NPORT-P false 0000804239 XXXXXXXX S000035781 C000147405 C000109626 SEI INSTITUTIONAL MANAGED TRUST 811-04878 0000804239 9FTE3UO0Y1HGMNV0D371 2 OLIVER STREET BOSTON 02109 8003455734 SIMT Multi-Asset Inflation Managed Fund S000035781 VR4A14E2HCR37V0WEJ03 2020-09-30 2019-12-31 N 1214536411.89 346091477.37 868444934.52 0 163519632.92 0 0 0 0 0 0 0 0 0 0 0 112473820.04 USD N N/A N/A CDS850393 -731000.00000000 NC USD -37349.26000000 -0.00430070560 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -81770.56 USD -731000 USD 44421.3 N N N FOX FACTORY HOLDING CORP. 529900GE1HSV0617R721 35138V102 -3322.00000000 NS USD -231111.54000000 -0.02661211215 Short EC US N 1 N N N N/A N/A CDS858877 -52000.00000000 NC USD -307.72000000 -0.00003543344 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -6692.41 USD -52000 USD 6384.69 N N N United States of America 254900HROIFWPRGM1V77 9128287G9 4000000.00000000 PA USD 4001711.80000000 0.460790505066 Long SN UST US N 2 2021-07-31 Floating 1.74586320 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620M106 2906.00000000 NS USD 404195.54000000 0.046542448914 Long EC US N 1 N N N ALPHABET INC. 5493006MHB84DD0ZWV18 02079K107 1626.00000000 NS USD 2173994.52000000 0.250331878693 Long EC US N 1 N N N PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED PUSS41EMO3E6XXNV3U28 744573106 5537.00000000 NS USD 326959.85000000 0.037648886763 Long EC US N 1 N N N COMM MORTGAGE TRUST N/A 12625EAA7 175725.85850000 PA USD 174836.53000000 0.020132137692 Long ABS-MBS US N 2 2035-04-12 Fixed 1.87260000 N N N N N N THE GOODYEAR TIRE & RUBBER COMPANY 5493002BI0S2ZQUY3437 382550101 -18271.00000000 NS USD -284205.41000000 -0.03272578360 Short EC US N 1 N N N HARLEY-DAVIDSON, INC. ZDNAWZWXIKMWI51R2A08 412822108 -13618.00000000 NS USD -506453.42000000 -0.05831727492 Short EC US N 1 N N N CSAIL COMMERCIAL MORTGAGE TRUST N/A 12634NAT5 435774.00000000 PA USD 455590.17000000 0.052460455682 Long ABS-MBS US N 2 2057-06-15 Fixed 3.50400000 N N N N N N Garmin Ltd. 2549001E0HIPIJQ0W046 H2906T109 -6422.00000000 NS USD -626530.32000000 -0.07214393165 Short EC CH N 1 N N N N/A N/A CDS737900 -329000.00000000 NC USD -16809.72000000 -0.00193561149 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -44744.21 USD -329000 USD 27934.49 N N N CYPRESS SEMICONDUCTOR CORPORATION 549300T2071OM26ZSE13 232806109 -2300.00000000 NS USD -53659.00000000 -0.00617874523 Short EC US N 1 N N N YETI HOLDINGS, INC. 549300DSQICIGNT5GO63 98585X104 -500.00000000 NS USD -17390.00000000 -0.00200242978 Short EC US N 1 N N N N/A N/A N/A 35.00000000 NC USD 1583750.00000000 0.182366196985 N/A DCO GB N 1 MORGAN STANLEY & CO, INC N/A Long Aluminum LME ALUM HG FUTUR Mar 2020 2020-03-16 1539615.5 USD 44134.5 N N N HILTON WORLDWIDE HOLDINGS INC. 549300HVGPK36ICB0B89 43300A203 -7265.00000000 NS USD -805761.15000000 -0.09278206573 Short EC US N 1 N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122157 8207.00000000 NS USD 24703.07000000 0.002844517714 Long EC US N 1 N N N Beyond Meat Inc 549300XQ946NCE51DR09 08862E109 300.00000000 NS USD 22680.00000000 0.002611564544 Long EC US N 1 N N N Freddie Mac N/A 3137G0MD8 635000.00000000 PA USD 667373.06000000 0.076846905713 Long DBT USGA US N 2 2029-07-25 Floating 5.04200160 N N N N N N WELLTOWER INC. T6IZ0MBEG5ACZDTR7D06 42217KBF2 550000.00000000 PA USD 592165.26000000 0.068186851746 Long DBT CORP US N 2 2025-06-01 Fixed 4.00000000 N N N N N N Enel Chile S.A. 549300YM5CWCAUVOPB53 29278DAA3 650000.00000000 PA USD 718250.00000000 0.082705301332 Long DBT NUSS CL N 2 2028-06-12 Fixed 4.87500000 N N N N N N LIBERTY LATIN AMERICA LTD. 213800YWQHEAX7CAVO83 G9001E128 -2600.00000000 NS USD -50596.00000000 -0.00582604584 Short EC BM N 1 N N N GOLAR LNG LIMITED 213800C2VSFZG3EZLO34 G9456A100 4877.00000000 NS USD 69350.94000000 0.007985646210 Long EC BM N 1 N N N CHARTER COMMUNICATIONS, INC. 0J0XRGZE3PBRFEZ7MV65 16119P108 -1760.00000000 NS USD -853740.80000000 -0.09830684319 Short EC US N 1 N N N CHESAPEAKE ENERGY CORPORATION X2MT1W32SPAZ9WSKLE78 165167107 67222.00000000 NS USD 55498.48000000 0.006390558317 Long EC US N 1 N N N ARCHER-DANIELS-MIDLAND COMPANY 549300LO13MQ9HYSTR83 039483102 17479.00000000 NS USD 810151.65000000 0.093287624557 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XBB9 595172.27260000 PA USD 647850.26000000 0.074598887534 Long DBT USGA US N 2 2025-07-25 Floating 6.79200120 N N N N N N UBS COMMERCIAL MORTGAGE TRUST N/A 90276FAW4 1155000.00000000 PA USD 1298327.76000000 0.149500297415 Long ABS-MBS US N 2 2051-05-15 Fixed 4.31340000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135B101 4386.00000000 NS USD 275747.82000000 0.031751906083 Long EC US N 1 N N N QUAKER CHEMICAL CORPORATION 549300PJQ1R3WCWCPS54 747316107 -200.00000000 NS USD -32904.00000000 -0.00378884126 Short EC US N 1 N N N HENRY SCHEIN, INC. VGO3WGL8H45T73F4RR92 806407102 2103.00000000 NS USD 140312.16000000 0.016156713502 Long EC US N 1 N N N EASTMAN CHEMICAL COMPANY FDPVHDGJ1IQZFK9KH630 277432AR1 318000.00000000 PA USD 335484.18000000 0.038630449285 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N APPLE INC. HWUPKR0MPOU8FGXBT394 037833100 -22627.00000000 NS USD -6644418.55000000 -0.76509382298 Short EC US N 1 N N N GENTEX CORPORATION 549300S3UD8XV1MN0287 371901109 -22161.00000000 NS USD -642225.78000000 -0.07395123795 Short EC US N 1 N N N COGNIZANT TECHNOLOGY SOLUTIONS CORPORATION 5493006IEVQEFQO40L83 192446102 2445.00000000 NS USD 151638.90000000 0.017460968908 Long EC US N 1 N N N N/A N/A CDS878196 -16000.00000000 NC USD -817.49000000 -0.00009413262 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -1433.01 USD -16000 USD 615.52 N N N ING Bank N.V. 3TK20IVIUJ8J3ZU0QE75 449786AY8 1092000.00000000 PA USD 1212050.94000000 0.139565664076 Long DBT NUSS NL Y 2 2023-09-25 Fixed 5.80000000 N N N N N N CINEMARK HOLDINGS, INC. N/A 17243V102 2200.00000000 NS USD 74470.00000000 0.008575097515 Long EC US N 1 N N N N/A N/A N/A -42.00000000 NC USD -2567250.00000000 -0.29561459776 N/A DCO GB N 1 MORGAN STANLEY & CO, INC N/A Short Gasoil GAS OIL FUT (ICE) Mar 2020 2020-03-15 -2545796.68 USD -21453.32 N N N CORESITE REALTY CORPORATION 549300H0YYORITFM2B74 21870Q105 886.00000000 NS USD 99338.32000000 0.011438643493 Long EC US N 1 N N N CHEVRON CORPORATION N/A 166764100 94194.00000000 NS USD 11351318.94000000 1.307085629588 Long EC US N 1 N N N N/A N/A CDS878197 -32000.00000000 NC USD -1634.99000000 -0.00018826639 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -2919.14 USD -32000 USD 1284.15 N N N CORECIVIC, INC. 529900JFA3K6PTLT8B15 21871N101 3867.00000000 NS USD 67208.46000000 0.007738943176 Long EC US N 1 N N N JACK IN THE BOX INC. 5493002OJW26P0SUUP68 466367109 -613.00000000 NS USD -47832.39000000 -0.00550782071 Short EC US N 1 N N N United States of America N/A N/A -6.00000000 NC USD -1089937.50000000 -0.12550450312 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Mar 2020 2020-03-20 -1119334.87 USD 29397.37 N N N FLAGSHIP CREDIT AUTO TRUST N/A 33844PAC9 925000.00000000 PA USD 939715.09000000 0.108206640703 Long ABS-MBS US N 2 2024-12-16 Fixed 3.59000000 N N N N N N YUM! BRANDS, INC. 549300JE8XHZZ7OHN517 988498101 -7987.00000000 NS USD -804530.51000000 -0.09264035956 Short EC US N 1 N N N THE PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 73329.00000000 NS USD 9158792.10000000 1.054619784852 Long EC US N 1 N N N UBS COMMERCIAL MORTGAGE TRUST N/A 90291JAW7 1410000.00000000 PA USD 1561773.81000000 0.179835675000 Long ABS-MBS US N 2 2051-03-15 Fixed 4.11700000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST N/A 30167EAB1 920000.00000000 PA USD 923681.01000000 0.106360342870 Long ABS-MBS US N 2 2023-08-15 Fixed 2.58000000 N N N N N N NABORS INDUSTRIES LTD. N/A G6359F103 20551.00000000 NS USD 59186.88000000 0.006815271486 Long EC BM N 1 N N N DIGITAL REALTY TRUST, INC. 549300HKCZ31D08NEI41 253868103 4002.00000000 NS USD 479199.48000000 0.055179028738 Long EC US N 1 N N N UNIVERSAL HEALTH SERVICES, INC. 549300YGMGQDO0NMJD09 913903100 898.00000000 NS USD 128827.08000000 0.014834225508 Long EC US N 1 N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAS0 167000.00000000 PA USD 175575.45000000 0.020217223110 Long DBT CORP US Y 2 2029-12-15 Fixed 4.62500000 N N N N N N Federal National Mortgage Association N/A 3135G0V67 4500000.00000000 PA USD 4500619.83000000 0.518238940789 Long DBT USGA US N 2 2020-10-30 Floating 2.62500120 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133EKMB9 2800000.00000000 PA USD 2806651.01000000 0.323181228704 Long DBT USGA US N 2 2022-05-20 Floating 2.44000080 N N N N N N N/A N/A CDS850836 -731000.00000000 NC USD -37349.26000000 -0.00430070560 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -80174.76 USD -731000 USD 42825.5 N N N OLLIE'S BARGAIN OUTLET HOLDINGS, INC. 529900YO5DSQCPEFDZ05 681116109 -700.00000000 NS USD -45717.00000000 -0.00526423704 Short EC US N 1 N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585A102 32671.00000000 NS USD 1968427.75000000 0.226661204614 Long EC US N 1 N N N N/A N/A N/A 133.00000000 NC USD 2774646.00000000 0.319495904657 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Soybean Oil Soybean Oil Future Mar 2020 2020-03-13 2532054.15 USD 242591.85 N N N Hasbro, Inc. 549300NUB6D2R1ITYR45 418056107 -4896.00000000 NS USD -517066.56000000 -0.05953936046 Short EC US N 1 N N N LINDE PUBLIC LIMITED COMPANY 8945002PAZHZLBGKGF02 G5494J103 -8117.00000000 NS USD -1728109.30000000 -0.19898893197 Short EC IE N 1 N N N TRACTOR SUPPLY COMPANY 549300OJ9VZHZRO6I137 892356106 -1329.00000000 NS USD -124181.76000000 -0.01429932458 Short EC US N 1 N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161N101 10262.00000000 NS USD 467844.58000000 0.053871530756 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 1075000.00000000 NC USD -48464.27000000 -0.00558058065 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2027-07-12 0 USD 0 USD -1075000 USD -48464.27 N N N N/A N/A N/A 47.00000000 NC USD 1313062.50000000 0.151196978392 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Wheat Wheat Future (CBT) Mar 2020 2020-03-16 1289364.15 USD 23698.35 N N N Freddie Mac N/A 3137G0JU4 373228.47200000 PA USD 401922.58000000 0.046280721324 Long DBT USGA US N 2 2028-10-25 Floating 6.44199840 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133EKHW9 4700000.00000000 PA USD 4692467.36000000 0.540329867039 Long DBT USGA US N 2 2022-04-22 Floating 2.61000000 N N N N N N SCORPIO TANKERS INC. 549300NVJUH16NXG8K87 Y7542C130 1888.70000000 NS USD 74301.46000000 0.008555690412 Long EC MH N 1 N N N TIME WARNER CABLE, LLC 549300U5NFR7S6E3GM41 88732JBD9 330000.00000000 PA USD 337384.91000000 0.038849315205 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N SUMMIT HOTEL PROPERTIES, INC. N/A 866082100 5100.00000000 NS USD 62934.00000000 0.007246746166 Long EC US N 1 N N N AMERICAN ASSETS TRUST, INC. N/A 024013104 1635.00000000 NS USD 75046.50000000 0.008641480538 Long EC US N 1 N N N INTEGRA LIFESCIENCES HOLDINGS CORPORATION WB7IJCYY8YFTENS4O147 457985208 628.00000000 NS USD 36599.84000000 0.004214411132 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -53541.35000000 -0.00616519803 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 4747223.10000000 EUR 5280385.63000000 USD 2020-01-16 -53541.35 N N N Carnival Corporation F1OF2ZSX47CR0BCWA982 143658300 -11171.00000000 NS USD -567821.93000000 -0.06538375749 Short EC PA N 1 N N N BRK: MORGAN STANLEY N/A N/A 7800000.00000000 NC USD -111957.70000000 -0.01289174426 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2021-04-02 0 USD 0 USD -7800000 USD -111957.7 N N N N/A N/A CDS947777 -15000.00000000 NC USD -1698.62000000 -0.00019559328 N/A DCR XX N 2 BRK: CITIGROUP GLOBAL MARKETS INC N/A Y 2063-05-11 0 USD -2407.8 USD -15000 USD 709.18 N N N NORDSTROM, INC. 549300S3IZB5P35KNV16 655664100 -1200.00000000 NS USD -49116.00000000 -0.00565562628 Short EC US N 1 N N N CARVANA CO. 5493003WEAK2PJ5WS063 146869102 -800.00000000 NS USD -73640.00000000 -0.00847952438 Short EC US N 1 N N N SOFI CONSUMER LOAN PROGRAM LLC N/A 83405PAA9 123776.21520000 PA USD 124260.30000000 0.014308368332 Long ABS-MBS US N 2 2026-02-25 Fixed 3.28000000 N N N N N N FORTINET, INC. 549300O0QJWDBAS0QX03 34959E109 750.00000000 NS USD 80070.00000000 0.009219928266 Long EC US N 1 N N N Evergy, Inc. 549300PGTHDQY6PSUI61 30034W106 3301.00000000 NS USD 214862.09000000 0.024741014825 Long EC US N 1 N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133EK5T9 3500000.00000000 PA USD 3501547.70000000 0.403197434957 Long DBT USGA US N 2 2021-11-05 Floating 1.83363120 N N N N N N RANGE RESOURCES CORPORATION H3Y3WLYCX0BTO1TRW162 75281A109 9059.00000000 NS USD 43936.15000000 0.005059175113 Long EC US N 1 N N N PMT CREDIT RISK TRANSFER TRUST N/A 73021CAA3 285622.08550000 PA USD 285361.83000000 0.032858943458 Long ABS-MBS US N 2 2024-03-27 Floating 4.13949960 N N N N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484101 1050.00000000 NS USD 94426.50000000 0.010873055532 Long EC US N 1 N N N Ingles Markets, Incorporated 549300XH5RYBMYP8TF26 457030104 1453.00000000 NS USD 69032.03000000 0.007948924250 Long EC US N 1 N N N SKECHERS U.S.A., INC. 529900D2R54KZPA4XR56 830566105 -5508.00000000 NS USD -237890.52000000 -0.02739270050 Short EC US N 1 N N N METTLER-TOLEDO INTERNATIONAL INC. 5493000BD5GJNUDIUG10 592688105 340.00000000 NS USD 269715.20000000 0.031057259853 Long EC US N 1 N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057302 -600.00000000 NS USD -26820.00000000 -0.00308827870 Short EC US N 1 N N N GUIDEWIRE SOFTWARE, INC. 549300WXSG0J8IXZCK32 40171V100 400.00000000 NS USD 43908.00000000 0.005055933687 Long EC US N 1 N N N THE TRADE DESK, INC. 549300GXPD31VT3E0P46 88339J105 190.00000000 NS USD 49358.20000000 0.005683515216 Long EC US N 1 N N N Freddie Mac N/A 35565CAA4 675000.00000000 PA USD 675107.60000000 0.077737525220 Long DBT USGA US N 2 2049-11-25 Floating 2.56200120 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 33535.68000000 0.003861578168 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 975000000.00000000 JPY 9022030.41000000 USD 2020-01-30 33535.68 N N N DOLBY LABORATORIES, INC. 549300X04FB2QPCJ5J24 25659T107 -984.00000000 NS USD -67699.20000000 -0.00779545107 Short EC US N 1 N N N SEAWORLD ENTERTAINMENT, INC. 529900G0H4NV3IIK3269 81282V100 -1700.00000000 NS USD -53907.00000000 -0.00620730202 Short EC US N 1 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 4695000.00000000 PA 1169015.40000000 0.134610192717 Long DBT NUSS MY N 2 2022-03-10 Fixed 3.88200000 N N N N N N NATIONAL HEALTHCARE CORPORATION N/A 635906100 900.00000000 NS USD 77787.00000000 0.008957044587 Long EC US N 1 N N N Federal National Mortgage Association N/A 3136ATV27 2108408.22500000 PA USD 392221.91000000 0.045163705194 Long DBT USGA US N 2 2046-10-25 Floating 4.17724920 N N N N N N SALESFORCE.COM, INC. RCGZFPDMRW58VJ54VR07 79466L302 3429.00000000 NS USD 557692.56000000 0.064217377271 Long EC US N 1 N N N CHATHAM LODGING TRUST N/A 16208T102 3100.00000000 NS USD 56854.00000000 0.006546644207 Long EC US N 1 N N N Teladoc Health, Inc. 549300I2PVFBC9MFAC61 87918A105 1000.00000000 NS USD 83720.00000000 0.009640219739 Long EC US N 1 N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133EK6V3 2500000.00000000 PA USD 2498583.50000000 0.287707763691 Long DBT USGA US N 2 2022-11-07 Floating 1.87999920 N N N N N N N/A N/A N/A 14.00000000 NC USD 434.00000000 0.000049974383 N/A DIR XX N 1 MARKET AXESS N/A Call Purchased N/A Call Option 2375 Jan 2020 on LME ZINC FUTURE Jan 2020 350.00000000 375 USD 2020-01-05 XXXX -6860.7 N N N Mylan N.V. 549300A0CD4KNFGIIS89 N59465109 6687.00000000 NS USD 134408.70000000 0.015476939833 Long EC NL N 1 N N N PEBBLEBROOK HOTEL TRUST 5493004Q1NNH6JXCSI52 70509V100 2576.58320000 NS USD 69078.20000000 0.007954240649 Long EC US N 1 N N N CIENA CORPORATION W0CZ7N0GH8UIGXDM1H41 171779309 -900.00000000 NS USD -38421.00000000 -0.00442411469 Short EC US N 1 N N N Hertz Vehicle Financing II LP 549300FPK70TCB78NG05 42806DCD9 535000.00000000 PA USD 548956.87000000 0.063211476995 Long ABS-MBS US N 2 2023-03-25 Fixed 3.71000000 N N N N N N THE WESTERN UNION COMPANY 28ID94QU1140NC23S047 959802109 4200.00000000 NS USD 112476.00000000 0.012951425649 Long EC US N 1 N N N TENNECO INC. 549300U0EXXFAQFAD785 880349105 -4455.00000000 NS USD -58360.50000000 -0.00672011519 Short EC US N 1 N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761L102 3452.00000000 NS USD 83987.16000000 0.009670982771 Long EC US N 1 N N N QUEST DIAGNOSTICS INCORPORATED 8MCWUBXQ0WE04KMXBX50 74834L100 1833.00000000 NS USD 195746.07000000 0.022539836691 Long EC US N 1 N N N CERNER CORPORATION 549300L4UJ40IEVVI304 156782104 3814.00000000 NS USD 279909.46000000 0.032231112057 Long EC US N 1 N N N CROWN HOLDINGS, INC. NYLWZIOY8PUNIT4JOE22 228368106 -2263.00000000 NS USD -164158.02000000 -0.01890252490 Short EC US N 1 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFP9 1205000.00000000 PA USD 1286887.90000000 0.148183016429 Long DBT CORP US N 2 2025-04-21 Fixed 3.95000000 N N N N N N TEXAS INSTRUMENTS INCORPORATED WDJNR2L6D8RWOEB8T652 882508104 -7170.00000000 NS USD -919839.30000000 -0.10591797630 Short EC US N 1 N N N PACKAGING CORPORATION OF AMERICA 549300XZP8MFZFY8TJ84 695156109 -1302.00000000 NS USD -145810.98000000 -0.01678989354 Short EC US N 1 N N N TELLURIAN INC. 254900ZYXZHH5MQG6H78 87968A104 6700.00000000 NS USD 48776.00000000 0.005616475847 Long EC US N 1 N N N MACY'S, INC. 529900NZQ81TIOW3CW52 55616P104 -3778.00000000 NS USD -64226.00000000 -0.00739551783 Short EC US N 1 N N N Spire Inc. 549300NXSY15DRY2R511 84857L101 494.00000000 NS USD 41155.14000000 0.004738946404 Long EC US N 1 N N N N/A N/A N/A 38.00000000 NC USD 2161012.50000000 0.248837020529 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Zinc LME ZINC FUTURE Mar 2020 2020-03-19 2335925.5 USD -174913 N N N GREEN PLAINS INC. VJ5WLTHARBSDR14KIZ98 393222104 3800.00000000 NS USD 58634.00000000 0.006751608267 Long EC US N 1 N N N CARETRUST REIT, INC. 5493001NVXE2B9GPLU96 14174T107 2300.00000000 NS USD 47449.00000000 0.005463673989 Long EC US N 1 N N N N/A N/A CDS871019 -835000.00000000 NC USD -42662.97000000 -0.00491257053 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2049-12-31 0 USD -61900.87 USD -835000 USD 19237.9 N N N Japan 353800WZS8AXZXFUC241 N/A 470300000.00000000 PA 4536901.55000000 0.522416720929 Long DBT USGA JP N 2 2027-03-10 Fixed 0.10000000 N N N N N N CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST) N/A 02147TAP1 257792.56500000 PA USD 209813.81000000 0.024159713720 Long ABS-MBS US N 2 2036-10-25 Fixed 6.25000000 N N N N N N FOOT LOCKER, INC. 549300X383CBNP6MTV94 344849104 -1280.00000000 NS USD -49907.20000000 -0.00574673165 Short EC US N 1 N N N NATIONAL RETAIL PROPERTIES, INC. 5493008JKH5SOTI0JS97 637417106 3400.00000000 NS USD 182308.00000000 0.020992465123 Long EC US N 1 N N N N/A N/A N/A 17.00000000 NC USD 12112.50000000 0.001394734371 N/A DIR XX N 1 ROYAL BANK CANADA N/A Call Purchased N/A Call Option 2.9 Feb 2020 on COPPER FUTURE (Consolidated) Mar 2020 4250.00000000 290 USD 2020-02-28 XXXX -478.95 N N N EQT CORPORATION 4NT01YGM4X7ZX86ISY52 26884L109 13098.00000000 NS USD 142768.20000000 0.016439522452 Long EC US N 1 N N N NOBLE ENERGY, INC. 02VFQXG2D1LR5ZH3K186 655044AH8 606000.00000000 PA USD 640627.30000000 0.073767175618 Long DBT CORP US N 2 2024-11-15 Fixed 3.90000000 N N N N N N TERADATA CORPORATION 549300JU9SOUHV4U4R71 88076W103 1000.00000000 NS USD 26770.00000000 0.003082521290 Long EC US N 1 N N N BRANDYWINE REALTY TRUST 5UZ46ZCYUFYYAC0DS831 105368203 5421.00000000 NS USD 85380.75000000 0.009831452358 Long EC US N 1 N N N LTC PROPERTIES, INC. 549300NRZP8IJG2KY677 502175102 1379.00000000 NS USD 61737.83000000 0.007109009166 Long EC US N 1 N N N LABORATORY CORPORATION OF AMERICA HOLDINGS OZ7UA8IXAIFILY2VZH07 50540R409 1412.00000000 NS USD 238868.04000000 0.027505260322 Long EC US N 1 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 617474AA9 160000.00000000 PA USD 163174.40000000 0.018789262682 Long DBT CORP US N 2 2168-07-15 Fixed 5.55000000 N N N N N N MEDNAX, INC. N/A 58502B106 1127.00000000 NS USD 31319.33000000 0.003606369126 Long EC US N 1 N N N LITTELFUSE, INC. 549300MY7HLQFYTPCX75 537008104 -200.00000000 NS USD -38260.00000000 -0.00440557581 Short EC US N 1 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967GD7 311000.00000000 PA USD 329286.80000000 0.037916831213 Long DBT CORP US N 2 2168-07-30 Fixed 5.95000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 32795.49000000 0.003776346512 N/A DFE NZ N 2 BNP SECURITIES N/A 1644466.33000000 USD 2486054.80000000 NZD 2020-01-17 32795.49 N N N SEACOR HOLDINGS INC. 549300IQTYSR1SC4II14 811904101 1100.00000000 NS USD 47465.00000000 0.005465516363 Long EC US N 1 N N N N/A N/A CDS712311 -261000.00000000 NC USD -13335.37000000 -0.00153554583 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2049-12-31 0 USD -16798.8 USD -261000 USD 3463.43 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 261000.00000000 PA USD 282252.08000000 0.032500860881 Long DBT NUSS GB N 2 2026-09-12 Fixed 4.29200000 N N N N N N BRK: MORGAN STANLEY N/A N/A 2760000.00000000 NC USD -35813.50000000 -0.00412386538 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2025-04-21 0 USD 0 USD -2760000 USD -35813.5 N N N United States of America 254900HROIFWPRGM1V77 912796TZ2 5500000.00000000 PA USD 5462212.53000000 0.628964752154 Long DBT UST US N 2 2020-06-11 None 0.00000000 N N N N N N HERTZ VEHICLE FINANCING LLC 5493004IHDYOZ9K9WF47 42806DAA7 675000.00000000 PA USD 675757.01000000 0.077812303709 Long ABS-MBS US N 2 2021-03-25 Fixed 2.73000000 N N N N N N Novocure Ltd 213800YPP55UMHWA4826 G6674U108 1000.00000000 NS USD 84270.00000000 0.009703551330 Long EC JE N 1 N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST N/A 63875FAA4 313352.00000000 PA USD 313347.93000000 0.036081496655 Long ABS-MBS US N 2 2036-07-15 Floating 0.00000000 N N N N N N OKTA, INC. 549300N8J06I8MRHU620 679295105 400.00000000 NS USD 46148.00000000 0.005313865988 Long EC US N 1 N N N XENIA HOTELS & RESORTS, INC. 54930075IWIPHF5IQL62 984017103 1800.00000000 NS USD 38898.00000000 0.004479040461 Long EC US N 1 N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VBH5 730000.00000000 PA USD 777191.51000000 0.089492318868 Long DBT CORP US N 2 2026-02-15 Fixed 3.70000000 N N N N N N N/A N/A N/A 6.00000000 NC USD 432675.00000000 0.049821811700 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Feeder Cattle CATTLE FEEDER FUT(Consolidated) Mar 2020 2020-03-29 428549 USD 4126 N N N FLIR SYSTEMS, INC. VOBD35NEPH6WISIRTJ85 302445101 -881.00000000 NS USD -45873.67000000 -0.00528227734 Short EC US N 1 N N N THE J. M. SMUCKER COMPANY 5493000WDH6A0LHDJD55 832696405 3614.00000000 NS USD 376325.82000000 0.043333296682 Long EC US N 1 N N N EDWARDS LIFESCIENCES CORPORATION YA13X31F3V31L8TMPR58 28176E108 2257.00000000 NS USD 526535.53000000 0.060629696722 Long EC US N 1 N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829107 14529.00000000 NS USD 1242810.66000000 0.143107595035 Long EC US N 1 N N N MERCK & CO., INC. 4YV9Y5M8S0BRK1RP0397 58933Y105 28551.00000000 NS USD 2596713.45000000 0.299007265375 Long EC US N 1 N N N WELLTOWER INC. T6IZ0MBEG5ACZDTR7D06 95040Q104 7321.00000000 NS USD 598711.38000000 0.068940626653 Long EC US N 1 N N N NATIONAL OILWELL VARCO, INC. 549300EHF3IW1AR6U008 637071101 20423.00000000 NS USD 511596.15000000 0.058909451787 Long EC US N 1 N N N CONSOLIDATED EDISON, INC. 54930033SBW53OO8T749 209115104 3556.00000000 NS USD 321711.32000000 0.037044527201 Long EC US N 1 N N N CORPORATE OFFICE PROPERTIES TRUST YY1J47X6LF9TYY8JY420 22002T108 2828.00000000 NS USD 83086.64000000 0.009567289380 Long EC US N 1 N N N N/A N/A N/A 14.00000000 NC USD 486.50000000 0.000056019671 N/A DIR XX N 1 MARKET AXESS N/A Call Purchased N/A Call Option 2500 Jan 2020 on LME ZINC FUTURE Jan 2020 350.00000000 500 USD 2020-01-05 XXXX -6545.7 N N N HOMEBANC MORTGAGE TRUST N/A 43739EAP2 125996.97950000 PA USD 112996.75000000 0.013011389151 Long ABS-MBS US N 2 2035-03-25 Floating 2.07275040 N N N N N N BRK: MORGAN STANLEY N/A N/A 2717000.00000000 NC USD -96647.85000000 -0.01112884031 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2025-08-04 0 USD 0 USD -2717000 USD -96647.85 N N N AVIS BUDGET RENTAL CAR FUNDING N/A 05377RCY8 930000.00000000 PA USD 966546.21000000 0.111296199860 Long ABS-MBS US N 2 2024-09-20 Fixed 3.70000000 N N N N N N MICRON TECHNOLOGY, INC. B3DXGBC8GAIYWI2Z0172 595112103 -7363.00000000 NS USD -395982.14000000 -0.04559668946 Short EC US N 1 N N N LAM RESEARCH CORPORATION 549300I4GMO6D34U1T02 512807AR9 640000.00000000 PA USD 646900.04000000 0.074489471270 Long DBT CORP US N 2 2021-06-15 Fixed 2.80000000 N N N N N N UNIVERSAL ELECTRONICS INC. 549300ZW9EULAR7T6F89 913483103 -200.00000000 NS USD -10452.00000000 -0.00120353053 Short EC US N 1 N N N Freddie Mac N/A 3137G0QQ5 450000.00000000 PA USD 460530.27000000 0.053029300038 Long DBT USGA US N 2 2030-03-25 Floating 4.20800040 N N N N N N AMERICAN ELECTRIC POWER COMPANY, INC. 1B4S6S7G0TW5EE83BO58 025537101 5579.00000000 NS USD 527271.29000000 0.060714418271 Long EC US N 1 N N N IDEXX LABORATORIES, INC. OGMTXK0LUU1HKV2P0J84 45168D104 1048.00000000 NS USD 273664.24000000 0.031511985287 Long EC US N 1 N N N N/A N/A CDS930985 -49000.00000000 NC USD -2503.58000000 -0.00028828310 N/A DCR XX N 2 BRK: J.P. MORGAN CHASE N/A Y 2063-05-11 0 USD -4777.33 USD -49000 USD 2273.75 N N N BRINKER INTERNATIONAL, INC. 52990067JY6PBGJNTG76 109641100 -777.00000000 NS USD -32634.00000000 -0.00375775120 Short EC US N 1 N N N VEREIT, INC. 5493002H54FNIBW75H44 92339V100 20920.00000000 NS USD 193300.80000000 0.022258267889 Long EC US N 1 N N N MONOLITHIC POWER SYSTEMS, INC. 529900TB7O85LSZ1XU31 609839105 -422.00000000 NS USD -75124.44000000 -0.00865045520 Short EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828YN4 8500000.00000000 PA USD 8514280.51000000 0.980405339655 Long SN UST US N 2 2021-10-31 Floating 1.82586240 N N N N N N ELEMENT SOLUTIONS INC 549300FLGN6P5CU20J91 28618M106 -4300.00000000 NS USD -50224.00000000 -0.00578321065 Short EC US N 1 N N N IROBOT CORPORATION 5493009PRNKOUKBAT390 462726100 -1447.00000000 NS USD -73261.61000000 -0.00843595340 Short EC US N 1 N N N Japan N/A N/A -31.00000000 NC -4333867.03000000 -0.49903763125 N/A DIR SG N 1 GOLDMAN, SACHS & CO. N/A Short Japan Govt. Bond Futures 10YR MINI JGB FUT Mar 2020 2020-03-15 -4335066.23 JPY 1199.2 N N N CADENCE DESIGN SYSTEMS, INC. GCT7RXJOGLXPV0NXZY22 127387108 1982.00000000 NS USD 137471.52000000 0.015829618498 Long EC US N 1 N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBD0 237000.00000000 PA USD 273814.63000000 0.031529302448 Long DBT CORP US N 2 2048-11-14 Fixed 4.87500000 N N N N N N CHEMED CORPORATION 54930020031IDJT2IM79 16359R103 280.00000000 NS USD 122992.80000000 0.014162417801 Long EC US N 1 N N N HELEN OF TROY LIMITED N/A G4388N106 -1200.00000000 NS USD -215748.00000000 -0.02484302589 Short EC BM N 1 N N N DIAMOND SPORTS GROUP, LLC N/A 25277LAA4 293000.00000000 PA USD 296384.74000000 0.034128213340 Long DBT CORP US Y 2 2026-08-15 Fixed 5.37500000 N N N N N N ALBEMARLE CORPORATION HDBLS2Q6GV1LSKQPBS54 012653101 -1562.00000000 NS USD -114088.48000000 -0.01313710005 Short EC US N 1 N N N Eagle Re N/A 269826AA1 167978.23220000 PA USD 168211.64000000 0.019369292549 Long ABS-MBS US N 2 2028-11-25 Floating 3.49200000 N N N N N N N/A N/A CDS410410 -112000.00000000 NC USD -5722.46000000 -0.00065893181 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2063-05-11 0 USD -12795.56 USD -112000 USD 7073.1 N N N ALEXANDER & BALDWIN, INC. N/A 014491104 2438.00000000 NS USD 51100.48000000 0.005884135881 Long EC US N 1 N N N N/A N/A CDS857230 -89000.00000000 NC USD -526.67000000 -0.00006064518 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -11347.77 USD -89000 USD 10821.1 N N N CCUBS COMMERCIAL MORTGAGE TRUST N/A 12508GAU0 1115000.00000000 PA USD 1186505.40000000 0.136624137332 Long ABS-MBS US N 2 2050-11-15 Fixed 3.54400000 N N N N N N THE HOME DEPOT, INC. QEKMOTMBBKA8I816DO57 437076102 -11559.00000000 NS USD -2524254.42000000 -0.29066372773 Short EC US N 1 N N N CALAVO GROWERS, INC. N/A 128246105 854.00000000 NS USD 77363.86000000 0.008908320714 Long EC US N 1 N N N N/A N/A N/A 3.00000000 NC USD 144637.50000000 0.016654769260 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Lead LME LEAD FUTURE Mar 2020 2020-03-19 142844.25 USD 1793.25 N N N ALPEK, S.A.B. DE C.V. 549300PWKJTP62D4IQ66 020564AD2 203000.00000000 PA USD 207060.00000000 0.023842617046 Long DBT NUSS MX Y 2 2029-09-18 Fixed 4.25000000 N N N N N N SABRE CORPORATION 529900VKCYZW8GZ4WW58 78573M104 2300.00000000 NS USD 51612.00000000 0.005943036564 Long EC US N 1 N N N IPG PHOTONICS CORPORATION 5493002KZ51CADQ94G15 44980X109 -169.00000000 NS USD -24491.48000000 -0.00282015347 Short EC US N 1 N N N NORWEGIAN CRUISE LINE HOLDINGS LTD. N/A G66721104 -5838.00000000 NS USD -340997.58000000 -0.03926530819 Short EC BM N 1 N N N Frank's International N.V. 724500LJYA8QIT73H017 N33462107 11300.00000000 NS USD 58421.00000000 0.006727081669 Long EC NL N 1 N N N Inversiones CMPC S.A. 549300G475ACIABB4385 P58072AL6 1080000.00000000 PA USD 1135174.79000000 0.130713502362 Long DBT NUSS CL N 2 2027-04-04 Fixed 4.37500000 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST N/A 32051HAJ2 177166.71840000 PA USD 134454.80000000 0.015482248172 Long ABS-MBS US N 2 2036-07-25 Fixed 6.00000000 N N N N N N F5 NETWORKS, INC. N/A 315616102 -597.00000000 NS USD -83371.05000000 -0.00960003872 Short EC US N 1 N N N Federal National Mortgage Association N/A 30711XLT9 695000.00000000 PA USD 718726.54000000 0.082760174126 Long DBT USGA US N 2 2029-11-25 Floating 4.64199840 N N N N N N United States of America 254900HROIFWPRGM1V77 9128286Q8 3000000.00000000 PA USD 2998353.96000000 0.345255506805 Long SN UST US N 2 2021-04-30 Floating 1.66486320 N N N N N N DOMTAR CORPORATION XYSIJOU3HNVROZWNA008 257559203 -1200.00000000 NS USD -45888.00000000 -0.00528392741 Short EC US N 1 N N N SERVICE CORPORATION INTERNATIONAL 549300RKVM2ME20JHZ15 817565104 -5517.00000000 NS USD -253947.51000000 -0.02924163639 Short EC US N 1 N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546104 21667.00000000 NS USD 2413920.47000000 0.277958955605 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828XL9 33153000.00000000 PA USD 36710152.04000000 4.227113381724 Long DBT USGA XX N 2 2025-07-15 Fixed 0.37500000 N N N N N N Hertz Vehicle Financing II LP 549300FPK70TCB78NG05 42806DCH0 900000.00000000 PA USD 927444.51000000 0.106793703680 Long ABS-MBS US N 2 2025-05-25 Fixed 3.42000000 N N N N N N IDACORP, INC. N134NUJDWN8UEFA8B673 451107106 700.00000000 NS USD 74760.00000000 0.008608490536 Long EC US N 1 N N N LIBERTY MEDIA CORPORATION 549300ZKUTPIBZLWLL89 531229854 3000.00000000 NS USD 137895.00000000 0.015878381520 Long EC US N 1 N N N ZENDESK, INC. 549300SLI6BN94BKKO36 98936J101 700.00000000 NS USD 53641.00000000 0.006176672563 Long EC US N 1 N N N ELANCO ANIMAL HEALTH INCORPORATED 549300SHPNDCE059M934 28414H103 4500.00000000 NS USD 132525.00000000 0.015260034889 Long EC US N 1 N N N N/A N/A CDS859992 -106000.00000000 NC USD -627.27000000 -0.00007222910 N/A DCR XX N 2 BRK: CREDIT SUISSE N/A Y 2063-05-11 0 USD -13141.72 USD -106000 USD 12514.45 N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287Y109 16495.00000000 NS USD 1460467.30000000 0.168170397678 Long EC US N 1 N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 48128BAF8 623000.00000000 PA USD 647920.00000000 0.074606917980 Long DBT CORP US N 2 2168-02-01 Fixed 5.00000000 N N N N N N CERENCE INC. 5493002WL2W5WMS89568 156727109 387.00000000 NS USD 8757.81000000 0.001008447358 Long EC US N 1 N N N N/A N/A N/A -24.00000000 NC USD -609600.00000000 -0.07019443326 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Cocoa Cocoa Future Mar 2020 2020-03-19 -624132.7 USD 14532.7 N N N PERRIGO COMPANY PUBLIC LIMITED COMPANY 549300IFOQS6R1QLY196 G97822103 2330.00000000 NS USD 120367.80000000 0.013860153386 Long EC IE N 1 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AL2 365000.00000000 PA USD 393470.00000000 0.045307420696 Long DBT NUSS CH Y 2 2099-02-21 Fixed 6.37500000 N N N N N N VERISIGN, INC. LMPL4N8ZOJRMF0KOF759 92343E102 291.00000000 NS USD 56069.88000000 0.006456354084 Long EC US N 1 N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244109 -31088.00000000 NS USD -2733256.96000000 -0.31473002505 Short EC US N 1 N N N WATERS CORPORATION 5T547R1474YC9HOD8Q74 941848103 801.00000000 NS USD 187153.65000000 0.021550433719 Long EC US N 1 N N N ALEXION PHARMACEUTICALS, INC. M1YXUUZR0EIMU8T0EM75 015351109 2503.00000000 NS USD 270699.45000000 0.031170594615 Long EC US N 1 N N N N/A N/A CDS851074 1287000.00000000 NC USD 7615.98000000 0.000876967519 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2058-09-17 90283.94 USD 0 USD 1287000 USD -82667.96 N N N Federal National Mortgage Association N/A 20753TAB9 508385.00000000 PA USD 511410.81000000 0.058888110192 Long ABS-MBS US N 2 2039-06-25 Floating 3.89199960 N N N N N N W&T OFFSHORE, INC. 549300Q7EOY2YIO3YK85 92922P106 3500.00000000 NS USD 19460.00000000 0.002240786862 Long EC US N 1 N N N ENERGY TRANSFER OPERATING, L.P. 5493008K8W3OKZE54J59 29278NAH6 260000.00000000 PA USD 276807.26000000 0.031873898850 Long DBT CORP US N 2 2024-04-15 Fixed 4.50000000 N N N N N N ANSYS, INC. 549300VJV8H15Z5FJ571 03662Q105 401.00000000 NS USD 103221.41000000 0.011885774894 Long EC US N 1 N N N LEAR CORPORATION 549300UPNBTXA1SYTQ33 521865204 -5258.00000000 NS USD -721397.60000000 -0.08306774227 Short EC US N 1 N N N ENI S.P.A. BUCRF72VH5RBN7X3VL35 26874RAJ7 900000.00000000 PA USD 988364.74000000 0.113808567557 Long DBT NUSS IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N AMERICAN STATES WATER COMPANY 529900L26LIS2V8PWM23 029899101 500.00000000 NS USD 43320.00000000 0.004988226458 Long EC US N 1 N N N SAGE THERAPEUTICS, INC. 5493000JX4BJS9W6CN35 78667J108 797.00000000 NS USD 57535.43000000 0.006625109746 Long EC US N 1 N N N OASIS PETROLEUM INC. 529900FA4V2YNIKZ0M71 674215108 16500.00000000 NS USD 53790.00000000 0.006193829667 Long EC US N 1 N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133EKCY0 2500000.00000000 PA USD 