-0.10805781141
Short
EC
US
N
1
N
N
N
VOYA CLO
N/A
VOYA CLO 2019-1 LTD VOYA 2019-1A DR
92917NAS7
265000.00000000
PA
USD
241918.50000000
0.030712820812
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
3.89428920
N
N
N
N
N
N
Xencor Inc
549300V5IF65437JKG30
XENCOR INC COMMON STOCK
98401F105
1342.00000000
NS
USD
29966.86000000
0.003804449851
Long
EC
US
N
1
N
N
N
DARLING INGREDIENTS INC.
L1N0SPPKS7EXZYUMZ898
DARLING INGREDIENTS INC COMMON STOCK
237266101
3485.00000000
NS
USD
279043.95000000
0.035426091163
Long
EC
US
N
1
N
N
N
SNOWFLAKE INC.
254900CJNSY1K7T53Z16
SNOWFLAKE INC-CLASS A COMMON STOCK
833445109
900.00000000
NS
USD
114885.00000000
0.014585252550
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS727279
-12580.14220000
NC
USD
-2896.24000000
-0.00036769283
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-1063.97000000
USD
-12580.14220000
USD
-1832.27000000
N
N
N
PVH CORP.
123WALMHY1GZXG2YDL90
PVH CORP COMMON STOCK
693656100
-2394.00000000
NS
USD
-169662.78000000
-0.02153957866
Short
EC
US
N
1
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE 4.700000% MATURITY: PERPETUAL
064058AH3
192000.00000000
PA
USD
191610.24000000
0.024325923676
Long
DBT
CORP
US
N
2
2170-09-20
Fixed
4.70000000
N
N
N
N
N
N
RALPH LAUREN CORPORATION
HO1QNWM0IXBZ0QSMMO20
RALPH LAUREN CORP COMMON STOCK
751212101
-1374.00000000
NS
USD
-138897.66000000
-0.01763378552
Short
EC
US
N
1
N
N
N
CF INDUSTRIES HOLDINGS, INC.
529900CG8YAQFZ2JMV97
CF INDUSTRIES HOLDINGS INC COMMON STOCK
125269100
-2578.00000000
NS
USD
-254629.06000000
-0.03232649298
Short
EC
US
N
1
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS6 WFCM 2016-NXS6 C
95000KBH7
620000.00000000
PA
USD
584365.75000000
0.074188293035
Long
ABS-MBS
US
N
2
2049-11-15
Floating
4.39341120
N
N
N
N
N
N
MADISON SQUARE GARDEN SPORTS CORP.
N/A
MADISON SQUARE GARDEN SPORTS COMMON STOCK
55825T103
227.00000000
NS
USD
37196.22000000
0.004722254973
Long
EC
US
N
1
N
N
N
N/A
N/A
CATTLE FEEDER FUT AUG22 PHYSICAL COMMODITY FUTURE.
N/A
-17.00000000
NC
USD
-1403562.50000000
-0.17818961163
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Feeder Cattle
CATTLE FEEDER FUT(Consolidated) Aug 2022
2022-08-28
-1415274.24000000
USD
11711.74000000
N
N
N
JOHN B. SANFILIPPO & SON, INC.
5299007IBEYVXKYDUX28
JOHN B. SANFILIPPO & SON INC COMMON STOCK
800422107
400.00000000
NS
USD
30552.00000000
0.003878736440
Long
EC
US
N
1
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR TRUST 2019-DNA4 STACR 2019-DNA4 M2
35565AAH3
90938.94670000
PA
USD
90534.82000000
0.011493869646
Long
DBT
USGA
US
N
2
2049-10-25
Floating
2.95571160
N
N
N
N
N
N
EPR PROPERTIES
549300YSSXFHMPOWZ492
EPR PROPERTIES REIT
26884U109
947.00000000
NS
USD
48524.28000000
0.006160411529
Long
EC
US
N
1
N
N
N
HOLOGIC, INC.
549300DYP6F5ZJL0LB74
HOLOGIC INC COMMON STOCK
436440101
2640.00000000
NS
USD
198712.80000000
0.025227630873
Long
EC
US
N
1
N
N
N
RH
5493008MTS3OGGMHGK69
RH COMMON STOCK
74967X103
-140.00000000
NS
USD
-40611.20000000
-0.00515580457
Short
EC
US
N
1
N
N
N
METTLER-TOLEDO INTERNATIONAL INC.
5493000BD5GJNUDIUG10
METTLER-TOLEDO INTERNATIONAL COMMON STOCK
592688105
176.00000000
NS
USD
226357.12000000
0.028737222106
Long
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 1.487
N/A
7010000.00000000
NC
USD
392347.26000000
0.049810539883
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2026-10-04
0.00000000
USD
0.00000000
USD
-7010000.00000000
USD
392347.26000000
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION
VGRQXHF3J8VDLUA7XE92
INTL BUSINESS MACHINES CORP COMMON STOCK
459200101
2765.00000000
NS
USD
383892.60000000
0.048737176508
Long
EC
US
N
1
N
N
N
DOW INC.
5493003S21INSLK2IP73
DOW INC COMMON STOCK
260557103
-8376.00000000
NS
USD
-569400.48000000
-0.07228837361
Short
EC
US
N
1
N
N
N
THE ST. JOE COMPANY
529900XVHOT3BF8PWG49
ST JOE CO/THE COMMON STOCK
790148100
1158.00000000
NS
USD
58467.42000000
0.007422745237
Long
EC
US
N
1
N
N
N
THE HOWARD HUGHES CORPORATION
549300BVHY25JZC1KI49
HOWARD HUGHES CORP/THE COMMON STOCK
44267D107
836.00000000
NS
USD
70332.68000000
0.008929102148
Long
EC
US
N
1
N
N
N
FRANKLIN STREET PROPERTIES CORP.
549300STLK2T6QY5WO82
FRANKLIN STREET PROPERTIES C REIT
35471R106
7900.00000000
NS
USD
35708.00000000
0.004533317648
Long
EC
US
N
1
N
N
N
APARTMENT INCOME REIT CORP.
N/A
APARTMENT INCOME REIT CO REIT
03750L109
2115.00000000
NS
USD
94878.90000000
0.012045373357
Long
EC
US
N
1
N
N
N
BELLEMEADE RE LTD.
N/A
BELLEMEADE RE 2019-4 LTD BMIR 2019-4A M1B
07876LAB5
246497.34070000
PA
USD
246175.98000000
0.031253330200
Long
ABS-MBS
BM
N
2
2029-10-25
Floating
3.00570840
N
N
N
N
N
N
Spire Inc.
549300NXSY15DRY2R511
SPIRE INC COMMON STOCK
84857L101
700.00000000
NS
USD
54810.00000000
0.006958416610
Long
EC
US
N
1
N
N
N
FLOWERS FOODS, INC.
7YNCQQNDK8FBM9BBTK25
FLOWERS FOODS INC COMMON STOCK
343498101
4144.00000000
NS
USD
114374.40000000
0.014520429205
Long
EC
US
N
1
N
N
N
BRIGHAM MINERALS, INC.
549300IQ6JCXW59RO175
BRIGHAM MINERALS INC-CL A COMMON STOCK
10918L103
1217.00000000
NS
USD
36887.27000000
0.004683032152
Long
EC
US
N
1
N
N
N
AMERICAN AXLE & MANUFACTURING HOLDINGS, INC.
N/A
AMERICAN AXLE & MFG HOLDINGS COMMON STOCK
024061103
-9643.00000000
NS
USD
-78204.73000000
-0.00992850013
Short
EC
US
N
1
N
N
N
BROADSTONE NET LEASE, INC.
549300U8D7PT70B49V21
BROADSTONE NET LEASE INC REIT
11135E203
3200.00000000
NS
USD
67680.00000000
0.008592330527
Long
EC
US
N
1
N
N
N
United States of America
N/A
US 10YR ULTRA FUT SEP22 FINANCIAL COMMODITY FUTURE.
N/A
-26.00000000
NC
USD
-3340593.75000000
-0.42410587553
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Sep 2022
2022-09-24
-3339087.12000000
USD
-1506.63000000
N
N
N
YUM! Brands, Inc.
549300JE8XHZZ7OHN517
YUM! BRANDS INC COMMON STOCK
988498101
-5869.00000000
NS
USD
-712907.43000000
-0.09050733264
Short
EC
US
N
1
N
N
N
AMGEN INC.
62QBXGPJ34PQ72Z12S66
AMGEN INC COMMON STOCK
031162100
4887.00000000
NS
USD
1254688.38000000
0.159289262254
Long
EC
US
N
1
N
N
N
VALERO ENERGY CORPORATION
549300XTO5VR8SKV1V74
VALERO ENERGY CORP COMMON STOCK
91913Y100
14045.00000000
NS
USD
1820232.00000000
0.231087987291
Long
EC
US
N
1
N
N
N
SUNSTONE HOTEL INVESTORS, INC.
529900ZQ2V52V96ATF67
SUNSTONE HOTEL INVESTORS INC REIT
867892101
5094.00000000
NS
USD
60975.18000000
0.007741118506
Long
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 1M2
30711XAP9
130430.51520000
PA
USD
133702.98000000
0.016974293685
Long
DBT
USGA
US
N
2
2024-11-25
Floating
5.90571000
N
N
N
N
N
N
INSULET CORPORATION
549300TZTYD2PYN92D43
INSULET CORP COMMON STOCK
45784P101
813.00000000
NS
USD
173559.24000000
0.022034254670
Long
EC
US
N
1
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC COMMON STOCK
00206R102
118058.00000000
NS
USD
2513454.82000000
0.319096255587
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS789722
-26059.84450000
NC
USD
-5999.35000000
-0.00076164890
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-3662.89000000
USD
-26059.84450000
USD
-2336.46000000
N
N
N
JAZZ PHARMACEUTICALS PUBLIC LIMITED COMPANY
635400GAUMJCLEZRRV50
JAZZ PHARMACEUTICALS PLC COMMON STOCK
G50871105
448.00000000
NS
USD
67056.64000000
0.008513191709
Long
EC
US
N
1
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 6.000000% MATURITY: PERPETUAL
853254BT6
514000.00000000
PA
USD
516764.09000000
0.065605908182
Long
DBT
NUSS
GB
N
2
2171-01-26
Fixed
6.00000000
N
N
N
Y
Y
STANDARD CHARTERED PLC
STAN 6 PERP
GBP
XXXX
N
N
N
HEALTHCARE TRUST OF AMERICA, INC.
549300L0I14L7I0VLX84
HEALTHCARE TRUST OF AME-CL A REIT
42225P501
4002.00000000
NS
USD
120260.10000000
0.015267649651
Long
EC
US
N
1
N
N
N
T-MOBILE US, INC.
549300QHIJYOHPACPG31
T-MOBILE US INC COMMON STOCK
872590104
10349.00000000
NS
USD
1379418.21000000
0.175124367542
Long
EC
US
N
1
N
N
N
DELL TECHNOLOGIES INC.
549300TJB5YBRUPOG437
DELL TECHNOLOGIES -C COMMON STOCK
24703L202
-1337.00000000
NS
USD
-66769.78000000
-0.00847677333
Short
EC
US
N
1
N
N
N
CYTOKINETICS, INCORPORATED
549300BE5DY1HW7IHA64
CYTOKINETICS INC COMMON STOCK
23282W605
1200.00000000
NS
USD
47880.00000000
0.006078616809
Long
EC
US
N
1
N
N
N
STEVEN MADDEN, LTD.
549300Z9GZ7GYJWSGF43
STEVEN MADDEN LTD COMMON STOCK
556269108
-3100.00000000
NS
USD
-115258.00000000
-0.01463260685
Short
EC
US
N
1
N
N
N
BELLEMEADE RE LTD.
N/A
BELLEMEADE RE 2019-1 LTD BMIR 2019-1A M1B
07876RAB2
289771.35120000
PA
USD
288843.21000000
0.036670158552
Long
ABS-MBS
BM
Y
2
2029-03-25
Floating
2.75571000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2018-R07 CAS 2018-R07 1M2
20753QAE9
59317.90220000
PA
USD
59335.91000000
0.007533004592
Long
ABS-MBS
US
N
2
2031-04-25
Floating
3.40571160
N
N
N
N
N
N
Rivian Automotive Inc
N/A
RIVIAN AUTOMOTIVE INC-A COMMON STOCK
76954A103
-5600.00000000
NS
USD
-175840.00000000
-0.02232380909
Short
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 2.1495%
N/A
5145000.00000000
NC
USD
237359.11000000
0.030133982368
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2029-06-04
0.00000000
USD
0.00000000
USD
-5145000.00000000
USD
237359.11000000
N
N
N
CLEVELAND-CLIFFS INC.
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC COMMON STOCK
185899101
-4200.00000000
NS
USD
-97356.00000000
-0.01235985417
Short
EC
US
N
1
N
N
N
LANCASTER COLONY CORPORATION
529900X4O13HED1ZAS58
LANCASTER COLONY CORP COMMON STOCK
513847103
464.00000000
NS
USD
56561.60000000
0.007180791405
Long
EC
US
N
1
N
N
N
N/A
N/A
NATURAL GAS FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-10.00000000
NC
USD
-814500.00000000
-0.10340504158
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Natural Gas
Natural Gas Future Jul 2022
2022-07-01
-866120.50000000
USD
51620.50000000
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK VARIABLE RATE 09/23/2022
3133EMAX0
500000.00000000
PA
USD
500139.36000000
0.063495311623
Long
DBT
USGA
US
N
2
2022-09-23
Floating
0.87000120
N
N
N
N
N
N
ECOLAB INC.
82DYEISM090VG8LTLS26
ECOLAB INC COMMON STOCK
278865100
-2545.00000000
NS
USD
-417150.95000000
-0.05295949825
Short
EC
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2016-77 DS
3136ATV27
800736.18000000
PA
USD
114817.24000000
0.014576650063
Long
DBT
USGA
US
N
2
2046-10-25
Floating
4.99429080
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC-CL A COMMON STOCK
02079K305
1202.00000000
NS
USD
2734838.48000000
0.347202070894
Long
EC
US
N
1
N
N
N
PILGRIM'S PRIDE CORPORATION
549300ZSLGV64ZL3HD75
PILGRIM'S PRIDE CORP COMMON STOCK
72147K108
1222.00000000
NS
USD
40717.04000000
0.005169241515
Long
EC
US
N
1
N
N
N
NETAPP, INC.
QTX3D84DZDD5JYOCYH15
NETAPP INC COMMON STOCK
64110D104
-828.00000000
NS
USD
-59574.60000000
-0.00756330753
Short
EC
US
N
1
N
N
N
ADOBE INC.
FU4LY2G4933NH2E1CP29
ADOBE INC COMMON STOCK
00724F101
1521.00000000
NS
USD
633466.08000000
0.080421837130
Long
EC
US
N
1
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.488000% 05/12/2026
902613AM0
383000.00000000
PA
USD
386805.01000000
0.049106922213
Long
DBT
NUSS
CH
N
2
2026-05-12
Fixed
4.48800000
N
N
N
N
N
N
CORTEVA, INC.
549300WZN9I2QKLS0O94
CORTEVA INC COMMON STOCK
22052L104
-7735.00000000
NS
USD
-484365.70000000
-0.06149276285
Short
EC
US
N
1
N
N
N
TARGA RESOURCES CORP.
5493003QENHHS261UR94
TARGA RESOURCES CORP COMMON STOCK
87612G101
8220.00000000
NS
USD
592004.40000000
0.075158059666
Long
EC
US
N
1
N
N
N
N/A
N/A
COFFEE 'C' FUTURE SEP22 PHYSICAL COMMODITY FUTURE.
N/A
-2.00000000
NC
USD
-173587.50000000
-0.02203784242
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Coffee
Coffee C Future Sep 2022
2022-09-23
-161249.65000000
USD
-12337.85000000
N
N
N
HFX Funding Issuer
N/A
HFX 2017-1A A3 SERIES CLASS
40422GAE0
800000.00000000
PA
USD
755594.48000000
0.095926677254
Long
ABS-MBS
US
N
2
2035-03-15
Floating
3.64699080
N
N
N
N
N
N
BRK: SOCIETE GENERALE
N/A
BRK: SOCIETE GENERALE REF: BLOOMBERG COMMODITY INDEX 2 MONTH FORWARD TR
N/A
4475.10680000
NC
USD
-4831.84000000
-0.00061342739
N/A
DE
US
N
2
BRK: SOCIETE GENERALE
N/A
Y
2022-06-22
0.00000000
USD
0.00000000
USD
-3190598.17000000
USD
-4831.84000000
N
N
N
Santander Holdings USA, Inc.
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA INC 2.490000% 01/06/2028
80282KBC9
85000.00000000
PA
USD
77182.32000000
0.009798699826
Long
DBT
CORP
US
N
2
2028-01-06
Fixed
2.49000000
N
N
N
N
N
N
INVERSIONES CMPC S.A.
N/A
INVERSIONES CMPC SA/CAYMAN ISLANDS BRANCH 4.375000% 05/15/2023
P58072AG7
237000.00000000
PA
USD
238102.05000000
0.030228302493
Long
DBT
NUSS
CL
N
2
2023-05-15
Fixed
4.37500000
N
N
N
N
N
N
EQUITY RESIDENTIAL
5493008RACSH5EP3PI59
EQUITY RESIDENTIAL REIT
29476L107
5585.00000000
NS
USD
429095.55000000
0.054475927796
Long
EC
US
N
1
N
N
N
COGNIZANT TECHNOLOGY SOLUTIONS CORPORATION
5493006IEVQEFQO40L83
COGNIZANT TECH SOLUTIONS-A COMMON STOCK
192446102
1495.00000000
NS
USD
111676.50000000
0.014177916668
Long
EC
US
N
1
N
N
N
AVIENT CORPORATION
SM8L9RZYIB34LNTWO040
AVIENT CORP COMMON STOCK
05368V106
-1100.00000000
NS
USD
-54120.00000000
-0.00687081749
Short
EC
US
N
1
N
N
N
Amdocs Limited
549300HQV672RJ7RQV66
AMDOCS LTD COMMON STOCK
G02602103
847.00000000
NS
USD
73595.83000000
0.009343376134
Long
EC
US
N
1
N
N
N
EPAM SYSTEMS, INC.
549300XCR4R530HJP604
EPAM SYSTEMS INC COMMON STOCK
29414B104
98.00000000
NS
USD
33174.96000000
0.004211734951
Long
EC
US
N
1
N
N
N
CROWN CASTLE INTERNATIONAL CORP.
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP REIT
22822V101
6651.00000000
NS
USD
1261362.15000000
0.160136532314
Long
EC
US
N
1
N
N
N
SKYLINE CHAMPION CORPORATION
N/A
SKYLINE CHAMPION CORP COMMON STOCK
830830105
-1450.00000000
NS
USD
-77038.50000000
-0.00978044112
Short
EC
US
N
1
N
N
N
GENERAL MILLS, INC.
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC COMMON STOCK
370334104
13481.00000000
NS
USD
941647.85000000
0.119547127175
Long
EC
US
N
1
N
N
N
IROBOT CORPORATION
5493009PRNKOUKBAT390
IROBOT CORP COMMON STOCK
462726100
-653.00000000
NS
USD
-31076.27000000
-0.00394529526
Short
EC
US
N
1
N
N
N
HEALTHEQUITY, INC.
529900LRJU1RAFQHM467
HEALTHEQUITY INC COMMON STOCK
42226A107
500.00000000
NS
USD
31290.00000000
0.003972429405
Long
EC
US
N
1
N
N
N
NEWS CORPORATION
549300ITS31QK8VRBQ14
NEWS CORP - CLASS A COMMON STOCK
65249B109
-5139.00000000
NS
USD
-89418.60000000
-0.01135215966
Short
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 10/15/2025
912810FH6
26055000.00000000
PA
USD
29561282.87000000
3.752959710723
Long
DBT
USGA
US
N
2
2025-10-15
Fixed
0.12500000
N
N
N
N
N
N
CALLON PETROLEUM COMPANY
549300EFOWPEB0WLZW21
CALLON PETROLEUM CO COMMON STOCK
13123X508
1700.00000000
NS
USD
99382.00000000
0.012617065491
Long
EC
US
N
1
N
N
N
SAREPTA THERAPEUTICS, INC.
549300IKDPIED8J8IG21
SAREPTA THERAPEUTICS INC COMMON STOCK
803607100
531.00000000
NS
USD
38667.42000000
0.004909031519
Long
EC
US
N
1
N
N
N
WEIBO CORPORATION
549300Q9ID4640FE0422
WEIBO CORP 3.375000% 07/08/2030
948596AE1
1183000.00000000
PA
USD
978882.49000000
0.124274259769
Long
DBT
NUSS
CN
N
2
2030-07-08
Fixed
3.37500000
N
N
N
N
N
N
MINERALS TECHNOLOGIES INC.
549300D3I1QU67GP6403
MINERALS TECHNOLOGIES INC COMMON STOCK
603158106
-900.00000000
NS
USD
-59634.00000000
-0.00757084867
Short
EC
US
N
1
N
N
N
N/A
N/A
COFFEE 'C' FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
17.00000000
NC
USD
1474218.75000000
0.187159792688
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Coffee
Coffee C Future Jul 2022
2022-07-22
1475447.31000000
USD
-1228.56000000
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP COMMON STOCK
30231G102
146261.00000000
NS
USD
14041056.00000000
1.782585610230
Long
EC
US
N
1
N
N
N
SITE CENTERS CORP.
W2AVA6SODOQ1LCYJQR54
SITE CENTERS CORP REIT
82981J109
2800.00000000
NS
USD
44016.00000000
0.005588061768
Long
EC
US
N
1
N
N
N
PROPETRO HOLDING CORP.
N/A
PROPETRO HOLDING CORP COMMON STOCK
74347M108
2306.00000000
NS
USD
30093.30000000
0.003820502072
Long
EC
US
N
1
N
N
N
DENBURY INC.
549300KCWA5W52MS5559
DENBURY INC COMMON STOCK
24790A101
1800.00000000
NS
USD
131652.00000000
0.016713911030
Long
EC
US
N
1
N
N
N
N/A
N/A
COPPER FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
37.00000000
NC
USD
3973800.00000000
0.504494725890
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Copper
COPPER FUTURE (Consolidated) Jul 2022
2022-07-30
4358532.09000000
USD
-384732.09000000
N
N
N
ODEBRECHT HOLDCO FINANCE LIMITED
N/A
ODEBRECHT HOLDCO FINANCE LTD 144A ZERO COUPON 09/10/2058
67577TAA6
479699.00000000
PA
USD
2398.50000000
0.000304502139
Long
DBT
NUSS
KY
N
2
2058-09-10
Fixed
0.00000000
N
N
N
N
N
N
OCTANE RECEIVABLES TRUST
N/A
OCTANE RECEIVABLES TRUST 2021-2 OCTL 2021-2A B
67578AAB4
575000.00000000
PA
USD
516126.15000000
0.065524918357
Long
ABS-MBS
US
Y
2
2028-09-20
Fixed
2.02000000
N
N
N
N
N
N
COCA-COLA CONSOLIDATED, INC.
57VG5X0E00X0QJU7CQ58
COCA-COLA CONSOLIDATED INC COMMON STOCK
191098102
140.00000000
NS
USD
79095.80000000
0.010041626136
Long
EC
US
N
1
N
N
N
SPOTIFY TECHNOLOGY S.A.
549300B4X0JHWV0DTD60
SPOTIFY TECHNOLOGY SA COMMON STOCK
L8681T102
1683.00000000
NS
USD
189791.91000000
0.024095077158
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS727815
-25160.26440000
NC
USD
-5792.48000000
-0.00073538567
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-2345.34000000
USD
-25160.26440000
USD
-3447.14000000
N
N
N
ACTIVISION BLIZZARD, INC.
549300TPQQDBP9GNOF40
ACTIVISION BLIZZARD INC COMMON STOCK
00507V109
7449.00000000
NS
USD
580128.12000000
0.073650303709
Long
EC
US
N
1
N
N
N
E.L.F. BEAUTY, INC.
549300U2K9TCON25C029
ELF BEAUTY INC COMMON STOCK
26856L103
1900.00000000
NS
USD
50578.00000000
0.006421142041
Long
EC
US
N
1
N
N
N
MKS INSTRUMENTS, INC.
549300KEQATBHAGVF505
MKS INSTRUMENTS INC COMMON STOCK
55306N104
-424.00000000
NS
USD
-52364.00000000
-0.00664788409
Short
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 2.3545
N/A
720000.00000000
NC
USD
17099.79000000
0.002170907914
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2027-07-12
0.00000000
USD
0.00000000
USD
-720000.00000000
USD
17099.79000000
N
N
N
ADTALEM GLOBAL EDUCATION INC.
549300Z467EZLMODV621
ADTALEM GLOBAL EDUCATION INC COMMON STOCK
00737L103
-1800.00000000
NS
USD
-58716.00000000
-0.00745430377
Short
EC
US
N
1
N
N
N
MONOLITHIC POWER SYSTEMS, INC.
529900TB7O85LSZ1XU31
MONOLITHIC POWER SYSTEMS INC COMMON STOCK
609839105
-188.00000000
NS
USD
-84673.32000000
-0.01074972151
Short
EC
US
N
1
N
N
N
REYNOLDS CONSUMER PRODUCTS INC.
N/A
REYNOLDS CONSUMER PRODUCTS I COMMON STOCK
76171L106
1100.00000000
NS
USD
29942.00000000
0.003801293744
Long
EC
US
N
1
N
N
N
BRK: GOLDMAN SACHS BANK USA
N/A
Credit Default Swap
CDX610621
20500000.00000000
NC
USD
-309291.48000000
-0.03926617354
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS BANK USA
N/A
Y
2026-12-20
0.00000000
USD
-517088.16000000
USD
20500000.00000000
USD
207796.68000000
N
N
N
GOPRO, INC
549300CQJMLT21SZFL16
GOPRO INC-CLASS A COMMON STOCK
38268T103
-5500.00000000
NS
USD
-38005.00000000
-0.00482493383
Short
EC
US
N
1
N
N
N
N/A
N/A
MSCI EAFE JUN22 PHYSICAL INDEX FUTURE.
N/A
-123.00000000
NC
USD
-12527550.00000000
-1.59043809535
N/A
DE
US
N
1
COWEN
N/A
Short
NYL - MSCI EAFE MINI INDEX Jun 2022
N/A
N/A
2022-06-20
-12444122.44000000
USD
-83427.56000000
N
N
N
SIX FLAGS ENTERTAINMENT CORPORATION
549300JYTDUAA4JQ3717
SIX FLAGS ENTERTAINMENT CORP COMMON STOCK
83001A102
-1594.00000000
NS
USD
-46783.90000000
-0.00593946117
Short
EC
US
N
1
N
N
N
CHEGG, INC.
549300AKX7O8JG0O3G77
CHEGG INC COMMON STOCK
163092109
-2471.00000000
NS
USD
-48085.66000000
-0.00610472642
Short
EC
US
N
1
N
N
N
WAYFAIR INC.
54930027N9ZAVYFDHK53
WAYFAIR INC- CLASS A COMMON STOCK
94419L101
-558.00000000
NS
USD
-33139.62000000
-0.00420724835
Short
EC
US
N
1
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT CREDIT RISK TRANSFER TRUST 2020-1R PMTCR 2020-1R A
730151AA5
136760.70900000
PA
USD
134927.06000000
0.017129697053
Long
ABS-MBS
US
Y
2
2023-02-27
Floating
3.37299840
N
N
N
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO COMMON STOCK
37045V100
-79771.00000000
NS
USD
-3085542.28000000
-0.39172575539
Short
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY FRN VARIABLE RATE 01/31/2023
91282CBK6
10100000.00000000
PA
USD
10111221.71000000
1.283672561529
Long
SN
UST
US
N
2
2023-01-31
Floating
1.11184920
N
N
N
N
N
N
RETAIL OPPORTUNITY INVESTMENTS CORP.
N/A
RETAIL OPPORTUNITY INVESTMEN REIT
76131N101
1911.00000000
NS
USD
34531.77000000
0.004383989088
Long
EC
US
N
1
N
N
N
IRIDIUM COMMUNICATIONS INC.
549300U620NVQ4J1CT96
IRIDIUM COMMUNICATIONS INC COMMON STOCK
46269C102
3334.00000000
NS
USD
123724.74000000
0.015707503848
Long
EC
US
N
1
N
N
N
MCKESSON CORPORATION
549300WZWOM80UCFSF54
MCKESSON CORP COMMON STOCK
58155Q103
1142.00000000
NS
USD
375363.98000000
0.047654423523
Long
EC
US
N
1
N
N
N
CONAGRA BRANDS, INC.
54930035UDEIH090K650
CONAGRA BRANDS INC COMMON STOCK
205887102
11930.00000000
NS
USD
392377.70000000
0.049814404400
Long
EC
US
N
1
N
N
N
AFFIRM ASSET SECURITIZATION TRUST
N/A
AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A
00834CAA3
190598.87460000
PA
USD
186474.81000000
0.023673953937
Long
ABS-MBS
US
Y
2
2025-08-15
Fixed
1.07000000
N
N
N
N
N
N
AVANGRID, INC.
549300OX0Q38NLSKPB49
AVANGRID INC COMMON STOCK
05351W103
1000.00000000
NS
USD
47590.00000000
0.006041799789
Long
EC
US
N
1
N
N
N
BRK: MACQUARIE BANK LIMITED
N/A
BRK: MACQUARIE BANK LIMITED REF: BLOOMBERG COMMODITY INDEX TOTAL RETURN
N/A
49945.68660000
NC
USD
-24761.22000000
-0.00314356658
N/A
DE
US
N
2
BRK: MACQUARIE BANK LIMITED
N/A
Y
2022-06-22
0.00000000
USD
0.00000000
USD
-14066856.15000000
USD
-24761.22000000
N
N
N
GUIDEWIRE SOFTWARE, INC.
549300WXSG0J8IXZCK32
GUIDEWIRE SOFTWARE INC COMMON STOCK
40171V100
400.00000000
NS
USD
31976.00000000
0.004059520699
Long
EC
US
N
1
N
N
N
ADVANCE AUTO PARTS, INC.
529900UCNQ5H9FSL0Y70
ADVANCE AUTO PARTS INC COMMON STOCK
00751Y106
-871.00000000
NS
USD
-165368.06000000
-0.02099434146
Short
EC
US
N
1
N
N
N
Xpel Inc
549300KWSE3IGXLJNW66
XPEL INC COMMON STOCK
98379L100
-500.00000000
NS
USD
-25810.00000000
-0.00327671470
Short
EC
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.250000% 05/22/2023
3135G04Q3
1500000.00000000
PA
USD
1472543.03000000
0.186947051256
Long
DBT
USGA
US
N
2
2023-05-22
Fixed
0.25000000
N
N
N
N
N
N
HYATT HOTELS CORPORATION
T27JQIMTYSH41TCD5186
HYATT HOTELS CORP - CL A COMMON STOCK
448579102
-800.00000000
NS
USD
-70712.00000000
-0.00897725880
Short
EC
US
N
1
N
N
N
INFOR, INC.
549300Q3IIYBYI4RHD64
INFOR INC 144A 1.750000% 07/15/2025
45674CAA1
323000.00000000
PA
USD
302036.85000000
0.038345160262
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.75000000
N
N
N
N
N
N
CHURCHILL DOWNS INCORPORATED
529900FODTBQC8MIS994
CHURCHILL DOWNS INC COMMON STOCK
171484108
-812.00000000
NS
USD
-164373.16000000
-0.02086803369
Short
EC
US
N
1
N
N
N
SEABOARD CORPORATION
87Q3KOXT29OW9W9YPT70
SEABOARD CORP COMMON STOCK
811543107
7.00000000
NS
USD
28975.66000000
0.003678611819
Long
EC
US
N
1
N
N
N
CENTRAL GARDEN & PET COMPANY
5493004DVZLD37DJ0H83
CENTRAL GARDEN AND PET CO-A COMMON STOCK
153527205
1500.00000000
NS
USD
63495.00000000
0.008061022854
Long
EC
US
N
1
N
N
N
REGENCY CENTERS CORPORATION
529900053A7X7FJ97S58
REGENCY CENTERS CORP REIT
758849103
2149.00000000
NS
USD
146583.29000000
0.018609516510
Long
EC
US
N
1
N
N
N
N/A
N/A
SILVER FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
25.00000000
NC
USD
2711000.00000000
0.344175650986
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Silver
SILVER FUTURE Jul 2022
2022-07-30
3174434.25000000
USD
-463434.25000000
N
N
N
DISCOVER FINANCIAL SERVICES
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SERVICES 6.125000% MATURITY: PERPETUAL
254709AQ1
1248000.00000000
PA
USD
1254461.79000000
0.159260495466
Long
DBT
CORP
US
N
2
2171-03-23
Fixed
6.12500000
N
N
N
N
N
N
Braskem Netherlands Finance B.V.
2549000TLMHFQ74DS330
BRASKEM NETHERLANDS FINANCE BV 144A 4.500000% 01/31/2030
10554TAD7
220000.00000000
PA
USD
206030.00000000
0.026156587743
Long
DBT
NUSS
BR
N
2
2030-01-31
Fixed
4.50000000
N
N
N
N
N
N
ALNYLAM PHARMACEUTICALS, INC.
529900S3ZI14OWRJII50
ALNYLAM PHARMACEUTICALS INC COMMON STOCK
02043Q107
1698.00000000
NS
USD
213608.40000000
0.027118705321
Long
EC
US
N
1
N
N
N
Ultragenyx Pharmaceutical Inc
529900EV44GVDN1DCX77
ULTRAGENYX PHARMACEUTICAL IN COMMON STOCK
90400D108
358.00000000
NS
USD
16790.20000000
0.002131603841
Long
EC
US
N
1
N
N
N
SONOS, INC.
549300WEPU6075I77M08
SONOS INC COMMON STOCK
83570H108
-4204.00000000
NS
USD
-93034.52000000
-0.01181121965
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS316233
-507698.29810000
NC
USD
-116883.96000000
-0.01483903099
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2049-12-31
0.00000000
USD
-34607.45000000
USD
-507698.29810000
USD
-82276.51000000
N
N
N
STRYKER CORPORATION
5493002F0SC4JTBU5137
STRYKER CORP COMMON STOCK
863667101
2969.00000000
NS
USD
696230.50000000
0.088390109027
Long
EC
US
N
1
N
N
N
SIGNET JEWELERS LIMITED
549300N3XPGE91WV7M22
SIGNET JEWELERS LTD COMMON STOCK
G81276100
-600.00000000
NS
USD
-35760.00000000
-0.00453991932
Short
EC
US
N
1
N
N
N
ACCENTURE PUBLIC LIMITED COMPANY
N/A
ACCENTURE PLC-CL A COMMON STOCK
G1151C101
1903.00000000
NS
USD
567969.38000000
0.072106687975
Long
EC
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-62 AS
3136AXSW6
992237.48070000
PA
USD
155900.15000000
0.019792340691
Long
DBT
USGA
US
N
2
2047-08-25
Floating
5.14428840
N
N
N
N
N
N
N/A
N/A
PALLADIUM FUTURE SEP22 PHYSICAL COMMODITY FUTURE.
N/A
2.00000000
NC
USD
401260.00000000
0.050942058913
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Palladium
Palladium Future Sep 2022
2022-10-01
401785.50000000
USD
-525.50000000
N
N
N
ENTERGY CORPORATION
4XM3TW50JULSLG8BNC79
ENTERGY CORP COMMON STOCK
29364G103
1866.00000000
NS
USD
224517.12000000
0.028503624468
Long
EC
US
N
1
N
N
N
VERTEX PHARMACEUTICALS INCORPORATED
54930015RAQRRZ5ZGJ91
VERTEX PHARMACEUTICALS INC COMMON STOCK
92532F100
2249.00000000
NS
USD
604193.85000000
0.076705574196
Long
EC
US
N
1
N
N
N
CHARLES RIVER LABORATORIES INTERNATIONAL, INC.
549300BSQ0R4UZ5KX287
CHARLES RIVER LABORATORIES COMMON STOCK
159864107
461.00000000
NS
USD
107910.88000000
0.013699851483
Long
EC
US
N
1
N
N
N
MAGNETITE CLO, LIMITED
N/A
MAGNETITE XXVI LTD MAGNE 2020-26A A1R
55954YAJ4
984646.00000000
PA
USD
957757.29000000
0.121592304969
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-25
Floating
2.30400000
N
N
N
N
N
N
OASIS PETROLEUM INC.
529900FA4V2YNIKZ0M71
OASIS PETROLEUM INC COMMON STOCK
674215207
500.00000000
NS
USD
79365.00000000
0.010075802486
Long
EC
US
N
1
N
N
N
EAGLE MATERIALS INC.
529900KRXRGXL61SG039
EAGLE MATERIALS INC COMMON STOCK
26969P108
-400.00000000
NS
USD
-52224.00000000
-0.00663011036
Short
EC
US
N
1
N
N
N
PERFORMANCE FOOD GROUP COMPANY
549300EUK8GR9IT1YK57
PERFORMANCE FOOD GROUP CO COMMON STOCK
71377A103
3878.00000000
NS
USD
168072.52000000
0.021337686825
Long
EC
US
N
1
N
N
N
QUALCOMM INCORPORATED
H1J8DDZKZP6H7RWC0H53
QUALCOMM INC COMMON STOCK
747525103
-5366.00000000
NS
USD
-768518.52000000
-0.09756745183
Short
EC
US
N
1
N
N
N
ARCH RESOURCES, INC.
W47HVZ7Q6FXL86RELH91
ARCH RESOURCES INC COMMON STOCK
03940R107
600.00000000
NS
USD
91704.00000000
0.011642303171
Long
EC
US
N
1
N
N
N
DOLLAR GENERAL CORPORATION
OPX52SQVOZI8IVSWYU66
DOLLAR GENERAL CORP COMMON STOCK
256677105
-2218.00000000
NS
USD
-488714.12000000
-0.06204481755
Short
EC
US
N
1
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2011-GC5 GSMS 2011-GC5 D
36191YAL2
11942.00000000
PA
USD
5170.89000000
0.000656471572
Long
ABS-MBS
US
N
2
2044-08-10
Floating
5.15891880
N
N
N
N
N
N
TELADOC HEALTH, INC.
549300I2PVFBC9MFAC61
TELADOC HEALTH INC COMMON STOCK
87918A105
3808.00000000
NS
USD
129814.72000000
0.016480658710
Long
EC
US
N
1
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.140000% 05/24/2025
172967NQ0
759000.00000000
PA
USD
765344.81000000
0.097164532722
Long
DBT
CORP
US
N
2
2025-05-24
Fixed
4.14000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/4% 07/15/2024
912828WU0
31705300.00000000
PA
USD
39637067.21000000
5.032133312500
Long
DBT
USGA
US
N
2
2024-07-15
Fixed
0.12500000
N
N
N
N
N
N
ANSYS, INC.
549300VJV8H15Z5FJ571
ANSYS INC COMMON STOCK
03662Q105
546.00000000
NS
USD
142156.56000000
0.018047519948
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 10/15/2024
9128282L3
37030500.00000000
PA
USD
42686857.11000000
5.419320115968
Long
DBT
USGA
US
N
2
2024-10-15
Fixed
0.12500000
N
N
N
N
N
N
NEW FORTRESS ENERGY INC.
N/A
NEW FORTRESS ENERGY INC COMMON STOCK
644393100
1400.00000000
NS
USD
65226.00000000
0.008280782372
Long
EC
US
N
1
N
N
N
MARATHON OIL CORPORATION
1FRVQX2CRLGC1XLP5727
MARATHON OIL CORP COMMON STOCK
565849106
27318.00000000
NS
USD
858604.74000000
0.109004369357
Long
EC
US
N
1
N
N
N
WEC ENERGY GROUP, INC.
549300IGLYTZUK3PVP70
WEC ENERGY GROUP INC COMMON STOCK
92939U106
3346.00000000
NS
USD
351564.22000000
0.044632919322
Long
EC
US
N
1
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GS MORTGAGE SECURITIES TRUST 2021-1 A1
36246LAE1
216865.58540000
PA
USD
199920.45000000
0.025380948367
Long
DBT
USGA
US
N
2
2026-08-17
Fixed
1.43280000
N
N
N
N
N
N
SAUL CENTERS, INC.
N/A
SAUL CENTERS INC REIT
804395101
866.00000000
NS
USD
42485.96000000
0.005393815175
Long
EC
US
N
1
N
N
N
MATCH GROUP, INC.
15OMOPB0A8K0EFUVD031
MATCH GROUP INC COMMON STOCK
57667L107
932.00000000
NS
USD
73422.96000000
0.009321429382
Long
EC
US
N
1
N
N
N
HILTON WORLDWIDE HOLDINGS INC.
549300HVGPK36ICB0B89
HILTON WORLDWIDE HOLDINGS IN COMMON STOCK
43300A203
-5848.00000000
NS
USD
-823749.28000000
-0.10457928612
Short
EC
US
N
1
N
N
N
TOBACCO SETTLEMENT FIN AUTH WEST VA ASSET BACKED
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBACCO SETTLEMENT FINANCE AUTHORITY
88880LAV5
448800.00000000
PA
USD
435444.56000000
0.055281967874
Long
DBT
MUN
US
N
2
2035-06-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 01/15/2027
912828V49
37212000.00000000
PA
USD
45416861.29000000
5.765908447155
Long
DBT
USGA
US
N
2
2027-01-15
Fixed
0.37500000
N
N
N
N
N
N
ZSCALER, INC.
529900MZ0RTK1BWRNF46
ZSCALER INC COMMON STOCK
98980G102
140.00000000
NS
USD
21432.60000000
0.002720980840
Long
EC
US
N
1
N
N
N
CELANESE CORPORATION
549300FHJQTDPPN41627
CELANESE CORP COMMON STOCK
150870103
-1074.00000000
NS
USD
-168102.48000000
-0.02134149040
Short
EC
US
N
1
N
N
N
HOME RE
N/A
HOME RE 2020-1 LTD HMIR 2020-1 M1B
43731WAB1
96832.66320000
PA
USD
96817.70000000
0.012291514173
Long
ABS-MBS
BM
Y
2
2030-10-25
Floating
4.25571120
N
N
N
N
N
N
LANTHEUS HOLDINGS, INC.
5299005HUB5IOJGO7S39
LANTHEUS HOLDINGS INC COMMON STOCK
516544103
800.00000000
NS
USD
54816.00000000
0.006959178341
Long
EC
US
N
1
N
N
N
N/A
N/A
SILVER FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-7.00000000
NC
USD
-759080.00000000
-0.09636918227
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Silver
SILVER FUTURE Jul 2022
2022-07-30
-789405.75000000
USD
30325.75000000
N
N
N
COMMVAULT SYSTEMS, INC.
65T5VRP62VXG39YFML83
COMMVAULT SYSTEMS INC COMMON STOCK
204166102
400.00000000
NS
USD
24404.00000000
0.003098215635
Long
EC
US
N
1
N
N
N
N/A
N/A
WTI CRUDE FUTURE SEP22 PHYSICAL COMMODITY FUTURE.
N/A
20.00000000
NC
USD
2178000.00000000
0.276508508981
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Crude Oil
WTI CRUDE Sep 2022
2022-08-22
2095040.40000000
USD
82959.60000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2014-78 SE
3136ALP47
856117.96800000
PA
USD
123042.64000000
0.015620907680
Long
DBT
USGA
US
N
2
2044-12-25
Floating
5.09429160
N
N
N
N
N
N
N/A
N/A
LEAN HOGS FUTURE AUG22 PHYSICAL COMMODITY FUTURE.
N/A
42.00000000
NC
USD
1787940.00000000
0.226988348736
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Hogs
LEAN HOGS FUTURE(Consolidated) Aug 2022
2022-08-15
1822950.90000000
USD
-35010.90000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JUNE)
01F030660
5862335.00000000
PA
USD
5582271.09000000
0.708698556393
Long
DBT
USGA
US
N
2
2051-06-15
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS894052
-17073.04300000
NC
USD
-3930.61000000
-0.00049901152
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-1942.54000000
USD
-17073.04300000
USD
-1988.07000000
N
N
N
SABRA HEALTH CARE REIT, INC.
549300E3BC7GU7TAZ621
SABRA HEALTH CARE REIT INC REIT
78573L106
2961.00000000
NS
USD
41572.44000000
0.005277839026
Long
EC
US
N
1
N
N
N
TARGET CORPORATION
8WDDFXB5T1Z6J0XC1L66
TARGET CORP COMMON STOCK
87612E106
-4500.00000000
NS
USD
-728460.00000000
-0.09248181287
Short
EC
US
N
1
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 5.375000% MATURITY: PERPETUAL
808513BD6
397000.00000000
PA
USD
401008.35000000
0.050910110627
Long
DBT
CORP
US
N
2
2170-09-01
Fixed
5.37500000
N
N
N
N
N
N
SL GREEN REALTY CORP.
549300VQZPJU97H3GT17
SL GREEN REALTY CORP REIT
78440X887
827.00000000
NS
USD
51083.79000000
0.006485354731
Long
EC
US
N
1
N
N
N
ROSS STORES, INC.
549300ENZFLPGRDFZQ60
ROSS STORES INC 4.700000% 04/15/2027
778296AC7
946000.00000000
PA
USD
972957.94000000
0.123522107112
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.70000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-07-21
N/A
1.00000000
NC
46427.57000000
0.005894223212
N/A
DFE
CA
N
2
BNP PARIBAS
N/A
5692343.86000000
USD
7259820.68000000
CAD
2022-07-21
46427.57000000
N
N
N
MARRIOTT VACATIONS WORLDWIDE CORPORATION
549300WA6BT5H4F7IO94
MARRIOTT VACATIONS WORLD COMMON STOCK
57164Y107
-934.00000000
NS
USD
-137970.48000000
-0.01751607516
Short
EC
US
N
1
N
N
N
BRANDYWINE REALTY TRUST
5UZ46ZCYUFYYAC0DS831
BRANDYWINE REALTY TRUST REIT
105368203
1779.00000000
NS
USD
19835.85000000
0.002518265063
Long
EC
US
N
1
N
N
N
MAGNOLIA OIL & GAS CORPORATION
N/A
MAGNOLIA OIL & GAS CORP - A COMMON STOCK
559663109
4191.00000000
NS
USD
115713.51000000
0.014690436234
Long
EC
US
N
1
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 4.000000% 04/15/2029
11135FBR1
41000.00000000
PA
USD
39108.49000000
0.004965027666
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
ESSENTIAL PROPERTIES REALTY TRUST, INC.
2549009LXQLVYCGLZO50
ESSENTIAL PROPERTIES REALTY REIT
29670E107
1598.00000000
NS
USD
36562.24000000
0.004641767891
Long
EC
US
N
1
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-07-21
N/A
1.00000000
NC
58122.52000000
0.007378958376
N/A
DFE
CN
N
2
BARCLAYS CAPITAL INC.
N/A
7680387.13000000
USD
51665755.33000000
CNY
2022-07-21
58122.52000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MATURITY: PERPETUAL
48127FAA1
145000.00000000
PA
USD
139969.60000000
0.017769873920
Long
DBT
CORP
US
N
2
2171-01-01
Floating
4.28685840
N
N
N
N
N
N
NEWELL BRANDS INC.
549300LWGYFM1TVO1Z12
NEWELL BRANDS INC COMMON STOCK
651229106
-13826.00000000
NS
USD
-296429.44000000
-0.03763327018
Short
EC
US
N
1
N
N
N
SALESFORCE, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE INC COMMON STOCK
79466L302
3117.00000000
NS
USD
499468.08000000
0.063410089111
Long
EC
US
N
1
N
N
N
FLOWSERVE CORPORATION
6Y0GK87T6V7NJKZJVM41
FLOWSERVE CORP 2.800000% 01/15/2032
34355JAB4
228000.00000000
PA
USD
186513.30000000
0.023678840444
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.80000000
N
N
N
N
N
N
Bellemeade RE
N/A
BELLEMEADE RE 2019-2 LTD BMIR 2019-2A M1C
07877BAE0
515612.00000000
PA
USD
511381.66000000
0.064922580499
Long
ABS-MBS
BM
N
2
2029-04-25
Floating
3.00570840
N
N
N
N
N
N
PORT AUTH N Y & N J
N/A
PORT AUTH OF NEW YORK & NEW JE PORT AUTHORITY OF NEW YORK & NEW JERSEY
73358W4V3
490000.00000000
PA
USD
482142.16000000
0.061210472809
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
1.08600000
N
N
N
N
N
N
MATTEL, INC.
549300VELLG24KHTJ564
MATTEL INC COMMON STOCK
577081102
-11681.00000000
NS
USD
-293426.72000000
-0.03725205915
Short
EC
US
N
1
N
N
N
OUTFRONT MEDIA INC.
549300RZWDYU5722I639
OUTFRONT MEDIA INC REIT
69007J106
2325.00000000
NS
USD
47964.75000000
0.006089376265
Long
EC
US
N
1
N
N
N
WATERS CORPORATION
5T547R1474YC9HOD8Q74
WATERS CORP COMMON STOCK
941848103
370.00000000
NS
USD
121341.50000000
0.015404939046
Long
EC
US
N
1
N
N
N
EXPEDIA GROUP, INC.
N/A
EXPEDIA GROUP INC COMMON STOCK
30212P303
-3076.00000000
NS
USD
-397819.08000000
-0.05050521609
Short
EC
US
N
1
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 4.927000% 05/10/2028
14040HCS2
270000.00000000
PA
USD
274351.09000000
0.034830308004
Long
DBT
CORP
US
N
2
2028-05-10
Fixed
4.92700000
N
N
N
N
N
N
THE CLOROX COMPANY
54930044KVSC06Z79I06
CLOROX COMPANY COMMON STOCK
189054109
2893.00000000
NS
USD
420526.48000000
0.053388039472
Long
EC
US
N
1
N
N
N
N/A
N/A
LME NICKEL FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
12.00000000
NC
USD
2042856.00000000
0.259351270258
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Nickel
LME NICKEL FUTURE Jul 2022
2022-07-21
2379869.76000000
USD
-337013.76000000
N
N
N
DEUTSCHE ALT-A SECURITIES, INC
N/A
DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERI DBALT 2006-AR4 A2
25150PAB5
146488.32860000
PA
USD
58355.85000000
0.007408580841
Long
ABS-MBS
US
N
2
2036-12-25
Floating
1.38570840
N
N
N
N
N
N
PERKINELMER, INC.
549300IKL1SDPFI7N655
PERKINELMER INC COMMON STOCK
714046109
909.00000000
NS
USD
136050.03000000
0.017272263977
Long
EC
US
N
1
N
N
N
DRAFTKINGS INC.
N/A
DRAFTKINGS INC-CL A COMMON STOCK
26142V105
-8000.00000000
NS
USD
-108400.00000000
-0.01376194782
Short
EC
US
N
1
N
N
N
MICRON TECHNOLOGY, INC.
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC COMMON STOCK
595112103
-5551.00000000
NS
USD
-409885.84000000
-0.05203715448
Short
EC
US
N
1
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-06-17
N/A
1.00000000
NC
-12998.63000000
-0.00165024416
N/A
DFE
SE
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
351827.36000000
USD
3312447.90000000
SEK
2022-06-17
-12998.63000000
N
N
N
MACY'S, INC.
529900NZQ81TIOW3CW52
MACY'S INC COMMON STOCK
55616P104
-2200.00000000
NS
USD
-52030.00000000
-0.00660548104
Short
EC
US
N
1
N
N
N
ELMWOOD CLO
N/A
ELMWOOD CLO IX LTD ELMW9 2021-2A D
29003UAG4
509100.00000000
PA
USD
463626.17000000
0.058859770886
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
4.01271120
N
N
N
N
N
N
WYNN RESORTS, LIMITED
254900CEKKWIHTEAB172
WYNN RESORTS LTD COMMON STOCK
983134107
-1843.00000000
NS
USD
-121822.30000000
-0.01546597912
Short
EC
US
N
1
N
N
N
BATH & BODY WORKS, INC.
GR3KVMWVCR54YWQNXU90
BATH & BODY WORKS INC COMMON STOCK
070830104
-2633.00000000
NS
USD
-108005.66000000
-0.01371188430
Short
EC
US
N
1
N
N
N
DOLLAR TREE, INC.
549300PMSTQITB1WHR43
DOLLAR TREE INC COMMON STOCK
256746108
-2114.00000000
NS
USD
-338937.62000000
-0.04302990631
Short
EC
US
N
1
N
N
N
KOHL'S CORPORATION
549300JF6LPRTRJ0FH50
KOHLS CORP COMMON STOCK
500255104
-1200.00000000
NS
USD
-48384.00000000
-0.00614260224
Short
EC
US
N
1
N
N
N
FIVE9, INC.
254900MXP6EWY0SFFR59
FIVE9 INC COMMON STOCK
338307101
300.00000000
NS
USD
29013.00000000
0.003683352328
Long
EC
US
N
1
N
N
N
LIMA METRO LINE 2 FINANCE LIMITED
5493009BVQNQT1UKQ352
LIMA METRO LINE 2 FINANCE LTD 144A 4.350000% 04/05/2036
532522AB5
216965.44520000
PA
USD
198495.18000000
0.025200002875
Long
DBT
NUSS
PE
N
2
2036-04-05
Fixed
4.35000000
N
N
N
N
N
N
SIRIUS XM HOLDINGS INC.
54930055RWDMVXAGZK98
SIRIUS XM HOLDINGS INC COMMON STOCK
82968B103
-12800.00000000
NS
USD
-81920.00000000
-0.01040017312
Short
EC
US
N
1
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP MTN 2.875000% 01/15/2026
00914AAJ1
83000.00000000
PA
USD
78112.01000000
0.009916728842
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
MATADOR RESOURCES COMPANY
549300CI3Q2UUK5R4G79
MATADOR RESOURCES CO COMMON STOCK
576485205
3657.00000000
NS
USD
222711.30000000
0.028274366159
Long
EC
US
N
1
N
N
N
VEEVA SYSTEMS INC.
549300YZEXPDB92M2F02
VEEVA SYSTEMS INC-CLASS A COMMON STOCK
922475108
1400.00000000
NS
USD
238364.00000000
0.030261558418
Long
EC
US
N
1
N
N
N
NOVAVAX, INC.
529900J4GJHPEPQ23205
NOVAVAX INC COMMON STOCK
670002401
479.00000000
NS
USD
26503.07000000
0.003364703567
Long
EC
US
N
1
N
N
N
ATALAYA EQUIPMENT LEASING TRUST LLC.
N/A
ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A1
046497AA1
43646.67270000
PA
USD
43613.93000000
0.005537016875
Long
ABS-MBS
US
Y
2
2022-11-15
Fixed
0.32573000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A MATURITY: PERPETUAL
853254AA8
400000.00000000
PA
USD
333799.40000000
0.042377582365
Long
DBT
NUSS
GB
Y
2
2170-07-30
Floating
2.74885920
N
N
N
N
N
N
MOLSON COORS BEVERAGE COMPANY
54930073LBBH6ZCBE225
MOLSON COORS BEVERAGE CO - B COMMON STOCK
60871R209
4557.00000000
NS
USD
254462.88000000
0.032305395564
Long
EC
US
N
1
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP INDUSTRIAL TRUST REIT
529043101
4731.00000000
NS
USD
54690.36000000
0.006943227685
Long
EC
US
N
1
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 4.875000% 10/01/2025
05367AAH6
175000.00000000
PA
USD
174279.27000000
0.022125666250
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
4.87500000
N
N
N
N
N
N
UNITED THERAPEUTICS CORPORATION
5299005C4HZL4UWROC14
UNITED THERAPEUTICS CORP COMMON STOCK
91307C102
370.00000000
NS
USD
85225.80000000
0.010819861746
Long
EC
US
N
1
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 4.150000% 11/15/2030
11135FAQ4
183000.00000000
PA
USD
173663.55000000
0.022047497371
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
WESTERN DIGITAL CORPORATION
549300QQXOOYEF89IC56
WESTERN DIGITAL CORP COMMON STOCK
958102105
-1510.00000000
NS
USD
-91641.90000000
-0.01163441925
Short
EC
US
N
1
N
N
N
EXACT SCIENCES CORPORATION
549300VM3X1FYD4N9Z14
EXACT SCIENCES CORP COMMON STOCK
30063P105
1679.00000000
NS
USD
83630.99000000
0.010617392263
Long
EC
US
N
1
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 144A 2.268000% 11/15/2026
212015AU5
960000.00000000
PA
USD
880713.60000000
0.111811204947
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
JOHNSON & JOHNSON COMMON STOCK
478160104
21872.00000000
NS
USD
3926680.16000000
0.498512615375
Long
EC
US
N
1
N
N
N
HORIZON THERAPEUTICS PUBLIC LIMITED COMPANY
N/A
HORIZON THERAPEUTICS PLC COMMON STOCK
G46188101
2673.00000000
NS
USD
239741.37000000
0.030436422754
Long
EC
US
N
1
N
N
N
BROADRIDGE FINANCIAL SOLUTIONS, INC.
549300KZDJZQ2YIHRC28
BROADRIDGE FINANCIAL SOLUTIO COMMON STOCK
11133T103
300.00000000
NS
USD
43866.00000000
0.005569018482
Long
EC
US
N
1
N
N
N
LENNAR CORPORATION
529900G61XVRLX5TJX09
LENNAR CORP - B SHS COMMON STOCK
526057302
-600.00000000
NS
USD
-40302.00000000
-0.00511655001
Short
EC
US
N
1
N
N
N
AUTONATION, INC.