2504913.95000000 0.288436704554 Long DBT USGA US N 2 2022-03-14 Floating 2.45000160 N N N N N N ADANI PORTS AND SPECIAL ECONOMIC ZONE LIMITED 335800QOAXP5TM7OYP69 00652MAC6 670000.00000000 PA USD 686153.70000000 0.079009465393 Long DBT NUSS IN Y 2 2022-01-19 Fixed 3.95000000 N N N N N N CDW CORPORATION N/A 12514G108 -1705.00000000 NS USD -243542.20000000 -0.02804348212 Short EC US N 1 N N N VECTOR GROUP LTD. 549300TUIF4WWN6NDN50 92240M108 5329.00000000 NS USD 71355.31000000 0.008216446105 Long EC US N 1 N N N CLNY TRUST N/A 12564NAL6 680000.00000000 PA USD 673631.73000000 0.077567581227 Long ABS-MBS US N 2 2038-11-15 Floating 3.79490040 N N N N N N N/A N/A N/A 17394.32420000 NC USD -13114.91000000 -0.00151016022 N/A DE US N 2 N/A N/A Y 2020-01-04 0 USD 0 USD -1684154.59 USD -13114.91 N N N FLOWERS FOODS, INC. 7YNCQQNDK8FBM9BBTK25 343498101 7407.00000000 NS USD 161028.18000000 0.018542128993 Long EC US N 1 N N N SKYWORKS SOLUTIONS, INC. 549300WZ3ORQ2BVKBD96 83088M102 -1152.00000000 NS USD -139253.76000000 -0.01603484049 Short EC US N 1 N N N N/A N/A N/A 9.00000000 NC USD 757350.00000000 0.087207601759 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Nickel LME NICKEL FUTURE Mar 2020 2020-03-19 771028.5 USD -13678.5 N N N MARRIOTT INTERNATIONAL, INC. 225YDZ14ZO8E1TXUSU86 571903202 -7641.00000000 NS USD -1157076.63000000 -0.13323546306 Short EC US N 1 N N N CONCHO RESOURCES INC. SYHS7HRDXLL4I0IQ8776 20605P101 9598.00000000 NS USD 840496.86000000 0.096781825374 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XBH6 546345.46260000 PA USD 582835.06000000 0.067112494624 Long DBT USGA US N 2 2028-04-25 Floating 7.37274960 N N N N N N T-MOBILE US, INC. 549300QHIJYOHPACPG31 872590104 3527.00000000 NS USD 276587.34000000 0.031848575425 Long EC US N 1 N N N HUNTSMAN CORPORATION N/A 447011107 -3519.00000000 NS USD -85019.04000000 -0.00978980204 Short EC US N 1 N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 6368.00000000 NS USD 515298.56000000 0.059335778184 Long EC US N 1 N N N CONDUENT INCORPORATED 549300SFJ2D2CYY6CQ11 206787103 2908.00000000 NS USD 18029.60000000 0.002076078664 Long EC US N 1 N N N N/A N/A N/A 19.00000000 NC USD 1605804.00000000 0.184905678664 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Nickel LME NICKEL FUTURE Jun 2020 2020-06-18 1609428.5 USD -3624.5 N N N CORE-MARK HOLDING COMPANY, INC. 529900CI5YANWVE54N57 218681104 -1300.00000000 NS USD -35347.00000000 -0.00407014867 Short EC US N 1 N N N BOSTON PROPERTIES, INC. 549300OF70FSEUQBT254 101121101 2511.00000000 NS USD 346166.46000000 0.039860496185 Long EC US N 1 N N N PROLOGIS, INC. 529900DFH19P073LZ636 74340W103 11570.00000000 NS USD 1031349.80000000 0.118758226227 Long EC US N 1 N N N LIBERTY MEDIA CORPORATION 549300ZKUTPIBZLWLL89 531229607 -1900.00000000 NS USD -91466.00000000 -0.01053215884 Short EC US N 1 N N N Portola Pharmaceuticals Inc 549300BM3O4O0CNBGJ64 737010108 1900.00000000 NS USD 45372.00000000 0.005224510869 Long EC US N 1 N N N COMM MORTGAGE TRUST N/A 12593JBF2 545000.00000000 PA USD 579649.25000000 0.066745653864 Long ABS-MBS US N 2 2048-08-10 Fixed 3.69600000 N N N N N N DAVITA INC. M2XHYMU3TZNEZURC6H66 23918K108 1258.00000000 NS USD 94387.74000000 0.010868592382 Long EC US N 1 N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FAD3 360000.00000000 PA USD 374360.04000000 0.043106940361 Long DBT CORP US Y 2 2024-10-15 Fixed 3.62500000 N N N N N N HUMANA INC. 529900YLDW34GJAO4J06 444859102 1482.00000000 NS USD 543182.64000000 0.062546583946 Long EC US N 1 N N N Braskem Netherlands Finance B.V. N/A 10554TAD7 1130000.00000000 PA USD 1124915.00000000 0.129532104487 Long DBT NUSS NL Y 2 2030-01-31 Fixed 4.50000000 N N N N N N COMM MORTGAGE TRUST N/A 12629NAF2 250000.00000000 PA USD 260357.03000000 0.029979682032 Long ABS-MBS US N 2 2048-02-10 Fixed 3.35000000 N N N N N N Cactus Inc 549300J3T8C9F8QFKV08 127203107 2200.00000000 NS USD 75504.00000000 0.008694160907 Long EC US N 1 N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389X105 9051.00000000 NS USD 479521.98000000 0.055216164081 Long EC US N 1 N N N AMERISOURCEBERGEN CORPORATION AI8GXW8LG5WK7E9UD086 03073E105 1833.00000000 NS USD 155841.66000000 0.017944909781 Long EC US N 1 N N N PULTEGROUP, INC. N/A 745867101 -11530.00000000 NS USD -447364.00000000 -0.05151322579 Short EC US N 1 N N N EXPEDIA GROUP, INC. N/A 30212PAP0 805000.00000000 PA USD 823415.49000000 0.094814933828 Long DBT CORP US N 2 2028-02-15 Fixed 3.80000000 N N N N N N SUN COMMUNITIES, INC. 549300H5GEOJYN41ZG57 866674104 1752.00000000 NS USD 262975.20000000 0.030281159984 Long EC US N 1 N N N NORTHWEST NATURAL HOLDING COMPANY N/A 66765N105 600.00000000 NS USD 44238.00000000 0.005093932642 Long EC US N 1 N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884U109 1353.00000000 NS USD 95575.92000000 0.011005409347 Long EC US N 1 N N N MERITAGE HOMES CORPORATION 52990044W9UMFJO2FB97 59001A102 -1403.00000000 NS USD -85737.33000000 -0.00987251195 Short EC US N 1 N N N ACADIA HEALTHCARE COMPANY, INC. 5493005CW985Y9D0NC11 00404A109 1066.00000000 NS USD 35412.52000000 0.004077693195 Long EC US N 1 N N N N/A N/A CDS416264 -330000.00000000 NC USD -16860.81000000 -0.00194149442 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2063-05-11 0 USD -35526.32 USD -330000 USD 18665.51 N N N N/A N/A CDS871047 -188000.00000000 NC USD -1112.51000000 -0.00012810368 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -28860.72 USD -188000 USD 27748.21 N N N Commscope Finance LLC 549300NGP3QQM94T9A69 20338QAB9 228000.00000000 PA USD 237690.00000000 0.027369610962 Long DBT CORP US Y 2 2024-03-01 Fixed 5.50000000 N N N N N N NEWS CORPORATION 549300ITS31QK8VRBQ14 65249B208 -4000.00000000 NS USD -58040.00000000 -0.00668321014 Short EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 4220000.00000000 NC USD -100445.54000000 -0.01156613804 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2029-06-04 0 USD 0 USD -4220000 USD -100445.54 N N N NUCOR CORPORATION 549300GGJCRSI2TIEJ46 670346105 -4765.00000000 NS USD -268174.20000000 -0.03087981624 Short EC US N 1 N N N ALEXANDRIA REAL ESTATE EQUITIES, INC. MGCJBT4MKTQBVLNUIS88 015271109 2014.00000000 NS USD 325422.12000000 0.037471819693 Long EC US N 1 N N N Apple Hospitality REIT, Inc. 549300EVZAR0FBZO4F16 03784Y200 4014.00000000 NS USD 65227.50000000 0.007510838903 Long EC US N 1 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967JK8 360000.00000000 PA USD 361800.00000000 0.041660672498 Long DBT CORP US N 2 2168-09-27 Fixed 5.87500000 N N N N N N N/A N/A CDS915149 -164000.00000000 NC USD -8379.31000000 -0.00096486370 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -16668.76 USD -164000 USD 8289.45 N N N ARENA PHARMACEUTICALS, INC. 529900CVGQMPJ3A3NI85 040047607 1100.00000000 NS USD 49962.00000000 0.005753041789 Long EC US N 1 N N N COLGATE-PALMOLIVE COMPANY YMEGZFW4SBUSS5BQXF88 194162103 25148.00000000 NS USD 1731188.32000000 0.199343476043 Long EC US N 1 N N N Truist Financial Corporation 549300DRQQI75D2JP341 05531FAU7 400000.00000000 PA USD 401076.55000000 0.046183302366 Long DBT CORP US N 2 2020-06-29 Fixed 2.62500000 N N N N N N HAWAIIAN ELECTRIC INDUSTRIES, INC. JJ8FWOCWCV22X7GUPJ23 419870100 1428.00000000 NS USD 66916.08000000 0.007705276102 Long EC US N 1 N N N MODINE MANUFACTURING COMPANY Z35SZFYJR8GZZRSIUU09 607828100 -4228.00000000 NS USD -32555.60000000 -0.00374872357 Short EC US N 1 N N N N/A N/A N/A 70.00000000 NC USD 3404625.00000000 0.392036946117 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Coffee Coffee C Future Mar 2020 2020-03-31 3044821.84 USD 359803.16 N N N ARCHROCK INC. 549300K3RIHMHDVFTL28 03957W106 6500.00000000 NS USD 65260.00000000 0.007514581225 Long EC US N 1 N N N SINCLAIR BROADCAST GROUP, INC. 529900879GWQV880PQ28 829226109 -900.00000000 NS USD -30006.00000000 -0.00345514134 Short EC US N 1 N N N HOME RE N/A 43730MAA6 285594.93960000 PA USD 285681.39000000 0.032895740264 Long ABS-MBS BM N 2 2028-10-25 Floating 3.39199920 N N N N N N SCIENTIFIC GAMES CORPORATION 529900JXALYBOHXKFM62 80874P109 -1378.00000000 NS USD -36902.84000000 -0.00424930108 Short EC US N 1 N N N THE WILLIAMS COMPANIES, INC. D71FAKCBLFS2O0RBPG08 969457100 60192.00000000 NS USD 1427754.24000000 0.164403542843 Long EC US N 1 N N N INTERNATIONAL GAME TECHNOLOGY PLC 549300UQ6KHRCZDRGZ76 460599AB9 560000.00000000 PA USD 590800.00000000 0.068029644312 Long DBT NUSS GB Y 2 2022-02-15 Fixed 6.25000000 N N N N N N CAL-MAINE FOODS, INC. 549300NHE5WMIEIEMF53 128030202 650.00000000 NS USD 27787.50000000 0.003199684734 Long EC US N 1 N N N LEIDOS HOLDINGS, INC. 549300IUTGTP6EJP8124 525327102 1100.00000000 NS USD 107679.00000000 0.012399059021 Long EC US N 1 N N N Tandem Diabetes Care Inc 549300JEPFOD0K4D3I05 875372203 400.00000000 NS USD 23844.00000000 0.002745597222 Long EC US N 1 N N N PALO ALTO NETWORKS, INC. 549300QXR2YVZV231H43 697435105 596.00000000 NS USD 137825.00000000 0.015870321136 Long EC US N 1 N N N N/A N/A CDS870928 -172000.00000000 NC USD -1017.83000000 -0.00011720144 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2049-05-11 0 USD -25790.97 USD -172000 USD 24773.14 N N N Federal National Mortgage Association N/A 30711XAR5 127227.57840000 PA USD 137476.01000000 0.015830135514 Long DBT USGA US N 2 2024-11-25 Floating 6.79200120 N N N N N N BPCE S.A. 9695005MSX1OYEMGDF46 05578AAA6 397000.00000000 PA USD 403471.81000000 0.046459112600 Long DBT NUSS FR Y 2 2023-01-11 Fixed 2.75000000 N N N N N N ALCOA CORPORATION 549300T12EZ1F6PWWU29 013872106 -3340.00000000 NS USD -71843.40000000 -0.00827264886 Short EC US N 1 N N N ZIMMER BIOMET HOLDINGS, INC. 2P2YLDVPES3BXQ1FRB91 98956PAK8 480000.00000000 PA USD 480311.96000000 0.055307128973 Long DBT CORP US N 2 2020-04-01 Fixed 2.70000000 N N N N N N FibroGen Inc 549300Q914ULWWY95822 31572Q808 1286.00000000 NS USD 55156.54000000 0.006351184491 Long EC US N 1 N N N DOUGLAS EMMETT, INC. N/A 25960P109 3269.00000000 NS USD 143509.10000000 0.016524835864 Long EC US N 1 N N N CHURCHILL DOWNS INCORPORATED 529900FODTBQC8MIS994 171484108 -800.00000000 NS USD -109760.00000000 -0.01263868273 Short EC US N 1 N N N NEXTIER OILFIELD SOLUTIONS INC. 529900L27H2D4QT0IT24 65290C105 11281.00000000 NS USD 75582.70000000 0.008703223082 Long EC US N 1 N N N AUTOZONE, INC. GA3JGKJ41LJKXDN23E90 053332102 -294.00000000 NS USD -350245.14000000 -0.04033014945 Short EC US N 1 N N N N/A N/A CDS871105 -634000.00000000 NC USD -32393.20000000 -0.00373002348 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2049-05-11 0 USD -50054.06 USD -634000 USD 17660.86 N N N N/A N/A CDS849768 523000.00000000 NC USD 3094.92000000 0.000356374926 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2058-09-17 41749.71 USD 0 USD 523000 USD -38654.79 N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RBF8 477000.00000000 PA USD 490944.15000000 0.056531408093 Long DBT CORP US N 2 2024-11-01 Fixed 3.60000000 N N N N N N N/A N/A N/A 51.00000000 NC USD 2493390.00000000 0.287109740743 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Platinum PLATINUM FUTURE(Consolidated) Apr 2020 2020-05-01 2404846.25 USD 88543.75 N N N THE CLOROX COMPANY 54930044KVSC06Z79I06 189054109 3981.00000000 NS USD 611242.74000000 0.070383592062 Long EC US N 1 N N N Federal National Mortgage Association N/A 3136B0CN4 2411438.75200000 PA USD 531555.13000000 0.061207695372 Long DBT USGA US N 2 2047-12-25 Floating 4.40799840 N N N N N N NATIONAL FUEL GAS COMPANY 8JB38FFW1Y3C1HM8E841 636180101 1437.00000000 NS USD 66877.98000000 0.007700888950 Long EC US N 1 N N N NVIDIA CORPORATION 549300S4KLFTLO7GSQ80 67066G104 -3945.00000000 NS USD -928258.50000000 -0.10688743328 Short EC US N 1 N N N AMERICAN CAMPUS COMMUNITIES, INC. 529900MR3ZXRO3W6UX26 024835100 2970.00000000 NS USD 139679.10000000 0.016083817689 Long EC US N 1 N N N THE ESTEE LAUDER COMPANIES INC. 549300VFZ8XJ9NUPU221 518439104 6417.00000000 NS USD 1325367.18000000 0.152613841974 Long EC US N 1 N N N MCDERMOTT INTERNATIONAL, INC. ZAKWBIG8QLOPMZ888610 580037703 7683.00000000 NS USD 5198.32000000 0.000598577963 Long EC PA N 1 N N N Energizer Holdings, Inc. 5493000D6NN0V57UME20 29272W109 2713.00000000 NS USD 136246.86000000 0.015688600921 Long EC US N 1 N N N N/A N/A CDS895284 -175000.00000000 NC USD -8941.34000000 -0.00102958053 N/A DCR XX N 2 BRK: J.P. MORGAN CHASE N/A Y 2063-05-11 0 USD -21768.55 USD -175000 USD 12827.21 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -164888.30000000 -0.01898661543 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 38924496.39000000 ZAR 2610673.63000000 USD 2020-01-23 -164888.3 N N N AIB GROUP PUBLIC LIMITED COMPANY 635400AKJBGNS5WNQL34 00135TAB0 605000.00000000 PA USD 640874.30000000 0.073795617260 Long DBT NUSS IE Y 2 2025-04-10 Fixed 4.26300000 N N N N N N RESMED INC. 529900T3QE5253CCXF22 761152107 1933.00000000 NS USD 299557.01000000 0.034493494992 Long EC US N 1 N N N GLOBUS MEDICAL, INC. 5299003M2P4CIK0RF205 379577208 800.00000000 NS USD 47104.00000000 0.005423947809 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XAX2 512530.84260000 PA USD 543741.00000000 0.062610878178 Long DBT USGA US N 2 2025-05-25 Floating 5.79200040 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273V100 2175.00000000 NS USD 27905.25000000 0.003213243452 Long EC US N 1 N N N NUTANIX, INC. 549300X7J6E8TKVIXW09 67059N108 1000.00000000 NS USD 31260.00000000 0.003599537375 Long EC US N 1 N N N SILGAN HOLDINGS INC. KAF673KJXD92C8KSLU49 827048109 -2300.00000000 NS USD -71484.00000000 -0.00823126454 Short EC US N 1 N N N TARGET CORPORATION 8WDDFXB5T1Z6J0XC1L66 87612E106 -5273.00000000 NS USD -676051.33000000 -0.07784619417 Short EC US N 1 N N N INGREDION INCORPORATED PKSTQ48QDN0XSVS7YK88 457187102 2082.00000000 NS USD 193521.90000000 0.022283727189 Long EC US N 1 N N N SOFI CONSUMER LOAN PROGRAM LLC N/A 78471FAA0 91960.80460000 PA USD 92115.44000000 0.010606940790 Long ABS-MBS US N 2 2025-12-26 Fixed 3.05000000 N N N N N N ING Groep N.V. 549300NYKK9MWM7GGW15 456837AP8 500000.00000000 PA USD 523327.87000000 0.060260339970 Long DBT NUSS NL N 2 2024-04-09 Fixed 3.55000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828QV5 86523000.00000000 PA USD 99900783.24000000 11.50341020702 Long DBT USGA XX N 2 2021-07-15 Fixed 0.62500000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131102 1903.00000000 NS USD 201908.30000000 0.023249407299 Long EC US N 1 N N N PURE STORAGE, INC. 549300NPDB0BZTK3WO90 74624M102 -1800.00000000 NS USD -30798.00000000 -0.00354633883 Short EC US N 1 N N N BLOOMIN' BRANDS, INC. E1UJ2GO305B5FXGV7N04 094235108 -3280.00000000 NS USD -72389.60000000 -0.00833554289 Short EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828B25 25920000.00000000 PA USD 29192849.70000000 3.361508431865 Long DBT USGA XX N 2 2024-01-15 Fixed 0.62500000 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HBT1 1152000.00000000 PA USD 1199801.45000000 0.138155155532 Long DBT CORP US N 2 2024-10-30 Fixed 3.30000000 N N N N N N ELECTRONIC ARTS INC. 549300O7A67PUEYKDL45 285512109 2383.00000000 NS USD 256196.33000000 0.029500584299 Long EC US N 1 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BH2 200000.00000000 PA USD 221250.00000000 0.025476572112 Long DBT CORP XX Y 2 2049-12-29 Floating 7.75000080 N N N Y Y STANDARD CHARTERED PLC GBP XXXX N N N N/A N/A N/A -13.00000000 NC USD -661310.00000000 -0.07614875436 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Live Cattle Live Cattle Future(Consolidated) Apr 2020 2020-05-15 -660233.21 USD -1076.79 N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137L204 -2167.00000000 NS USD -78878.80000000 -0.00908276355 Short EC US N 1 N N N WAYFAIR INC. 54930027N9ZAVYFDHK53 94419L101 -576.00000000 NS USD -52053.12000000 -0.00599383080 Short EC US N 1 N N N NEXTERA ENERGY, INC. N/A 65339F101 5408.00000000 NS USD 1309601.28000000 0.150798424625 Long EC US N 1 N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 369604BS1 825000.00000000 PA 930363.52000000 0.107129822861 Long DBT NUSS US N 2 2025-05-17 Fixed 0.87500000 N N N N N N Allergan plc 635400FWJZQC1IPYUH69 G0177J108 3569.00000000 NS USD 682285.73000000 0.078564075035 Long EC IE N 1 N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAG8 945000.00000000 PA USD 1019664.52000000 0.117412685533 Long DBT CORP US N 2 2025-07-23 Fixed 4.50000000 N N N N N N CONTURA ENERGY, INC. N/A 21241B100 1000.00000000 NS USD 9050.00000000 0.001042092554 Long EC US N 1 N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FAE1 378000.00000000 PA USD 401500.83000000 0.046232157508 Long DBT CORP US Y 2 2026-04-15 Fixed 4.25000000 N N N N N N HESS CORPORATION UASVRYNXNK17ULIGK870 42809HAG2 966000.00000000 PA USD 1030165.27000000 0.118621829554 Long DBT CORP US N 2 2027-04-01 Fixed 4.30000000 N N N N N N EURONET WORLDWIDE, INC. YG3575C4DSHJPA5KET68 298736109 327.00000000 NS USD 51522.12000000 0.005932687030 Long EC US N 1 N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135F101 -2735.00000000 NS USD -864314.70000000 -0.09952441031 Short EC US N 1 N N N THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY 2138005O9XJIJN4JPN90 780097BB6 425000.00000000 PA USD 455812.50000000 0.052486056614 Long DBT NUSS GB N 2 2168-09-30 