N/A
AUTONATION INC COMMON STOCK
05329W102
-500.00000000
NS
USD
-59780.00000000
-0.00758938414
Short
EC
US
N
1
N
N
N
Equitrans Midstream Corporation
549300RH0NLJNZ5SXU64
EQUITRANS MIDSTREAM CORP COMMON STOCK
294600101
17276.00000000
NS
USD
135962.12000000
0.017261103342
Long
EC
US
N
1
N
N
N
BRK: SOCIETE GENERALE
N/A
BRK: SOCIETE GENERALE REF: SOCIETE GENERALE COMMODITIES CUSTOM ALPHA 061
TX8888121
47178.36700000
NC
USD
-99814.55000000
-0.01267197997
N/A
DE
US
N
2
BRK: SOCIETE GENERALE
N/A
Y
2022-06-07
0.00000000
USD
0.00000000
USD
-4915999.27000000
USD
-99814.55000000
N
N
N
FREEPORT-MCMORAN INC.
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC COMMON STOCK
35671D857
-15799.00000000
NS
USD
-617424.92000000
-0.07838532784
Short
EC
US
N
1
N
N
N
ANTERO MIDSTREAM CORPORATION
N/A
ANTERO MIDSTREAM CORP COMMON STOCK
03676B102
13197.00000000
NS
USD
143319.42000000
0.018195151116
Long
EC
US
N
1
N
N
N
SPROUTS FARMERS MARKET, INC.
529900P8F4G77Q52XE24
SPROUTS FARMERS MARKET INC COMMON STOCK
85208M102
2601.00000000
NS
USD
70461.09000000
0.008945404470
Long
EC
US
N
1
N
N
N
ELECTRONIC ARTS INC.
549300O7A67PUEYKDL45
ELECTRONIC ARTS INC COMMON STOCK
285512109
3068.00000000
NS
USD
425378.20000000
0.054003990741
Long
EC
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU1349
3140M2QB1
2259064.50700000
PA
USD
2159280.18000000
0.274131929772
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
CALIFORNIA RESOURCES CORPORATION
5493003Q8F0T4F4YMR48
CALIFORNIA RESOURCES CORP COMMON STOCK
13057Q305
2900.00000000
NS
USD
126643.00000000
0.016077992241
Long
EC
US
N
1
N
N
N
N/A
N/A
NATURAL GAS FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
126.00000000
NC
USD
10262700.00000000
1.302903523930
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Natural Gas
Natural Gas Future Jul 2022
2022-07-01
8514603.52000000
USD
1748096.48000000
N
N
N
BREX COMMERCIAL CHARGE CARD MASTER TRUST
N/A
BREX COMMERCIAL CHARGE CARD MASTER TRUST BREX 2022-1 A
05601DAC7
880000.00000000
PA
USD
870938.20000000
0.110570166711
Long
ABS-MBS
US
Y
2
2025-07-15
Fixed
4.63000000
N
N
N
N
N
N
CarMax, Inc.
529900F60CID3NCZM330
CARMAX INC COMMON STOCK
143130102
-1562.00000000
NS
USD
-155059.74000000
-0.01968564623
Short
EC
US
N
1
N
N
N
THE SHERWIN-WILLIAMS COMPANY
Z15BMIOX8DDH0X2OBP21
SHERWIN-WILLIAMS CO/THE COMMON STOCK
824348106
-2703.00000000
NS
USD
-724512.12000000
-0.09198060883
Short
EC
US
N
1
N
N
N
ELEMENT SOLUTIONS INC
549300FLGN6P5CU20J91
ELEMENT SOLUTIONS INC COMMON STOCK
28618M106
-3700.00000000
NS
USD
-78773.00000000
-0.01000064498
Short
EC
US
N
1
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC COMMON STOCK
92343V104
70257.00000000
NS
USD
3603481.53000000
0.457480856290
Long
EC
US
N
1
N
N
N
APTIV PLC
N/A
APTIV PLC COMMON STOCK
G6095L109
-14847.00000000
NS
USD
-1577345.28000000
-0.20025224587
Short
EC
US
N
1
N
N
N
PRICESMART, INC.
549300JVYOSTGVSDZS46
PRICESMART INC COMMON STOCK
741511109
500.00000000
NS
USD
39315.00000000
0.004991245193
Long
EC
US
N
1
N
N
N
CAJUN GLOBAL LLC
N/A
CAJUN GLOBAL LLC CAJUN 2021-1 A2
12803VAA3
164755.00000000
PA
USD
150930.08000000
0.019161364270
Long
ABS-MBS
US
Y
2
2051-11-20
Fixed
3.93100000
N
N
N
N
N
N
CIVITAS RESOURCES, INC.
IIVIHPH28S64K95M2381
CIVITAS RESOURCES INC COMMON STOCK
17888H103
1569.00000000
NS
USD
119793.15000000
0.015208367902
Long
EC
US
N
1
N
N
N
INCYTE CORPORATION
549300Z4WN6JVZ3T4680
INCYTE CORP COMMON STOCK
45337C102
1556.00000000
NS
USD
118084.84000000
0.014991488999
Long
EC
US
N
1
N
N
N
COTY INC.
549300BO9IWPF3S48F93
COTY INC-CL A COMMON STOCK
222070203
9568.00000000
NS
USD
67837.12000000
0.008612277734
Long
EC
US
N
1
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC-A COMMON STOCK
609207105
31116.00000000
NS
USD
1977732.96000000
0.251083559197
Long
EC
US
N
1
N
N
N
PLANET FITNESS, INC.
549300LLE5HUPF6H8G33
PLANET FITNESS INC - CL A COMMON STOCK
72703H101
-1692.00000000
NS
USD
-119066.04000000
-0.01511605747
Short
EC
US
N
1
N
N
N
CARVANA AUTO RECEIVABLES TRUST
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2021-N3 C
14687GAD7
333000.00000000
PA
USD
321016.43000000
0.040754717363
Long
ABS-MBS
US
N
2
2028-06-12
Fixed
1.02000000
N
N
N
N
N
N
N/A
N/A
CORN FUTURE SEP22 PHYSICAL COMMODITY FUTURE.
N/A
-9.00000000
NC
USD
-326250.00000000
-0.04141914648
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Corn
Corn Future Sep 2022
2022-09-17
-339214.50000000
USD
12964.50000000
N
N
N
MURPHY OIL CORPORATION
QBKYQD0ODE7DC7PDIN91
MURPHY OIL CORP COMMON STOCK
626717102
5043.00000000
NS
USD
213924.06000000
0.027158780011
Long
EC
US
N
1
N
N
N
MONSTER BEVERAGE CORPORATION
52990090AP0E7HCB6F33
MONSTER BEVERAGE CORP COMMON STOCK
61174X109
8738.00000000
NS
USD
778730.56000000
0.098863923803
Long
EC
US
N
1
N
N
N
TSMC ARIZONA CORPORATION
2549005GOBWLCSY63Q97
TSMC ARIZONA CORP 3.875000% 04/22/2027
872898AF8
345000.00000000
PA
USD
348159.00000000
0.044200608805
Long
DBT
CORP
TW
N
2
2027-04-22
Fixed
3.87500000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY COMMON STOCK
816851109
3205.00000000
NS
USD
525171.30000000
0.066673247531
Long
EC
US
N
1
N
N
N
ZILLOW GROUP, INC.
2549002XEELQDIR6FU05
ZILLOW GROUP INC - C COMMON STOCK
98954M200
2700.00000000
NS
USD
107730.00000000
0.013676887820
Long
EC
US
N
1
N
N
N
THE INTERPUBLIC GROUP OF COMPANIES, INC.
5493008IUOJ5VWTRC333
INTERPUBLIC GROUP OF COS INC COMMON STOCK
460690100
-4035.00000000
NS
USD
-130048.05000000
-0.01651028117
Short
EC
US
N
1
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT CREDIT RISK TRANSFER TRUST 2019-2R PMTCR 2019-2R A
69345WAA6
282571.61410000
PA
USD
276782.74000000
0.035139018709
Long
ABS-MBS
US
Y
2
2023-05-27
Floating
3.77300160
N
N
N
N
N
N
EXTRA SPACE STORAGE INC.
N/A
EXTRA SPACE STORAGE INC REIT
30225T102
2211.00000000
NS
USD
394000.20000000
0.050020389274
Long
EC
US
N
1
N
N
N
N/A
N/A
SOYBEAN MEAL FUTR DEC22 PHYSICAL COMMODITY FUTURE.
N/A
1.00000000
NC
USD
40200.00000000
0.005103600578
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Soybean Meal
Soybean Meal Future Dec 2022
2022-12-17
40491.97000000
USD
-291.97000000
N
N
N
APA CORPORATION
N/A
APA CORP COMMON STOCK
03743Q108
12904.00000000
NS
USD
606617.04000000
0.077013210859
Long
EC
US
N
1
N
N
N
AGILENT TECHNOLOGIES, INC.
QUIX8Y7A2WP0XRMW7G29
AGILENT TECHNOLOGIES INC COMMON STOCK
00846U101
2527.00000000
NS
USD
322344.12000000
0.040923274563
Long
EC
US
N
1
N
N
N
N/A
N/A
LME PRI ALUM FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
33.00000000
NC
USD
2288550.00000000
0.290543410573
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Aluminum
LME ALUM HG FUTUR Jul 2022
2022-07-21
2720212.59000000
USD
-431662.59000000
N
N
N
GOLAR LNG LIMITED
213800C2VSFZG3EZLO34
GOLAR LNG LTD COMMON STOCK
G9456A100
4523.00000000
NS
USD
114567.59000000
0.014544955688
Long
EC
US
N
1
N
N
N
TK Elevator Midco GmbH
254900K869UN2ZWVB351
TK ELEVATOR MIDCO GMBH 4.375000% 07/15/2027
N/A
118000.00000000
PA
116610.78000000
0.014804349361
Long
DBT
NUSS
DE
N
2
2027-07-15
Fixed
4.37500000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 3.091000% 05/14/2032
225401AU2
670000.00000000
PA
USD
561877.23000000
0.071333257620
Long
DBT
NUSS
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS733699
-89858.10560000
NC
USD
-20687.43000000
-0.00262637760
N/A
DCR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2063-05-11
0.00000000
USD
-9694.16000000
USD
-89858.10560000
USD
-10993.27000000
N
N
N
SUMMIT MATERIALS, INC.
549300XNOLX5GIOSO108
SUMMIT MATERIALS INC -CL A COMMON STOCK
86614U100
-1300.00000000
NS
USD
-35503.00000000
-0.00450729182
Short
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2022-DNA2 M1A
35564KRE1
703963.91850000
PA
USD
692480.86000000
0.087914072587
Long
DBT
USGA
US
Y
2
2042-02-25
Floating
1.88445960
N
N
N
N
N
N
GARTNER, INC.
PP55B5R38BFB8O8HH686
GARTNER INC COMMON STOCK
366651107
237.00000000
NS
USD
62188.80000000
0.007895193922
Long
EC
US
N
1
N
N
N
NUCOR CORPORATION
549300GGJCRSI2TIEJ46
NUCOR CORP COMMON STOCK
670346105
-2964.00000000
NS
USD
-392611.44000000
-0.04984407891
Short
EC
US
N
1
N
N
N
ETSY, INC.
54930089Q7XT501AEA40
ETSY INC COMMON STOCK
29786A106
-1419.00000000
NS
USD
-115109.28000000
-0.01461372607
Short
EC
US
N
1
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 4.375000% 10/15/2028
125523AH3
384000.00000000
PA
USD
389892.77000000
0.049498929520
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
LIVE CATTLE FUTR AUG22 PHYSICAL COMMODITY FUTURE.
N/A
-13.00000000
NC
USD
-677950.00000000
-0.08606930379
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Live Cattle
Live Cattle Future(Consolidated) Aug 2022
2022-09-03
-687643.21000000
USD
9693.21000000
N
N
N
ADVANCED MICRO DEVICES, INC.
R2I72C950HOYXII45366
ADVANCED MICRO DEVICES COMMON STOCK
007903107
-7565.00000000
NS
USD
-770570.90000000
-0.09782801222
Short
EC
US
N
1
N
N
N
RELIANCE STEEL & ALUMINUM CO.
549300E287ZOFT3C5Z56
RELIANCE STEEL & ALUMINUM COMMON STOCK
759509102
-821.00000000
NS
USD
-159602.40000000
-0.02026236072
Short
EC
US
N
1
N
N
N
ONE GAS, INC.
549300HXDWI0LATTX840
ONE GAS INC COMMON STOCK
68235P108
406.00000000
NS
USD
35330.12000000
0.004485343803
Long
EC
US
N
1
N
N
N
URBAN EDGE PROPERTIES
N/A
URBAN EDGE PROPERTIES REIT
91704F104
2552.00000000
NS
USD
48105.20000000
0.006107207128
Long
EC
US
N
1
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP COMMON STOCK
580135101
-15794.00000000
NS
USD
-3983404.74000000
-0.50571409794
Short
EC
US
N
1
N
N
N
NUCOR CORPORATION
549300GGJCRSI2TIEJ46
NUCOR CORP 4.300000% 05/23/2027
670346AY1
273000.00000000
PA
USD
277251.61000000
0.035198544212
Long
DBT
CORP
US
N
2
2027-05-23
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 STACR 2021-DNA6 M2
35564KKY4
975857.00000000
PA
USD
911829.17000000
0.115761489551
Long
DBT
USGA
US
N
2
2041-10-25
Floating
2.08446120
N
N
N
N
N
N
ORGANON & CO.
549300AMCKY57OK2CO56
ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV 2.875000% 04/30/2028
N/A
200000.00000000
PA
196841.96000000
0.024990117935
Long
DBT
NUSS
US
N
2
2028-04-30
Fixed
2.87500000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS860517
-3594.33060000
NC
USD
-827.50000000
-0.00010505545
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-423.55000000
USD
-3594.33060000
USD
-403.95000000
N
N
N
HILTON GRAND VACATIONS INC.
549300O9K6MFD8D07574
HILTON GRAND VACATIONS INC COMMON STOCK
43283X105
-1700.00000000
NS
USD
-77775.00000000
-0.00987394365
Short
EC
US
N
1
N
N
N
LGI HOMES, INC.
549300W02B4WNV8CV109
LGI HOMES INC COMMON STOCK
50187T106
-567.00000000
NS
USD
-55560.33000000
-0.00705367493
Short
EC
US
N
1
N
N
N
Gobierno de la Republica Dominicana
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND 144A 4.875000% 09/23/2032
25714PEF1
871000.00000000
PA
USD
750230.34000000
0.095245671582
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
CONSOL ENERGY INC.
549300YJCTPJBTK7IJ81
CONSOL ENERGY INC COMMON STOCK
20854L108
1700.00000000
NS
USD
87652.00000000
0.011127880546
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS783251
-163541.74840000
NC
USD
-37651.12000000
-0.00478000691
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-25208.21000000
USD
-163541.74840000
USD
-12442.91000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4981 HS
3137FTV38
2397621.66320000
PA
USD
318859.70000000
0.040480909192
Long
DBT
USGA
US
N
2
2050-06-25
Floating
5.09429160
N
N
N
N
N
N
VIATRIS INC.
254900ZZTSW7NL773X71
VIATRIS INC COMMON STOCK
92556V106
13858.00000000
NS
USD
170037.66000000
0.021587171642
Long
EC
US
N
1
N
N
N
N/A
N/A
NATURAL GAS FUTR APR23 PHYSICAL COMMODITY FUTURE.
N/A
11.00000000
NC
USD
560230.00000000
0.071124133143
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Natural Gas
Natural Gas Future Apr 2023
2023-04-01
524130.57000000
USD
36099.43000000
N
N
N
NEOGEN CORPORATION
549300HJT9FC36N4UW43
NEOGEN CORP COMMON STOCK
640491106
882.00000000
NS
USD
23337.72000000
0.002962845803
Long
EC
US
N
1
N
N
N
BALLYROCK CLO LTD
N/A
BALLYROCK CLO 15 LTD BALLY 2021-1A C
05875TAG2
500000.00000000
PA
USD
463602.00000000
0.058856702378
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-15
Floating
4.14429120
N
N
N
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 2.4875%
N/A
1240000.00000000
NC
USD
14254.15000000
0.001809639009
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2025-06-09
0.00000000
USD
0.00000000
USD
-1240000.00000000
USD
14254.15000000
N
N
N
GEVO, INC.
549300IV6EW4O1OJD686
GEVO INC COMMON STOCK
374396406
9500.00000000
NS
USD
39900.00000000
0.005065514007
Long
EC
US
N
1
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 7.500000% MATURITY: PERPETUAL
N/A
600000.00000000
PA
USD
614370.00000000
0.077997489744
Long
DBT
NUSS
ES
N
2
2171-05-08
Fixed
7.50000000
N
N
N
Y
Y
BANCO SANTANDER, S.A.
SAN 7.5 PERP
EUR
XXXX
N
N
N
DANA INCORPORATED
KVWHW7YLZPFJM8QYNJ51
DANA INC COMMON STOCK
235825205
-7636.00000000
NS
USD
-126452.16000000
-0.01605376410
Short
EC
US
N
1
N
N
N
TOLL BROTHERS, INC.
529900JB6IS9MSZGVR44
TOLL BROTHERS INC COMMON STOCK
889478103
-3991.00000000
NS
USD
-201425.77000000
-0.02557205662
Short
EC
US
N
1
N
N
N
NU SKIN ENTERPRISES, INC.
54930050DETB6CP71D38
NU SKIN ENTERPRISES INC - A COMMON STOCK
67018T105
857.00000000
NS
USD
39979.05000000
0.005075549819
Long
EC
US
N
1
N
N
N
H.B. FULLER COMPANY
JSMX3Z5FOYM8V0Q52357
H.B. FULLER CO. COMMON STOCK
359694106
-900.00000000
NS
USD
-63972.00000000
-0.00812158050
Short
EC
US
N
1
N
N
N
REGENERON PHARMACEUTICALS, INC.
549300RCBFWIRX3HYQ56
REGENERON PHARMACEUTICALS COMMON STOCK
75886F107
875.00000000
NS
USD
581647.50000000
0.073843196959
Long
EC
US
N
1
N
N
N
ESSEX PROPERTY TRUST, INC.
549300TR2H2VEFX0NC60
ESSEX PROPERTY TRUST INC REIT
297178105
885.00000000
NS
USD
251207.25000000
0.031892076282
Long
EC
US
N
1
N
N
N
VIA RENEWABLES, INC.
549300U656GZMTWR1T03
VIA RENEWABLES INC COMMON STOCK
92556D106
3000.00000000
NS
USD
25410.00000000
0.003225932604
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/4% 01/15/2025
912828H45
38685400.00000000
PA
USD
48308383.94000000
6.133002394187
Long
DBT
USGA
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT CREDIT RISK TRANSFER TRUST 2019-3R PMTCR 2019-3R A
69349MAA4
42328.30150000
PA
USD
42072.69000000
0.005341348384
Long
ABS-MBS
US
N
2
2022-10-27
Floating
3.72300120
N
N
N
N
N
N
BROOKFIELD INFRASTRUCTURE CORPORATION
N/A
BROOKFIELD INFRASTRUCTURE-A COMMON STOCK
11275Q107
466.00000000
NS
USD
32876.30000000
0.004173818500
Long
EC
US
N
1
N
N
N
THE HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
HERSHEY CO/THE COMMON STOCK
427866108
3346.00000000
NS
USD
708381.66000000
0.089932762440
Long
EC
US
N
1
N
N
N
AUTOMATIC DATA PROCESSING, INC.
HGBOLILQXWER4SAL2I23
AUTOMATIC DATA PROCESSING COMMON STOCK
053015103
1297.00000000
NS
USD
289153.18000000
0.036709510867
Long
EC
US
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-07-28
N/A
1.00000000
NC
USD
-46805.75000000
-0.00594223514
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
2667601.38000000
EUR
2819374.56000000
USD
2022-07-28
-46805.75000000
N
N
N
CENCOSUD S.A.
549300NLTGCFV7482429
CENCOSUD SA 5.150000% 02/12/2025
P2205JAK6
613000.00000000
PA
USD
616126.30000000
0.078220461229
Long
DBT
NUSS
CL
N
2
2025-02-12
Fixed
5.15000000
N
N
N
N
N
N
URANIUM ENERGY CORP.
549300VD69WD2USLIP04
URANIUM ENERGY CORP COMMON STOCK
916896103
14100.00000000
NS
USD
53862.00000000
0.006838063044
Long
EC
US
N
1
N
N
N
HOST HOTELS & RESORTS, INC.
N6EL63S0K3PB1YFTDI24
HOST HOTELS & RESORTS INC REIT
44107P104
13776.00000000
NS
USD
275382.24000000
0.034961217898
Long
EC
US
N
1
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC COMMON STOCK
548661107
-6261.00000000
NS
USD
-1222773.30000000
-0.15523747566
Short
EC
US
N
1
N
N
N
FOOT LOCKER, INC.
549300X383CBNP6MTV94
FOOT LOCKER INC COMMON STOCK
344849104
-1000.00000000
NS
USD
-32980.00000000
-0.00418698375
Short
EC
US
N
1
N
N
N
LULULEMON ATHLETICA INC.
549300D9GZ4BMLDW5T40
LULULEMON ATHLETICA INC COMMON STOCK
550021109
-4061.00000000
NS
USD
-1188614.09000000
-0.15090078502
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS850837
-80872.29400000
NC
USD
-18618.68000000
-0.00236373895
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-8375.92000000
USD
-80872.29400000
USD
-10242.76000000
N
N
N
MERCK & CO., INC.
4YV9Y5M8S0BRK1RP0397
MERCK & CO. INC. COMMON STOCK
58933Y105
19674.00000000
NS
USD
1810598.22000000
0.229864928455
Long
EC
US
N
1
N
N
N
FRONTDOOR, INC.
5493008RB0JZJI3QGZ06
FRONTDOOR INC COMMON STOCK
35905A109
-1300.00000000
NS
USD
-32162.00000000
-0.00408313437
Short
EC
US
N
1
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.292000% 09/12/2026
404280BX6
260000.00000000
PA
USD
259057.22000000
0.032888671094
Long
DBT
NUSS
GB
N
2
2026-09-12
Fixed
4.29200000
N
N
N
N
N
N
PARAMOUNT GROUP, INC.
N/A
PARAMOUNT GROUP INC REIT
69924R108
4300.00000000
NS
USD
38958.00000000
0.004945922173
Long
EC
US
N
1
N
N
N
BREX COMMERCIAL CHARGE CARD MASTER TRUST
N/A
BREX COMMERCIAL CHARGE CARD MASTER TRUST BREX 2021-1 A
05601DAA1
373000.00000000
PA
USD
367927.39000000
0.046710309468
Long
ABS-MBS
US
Y
2
2024-07-15
Fixed
2.09000000
N
N
N
N
N
N
THE ANDERSONS, INC.
L38MWB8MVRFV7HVJPU11
ANDERSONS INC/THE COMMON STOCK
034164103
1600.00000000
NS
USD
60176.00000000
0.007639658418
Long
EC
US
N
1
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
FORD MOTOR CO COMMON STOCK
345370860
-232401.00000000
NS
USD
-3179245.68000000
-0.40362189286
Short
EC
US
N
1
N
N
N
THE SCOTTS MIRACLE-GRO COMPANY
2TH9E0JTOUXOEGI2R879
SCOTTS MIRACLE-GRO CO COMMON STOCK
810186106
-575.00000000
NS
USD
-54406.50000000
-0.00690719017
Short
EC
US
N
1
N
N
N
OXFORD INDUSTRIES INC
IDZ20O0XD3GS4UOI2L88
OXFORD INDUSTRIES INC COMMON STOCK
691497309
-500.00000000
NS
USD
-45580.00000000
-0.00578661976
Short
EC
US
N
1
N
N
N
Globo Comunicacao e Participacoes S.A.
52990054HEKS017PVR75
GLOBO COMUNICACAO E PARTICIPACOES SA 144A 4.875000% 01/22/2030
37959DAB0
415000.00000000
PA
USD
357964.48000000
0.045445465855
Long
DBT
NUSS
BR
N
2
2030-01-22
Fixed
4.87500000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C22 XA
46642NBF2
15125830.65000000
PA
USD
213897.40000000
0.027155395385
Long
DBT
USGA
US
N
2
2047-09-15
Floating
0.81393840
N
N
N
N
N
N
TERMINIX GLOBAL HOLDINGS, INC.
549300GS10644JGL8R77
TERMINIX GLOBAL HOLDINGS INC COMMON STOCK
88087E100
-2290.00000000
NS
USD
-99408.90000000
-0.01262048058
Short
EC
US
N
1
N
N
N
PENSKE AUTOMOTIVE GROUP, INC.
549300W7UTQ0M4C7LB15
PENSKE AUTOMOTIVE GROUP INC COMMON STOCK
70959W103
-500.00000000
NS
USD
-57570.00000000
-0.00730881306
Short
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 2.293%
N/A
1833000.00000000
NC
USD
32933.28000000
0.004181052409
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2025-08-04
0.00000000
USD
0.00000000
USD
-1833000.00000000
USD
32933.28000000
N
N
N
WORKDAY, INC.
549300J0DYC0N31V7G13
WORKDAY INC-CLASS A COMMON STOCK
98138H101
879.00000000
NS
USD
137387.70000000
0.017442088190
Long
EC
US
N
1
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC COMMON STOCK
437076102
-10276.00000000
NS
USD
-3111059.00000000
-0.39496523665
Short
EC
US
N
1
N
N
N
CALLAWAY GOLF COMPANY
5493005UB0KFRKBPCU72
CALLAWAY GOLF COMPANY COMMON STOCK
131193104
-4890.00000000
NS
USD
-106161.90000000
-0.01347780931
Short
EC
US
N
1
N
N
N
STANDARD MOTOR PRODUCTS, INC.
THGK1EO5B5HK0JHQVZ90
STANDARD MOTOR PRODS COMMON STOCK
853666105
-1109.00000000
NS
USD
-44304.55000000
-0.00562469470
Short
EC
US
N
1
N
N
N
LORCA TELECOM BONDCO SA
9598004HFBAS82YM7X35
LORCA TELECOM BONDCO SA 4.000000% 09/18/2027
N/A
226000.00000000
PA
226167.05000000
0.028713091724
Long
DBT
NUSS
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIALS, INC.
5299005MZ4WZECVATV08
MARTIN MARIETTA MATERIALS COMMON STOCK
573284106
-687.00000000
NS
USD
-233154.06000000
-0.02960012924
Short
EC
US
N
1
N
N
N
TRACTOR SUPPLY COMPANY
549300OJ9VZHZRO6I137
TRACTOR SUPPLY COMPANY COMMON STOCK
892356106
-1294.00000000
NS
USD
-242443.84000000
-0.03077951547
Short
EC
US
N
1
N
N
N
CHOICE HOTELS INTERNATIONAL, INC.
5493003CYRY5RFGTIR97
CHOICE HOTELS INTL INC COMMON STOCK
169905106
-802.00000000
NS
USD
-102567.78000000
-0.01302151695
Short
EC
US
N
1
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH INDUSTRIAL CAPITAL LLC 3.950000% 05/23/2025
12592BAN4
583000.00000000
PA
USD
584766.49000000
0.074239169078
Long
DBT
CORP
US
N
2
2025-05-23
Fixed
3.95000000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 3.650000% 03/15/2027
03027XBV1
205000.00000000
PA
USD
199363.14000000
0.025310194943
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STACR TRUST 2019-FTR2 STACR 2019-FTR2 M2
35564WAH6
402597.00000000
PA
USD
384382.26000000
0.048799341410
Long
DBT
USGA
US
N
2
2048-11-25
Floating
3.15570960
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2006-13 CWHL 2006-13 1A19
12543TAU9
51089.76080000
PA
USD
27541.09000000
0.003496485643
Long
ABS-MBS
US
N
2
2036-09-25
Fixed
6.25000000
N
N
N
N
N
N
TEGNA INC.
549300YC5EDBGX85AO10
TEGNA INC COMMON STOCK
87901J105
-2600.00000000
NS
USD
-56940.00000000
-0.00722883126
Short
EC
US
N
1
N
N
N
Banco de Credito del Peru
549300EQYQ8SCQZ4BY14
BANCO DE CREDITO DEL PERU S.A. MTN 3.125000% 07/01/2030
05971U2C0
728000.00000000
PA
USD
679173.04000000
0.086224575128
Long
DBT
NUSS
PE
N
2
2030-07-01
Fixed
3.12500000
N
N
N
N
N
N
RYMAN HOSPITALITY PROPERTIES, INC.
529900GCCWW9SRMPJR11
RYMAN HOSPITALITY PROPERTIES REIT
78377T107
867.00000000
NS
USD
77414.43000000
0.009828167407
Long
EC
US
N
1
N
N
N
CDK GLOBAL, INC.
5493000L10CYRTHIJ385
CDK GLOBAL INC COMMON STOCK
12508E101
835.00000000
NS
USD
45474.10000000
0.005773175201
Long
EC
US
N
1
N
N
N
ALTICE USA, INC.
54930064K3612MGCER95
ALTICE USA INC- A COMMON STOCK
02156K103
-2037.00000000
NS
USD
-23181.06000000
-0.00294295699
Short
EC
US
N
1
N
N
N
ALLIANT ENERGY CORPORATION
5493009ML300G373MZ12
ALLIANT ENERGY CORP COMMON STOCK
018802108
2288.00000000
NS
USD
146020.16000000
0.018538024206
Long
EC
US
N
1
N
N
N
Covetrus Inc
5493009S30DUFCF75V87
COVETRUS INC COMMON STOCK
22304C100
1565.00000000
NS
USD
32583.30000000
0.004136620615
Long
EC
US
N
1
N
N
N
THE BOSTON BEER COMPANY, INC.
529900Q02MQ0DCQNRM58
BOSTON BEER COMPANY INC-A COMMON STOCK
100557107
227.00000000
NS
USD
80653.10000000
0.010239333528
Long
EC
US
N
1
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC COMMON STOCK
713448108
31620.00000000
NS
USD
5304255.00000000
0.673402957440
Long
EC
US
N
1
N
N
N
LIVANOVA PLC
2138001K2FX6SHK2B339
LIVANOVA PLC COMMON STOCK
G5509L101
443.00000000
NS
USD
30155.01000000
0.003828336479
Long
EC
US
N
1
N
N
N
AMERISOURCEBERGEN CORPORATION
AI8GXW8LG5WK7E9UD086
AMERISOURCEBERGEN CORP COMMON STOCK
03073E105
1091.00000000
NS
USD
168875.89000000
0.021439678855
Long
EC
US
N
1
N
N
N
CASS INFORMATION SYSTEMS, INC.
549300G7XPIPR7SJ2F38
CASS INFORMATION SYSTEMS INC COMMON STOCK
14808P109
700.00000000
NS
USD
23884.00000000
0.003032198911
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS781048
-146468.71540000
NC
USD
-33720.50000000
-0.00428099411
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-21232.74000000
USD
-146468.71540000
USD
-12487.76000000
N
N
N
NEUROCRINE BIOSCIENCES, INC.
549300FECER0XBN49756
NEUROCRINE BIOSCIENCES INC COMMON STOCK
64125C109
870.00000000
NS
USD
81336.30000000
0.010326069347
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS790012
-14377.30250000
NC
USD
-3309.99000000
-0.00042022056
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-2059.24000000
USD
-14377.30250000
USD
-1250.75000000
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A 2.797000% 01/19/2028
83368RBH4
613000.00000000
PA
USD
558638.27000000
0.070922054682
Long
DBT
NUSS
FR
N
2
2028-01-19
Fixed
2.79700000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS859664
-17971.62310000
NC
USD
-4137.49000000
-0.00052527602
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-2174.87000000
USD
-17971.62310000
USD
-1962.62000000
N
N
N
SIMON PROPERTY GROUP, INC.
529900GQL5X8H7AO3T64
SIMON PROPERTY GROUP INC REIT
828806109
5421.00000000
NS
USD
621517.65000000
0.078904921353
Long
EC
US
N
1
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY MTN 2.972000% 02/16/2028
63861VAF4
307000.00000000
PA
USD
286404.67000000
0.036360573125
Long
DBT
NUSS
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
N
CHEVRON CORPORATION
N/A
CHEVRON CORP COMMON STOCK
166764100
66962.00000000
NS
USD
11695582.92000000
1.484815516471
Long
EC
US
N
1
N
N
N
CLEAN ENERGY FUELS CORP.
549300MTQB4VUAOPMF71
CLEAN ENERGY FUELS CORP COMMON STOCK
184499101
5769.00000000
NS
USD
31902.57000000
0.004050198376
Long
EC
US
N
1
N
N
N
ICU MEDICAL, INC.
5493003NRW7LS2QZRH60
ICU MEDICAL INC COMMON STOCK
44930G107
126.00000000
NS
USD
22886.64000000
0.002905578834
Long
EC
US
N
1
N
N
N
LIBERTY BROADBAND CORPORATION
549300MIX43II8JLN536
LIBERTY BROADBAND-C COMMON STOCK
530307305
-1784.00000000
NS
USD
-223303.28000000
-0.02834952112
Short
EC
US
N
1
N
N
N
N/A
N/A
BRK: HSBC SECURITIES NEW YORK AMT: 24,336,000.00
N/A
-24336000.00000000
PA
USD
-24336000.00000000
-3.08958267886
Short
RA
US
N
2
Reverse repurchase
N
0.32000000
2050-12-31
19200000.00000000
USD
24532384.96000000
USD
UST
N
N
N
WEX INC.
T9M5IGROL1TL1G5OV478
WEX INC COMMON STOCK
96208T104
200.00000000
NS
USD
34056.00000000
0.004323587594
Long
EC
US
N
1
N
N
N
OGE ENERGY CORP.
CE5OG6JPOZMDSA0LAQ19
OGE ENERGY CORP COMMON STOCK
670837103
1585.00000000
NS
USD
65460.50000000
0.008310553375
Long
EC
US
N
1
N
N
N
DHT HOLDINGS, INC.
549300SMD6IVZYT74K40
DHT HOLDINGS INC COMMON STOCK
Y2065G121
8000.00000000
NS
USD
47680.00000000
0.006053225761
Long
EC
US
N
1
N
N
N
CONSOLIDATED EDISON, INC.
54930033SBW53OO8T749
CONSOLIDATED EDISON INC COMMON STOCK
209115104
3658.00000000
NS
USD
363093.08000000
0.046096568490
Long
EC
US
N
1
N
N
N
LIVE NATION ENTERTAINMENT, INC.
5493007B9BM9ZXJINO78
LIVE NATION ENTERTAINMENT IN COMMON STOCK
538034109
1200.00000000
NS
USD
114060.00000000
0.014480514478
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS331912
-699096.05140000
NC
USD
-160948.18000000
-0.02043321454
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2049-12-31
0.00000000
USD
-43572.56000000
USD
-699096.05140000
USD
-117375.62000000
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
ALTERNATIVE LOAN TRUST 2006-28CB CWALT 2006-28CB A14
02147TAP1
160135.24370000
PA
USD
100885.14000000
0.012807896987
Long
ABS-MBS
US
N
2
2036-10-25
Fixed
6.25000000
N
N
N
N
N
N
ARCHER-DANIELS-MIDLAND COMPANY
549300LO13MQ9HYSTR83
ARCHER-DANIELS-MIDLAND CO COMMON STOCK
039483102
13320.00000000
NS
USD
1209722.40000000
0.153580595548
Long
EC
US
N
1
N
N
N
COLUMBIA SPORTSWEAR COMPANY
549300OTMCIEUXAH5Z60
COLUMBIA SPORTSWEAR CO COMMON STOCK
198516106
-1900.00000000
NS
USD
-147782.00000000
-0.01876169902
Short
EC
US
N
1
N
N
N
AMGEN INC.
62QBXGPJ34PQ72Z12S66
AMGEN INC 3.000000% 02/22/2029
031162DD9
237000.00000000
PA
USD
224330.41000000
0.028479920655
Long
DBT
CORP
US
N
2
2029-02-22
Fixed
3.00000000
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2017-SC BAMLL 2017-SCH AF
054966AA4
1535000.00000000
PA
USD
1444928.04000000
0.183441183620
Long
ABS-MBS
US
N
2
2033-11-15
Floating
1.87499880
N
N
N
N
N
N
Texas Pacific Land Corp
N/A
TEXAS PACIFIC LAND CORP COMMON STOCK
88262P102
222.00000000
NS
USD
347649.78000000
0.044135960659
Long
EC
US
N
1
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
WALT DISNEY CO/THE COMMON STOCK
254687106
17586.00000000
NS
USD
1942197.84000000
0.246572189570
Long
EC
US
N
1
N
N
N
United States of America
N/A
US ULTRA BOND CBT SEP22 FINANCIAL COMMODITY FUTURE.
N/A
-29.00000000
NC
USD
-4516750.00000000
-0.57342507251
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Sep 2022
2022-09-24
-4613218.08000000
USD
96468.08000000
N
N
N
IDEXX LABORATORIES, INC.
OGMTXK0LUU1HKV2P0J84
IDEXX LABORATORIES INC COMMON STOCK
45168D104
863.00000000
NS
USD
337968.06000000
0.042906815589
Long
EC
US
N
1
N
N
N
N/A
N/A
RBOB GASOLINE FT JUL22 PHYSICAL COMMODITY FUTURE.
N/A
14.00000000
NC
USD
2302725.60000000
0.292343077249
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Unleaded Gas
RBOB GASOLINE Jul 2022
2022-07-02
1805312.88000000
USD
497412.72000000
N
N
N
GENPACT LIMITED
529900OSEC6Q0L4L5B35
GENPACT LTD COMMON STOCK
G3922B107
600.00000000
NS
USD
26622.00000000
0.003379802353
Long
EC
US
N
1
N
N
N
AMERICA'S CAR-MART TRUST
N/A
ACM AUTO TRUST 2022-1 ACMAT 2022-1A A
00091QAA0
1047575.14000000
PA
USD
1046146.67000000
0.132813799769
Long
ABS-MBS
US
Y
2
2029-04-20
Fixed
3.23000000
N
N
N
N
N
N
GAMESTOP CORP.
549300505KLOET039L77
GAMESTOP CORP-CLASS A COMMON STOCK
36467W109
-400.00000000
NS
USD
-49896.00000000
-0.00633455856
Short
EC
US
N
1
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 3.750000% 01/15/2031
86964WAJ1
163000.00000000
PA
USD
144258.26000000
0.018314341772
Long
DBT
NUSS
BR
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY FRN VARIABLE RATE 04/30/2023
91282CBY6
16700000.00000000
PA
USD
16721459.50000000
2.122876875268
Long
SN
UST
US
N
2
2023-04-30
Floating
1.09684800
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-81 SA
3136AX4B8
1169939.93200000
PA
USD
193238.39000000
0.024532625847
Long
DBT
USGA
US
N
2
2047-10-25
Floating
5.19428880
N
N
N
N
N
N
AREIT LTD.
N/A
AREIT 2022-CRE6 TRUST AREIT 2022-CRE6 A
04002VAA9
1388000.00000000
PA
USD
1352826.69000000
0.171748434785
Long
ABS-MBS
KY
Y
2
2024-11-17
Floating
1.71542160
N
N
N
N
N
N
BELLEMEADE RE LTD.
N/A
BELLEMEADE RE LTD BMIR 2021-1A M1C
07876MAC1
378255.00000000
PA
USD
373193.15000000
0.047378825283
Long
ABS-MBS
BM
Y
2
2031-03-25
Floating
3.53445840
N
N
N
N
N
N
N/A
N/A
COCOA FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-83.00000000
NC
USD
-2071680.00000000
-0.26301062804
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Cocoa
Cocoa Future Jul 2022
2022-07-17
-2058840.88000000
USD
-12839.12000000
N
N
N
INTEGRA LIFESCIENCES HOLDINGS CORPORATION
WB7IJCYY8YFTENS4O147
INTEGRA LIFESCIENCES HOLDING COMMON STOCK
457985208
572.00000000
NS
USD
35830.08000000
0.004548816344
Long
EC
US
N
1
N
N
N
KYNDRYL HOLDINGS, INC.
549300LQ4LWX2R8ZV130
KYNDRYL HOLDINGS INC 144A 2.050000% 10/15/2026
50155QAA8
568000.00000000
PA
USD
495864.95000000
0.062952652883
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
CONSTELLATION ENERGY CORPORATION.
549300F8Y20RYGNGV346
CONSTELLATION ENERGY COMMON STOCK
21037T109
3170.00000000
NS
USD
196793.60000000
0.024983978380
Long
EC
US
N
1
N
N
N
PT Freeport Indonesia
549300T4HTQHRKLNE619
FREEPORT INDONESIA PT MTN 4.763000% 04/14/2027
69377FAA4
225000.00000000
PA
USD
225562.50000000
0.028636340935
Long
DBT
NUSS
ID
N
2
2027-04-14
Fixed
4.76300000
N
N
N
N
N
N
Apple Hospitality REIT, Inc.
549300EVZAR0FBZO4F16
APPLE HOSPITALITY REIT INC REIT
03784Y200
2165.00000000
NS
USD
36177.15000000
0.004592878698
Long
EC
US
N
1
N
N
N
N/A
N/A
COPPER FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-28.00000000
NC
USD
-3007200.00000000
-0.38177979256
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Copper
COPPER FUTURE (Consolidated) Jul 2022
2022-07-30
-3125323.48000000
USD
118123.48000000
N
N
N
CORN FUTURE JUL22
N/A
CORN FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
104.00000000
NC
USD
3918200.00000000
0.497436014641
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
N/A
N/A
2022-07-17
3976225.62000000
USD
-58025.62000000
N
N
N
AMERICAN ELECTRIC POWER COMPANY, INC.
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER COMMON STOCK
025537101
5065.00000000
NS
USD
516781.95000000
0.065608175602
Long
EC
US
N
1
N
N
N
N/A
N/A
BRK: CHASE SECURITIES AMT: 18,457,375.00
N/A
-18457375.00000000
PA
USD
-18457375.00000000
-2.34326044121
Short
RA
US
N
2
Reverse repurchase
N
0.83000000
2050-12-31
14900000.00000000
USD
18659022.40000000
USD
UST
N
N
N
VORNADO REALTY TRUST
N/A
VORNADO REALTY TRUST REIT
929042109
2517.00000000
NS
USD
87994.32000000
0.011171339863
Long
EC
US
N
1
N
N
N
UNITIL CORPORATION
N/A
UNITIL CORP COMMON STOCK
913259107
500.00000000
NS
USD
28905.00000000
0.003669641162
Long
EC
US
N
1
N
N
N
NORWEGIAN CRUISE LINE HOLDINGS LTD.
N/A
NORWEGIAN CRUISE LINE HOLDIN COMMON STOCK
G66721104
-6486.00000000
NS
USD
-103840.86000000
-0.01318314112
Short
EC
US
N
1
N
N
N
INTERNATIONAL SEAWAYS, INC.
549300YUFDGFRNGBWF46
INTERNATIONAL SEAWAYS INC COMMON STOCK
Y41053102
2400.00000000
NS
USD
57912.00000000
0.007352231759
Long
EC
US
N
1
N
N
N
NORTONLIFELOCK INC.
YF6ZV0M6AU4FY94MK914
NORTONLIFELOCK INC COMMON STOCK
668771108
1294.00000000
NS
USD
31495.96000000
0.003998577106
Long
EC
US
N
1
N
N
N
WOLVERINE WORLD WIDE, INC.
549300OVC7PK14LQ8D87
WOLVERINE WORLD WIDE INC COMMON STOCK
978097103
-1654.00000000
NS
USD
-35296.36000000
-0.00448105779
Short
EC
US
N
1
N
N
N
iRhythm Technologies Inc
549300FJI72RJGDQS384
IRHYTHM TECHNOLOGIES INC COMMON STOCK
450056106
400.00000000
NS
USD
56340.00000000
0.007152658124
Long
EC
US
N
1
N
N
N
CBRE GROUP, INC.
52990016II9MJ2OSWA10
CBRE GROUP INC - A COMMON STOCK
12504L109
5270.00000000
NS
USD
436566.80000000
0.055424442120
Long
EC
US
N
1
N
N
N
RESMED INC.
529900T3QE5253CCXF22
RESMED INC COMMON STOCK
761152107
1275.00000000
NS
USD
259411.50000000
0.032933648795
Long
EC
US
N
1
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 7.500000% MATURITY: PERPETUAL
22546DAB2
200000.00000000
PA
USD
200768.00000000
0.025488549279
Long
DBT
NUSS
CH
N
2
2170-06-11
Fixed
7.50000000
N
N
N
N
N
N
KELLOGG COMPANY
LONOZNOJYIBXOHXWDB86
KELLOGG CO COMMON STOCK
487836108
5902.00000000
NS
USD
411605.48000000
0.052255471792
Long
EC
US
N
1
N
N
N
DARDEN RESTAURANTS, INC.
CY1NFSCCB5GUXC7WZC70
DARDEN RESTAURANTS INC COMMON STOCK
237194105
-2468.00000000
NS
USD
-308500.00000000
-0.03916569101
Short
EC
US
N
1
N
N
N
LKQ CORPORATION
DS830JTTZQN6GK0I2E41
LKQ CORP COMMON STOCK
501889208
-2308.00000000
NS
USD
-118608.12000000
-0.01505792213
Short
EC
US
N
1
N
N
N
ABIOMED, INC.
5493001EZN4ZTB4Z5887
ABIOMED INC COMMON STOCK
003654100
259.00000000
NS
USD
68298.30000000
0.008670826950
Long
EC
US
N
1
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.625000% 04/01/2027
00912XAV6
38000.00000000
PA
USD
36029.68000000
0.004574156609
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
LAM RESEARCH CORPORATION
549300I4GMO6D34U1T02
LAM RESEARCH CORP COMMON STOCK
512807108
-709.00000000
NS
USD
-368701.27000000
-0.04680855758
Short
EC
US
N
1
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP COMMON STOCK
126650100
11419.00000000
NS
USD
1104788.25000000
0.140258655531
Long
EC
US
N
1
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP REIT
756109104
8737.00000000
NS
USD
596038.14000000
0.075670164089
Long
EC
US
N
1
N
N
N
Hasbro, Inc.
549300NUB6D2R1ITYR45
HASBRO INC COMMON STOCK
418056107
-5530.00000000
NS
USD
-496317.50000000
-0.06301010647
Short
EC
US
N
1
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
ALTERNATIVE LOAN TRUST 2006-24CB CWALT 2006-24CB A16
02146TAR8
207949.64400000
PA
USD
134393.72000000
0.017061986746
Long
ABS-MBS
US
N
2
2036-08-25
Fixed
5.75000000
N
N
N
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA 144A 1.982000% 06/03/2027
904678AW9
510000.00000000
PA
USD
450242.32000000
0.057160621020
Long
DBT
NUSS
IT
N
2
2027-06-03
Fixed
1.98200000
N
N
N
N
N
N
HOMEBANC MORTGAGE TRUST
N/A
HOMEBANC MORTGAGE TRUST 2005-1 HMBT 2005-1 A1
43739EAP2
28097.37700000
PA
USD
24218.71000000
0.003074692098
Long
ABS-MBS
US
N
2
2035-03-25
Floating
1.50571080
N
N
N
N
N
N
PPL CORPORATION
9N3UAJSNOUXFKQLF3V18
PPL CORP COMMON STOCK
69351T106
8009.00000000
NS
USD
241711.62000000
0.030686556312
Long
EC
US
N
1
N
N
N
ALBERTSONS COMPANIES, INC.
549300YKWOC0AOR16R51
ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS 3.500000% 03/15/2029
013092AG6
351000.00000000
PA
USD
305478.81000000
0.038782135114
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
Bill.com Holdings Inc
549300IBF9VZZIGOZW63
BILL.COM HOLDINGS INC COMMON STOCK
090043100
100.00000000
NS
USD
11824.00000000
0.001501118737
Long
EC
US
N
1
N
N
N
CENTENNIAL RESOURCE DEVELOPMENT, INC.
529900NXUJPOKU7OJ511
CENTENNIAL RESOURCE DEVELO-A COMMON STOCK
15136A102
7400.00000000
NS
USD
58756.00000000
0.007459381980
Long
EC
US
N
1
N
N
N
BROWN-FORMAN CORPORATION
549300873K3LXF7ARU34
BROWN-FORMAN CORP-CLASS B COMMON STOCK
115637209
3982.00000000
NS
USD
263289.84000000
0.033426024374
Long
EC
US
N
1
N
N
N
CMS ENERGY CORPORATION
549300IA9XFBAGNIBW29
CMS ENERGY CORP COMMON STOCK
125896100
2857.00000000
NS
USD
202961.28000000
0.025766997664
Long
EC
US
N
1
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) SEP22 FINANCIAL COMMODITY FUTURE.
N/A
-312.00000000
NC
USD
-35241375.00000000
-4.47407716055
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Sep 2022
2022-10-03
-35239688.64000000
USD
-1686.36000000
N
N
N
WORLD FUEL SERVICES CORPORATION
D3W7PCXCBRQLL17DZ313
WORLD FUEL SERVICES CORP COMMON STOCK
981475106
2750.00000000
NS
USD
68172.50000000
0.008654855981
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2025
912828XL9
42024000.00000000
PA
USD
52730740.88000000
6.694443773279
Long
DBT
USGA
US
N
2
2025-07-15
Fixed
0.37500000
N
N
N
N
N
N
CDBL FUNDING 1
254900PLOF8VWTAH3F83
CDBL FUNDING 1 MTN 3.500000% 10/24/2027
N/A
520000.00000000
PA
USD
498995.47000000
0.063350088796
Long
DBT
NUSS
CN
N
2
2027-10-24
Fixed
3.50000000
N
N
N
N
N
N
GENTHERM INCORPORATED
HKM6YX1U5JS60TCUB219
GENTHERM INC COMMON STOCK
37253A103
-2160.00000000
NS
USD
-148910.40000000
-0.01890495531
Short
EC
US
N
1
N
N
N
NEUBERGER BERMAN LOAN ADVISERS LLC
N/A
NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD NEUB 2021-43A A
64134AAA0
624000.00000000
PA
USD
604972.37000000
0.076804411388
Long
ABS-CBDO
CORP
KY
Y
2
2035-07-17
Floating
2.17428840
N
N
N
N
N
N
GENTEX CORPORATION
549300S3UD8XV1MN0287
GENTEX CORP COMMON STOCK
371901109
-12727.00000000
NS
USD
-395555.16000000
-0.05021779959
Short
EC
US
N
1
N
N
N
Schlumberger N.V.
213800ZUA17OK3QLGM62
SCHLUMBERGER LTD COMMON STOCK
806857108
50220.00000000
NS
USD
2308111.20000000
0.293026807380
Long
EC
US
N
1
N
N
N
DOCUSIGN, INC.
549300Q7PVDWRZ39JG09
DOCUSIGN INC COMMON STOCK
256163106
422.00000000
NS
USD
35410.02000000
0.004495487526
Long
EC
US
N
1
N
N
N
UNITI GROUP INC.
549300V3NU625PJUVA84
UNITI GROUP INC REIT
91325V108
3838.00000000
NS
USD
43522.92000000
0.005525462679
Long
EC
US
N
1
N
N
N
CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST)
N/A
ALTERNATIVE LOAN TRUST 2006-J1 CWALT 2006-J1 1A13
12668BKK8
87711.41690000
PA
USD
69161.39000000
0.008780400747
Long
ABS-MBS
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
CELSIUS HOLDINGS, INC.
N/A
CELSIUS HOLDINGS INC COMMON STOCK
15118V207
1200.00000000
NS
USD
80508.00000000
0.010220912323
Long
EC
US
N
1
N
N
N
CLNY TRUST
N/A
CLNY TRUST 2019-IKPR CLNY 2019-IKPR D
12564NAL6
750000.00000000
PA
USD
701190.68000000
0.089019829861
Long
ABS-MBS
US
N
2
2038-11-15
Floating
2.90000160
N
N
N
N
N
N
HOST HOTELS & RESORTS, L.P.
FXB7X4WXVA8QPMNOGS12
HOST HOTELS & RESORTS LP 2.900000% 12/15/2031
44107TBA3
214000.00000000
PA
USD
176638.70000000
0.022425208248
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.90000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS857209
-41334.73720000
NC
USD
-9516.22000000
-0.00120813397
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-4948.23000000
USD
-41334.73720000
USD
-4567.99000000
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING III LLC HERTZ 2022-1A C
42806MAL3
600000.00000000
PA
USD
560167.50000000
0.071116198441
Long
ABS-MBS
US
Y
2
2026-06-25
Fixed
2.63000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC 144A 3.875000% 03/16/2029
034863BB5
226000.00000000
PA
USD
214912.86000000
0.027284313351
Long
DBT
NUSS
ZA
N
2
2029-03-16
Fixed
3.87500000
N
N
N
N
N
N
MONGODB, INC.
549300TPTG69WKWE1Z37
MONGODB INC COMMON STOCK
60937P106
140.00000000
NS
USD
33201.00000000
0.004215040866
Long
EC
US
N
1
N
N
N
RAYONIER INC.
HGV8VDVNL0W6SF2U9C50
RAYONIER INC REIT
754907103
2527.00000000
NS
USD
104162.94000000
0.013224030867
Long
EC
US
N
1
N
N
N
WEYERHAEUSER COMPANY
08IRJODWFYBI7QWRGS31
WEYERHAEUSER CO REIT
962166104
11568.00000000
NS
USD
457167.36000000
0.058039791124
Long
EC
US
N
1
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC COMMON STOCK
00287Y109
16030.00000000
NS
USD
2362341.10000000
0.299911577257
Long
EC
US
N
1
N
N
N
N/A
N/A
CRUDE OIL FUT OPT Jul22C 120 SHORT
N/A
-43.00000000
NC
USD
-112230.00000000
-0.01424818639
N/A
DIR
US
N
1
RBC CAPITAL MARKETS LLC
N/A
Call
Written
N/A
Call Option 120 Jun 2022 on WTI Crude Oil Future (NYM Consolidated) Jul 2022
-43000.00000000
120.00000000
USD
2022-06-18
XXXX
44568.64000000
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
STACR TRUST 2018-DNA3 STACR 2018-DNA3 M2
35563WAH7
246189.61160000
PA
USD
244488.15000000
0.031039051340
Long
ABS-MBS
US
N
2
2048-09-25
Floating
3.10570920
N
N
N
N
N
N
SMITH & WESSON BRANDS, INC.
5493004PFHUPOR1PWN79
SMITH & WESSON BRANDS INC COMMON STOCK
831754106
-2001.00000000
NS
USD
-30975.48000000
-0.00393249944
Short
EC
US
N
1
N
N
N
NORTHERN OIL AND GAS, INC.
OKFF0PIZDDMNH4UCYE51
NORTHERN OIL AND GAS INC COMMON STOCK
665531307
1900.00000000
NS
USD
62111.00000000
0.007885316805
Long
EC
US
N
1
N
N
N
SM ENERGY COMPANY
84BUTVXV5ODI6BXNMH43
SM ENERGY CO COMMON STOCK
78454L100
4200.00000000
NS
USD
202734.00000000
0.025738143278
Long
EC
US
N
1
N
N
N
LIVENT CORPORATION
254900OOLQ2VNMZTJL47
LIVENT CORP COMMON STOCK
53814L108
-1900.00000000
NS
USD
-60401.00000000
-0.00766822334
Short
EC
US
N
1
N
N
N
N/A
N/A
WTI CRUDE FUTURE DEC22 PHYSICAL COMMODITY FUTURE.
N/A
27.00000000
NC
USD
2738340.00000000
0.347646607200
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Crude Oil
WTI CRUDE Dec 2022
2022-11-21
2651747.03000000
USD
86592.97000000
N
N
N
LAS VEGAS SANDS CORP.
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP 3.900000% 08/08/2029
517834AF4
653000.00000000
PA
USD
568995.67000000
0.072236980867
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
ARAMARK
549300MR6PG2DWZUIL39
ARAMARK COMMON STOCK
03852U106
-4207.00000000
NS
USD
-145015.29000000
-0.01841045069
Short
EC
US
N
1
N
N
N
CROWDSTRIKE HOLDINGS, INC.
549300YBY08K9KM4HX32
CROWDSTRIKE HOLDINGS INC - A COMMON STOCK
22788C105
822.00000000
NS
USD
131511.78000000
0.016696109366
Long
EC
US
N
1
N
N
N
HAEMONETICS CORPORATION
549300ZEL6TXZS6F5F95
HAEMONETICS CORP/MASS COMMON STOCK
405024100
567.00000000
NS
USD
35868.42000000
0.004553683807
Long
EC
US
N
1
N
N
N
M/I HOMES, INC.
5299005M71FH9CCSFB69
M/I HOMES INC COMMON STOCK
55305B101
-1762.00000000
NS
USD
-82373.50000000
-0.01045774732
Short
EC
US
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-06-17
N/A
1.00000000
NC
USD
10169.36000000
0.001291053521
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
3317692.71000000
SEK
349534.58000000
USD
2022-06-17
10169.36000000
N
N
N
JONES LANG LASALLE INCORPORATED
6SYKCME112RT8TQUO411
JONES LANG LASALLE INC COMMON STOCK
48020Q107
692.00000000
NS
USD
136545.44000000
0.017335158871
Long
EC
US
N
1
N
N
N
FOX FACTORY HOLDING CORP.
529900GE1HSV0617R721
FOX FACTORY HOLDING CORP COMMON STOCK
35138V102
-2472.00000000
NS
USD
-202753.44000000
-0.02574061128
Short
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 0.5575
N/A
15050000.00000000
NC
USD
1617510.43000000
0.205351422066
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2027-06-05
0.00000000
USD
0.00000000
USD
-15050000.00000000
USD
1617510.43000000
N
N
N
WINGSTOP INC.
549300SSH3F8HPIM3Q47
WINGSTOP INC COMMON STOCK
974155103
-600.00000000
NS
USD
-47796.00000000
-0.00606795256
Short
EC
US
N
1
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 2.636000% 03/03/2026
14040HCM5
447000.00000000
PA
USD
430894.63000000
0.054704330426
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
2.63600000
N
N
N
N
N
N
ILLUMINA, INC.