Fixed 8.62500000 N N N Y Y THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY GBP XXXX N N N TREEHOUSE FOODS, INC. 5493007M7EVHE470Q576 89469A104 1857.00000000 NS USD 90064.50000000 0.010370778436 Long EC US N 1 N N N DISCOVERY, INC. 5493006ZCRFWKF6B1K26 25470F104 -2200.00000000 NS USD -72028.00000000 -0.00829390524 Short EC US N 1 N N N BJ'S RESTAURANTS, INC. 5299000EOW66I1OJNQ23 09180C106 -800.00000000 NS USD -30368.00000000 -0.00349682504 Short EC US N 1 N N N INSTALLED BUILDING PRODUCTS, INC. 549300I95Y9P9YM5FI86 45780R101 -578.00000000 NS USD -39806.86000000 -0.00458369418 Short EC US N 1 N N N Federal National Mortgage Association N/A 20753QAE9 505799.67970000 PA USD 511648.24000000 0.058915449864 Long ABS-MBS US N 2 2031-04-25 Floating 4.19199840 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GWM2 728000.00000000 PA USD 741141.76000000 0.085341249691 Long DBT CORP US N 2 2023-07-24 Fixed 2.90500000 N N N N N N NATIONAL HEALTH INVESTORS, INC. 549300ZPKZIG6DKDEC02 63633D104 941.00000000 NS USD 76672.68000000 0.008828732479 Long EC US N 1 N N N Minerva Luxembourg S.A. 222100NM3G3RCPGZ2Z17 L6401PAH6 198500.00000000 PA USD 208426.99000000 0.024000023687 Long DBT NUSS LU N 2 2028-01-19 Fixed 5.87500000 N N N N N N W. R. GRACE & CO. 5493003X5Z6TVAXIPW56 38388F108 -579.00000000 NS USD -40443.15000000 -0.00465696193 Short EC US N 1 N N N Government National Mortgage Association N/A 38380GHH0 1578390.56000000 PA USD 301222.11000000 0.034685228507 Long DBT USGA US N 2 2047-08-20 Floating 4.43536920 N N N N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05964HAC9 600000.00000000 PA USD 616396.53000000 0.070977042469 Long DBT NUSS ES N 2 2022-04-11 Fixed 3.50000000 N N N N N N RED ROCK RESORTS, INC. N/A 75700L108 -1813.00000000 NS USD -43421.35000000 -0.00499989674 Short EC US N 1 N N N COLONY CAPITAL, INC. 549300XG87L902AGBO89 19626G108 14866.00000000 NS USD 70613.50000000 0.008131027908 Long EC US N 1 N N N RAYONIER INC. HGV8VDVNL0W6SF2U9C50 754907103 3508.00000000 NS USD 114922.08000000 0.013233087721 Long EC US N 1 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254AA8 400000.00000000 PA USD 344000.00000000 0.039611031894 Long DBT NUSS GB Y 2 2168-07-30 Floating 3.44549880 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17320DAU2 342683.00000000 PA USD 353690.01000000 0.040726820543 Long ABS-MBS US N 2 2046-04-10 Floating 4.56687000 N N N N N N AMERICAN WATER WORKS COMPANY, INC. 549300DXHIJQMD5WFW18 030420103 1991.00000000 NS USD 244594.35000000 0.028164635462 Long EC US N 1 N N N EURO N/A N/A 1.00000000 NC 7332.46000000 0.000844320659 N/A DFE XX N 2 BROWN BROTHERS N/A 1126477.73000000 USD 1009097.04000000 EUR 2020-01-16 7332.46 N N N FRESH DEL MONTE PRODUCE INC. 529900I72V9F0FEZR228 G36738105 1189.00000000 NS USD 41591.22000000 0.004789160296 Long EC KY N 1 N N N AMERICAN OUTDOOR BRANDS CORPORATION 5493004PFHUPOR1PWN79 02874P103 -3600.00000000 NS USD -33408.00000000 -0.00384687602 Short EC US N 1 N N N BIO-TECHNE CORPORATION 54930073RLKQ51TILZ35 09073M104 450.00000000 NS USD 98779.50000000 0.011374296293 Long EC US N 1 N N N N/A N/A CDS783276 -276000.00000000 NC USD -1633.26000000 -0.00018806719 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2049-05-11 0 USD -44697.27 USD -276000 USD 43064.01 N N N BRF S.A. 254900MTXR9LUVQFU480 P1905CAD2 254000.00000000 PA USD 258130.04000000 0.029723247812 Long DBT NUSS BR N 2 2023-05-22 Fixed 3.95000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06738CAG4 131000.00000000 PA USD 159165.00000000 0.018327586893 Long DBT NUSS GB Y 2 2168-12-15 Fixed 6.86000000 N N N N N N TWILIO INC. 5493004W8TRGD63APX93 90138F102 800.00000000 NS USD 78624.00000000 0.009053423754 Long EC US N 1 N N N MAGELLAN HEALTH, INC. N/A 559079207 600.00000000 NS USD 46950.00000000 0.005406214963 Long EC US N 1 N N N SOFI CONSUMER LOAN PROGRAM LLC N/A 83405XAB0 697000.00000000 PA USD 704863.07000000 0.081163818450 Long ABS-MBS US N 2 2027-08-25 Fixed 3.67000000 N N N N N N NEW JERSEY RESOURCES CORPORATION 549300QKBSQBIX4DQ583 646025106 1772.00000000 NS USD 78978.04000000 0.009094190876 Long EC US N 1 N N N JAPANESE YEN N/A N/A 1.00000000 NC -170.63000000 -0.00001964776 N/A DFE JP N 2 BROWN BROTHERS N/A 105046.25000000 USD 11376068.00000000 JPY 2020-01-30 -170.63 N N N PATTERSON-UTI ENERGY, INC. 254900XGFBKIXD6G0697 703481101 10159.00000000 NS USD 106669.50000000 0.012282816763 Long EC US N 1 N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAQ4 146000.00000000 PA USD 150197.50000000 0.017294994078 Long DBT CORP US Y 2 2027-12-15 Fixed 4.25000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38148BAD0 265000.00000000 PA USD 266987.50000000 0.030743169703 Long DBT CORP US N 2 2168-05-10 Fixed 5.00000000 N N N N N N METLIFE, INC. C4BXATY60WC6XEOZDX54 59156RAM0 80000.00000000 PA USD 107551.43000000 0.012384369546 Long DBT CORP US N 2 2035-06-15 Fixed 5.70000000 N N N N N N NIKE, INC. 787RXPR0UX0O0XUXPZ81 654106103 -53426.00000000 NS USD -5412588.06000000 -0.62325057638 Short EC US N 1 N N N HUDSON PACIFIC PROPERTIES, INC. N/A 444097109 3282.00000000 NS USD 123567.30000000 0.014228570527 Long EC US N 1 N N N INTUITIVE SURGICAL, INC. 54930052SRG011710797 46120E602 1237.00000000 NS USD 731252.55000000 0.084202523491 Long EC US N 1 N N N SHENANDOAH TELECOMMUNICATIONS COMPANY 549300XH3H4OUKFPHS84 82312B106 1300.00000000 NS USD 54093.00000000 0.006228719617 Long EC US N 1 N N N B&G FOODS, INC. 549300TRW1LZMDJZAQ78 05508R106 2329.00000000 NS USD 41758.97000000 0.004808476431 Long EC US N 1 N N N STARWOOD RETAIL PROPERTY TRUST N/A 85571XAA5 1607425.78600000 PA USD 1602494.85000000 0.184524635506 Long ABS-MBS US N 2 2027-11-15 Floating 3.24749880 N N N N N N CENTRAL GARDEN & PET COMPANY 5493004DVZLD37DJ0H83 153527205 2800.00000000 NS USD 82208.00000000 0.009466115436 Long EC US N 1 N N N Penumbra Inc 549300RGE06P3ECANU72 70975L107 250.00000000 NS USD 41067.50000000 0.004728854803 Long EC US N 1 N N N JBG SMITH PROPERTIES N/A 46590V100 1800.00000000 NS USD 71802.00000000 0.008267881721 Long EC US N 1 N N N COX COMMUNICATIONS, INC. 5493001NEDZNIFRP2R92 224044CA3 240000.00000000 PA USD 244477.17000000 0.028151142379 Long DBT CORP US Y 2 2023-06-30 Fixed 2.95000000 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 448579102 -1294.00000000 NS USD -116084.74000000 -0.01336696610 Short EC US N 1 N N N BRF GmbH 5299002S6DY5RA2IOQ11 A08163AA4 300000.00000000 PA USD 309378.00000000 0.035624365771 Long DBT NUSS AT N 2 2026-09-29 Fixed 4.35000000 N N N N N N N/A N/A N/A 80.00000000 NC USD 1202432.00000000 0.138458059020 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Sugar Sugar #11 World Future Mar 2020 2020-05-15 1124817.66 USD 77614.34 N N N EMERGENT BIOSOLUTIONS INC. 549300YW6TUOX8BE5103 29089Q105 1100.00000000 NS USD 59345.00000000 0.006833478743 Long EC US N 1 N N N FLAGSHIP CREDIT AUTO TRUST N/A 33843NAJ0 545000.00000000 PA USD 578797.58000000 0.066647585470 Long ABS-MBS US N 2 2023-11-15 Fixed 8.56000000 N N N N N N N/A N/A CDS850364 1045000.00000000 NC USD 6183.92000000 0.000712068175 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2058-09-17 78542.93 USD 0 USD 1045000 USD -72359.01 N N N TEMPUR SEALY INTERNATIONAL, INC. 549300HFEKVR3US71V91 88023U101 -2311.00000000 NS USD -201195.66000000 -0.02316734798 Short EC US N 1 N N N FLEETCOR TECHNOLOGIES, INC. 549300DG6RR0NQSFLN74 339041105 552.00000000 NS USD 158821.44000000 0.018288026527 Long EC US N 1 N N N KIMCO REALTY CORPORATION 549300EA7I6T15IBYS12 49446R109 8727.00000000 NS USD 180736.17000000 0.020811471495 Long EC US N 1 N N N BLUEBIRD BIO, INC. N/A 09609G100 597.00000000 NS USD 52386.75000000 0.006032247747 Long EC US N 1 N N N LEGGETT & PLATT, INCORPORATED DKOVQUCDW4ZLYCUD4T55 524660107 -5808.00000000 NS USD -295220.64000000 -0.03399416914 Short EC US N 1 N N N PARAMOUNT GROUP, INC. N/A 69924R108 6007.00000000 NS USD 83617.44000000 0.009628410124 Long EC US N 1 N N N CALIFORNIA RESOURCES CORPORATION 5493003Q8F0T4F4YMR48 13057Q206 1300.00000000 NS USD 11739.00000000 0.001351726463 Long EC US N 1 N N N HERTZ VEHICLE FINANCING LLC 5493004IHDYOZ9K9WF47 428040CU1 1160000.00000000 PA USD 1165933.40000000 0.134255305507 Long ABS-MBS US N 2 2021-10-25 Fixed 2.96000000 N N N N N N Freddie Mac N/A 3137BYRV4 2234510.59970000 PA USD 456829.16000000 0.052603123334 Long DBT USGA US N 2 2047-06-15 Floating 4.22875080 N N N N N N PATTERSON COMPANIES, INC. YM48Q2087CUE26GWEK09 703395103 2077.00000000 NS USD 42536.96000000 0.004898060695 Long EC US N 1 N N N SOUTH JERSEY INDUSTRIES, INC. 549300DJYWYT5VXLFA46 838518108 2400.00000000 NS USD 79152.00000000 0.009114222082 Long EC US N 1 N N N BRIGHT HORIZONS FAMILY SOLUTIONS INC. N/A 109194100 -1779.00000000 NS USD -267365.91000000 -0.03078674298 Short EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828VF4 1300000.00000000 PA USD 1298476.56000000 0.149517431490 Long SN UST US N 2 2020-05-31 Fixed 1.37500000 N N N N N N Odebrecht Finance, Ltd. N/A 675758AJ5 444000.00000000 PA USD 26085.00000000 0.003003644671 Long DBT NUSS KY Y 2 2042-06-26 Fixed 7.12500000 Y N N N N N N/A N/A N/A -6.00000000 NC USD -60.00000000 -0.00000690890 N/A DIR XX N 1 ROYAL BANK CANADA N/A Call Written N/A Call Option 6 Feb 2020 on Natural Gas Future Mar 2020 -60000.00000000 6 USD 2020-02-28 XXXX 2311.5 N N N N/A N/A N/A -23.00000000 NC USD -1840.00000000 -0.00021187296 N/A DIR XX N 1 MARKET AXESS N/A Put Written N/A Put Option 56 Feb 2020 on LEAN HOGS FUTURE (Globex) Feb 2020 -9200.00000000 56 USD 2020-02-17 XXXX 10488 N N N N/A N/A N/A 19.00000000 NC USD 1702495.00000000 0.196039487632 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Silver SILVER FUTURE Mar 2020 2020-03-27 1607066.3 USD 95428.7 N N N THE CHEMOURS COMPANY 549300M1BOLNXL8DOV14 163851108 -2499.00000000 NS USD -45206.91000000 -0.00520550102 Short EC US N 1 N N N LSTAR COMMERCIAL MORTGAGE TRUST N/A 50219QAC8 970763.00000000 PA USD 961932.45000000 0.110764933015 Long ABS-MBS US N 2 2049-03-10 Fixed 2.57900000 N N N N N N BLACK HILLS CORPORATION 3MGELCRSTNSAMJ962671 092113109 1200.00000000 NS USD 94248.00000000 0.010852501552 Long EC US N 1 N N N N/A N/A N/A -47.00000000 NC USD -2877340.00000000 -0.33132094916 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Short Crude Oil BRENT CRUDE OIL(ICE) Dec 2020 2020-11-02 -2642137.34 USD -235202.66 N N N United States of America 254900HROIFWPRGM1V77 912828S50 18558600.00000000 PA USD 19987545.63000000 2.301532870480 Long DBT USGA US N 2 2026-07-15 Fixed 0.12500000 N N N N N N COOPER-STANDARD HOLDINGS INC. 549300VVOH2RQP5YMB08 21676P103 -1651.00000000 NS USD -54747.16000000 -0.00630404506 Short EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 1490000.00000000 NC USD 12894.32000000 0.001484759653 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2026-11-08 0 USD 0 USD -1490000 USD 12894.32 N N N SEAGATE HDD CAYMAN 529900BD50TRWEG1SF63 81180WAL5 209000.00000000 PA USD 223445.11000000 0.025729335403 Long DBT NUSS KY N 2 2025-01-01 Fixed 4.75000000 N N N N N N CAVCO INDUSTRIES, INC. N/A 149568107 -400.00000000 NS USD -78152.00000000 -0.00899907373 Short EC US N 1 N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746U109 8374.00000000 NS USD 693534.68000000 0.079859373050 Long EC US N 1 N N N LB-UBS COMMERCIAL MORTGAGE TRUST N/A 50179MAH4 221010.77790000 PA USD 117675.44000000 0.013550132578 Long ABS-MBS US N 2 2039-09-15 Fixed 5.45200000 N N N N N N N/A N/A CDS878481 -32000.00000000 NC USD -1634.99000000 -0.00018826639 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -3158.84 USD -32000 USD 1523.85 N N N N/A N/A N/A 38.00000000 NC USD 923400.00000000 0.106327985033 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Wheat WHEAT FUTURE(Consolidated) Mar 2020 2020-03-13 824698.96 USD 98701.04 N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17324KAP3 435000.00000000 PA USD 466781.27000000 0.053749092365 Long ABS-MBS US N 2 2048-11-10 Fixed 3.81800000 N N N N N N WALGREENS BOOTS ALLIANCE, INC. 549300RPTUOIXG4LIH86 931427108 23863.00000000 NS USD 1406962.48000000 0.162009406016 Long EC US N 1 N N N N/A N/A CDS740562 -727000.00000000 NC USD -37144.88000000 -0.00427717158 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -83640.7 USD -727000 USD 46495.82 N N N BERRY GLOBAL GROUP, INC. 549300G6KKUMMXM8NH73 08579W103 -1702.00000000 NS USD -80827.98000000 -0.00930720841 Short EC US N 1 N N N AT&T INC. 549300Z40J86GGSTL398 00206RCT7 574000.00000000 PA USD 622179.90000000 0.071642987974 Long DBT CORP US N 2 2026-02-17 Fixed 4.12500000 N N N N N N WILLIAM LYON HOMES 54930001WYSBMHJC4N02 552074700 -100.00000000 NS USD -1998.00000000 -0.00023006640 Short EC US N 1 N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824C109 -12135.00000000 NS USD -192461.10000000 -0.02216157782 Short EC US N 1 N N N SIX FLAGS ENTERTAINMENT CORPORATION 549300JYTDUAA4JQ3717 83001A102 -2252.00000000 NS USD -101587.72000000 -0.01169765818 Short EC US N 1 N N N INTERNATIONAL PAPER COMPANY 824LMFJDH41EY779Q875 460146103 -6976.00000000 NS USD -321244.80000000 -0.03699080819 Short EC US N 1 N N N N/A N/A N/A 50.00000000 NC USD 1006250.00000000 0.115868025709 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Corn Corn Future Dec 2020 2020-12-16 990173.5 USD 16076.5 N N N VISTRA ENERGY CORP. 549300KP43CPCUJOOG15 92840M102 5578.00000000 NS USD 128238.22000000 0.014766419251 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XBM5 787999.91220000 PA USD 876683.47000000 0.100948653754 Long DBT USGA US N 2 2028-08-25 Floating 8.57274840 N N N N N N United States of America 254900HROIFWPRGM1V77 912810FR4 16295000.00000000 PA USD 24793694.70000000 2.854952998684 Long DBT USGA XX N 2 2025-01-15 Fixed 2.37500000 N N N N N N CREDIT AGRICOLE S.A. LONDON BRANCH N/A 225313AG0 400000.00000000 PA USD 401255.88000000 0.046203951920 Long DBT NUSS FR Y 2 2020-06-10 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828SA9 9330000.00000000 PA USD 10602717.61000000 1.220885422730 Long DBT USGA XX N 2 2022-01-15 Fixed 0.12500000 N N N N N N CIMAREX ENERGY CO. 11KYOFXPU1C4CQL1CL44 171798101 4688.00000000 NS USD 246073.12000000 0.028334913385 Long EC US N 1 N N N BIO-RAD LABORATORIES, INC. 549300ZC1GPV35XYDK53 090572207 282.00000000 NS USD 104348.46000000 0.012015552840 Long EC US N 1 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGE3 1200000.00000000 PA USD 1223447.45000000 0.140877953381 Long DBT CORP US N 2 2023-01-20 Fixed 3.12400000 N N N N N N PAPA JOHN'S INTERNATIONAL, INC. HZYLD3DK5XOX0WBVNB56 698813102 -1000.00000000 NS USD -63150.00000000 -0.00727161820 Short EC US N 1 N N N N/A N/A CDS858159 -250000.00000000 NC USD -12773.34000000 -0.00147082900 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -32738.59 USD -250000 USD 19965.25 N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 92769VAC3 200000.00000000 PA USD 203000.00000000 0.023375114751 Long DBT CORP GB N 2 2022-02-15 Fixed 5.25000000 N N N N N N NUANCE COMMUNICATIONS, INC. AEMSOT3SS15TNMJCE605 67020Y100 3100.00000000 NS USD 55273.00000000 0.006364594668 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828NM8 26554800.00000000 PA USD 31634620.43000000 3.642674298916 Long DBT USGA XX N 2 2020-07-15 Fixed 1.25000000 N N N N N N BRK: MORGAN STANLEY N/A N/A 153850000.00000000 NC -403868.72000000 -0.04650481613 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-08-30 0 SEK 0 SEK -153850000 SEK -403868.72 N N N Freddie Mac N/A 35564WAH6 362535.00000000 PA USD 363215.04000000 0.041823612017 Long DBT USGA US N 2 2048-11-25 Floating 3.94200000 N N N N N N DELL TECHNOLOGIES INC. 549300TJB5YBRUPOG437 24703L202 -1846.00000000 NS USD -94865.94000000 -0.01092365632 Short EC US N 1 N N N ADVANCED MICRO DEVICES, INC. R2I72C950HOYXII45366 007903107 -6122.00000000 NS USD -280754.92000000 -0.03232846537 Short EC US N 1 N N N WHIRLPOOL CORPORATION WHENKOULSSK7WUM60H03 963320106 -2702.00000000 NS USD -398626.06000000 -0.04590113249 Short EC US N 1 N N N Federal Home Loan Banks N/A 3130AGUG8 3400000.00000000 PA USD 3401436.84000000 0.391669834758 Long DBT USGA US N 2 2022-08-05 Fixed 2.25000000 N N N N N N ADTALEM GLOBAL EDUCATION INC. 549300Z467EZLMODV621 00737L103 -1347.00000000 NS USD -47104.59000000 -0.00542401574 Short EC US N 1 N N N TRANSDIGM INC. 88Q84GB3X55CF5OC7582 893647BE6 405000.00000000 PA USD 438457.05000000 0.050487605209 Long DBT CORP US Y 2 2026-03-15 Fixed 6.25000000 N N N N N N JACK HENRY & ASSOCIATES, INC. 529900X1QS8C54W0JB21 426281101 451.00000000 NS USD 65697.17000000 0.007564920628 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XCT9 1171531.59960000 PA USD 1265261.27000000 0.145692745700 Long DBT USGA US N 2 2028-10-25 Floating 7.69200120 N N N N N N APPLIED MATERIALS, INC. 41BNNE1AFPNAZELZ6K07 038222105 -6764.00000000 NS USD -412874.56000000 -0.04754182373 Short EC US N 1 N N N TYSON FOODS, INC. WD6L6041MNRW1JE49D58 902494AX1 715000.00000000 PA USD 766725.75000000 0.088287203888 Long DBT CORP US N 2 2024-08-15 Fixed 3.95000000 N N N N N N N/A N/A CDS894588 -503000.00000000 NC USD -25699.97000000 -0.00295930910 N/A DCR XX N 2 BRK: J.P. MORGAN CHASE N/A Y 2063-05-11 0 USD -61635.14 USD -503000 USD 35935.17 N N N N/A N/A N/A 