SQ95QG8SR5Q56LSNF682
ILLUMINA INC COMMON STOCK
452327109
1395.00000000
NS
USD
334074.60000000
0.042412520447
Long
EC
US
N
1
N
N
N
MEDICAL PROPERTIES TRUST, INC.
254900U6E39J1MQCCY14
MEDICAL PROPERTIES TRUST INC REIT
58463J304
8912.00000000
NS
USD
165584.96000000
0.021021878052
Long
EC
US
N
1
N
N
N
ELEVATION CLO LTD
N/A
ELEVATION CLO 2020-11 LTD AWPT 2020-11A C
28621YAE5
580000.00000000
PA
USD
548584.88000000
0.069645724159
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
3.24429120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY FRN VARIABLE RATE 10/31/2022
91282CAS0
1900000.00000000
PA
USD
1901523.78000000
0.241408404591
Long
SN
UST
US
N
1
2022-10-31
Floating
1.11784680
N
N
N
N
N
N
Wynn Macau, Limited
254900NMDQ8ENTHU1I31
WYNN MACAU LTD 144A 5.625000% 08/26/2028
98313RAH9
341000.00000000
PA
USD
254639.84000000
0.032327861563
Long
DBT
NUSS
MO
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
BRK: GOLDMAN SACHS BANK USA
N/A
Credit Default Swap
CD1270641
36970000.00000000
NC
USD
-374033.82000000
-0.04748555274
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS BANK USA
N/A
Y
2027-06-20
0.00000000
USD
-570406.48000000
USD
36970000.00000000
USD
196372.66000000
N
N
N
Virgolino de Oliveira Finance S.A.
N/A
VIRGOLINO DE OLIVEIRA FI 10.5% 01/28/2018
92824BAA4
500000.00000000
PA
USD
50.00000000
0.000006347761
Long
DBT
NUSS
BR
N
2
2018-01-28
Fixed
10.50000000
Y
N
N
N
N
N
TERRAFORM GLOBAL OPERATING LP
549300LC7QMVR79H5O86
TERRAFORM GLOBAL OPERATING LLC 144A 6.125000% 03/01/2026
88104UAC7
77000.00000000
PA
USD
75460.00000000
0.009580042280
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.12500000
N
N
N
N
N
N
PBF ENERGY INC.
2549003PBEDCSZMZIY02
PBF ENERGY INC-CLASS A COMMON STOCK
69318G106
2880.00000000
NS
USD
95616.00000000
0.012138952063
Long
EC
US
N
1
N
N
N
Wolfspeed, Inc.
549300OGU88P3AW3TO93
WOLFSPEED INC COMMON STOCK
977852102
-600.00000000
NS
USD
-45138.00000000
-0.00573050554
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS774012
-867130.71050000
NC
USD
-199633.66000000
-0.02534453887
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-121070.12000000
USD
-867130.71050000
USD
-78563.54000000
N
N
N
MARRIOTT INTERNATIONAL, INC.
225YDZ14ZO8E1TXUSU86
MARRIOTT INTERNATIONAL -CL A COMMON STOCK
571903202
-5761.00000000
NS
USD
-988472.38000000
-0.12549174653
Short
EC
US
N
1
N
N
N
MARATHON PETROLEUM CORPORATION
3BNYRYQHD39K4LCKQF12
MARATHON PETROLEUM CORP COMMON STOCK
56585A102
21578.00000000
NS
USD
2196424.62000000
0.278847611003
Long
EC
US
N
1
N
N
N
BOSTON PROPERTIES, INC.
549300OF70FSEUQBT254
BOSTON PROPERTIES INC REIT
101121101
2630.00000000
NS
USD
292403.40000000
0.037122143321
Long
EC
US
N
1
N
N
N
CCO HOLDINGS, LLC
N/A
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 144A 4.750000% 02/01/2032
1248EPCQ4
489000.00000000
PA
USD
435210.00000000
0.055252189253
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
WHITING PETROLEUM CORPORATION
52990028CHK9KUB1B293
WHITING PETROLEUM CORP COMMON STOCK
966387508
1400.00000000
NS
USD
123844.00000000
0.015722644529
Long
EC
US
N
1
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 4.926000% 05/15/2037
11135FBV2
247000.00000000
PA
USD
233531.26000000
0.029648016759
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
DRYDEN CLO LTD
N/A
DRYDEN 78 CLO LTD DRSLF 2020-78A D
26253LAG7
340000.00000000
PA
USD
317248.90000000
0.040276409694
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
4.04429040
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY FRN VARIABLE RATE 01/31/2024
91282CDU2
6700000.00000000
PA
USD
6707945.26000000
0.851608788875
Long
SN
UST
US
N
2
2024-01-31
Floating
1.04784840
N
N
N
N
N
N
HALOZYME THERAPEUTICS, INC.
529900242I3SV9AGM753
HALOZYME THERAPEUTICS INC COMMON STOCK
40637H109
1232.00000000
NS
USD
56647.36000000
0.007191679086
Long
EC
US
N
1
N
N
N
N/A
N/A
COTTON NO.2 FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
12.00000000
NC
USD
833880.00000000
0.105865434099
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Cotton
Cotton No. 2 Future Jul 2022
2022-07-10
814615.01000000
USD
19264.99000000
N
N
N
N/A
N/A
Credit Default Swap
CDS733678
-89858.10560000
NC
USD
-20687.43000000
-0.00262637760
N/A
DCR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2063-05-11
0.00000000
USD
-9700.25000000
USD
-89858.10560000
USD
-10987.18000000
N
N
N
THE ESTEE LAUDER COMPANIES INC.
549300VFZ8XJ9NUPU221
ESTEE LAUDER COMPANIES-CL A COMMON STOCK
518439104
5120.00000000
NS
USD
1303808.00000000
0.165525255315
Long
EC
US
N
1
N
N
N
BALL CORPORATION
0BGI85ALH27ZJP15DY16
BALL CORP COMMON STOCK
058498106
-3235.00000000
NS
USD
-229329.15000000
-0.02911453688
Short
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STACR 2019-HQA3 STACR 2019-HQA3 M2
35564XAH4
347520.86740000
PA
USD
341633.62000000
0.043372177632
Long
DBT
USGA
US
N
2
2049-09-25
Floating
2.85571080
N
N
N
N
N
N
EXELON CORPORATION
3SOUA6IRML7435B56G12
EXELON CORP COMMON STOCK
30161N101
9312.00000000
NS
USD
457684.80000000
0.058105482842
Long
EC
US
N
1
N
N
N
NH HOTEL GROUP, S.A.
959800LM1RW3PKJ4A296
NH HOTEL GROUP SA 4.000000% 07/02/2026
N/A
107000.00000000
PA
109181.29000000
0.013861136688
Long
DBT
NUSS
ES
N
2
2026-07-02
Fixed
4.00000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 4.125000% MATURITY: PERPETUAL
38141GYU2
296000.00000000
PA
USD
259000.00000000
0.032881406715
Long
DBT
CORP
US
N
2
2171-05-10
Fixed
4.12500000
N
N
N
N
N
N
ADIENT GLOBAL HOLDINGS LTD
213800VA38VCKE6M8790
ADIENT GLOBAL HOLDINGS LTD 3.500000% 08/15/2024
N/A
226000.00000000
PA
226582.98000000
0.028765896216
Long
DBT
NUSS
US
N
2
2024-08-15
Fixed
3.50000000
N
N
N
N
N
N
CEMEX, S.A.B. de C.V.
549300RIG2CXWN6IV731
CEMEX SAB DE CV 144A 3.875000% 07/11/2031
151290BZ5
500000.00000000
PA
USD
423750.00000000
0.053797282222
Long
DBT
NUSS
MX
N
2
2031-07-11
Fixed
3.87500000
N
N
N
N
N
N
USANA HEALTH SCIENCES, INC.
549300YTURXE814MAH96
USANA HEALTH SCIENCES INC COMMON STOCK
90328M107
500.00000000
NS
USD
35165.00000000
0.004464380954
Long
EC
US
N
1
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL COMMON STOCK
718172109
35979.00000000
NS
USD
3822768.75000000
0.485320517558
Long
EC
US
N
1
N
N
N
Kontoor Brands, Inc.
549300M0CPXV65RFF271
KONTOOR BRANDS INC COMMON STOCK
50050N103
-2100.00000000
NS
USD
-84147.00000000
-0.01068290243
Short
EC
US
N
1
N
N
N
CONOCOPHILLIPS
WPTL2Z3FIYTHSP5V2253
CONOCOPHILLIPS COMMON STOCK
20825C104
44748.00000000
NS
USD
5027885.28000000
0.638316373783
Long
EC
US
N
1
N
N
N
QUEST DIAGNOSTICS INCORPORATED
8MCWUBXQ0WE04KMXBX50
QUEST DIAGNOSTICS INC COMMON STOCK
74834L100
1131.00000000
NS
USD
159493.62000000
0.020248550531
Long
EC
US
N
1
N
N
N
DEXCOM, INC.
549300YSK3QDSFR5EU59
DEXCOM INC COMMON STOCK
252131107
890.00000000
NS
USD
265166.60000000
0.033664288887
Long
EC
US
N
1
N
N
N
Primo Water Corporation
N/A
PRIMO WATER CORP COMMON STOCK
74167P108
3775.00000000
NS
USD
54058.00000000
0.006862946271
Long
EC
US
N
1
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
PUBLIC STORAGE REIT
74460D109
2338.00000000
NS
USD
773036.32000000
0.098141010207
Long
EC
US
N
1
N
N
N
US FOODS HOLDING CORP.
549300UGOZSO64CFPR97
US FOODS HOLDING CORP COMMON STOCK
912008109
4918.00000000
NS
USD
162884.16000000
0.020678997345
Long
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2015-C02 1M2
30711XAX2
127427.98390000
PA
USD
127671.07000000
0.016208511113
Long
DBT
USGA
US
N
2
2025-05-25
Floating
5.00571000
N
N
N
N
N
N
Olaplex Holdings Inc
N/A
OLAPLEX HOLDINGS INC COMMON STOCK
679369108
3500.00000000
NS
USD
56420.00000000
0.007162814543
Long
EC
US
N
1
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
MAGALLANES INC 144A 3.755000% 03/15/2027
55903VAG8
525000.00000000
PA
USD
509565.14000000
0.064691963769
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
Essential Utilities, Inc.
549300ILTEOF3E3QY357
ESSENTIAL UTILITIES INC COMMON STOCK
29670G102
1937.00000000
NS
USD
89605.62000000
0.011375902838
Long
EC
US
N
1
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 5.500000% 12/15/2024
05369AAH4
432000.00000000
PA
USD
439300.45000000
0.055771493307
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
SUPER MICRO COMPUTER, INC.
54930022CZO1N2UGVW07
SUPER MICRO COMPUTER INC COMMON STOCK
86800U104
-748.00000000
NS
USD
-37444.88000000
-0.00475382366
Short
EC
US
N
1
N
N
N
REXFORD INDUSTRIAL REALTY, INC
549300MSLO0DF0EMX355
REXFORD INDUSTRIAL REALTY IN REIT
76169C100
3148.00000000
NS
USD
201062.76000000
0.025525970605
Long
EC
US
N
1
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 144A 5.250000% 08/11/2025
00928QAT8
432000.00000000
PA
USD
430904.93000000
0.054705638065
Long
DBT
NUSS
US
N
2
2025-08-11
Fixed
5.25000000
N
N
N
N
N
N
UNDER ARMOUR, INC.
549300D4549QKWETZ406
UNDER ARMOUR INC-CLASS A COMMON STOCK
904311107
-6708.00000000
NS
USD
-70970.64000000
-0.00901009451
Short
EC
US
N
1
N
N
N
KENNEDY-WILSON HOLDINGS, INC.
549300MOI1T78144X610
KENNEDY-WILSON HOLDINGS INC COMMON STOCK
489398107
1415.00000000
NS
USD
29799.90000000
0.003783253405
Long
EC
US
N
1
N
N
N
OCP CLO LTD
N/A
OCP CLO 2020-18 LTD OCP 2020-18A AR
671078AN3
722000.00000000
PA
USD
706379.53000000
0.089678581549
Long
ABS-CBDO
CORP
KY
Y
2
2032-07-20
Floating
2.15271000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.125000% 04/15/2031
195325DS1
213000.00000000
PA
USD
172840.60000000
0.021943019558
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 5.875000% 02/16/2031
03846JAB6
364000.00000000
PA
USD
274357.72000000
0.034831149717
Long
DBT
NUSS
EG
N
2
2031-02-16
Fixed
5.87500000
N
N
N
N
N
N
BX TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC BX 2019-IMC E
05608BAN0
610321.00000000
PA
USD
575196.42000000
0.073024198560
Long
ABS-MBS
US
N
2
2034-04-15
Floating
3.02500080
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS730501
-154555.94680000
NC
USD
-35582.37000000
-0.00451736826
N/A
DCR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2049-12-31
0.00000000
USD
-17419.10000000
USD
-154555.94680000
USD
-18163.27000000
N
N
N
N/A
N/A
Credit Default Swap
CDS729441
-49421.95860000
NC
USD
-11378.08000000
-0.00144450685
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-5035.33000000
USD
-49421.95860000
USD
-6342.75000000
N
N
N
HUNTSMAN CORPORATION
5299000V56320A7RIQ67
HUNTSMAN CORP COMMON STOCK
447011107
-3569.00000000
NS
USD
-129376.25000000
-0.01642499264
Short
EC
US
N
1
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP COMMON STOCK
458140100
-22485.00000000
NS
USD
-998783.70000000
-0.12680082262
Short
EC
US
N
1
N
N
N
S&P GLOBAL INC.
Y6X4K52KMJMZE7I7MY94
S&P GLOBAL INC 144A 4.250000% 05/01/2029
78409VAZ7
145000.00000000
PA
USD
147210.40000000
0.018689131409
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.25000000
N
N
N
N
N
N
MARVELL TECHNOLOGY, INC
N/A
MARVELL TECHNOLOGY INC COMMON STOCK
573874104
-3765.00000000
NS
USD
-222699.75000000
-0.02827289982
Short
EC
US
N
1
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFO SERV COMMON STOCK
31620M106
2256.00000000
NS
USD
235752.00000000
0.029929951335
Long
EC
US
N
1
N
N
N
LAMB WESTON HOLDINGS, INC.
5493005SMYID1D2OY946
LAMB WESTON HOLDINGS INC COMMON STOCK
513272104
3442.00000000
NS
USD
232610.36000000
0.029531103680
Long
EC
US
N
1
N
N
N
NXP Semiconductors N.V.
724500M9BY5293JDF951
NXP SEMICONDUCTORS NV COMMON STOCK
N6596X109
-1345.00000000
NS
USD
-255227.20000000
-0.03240242999
Short
EC
US
N
1
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO COMMON STOCK
532457108
6887.00000000
NS
USD
2158661.28000000
0.274053357175
Long
EC
US
N
1
N
N
N
IONIS PHARMACEUTICALS, INC.
549300SI4ZGLG0BLUZ92
IONIS PHARMACEUTICALS INC COMMON STOCK
462222100
1024.00000000
NS
USD
37396.48000000
0.004747679029
Long
EC
US
N
1
N
N
N
ALFA, S.A.B. de C.V.
549300ZCGJ6T8YDJ4M34
ALFA SAB DE CV 144A 5.250000% 03/25/2024
015398AB6
814000.00000000
PA
USD
826617.00000000
0.104943358204
Long
DBT
NUSS
MX
N
2
2024-03-25
Fixed
5.25000000
N
N
N
N
N
N
LATTICE SEMICONDUCTOR CORPORATION
549300LRBBPZDQ2II567
LATTICE SEMICONDUCTOR CORP COMMON STOCK
518415104
-900.00000000
NS
USD
-46818.00000000
-0.00594379034
Short
EC
US
N
1
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA 144A 3.127000% 06/03/2032
904678AY5
350000.00000000
PA
USD
288630.63000000
0.036643170407
Long
DBT
NUSS
IT
N
2
2032-06-03
Fixed
3.12700000
N
N
N
N
N
N
TEMPUR SEALY INTERNATIONAL, INC.
549300HFEKVR3US71V91
TEMPUR SEALY INTERNATIONAL I COMMON STOCK
88023U101
-6743.00000000
NS
USD
-177812.91000000
-0.02257428035
Short
EC
US
N
1
N
N
N
RADIAN GUARANTY INC AND EAGLE RE LTD
N/A
EAGLE RE 2020-1 LTD EMIR 2020-1 M1A
26982LAA8
605759.15760000
PA
USD
602065.54000000
0.076435374092
Long
ABS-MBS
BM
N
2
2030-01-25
Floating
1.90571040
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC-CLASS A SHARES COMMON STOCK
92826C839
5133.00000000
NS
USD
1089068.61000000
0.138262964889
Long
EC
US
N
1
N
N
N
PINNACLE WEST CAPITAL CORPORATION
TWSEY0NEDUDCKS27AH81
PINNACLE WEST CAPITAL COMMON STOCK
723484101
1409.00000000
NS
USD
109408.85000000
0.013890026622
Long
EC
US
N
1
N
N
N
EQUITY COMMONWEALTH
549300YPGVU9PR4L0606
EQUITY COMMONWEALTH REIT
294628102
2000.00000000
NS
USD
54500.00000000
0.006919060486
Long
EC
US
N
1
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 STACR 2022-DNA1 M1B
35564KPV5
533465.00000000
PA
USD
495598.21000000
0.062918788843
Long
DBT
USGA
US
Y
2
2042-01-25
Floating
2.43446040
N
N
N
N
N
N
NRG ENERGY, INC.
5E2UPK5SW04M13XY7I38
NRG ENERGY INC COMMON STOCK
629377508
2983.00000000
NS
USD
137337.32000000
0.017435692185
Long
EC
US
N
1
N
N
N
GUARDANT HEALTH, INC.
254900M8C3E5VC8BR186
GUARDANT HEALTH INC COMMON STOCK
40131M109
466.00000000
NS
USD
19096.68000000
0.002424423559
Long
EC
US
N
1
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
POST HOLDINGS INC COMMON STOCK
737446104
1472.00000000
NS
USD
121042.56000000
0.015366987047
Long
EC
US
N
1
N
N
N
H & R BLOCK, INC.
549300CE3KUCWLZBG404
H&R BLOCK INC COMMON STOCK
093671105
-2903.00000000
NS
USD
-102301.72000000
-0.01298773923
Short
EC
US
N
1
N
N
N
INDUSTRIAL LOGISTICS PROPERTIES TRUST
5493004XH9PJW009HR47
INDUSTRIAL LOGISTICS PROPERT REIT
456237106
1400.00000000
NS
USD
21364.00000000
0.002712271710
Long
EC
US
N
1
N
N
N
WASHINGTON REAL ESTATE INVESTMENT TRUST
549300DI34BGS8LVKW95
WASHINGTON REIT REIT
939653101
4600.00000000
NS
USD
111734.00000000
0.014185216594
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/2026
912828S50
57221000.00000000
PA
USD
70009927.43000000
8.888127019077
Long
DBT
USGA
US
N
2
2026-07-15
Fixed
0.12500000
N
N
N
N
N
N
LCI INDUSTRIES
549300E1B98YNJ1WIQ04
LCI INDUSTRIES COMMON STOCK
50189K103
-1675.00000000
NS
USD
-200196.00000000
-0.02541593088
Short
EC
US
N
1
N
N
N
STERIS PUBLIC LIMITED COMPANY
N/A
STERIS PLC COMMON STOCK
G8473T100
578.00000000
NS
USD
131899.60000000
0.016745345147
Long
EC
US
N
1
N
N
N
PAYPAL HOLDINGS, INC.
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC COMMON STOCK
70450Y103
3769.00000000
NS
USD
321156.49000000
0.040772498714
Long
EC
US
N
1
N
N
N
COMMERCIAL METALS COMPANY
549300OQS2LO07ZJ7N73
COMMERCIAL METALS CO COMMON STOCK
201723103
-1269.00000000
NS
USD
-50417.37000000
-0.00640074922
Short
EC
US
N
1
N
N
N
JUNIPER NETWORKS, INC.
AUHIXNGG7U2U7JEHM527
JUNIPER NETWORKS INC COMMON STOCK
48203R104
-2600.00000000
NS
USD
-79768.00000000
-0.01012696544
Short
EC
US
N
1
N
N
N
CHURCH & DWIGHT CO., INC.
POOXSI30AWAQGYJZC921
CHURCH & DWIGHT CO INC COMMON STOCK
171340102
5680.00000000
NS
USD
511540.80000000
0.064942784155
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
CASH MGMT BILL 0.000000% 06/28/2022
912796W39
600000.00000000
PA
USD
599677.12000000
0.076132151662
Long
DBT
UST
US
N
2
2022-06-28
None
0.00000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2013-G1 GSMS 2013-G1 A1
36197QAA7
16026.71500000
PA
USD
15998.86000000
0.002031139083
Long
ABS-MBS
US
N
2
2031-04-10
Fixed
2.05900000
N
N
N
N
N
N
LOUISIANA-PACIFIC CORPORATION
549300C7E2UAO5BVRR75
LOUISIANA-PACIFIC CORP COMMON STOCK
546347105
-1174.00000000
NS
USD
-81076.44000000
-0.01029307875
Short
EC
US
N
1
N
N
N
MANHATTAN ASSOCIATES, INC.
529900Q1GJP7KD52SW51
MANHATTAN ASSOCIATES INC COMMON STOCK
562750109
286.00000000
NS
USD
34585.98000000
0.004390871332
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS857239
-81770.87420000
NC
USD
-18825.56000000
-0.00239000345
N/A
DCR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2063-05-11
0.00000000
USD
-9845.37000000
USD
-81770.87420000
USD
-8980.19000000
N
N
N
HUDSON PACIFIC PROPERTIES, INC.
N/A
HUDSON PACIFIC PROPERTIES IN REIT
444097109
2073.00000000
NS
USD
41273.43000000
0.005239878140
Long
EC
US
N
1
N
N
N
FIRST INDUSTRIAL REALTY TRUST, INC.
N/A
FIRST INDUSTRIAL REALTY TR REIT
32054K103
1752.00000000
NS
USD
93118.80000000
0.011821919442
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 01/15/26
912828N71
6591500.00000000
PA
USD
8280171.49000000
1.051211144540
Long
DBT
USGA
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS859983
-97046.75680000
NC
USD
-22342.42000000
-0.00283648725
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-11361.60000000
USD
-97046.75680000
USD
-10980.82000000
N
N
N
N/A
N/A
GASOLINE RBOB FUT JUL22 PHYSICAL COMMODITY FUTURE.
N/A
3.00000000
NC
USD
493441.20000000
0.062644945124
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Unleaded Gas
RBOB Unleaded Gasoline Future (Consolidated) Jul 2022
2022-07-03
459863.17000000
USD
33578.03000000
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 7.500000% MATURITY: PERPETUAL
225401AJ7
330000.00000000
PA
USD
325980.80000000
0.041384970139
Long
DBT
NUSS
CH
N
2
2171-01-17
Fixed
7.50000000
N
N
N
N
N
N
HOSTESS BRANDS, INC.
N/A
HOSTESS BRANDS INC COMMON STOCK
44109J106
3030.00000000
NS
USD
64387.50000000
0.008174330404
Long
EC
US
N
1
N
N
N
PTC THERAPEUTICS, INC.
549300UJLWOIWFDGB318
PTC THERAPEUTICS INC COMMON STOCK
69366J200
600.00000000
NS
USD
17622.00000000
0.002237205209
Long
EC
US
N
1
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO COMMON STOCK
110122108
18567.00000000
NS
USD
1400880.15000000
0.177849073249
Long
EC
US
N
1
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC COMMON STOCK
02209S103
41142.00000000
NS
USD
2225370.78000000
0.282522477643
Long
EC
US
N
1
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.376000% 04/27/2028
06051GKP3
773000.00000000
PA
USD
778799.43000000
0.098872667210
Long
DBT
CORP
US
N
2
2028-04-27
Fixed
4.37600000
N
N
N
N
N
N
N/A
N/A
CRUDE OIL FUT OPT Jul22C 130 LONG
N/A
43.00000000
NC
USD
34400.00000000
0.004367260196
N/A
DIR
US
N
1
RBC CAPITAL MARKETS LLC
N/A
Call
Purchased
N/A
Call Option 130 Jun 2022 on WTI Crude Oil Future (NYM Consolidated) Jul 2022
43000.00000000
130.00000000
USD
2022-06-18
XXXX
-34981.36000000
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2018-1A A
05377RCY8
1000000.00000000
PA
USD
1002430.50000000
0.127263802990
Long
ABS-MBS
US
N
2
2024-09-20
Fixed
3.70000000
N
N
N
N
N
N
Energizer Holdings, Inc.
5493000D6NN0V57UME20
ENERGIZER HOLDINGS INC COMMON STOCK
29272W109
1760.00000000
NS
USD
52782.40000000
0.006701002169
Long
EC
US
N
1
N
N
N
GRAPHIC PACKAGING HOLDING COMPANY
N/A
GRAPHIC PACKAGING HOLDING CO COMMON STOCK
388689101
-2440.00000000
NS
USD
-54314.40000000
-0.00689549759
Short
EC
US
N
1
N
N
N
UPSTART SECURITIZATION TRUST
N/A
UPSTART SECURITIZATION TRUST 2020-3 UPST 2020-3 A
91680EAA3
75555.70900000
PA
USD
75290.39000000
0.009558509402
Long
ABS-MBS
US
Y
2
2030-11-20
Fixed
1.70200000
N
N
N
N
N
N
TEXAS INSTRUMENTS INCORPORATED
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENTS INC COMMON STOCK
882508104
-5030.00000000
NS
USD
-889102.80000000
-0.11287625783
Short
EC
US
N
1
N
N
N
ENCOMPASS HEALTH CORPORATION
549300FVRPM9DRQZRG64
ENCOMPASS HEALTH CORP COMMON STOCK
29261A100
884.00000000
NS
USD
57937.36000000
0.007355451344
Long
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 1.6165%
N/A
17160000.00000000
NC
USD
1742706.65000000
0.221245738008
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2031-05-21
0.00000000
USD
0.00000000
USD
-17160000.00000000
USD
1742706.65000000
N
N
N
INTERNATIONAL GAME TECHNOLOGY PLC
549300UQ6KHRCZDRGZ76
INTERNATIONAL GAME TECHNOLOG COMMON STOCK
G4863A108
-1600.00000000
NS
USD
-34272.00000000
-0.00435100992
Short
EC
US
N
1
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK VARIABLE RATE 11/07/2022
3133EK6V3
2500000.00000000
PA
USD
2503334.75000000
0.317811459689
Long
DBT
USGA
US
N
2
2022-11-07
Floating
1.09000080
N
N
N
N
N
N
THE COOPER COMPANIES, INC.
QJKMVPIGLH7530PCUE20
COOPER COS INC/THE COMMON STOCK
216648402
330.00000000
NS
USD
115744.20000000
0.014694332490
Long
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R04 CAS 2022-R04 1M2
20753YCK6
184553.00000000
PA
USD
178346.10000000
0.022641971622
Long
ABS-MBS
US
Y
2
2042-03-25
Floating
3.68445960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.500000% 06/17/2025
3135G04Z3
1500000.00000000
PA
USD
1400883.87000000
0.177849545523
Long
DBT
USGA
US
N
2
2025-06-17
Fixed
0.50000000
N
N
N
N
N
N
PINTEREST, INC.
N/A
PINTEREST INC- CLASS A COMMON STOCK
72352L106
1332.00000000
NS
USD
26173.80000000
0.003322901015
Long
EC
US
N
1
N
N
N
INNOSPEC INC.
213800SQBACNY5IWJO68
INNOSPEC INC COMMON STOCK
45768S105
-1000.00000000
NS
USD
-102030.00000000
-0.01295324296
Short
EC
US
N
1
N
N
N
DRIL-QUIP, INC.
5299007REICYIJNMW197
DRIL-QUIP INC COMMON STOCK
262037104
1950.00000000
NS
USD
61308.00000000
0.007783371748
Long
EC
US
N
1
N
N
N
GLOBANT S.A.
2221008DCMSPYS42DS88
GLOBANT SA COMMON STOCK
L44385109
90.00000000
NS
USD
17055.90000000
0.002165335848
Long
EC
US
N
1
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.583000% 06/19/2029
404280BT5
499000.00000000
PA
USD
493530.53000000
0.062656286036
Long
DBT
NUSS
GB
N
2
2029-06-19
Fixed
4.58300000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A Callable 08/21/2026 @ 100.00
225401AL2
300000.00000000
PA
USD
276946.67000000
0.035159830481
Long
DBT
NUSS
CH
N
2
2171-02-21
Fixed
6.37500000
N
N
N
N
N
N
Arvinas Inc
N/A
ARVINAS INC COMMON STOCK
04335A105
500.00000000
NS
USD
20845.00000000
0.002646381942
Long
EC
US
N
1
N
N
N
CAMPBELL SOUP COMPANY
5493007JDSMX8Z5Z1902
CAMPBELL SOUP CO COMMON STOCK
134429109
4077.00000000
NS
USD
195329.07000000
0.024798048625
Long
EC
US
N
1
N
N
N
BRIXMOR PROPERTY GROUP INC.