13.00000000 NC USD 1980030.00000000 0.227997184541 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Gold GOLD 100 OZ FUTR Feb 2020 2020-02-28 1936735.5 USD 43294.5 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -11849.78000000 -0.00136448259 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 2657324.44000000 BRL 648681.66000000 USD 2020-01-03 -11849.78 N N N WD-40 COMPANY 549300UZHTN0CNKBOB19 929236107 327.00000000 NS USD 63483.78000000 0.007310052425 Long EC US N 1 N N N SYNEOS HEALTH, INC. 549300F1ZGKDS8P6GU13 87166B102 1073.00000000 NS USD 63816.68000000 0.007348385310 Long EC US N 1 N N N NEWELL BRANDS INC. 549300LWGYFM1TVO1Z12 651229106 -15908.00000000 NS USD -305751.76000000 -0.03520681022 Short EC US N 1 N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133EK6W1 1200000.00000000 PA USD 1199333.18000000 0.138101235015 Long DBT USGA US N 2 2022-11-07 Floating 1.94586120 N N N N N N ETSY, INC. 54930089Q7XT501AEA40 29786A106 -1200.00000000 NS USD -53160.00000000 -0.00612128620 Short EC US N 1 N N N ARCH COAL, INC. W47HVZ7Q6FXL86RELH91 039380407 600.00000000 NS USD 43044.00000000 0.004956445514 Long EC US N 1 N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 10512.00000000 NS USD 3090317.76000000 0.355844986499 Long EC US N 1 N N N MYRIAD GENETICS, INC. 52990044IHUOUMETT163 62855J104 2300.00000000 NS USD 62629.00000000 0.007211625920 Long EC US N 1 N N N STURM, RUGER & COMPANY, INC. 529900DV1BWFJSHFO847 864159108 -800.00000000 NS USD -37624.00000000 -0.00433234146 Short EC US N 1 N N N THE HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866108 4194.00000000 NS USD 616434.12000000 0.070981370896 Long EC US N 1 N N N SIMON PROPERTY GROUP, INC. 529900GQL5X8H7AO3T64 828806109 5233.00000000 NS USD 779507.68000000 0.089759022019 Long EC US N 1 N N N PPG INDUSTRIES, INC. 549300BKPEP01R3V6C59 693506107 -3684.00000000 NS USD -491777.16000000 -0.05662732781 Short EC US N 1 N N N MORGAN STANLEY CAPITAL I TRUST N/A 61691EBA2 835000.00000000 PA USD 889501.12000000 0.102424584984 Long ABS-MBS US N 2 2049-12-15 Fixed 3.59600000 N N N N N N VOYA FINANCIAL, INC. 549300T065Z4KJ686G75 45685EAG1 258000.00000000 PA USD 274308.18000000 0.031586133915 Long DBT CORP US N 2 2053-05-15 Floating 5.64999840 N N N N N N LINCOLN NATIONAL CORPORATION EFQMQROEDSNBRIP7LE47 534187BC2 355000.00000000 PA USD 370329.05000000 0.042642778520 Long DBT CORP US N 2 2022-03-15 Fixed 4.20000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAV3 900000.00000000 PA USD 910887.65000000 0.104887208594 Long DBT NUSS DK Y 2 2025-12-20 Fixed 3.24400000 N N N N N N VIACOMCBS INC - CLASS B N/A 92556H206 2385.00000000 NS USD 100098.45000000 0.011526171208 Long EC US N 1 N N N SUNOCO LP 54930001NJU8E40NQ561 86765LAJ6 563000.00000000 PA USD 575678.76000000 0.066288458498 Long DBT CORP US N 2 2023-01-15 Fixed 4.87500000 N N N N N N MACK-CALI REALTY CORPORATION N/A 554489104 2924.00000000 NS USD 67632.12000000 0.007787726925 Long EC US N 1 N N N SONOCO PRODUCTS COMPANY GKOMIK4RDJGHEF0VNP11 835495102 -2000.00000000 NS USD -123440.00000000 -0.01421391214 Short EC US N 1 N N N Federal National Mortgage Association N/A 3135G0W90 1300000.00000000 PA USD 1300083.62000000 0.149702481795 Long DBT USGA US N 2 2022-10-28 Fixed 1.95000000 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207U105 9008.00000000 NS USD 46931.68000000 0.005404105445 Long EC US N 1 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 G84228CQ9 412000.00000000 PA USD 443415.00000000 0.051058504963 Long DBT NUSS GB N 2 2168-04-02 Fixed 7.50000000 N N N Y Y STANDARD CHARTERED PLC GBP XXXX N N N VAIL RESORTS, INC. 529900PSZHRNU9HKH870 91879Q109 -1147.00000000 NS USD -275085.01000000 -0.03167558460 Short EC US N 1 N N N N/A N/A N/A 131.00000000 NC USD 2732922.00000000 0.314691454963 N/A DCO US N 1 MARKET AXESS N/A Long Soybean Oil Soybean Oil Future Mar 2020 2020-03-13 2501049.52 USD 231872.48 N N N Kraft Heinz Foods Company 5493003STKEZ2S0RNU91 50077LAK2 61000.00000000 PA USD 64593.15000000 0.007437794548 Long DBT CORP US N 2 2025-07-15 Fixed 3.95000000 N N N N N N Federal National Mortgage Association N/A 30711XAK0 306788.36260000 PA USD 322707.89000000 0.037159280591 Long DBT USGA US N 2 2024-07-25 Floating 4.79199960 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000KBH7 925000.00000000 PA USD 978741.30000000 0.112700444333 Long ABS-MBS US N 2 2049-11-15 Floating 4.45680000 N N N N N N TERRENO REALTY CORPORATION N/A 88146M101 978.00000000 NS USD 52948.92000000 0.006096980694 Long EC US N 1 N N N NOBLE CORPORATION PLC N/A G65431101 11500.00000000 NS USD 14030.00000000 0.001615531329 Long EC GB N 1 N N N FREEPORT-MCMORAN INC. 549300IRDTHJQ1PVET45 35671D857 -19249.00000000 NS USD -252546.88000000 -0.02908035615 Short EC US N 1 N N N N/A N/A N/A -40262875.00000000 PA USD -40262875.00000000 -4.63620356335 Short RA XX N 2 Reverse repurchase N 1.62000000 2050-12-31 40262875.00000000 USD 41077090.99000000 USD UST N N N BAXTER INTERNATIONAL INC. J5OIVXX3P24RJRW5CK77 071813109 5757.00000000 NS USD 481400.34000000 0.055432454133 Long EC US N 1 N N N HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 4042Q1AE7 450000.00000000 PA USD 457757.77000000 0.052710051242 Long DBT CORP US N 2 2020-08-24 Fixed 4.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796SR1 1000000.00000000 PA USD 994064.58000000 0.114464894720 Long DBT UST US N 2 2020-05-21 None 0.00000000 N N N N N N CANTEL MEDICAL CORP. 549300ZFW3JXCDHTGW91 138098108 300.00000000 NS USD 21270.00000000 0.002449205373 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 1490000.00000000 NC USD 11517.76000000 0.001326251042 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2026-11-09 0 USD 0 USD -1490000 USD 11517.76 N N N HERBALIFE NUTRITION LTD. 549300BA7TYPBSZZIA41 G4412G101 3708.00000000 NS USD 176760.36000000 0.020353663539 Long EC KY N 1 N N N AARON'S, INC. 529900IVEJ72I7MQ3Z14 002535300 -1000.00000000 NS USD -57110.00000000 -0.00657612218 Short EC US N 1 N N N MAXIM INTEGRATED PRODUCTS, INC. SO0H5YEO14Y4PVKQH532 57772K101 -2156.00000000 NS USD -132615.56000000 -0.01527046272 Short EC US N 1 N N N N/A N/A CDS859670 -20000.00000000 NC USD -118.35000000 -0.00001362780 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -2563.08 USD -20000 USD 2444.73 N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 700000.00000000 PA USD 752684.80000000 0.086670411684 Long DBT NUSS GB Y 2 2023-11-07 Fixed 5.00000000 N N N N N N SCHOLASTIC CORPORATION N/A 807066105 -1400.00000000 NS USD -53830.00000000 -0.00619843560 Short EC US N 1 N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824100 18929.00000000 NS USD 1644172.94000000 0.189323798740 Long EC US N 1 N N N FEDERAL REALTY INVESTMENT TRUST 549300LI6XZ51GOCJ427 313747206 1219.00000000 NS USD 156921.87000000 0.018069294178 Long EC US N 1 N N N GCI Liberty, Inc. 5493003JDENERRDYFN86 36164V305 700.00000000 NS USD 49595.00000000 0.005710782345 Long EC US N 1 N N N COOPER TIRE & RUBBER COMPANY DE46ECQ8KH195MRIQN56 216831107 -4508.00000000 NS USD -129605.00000000 -0.01492380171 Short EC US N 1 N N N BNP PARIBAS S.A. R0MUWSFPU8MPRO8K5P83 05579TED4 200000.00000000 PA USD 200270.76000000 0.023060847273 Long DBT CORP FR N 2 2020-05-21 Fixed 2.37500000 N N N N N N MOTOROLA SOLUTIONS, INC. 6S552MUG6KGJVEBSEC55 620076307 -1331.00000000 NS USD -214477.34000000 -0.02469671149 Short EC US N 1 N N N N/A N/A CDS947387 -132000.00000000 NC USD -14947.86000000 -0.00172122139 N/A DCR XX N 2 BRK: CITIGROUP GLOBAL MARKETS INC N/A Y 2063-05-11 0 USD -21348.89 USD -132000 USD 6401.03 N N N REGENCY CENTERS CORPORATION 529900053A7X7FJ97S58 758849103 3362.00000000 NS USD 212108.58000000 0.024423952696 Long EC US N 1 N N N ALPHABET INC. 5493006MHB84DD0ZWV18 02079K305 1592.00000000 NS USD 2132308.88000000 0.245531846089 Long EC US N 1 N N N ASPEN TECHNOLOGY, INC. 529900B0MZWTVFG7CB96 045327103 476.00000000 NS USD 57562.68000000 0.006628247539 Long EC US N 1 N N N DUNKIN' BRANDS GROUP, INC. 549300311IRV47UCTO62 265504100 -2118.00000000 NS USD -159993.72000000 -0.01842301263 Short EC US N 1 N N N STERIS plc N/A G8473T100 1200.00000000 NS USD 182904.00000000 0.021061093539 Long EC IE N 1 N N N COGENT COMMUNICATIONS HOLDINGS, INC. N/A 19239V302 600.00000000 NS USD 39486.00000000 0.004546747690 Long EC US N 1 N N N STEVEN MADDEN, LTD. 549300Z9GZ7GYJWSGF43 556269108 -3865.00000000 NS USD -166233.65000000 -0.01914153026 Short EC US N 1 N N N Federal National Mortgage Association N/A 3136AXSW6 2311713.71800000 PA USD 420023.13000000 0.048364969764 Long DBT USGA US N 2 2047-08-25 Floating 4.32725040 N N N N N N AMAZON.COM, INC. ZXTILKJKG63JELOEG630 023135106 -3290.00000000 NS USD -6079393.60000000 -0.70003213310 Short EC US N 1 N N N UNIVERSAL DISPLAY CORPORATION N/A 91347P105 -422.00000000 NS USD -86961.54000000 -0.01001347771 Short EC US N 1 N N N QEP RESOURCES, INC. Q6JQDZPXKEDQKVK58165 74733V100 11994.00000000 NS USD 53973.00000000 0.006214901815 Long EC US N 1 N N N PARK HOTELS & RESORTS INC. 5493005UZ5TQN0H6HS73 700517105 5354.00000000 NS USD 138507.98000000 0.015948965155 Long EC US N 1 N N N SENIOR HOUSING PROPERTIES TRUST N/A 81721M109 6344.00000000 NS USD 53543.36000000 0.006165429478 Long EC US N 1 N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141EB81 900000.00000000 PA USD 932220.00000000 0.107343593467 Long DBT CORP US N 2 2023-11-29 Floating 3.51375120 N N N N N N BERRY PETROLEUM CORPORATION N/A 08579X101 6700.00000000 NS USD 63181.00000000 0.007275187808 Long EC US N 1 N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 101137107 15550.00000000 NS USD 703171.00000000 0.080968979384 Long EC US N 1 N N N N/A N/A N/A 47.00000000 NC USD 3011760.00000000 0.346799190171 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Crude Oil BRENT CRUDE OIL(ICE) Jun 2020 2020-05-03 2684768.22 USD 326991.78 N N N RELIANCE STEEL & ALUMINUM CO. 549300E287ZOFT3C5Z56 759509102 -1198.00000000 NS USD -143472.48000000 -0.01652061913 Short EC US N 1 N N N GENUINE PARTS COMPANY 549300D46DQVEU651W04 372460105 -1935.00000000 NS USD -205555.05000000 -0.02366932453 Short EC US N 1 N N N PS BUSINESS PARKS, INC. N/A 69360J107 502.00000000 NS USD 82764.74000000 0.009530223127 Long EC US N 1 N N N CASEYS GENERAL STORES INC 549300CAFWSI86V66Q65 147528103 1297.00000000 NS USD 206210.03000000 0.023744744405 Long EC US N 1 N N N SAUL CENTERS, INC. N/A 804395101 834.00000000 NS USD 44018.52000000 0.005068659882 Long EC US N 1 N N N THE COCA-COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 113964.00000000 NS USD 6307907.40000000 0.726345119795 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XAZ7 275813.32400000 PA USD 285692.35000000 0.032897002290 Long DBT USGA US N 2 2025-05-25 Floating 5.79200040 N N N N N N AVERY DENNISON CORPORATION 549300PW7VPFCYKLIV37 053611109 -1528.00000000 NS USD -199892.96000000 -0.02301734422 Short EC US N 1 N N N PROSPER MARKETPLACE ISSUANCE TRUST N/A 74362DAA6 341344.32000000 PA USD 343064.80000000 0.039503345159 Long ABS-MBS US N 2 2025-07-15 Fixed 3.19000000 N N N N N N WPX ENERGY, INC. ZXZE9GCS2BB547GJW219 98212B103 20710.00000000 NS USD 284555.40000000 0.032766084375 Long EC US N 1 N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122108 26008.00000000 NS USD 1669453.52000000 0.192234815777 Long EC US N 1 N N N VISTA OUTDOOR INC. 549300QI2D33ESTJLN81 928377100 -3600.00000000 NS USD -26928.00000000 -0.00310071472 Short EC US N 1 N N N N/A N/A N/A -151.00000000 NC USD -2269590.40000000 -0.26133958640 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Sugar Sugar #11 World Future Mar 2020 2020-05-15 -2275614.6 USD 6024.2 N N N N/A N/A N/A 36.00000000 NC USD 1760040.00000000 0.202665699348 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Platinum PLATINUM FUTURE(Consolidated) Apr 2020 2020-05-01 1721804.22 USD 38235.78 N N N SUNSTONE HOTEL INVESTORS, INC. 529900ZQ2V52V96ATF67 867892101 5306.00000000 NS USD 73859.52000000 0.008504801751 Long EC US N 1 N N N N/A N/A N/A -29.00000000 NC USD -2091262.50000000 -0.24080542321 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Feeder Cattle CATTLE FEEDER FUT(Consolidated) Mar 2020 2020-03-29 -2069970.61 USD -21291.89 N N N AXALTA COATING SYSTEMS LTD. 529900AGLPA40GV6H619 G0750C108 -2527.00000000 NS USD -76820.80000000 -0.00884578825 Short EC BM N 1 N N N United Kingdom of Great Britain and Northern Ireland N/A N/A -24.00000000 NC -4177092.47000000 -0.48098529958 N/A DIR GB N 1 GOLDMAN, SACHS & CO. N/A Short U.K. Gilt Futures U.K. Long Gilt Future Mar 2020 2020-03-30 -4117941.42 GBP -59151.05 N N N EAGLE MATERIALS INC. 529900KRXRGXL61SG039 26969P108 -842.00000000 NS USD -76335.72000000 -0.00878993209 Short EC US N 1 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94989QAV2 485000.00000000 PA USD 517159.82000000 0.059550099199 Long ABS-MBS US N 2 2048-09-15 Fixed 3.78900000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17324TAE9 540000.00000000 PA USD 574497.90000000 0.066152484419 Long ABS-MBS US N 2 2049-02-10 Fixed 3.61600000 N N N N N N EURO N/A N/A 1.00000000 NC 52.73000000 0.000006071772 N/A DFE XX N 2 BROWN BROTHERS N/A 4688.19000000 USD 4219.44000000 EUR 2020-01-16 52.73 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29364G103 2093.00000000 NS USD 250741.40000000 0.028872458118 Long EC US N 1 N N N INSMED INCORPORATED 529900Q55QAG41CCAC11 457669307 1600.00000000 NS USD 38208.00000000 0.004399588100 Long EC US N 1 N N N SKYLINE CHAMPION CORPORATION N/A 830830105 -2000.00000000 NS USD -63400.00000000 -0.00730040529 Short EC US N 1 N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599105 44186.00000000 NS USD 1820905.06000000 0.209674210490 Long EC US N 1 N N N TUPPERWARE BRANDS CORPORATION G8NWFN4YP7CR6FOP4886 899896104 -2752.00000000 NS USD -23612.16000000 -0.00271890122 Short EC US N 1 N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166104 13737.00000000 NS USD 414857.40000000 0.047770144485 Long EC US N 1 N N N FIVE BELOW, INC. 529900AAXP5Z6BGI7418 33829M101 -500.00000000 NS USD -63930.00000000 -0.00736143392 Short EC US N 1 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST N/A 054966AA4 1610000.00000000 PA USD 1610925.75000000 0.185495439718 Long ABS-MBS US N 2 2033-11-15 Floating 3.02749920 N N N N N N ENERGY TRANSFER OPERATING, L.P. 5493008K8W3OKZE54J59 29273RAQ2 465000.00000000 PA USD 487659.09000000 0.056153138859 Long DBT CORP US N 2 2022-02-01 Fixed 5.20000000 N N N N N N TESLA, INC. 54930043XZGB27CTOV49 88160R101 -12095.00000000 NS USD -5059701.35000000 -0.58261625451 Short EC US N 1 N N N HERTZ VEHICLE FINANCING LLC 5493004IHDYOZ9K9WF47 42806DAB5 491000.00000000 PA USD 492062.97000000 0.056660238368 Long ABS-MBS US N 2 2021-03-25 Fixed 3.52000000 N N N N N N BURLINGTON STORES, INC. 5299003Z37DVGKKC1W09 122017106 -684.00000000 NS USD -155972.52000000 -0.01795997809 Short EC US N 1 N N N REALTY INCOME CORPORATION 549300CUWDAUZSH43859 756109104 5399.00000000 NS USD 397528.37000000 0.045774735299 Long EC US N 1 N N N AUTODESK, INC. FRKKVKAIQEF3FCSTPG55 052769106 1102.00000000 NS USD 202172.92000000 0.023279877855 Long EC US N 1 N N N Federal National Mortgage Association N/A 20753WAF3 900000.00000000 PA USD 908455.86000000 0.104607191992 Long ABS-MBS US N 2 2039-10-25 Floating 3.89000160 N N N N N N N/A N/A CDS870811 -1324000.00000000 NC USD -67647.63000000 -0.00778951287 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2049-12-31 1585.99 USD 0 USD -1324000 USD -69233.62 N N N LULULEMON ATHLETICA INC. 549300D9GZ4BMLDW5T40 550021109 -5325.00000000 NS USD -1233642.75000000 -0.14205192533 Short EC US N 1 N N N BROADRIDGE FINANCIAL SOLUTIONS, INC. N/A 11133T103 700.00000000 NS USD 86478.00000000 0.009957798884 Long EC US N 1 N N N N/A N/A N/A -3.00000000 NC USD -170606.25000000 -0.01964502793 N/A DCO GB N 1 MORGAN STANLEY & CO, INC N/A Short Zinc LME ZINC FUTURE Mar 2020 2020-03-19 -167996.35 USD -2609.9 N N N FACEBOOK, INC. BQ4BKCS1HXDV9HN80Z93 30303M102 12468.00000000 NS USD 2559057.00000000 0.294671187346 Long EC US N 1 N N N D.R. HORTON, INC. 529900ZIUEYVSB8QDD25 23331A109 -15204.00000000 NS USD -802011.00000000 -0.09235024215 Short EC US N 1 N N N DMC GLOBAL INC. 549300CBDXD1Z5MRNG02 23291C103 500.00000000 NS USD 22470.00000000 0.002587383391 Long EC US N 1 N N N Arista Networks Inc 635400H1WKBLOQERUU95 040413106 -544.00000000 NS USD -110649.60000000 -0.01274111870 Short EC US N 1 N N N KILROY REALTY CORPORATION 549300CXXI18B214UN80 49427F108 1828.00000000 NS USD 153369.20000000 0.017660210095 Long EC US N 1 N N N SBA TOWER TRUST N/A 78403DAJ9 950000.00000000 PA USD 950954.28000000 0.109500814870 Long DBT CORP US N 2 2020-10-08 Fixed 3.15600000 N N N N N N Federal National Mortgage Association N/A 30711XDK7 804174.07460000 PA USD 849351.85000000 0.097801462849 Long DBT USGA US N 2 2029-01-25 Floating 6.27275160 N N N N N N VEEVA SYSTEMS INC. 549300YZEXPDB92M2F02 922475108 1421.00000000 NS USD 199877.86000000 0.023015605486 Long EC US N 1 N N N SEABOARD CORPORATION 87Q3KOXT29OW9W9YPT70 811543107 7.00000000 NS USD 29753.85000000 0.003426106689 Long EC US N 1 N N N INGEVITY CORPORATION 5493009UTFC4B5IMGF87 45688C107 -376.00000000 NS USD -32854.88000000 -0.00378318517 Short EC US