5299007UXW6Y0W2EGZ95
BRIXMOR PROPERTY GROUP INC REIT
11120U105
4439.00000000
NS
USD
108222.82000000
0.013739453900
Long
EC
US
N
1
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV 144A 3.257000% 01/19/2027
74365PAG3
262000.00000000
PA
USD
233429.46000000
0.029635092716
Long
DBT
NUSS
CN
N
2
2027-01-19
Fixed
3.25700000
N
N
N
N
N
N
AB ISSUER LLC
N/A
AB ISSUER LLC AUTHB 2021-1 A2
00091JAA6
718570.00000000
PA
USD
615957.49000000
0.078199029915
Long
ABS-MBS
US
Y
2
2051-07-30
Fixed
3.73400000
N
N
N
N
N
N
LEGGETT & PLATT, INCORPORATED
DKOVQUCDW4ZLYCUD4T55
LEGGETT & PLATT INC COMMON STOCK
524660107
-4194.00000000
NS
USD
-164278.98000000
-0.02085607705
Short
EC
US
N
1
N
N
N
BOYD GAMING CORPORATION
254900787YGRYS2A1Z35
BOYD GAMING CORP COMMON STOCK
103304101
-1419.00000000
NS
USD
-83394.63000000
-0.01058738512
Short
EC
US
N
1
N
N
N
WILLIAMS-SONOMA, INC.
549300IARG6YWVTZ1I92
WILLIAMS-SONOMA INC COMMON STOCK
969904101
-571.00000000
NS
USD
-73042.32000000
-0.00927310514
Short
EC
US
N
1
N
N
N
COUNTRYWIDE HOME LOANS INC
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2006-10 CWHL 2006-10 1A8
1266942E7
94849.06750000
PA
USD
52994.49000000
0.006727928105
Long
ABS-MBS
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS849796
-40435.82700000
NC
USD
-9309.34000000
-0.00118186947
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-4367.76000000
USD
-40435.82700000
USD
-4941.58000000
N
N
N
Enanta Pharmaceuticals Inc
529900SSN4DODDQSN594
ENANTA PHARMACEUTICALS INC COMMON STOCK
29251M106
500.00000000
NS
USD
19965.00000000
0.002534661332
Long
EC
US
N
1
N
N
N
CATALENT, INC.
N/A
CATALENT INC COMMON STOCK
148806102
1241.00000000
NS
USD
127897.46000000
0.016237252510
Long
EC
US
N
1
N
N
N
N/A
N/A
NATURAL GAS FUTR SEP22 PHYSICAL COMMODITY FUTURE.
N/A
31.00000000
NC
USD
2510070.00000000
0.318666534957
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Natural Gas
Natural Gas Future Sep 2022
2022-09-01
2474816.56000000
USD
35253.44000000
N
N
N
SEALED AIR CORPORATION
Q0M0CZB4YN6JZ65WXI09
SEALED AIR CORP COMMON STOCK
81211K100
-1548.00000000
NS
USD
-96254.64000000
-0.01222003075
Short
EC
US
N
1
N
N
N
LIBERTY BROADBAND CORPORATION
549300MIX43II8JLN536
LIBERTY BROADBAND-A COMMON STOCK
530307107
-342.00000000
NS
USD
-41727.42000000
-0.00529751454
Short
EC
US
N
1
N
N
N
LENNAR CORPORATION
529900G61XVRLX5TJX09
LENNAR CORP-A COMMON STOCK
526057104
-10639.00000000
NS
USD
-853779.75000000
-0.10839181160
Short
EC
US
N
1
N
N
N
WORKDAY, INC.
549300J0DYC0N31V7G13
WORKDAY INC 3.700000% 04/01/2029
98138HAH4
61000.00000000
PA
USD
58580.03000000
0.007437041667
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
BELLEMEADE RE LTD.
N/A
BELLEMEADE RE LTD BMIR 2021-2A M1B
07876AAB9
617149.00000000
PA
USD
593262.49000000
0.075317780782
Long
ABS-MBS
BM
Y
2
2031-06-25
Floating
2.08446120
N
N
N
N
N
N
Evergy, Inc.
549300PGTHDQY6PSUI61
EVERGY INC COMMON STOCK
30034W106
2036.00000000
NS
USD
142397.84000000
0.018078151708
Long
EC
US
N
1
N
N
N
DECKERS OUTDOOR CORPORATION
5493008LG4W3I6K8J118
DECKERS OUTDOOR CORP COMMON STOCK
243537107
-902.00000000
NS
USD
-242241.12000000
-0.03075377911
Short
EC
US
N
1
N
N
N
N/A
N/A
S&P500 EMINI FUT JUN22 PHYSICAL INDEX FUTURE.
N/A
-119.00000000
NC
USD
-24580937.50000000
-3.12067877754
N/A
DE
US
N
1
UBS SECURITIES
N/A
Short
S&P 500 Future (e-Mini) Jun 2022
N/A
N/A
2022-06-20
-24888812.20000000
USD
307874.70000000
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.625000% 02/15/2029
87264ABS3
107000.00000000
PA
USD
94765.62000000
0.012030991868
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
SPECTRUM BRANDS HOLDINGS, INC.
549300JM0MJETDD30O20
SPECTRUM BRANDS HOLDINGS INC COMMON STOCK
84790A105
1001.00000000
NS
USD
87827.74000000
0.011150191659
Long
EC
US
N
1
N
N
N
DOUGLAS EMMETT, INC.
N/A
DOUGLAS EMMETT INC REIT
25960P109
2384.00000000
NS
USD
67395.68000000
0.008556234613
Long
EC
US
N
1
N
N
N
TWILIO INC.
5493004W8TRGD63APX93
TWILIO INC - A COMMON STOCK
90138F102
337.00000000
NS
USD
35442.29000000
0.004499584372
Long
EC
US
N
1
N
N
N
INNOVATIVE INDUSTRIAL PROPERTIES, INC.
5493008BQ0545EZXRR30
INNOVATIVE INDUSTRIAL PROPER REIT
45781V101
300.00000000
NS
USD
39915.00000000
0.005067418336
Long
EC
US
N
1
N
N
N
Deutsche Bank AG (New York Branch)
N/A
DEUTSCHE BANK AG/NEW YORK NY 3.961000% 11/26/2025
251526CB3
295000.00000000
PA
USD
290334.01000000
0.036859423421
Long
DBT
NUSS
DE
N
2
2025-11-26
Fixed
3.96100000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
538682.94740000
PA
USD
535956.19000000
0.068042445810
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.550000% 02/15/2031
87264ACB9
837000.00000000
PA
USD
726585.57000000
0.092243844172
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
N/A
N/A
BRENT CRUDE FUTR SEP22 PHYSICAL COMMODITY FUTURE.
N/A
64.00000000
NC
USD
7205120.00000000
0.914727726460
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Crude Oil
BRENT CRUDE OIL(ICE) Sep 2022
2022-08-01
6637160.48000000
USD
567959.52000000
N
N
N
CGRBS COMMERCIAL MORTGAGE TRUST
N/A
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 CGRBS 2013-VN05 A
125354AA8
285000.00000000
PA
USD
285621.47000000
0.036261141782
Long
ABS-MBS
US
N
2
2035-03-13
Fixed
3.36900000
N
N
N
N
N
N
PAPA JOHN'S INTERNATIONAL, INC.
HZYLD3DK5XOX0WBVNB56
PAPA JOHN'S INTL INC COMMON STOCK
698813102
-462.00000000
NS
USD
-40660.62000000
-0.00516207870
Short
EC
US
N
1
N
N
N
N/A
N/A
COTTON NO.2 FUTR DEC22 PHYSICAL COMMODITY FUTURE.
N/A
7.00000000
NC
USD
428575.00000000
0.054409841247
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Cotton
Cotton No. 2 Future Dec 2022
2022-12-10
437449.34000000
USD
-8874.34000000
N
N
N
Leslie's Inc
N/A
LESLIE'S INC COMMON STOCK
527064109
-2500.00000000
NS
USD
-48550.00000000
-0.00616367681
Short
EC
US
N
1
N
N
N
UNIVERSAL DISPLAY CORPORATION
N/A
UNIVERSAL DISPLAY CORP COMMON STOCK
91347P105
-146.00000000
NS
USD
-18441.26000000
-0.00234121455
Short
EC
US
N
1
N
N
N
DISH NETWORK CORPORATION
529900U350CWHH15G169
DISH NETWORK CORP-A COMMON STOCK
25470M109
-3552.00000000
NS
USD
-81092.16000000
-0.01029507449
Short
EC
US
N
1
N
N
N
TYLER TECHNOLOGIES, INC.
25490040SMU4Z8LBCW70
TYLER TECHNOLOGIES INC COMMON STOCK
902252105
90.00000000
NS
USD
32023.80000000
0.004065589159
Long
EC
US
N
1
N
N
N
CROCS, INC.
549300B0J6YCXD63OG72
CROCS INC COMMON STOCK
227046109
-2069.00000000
NS
USD
-115367.44000000
-0.01464650083
Short
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2021-R02 2M2
20754KAB7
429290.00000000
PA
USD
399786.87000000
0.050755037343
Long
DBT
USGA
US
Y
2
2041-11-25
Floating
2.58446160
N
N
N
N
N
N
SCHOLASTIC CORPORATION
N/A
SCHOLASTIC CORP COMMON STOCK
807066105
-1200.00000000
NS
USD
-45036.00000000
-0.00571755611
Short
EC
US
N
1
N
N
N
WELLTOWER INC
T6IZ0MBEG5ACZDTR7D06
WELLTOWER INC REIT
95040Q104
7098.00000000
NS
USD
632360.82000000
0.080281518584
Long
EC
US
N
1
N
N
N
DIGITALBRIDGE GROUP, INC.
549300XG87L902AGBO89
DIGITALBRIDGE GROUP INC REIT
25401T108
7034.00000000
NS
USD
42344.68000000
0.005375878939
Long
EC
US
N
1
N
N
N
Clarios Global LP
549300474L1ZLXZY2P98
CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 144A 4.375000% 05/15/2026
N/A
161000.00000000
PA
159535.72000000
0.020253895347
Long
DBT
NUSS
US
N
2
2026-05-15
Fixed
4.37500000
N
N
N
N
N
N
BERRY GLOBAL GROUP, INC.
549300G6KKUMMXM8NH73
BERRY GLOBAL GROUP INC COMMON STOCK
08579W103
-1842.00000000
NS
USD
-107443.86000000
-0.01364056084
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS930980
-31450.33550000
NC
USD
-7240.60000000
-0.00091923209
N/A
DCR
XX
N
2
BRK: J.P. MORGAN CHASE
N/A
Y
2063-05-11
0.00000000
USD
-2895.53000000
USD
-31450.33550000
USD
-4345.07000000
N
N
N
COLLEGE AVE STUDENT LOANS LLC
N/A
COLLEGE AVE STUDENT LOANS 2021-C LLC CASL 2021-C B
19424WAC1
211902.00000000
PA
USD
190701.71000000
0.024210581034
Long
ABS-MBS
US
Y
2
2055-07-26
Fixed
2.72000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD.
N/A
NABORS INDUSTRIES LTD COMMON STOCK
G6359F137
100.00000000
NS
USD
16677.00000000
0.002117232508
Long
EC
US
N
1
N
N
N
VMWARE, INC.
549300BUDHS3LRWBE814
VMWARE INC-CLASS A COMMON STOCK
928563402
511.00000000
NS
USD
65459.10000000
0.008310375638
Long
EC
US
N
1
N
N
N
ALBERTSONS COMPANIES, INC.
549300YKWOC0AOR16R51
ALBERTSONS COS INC - CLASS A COMMON STOCK
013091103
3600.00000000
NS
USD
109980.00000000
0.013962537106
Long
EC
US
N
1
N
N
N
CORVEL CORPORATION
N/A
CORVEL CORP COMMON STOCK
221006109
200.00000000
NS
USD
29832.00000000
0.003787328668
Long
EC
US
N
1
N
N
N
BRIGHT HORIZONS FAMILY SOLUTIONS INC.
N/A
BRIGHT HORIZONS FAMILY SOLUT COMMON STOCK
109194100
-1110.00000000
NS
USD
-100510.50000000
-0.01276033447
Short
EC
US
N
1
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 144A 2.850000% 01/26/2028
00928QAU5
778000.00000000
PA
USD
675100.14000000
0.085707499138
Long
DBT
NUSS
US
N
2
2028-01-26
Fixed
2.85000000
N
N
N
N
N
N
MGM RESORTS INTERNATIONAL
54930066VBP7DZEGGJ87
MGM RESORTS INTERNATIONAL COMMON STOCK
552953101
-7941.00000000
NS
USD
-277696.77000000
-0.03525505960
Short
EC
US
N
1
N
N
N
COMSTOCK RESOURCES, INC.
I03QQGEA4SS774AURI46
COMSTOCK RESOURCES INC COMMON STOCK
205768302
2700.00000000
NS
USD
52110.00000000
0.006615637466
Long
EC
US
N
1
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2013-G1 GSMS 2013-G1 A2
36197QAC3
1485000.00000000
PA
USD
1472654.90000000
0.186961253738
Long
ABS-MBS
US
N
2
2031-04-10
Fixed
3.55700000
N
N
N
N
N
N
YUM CHINA HOLDINGS, INC.
529900DO9BYZ7VA3K502
YUM CHINA HOLDINGS INC COMMON STOCK
98850P109
-7866.00000000
NS
USD
-357588.36000000
-0.04539771545
Short
EC
US
N
1
N
N
N
CASEY'S GENERAL STORES, INC.
549300CAFWSI86V66Q65
CASEY'S GENERAL STORES INC COMMON STOCK
147528103
793.00000000
NS
USD
166165.22000000
0.021095545099
Long
EC
US
N
1
N
N
N
OLLIE'S BARGAIN OUTLET HOLDINGS, INC.
529900YO5DSQCPEFDZ05
OLLIE'S BARGAIN OUTLET HOLDI COMMON STOCK
681116109
-1000.00000000
NS
USD
-46970.00000000
-0.00596308754
Short
EC
US
N
1
N
N
N
WINNEBAGO INDUSTRIES, INC.
549300B7OYKYJLTE3G11
WINNEBAGO INDUSTRIES COMMON STOCK
974637100
-2269.00000000
NS
USD
-112202.05000000
-0.01424463799
Short
EC
US
N
1
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC COMMON STOCK
444859102
1075.00000000
NS
USD
488297.25000000
0.061991893726
Long
EC
US
N
1
N
N
N
LITHIA MOTORS, INC.
SE8N1EZEHPZQBCBVKD53
LITHIA MOTORS INC COMMON STOCK
536797103
-200.00000000
NS
USD
-60894.00000000
-0.00773081228
Short
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R02 CAS 2019-R02 1M2
20753KAB8
31446.28640000
PA
USD
31325.33000000
0.003976914734
Long
ABS-MBS
US
N
2
2031-08-25
Floating
3.30571080
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV 144A 3.680000% 01/21/2030
74365PAA6
479000.00000000
PA
USD
399087.12000000
0.050666200415
Long
DBT
NUSS
CN
N
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS712310
-194992.09390000
NC
USD
-44891.71000000
-0.00569923773
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2049-12-31
0.00000000
USD
-11542.93000000
USD
-194992.09390000
USD
-33348.78000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.250000% 11/27/2023
3135G06H1
100000.00000000
PA
USD
96915.86000000
0.012303976099
Long
DBT
USGA
US
N
2
2023-11-27
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
LME NICKEL FUTURE SEP22 PHYSICAL COMMODITY FUTURE.
N/A
1.00000000
NC
USD
170526.00000000
0.021649168963
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Nickel
Nickel Composite Commodity Future Sep 2022
2022-09-22
169572.71000000
USD
953.29000000
N
N
N
MICROSOFT CORPORATION
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP COMMON STOCK
594918104
22952.00000000
NS
USD
6239960.24000000
0.792195639148
Long
EC
US
N
1
N
N
N
DOORDASH, INC.
549300NUQ43FGGSK5051
DOORDASH INC - A COMMON STOCK
25809K105
-1345.00000000
NS
USD
-103443.95000000
-0.01313275132
Short
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 1.67
N/A
1230000.00000000
NC
USD
60595.58000000
0.007692926297
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2026-11-09
0.00000000
USD
0.00000000
USD
-1230000.00000000
USD
60595.58000000
N
N
N
CARDINAL HEALTH, INC.
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH INC COMMON STOCK
14149Y108
2008.00000000
NS
USD
113090.56000000
0.014357438992
Long
EC
US
N
1
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 2.939000% 06/04/2051
10373QBP4
1066000.00000000
PA
USD
806356.25000000
0.102371149860
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.93900000
N
N
N
N
N
N
ENTEGRIS ESCROW CORPORATION
N/A
ENTEGRIS ESCROW CORP 144A 4.750000% 04/15/2029
29365BAA1
611000.00000000
PA
USD
581085.44000000
0.073771840498
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
WALMART INC.
Y87794H0US1R65VBXU25
WALMART INC COMMON STOCK
931142103
32012.00000000
NS
USD
4117703.56000000
0.522764036640
Long
EC
US
N
1
N
N
N
N/A
N/A
SOYBEAN MEAL FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
50.00000000
NC
USD
2074000.00000000
0.263305164199
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Soybean Meal
Soybean Meal Future Jul 2022
2022-07-17
2284724.62000000
USD
-210724.62000000
N
N
N
Natura &Co Luxembourg Holdings S.a r.l.
54930074AZRQQPMINM11
NATURA &CO LUXEMBOURG HOLDINGS SARL 144A 6.000000% 04/19/2029
63884WAA6
319000.00000000
PA
USD
309831.94000000
0.039334787770
Long
DBT
NUSS
BR
N
2
2029-04-19
Fixed
6.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC 4.950000% 05/28/2027
345397C27
618000.00000000
PA
USD
615084.59000000
0.078088210687
Long
DBT
CORP
US
N
2
2027-05-28
Fixed
4.95000000
N
N
N
N
N
N
COMPASS MINERALS INTERNATIONAL, INC.
2549008X9G8XP7YJGC47
COMPASS MINERALS INTERNATION COMMON STOCK
20451N101
-900.00000000
NS
USD
-40437.00000000
-0.00513368897
Short
EC
US
N
1
N
N
N
THE TRADE DESK, INC.
549300GXPD31VT3E0P46
TRADE DESK INC/THE -CLASS A COMMON STOCK
88339J105
940.00000000
NS
USD
48927.00000000
0.006211538943
Long
EC
US
N
1
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES, INC.
RLUFFFFW4GRYU77BTS24
HARLEY-DAVIDSON FINANCIAL SERVICES INC 144A 3.350000% 06/08/2025
41283LAY1
742000.00000000
PA
USD
722876.59000000
0.091772969732
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
3.35000000
N
N
N
N
N
N
META PLATFORMS, INC.
BQ4BKCS1HXDV9HN80Z93
META PLATFORMS INC COMMON STOCK
30303M102
8126.00000000
NS
USD
1573518.64000000
0.199766433884
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 0.375000% 07/21/2025
3137EAEU9
1400000.00000000
PA
USD
1299882.57000000
0.165026901414
Long
DBT
USGA
US
N
2
2025-07-21
Fixed
0.37500000
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC-CL C COMMON STOCK
02079K107
1106.00000000
NS
USD
2522542.68000000
0.320250007019
Long
EC
US
N
1
N
N
N
N/A
N/A
COFFEE 'C' FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-9.00000000
NC
USD
-780468.75000000
-0.09908459612
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Coffee
Coffee C Future Jul 2022
2022-07-22
-725249.36000000
USD
-55219.39000000
N
N
N
HIGHWOODS PROPERTIES, INC.
ZIIGTYKL9T0X3HLTDX53
HIGHWOODS PROPERTIES INC REIT
431284108
1928.00000000
NS
USD
75751.12000000
0.009617001489
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 01/15/2024
912828B25
7629900.00000000
PA
USD
9739806.35000000
1.236519435998
Long
DBT
USGA
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
TRANSCANADA PIPELINES LIMITED
5BV01I6231JPDAPMGH09
TRANSCANADA PIPELINES LTD 6.100000% 06/01/2040
893526DJ9
486000.00000000
PA
USD
547716.81000000
0.069535518125
Long
DBT
NUSS
CA
N
2
2040-06-01
Fixed
6.10000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 4.450000% 04/03/2026
00774MAL9
156000.00000000
PA
USD
152630.69000000
0.019377265618
Long
DBT
NUSS
IE
N
2
2026-04-03
Fixed
4.45000000
N
N
N
N
N
N
Xcel Energy Inc.
LGJNMI9GH8XIDG5RCM61
XCEL ENERGY INC COMMON STOCK
98389B100
5256.00000000
NS
USD
395987.04000000
0.050272629020
Long
EC
US
N
1
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2017-HQA2 M2B
3137G0QG7
629778.00000000
PA
USD
630487.95000000
0.080043747927
Long
DBT
USGA
US
N
2
2029-12-25
Floating
3.65571000
N
N
N
N
N
N
VISTRA CORP.
549300KP43CPCUJOOG15
Vistra Corp. COMMON STOCK
92840M102
5774.00000000
NS
USD
152260.38000000
0.019330252824
Long
EC
US
N
1
N
N
N
BRINKER INTERNATIONAL, INC.
52990067JY6PBGJNTG76
BRINKER INTERNATIONAL INC COMMON STOCK
109641100
-759.00000000
NS
USD
-23035.65000000
-0.00292449643
Short
EC
US
N
1
N
N
N
ASHLAND GLOBAL HOLDINGS INC.
529900E4L9R04SB8HB11
ASHLAND GLOBAL HOLDINGS INC COMMON STOCK
044186104
-800.00000000
NS
USD
-85616.00000000
-0.01086939968
Short
EC
US
N
1
N
N
N
ENVISTA HOLDINGS CORPORATION
549300BX623VURJZ5269
ENVISTA HOLDINGS CORP COMMON STOCK
29415F104
1600.00000000
NS
USD
68864.00000000
0.008742645529
Long
EC
US
N
1
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 6.500000% 07/15/2025
00774MAN5
187000.00000000
PA
USD
195190.65000000
0.024780475481
Long
DBT
NUSS
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
ADIENT PUBLIC LIMITED COMPANY
5493002QLDY8O75RTR78
ADIENT PLC COMMON STOCK
G0084W101
-5628.00000000
NS
USD
-199174.92000000
-0.02528629942
Short
EC
US
N
1
N
N
N
LHC GROUP, INC.
5299009NPLWAMRQYZX73
LHC GROUP INC COMMON STOCK
50187A107
337.00000000
NS
USD
56164.42000000
0.007130367324
Long
EC
US
N
1
N
N
N
N/A
N/A
BRK: CHASE SECURITIES AMT: 4,743,375.00
N/A
-4743375.00000000
PA
USD
-4743375.00000000
-0.60219630339
Short
RA
US
N
2
Reverse repurchase
N
0.86000000
2050-12-31
3900000.00000000
USD
4787572.58000000
USD
UST
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 08/25/2022
912796T58
6000000.00000000
PA
USD
5985174.60000000
0.759849267510
Long
DBT
UST
US
N
2
2022-08-25
None
0.00000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
CAMDEN PROPERTY TRUST REIT
133131102
1590.00000000
NS
USD
228149.10000000
0.028964723354
Long
EC
US
N
1
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP - CLASS A COMMON STOCK
35137L105
-2900.00000000
NS
USD
-102979.00000000
-0.01307372348
Short
EC
US
N
1
N
N
N
EXPEDIA GROUP, INC.
N/A
EXPEDIA GROUP INC 4.625000% 08/01/2027
30212PBK0
224000.00000000
PA
USD
223632.69000000
0.028391341446
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
4.62500000
N
N
N
N
N
N
HARDEES FUNDING LLC
N/A
HARDEE'S FUNDING LLC HNGRY 2018-1A A23
411707AF9
373190.59000000
PA
USD
365234.54000000
0.046368438055
Long
ABS-MBS
US
N
2
2048-06-20
Fixed
5.71000000
N
N
N
N
N
N
SUN COMMUNITIES, INC.
549300H5GEOJYN41ZG57
SUN COMMUNITIES INC REIT
866674104
2149.00000000
NS
USD
352715.37000000
0.044779063844
Long
EC
US
N
1
N
N
N
City of New York
549300ABYZD2SFD5JB29
NEW YORK NY CITY OF NEW YORK NY
64966QRQ5
530000.00000000
PA
USD
441615.50000000
0.056065401032
Long
DBT
MUN
US
N
2
2031-08-01
Fixed
1.92300000
N
N
N
N
N
N
STURM, RUGER & COMPANY, INC.
529900DV1BWFJSHFO847
STURM RUGER & CO INC COMMON STOCK
864159108
-301.00000000
NS
USD
-20434.89000000
-0.00259431632
Short
EC
US
N
1
N
N
N
PS BUSINESS PARKS, INC.
N/A
PS BUSINESS PARKS INC/MD REIT
69360J107
204.00000000
NS
USD
38276.52000000
0.004859404717
Long
EC
US
N
1
N
N
N
LABORATORY CORPORATION OF AMERICA HOLDINGS
OZ7UA8IXAIFILY2VZH07
LABORATORY CRP OF AMER HLDGS COMMON STOCK
50540R409
1051.00000000
NS
USD
259302.72000000
0.032919838605
Long
EC
US
N
1
N
N
N
ORGANON & CO.
549300AMCKY57OK2CO56
ORGANON & CO COMMON STOCK
68622V106
1865.00000000
NS
USD
70795.40000000
0.008987846876
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS789736
-218355.19790000
NC
USD
-50270.45000000
-0.00638209695
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-30551.61000000
USD
-218355.19790000
USD
-19718.84000000
N
N
N
EDWARDS LIFESCIENCES CORPORATION
YA13X31F3V31L8TMPR58
EDWARDS LIFESCIENCES CORP COMMON STOCK
28176E108
5327.00000000
NS
USD
537227.95000000
0.068203902404
Long
EC
US
N
1
N
N
N
THE KROGER CO.
6CPEOKI6OYJ13Q6O7870
KROGER CO COMMON STOCK
501044101
17393.00000000
NS
USD
921307.21000000
0.116964776377
Long
EC
US
N
1
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.400000% 05/06/2030
02209SBJ1
850000.00000000
PA
USD
763787.65000000
0.096966843103
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
3.40000000
N
N
N
N
N
N
ZENDESK, INC.
549300SLI6BN94BKKO36
ZENDESK INC COMMON STOCK
98936J101
600.00000000
NS
USD
54870.00000000
0.006966033924
Long
EC
US
N
1
N
N
N
PTC INC.
54930050SSMU8SKDJ030
PTC INC COMMON STOCK
69370C100
500.00000000
NS
USD
58265.00000000
0.007397046958
Long
EC
US
N
1
N
N
N
CONN'S RECEIVABLES FUNDING LLC
N/A
CONN'S RECEIVABLES FUNDING 2021-A LLC CONN 2021-A A
20825GAA3
499511.96420000
PA
USD
496496.21000000
0.063032794647
Long
ABS-MBS
US
Y
2
2026-05-15
Fixed
1.05000000
N
N
N
N
N
N
NEIGHBORLY ISSUER LLC
N/A
NEIGHBORLY ISSUER LLC NBLY 2021-1A A2
64016NAA5
276899.04000000
PA
USD
243459.60000000
0.030908471530
Long
ABS-MBS
US
Y
2
2051-04-30
Fixed
3.58400000
N
N
N
N
N
N
CISCO SYSTEMS, INC.
549300LKFJ962MZ46593
CISCO SYSTEMS INC COMMON STOCK
17275R102
-22500.00000000
NS
USD
-1013625.00000000
-0.12868500340
Short
EC
US
N
1
N
N
N
GLOBAL CONTAINER INTERNATIONAL
N/A
GCI FUNDING I LLC GCI 2021-1 A
36166VAE5
279684.00000000
PA
USD
250753.38000000
0.031834455108
Long
ABS-MBS
US
Y
2
2046-06-18
Fixed
2.38000000
N
N
N
N
N
N
VICTORIA'S SECRET & CO.
5493006T3O70U3UWVF17
VICTORIA'S SECRET & CO COMMON STOCK
926400102
-577.00000000
NS
USD
-23778.17000000
-0.00301876323
Short
EC
US
N
1
N
N
N
BJ'S WHOLESALE CLUB HOLDINGS, INC.
549300UCIWH1C93V0J03
BJ'S WHOLESALE CLUB HOLDINGS COMMON STOCK
05550J101
3401.00000000
NS
USD
196815.87000000
0.024986805673
Long
EC
US
N
1
N
N
N
EASTGROUP PROPERTIES, INC.
31TIGQQZC4P6JMHKSW85
EASTGROUP PROPERTIES INC REIT
277276101
460.00000000
NS
USD
74313.00000000
0.009434424622
Long
EC
US
N
1
N
N
N
ROYAL GOLD, INC.