N 1 N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523100 4357.00000000 NS USD 890962.93000000 0.102592909991 Long EC US N 1 N N N TERRAFORM GLOBAL OPERATING LP 549300LC7QMVR79H5O86 88104UAC7 188000.00000000 PA USD 195520.00000000 0.022513805104 Long DBT CORP US Y 2 2026-03-01 Fixed 6.12500000 N N N N N N WINNEBAGO INDUSTRIES, INC. 549300B7OYKYJLTE3G11 974637100 -2403.00000000 NS USD -127310.94000000 -0.01465964449 Short EC US N 1 N N N N/A N/A N/A 56.00000000 NC USD 1599920.00000000 0.184228145781 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Hogs LEAN HOGS FUTURE(Consolidated) Feb 2020 2020-02-14 1657364 USD -57444 N N N N/A N/A N/A -23.00000000 NC USD -3910.00000000 -0.00045023004 N/A DIR XX N 1 MARKET AXESS N/A Put Written N/A Put Option 60 Feb 2020 on LEAN HOGS FUTURE (Globex) Feb 2020 -9200.00000000 60 USD 2020-02-17 XXXX 13938 N N N LIVANOVA PLC 2138001K2FX6SHK2B339 G5509L101 457.00000000 NS USD 34471.51000000 0.003969337447 Long EC GB N 1 N N N UNITED THERAPEUTICS CORPORATION 5299005C4HZL4UWROC14 91307C102 722.00000000 NS USD 63593.76000000 0.007322716440 Long EC US N 1 N N N Freddie Mac N/A 3137G0PU7 250000.00000000 PA USD 256881.15000000 0.029579440191 Long DBT USGA US N 2 2029-12-25 Floating 4.44200040 N N N N N N IQVIA HOLDINGS INC 549300W3R20NM4KQPH86 46266C105 2182.00000000 NS USD 337140.82000000 0.038821208645 Long EC US N 1 N N N AMERICOLD REALTY TRUST 549300R7N1V5YV8MWH02 03064D108 2200.00000000 NS USD 77132.00000000 0.008881622418 Long EC US N 1 N N N JAZZ PHARMACEUTICALS PUBLIC LIMITED COMPANY 635400GAUMJCLEZRRV50 G50871105 829.00000000 NS USD 123753.12000000 0.014249967393 Long EC IE N 1 N N N JAGGED PEAK ENERGY INC. 529900LS5FRAKXSAO191 47009K107 5500.00000000 NS USD 46695.00000000 0.005376852134 Long EC US N 1 N N N N/A N/A N/A 100.00000000 NC USD 16250.00000000 0.001871160663 N/A DIR XX N 1 ROYAL BANK CANADA N/A Put Purchased N/A Put Option 510 Feb 2020 on WHEAT FUTR e-CBOT Mar 2020 (e-CBOT) 5000.00000000 510 USD 2020-02-24 XXXX -32272 N N N GARTNER, INC. PP55B5R38BFB8O8HH686 366651107 400.00000000 NS USD 61640.00000000 0.007097744203 Long EC US N 1 N N N MGE ENERGY, INC. N/A 55277P104 700.00000000 NS USD 55174.00000000 0.006353194981 Long EC US N 1 N N N NU SKIN ENTERPRISES, INC. 54930050DETB6CP71D38 67018T105 1702.00000000 NS USD 69747.96000000 0.008031362407 Long EC US N 1 N N N ALLETE, Inc. 549300NNLSIMY6Z8OT86 018522300 650.00000000 NS USD 52760.50000000 0.006075284442 Long EC US N 1 N N N STORE CAPITAL CORPORATION 5493004EA6C9IHDZ7N66 862121100 4155.00000000 NS USD 154732.20000000 0.017817157294 Long EC US N 1 N N N N/A N/A N/A -42.00000000 NC USD -1900500.00000000 -0.21883943638 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Short Aluminum LME ALUM HG FUTUR Mar 2020 2020-03-16 -1866805.5 USD -33694.5 N N N SCANSOURCE, INC. 7FHBAN017QDY4K2KP156 806037107 -1700.00000000 NS USD -62815.00000000 -0.00723304351 Short EC US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 038461AK5 291000.00000000 PA USD 302931.58000000 0.034882071154 Long DBT NUSS EG Y 2 2022-01-31 Fixed 6.12500000 N N N N N N DENBURY RESOURCES INC. 549300KCWA5W52MS5559 247916208 15000.00000000 NS USD 21150.00000000 0.002435387571 Long EC US N 1 N N N POLISH ZLOTY N/A N/A 1.00000000 NC 42773.32000000 0.004925277159 N/A DFE PA N 2 CITIGROUP GLOBAL MARKETS N/A 1124897.46000000 USD 4421860.55000000 PLN 2020-01-09 42773.32 N N N LIBERTY BROADBAND CORPORATION 549300MIX43II8JLN536 530307305 -1300.00000000 NS USD -163475.00000000 -0.01882387627 Short EC US N 1 N N N QURATE RETAIL, INC. 549300PSXEKU4PHLCR04 74915M100 -4390.00000000 NS USD -37007.70000000 -0.00426137553 Short EC US N 1 N N N Celulosa Arauco y Constitucion S.A. 549300QEKV8G0AMNQD28 151191BJ1 380000.00000000 PA USD 381140.00000000 0.043887641559 Long DBT NUSS CL Y 2 2030-01-29 Fixed 4.20000000 N N N N N N MEDICAL PROPERTIES TRUST, INC. 254900U6E39J1MQCCY14 58463J304 7858.00000000 NS USD 165882.38000000 0.019101082107 Long EC US N 1 N N N N/A N/A CDS850860 1045000.00000000 NC USD 6183.92000000 0.000712068175 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2058-09-17 75878.63 USD 0 USD 1045000 USD -69694.71 N N N Federal Home Loan Banks N/A 3130AGWU5 1500000.00000000 PA USD 1484427.41000000 0.170929364775 Long DBT USGA US N 2 2024-08-21 Fixed 2.00000000 N N N N N N MyoKardia Inc 549300OLNNNZ1NI9UY54 62857M105 900.00000000 NS USD 65596.50000000 0.007553328644 Long EC US N 1 N N N Freddie Mac N/A 3134GT3X9 1000000.00000000 PA USD 1000234.48000000 0.115175348515 Long DBT USGA US N 2 2024-08-28 Fixed 2.01000000 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133EKLN4 2000000.00000000 PA USD 1993899.68000000 0.229594255288 Long DBT USGA US N 2 2022-05-16 Floating 2.23976160 N N N N N N SQUARE, INC. 549300OHIIUWSTIZME52 852234103 1777.00000000 NS USD 111169.12000000 0.012800940575 Long EC US N 1 N N N CITIGROUP COMMERCIAL MORTGAGE TRUST N/A 17323CAE7 979807.00000000 PA USD 1012580.37000000 0.116596957360 Long ABS-MBS US N 2 2048-02-10 Fixed 3.13700000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467Y9 854000.00000000 PA USD 934176.71000000 0.107568905392 Long DBT CORP US N 2 2026-09-08 Fixed 4.35000000 N N N N N N BOOZ ALLEN HAMILTON HOLDING CORPORATION 529900JPV47PIUWMA015 099502106 600.00000000 NS USD 42678.00000000 0.004914301218 Long EC US N 1 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343V104 47744.00000000 NS USD 2931481.60000000 0.337555264988 Long EC US N 1 N N N HCA HEALTHCARE, INC. 529900PH4ZGUH2MNEU89 40412C101 3051.00000000 NS USD 450968.31000000 0.051928256136 Long EC US N 1 N N N Agios Pharmaceuticals Inc 529900ONJHY8EOGYT555 00847X104 700.00000000 NS USD 33425.00000000 0.003848833549 Long EC US N 1 N N N DISH NETWORK CORPORATION 529900U350CWHH15G169 25470M109 -3100.00000000 NS USD -109957.00000000 -0.01266136695 Short EC US N 1 N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200101 3987.00000000 NS USD 534417.48000000 0.061537290248 Long EC US N 1 N N N BELLEMEADE RE LTD. N/A 07876LAB5 675000.00000000 PA USD 674644.28000000 0.077684174687 Long ABS-MBS BM N 2 2029-10-25 Floating 3.79199880 N N N N N N KENNEDY-WILSON HOLDINGS, INC. 549300MOI1T78144X610 489398107 2345.00000000 NS USD 52293.50000000 0.006021510163 Long EC US N 1 N N N N/A N/A CDS857131 -254000.00000000 NC USD -1503.08000000 -0.00017307717 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -32200 USD -254000 USD 30696.92 N N N CARPENTER TECHNOLOGY CORPORATION DX6I6ZD3X5WNNCDJKP85 144285103 -1200.00000000 NS USD -59736.00000000 -0.00687850174 Short EC US N 1 N N N LAREDO PETROLEUM, INC 549300X0PTWU2QSLSL14 516806106 6591.00000000 NS USD 18916.17000000 0.002178165736 Long EC US N 1 N N N CVR ENERGY, INC. 529900SOYZIXZBTXB558 12662P108 1600.00000000 NS USD 64688.00000000 0.007448716369 Long EC US N 1 N N N AIB GROUP PUBLIC LIMITED COMPANY 635400AKJBGNS5WNQL34 00135TAA2 300000.00000000 PA USD 322527.92000000 0.037138557343 Long DBT NUSS IE Y 2 2023-10-12 Fixed 4.75000000 N N N N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 92556H206 -3800.00000000 NS USD -159486.00000000 -0.01836454951 Short EC US N 1 N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370860 -341571.00000000 NS USD -3176610.30000000 -0.36578142997 Short EC US N 1 N N N DORMAN PRODUCTS, INC. N/A 258278100 -2452.00000000 NS USD -185665.44000000 -0.02137906879 Short EC US N 1 N N N DUPONT DE NEMOURS, INC. 5493004JF0SDFLM8GD76 26078JAC4 690000.00000000 PA USD 759958.59000000 0.087507976590 Long DBT CORP US N 2 2025-11-15 Fixed 4.49300000 N N N N N N THE NEW YORK TIMES COMPANY 529900J1WEMMIW7BOH57 650111107 -2000.00000000 NS USD -64340.00000000 -0.00740864474 Short EC US N 1 N N N Federal National Mortgage Association N/A 3136A2N58 1145377.50600000 PA USD 248126.45000000 0.028571350944 Long DBT USGA US N 2 2041-12-25 Floating 4.74800040 N N N N N N SPROUTS FARMERS MARKET, INC. 529900P8F4G77Q52XE24 85208M102 5028.00000000 NS USD 97291.80000000 0.011202990095 Long EC US N 1 N N N Acceleron Pharma Inc 529900TQRID2UY164805 00434H108 1500.00000000 NS USD 79530.00000000 0.009157748158 Long EC US N 1 N N N AGILENT TECHNOLOGIES, INC. QUIX8Y7A2WP0XRMW7G29 00846U101 3736.00000000 NS USD 318718.16000000 0.036699869770 Long EC US N 1 N N N Freddie Mac N/A 3134GT3M3 1000000.00000000 PA USD 1000345.15000000 0.115188091983 Long DBT USGA US N 2 2022-08-26 Fixed 2.05000000 N N N N N N FAIR ISAAC CORPORATION RI6HET5SJUEY30V1PS26 303250104 200.00000000 NS USD 74936.00000000 0.008628756645 Long EC US N 1 N N N CHARLES RIVER LABORATORIES INTERNATIONAL, INC. 549300BSQ0R4UZ5KX287 159864107 753.00000000 NS USD 115028.28000000 0.013245316476 Long EC US N 1 N N N SABINE PASS LIQUEFACTION, LLC 549300KJYBG7C6WJYZ11 785592AS5 720000.00000000 PA USD 792568.07000000 0.091262904358 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N THE WENDY'S COMPANY 529900M0JIUCMWVKHG76 95058W100 -6328.00000000 NS USD -140544.88000000 -0.01618351082 Short EC US N 1 N N N EXETER AUTOMOBILE RECEIVABLES TRUST N/A 30166KAD4 440000.00000000 PA USD 454474.42000000 0.052331978912 Long ABS-MBS US N 2 2023-02-15 Fixed 8.20000000 N N N N N N BAKER HUGHES, A GE COMPANY, LLC 549300XU3XH6F05YEQ93 05723KAF7 177000.00000000 PA USD 181514.71000000 0.020901119090 Long DBT CORP US N 2 2047-12-15 Fixed 4.08000000 N N N N N N VENTAS, INC. ORQTRC074CWLT3DKHT41 92276F100 6883.00000000 NS USD 397424.42000000 0.045762765628 Long EC US N 1 N N N STONERIDGE, INC. PNBCIH9LE7WI83VJIF08 86183P102 -1578.00000000 NS USD -46266.96000000 -0.00532756403 Short EC US N 1 N N N MONRO, INC. N/A 610236101 -600.00000000 NS USD -46920.00000000 -0.00540276051 Short EC US N 1 N N N Japan 353800WZS8AXZXFUC241 N/A 505700000.00000000 PA 4654758.56000000 0.535987760994 Long DBT NUSS JP N 2 2020-03-16 None 0.00000000 N N N N N N INTERNATIONAL FLAVORS & FRAGRANCES INC. BZLRL03D3GPGMOGFO832 459506101 -1851.00000000 NS USD -238816.02000000 -0.02749927030 Short EC US N 1 N N N SUNOCO LP 54930001NJU8E40NQ561 86765LAN7 257000.00000000 PA USD 272883.89000000 0.031422129274 Long DBT CORP US N 2 2028-03-15 Fixed 5.87500000 N N N N N N ALFA, S.A.B. de C.V. 549300ZCGJ6T8YDJ4M34 015398AB6 660000.00000000 PA USD 712806.60000000 0.082078502811 Long DBT NUSS MX Y 2 2024-03-25 Fixed 5.25000000 N N N N N N CCO HOLDINGS, LLC N/A 1248EPBX0 282000.00000000 PA USD 295908.24000000 0.034073345152 Long DBT CORP US Y 2 2028-02-01 Fixed 5.00000000 N N N N N N ADVANCE AUTO PARTS, INC. 529900UCNQ5H9FSL0Y70 00751Y106 -729.00000000 NS USD -116756.64000000 -0.01344433427 Short EC US N 1 N N N HMS HOLDINGS CORP 5299008569C65X81JE73 40425J101 1600.00000000 NS USD 47360.00000000 0.005453425786 Long EC US N 1 N N N MARVELL TECHNOLOGY GROUP LTD. 8DF36O58U3QIHUCGZB18 G5876H105 -3799.00000000 NS USD -100901.44000000 -0.01161863418 Short EC BM N 1 N N N Federal National Mortgage Association N/A 30711XBF0 202866.37590000 PA USD 225258.30000000 0.025938121237 Long DBT USGA US N 2 2028-04-25 Floating 7.52275080 N N N N N N NETGEAR, INC. 54930067KX3UNRHDWA78 64111Q104 -1014.00000000 NS USD -24853.14000000 -0.00286179802 Short EC US N 1 N N N USANA HEALTH SCIENCES, INC. 549300YTURXE814MAH96 90328M107 500.00000000 NS USD 39275.00000000 0.004522451388 Long EC US N 1 N N N LIBERTY MEDIA CORPORATION 549300ZKUTPIBZLWLL89 531229409 -1300.00000000 NS USD -62842.00000000 -0.00723615251 Short EC US N 1 N N N ENCOMPASS HEALTH CORPORATION 549300FVRPM9DRQZRG64 29261A100 1178.00000000 NS USD 81600.06000000 0.009396112149 Long EC US N 1 N N N REGENERON PHARMACEUTICALS, INC. 549300RCBFWIRX3HYQ56 75886F107 950.00000000 NS USD 356706.00000000 0.041074106811 Long EC US N 1 N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209S103 57214.00000000 NS USD 2855550.74000000 0.328811951857 Long EC US N 1 N N N WHITING PETROLEUM CORPORATION 52990028CHK9KUB1B293 966387409 6452.00000000 NS USD 47357.68000000 0.005453158642 Long EC US N 1 N N N BED BATH & BEYOND INC. 529900ZBUWWUV7BKGX39 075896100 -2627.00000000 NS USD -45447.10000000 -0.00523315851 Short EC US N 1 N N N WEINGARTEN REALTY INVESTORS 549300JMKTJNB8GWHU88 948741103 2977.00000000 NS USD 93001.48000000 0.010708966832 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XBD5 575026.29780000 PA USD 610678.04000000 0.070318567790 Long DBT USGA US N 2 2025-07-25 Floating 6.79200120 N N N N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 31987.00000000 NS USD 5044349.90000000 0.580848560396 Long EC US N 1 N N N AMERISOURCEBERGEN CORPORATION AI8GXW8LG5WK7E9UD086 03073EAQ8 365000.00000000 PA USD 379106.22000000 0.043653455150 Long DBT CORP US N 2 2047-12-15 Fixed 4.30000000 N N N N N N SITE CENTERS CORP. W2AVA6SODOQ1LCYJQR54 82981J109 4485.00000000 NS USD 62879.70000000 0.007240493611 Long EC US N 1 N N N Global Blood Therapeutics Inc 549300U4G0QKK99GRT15 37890U108 700.00000000 NS USD 55643.00000000 0.006407199557 Long EC US N 1 N N N THE ISRAEL ELECTRIC CORP. LTD. 254900JW7GE35YNJGJ55 465077AK1 792000.00000000 PA USD 870249.60000000 0.100207804249 Long DBT CORP IL Y 2 2024-11-12 Fixed 5.00000000 N N N N N N CENTENNIAL RESOURCE DEVELOPMENT, INC. 529900NXUJPOKU7OJ511 15136A102 7800.00000000 NS USD 36036.00000000 0.004149485887 Long EC US N 1 N N N SYNNEX CORPORATION 5493004HI6PFLF46NS53 87162W100 -1000.00000000 NS USD -128800.00000000 -0.01483110729 Short EC US N 1 N N N HILL-ROM HOLDINGS, INC. JLZ01A0E2071OH26RE45 431475102 1251.00000000 NS USD 142026.03000000 0.016354062802 Long EC US N 1 N N N IAC/INTERACTIVECORP 15OMOPB0A8K0EFUVD031 44919P508 200.00000000 NS USD 49822.00000000 0.005736921020 Long EC US N 1 N N N XILINX, INC. 6EY4K7ZMF9UX1CU6KC79 983919101 -1896.00000000 NS USD -185371.92000000 -0.02134527045 Short EC US N 1 N N N Santander Holdings USA, Inc. 549300SMVCQN2P0O6I58 80282KAP1 1135000.00000000 PA USD 1225662.29000000 0.141132988550 Long DBT CORP US N 2 2027-07-13 Fixed 4.40000000 N N N N N N Federal Home Loan Banks N/A 313384SD2 1000000.00000000 PA USD 999119.17000000 0.115046922411 Long DBT USGA US N 2 2020-01-23 None 0.00000000 N N N N N N EBAY INC. OML71K8X303XQONU6T67 278642103 -8791.00000000 NS USD -317443.01000000 -0.03655303835 Short EC US N 1 N N N LAS VEGAS SANDS CORP. 549300DUOO1KXOHPM605 517834107 -9482.00000000 NS USD -654637.28000000 -0.07538040167 Short EC US N 1 N N N DTE ENERGY COMPANY 549300IX8SD6XXD71I78 233331107 2033.00000000 NS USD 264025.71000000 0.030402124476 Long EC US N 1 N N N HANESBRANDS INC. GX5LWVWZLL5S4W1L2F20 410345102 -14234.00000000 NS USD -211374.90000000 -0.02433947065 Short EC US N 1 N N N CONOCOPHILLIPS WPTL2Z3FIYTHSP5V2253 20825C104 55076.00000000 NS USD 3581592.28000000 0.412414436153 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 1560000.00000000 NC USD -16918.83000000 -0.00194817533 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2021-04-18 0 USD 0 USD -1560000 USD -16918.83 N N N GASLOG LTD. 549300QH0H78JQK1Z820 G37585109 2800.00000000 NS USD 27412.00000000 0.003156446529 Long EC BM N 1 N N N ALLIANT ENERGY CORPORATION 5493009ML300G373MZ12 018802108 2828.00000000 NS USD 154748.16000000 0.017818995062 Long EC US N 1 N N N N/A N/A N/A 79.00000000 NC USD 1418840.00000000 0.163377082829 N/A DCO GB N 1 MORGAN STANLEY & CO, INC N/A Long Sugar WHITE SUGAR (LIF) Mar 2020 2020-02-17 1356938.49 USD 61901.51 N N N THE HAIN CELESTIAL GROUP, INC. 5493000S8QXWHLIXDP75 405217100 2634.00000000 NS USD 68365.47000000 0.007872170967 Long EC US N 1 N N N MCKESSON CORPORATION 549300WZWOM80UCFSF54 58155Q103 2553.00000000 NS USD 353130.96000000 0.040662446859 Long EC US N 1 N N N COMM MORTGAGE TRUST N/A 12622DAK0 740000.00000000 PA USD 750843.59000000 0.086458399393 Long ABS-MBS US N 2 2046-07-10 Floating 6.30397440 N N N N N N CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST) N/A 02146TAR8 349475.11900000 PA USD 282989.96000000 0.032585826544 Long ABS-MBS US N 2 2036-08-25 Fixed 5.75000000 N N N N N N N/A N/A 36259NAA9 450000.00000000 PA USD 450025.47000000 0.051819689667 Long ABS-MBS US N 2 2032-08-15 Floating 2.91538080 N N N N N N NATIONAL INSTRUMENTS CORPORATION 549300TP4OOPCYWDUP86 636518102 -900.00000000 NS USD -38106.00000000 -0.00438784296 Short EC US N 1 N N N PERFORMANCE FOOD GROUP COMPANY 549300EUK8GR9IT1YK57 71377A103 4195.00000000 NS USD 215958.60000000 0.024867276141 Long EC US N 1 N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133ELAG9 2800000.00000000 PA USD 2795289.34000000 0.321872951167 Long DBT USGA US N 2 2025-11-25 Fixed 2.05000000 N N N N N N N/A N/A CDS738280 -240000.00000000 NC USD -12262.41000000 -0.00141199626 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -32558.77 USD -240000 USD 20296.36 N N N WESTROCK COMPANY N/A 96145D105 -3454.00000000 NS USD -148211.14000000 -0.01706626800 Short EC US N 1 N N N VODAFONE GROUP PUBLIC LIMITED COMPANY 213800TB53ELEUKM7Q61 92857WBH2 1584000.00000000 PA USD 1675565.59000000 0.192938610543 Long DBT NUSS GB N 2 2024-01-16 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828WU0 18200000.00000000 PA USD 19842782.74000000 2.284863662768 Long DBT USGA XX N 2 2024-07-15 Fixed 0.12500000 N N N N N N ANALOG DEVICES, INC. GYVOE5EZ4GDAVTU4CQ61 032654105 -2810.00000000 NS USD -333940.40000000 -0.03845268556 Short EC US N 1 N N N PREFERRED APARTMENT