5493001NGRU6SFL04184
ROYAL GOLD INC COMMON STOCK
780287108
-800.00000000
NS
USD
-90464.00000000
-0.01148487867
Short
EC
US
N
1
N
N
N
KIMCO REALTY CORPORATION
549300EA7I6T15IBYS12
KIMCO REALTY CORP REIT
49446R109
9115.00000000
NS
USD
215569.75000000
0.027367708977
Long
EC
US
N
1
N
N
N
NORDSTROM, INC.
549300S3IZB5P35KNV16
NORDSTROM INC COMMON STOCK
655664100
-1200.00000000
NS
USD
-31716.00000000
-0.00402651233
Short
EC
US
N
1
N
N
N
GLOBUS MEDICAL, INC.
5299003M2P4CIK0RF205
GLOBUS MEDICAL INC - A COMMON STOCK
379577208
700.00000000
NS
USD
46620.00000000
0.005918653208
Long
EC
US
N
1
N
N
N
N/A
N/A
LIVE CATTLE FUTR AUG22 PHYSICAL COMMODITY FUTURE.
N/A
19.00000000
NC
USD
990850.00000000
0.125793597853
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Live Cattle
Live Cattle Future(Consolidated) Aug 2022
2022-09-03
1021498.50000000
USD
-30648.50000000
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK VARIABLE RATE 11/07/2022
3133EK6W1
1200000.00000000
PA
USD
1203163.04000000
0.152747850436
Long
DBT
USGA
US
N
2
2022-11-07
Floating
1.48284720
N
N
N
N
N
N
QORVO, INC.
254900YAUJV2EUEVBR11
QORVO INC COMMON STOCK
74736K101
-439.00000000
NS
USD
-49058.25000000
-0.00622820181
Short
EC
US
N
1
N
N
N
M.D.C. HOLDINGS, INC.
5299005FV4VNV75R8R35
MDC HOLDINGS INC COMMON STOCK
552676108
-2282.00000000
NS
USD
-87126.76000000
-0.01106119857
Short
EC
US
N
1
N
N
N
BRK: MERRILL LYNCH
N/A
BRK: MERRILL LYNCH REF: BofA Merrill Lynch Commodity MLBXCS3T Tot Ret
TX8888113
55913.98550000
NC
USD
9349.49000000
0.001186966730
N/A
DE
US
N
2
BRK: MERRILL LYNCH
N/A
Y
2022-06-07
0.00000000
USD
0.00000000
USD
-6901999.33000000
USD
9349.49000000
N
N
N
ALEXANDRIA REAL ESTATE EQUITIES, INC.
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE EQUIT REIT
015271109
2718.00000000
NS
USD
451052.10000000
0.057263426833
Long
EC
US
N
1
N
N
N
AIR PRODUCTS AND CHEMICALS, INC.
7QEON6Y1RL5XR3R1W237
AIR PRODUCTS & CHEMICALS INC COMMON STOCK
009158106
-2307.00000000
NS
USD
-567891.12000000
-0.07209675245
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS379352
-673935.78700000
NC
USD
-155155.70000000
-0.01969782886
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-50637.56000000
USD
-673935.78700000
USD
-104518.14000000
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 4.194000% 04/01/2031
225401AP3
382000.00000000
PA
USD
353883.81000000
0.044927403423
Long
DBT
NUSS
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4954 SL
3137FR3C3
1262756.80080000
PA
USD
181570.41000000
0.023051314666
Long
DBT
USGA
US
N
2
2050-02-25
Floating
5.04429120
N
N
N
N
N
N
N/A
N/A
COPPER FUTURE DEC22 PHYSICAL COMMODITY FUTURE.
N/A
6.00000000
NC
USD
647025.00000000
0.082143213050
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Copper
COPPER FUTURE (Consolidated) Dec 2022
2022-12-31
674593.26000000
USD
-27568.26000000
N
N
N
ZILLOW GROUP, INC.
2549002XEELQDIR6FU05
ZILLOW GROUP INC - A COMMON STOCK
98954M101
1100.00000000
NS
USD
43956.00000000
0.005580444453
Long
EC
US
N
1
N
N
N
SPLUNK INC.
549300XGDSGBP6UEI867
SPLUNK INC COMMON STOCK
848637104
373.00000000
NS
USD
38254.88000000
0.004856657405
Long
EC
US
N
1
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP COMMON STOCK
67066G104
-11184.00000000
NS
USD
-2088276.48000000
-0.26511763811
Short
EC
US
N
1
N
N
N
VERISIGN, INC.
LMPL4N8ZOJRMF0KOF759
VERISIGN INC COMMON STOCK
92343E102
200.00000000
NS
USD
34910.00000000
0.004432007368
Long
EC
US
N
1
N
N
N
CENTURY COMMUNITIES, INC.
5299002QMB2O7ZL1CA26
CENTURY COMMUNITIES INC COMMON STOCK
156504300
-959.00000000
NS
USD
-52140.83000000
-0.00661955149
Short
EC
US
N
1
N
N
N
COLGATE-PALMOLIVE COMPANY
YMEGZFW4SBUSS5BQXF88
COLGATE-PALMOLIVE CO COMMON STOCK
194162103
20027.00000000
NS
USD
1578327.87000000
0.200376990825
Long
EC
US
N
1
N
N
N
Embraer Netherlands Finance B.V.
724500PBR8LR26XBSP67
EMBRAER NETHERLANDS FINANCE BV 5.400000% 02/01/2027
29082HAB8
575000.00000000
PA
USD
568991.25000000
0.072236419724
Long
DBT
NUSS
BR
N
2
2027-02-01
Fixed
5.40000000
N
N
N
N
N
N
NVR, Inc.
529900RWXR4JI3JYTV70
NVR INC COMMON STOCK
62944T105
-107.00000000
NS
USD
-476216.34000000
-0.06045815891
Short
EC
US
N
1
N
N
N
SEAWORLD ENTERTAINMENT, INC.
529900G0H4NV3IIK3269
SEAWORLD ENTERTAINMENT INC COMMON STOCK
81282V100
-700.00000000
NS
USD
-37926.00000000
-0.00481490436
Short
EC
US
N
1
N
N
N
BRK: SOCIETE GENERALE
N/A
BRK: SOCIETE GENERALE REF: BLOOMBERG COMMODITY INDEX TOTAL RETURN
N/A
33489.38780000
NC
USD
-16601.84000000
-0.00210769055
N/A
DE
US
N
2
BRK: SOCIETE GENERALE
N/A
Y
2022-06-22
0.00000000
USD
0.00000000
USD
-9432052.80000000
USD
-16601.84000000
N
N
N
YETI HOLDINGS, INC.
549300DSQICIGNT5GO63
YETI HOLDINGS INC COMMON STOCK
98585X104
-3401.00000000
NS
USD
-155595.75000000
-0.01975369551
Short
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CD1264135
60581000.00000000
NC
USD
-457909.79000000
-0.05813404650
N/A
DCR
XX
N
2
BRK: BNP PARIBAS SA
N/A
Y
2027-06-20
0.00000000
USD
-827895.53000000
USD
60581000.00000000
USD
369985.74000000
N
N
N
LIBERTY ENERGY INC.
N/A
Liberty Energy Inc COMMON STOCK
53115L104
4026.00000000
NS
USD
65503.02000000
0.008315951512
Long
EC
US
N
1
N
N
N
N/A
N/A
GASOLINE RBOB FUT SEP22 PHYSICAL COMMODITY FUTURE.
N/A
20.00000000
NC
USD
3000060.00000000
0.380873332164
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Unleaded Gas
RBOB Unleaded Gasoline Future (Consolidated) Sep 2022
2022-09-03
2840494.16000000
USD
159565.84000000
N
N
N
FLEETCOR TECHNOLOGIES, INC.
549300DG6RR0NQSFLN74
FLEETCOR TECHNOLOGIES INC COMMON STOCK
339041105
195.00000000
NS
USD
48517.95000000
0.006159607903
Long
EC
US
N
1
N
N
N
CARVANA CO.
5493003WEAK2PJ5WS063
CARVANA CO COMMON STOCK
146869102
-639.00000000
NS
USD
-18812.16000000
-0.00238830225
Short
EC
US
N
1
N
N
N
MGE ENERGY, INC.
N/A
MGE ENERGY INC COMMON STOCK
55277P104
600.00000000
NS
USD
47622.00000000
0.006045862357
Long
EC
US
N
1
N
N
N
SELECT MEDICAL HOLDINGS CORPORATION
N/A
SELECT MEDICAL HOLDINGS CORP COMMON STOCK
81619Q105
1200.00000000
NS
USD
29220.00000000
0.003709632062
Long
EC
US
N
1
N
N
N
NATURA COSMETICOS S.A.
N/A
NATURA COSMETICOS SA 144A 4.125000% 05/03/2028
63883KAB1
271000.00000000
PA
USD
244655.07000000
0.031060242709
Long
DBT
NUSS
BR
N
2
2028-05-03
Fixed
4.12500000
N
N
N
N
N
N
N/A
N/A
SOYBEAN FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
46.00000000
NC
USD
3871475.00000000
0.491504031133
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Soybeans
Soybean Future Jul 2022
2022-07-17
3804222.42000000
USD
67252.58000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 6.250000% 04/15/2049
29279FAA7
297000.00000000
PA
USD
303035.90000000
0.038471994892
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
MODERNA, INC.
549300EI6OKH5K5Q2G38
MODERNA INC COMMON STOCK
60770K107
3118.00000000
NS
USD
453138.94000000
0.057528362103
Long
EC
US
N
1
N
N
N
ANALOG DEVICES, INC.
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES INC COMMON STOCK
032654105
-2711.00000000
NS
USD
-456532.40000000
-0.05795917962
Short
EC
US
N
1
N
N
N
N/A
N/A
SOYBEAN OIL FUTR JUL22 PHYSICAL COMMODITY FUTURE.
N/A
49.00000000
NC
USD
2290848.00000000
0.290835153711
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Soybean Oil
Soybean Oil Future Jul 2022
2022-07-17
2180245.13000000
USD
110602.87000000
N
N
N
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORPORATION
06BTX5UWZD0GQ5N5Y745
WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP 3.200000% 06/15/2025
960386AQ3
134000.00000000
PA
USD
129466.29000000
0.016436423696
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.20000000
N
N
N
N
N
N
GRAHAM HOLDINGS COMPANY
529900BOSCEEEMAFQJ29
GRAHAM HOLDINGS CO-CLASS B COMMON STOCK
384637104
-200.00000000
NS
USD
-122604.00000000
-0.01556522003
Short
EC
US
N
1
N
N
N
KILROY REALTY CORPORATION
549300CXXI18B214UN80
KILROY REALTY CORP REIT
49427F108
1520.00000000
NS
USD
92264.00000000
0.011713398104
Long
EC
US
N
1
N
N
N
BRUNSWICK CORPORATION
YM4O38W15AX4YLLQKU27
BRUNSWICK CORP COMMON STOCK
117043109
-2673.00000000
NS
USD
-201089.79000000
-0.02552940220
Short
EC
US
N
1
N
N
N
N/A
N/A
SUGAR #11 (WORLD) JUL22 PHYSICAL COMMODITY FUTURE.
N/A
14.00000000
NC
USD
304192.00000000
0.038618767843
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Sugar
Sugar #11 World Future Jul 2022
2022-07-03
307743.79000000
USD
-3551.79000000
N
N
N
LA-Z-BOY INCORPORATED
549300WNO1WMN9ZG2519
LA-Z-BOY INC COMMON STOCK
505336107
-1759.00000000
NS
USD
-44907.27000000
-0.00570121316
Short
EC
US
N
1
N
N
N
PAYCOM SOFTWARE, INC.
254900LSB0HNJUDC6Q18
PAYCOM SOFTWARE INC COMMON STOCK
70432V102
89.00000000
NS
USD
25306.26000000
0.003212762268
Long
EC
US
N
1
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP COMMON STOCK
855244109
-23156.00000000
NS
USD
-1817746.00000000
-0.23077237656
Short
EC
US
N
1
N
N
N
NATIONAL FUEL GAS COMPANY
8JB38FFW1Y3C1HM8E841
NATIONAL FUEL GAS CO COMMON STOCK
636180101
1000.00000000
NS
USD
73530.00000000
0.009335018670
Long
EC
US
N
1
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD MTN 2.390000% 06/03/2030
88032XAU8
200000.00000000
PA
USD
170617.07000000
0.021660730777
Long
DBT
NUSS
CN
N
2
2030-06-03
Fixed
2.39000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INCORPORATED
5493007PTFULNYZJ1R12
MICROCHIP TECHNOLOGY INC COMMON STOCK
595017104
-2663.00000000
NS
USD
-193466.95000000
-0.02456164273
Short
EC
US
N
1
N
N
N
NATERA, INC.
N/A
NATERA INC COMMON STOCK
632307104
559.00000000
NS
USD
20509.71000000
0.002603815120
Long
EC
US
N
1
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.950000% MATURITY: PERPETUAL
172967GD7
232000.00000000
PA
USD
230684.59000000
0.029286617091
Long
DBT
CORP
US
N
2
2170-07-30
Fixed
5.95000000
N
N
N
N
N
N
N/A
N/A
LME LEAD FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
25.00000000
NC
USD
1364750.00000000
0.173262161447
N/A
DCO
GB
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Lead
LME LEAD FUTURE Jul 2022
2022-07-21
1498730.75000000
USD
-133980.75000000
N
N
N
ENI S.P.A.
BUCRF72VH5RBN7X3VL35
ENI SPA 144A 4.250000% 05/09/2029
26874RAJ7
950000.00000000
PA
USD
946929.21000000
0.120217623493
Long
DBT
NUSS
IT
N
2
2029-05-09
Fixed
4.25000000
N
N
N
N
N
N
FORTINET, INC.
549300O0QJWDBAS0QX03
FORTINET INC COMMON STOCK
34959E109
350.00000000
NS
USD
102949.00000000
0.013069914826
Long
EC
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.625000% 04/22/2025
3135G03U5
1300000.00000000
PA
USD
1222929.31000000
0.155257281954
Long
DBT
USGA
US
N
2
2025-04-22
Fixed
0.62500000
N
N
N
N
N
N
BIO-TECHNE CORPORATION
54930073RLKQ51TILZ35
BIO-TECHNE CORP COMMON STOCK
09073M104
303.00000000
NS
USD
112028.19000000
0.014222565555
Long
EC
US
N
1
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR TRUST 2019-DNA3 STACR 2019-DNA3 M2
35564TAH3
41498.76960000
PA
USD
41397.44000000
0.005255621859
Long
DBT
USGA
US
N
2
2049-07-25
Floating
3.05570880
N
N
N
N
N
N
AVERY DENNISON CORPORATION
549300PW7VPFCYKLIV37
AVERY DENNISON CORP COMMON STOCK
053611109
-881.00000000
NS
USD
-152025.36000000
-0.01930041580
Short
EC
US
N
1
N
N
N
PROLOGIS, INC.
529900DFH19P073LZ636
PROLOGIS INC REIT
74340W103
11794.00000000
NS
USD
1503499.12000000
0.190877089038
Long
EC
US
N
1
N
N
N
ALLETE, INC.
549300NNLSIMY6Z8OT86
ALLETE INC COMMON STOCK
018522300
800.00000000
NS
USD
49616.00000000
0.006299011102
Long
EC
US
N
1
N
N
N
CERNER CORPORATION
549300L4UJ40IEVVI304
CERNER CORP COMMON STOCK
156782104
2327.00000000
NS
USD
220715.95000000
0.028021046025
Long
EC
US
N
1
N
N
N
ELANCO ANIMAL HEALTH INCORPORATED
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC COMMON STOCK
28414H103
3758.00000000
NS
USD
89064.60000000
0.011307217515
Long
EC
US
N
1
N
N
N
ARCHROCK INC.
549300K3RIHMHDVFTL28
ARCHROCK INC COMMON STOCK
03957W106
7507.00000000
NS
USD
75295.21000000
0.009559121327
Long
EC
US
N
1
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 2.383000% 07/21/2032
38141GYJ7
231000.00000000
PA
USD
194062.35000000
0.024637231886
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38300000
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORPORATION
N/A
CHASE MORTGAGE FINANCE TRUST SERIES 2007-S5 CHASE 2007-S5 1A17
161631AS5
72037.73420000
PA
USD
39487.71000000
0.005013171632
Long
ABS-MBS
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
APELLIS PHARMACEUTICALS, INC.
254900HS0ZFRXXSB9D42
APELLIS PHARMACEUTICALS INC COMMON STOCK
03753U106
1200.00000000
NS
USD
49740.00000000
0.006314753552
Long
EC
US
N
1
N
N
N
Progyny Inc
N/A
PROGYNY INC COMMON STOCK
74340E103
800.00000000
NS
USD
25288.00000000
0.003210444065
Long
EC
US
N
1
N
N
N
TELLURIAN INC.
254900ZYXZHH5MQG6H78
TELLURIAN INC COMMON STOCK
87968A104
14200.00000000
NS
USD
67734.00000000
0.008599186109
Long
EC
US
N
1
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.100000% 09/01/2028
00914AAQ5
165000.00000000
PA
USD
140017.38000000
0.017775939841
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
2.10000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS783278
-228239.59960000
NC
USD
-52546.06000000
-0.00667099756
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-35687.15000000
USD
-228239.59960000
USD
-16858.91000000
N
N
N
PATTERSON-UTI ENERGY, INC.
254900XGFBKIXD6G0697
PATTERSON-UTI ENERGY INC COMMON STOCK
703481101
6765.00000000
NS
USD
129076.20000000
0.016386899727
Long
EC
US
N
1
N
N
N
ATMOS ENERGY CORPORATION
QVLWEGTD2S8GJMO8D383
ATMOS ENERGY CORP COMMON STOCK
049560105
1351.00000000
NS
USD
157134.81000000
0.019949087246
Long
EC
US
N
1
N
N
N
CHENIERE ENERGY, INC.
MIHC87W9WTYSYZWV1J40
CHENIERE ENERGY INC COMMON STOCK
16411R208
8696.00000000
NS
USD
1189351.92000000
0.150994456406
Long
EC
US
N
1
N
N
N
U.S. SILICA HOLDINGS, INC.
529900HOXGPM9F75C193
US SILICA HOLDINGS INC COMMON STOCK
90346E103
3500.00000000
NS
USD
61880.00000000
0.007855990144
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5015 BI
3137FVTE2
1662524.53830000
PA
USD
296007.84000000
0.037579745860
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
EASTMAN CHEMICAL COMPANY
FDPVHDGJ1IQZFK9KH630
EASTMAN CHEMICAL CO COMMON STOCK
277432100
-1200.00000000
NS
USD
-132192.00000000
-0.01678246685
Short
EC
US
N
1
N
N
N
OVINTIV INC.
N/A
OVINTIV INC COMMON STOCK
69047Q102
8594.00000000
NS
USD
481178.06000000
0.061088075264
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4693 SL
3137BYRV4
1107514.48500000
PA
USD
170798.78000000
0.021683799813
Long
DBT
USGA
US
N
2
2047-06-15
Floating
5.27528880
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS783611
-3594.32060000
NC
USD
-827.50000000
-0.00010505545
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-546.05000000
USD
-3594.32060000
USD
-281.45000000
N
N
N
ANTHEM, INC.
8MYN82XMYQH89CTMTH67
ANTHEM INC COMMON STOCK
036752103
2108.00000000
NS
USD
1074257.88000000
0.136382665133
Long
EC
US
N
1
N
N
N
BLOCK, INC.
549300OHIIUWSTIZME52
BLOCK INC COMMON STOCK
852234103
1169.00000000
NS
USD
102299.19000000
0.012987418042
Long
EC
US
N
1
N
N
N
NEWMONT CORPORATION
549300VSP3RIX7FGDZ51
NEWMONT CORP COMMON STOCK
651639106
-8178.00000000
NS
USD
-554877.30000000
-0.07044457983
Short
EC
US
N
1
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2013-WB BAMLL 2013-WBRK D
05525BAL4
395000.00000000
PA
USD
351131.58000000
0.044577993407
Long
ABS-MBS
US
N
2
2037-03-10
Floating
3.53430000
N
N
N
N
N
N
NISSAN MOTOR CO.,LTD.
353800DRBDH1LUTNAY26
NISSAN MOTOR CO LTD 144A 4.345000% 09/17/2027
654744AC5
1034000.00000000
PA
USD
985368.77000000
0.125097726992
Long
DBT
NUSS
JP
N
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
CNX RESOURCES CORPORATION
549300JK3KH8PWM3B226
CNX RESOURCES CORP COMMON STOCK
12653C108
6733.00000000
NS
USD
146240.76000000
0.018566030532
Long
EC
US
N
1
N
N
N
COHERENT, INC.
549300RYOCKUMWACR010
COHERENT INC COMMON STOCK
192479103
-300.00000000
NS
USD
-81288.00000000
-0.01031993740
Short
EC
US
N
1
N
N
N
N/A
N/A
WHEAT FUTURE(CBT) JUL22 PHYSICAL COMMODITY FUTURE.
N/A
45.00000000
NC
USD
2446875.00000000
0.310643598674
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Wheat
Wheat Future (CBT) Jul 2022
2022-07-17
2460450.66000000
USD
-13575.66000000
N
N
N
CARTER'S, INC.
5299003WAQK4R3L3ZU36
CARTER'S INC COMMON STOCK
146229109
-1594.00000000
NS
USD
-122817.70000000
-0.01559235036
Short
EC
US
N
1
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC -CL B COMMON STOCK
654106103
-44237.00000000
NS
USD
-5257567.45000000
-0.66747572840
Short
EC
US
N
1
N
N
N
WD-40 COMPANY
549300UZHTN0CNKBOB19
WD-40 CO COMMON STOCK
929236107
255.00000000
NS
USD
48141.45000000
0.006111809256
Long
EC
US
N
1
N
N
N
VERINT SYSTEMS INC.
549300KEQJS5FRVUCO94
VERINT SYSTEMS INC COMMON STOCK
92343X100
500.00000000
NS
USD
25520.00000000
0.003239897680
Long
EC
US
N
1
N
N
N
TRONOX HOLDINGS PLC
549300NRVC84SGJSXV06
TRONOX HOLDINGS PLC- A COMMON STOCK
G9087Q102
-2200.00000000
NS
USD
-39622.00000000
-0.00503022045
Short
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 06/23/2022
912796R43
10500000.00000000
PA
USD
10496318.39000000
1.332562602300
Long
DBT
UST
US
N
2
2022-06-23
None
0.00000000
N
N
N
N
N
N
WEST PHARMACEUTICAL SERVICES, INC.
5493007NKRGM1RJQ1P16
WEST PHARMACEUTICAL SERVICES COMMON STOCK
955306105
755.00000000
NS
USD
234336.90000000
0.029750296978
Long
EC
US
N
1
N
N
N
10X Genomics Inc
5493003Z6741WNLG7H43
10X GENOMICS INC-CLASS A COMMON STOCK
88025U109
903.00000000
NS
USD
46224.57000000
0.005868451298
Long
EC
US
N
1
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 1.950000% 01/30/2026
05369AAK7
406000.00000000
PA
USD
362983.22000000
0.046082621187
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
Elastic N.V.
2549003I48WHHH937I59
ELASTIC NV COMMON STOCK
N14506104
300.00000000
NS
USD
18495.00000000
0.002348037132
Long
EC
US
N
1
N
N
N
BECTON, DICKINSON AND COMPANY
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON AND CO COMMON STOCK
075887109
2444.00000000
NS
USD
625175.20000000
0.079369266484
Long
EC
US
N
1
N
N
N
HARDEES FUNDING LLC
N/A
HARDEE'S FUNDING LLC HNGRY 2020-1A A2
411707AH5
262746.10000000
PA
USD
245551.21000000
0.031174012376
Long
ABS-MBS
US
Y
2
2050-12-20
Fixed
3.98100000
N
N
N
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 144A 4.750000% 07/28/2025
00080QAF2
200000.00000000
PA
USD
202344.00000000
0.025688630735
Long
DBT
NUSS
NL
N
2
2025-07-28
Fixed
4.75000000
N
N
N
N
N
N
B&G FOODS, INC.
549300TRW1LZMDJZAQ78
B&G FOODS INC COMMON STOCK
05508R106
971.00000000
NS
USD
21954.31000000
0.002787214657
Long
EC
US
N
1
N
N
N
KEYSIGHT TECHNOLOGIES, INC.
549300GLKVIO8YRCYN02
KEYSIGHT TECHNOLOGIES IN COMMON STOCK
49338L103
-701.00000000
NS
USD
-102065.60000000
-0.01295776256
Short
EC
US
N
1
N
N
N
PHILLIPS EDISON & COMPANY, INC.
549300JPN4YHYPXTJQ85
PHILLIPS EDISON & COMPANY IN REIT
71844V201
3900.00000000
NS
USD
131586.00000000
0.016705531984
Long
EC
US
N
1
N
N
N
COUSINS PROPERTIES INCORPORATED
5493007XPYD5EJABN062
COUSINS PROPERTIES INC REIT
222795502
2324.00000000
NS
USD
80294.20000000
0.010193769293
Long
EC
US
N
1
N
N
N
FORMULA ONE GROUP
549300ZKUTPIBZLWLL89
LIBERTY MEDIA CORP-LIBERTY-C COMMON STOCK
531229854
2871.00000000
NS
USD
178834.59000000
0.022703987986
Long
EC
US
N
1
N
N
N
LAD AUTO RECEIVABLES TRUST
N/A
LAD AUTO RECEIVABLES TRUST 2021-1 LADAR 2021-1A A
501683AA4
452790.71650000
PA
USD
440975.87000000
0.055984196653
Long
ABS-MBS
US
Y
2
2026-08-17
Fixed
1.30000000
N
N
N
N
N
N
BX TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC BX 2019-IMC D
05608BAL4
151698.00000000
PA
USD
146368.82000000
0.018582288420
Long
ABS-MBS
US
N
2
2034-04-15
Floating
2.77499880
N
N
N
N
N
N
Owens & Minor, Inc.
549300LMT5KQQXCEZ733
OWENS & MINOR INC COMMON STOCK
690732102
1100.00000000
NS
USD
38368.00000000
0.004871018582
Long
EC
US
N
1
N
N
N
SERVICENOW, INC.
549300HJTQM36M0E1G39
SERVICENOW INC COMMON STOCK
81762P102
632.00000000
NS
USD
295441.04000000
0.037507787631
Long
EC
US
N
1
N
N
N
ALCOA CORPORATION
549300T12EZ1F6PWWU29
ALCOA CORP COMMON STOCK
013872106
-2300.00000000
NS
USD
-141956.00000000
-0.01802205780
Short
EC
US
N
1
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019- NCMS 2019-MILE A
63875FAA4
346176.00000000
PA
USD
341570.82000000
0.043364204843
Long
ABS-MBS
US
N
2
2036-07-15
Floating
2.37499920
N
N
N
N
N
N
REX AMERICAN RESOURCES CORPORATION
N/A
REX AMERICAN RESOURCES CORP COMMON STOCK
761624105
293.00000000
NS
USD
25458.77000000
0.003232124211
Long
EC
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.250000% 07/10/2023
3135G05G4
1100000.00000000
PA
USD
1076326.57000000
0.136645296165
Long
DBT
USGA
US
N
2
2023-07-10
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
PLATINUM FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
-10.00000000
NC
USD
-484150.00000000
-0.06146537861
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Platinum
PLATINUM FUTURE(Consolidated) Jul 2022
2022-07-30
-494151.07000000
USD
10001.07000000
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R03 CAS 2019-R03 1M2
20753MAF5
16238.45730000
PA
USD
16176.05000000
0.002053634282
Long
ABS-MBS
US
N
2
2031-09-25
Floating
3.15570960
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC COMMON STOCK
11135F101
-2052.00000000
NS
USD
-1190426.76000000
-0.15113091297
Short
EC
US
N
1
N
N
N
PNM RESOURCES, INC.
5493003JOBJGLZSDDQ28
PNM RESOURCES INC COMMON STOCK
69349H107
534.00000000
NS
USD
25381.02000000
0.003222253441
Long
EC
US
N
1
N
N
N
CERIDIAN HCM HOLDING INC.
549300T64GVCHFJ8L449
CERIDIAN HCM HOLDING INC COMMON STOCK
15677J108
500.00000000
NS
USD
28150.00000000
0.003573789957
Long
EC
US
N
1
N
N
N
PATRICK INDUSTRIES, INC.
549300FZ5ZTCCJ3Z5W14
PATRICK INDUSTRIES INC COMMON STOCK
703343103
-900.00000000
NS
USD
-54099.00000000
-0.00686815143
Short
EC
US
N
1
N
N
N
AMEDISYS, INC.
5299001RBS9GK9STN379
AMEDISYS INC COMMON STOCK
023436108
200.00000000
NS
USD
23182.00000000
0.002943076333
Long
EC
US
N
1
N
N
N
TD SYNNEX CORPORATION
5493004HI6PFLF46NS53
TD SYNNEX CORP COMMON STOCK
87162W100
-500.00000000
NS
USD
-51925.00000000
-0.00659215074
Short
EC
US
N
1
N
N
N
MOLINA HEALTHCARE, INC.