COMMUNITIES, INC. 549300KTZLVOW5TLLN89 74039L103 3424.00000000 NS USD 45607.68000000 0.005251649032 Long EC US N 1 N N N TANGER FACTORY OUTLET CENTERS, INC. UKEW8YSXE4Y581KYOL30 875465106 2478.00000000 NS USD 36500.94000000 0.004203022960 Long EC US N 1 N N N N/A N/A N/A 44.00000000 NC USD 198.00000000 0.000022799373 N/A DIR XX N 1 MARKET AXESS N/A Call Purchased N/A Call Option 17000 Jan 2020 on LME NICKEL FUTURE Jan 2020 264.00000000 0 USD 2020-01-05 XXXX -99695.2 N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46642CBJ8 900000.00000000 PA USD 953871.48000000 0.109836725632 Long ABS-MBS US N 2 2047-07-15 Fixed 3.80460000 N N N N N N THE BOSTON BEER COMPANY, INC. 529900Q02MQ0DCQNRM58 100557107 350.00000000 NS USD 132247.50000000 0.015228081222 Long EC US N 1 N N N RALPH LAUREN CORPORATION HO1QNWM0IXBZ0QSMMO20 751212101 -2263.00000000 NS USD -265268.86000000 -0.03054527114 Short EC US N 1 N N N EXPEDIA GROUP, INC. N/A 30212P303 -1884.00000000 NS USD -203735.76000000 -0.02345983630 Short EC US N 1 N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244AS8 307000.00000000 PA USD 357697.02000000 0.041188221127 Long DBT CORP US N 2 2048-11-15 Fixed 4.50000000 N N N N N N MID-AMERICA APARTMENT COMMUNITIES, INC. 549300FQZKFR5YNSHZ21 59522J103 2219.00000000 NS USD 292597.34000000 0.033692100485 Long EC US N 1 N N N BBVA USA C90VT034M03BN29IRA40 20453KAB1 905000.00000000 PA USD 917936.04000000 0.105698819062 Long DBT CORP US N 2 2022-06-29 Fixed 2.87500000 N N N N N N PIONEER NATURAL RESOURCES COMPANY FY8JBF7CCL2VE4F1B628 723787107 8171.00000000 NS USD 1236844.27000000 0.142420575080 Long EC US N 1 N N N Capri Holdings Limited 549300LPG8W0H1OX3A26 G1890L107 -5308.00000000 NS USD -202500.20000000 -0.02331756360 Short EC VG N 1 N N N DENTSPLY SIRONA INC. 9NHEHR1SOZCYXDO8HO28 24906P109 3504.00000000 NS USD 198291.36000000 0.022832922631 Long EC US N 1 N N N CAESARS ENTERTAINMENT CORPORATION 529900CJT4VQO26ONP04 127686103 -12340.00000000 NS USD -167824.00000000 -0.01932465644 Short EC US N 1 N N N N/A N/A N/A -31955000.00000000 PA USD -31955000.00000000 -3.67956547730 Short RA XX N 2 Reverse repurchase N 2.55000000 2050-12-31 31955000.00000000 USD 32597295.50000000 USD UST N N N N/A N/A CDS410332 -113000.00000000 NC USD -5773.55000000 -0.00066481474 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2063-05-11 0 USD -12917.92 USD -113000 USD 7144.37 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 1041000.00000000 PA USD 1104654.81000000 0.127199177068 Long DBT NUSS GB N 2 2024-03-14 Fixed 4.25000000 N N N Y Y HSBC HOLDINGS PLC GBP XXXX N N N RETAIL OPPORTUNITY INVESTMENTS CORP. N/A 76131N101 5100.00000000 NS USD 90066.00000000 0.010370951158 Long EC US N 1 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EL4 362000.00000000 PA USD 410870.00000000 0.047311001960 Long DBT CORP US N 2 2168-04-23 Fixed 6.50000000 N N N N N N PFIZER INC. 765LHXWGK1KXCLTFYQ30 717081103 62204.00000000 NS USD 2437152.72000000 0.280634110825 Long EC US N 1 N N N LIGAND PHARMACEUTICALS INCORPORATED 5493008K7TB0IKP37H79 53220K504 278.00000000 NS USD 28992.62000000 0.003338452312 Long EC US N 1 N N N N/A N/A N/A -34.00000000 NC USD -1663875.00000000 -0.19159245841 N/A DCO US N 1 MARKET AXESS N/A Short Soybeans Soybean Future Nov 2020 2020-11-13 -1643981.32 USD -19893.68 N N N COMMSCOPE HOLDING COMPANY, INC. 254900AW4CEPCQWSRI58 20337X109 -2081.00000000 NS USD -29529.39000000 -0.00340026049 Short EC US N 1 N N N GLOBAL PAYMENTS INC. 549300NOMHGVQBX6S778 37940X102 1497.00000000 NS USD 273292.32000000 0.031469159314 Long EC US N 1 N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VAP8 340000.00000000 PA USD 347065.61000000 0.039964031823 Long DBT CORP US N 2 2020-09-01 Fixed 5.20000000 N N N N N N AUTOMATIC DATA PROCESSING, INC. HGBOLILQXWER4SAL2I23 053015103 2260.00000000 NS USD 385330.00000000 0.044370113139 Long EC US N 1 N N N N/A N/A N/A 100.00000000 NC USD 4777500.00000000 0.550121235106 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Soybeans Soybean Future Mar 2020 2020-03-16 4687157.45 USD 90342.55 N N N WELLCARE HEALTH PLANS, INC. 529900JCT1MMTWHZ5P23 94946T106 522.00000000 NS USD 172369.62000000 0.019848077079 Long EC US N 1 N N N SYNOPSYS, INC. QG7T915N9S0NY5UKNE63 871607107 943.00000000 NS USD 131265.60000000 0.015115017058 Long EC US N 1 N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAN1 475000.00000000 PA USD 496375.00000000 0.057156761502 Long DBT CORP US N 2 2028-08-09 Fixed 4.68200000 N N N N N N SM ENERGY COMPANY 84BUTVXV5ODI6BXNMH43 78454L100 4963.00000000 NS USD 55784.12000000 0.006423449292 Long EC US N 1 N N N AMERICAN AXLE & MANUFACTURING HOLDINGS, INC. N/A 024061103 -10057.00000000 NS USD -108213.32000000 -0.01246058508 Short EC US N 1 N N N MONSTER BEVERAGE CORPORATION 52990090AP0E7HCB6F33 61174X109 11931.00000000 NS USD 758215.05000000 0.087307210838 Long EC US N 1 N N N GODADDY INC. N/A 380237107 495.00000000 NS USD 33620.40000000 0.003871333536 Long EC US N 1 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VCK8 279000.00000000 PA USD 346349.22000000 0.039881540697 Long DBT CORP US N 2 2046-08-21 Fixed 4.86200000 N N N N N N DHT HOLDINGS, INC. 549300SMD6IVZYT74K40 Y2065G121 8500.00000000 NS USD 70380.00000000 0.008104140769 Long EC MH N 1 N N N PBF ENERGY INC. 2549003PBEDCSZMZIY02 69318G106 6929.00000000 NS USD 217362.73000000 0.025028959391 Long EC US N 1 N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XCR5 858000.00000000 PA USD 931472.23000000 0.107257488986 Long DBT CORP US N 2 2024-01-17 Fixed 5.10000000 N N N N N N DARLING INGREDIENTS INC. L1N0SPPKS7EXZYUMZ898 237266101 5936.00000000 NS USD 166682.88000000 0.019193258360 Long EC US N 1 N N N KLA Corporation 549300H0BF5JCG96TJ81 482480100 -1102.00000000 NS USD -196343.34000000 -0.02260861134 Short EC US N 1 N N N Federal National Mortgage Association N/A 3136ALP47 2041807.01400000 PA USD 389635.58000000 0.044865893565 Long DBT USGA US N 2 2044-12-25 Floating 4.27725000 N N N N N N ONE GAS, INC. 549300HXDWI0LATTX840 68235P108 1094.00000000 NS USD 102365.58000000 0.011787227483 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 2230000.00000000 NC USD 50830.49000000 0.005853046978 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2029-09-27 0 USD 0 USD -2230000 USD 50830.49 N N N CHENIERE ENERGY, INC. MIHC87W9WTYSYZWV1J40 16411R208 11380.00000000 NS USD 694976.60000000 0.080025407757 Long EC US N 1 N N N KIMBERLY-CLARK CORPORATION MP3J6QPYPGN75NVW2S34 494368103 10578.00000000 NS USD 1455003.90000000 0.167541296191 Long EC US N 1 N N N EL PASO ELECTRIC COMPANY OZ8GM8L4AHPKSWZMW205 283677854 500.00000000 NS USD 33945.00000000 0.003908710690 Long EC US N 1 N N N AT&T INC. 549300Z40J86GGSTL398 00206RCN0 2045000.00000000 PA USD 2141672.18000000 0.246610014621 Long DBT CORP US N 2 2025-05-15 Fixed 3.40000000 N N N N N N N/A N/A CDS331914 -227000.00000000 NC USD -11598.20000000 -0.00133551357 N/A DCR XX N 2 BRK: CREDIT SUISSE N/A Y 2049-12-31 0 USD -15177.94 USD -227000 USD 3579.74 N N N DANAHER CORPORATION S4BKK9OTCEWQ3YHPFM11 235851102 7583.00000000 NS USD 1163838.84000000 0.134014120382 Long EC US N 1 N N N Freshpet Inc 549300S4ZK8ZQ6HNPN59 358039105 1300.00000000 NS USD 76817.00000000 0.008845350689 Long EC US N 1 N N N N/A N/A N/A -53.00000000 NC USD -1614910.00000000 -0.18595421952 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Soybean Meal Soybean Meal Future Mar 2020 2020-03-13 -1607868.15 USD -7041.85 N N N N/A N/A N/A 60.00000000 NC USD 22848.00000000 0.002630909467 N/A DIR XX N 1 MARKET AXESS N/A Call Purchased N/A Call Option 13.5 Feb 2020 on Sugar #11 World Future Mar 2020 67200.00000000 13.5 USD 2020-02-21 XXXX 11122.8 N N N GENTHERM INCORPORATED HKM6YX1U5JS60TCUB219 37253A103 -2900.00000000 NS USD -128731.00000000 -0.01482316205 Short EC US N 1 N N N G-III APPAREL GROUP, LTD. 529900O5KABM3R3SFM87 36237H101 -2073.00000000 NS USD -69445.50000000 -0.00799653463 Short EC US N 1 N N N HELMERICH & PAYNE, INC. 254900NAOGHJ88RZ4C73 423452101 4838.00000000 NS USD 219790.34000000 0.025308494674 Long EC US N 1 N N N CABOT OIL & GAS CORPORATION FCNMH6O7VWU7LHXMK351 127097103 20625.00000000 NS USD 359081.25000000 0.041347612925 Long EC US N 1 N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 00080QAF2 269000.00000000 PA USD 292892.74000000 0.033726115307 Long DBT NUSS NL Y 2 2025-07-28 Fixed 4.75000000 N N N N N N N/A N/A N/A -15.00000000 NC USD -290812.50000000 -0.03348657910 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Corn Corn Future Mar 2020 2020-03-16 -290884.5 USD 72 N N N CROCS, INC. 549300B0J6YCXD63OG72 227046109 -1800.00000000 NS USD -75402.00000000 -0.00868241577 Short EC US N 1 N N N Freddie Mac N/A 3137FBCZ7 1887899.32500000 PA USD 356712.54000000 0.041074859881 Long DBT USGA US N 2 2047-11-15 Floating 4.27875120 N N N N N N GOPRO, INC 549300CQJMLT21SZFL16 38268T103 -8139.00000000 NS USD -35323.26000000 -0.00406741505 Short EC US N 1 N N N DXC TECHNOLOGY COMPANY 549300DOVZ3EDJB7O259 23355L106 1202.00000000 NS USD 45183.18000000 0.005202768558 Long EC US N 1 N N N RPM INTERNATIONAL INC. 549300TJCKW4BRXPJ474 749685103 -2228.00000000 NS USD -171021.28000000 -0.01969281795 Short EC US N 1 N N N APACHE CORPORATION 72ZZ1XRHOOU9P9X16K08 037411105 21067.00000000 NS USD 539104.53000000 0.062076996315 Long EC US N 1 N N N N/A N/A CDS947897 -23000.00000000 NC USD -2604.55000000 -0.00029990963 N/A DCR XX N 2 BRK: CITIGROUP GLOBAL MARKETS INC N/A Y 2063-05-11 0 USD -3677.88 USD -23000 USD 1073.33 N N N Moderna Inc 549300EI6OKH5K5Q2G38 60770K107 3800.00000000 NS USD 74328.00000000 0.008558746449 Long EC US N 1 N N N WORLD FUEL SERVICES CORPORATION D3W7PCXCBRQLL17DZ313 981475106 2874.00000000 NS USD 124789.08000000 0.014369256476 Long EC US N 1 N N N N/A N/A 69349MAA4 218803.57630000 PA USD 219826.75000000 0.025312687225 Long ABS-MBS US N 2 2022-10-27 Floating 4.16350080 N N N N N N NEWPARK RESOURCES, INC. 54930073OHWDQW4DJN26 651718504 5566.00000000 NS USD 34898.82000000 0.004018541488 Long EC US N 1 N N N ADOBE INC. FU4LY2G4933NH2E1CP29 00724F101 2144.00000000 NS USD 707112.64000000 0.081422852721 Long EC US N 1 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VDS0 106000.00000000 PA USD 135904.25000000 0.015649149945 Long DBT CORP US N 2 2049-04-15 Fixed 5.01200000 N N N N N N ALLSCRIPTS HEALTHCARE SOLUTIONS, INC. Y68YJHVB1GU4TAU3C223 01988P108 5900.00000000 NS USD 57908.50000000 0.006668068140 Long EC US N 1 N N N SOFI CONSUMER LOAN PROGRAM LLC N/A 83405LAB6 580535.43600000 PA USD 582652.13000000 0.067091430537 Long ABS-MBS US N 2 2026-09-25 Fixed 2.78000000 N N N N N N CDK GLOBAL, INC. 5493000L10CYRTHIJ385 12508E101 965.00000000 NS USD 52766.20000000 0.006075940788 Long EC US N 1 N N N PRICESMART, INC. 549300JVYOSTGVSDZS46 741511109 950.00000000 NS USD 67469.00000000 0.007768943927 Long EC US N 1 N N N OMNICOM GROUP INC. HKUPACFHSSASQK8HLS17 681919106 -3000.00000000 NS USD -243060.00000000 -0.02798795759 Short EC US N 1 N N N AMPHENOL CORPORATION 549300D3L3G0R4U4VT04 032095101 -2895.00000000 NS USD -313325.85000000 -0.03607895417 Short EC US N 1 N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST N/A 90270RBE3 595820.00000000 PA USD 605573.10000000 0.069730742379 Long ABS-MBS US N 2 2045-12-10 Fixed 2.85020000 N N N N N N TRIANGLE RE LTD N/A 89600TAA1 553029.00000000 PA USD 555038.10000000 0.063911720586 Long ABS-MBS BM N 2 2029-11-26 Floating 3.67400160 N N N N N N FIRST INDUSTRIAL REALTY TRUST, INC. N/A 32054K103 3230.00000000 NS USD 134077.30000000 0.015438779670 Long EC US N 1 N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958254AK0 190000.00000000 PA USD 191713.96000000 0.022075545884 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N THE KROGER CO. 6CPEOKI6OYJ13Q6O7870 501044101 23531.00000000 NS USD 682163.69000000 0.078550022331 Long EC US N 1 N N N N/A N/A CDS783244 -198000.00000000 NC USD -1171.69000000 -0.00013491816 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2049-05-11 0 USD -31610.36 USD -198000 USD 30438.67 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -13950.52000000 -0.00160637933 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 4423188.50000000 PLN 1154070.93000000 USD 2020-01-09 -13950.52 N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AT8 530000.00000000 PA USD 554921.73000000 0.063898320773 Long DBT NUSS GG N 2 2023-06-09 Fixed 3.80000000 N N N N N N ANHEUSER-BUSCH INBEV WORLDWIDE INC. 549300CRGMZK3K53BF92 03523TBV9 755000.00000000 PA USD 980983.81000000 0.112958665657 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N N/A N/A N/A 84.00000000 NC USD 2346750.00000000 0.270224386914 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Wheat Wheat Future (CBT) Mar 2020 2020-03-16 2225179.99 USD 121570.01 N N N ARROWHEAD PHARMACEUTICALS, INC. 549300O3CSB8T7OZ3D66 04280A100 1000.00000000 NS USD 63430.00000000 0.007303859747 Long EC US N 1 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 4565000.00000000 PA 5273249.09000000 0.607205924105 Long DBT NUSS NL Y 2 2029-07-15 Fixed 0.25000000 N N N N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 21684AAC0 657000.00000000 PA USD 712997.38000000 0.082100470813 Long DBT NUSS NL N 2 2025-08-04 Fixed 4.37500000 N N N N N N N/A N/A CDS860519 -3000.00000000 NC USD -17.75000000 -0.00000204388 N/A DCR XX N 2 BRK: CREDIT SUISSE N/A Y 2063-05-11 0 USD -374.4 USD -3000 USD 356.65 N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133ELAD6 2400000.00000000 PA USD 2399112.74000000 0.276253869950 Long DBT USGA US N 2 2021-11-18 Floating 1.83488040 N N N N N N APTIV PLC N/A G6095L109 -21570.00000000 NS USD -2048502.90000000 -0.23588172589 Short EC JE N 1 N N N URBAN EDGE PROPERTIES N/A 91704F104 2748.00000000 NS USD 52706.64000000 0.006069082552 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XBU7 507816.70770000 PA USD 554876.39000000 0.063893099947 Long DBT USGA US N 2 2028-08-25 Floating 8.77275000 N N N N N N MKS INSTRUMENTS, INC. 549300KEQATBHAGVF505 55306N104 -476.00000000 NS USD -52364.76000000 -0.00602971563 Short EC US N 1 N N N AMEDISYS, INC. 5299001RBS9GK9STN379 023436108 400.00000000 NS USD 66768.00000000 0.007688224934 Long EC US N 1 N N N CHEGG, INC. 549300AKX7O8JG0O3G77 163092109 -3500.00000000 NS USD -132685.00000000 -0.01527845862 Short EC US N 1 N N N CENTERPOINT ENERGY, INC. 21TPXMRRHFKOBHDC8J74 15189T107 5508.00000000 NS USD 150203.16000000 0.017295645818 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912796SZ3 1750000.00000000 PA USD 1735362.95000000 0.199824177794 Long DBT UST US N 2 2020-07-16 None 0.00000000 N N N N N N EQUITY COMMONWEALTH 549300YPGVU9PR4L0606 294628102 1650.00000000 NS USD 54169.50000000 0.006237528465 Long EC US N 1 N N N UNITED TECHNOLOGIES CORPORATION I07WOS4YJ0N7YRFE7309 913017DD8 570000.00000000 PA USD 621629.39000000 0.071579597656 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N Lowe`s Companies, Inc. WAFCR4OKGSC504WU3E95 548661107 -8435.00000000 NS USD -1010175.60000000 -0.11632005206 Short EC US N 1 N N N US FOODS HOLDING CORP. 549300UGOZSO64CFPR97 912008109 7356.00000000 NS USD 308142.84000000 0.035482139137 Long EC US N 1 N N N GUARDIAN LIFE INSURANCE CO OF AMERICA N1YIDVMMKBHFYCCAIX69 401378AC8 145000.00000000 PA USD 176709.80000000 0.020347841639 Long DBT CORP US Y 2 2077-01-24 Fixed 4.85000000 N N N N N N TYLER TECHNOLOGIES, INC. N/A 902252105 229.00000000 NS USD 68704.58000000 0.007911218923 Long EC US N 1 N N N Takeda Pharmaceutical Company Limited 549300ZLMVP4X0OGR454 874060AT3 820000.00000000 PA USD 880615.02000000 0.101401365244 Long DBT NUSS JP N 2 2023-11-26 Fixed 4.40000000 N N N N N N Edgewell Personal Care Company 549300CY8QZDL4Z3RU59 28035Q102 1834.00000000 NS USD 56780.64000000 0.006538196924 Long EC US N 1 N N N ILLUMINA, INC. SQ95QG8SR5Q56LSNF682 452327109 1622.00000000 NS USD 538082.28000000 0.061959285915 Long EC US N 1 N N N AMERICAN EAGLE OUTFITTERS, INC. 5299001Z9HXK01DHW793 02553E106 -1300.00000000 NS USD -19110.00000000 -0.00220048494 Short EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 1710000.00000000 NC USD -67342.15000000 -0.00775433735 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2025-06-09 0 USD 0 USD -1710000 USD -67342.15 N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46623EKG3 551000.00000000 PA USD 552357.58000000 0.063603063135 Long DBT CORP US N 2 2021-08-15 Fixed 2.29500000 N N N N N N Mirati Therapeutics Inc 529900GYRW59IDQV6N54 60468T105 600.00000000 NS USD 77316.00000000 0.008902809715 Long EC US N 1 N N N GLOBAL PAYMENTS INC. 549300NOMHGVQBX6S778 891906AE9 392000.00000000 PA USD 412453.77000000 0.047493370460 Long DBT CORP US N 2 2023-06-01 Fixed 4.00000000 N N N N N N N/A N/A CDS857193 -220000.00000000 NC USD -1301.88000000 -0.00014990933 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -27889.77 USD -220000 USD 26587.89 N N N United States of America 254900HROIFWPRGM1V77 912828X39 32374000.00000000 PA USD 34207270.26000000 3.938910678189 Long DBT USGA XX N 2 2022-04-15 Fixed 0.12500000 N N N N N N DIAMONDBACK ENERGY, INC. 549300R22LSX6OHWEN64 25278X109 8478.00000000 NS USD 787267.08000000 0.090652504114 Long EC US N 1 N N N COTY INC. 549300BO9IWPF3S48F93 222070203 