549300NQQCEQ46YHZ591
MOLINA HEALTHCARE INC COMMON STOCK
60855R100
574.00000000
NS
USD
166586.28000000
0.021149000872
Long
EC
US
N
1
N
N
N
RPM INTERNATIONAL INC.
549300TJCKW4BRXPJ474
RPM INTERNATIONAL INC COMMON STOCK
749685103
-1807.00000000
NS
USD
-159196.70000000
-0.02021085498
Short
EC
US
N
1
N
N
N
Summer (BC) Holdco B S.a r.l.
984500NRF59D5DB9B654
SUMMER BC HOLDCO B SARL 5.750000% 10/31/2026
N/A
226000.00000000
PA
234200.00000000
0.029732916805
Long
DBT
NUSS
LU
N
2
2026-10-31
Fixed
5.75000000
N
N
N
N
N
N
Qiagen N.V.
54930036WK3GMCN17Z57
QIAGEN N.V. COMMON STOCK
N72482123
2382.00000000
NS
USD
109452.90000000
0.013895619000
Long
EC
US
N
1
N
N
N
N/A
N/A
GOLD 100 OZ FUTR AUG22 PHYSICAL COMMODITY FUTURE.
N/A
33.00000000
NC
USD
6099720.00000000
0.774391406061
N/A
DCO
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Gold
GOLD 100 OZ FUTR Aug 2022
2022-09-01
6130047.81000000
USD
-30327.81000000
N
N
N
HORMEL FOODS CORPORATION
MSD54751OJP1FS2ND863
HORMEL FOODS CORP COMMON STOCK
440452100
6644.00000000
NS
USD
323363.48000000
0.041052687655
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2023
912828VM9
19212400.00000000
PA
USD
24508637.37000000
3.111499897309
Long
DBT
USGA
US
N
2
2023-07-15
Fixed
0.37500000
N
N
N
N
N
N
BELLEMEADE RE LTD.
N/A
BELLEMEADE RE 2018-3 LTD BMIR 2018-3A M1B
07877TAB7
178948.25990000
PA
USD
178138.79000000
0.022615652531
Long
ABS-MBS
BM
N
2
2028-10-25
Floating
2.85571080
N
N
N
N
N
N
BLACK HILLS CORPORATION
3MGELCRSTNSAMJ962671
BLACK HILLS CORP COMMON STOCK
092113109
800.00000000
NS
USD
61328.00000000
0.007785910853
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 04/30/2023
91282CBX8
300000.00000000
PA
USD
294656.25000000
0.037408154430
Long
SN
UST
US
N
2
2023-04-30
Fixed
0.12500000
N
N
N
N
N
N
WORKDAY, INC.
549300J0DYC0N31V7G13
WORKDAY INC 3.800000% 04/01/2032
98138HAJ0
156000.00000000
PA
USD
146694.66000000
0.018623655515
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
N/A
N/A
CRUDE OIL FUT OPT Jul22C 110 SHORT
N/A
-211.00000000
NC
USD
-1557180.00000000
-0.19769215795
N/A
DIR
US
N
1
RBC CAPITAL
N/A
Call
Written
N/A
Call Option 110 Jun 2022 on WTI Crude Oil Future (NYM Consolidated) Jul 2022
-211000.00000000
110.00000000
USD
2022-06-18
XXXX
-868507.44000000
N
N
N
TYSON FOODS, INC.
WD6L6041MNRW1JE49D58
TYSON FOODS INC-CL A COMMON STOCK
902494103
6535.00000000
NS
USD
585601.35000000
0.074345158928
Long
EC
US
N
1
N
N
N
RADNOR RE/ESSENT
N/A
RADNOR RE 2019-1 LTD RMIR 2019-1 M1B
75049SAB9
404447.08120000
PA
USD
403393.82000000
0.051212958540
Long
ABS-MBS
BM
N
2
2029-02-25
Floating
2.95571160
N
N
N
N
N
N
DOMINO'S PIZZA, INC.
25490005ZWM1IF9UXU57
DOMINO'S PIZZA INC COMMON STOCK
25754A201
-835.00000000
NS
USD
-303246.95000000
-0.03849878879
Short
EC
US
N
1
N
N
N
NEXSTAR MEDIA GROUP, INC.
52990083ZRR5UT591988
NEXSTAR MEDIA GROUP INC-CL A COMMON STOCK
65336K103
-646.00000000
NS
USD
-113192.12000000
-0.01437033256
Short
EC
US
N
1
N
N
N
SPIRIT REALTY CAPITAL, INC.
549300LTU6LVPZSHMJ25
SPIRIT REALTY CAPITAL INC REIT
84860W300
1868.00000000
NS
USD
78437.32000000
0.009958028650
Long
EC
US
N
1
N
N
N
TIME WARNER CABLE, LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 4.500000% 09/15/2042
88732JBD9
245000.00000000
PA
USD
204323.80000000
0.025939976715
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
4.50000000
N
N
N
N
N
N
TUPPERWARE BRANDS CORPORATION
G8NWFN4YP7CR6FOP4886
TUPPERWARE BRANDS CORP COMMON STOCK
899896104
-1400.00000000
NS
USD
-9282.00000000
-0.00117839852
Short
EC
US
N
1
N
N
N
EXPRO GROUP HOLDINGS N.V.
724500LJYA8QIT73H017
EXPRO GROUP HOLDINGS NV COMMON STOCK
N3144W105
1766.00000000
NS
USD
24141.22000000
0.003064854337
Long
EC
US
N
1
N
N
N
EOG RESOURCES, INC.
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC COMMON STOCK
26875P101
19728.00000000
NS
USD
2701946.88000000
0.343026309979
Long
EC
US
N
1
N
N
N
MALIBU BOATS, INC.
N/A
MALIBU BOATS INC - A COMMON STOCK
56117J100
-300.00000000
NS
USD
-17580.00000000
-0.00223187308
Short
EC
US
N
1
N
N
N
BRK: MACQUARIE BANK LIMITED
N/A
BRK: MACQUARIE BANK LIMITED REF: MACQUARIE COMMODITY PRODUCT 251E
TX8888105
23247.67690000
NC
USD
-27907.99000000
-0.00354306552
N/A
DE
US
N
2
BRK: MACQUARIE BANK LIMITED
N/A
Y
2022-06-07
0.00000000
USD
0.00000000
USD
-2856999.16000000
USD
-27907.99000000
N
N
N
OKTA, INC.
549300N8J06I8MRHU620
OKTA INC COMMON STOCK
679295105
253.00000000
NS
USD
21011.65000000
0.002667539032
Long
EC
US
N
1
N
N
N
FIRST SOLAR, INC.
549300NPYMLM4NHTOF27
FIRST SOLAR INC COMMON STOCK
336433107
-500.00000000
NS
USD
-35305.00000000
-0.00448215468
Short
EC
US
N
1
N
N
N
NATIONAL RETAIL PROPERTIES, INC.
5493008JKH5SOTI0JS97
NATIONAL RETAIL PROPERTIES REIT
637417106
2895.00000000
NS
USD
128248.50000000
0.016281818876
Long
EC
US
N
1
N
N
N
NATIONAL HEALTH INVESTORS, INC.
549300ZPKZIG6DKDEC02
NATL HEALTH INVESTORS INC REIT
63633D104
759.00000000
NS
USD
44894.85000000
0.005699636379
Long
EC
US
N
1
N
N
N
INTERNATIONAL FLAVORS & FRAGRANCES INC.
BZLRL03D3GPGMOGFO832
INTL FLAVORS & FRAGRANCES COMMON STOCK
459506101
-3097.00000000
NS
USD
-409330.49000000
-0.05196664989
Short
EC
US
N
1
N
N
N
SANTANDER BANK, N.A.
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2022-A B
80290CAS3
899326.00000000
PA
USD
899868.29000000
0.114242993180
Long
ABS-MBS
US
Y
2
2032-05-15
Fixed
5.28100000
N
N
N
N
N
N
N/A
N/A
LME LEAD FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
1.00000000
NC
USD
54590.00000000
0.006930486457
N/A
DCO
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Lead
LME LEAD FUTURE Jul 2022
2022-07-21
57027.46000000
USD
-2437.46000000
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C06 1M2
30711XDS0
134074.37750000
PA
USD
137852.59000000
0.017501108411
Long
DBT
USGA
US
N
2
2029-04-25
Floating
5.25570840
N
N
N
N
N
N
MEDPACE HOLDINGS, INC.
549300H8TYEUVTW14A54
MEDPACE HOLDINGS INC COMMON STOCK
58506Q109
300.00000000
NS
USD
42972.00000000
0.005455520499
Long
EC
US
N
1
N
N
N
FEDERAL FARM CREDIT BANKS FUNDING CORPORATION
254900C5LP6DN9OP9V83
FEDERAL FARM CREDIT BANK VARIABLE RATE 11/06/2023
3133EMGG1
2000000.00000000
PA
USD
2002864.56000000
0.254274147464
Long
DBT
USGA
US
N
2
2023-11-06
Floating
0.91500120
N
N
N
N
N
N
Coterra Energy Inc.
FCNMH6O7VWU7LHXMK351
COTERRA ENERGY INC COMMON STOCK
127097103
28345.00000000
NS
USD
973083.85000000
0.123538092046
Long
EC
US
N
1
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
SYSCO CORP COMMON STOCK
871829107
11577.00000000
NS
USD
974551.86000000
0.123724463605
Long
EC
US
N
1
N
N
N
LyondellBasell Industries N.V.
BN6WCCZ8OVP3ITUUVN49
LYONDELLBASELL INDU-CL A COMMON STOCK
N53745100
-4021.00000000
NS
USD
-459399.25000000
-0.05832314125
Short
EC
US
N
1
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC COMMON STOCK
09857L108
-848.00000000
NS
USD
-1902538.88000000
-0.24153727685
Short
EC
US
N
1
N
N
N
FATE THERAPEUTICS, INC.
549300L14Q4UHOODLA90
FATE THERAPEUTICS INC COMMON STOCK
31189P102
590.00000000
NS
USD
13629.00000000
0.001730272942
Long
EC
US
N
1
N
N
N
ARCONIC CORPORATION
549300B4YFWH3U74B152
ARCONIC CORP COMMON STOCK
03966V107
-1600.00000000
NS
USD
-45008.00000000
-0.00571400136
Short
EC
US
N
1
N
N
N
N/A
N/A
CRUDE OIL OPT IPE Aug22C 120 SHORT
N/A
-43.00000000
NC
USD
-209840.00000000
-0.02664028720
N/A
DIR
GB
N
1
RBC CAPITAL MARKETS LLC
N/A
Call
Written
N/A
Call Option 120 Jun 2022 on BRENT CRUDE OIL(ICE) Aug 2022
-43000.00000000
120.00000000
USD
2022-06-30
XXXX
-24631.26000000
N
N
N
ENA MASTER TRUST
549300CBCHB6Q73VG753
ENA MASTER TRUST 144A 4.000000% 05/19/2048
29249BAA3
269000.00000000
PA
USD
238134.62000000
0.030232437425
Long
DBT
NUSS
PA
N
2
2048-05-19
Fixed
4.00000000
N
N
N
N
N
N
HEALTHCARE REALTY TRUST INCORPORATED
549300CB86LH2IOKHH22
HEALTHCARE REALTY TRUST INC REIT
421946104
2439.00000000
NS
USD
70901.73000000
0.009001346026
Long
EC
US
N
1
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP REIT
03027X100
7264.00000000
NS
USD
1860528.32000000
0.236203816198
Long
EC
US
N
1
N
N
N
SFL CORPORATION LTD.
549300RLYYPSB0C7RH77
SFL CORP LTD COMMON STOCK
G7738W106
5417.00000000
NS
USD
60941.25000000
0.007736810915
Long
EC
US
N
1
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 144A 3.375000% 04/15/2029
87264ACD5
63000.00000000
PA
USD
58361.63000000
0.007409314643
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
PENUMBRA, INC.
549300RGE06P3ECANU72
PENUMBRA INC COMMON STOCK
70975L107
195.00000000
NS
USD
28649.40000000
0.003637191403
Long
EC
US
N
1
N
N
N
VECTOR GROUP LTD.
549300TUIF4WWN6NDN50
VECTOR GROUP LTD COMMON STOCK
92240M108
1419.00000000
NS
USD
17467.89000000
0.002217640137
Long
EC
US
N
1
N
N
N
DICK'S SPORTING GOODS, INC.
529900SSBV5I4LWSK313
DICK'S SPORTING GOODS INC COMMON STOCK
253393102
-500.00000000
NS
USD
-40615.00000000
-0.00515628700
Short
EC
US
N
1
N
N
N
SYNAPTICS INCORPORATED
549300AJ3LI4FWNRQX29
SYNAPTICS INC COMMON STOCK
87157D109
-200.00000000
NS
USD
-29624.00000000
-0.00376092197
Short
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 CAS 2019-R06 2M2
20754JAB0
35903.52240000
PA
USD
35742.93000000
0.004537752195
Long
ABS-MBS
US
N
2
2039-09-25
Floating
3.10570920
N
N
N
N
N
N
Intra-Cellular Therapies Inc
5299002U2KGF193IJA20
INTRA-CELLULAR THERAPIES INC COMMON STOCK
46116X101
1100.00000000
NS
USD
63140.00000000
0.008015953745
Long
EC
US
N
1
N
N
N
O-I GLASS, INC.
N/A
O-I GLASS INC COMMON STOCK
67098H104
-1200.00000000
NS
USD
-19740.00000000
-0.00250609640
Short
EC
US
N
1
N
N
N
BRK: MORGAN STANLEY
N/A
BRK: MORGAN STANLEY PAY: 2.631%
N/A
1300000.00000000
NC
USD
53067.75000000
0.006737228846
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY
N/A
Y
2035-11-10
0.00000000
USD
0.00000000
USD
-1300000.00000000
USD
53067.75000000
N
N
N
INTERNATIONAL PAPER COMPANY
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO COMMON STOCK
460146103
-4258.00000000
NS
USD
-206300.10000000
-0.02619087835
Short
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C05 2M2
30711XDK7
386310.81580000
PA
USD
397946.61000000
0.050521406696
Long
DBT
USGA
US
N
2
2029-01-25
Floating
5.45571000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORPORATION
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP COMMON STOCK
165167735
2700.00000000
NS
USD
262926.00000000
0.033379832980
Long
EC
US
N
1
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 CAS 2021-R03 1M2
20754AAB9
303954.00000000
PA
USD
283160.96000000
0.035948767149
Long
ABS-MBS
US
Y
2
2041-12-25
Floating
2.23445880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2027
9128282L3
17351200.00000000
PA
USD
20941811.01000000
2.658672606860
Long
DBT
USGA
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
CHEMED CORPORATION
54930020031IDJT2IM79
CHEMED CORP COMMON STOCK
16359R103
127.00000000
NS
USD
61518.80000000
0.007810133912
Long
EC
US
N
1
N
N
N
OMEGA HEALTHCARE INVESTORS, INC.
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS REIT
681936100
3539.00000000
NS
USD
105356.03000000
0.013375499893
Long
EC
US
N
1
N
N
N
N/A
N/A
Credit Default Swap
CDS858152
-28754.58500000
NC
USD
-6619.98000000
-0.00084044113
N/A
DCR
XX
N
2
BRK: CITIGROUP
N/A
Y
2063-05-11
0.00000000
USD
-3555.60000000
USD
-28754.58500000
USD
-3064.38000000
N
N
N
INGREDION INCORPORATED
PKSTQ48QDN0XSVS7YK88
INGREDION INC COMMON STOCK
457187102
1568.00000000
NS
USD
148473.92000000
0.018849541892
Long
EC
US
N
1
N
N
N
THE MACERICH COMPANY
529900PSWCB5KI0JYU46
MACERICH CO/THE REIT
554382101
3603.00000000
NS
USD
42335.25000000
0.005374681751
Long
EC
US
N
1
N
N
N
WALGREENS BOOTS ALLIANCE, INC.
549300RPTUOIXG4LIH86
WALGREENS BOOTS ALLIANCE INC COMMON STOCK
931427108
16912.00000000
NS
USD
741252.96000000
0.094105946165
Long
EC
US
N
1
N
N
N
THE HAIN CELESTIAL GROUP, INC.
5493000S8QXWHLIXDP75
HAIN CELESTIAL GROUP INC COMMON STOCK
405217100
2027.00000000
NS
USD
53411.45000000
0.006780863361
Long
EC
US
N
1
N
N
N
TENNECO INC.
549300U0EXXFAQFAD785
TENNECO INC-CLASS A COMMON STOCK
880349105
-4974.00000000
NS
USD
-86099.94000000
-0.01093083839
Short
EC
US
N
1
N
N
N
N/A
N/A
BRK: HSBC SECURITIES NEW YORK AMT: 3,125,000.00
N/A
-3125000.00000000
PA
USD
-3125000.00000000
-0.39673511963
Short
RA
US
N
2
Reverse repurchase
N
0.83000000
2050-12-31
2500000.00000000
USD
3154530.41000000
USD
UST
N
N
N
BRUKER CORPORATION
LEBZ6VLQ6I8XB1NHVY15
BRUKER CORP COMMON STOCK
116794108
976.00000000
NS
USD
60980.48000000
0.007741791369
Long
EC
US
N
1
N
N
N
AMPHENOL CORPORATION
549300D3L3G0R4U4VT04
AMPHENOL CORP-CL A COMMON STOCK
032095101
-2312.00000000
NS
USD
-163828.32000000
-0.02079886340
Short
EC
US
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-07-21
N/A
1.00000000
NC
USD
-5110.64000000
-0.00064882251
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
2038308.86000000
CAD
1606139.71000000
USD
2022-07-21
-5110.64000000
N
N
N
AMEREN CORPORATION
XRZQ5S7HYJFPHJ78L959
AMEREN CORPORATION COMMON STOCK
023608102
2435.00000000
NS
USD
231787.65000000
0.029426656336
Long
EC
US
N
1
N
N
N
SHAKE SHACK INC.
529900J74GJAHYP80N79
SHAKE SHACK INC - CLASS A COMMON STOCK
819047101
-400.00000000
NS
USD
-19460.00000000
-0.00247054893
Short
EC
US
N
1
N
N
N
DAVE & BUSTER'S ENTERTAINMENT, INC.
529900WTVU85QZLYHR86
DAVE & BUSTER'S ENTERTAINMEN COMMON STOCK
238337109
-1000.00000000
NS
USD
-37890.00000000
-0.00481033397
Short
EC
US
N
1
N
N
N
BELLEMEADE RE LTD.
N/A
BELLEMEADE RE 2019-3 LTD BMIR 2019-3A M1C
07877GAC3
366000.00000000
PA
USD
358515.70000000
0.045515446121
Long
ABS-MBS
BM
N
2
2029-07-25
Floating
2.95571160
N
N
N
N
N
N
EXPEDIA GROUP, INC.
N/A
EXPEDIA GROUP INC 144A 6.250000% 05/01/2025
30212PAS4
24000.00000000
PA
USD
25066.91000000
0.003182375532
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
PAYLOCITY HOLDING CORPORATION
549300VH75FTB4DIEE07
PAYLOCITY HOLDING CORP COMMON STOCK
70438V106
200.00000000
NS
USD
34972.00000000
0.004439878593
Long
EC
US
N
1
N
N
N
ALBEMARLE CORPORATION
HDBLS2Q6GV1LSKQPBS54
ALBEMARLE CORP COMMON STOCK
012653101
-1158.00000000
NS
USD
-301566.36000000
-0.03828542909
Short
EC
US
N
1
N
N
N
MERCADOLIBRE INC
549300DKPDN9M5S8GB14
MERCADOLIBRE INC 2.375000% 01/14/2026
58733RAE2
200000.00000000
PA
USD
181752.00000000
0.023074368468
Long
DBT
CORP
BR
N
2
2026-01-14
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-07-21
N/A
1.00000000
NC
USD
-181742.77000000
-0.02307319667
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
51734521.46000000
CNY
7567066.68000000
USD
2022-07-21
-181742.77000000
N
N
N
N/A
N/A
BRK: HSBC SECURITIES NEW YORK AMT: 7,418,125.00
N/A
-7418125.00000000
PA
USD
-7418125.00000000
-0.94176982699
Short
RA
US
N
2
Reverse repurchase
N
0.83000000
2050-12-31
6500000.00000000
USD
7502555.47000000
USD
UST
N
N
N
TANDEM DIABETES CARE, INC.
549300JEPFOD0K4D3I05
TANDEM DIABETES CARE INC COMMON STOCK
875372203
400.00000000
NS
USD
27268.00000000
0.003461815437
Long
EC
US
N
1
N
N
N
VERIS RESIDENTIAL, INC.
N/A
VERIS RESIDENTIAL INC REIT
554489104
2576.00000000
NS
USD
41447.84000000
0.005262020403
Long
EC
US
N
1
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 4.000000% MATURITY: PERPETUAL
808513BK0
583000.00000000
PA
USD
527369.07000000
0.066952265945
Long
DBT
CORP
US
N
2
2171-06-01
Fixed
4.00000000
N
N
N
N
N
N
AVISTA CORPORATION
Q0IK63NITJD6RJ47SW96
AVISTA CORP COMMON STOCK
05379B107
1100.00000000
NS
USD
47784.00000000
0.006066429106
Long
EC
US
N
1
N
N
N
ONEOK PARTNERS, L.P.
T4DHW82NMF6BXJT50795
ONEOK PARTNERS LP 6.125000% 02/01/2041
68268NAG8
54000.00000000
PA
USD
54309.44000000
0.006894867896
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.12500000
N
N
N
N
N
N
ZOOM VIDEO COMMUNICATIONS, INC.
549300T9GCHU0ODOM055
ZOOM VIDEO COMMUNICATIONS-A COMMON STOCK
98980L101
462.00000000
NS
USD
49641.90000000
0.006302299243
Long
EC
US
N
1
N
N
N
AMPHASTAR PHARMACEUTICALS INC
54930055TH0ZLSAQMJ38
AMPHASTAR PHARMACEUTICALS IN COMMON STOCK
03209R103
1407.00000000
NS
USD
52255.98000000
0.006634170392
Long
EC
US
N
1
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 2.615000% 04/22/2032
38141GYB4
688000.00000000
PA
USD
592837.92000000
0.075263879397
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.61500000
N
N
N
N
N
N
HP INC.
WHKXQACZ14C5XRO8LW03
HP INC COMMON STOCK
40434L105
-4399.00000000
NS
USD
-170857.16000000
-0.02169121146
Short
EC
US
N
1
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP COMMON STOCK
674599105
29922.00000000
NS
USD
2073893.82000000
0.263291684092
Long
EC
US
N
1
N
N
N
MURPHY USA INC.
549300Y081F8XIKQIO72
MURPHY USA INC COMMON STOCK
626755102
-300.00000000
NS
USD
-74736.00000000
-0.00948812668
Short
EC
US
N
1
N
N
N
FMC CORPORATION
CKDHZ2X64EEBQCSP7013
FMC CORP COMMON STOCK
302491303
-1621.00000000
NS
USD
-198702.18000000
-0.02522628260
Short
EC
US
N
1
N
N
N
ENBRIDGE ENERGY PARTNERS, L.P.
CZ6VG2MNE1J6YDI02G48
ENBRIDGE ENERGY PARTNERS LP 7.375000% 10/15/2045
29250RAX4
587000.00000000
PA
USD
736878.28000000
0.093550557623
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
7.37500000
N
N
N
N
N
N
EMPIRE STATE REALTY TRUST, INC.
549300VOKY1DUEQSB456
EMPIRE STATE REALTY TRUST-A REIT
292104106
4209.00000000
NS
USD
33672.00000000
0.004274836783
Long
EC
US
N
1
N
N
N
NISOURCE INC.
549300D8GOWWH0SJB189
NISOURCE INC COMMON STOCK
65473P105
3419.00000000
NS
USD
107527.55000000
0.013651185732
Long
EC
US
N
1
N
N
N
Dorian LPG Ltd.
549300WP1W2WGMC7F395
DORIAN LPG LTD COMMON STOCK
Y2106R110
3100.00000000
NS
USD
52700.00000000
0.006690541057
Long
EC
US
N
1
N
N
N
N/A
N/A
LEAN HOGS FUTURE JUL22 PHYSICAL COMMODITY FUTURE.
N/A
7.00000000
NC
USD
302400.00000000
0.038391264056
N/A
DCO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Hogs
LEAN HOGS FUTURE(Consolidated) Jul 2022
2022-07-18
306811.36000000
USD
-4411.36000000
N
N
N
THE BEAUTY HEALTH COMPANY
5493001Z2JZQT4C63C50
BEAUTY HEALTH CO/THE COMMON STOCK
88331L108
2600.00000000
NS
USD
37102.00000000
0.004710293250
Long
EC
US
N
1
N
N
N
CITRIX SYSTEMS, INC.
HCTKJGUQOPZ5NBK7NP58
CITRIX SYSTEMS INC COMMON STOCK
177376100
200.00000000
NS
USD
20138.00000000
0.002556624588
Long
EC
US
N
1
N
N
N
BROWN-FORMAN CORPORATION
549300873K3LXF7ARU34
BROWN-FORMAN CORP-CLASS A COMMON STOCK
115637100
927.00000000
NS
USD
58521.51000000
0.007429612246
Long
EC
US
N
1
N
N
N
CABLE ONE, INC.
549300648QS85T0XSH18
CABLE ONE INC COMMON STOCK
12685J105
-81.00000000
NS
USD
-105551.10000000
-0.01340026505
Short
EC
US
N
1
N
N
N
BRK: MERRILL LYNCH
N/A
BRK: MERRILL LYNCH REF: BLOOMBERG COMMODITY INDEX TOTAL RETURN
N/A
44106.47730000
NC
USD
-21865.93000000
-0.00277599435
N/A
DE
US
N
2
BRK: MERRILL LYNCH
N/A
Y
2022-06-22
0.00000000
USD
0.00000000
USD
-12422282.94000000
USD
-21865.93000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 06/16/2022
912796J42
4000000.00000000
PA
USD
3999027.08000000
0.507697435843
Long
DBT
UST
US
N
2
2022-06-16
None
0.00000000
N
N
N
N
N
N
ACUSHNET HOLDINGS CORP.
529900W5FI106H543E43
ACUSHNET HOLDINGS CORP COMMON STOCK
005098108
-1800.00000000
NS
USD
-73260.00000000
-0.00930074075
Short
EC
US
N
1
N
N
N
GS MORTGAGE SECURITIES CORP.
N/A
GS MORTGAGE SECURITIES TRUST 2021-1 AS
36246LAE1
23023.51720000
PA
USD
21106.63000000
0.002679597241
Long
DBT
USGA
US
N
2
2026-08-17
Fixed
2.63770000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC COMMON STOCK
037833100
-37828.00000000
NS
USD
-5630319.52000000
-0.71479855627
Short
EC
US
N
1
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 4.300000% 12/15/2042
00206RBH4
200000.00000000
PA
USD
186738.16000000
0.023707387599
Long
DBT
CORP
US
N
2
2042-12-15
Fixed
4.30000000
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP 5.100000% MATURITY: PERPETUAL
89832QAF6
792000.00000000
PA
USD
764052.05000000
0.097000410068
Long
DBT
CORP
US
N
2
2171-03-01
Fixed
5.10000000
N
N
N
N
N
N
PREMIER, INC.
N/A
PREMIER INC-CLASS A COMMON STOCK
74051N102
500.00000000
NS
USD
18705.00000000
0.002374697732
Long
EC
US
N
1
N
N
N
AUTOZONE, INC.
GA3JGKJ41LJKXDN23E90
AUTOZONE INC COMMON STOCK
053332102
-251.00000000
NS
USD
-516972.15000000
-0.06563232248
Short
EC
US
N
1
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-SFS MORTGAGE TRUST COMM 2013-SFS A1
12625EAA7
173826.40730000
PA
USD
172350.57000000
0.021880807682
Long
ABS-MBS
US
N
2
2035-04-12
Fixed
1.87260000
N
N
N
N
N
N
MEDIFAST, INC.
5299000YHQJ21T5KKI80
MEDIFAST INC COMMON STOCK
58470H101
246.00000000
NS
USD
41020.50000000
0.005207767352
Long
EC
US
N
1
N
N
N
DENTSPLY SIRONA INC.
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA INC COMMON STOCK
24906P109
1674.00000000
NS
USD
66223.44000000
0.008407412605
Long
EC
US
N
1
N
N
N
EVERI HOLDINGS INC.
5299006DK5S7BG10K532
EVERI HOLDINGS INC COMMON STOCK
30034T103
-1800.00000000
NS
USD
-32220.00000000
-0.00409049777
Short
EC
US
N
1
N
N
N
SYNEOS HEALTH, INC.
549300F1ZGKDS8P6GU13
SYNEOS HEALTH INC COMMON STOCK
87166B102
1027.00000000
NS
USD
75885.03000000
0.009634002065
Long
EC
US
N
1
N
N
N
2022-05-31
SEI INSTITUTIONAL INVESTMENTS TRUST
Peter Rodriguez
Peter Rodriguez
CFO