12665.00000000 NS USD 142481.25000000 0.016406480634 Long EC US N 1 N N N PG&E CORPORATION 8YQ2GSDWYZXO2EDN3511 69331C108 7761.00000000 NS USD 84362.07000000 0.009714153039 Long EC US N 1 N N N HALOZYME THERAPEUTICS, INC. 529900242I3SV9AGM753 40637H109 3568.00000000 NS USD 63260.64000000 0.007284358223 Long EC US N 1 N N N RINGCENTRAL, INC. 549300C8EH0H1614VE84 76680R206 300.00000000 NS USD 50601.00000000 0.005826621584 Long EC US N 1 N N N COUNTRYWIDE HOME LOANS INC N/A 12543TAU9 90839.29660000 PA USD 69213.54000000 0.007969824826 Long ABS-MBS US N 2 2036-09-25 Fixed 6.25000000 N N N N N N SS&C TECHNOLOGIES HOLDINGS, INC. 529900POY8H7NPPNKK71 78467J100 1260.00000000 NS USD 77364.00000000 0.008908336835 Long EC US N 1 N N N Japan 353800WZS8AXZXFUC241 N/A 332650000.00000000 PA 3061585.65000000 0.352536531483 Long DBT NUSS JP N 2 2020-02-17 None 0.00000000 N N N N N N THE AES CORPORATION 2NUNNB7D43COUIRE5295 00130H105 8342.00000000 NS USD 166005.80000000 0.019115293716 Long EC US N 1 N N N VISTEON CORPORATION N/A 92839U206 -2422.00000000 NS USD -209720.98000000 -0.02414902449 Short EC US N 1 N N N CHOICE HOTELS INTERNATIONAL, INC. 5493003CYRY5RFGTIR97 169905106 -1298.00000000 NS USD -134252.14000000 -0.01545891220 Short EC US N 1 N N N ProPetro Holding Corp N/A 74347M108 4200.00000000 NS USD 47250.00000000 0.005440759468 Long EC US N 1 N N N K12 INC. N/A 48273U102 -1600.00000000 NS USD -32560.00000000 -0.00374923022 Short EC US N 1 N N N ULTA BEAUTY, INC. 529900CIV6HN8M28YM82 90384S303 -629.00000000 NS USD -159225.06000000 -0.01833450270 Short EC US N 1 N N N HEALTHCARE TRUST OF AMERICA, INC. 549300L0I14L7I0VLX84 42225P501 4841.00000000 NS USD 146585.48000000 0.016879075940 Long EC US N 1 N N N Ultragenyx Pharmaceutical Inc 529900EV44GVDN1DCX77 90400D108 376.00000000 NS USD 16058.96000000 0.001849162723 Long EC US N 1 N N N RADNOR RE/ESSENT N/A 75049TAB7 485611.00000000 PA USD 486185.67000000 0.055983476979 Long ABS-MBS BM N 2 2029-06-25 Floating 3.45800160 N N N N N N ARROW ELECTRONICS, INC. 549300YNNLBXT8N8R512 042735100 -1402.00000000 NS USD -118805.48000000 -0.01368025481 Short EC US N 1 N N N CIT GROUP INC. N8O96ZZJQRFYQUJY7K79 125581GW2 476000.00000000 PA USD 523600.00000000 0.060291675290 Long DBT CORP US N 2 2025-03-07 Fixed 5.25000000 N N N N N N CGRBS COMMERCIAL MORTGAGE TRUST N/A 125354AA8 915000.00000000 PA USD 945699.71000000 0.108895759812 Long ABS-MBS US N 2 2035-03-13 Fixed 3.36900000 N N N N N N N/A N/A N/A 35947.91890000 NC USD 5849.51000000 0.000673561416 N/A DE US N 2 N/A N/A Y 2020-01-04 0 USD 0 USD -3146754.22 USD 5849.51 N N N MASIMO CORPORATION 549300Q4A8JK0PIYCU29 574795100 892.00000000 NS USD 140989.52000000 0.016234710388 Long EC US N 1 N N N WYNDHAM HOTELS & RESORTS, INC. 549300FE3MQ4RVXXC673 98311A105 -3296.00000000 NS USD -207021.76000000 -0.02383821377 Short EC US N 1 N N N N/A N/A N/A 85.00000000 NC USD 5165450.00000000 0.594793036918 N/A DCO GB N 1 MORGAN STANLEY & CO, INC N/A Long Crude Oil WTI CRUDE Mar 2020 2020-02-22 4988519.1 USD 176930.9 N N N BRK: MORGAN STANLEY N/A N/A 10400000.00000000 NC USD -459060.45000000 -0.05286005269 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2027-04-04 0 USD 0 USD -10400000 USD -459060.45 N N N MARTIN MARIETTA MATERIALS, INC. 5299005MZ4WZECVATV08 573284106 -854.00000000 NS USD -238812.56000000 -0.02749887189 Short EC US N 1 N N N SABRA HEALTH CARE REIT, INC. 549300E3BC7GU7TAZ621 78573L106 4681.00000000 NS USD 99892.54000000 0.011502461011 Long EC US N 1 N N N N/A N/A CDS315311 -812000.00000000 NC USD -41487.82000000 -0.00477725395 N/A DCR XX N 2 BRK: CREDIT SUISSE N/A Y 2049-12-31 0 USD -50792.1 USD -812000 USD 9304.28 N N N VARIAN MEDICAL SYSTEMS, INC. TK3LAKL7I0QNTCVWSY07 92220P105 1102.00000000 NS USD 156495.02000000 0.018020143106 Long EC US N 1 N N N Rumo Luxembourg S.a r.l. 222100HOIQFT7YOSPB46 781467AB1 409000.00000000 PA USD 438652.50000000 0.050510110953 Long DBT NUSS LU Y 2 2025-01-18 Fixed 5.87500000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 N/A 51956333.00000000 PA 3466402.70000000 0.399150546248 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8.00000000 N N N N N N COLUMBIA SPORTSWEAR COMPANY 549300OTMCIEUXAH5Z60 198516106 -1552.00000000 NS USD -155494.88000000 -0.01790497863 Short EC US N 1 N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140100 -30958.00000000 NS USD -1852836.30000000 -0.21335104004 Short EC US N 1 N N N THOR INDUSTRIES, INC. 254900XZO1228PDSG060 885160101 -4625.00000000 NS USD -343591.25000000 -0.03956396500 Short EC US N 1 N N N TARGA RESOURCES CORP. 5493003QENHHS261UR94 87612G101 11743.00000000 NS USD 479466.69000000 0.055209797529 Long EC US N 1 N N N HOST HOTELS & RESORTS, L.P. FXB7X4WXVA8QPMNOGS12 44107TAU0 16000.00000000 PA USD 16740.36000000 0.001927624807 Long DBT CORP US N 2 2023-10-15 Fixed 3.75000000 N N N N N N PHYSICIANS REALTY TRUST 549300ITOVH0OY7PZC34 71943U104 5878.00000000 NS USD 111329.32000000 0.012819387341 Long EC US N 1 N N N SENSIENT TECHNOLOGIES CORPORATION CMMZHMFZQG86EI7WZU92 81725T100 -900.00000000 NS USD -59481.00000000 -0.00684913891 Short EC US N 1 N N N Federal National Mortgage Association N/A 20754JAB0 529300.00000000 PA USD 534292.78000000 0.061522931248 Long ABS-MBS US N 2 2039-09-25 Floating 3.89199960 N N N N N N RETAIL PROPERTIES OF AMERICA, INC. 549300OVTYLM7DH6CM14 76131V202 7590.00000000 NS USD 101706.00000000 0.011711277935 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -28990.76000000 -0.00333823813 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 8918013.04000000 ZAR 606919.78000000 USD 2020-01-23 -28990.76 N N N UDR, INC. P3CH2EG5X6Z1XWU1OO74 902653104 5857.00000000 NS USD 273521.90000000 0.031495595072 Long EC US N 1 N N N N/A N/A CDS922616 -201000.00000000 NC USD -10269.77000000 -0.00118254705 N/A DCR XX N 2 BRK: J.P. MORGAN CHASE N/A Y 2063-05-11 0 USD -19542.19 USD -201000 USD 9272.42 N N N UNDER ARMOUR, INC. 549300D4549QKWETZ406 904311206 -9106.00000000 NS USD -174653.08000000 -0.02011101372 Short EC US N 1 N N N QTS REALTY TRUST, INC. 5493006PA4CJK4OG2J54 74736A103 1702.00000000 NS USD 92367.54000000 0.010635969688 Long EC US N 1 N N N AMGEN INC. 62QBXGPJ34PQ72Z12S66 031162100 6740.00000000 NS USD 1624811.80000000 0.187094395443 Long EC US N 1 N N N N/A N/A CDS898261 7070000.00000000 NC USD -184283.87000000 -0.02121998329 N/A DCR XX N 2 BRK: MORGAN STANLEY N/A Y 2024-06-20 0 USD -115523.26 USD 7070000 USD -68760.61 N N N NOBLE ENERGY, INC. 02VFQXG2D1LR5ZH3K186 655044105 24340.00000000 NS USD 604605.60000000 0.069619336352 Long EC US N 1 N N N PRA HEALTH SCIENCES, INC. 549300R1HR1VWWHIAK47 69354M108 798.00000000 NS USD 88697.70000000 0.010213393673 Long EC US N 1 N N N TRANSOCEAN POSEIDON LIMITED N/A 89383JAA6 294000.00000000 PA USD 311640.00000000 0.035884831336 Long DBT NUSS KY Y 2 2027-02-01 Fixed 6.87500000 N N N N N N LCI INDUSTRIES 549300E1B98YNJ1WIQ04 50189K103 -2212.00000000 NS USD -236971.56000000 -0.02728688378 Short EC US N 1 N N N ALNYLAM PHARMACEUTICALS, INC. 529900S3ZI14OWRJII50 02043Q107 1101.00000000 NS USD 126802.17000000 0.014601060465 Long EC US N 1 N N N THE WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 15224.00000000 NS USD 2201847.12000000 0.253539059585 Long EC US N 1 N N N AT&T INC. 549300Z40J86GGSTL398 00206R102 87231.00000000 NS USD 3408987.48000000 0.392539278484 Long EC US N 1 N N N SOFI CONSUMER LOAN PROGRAM LLC N/A 83405QAB5 770391.90900000 PA USD 772907.08000000 0.088998973829 Long ABS-MBS US N 2 2026-11-25 Fixed 2.82000000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160104 29346.00000000 NS USD 4280701.02000000 0.492915653007 Long EC US N 1 N N N COUNTRYWIDE HOME LOANS INC N/A 1266942E7 188982.33730000 PA USD 145652.05000000 0.016771593017 Long ABS-MBS US N 2 2036-05-25 Fixed 6.00000000 N N N N N N EXTRA SPACE STORAGE INC. N/A 30225T102 2281.00000000 NS USD 240919.22000000 0.027741450312 Long EC US N 1 N N N DINE BRANDS GLOBAL, INC. 529900HKM8OWSHLKJY75 254423106 -800.00000000 NS USD -66816.00000000 -0.00769375205 Short EC US N 1 N N N N/A N/A CDS877892 -194000.00000000 NC USD -9912.11000000 -0.00114136309 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -16754.02 USD -194000 USD 6841.91 N N N Xcel Energy Inc. LGJNMI9GH8XIDG5RCM61 98389B100 6098.00000000 NS USD 387162.02000000 0.044581067216 Long EC US N 1 N N N N/A N/A CDS922631 -46000.00000000 NC USD -2350.30000000 -0.00027063316 N/A DCR XX N 2 BRK: J.P. MORGAN CHASE N/A Y 2063-05-11 0 USD -4484.28 USD -46000 USD 2133.98 N N N Mondelez International, Inc. 549300DV9GIB88LZ5P30 609207105 43225.00000000 NS USD 2380833.00000000 0.274148988077 Long EC US N 1 N N N PENN NATIONAL GAMING, INC. N/A 707569109 -2994.00000000 NS USD -76526.64000000 -0.00881191621 Short EC US N 1 N N N VORNADO REALTY TRUST N/A 929042109 2178.00000000 NS USD 144837.00000000 0.016677741356 Long EC US N 1 N N N N/A N/A N/A 33.00000000 NC USD 2154570.00000000 0.248095177294 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Crude Oil BRENT CRUDE OIL(ICE) Apr 2020 2020-03-02 2066089.66 USD 88480.34 N N N N/A N/A CDS409304 -33000.00000000 NC USD -1686.08000000 -0.00019414932 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2063-05-11 0 USD -3866.07 USD -33000 USD 2179.99 N N N EXELON GENERATION COMPANY, LLC S2PEWKCZFFECR4533P43 30161MAP8 619000.00000000 PA USD 619103.74000000 0.071288773230 Long DBT CORP US N 2 2020-01-15 Fixed 2.95000000 N N N N N N CORTEVA, INC. 549300WZN9I2QKLS0O94 22052L104 -9249.54920000 NS USD -273416.67000000 -0.03148347801 Short EC US N 1 N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 03027X100 7935.00000000 NS USD 1823621.70000000 0.209987027100 Long EC US N 1 N N N HEALTHCARE REALTY TRUST INCORPORATED 549300CB86LH2IOKHH22 421946104 3304.00000000 NS USD 110254.48000000 0.012695621290 Long EC US N 1 N N N AMN HEALTHCARE SERVICES, INC. 529900W3ARRTCNFH2I39 001744101 300.00000000 NS USD 18693.00000000 0.002152468079 Long EC US N 1 N N N TAUBMAN CENTERS, INC. N/A 876664103 1535.00000000 NS USD 47723.15000000 0.005495241909 Long EC US N 1 N N N N/A N/A N/A -34537500.00000000 PA USD -34537500.00000000 -3.97693608738 Short RA XX N 2 Reverse repurchase N 1.65000000 2050-12-31 34537500.00000000 USD 35271421.88000000 USD UST N N N BLACK KNIGHT, INC. 549300TUSNXS3BFFML48 09215C105 900.00000000 NS USD 58032.00000000 0.006682288961 Long EC US N 1 N N N N/A N/A CDS851050 -1106000.00000000 NC USD -56509.27000000 -0.00650694911 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -118453.02 USD -1106000 USD 61943.75 N N N TAPESTRY, INC 549300LJNVY5SW3VTN33 876030107 -11394.00000000 NS USD -307296.18000000 -0.03538464763 Short EC US N 1 N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBU2 566000.00000000 PA USD 576280.68000000 0.066357768592 Long DBT CORP US Y 2 2026-11-21 Fixed 2.95000000 N N N N N N WEST PHARMACEUTICAL SERVICES, INC. 5493007NKRGM1RJQ1P16 955306105 951.00000000 NS USD 142963.83000000 0.016462048924 Long EC US N 1 N N N REDFIN CORPORATION 549300HXWD3JEMZU3O57 75737F108 2531.00000000 NS USD 53505.34000000 0.006161051538 Long EC US N 1 N N N II-VI INCORPORATED 549300O5C25A0MMHHU33 902104108 -510.14000000 NS USD -17176.41000000 -0.00197783524 Short EC US N 1 N N N Federal National Mortgage Association N/A 30711XCB8 665414.12490000 PA USD 732183.71000000 0.084309745027 Long DBT USGA US N 2 2028-09-25 Floating 7.82274960 N N N N N N THE TJX COMPANIES, INC. V167QI9I69W364E2DY52 872540109 -13042.00000000 NS USD -796344.52000000 -0.09169775633 Short EC US N 1 N N N CNX RESOURCES CORPORATION 549300JK3KH8PWM3B226 12653C108 9162.00000000 NS USD 81083.70000000 0.009336654147 Long EC US N 1 N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172109 46563.00000000 NS USD 3962045.67000000 0.456223015704 Long EC US N 1 N N N SFL CORPORATION LTD. 549300RLYYPSB0C7RH77 G7738W106 5300.00000000 NS USD 77062.00000000 0.008873562034 Long EC BM N 1 N N N HILTON GRAND VACATIONS INC. 549300O9K6MFD8D07574 43283X105 -3600.00000000 NS USD -123804.00000000 -0.01425582614 Short EC US N 1 N N N Federal National Mortgage Association N/A 3136AX4B8 2275449.39000000 PA USD 450212.00000000 0.051841168288 Long DBT USGA US N 2 2047-10-25 Floating 4.37725080 N N N N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348106 -1186.00000000 NS USD -692078.44000000 -0.07969168941 Short EC US N 1 N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST N/A 465968AG0 6709003.55600000 PA USD 397015.35000000 0.045715661893 Long DBT USGA US N 2 2050-09-15 Floating 1.22252760 N N N N N N ORMAT TECHNOLOGIES, INC. 5493000TSHHWY24VHM09 686688102 800.00000000 NS USD 59616.00000000 0.006864683946 Long EC US N 1 N N N THE WILLIAMS COMPANIES, INC. D71FAKCBLFS2O0RBPG08 96950FAQ7 217000.00000000 PA USD 228529.01000000 0.026314738092 Long DBT CORP US N 2 2025-01-15 Fixed 3.90000000 N N N N N N Kontoor Brands, Inc. 549300M0CPXV65RFF271 50050N103 -1996.28560000 NS USD -83824.03000000 -0.00965219862 Short EC US N 1 N N N BEST BUY CO., INC. HL5XPTVRV0O8TUN5LL90 086516101 -2653.00000000 NS USD -232933.40000000 -0.02682189632 Short EC US N 1 N N N EQUINIX, INC. 549300EVUN2BTLJ3GT74 29444U700 1591.00000000 NS USD 928666.70000000 0.106934436840 Long EC US N 1 N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 78442FEL8 52000.00000000 PA USD 56494.88000000 0.006505292132 Long DBT CORP US N 2 2022-01-25 Fixed 7.25000000 N N N N N N ARAMARK 549300MR6PG2DWZUIL39 03852U106 -6948.00000000 NS USD -301543.20000000 -0.03472220149 Short EC US N 1 N N N BUNGE LIMITED 5493007M0RIN8HY3MM77 G16962105 4136.00000000 NS USD 238026.80000000 0.027408392926 Long EC BM N 1 N N N WILLIAMS-SONOMA, INC. 549300IARG6YWVTZ1I92 969904101 -829.00000000 NS USD -60881.76000000 -0.00701043411 Short EC US N 1 N N N EPLUS INC. 529900FFY8AAFJ21NE91 294268107 -700.00000000 NS USD -59003.00000000 -0.00679409800 Short EC US N 1 N N N PATTERN ENERGY GROUP INC. 549300YTEUCT3H1Y2T51 70338P100 1552.00000000 NS USD 41523.76000000 0.004781392388 Long EC US N 1 N N N UBS Group Funding (Switzerland) AG 506700Q800G1L95S7805 90351DAB3 689000.00000000 PA USD 749664.60000000 0.086322640642 Long DBT NUSS CH Y 2 2025-09-24 Fixed 4.12500000 N N N N N N CHIPOTLE MEXICAN GRILL, INC. N/A 169656105 -598.00000000 NS USD -500591.78000000 -0.05764231675 Short EC US N 1 N N N TRI POINTE GROUP, INC. N/A 87265H109 -7259.00000000 NS USD -113095.22000000 -0.01302272780 Short EC US N 1 N N N Pennant Group Inc 5493007H2OYR6BYLDA64 70805E109 609.00000000 NS USD 20139.63000000 0.002319045134 Long EC US N 1 N N N POOL CORPORATION 5493005VZK1KMN6CO617 73278L105 -250.00000000 NS USD -53095.00000000 -0.00611380156 Short EC US N 1 N N N ECOLAB INC. 82DYEISM090VG8LTLS26 278865100 -4351.00000000 NS USD -839699.49000000 -0.09669000953 Short EC US N 1 N N N AVNET, INC. XJI53DCPL7QABOWK4Z75 053807103 -1127.00000000 NS USD -47829.88000000 -0.00550753169 Short EC US N 1 N N N N/A N/A CDS857112 258000.00000000 NC USD 1526.75000000 0.000175802741 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2058-09-17 17610.16 USD 0 USD 258000 USD -16083.41 N N N STAG INDUSTRIAL, INC. 549300QWYX2W6FASVQ07 85254J102 1478.00000000 NS USD 46660.46000000 0.005372874910 Long EC US N 1 N N N NewMarket Corporation 54930082CG88ERDREQ47 651587107 -100.00000000 NS USD -48652.00000000 -0.00560219745 Short EC US N 1 N N N Government National Mortgage Association N/A 38380GQ64 1754792.38300000 PA USD 275416.59000000 0.031713765496 Long DBT USGA US N 2 2047-09-20 Floating 4.43536920 N N N N N N SPLUNK INC. 549300XGDSGBP6UEI867 848637104 805.00000000 NS USD 120564.85000000 0.013882843368 Long EC US N 1 N N N NORTHERN OIL AND GAS, INC. OKFF0PIZDDMNH4UCYE51 665531109 29100.00000000 NS USD 68094.00000000 0.007840911644 Long EC US N 1 N N N THE SOUTHERN COMPANY 549300FC3G3YU2FBZD92 842587107 11624.00000000 NS USD 740448.80000000 0.085261456491 Long EC US N 1 N N N ELDORADO RESORTS, INC. 5299000BKFWWVND5L441 28470R102 -1993.00000000 NS USD -118862.52000000 -0.01368682288 Short EC US N 1 N N N FIRSTENERGY CORP. 549300SVYJS666PQJH88 337932107 6322.00000000 NS USD 307249.20000000 0.035379237967 Long EC US N 1 N N N N/A N/A N/A 53.00000000 NC USD 4488729.00000000 0.516869731352 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Heating Oil Heating Oil Future Mar 2020 2020-03-30 4361997.68 USD 126731.32 N N N REGENCY ENERGY PARTNERS LP N/A 75886AAJ7 114000.00000000 PA USD 120789.22000000 0.013908679203 Long DBT CORP US N 2 2023-11-01 Fixed 4.50000000 N N N N N N LANCASTER COLONY CORPORATION 529900X4O13HED1ZAS58 513847103 650.00000000 NS USD 104065.00000000 0.011982912889 Long EC US N 1 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020107 3780.00000000 NS USD 285049.80000000 0.032823013719 Long EC US N 1 N N N MAGNOLIA OIL & GAS CORPORATION N/A 559663109 6200.00000000 NS USD 77996.00000000 0.008981110592 Long EC US N 1 N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DBJ3 891000.00000000 PA USD 897831.91000000 0.103383861694 Long DBT CORP US N 2 2026-09-06 Fixed 3.21500000 N N N N N N INCYTE CORPORATION 549300Z4WN6JVZ3T4680 45337C102 2443.00000000 NS USD 213322.76000000 0.024563763518 Long EC US N 1 N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST N/A 63874PAA3 910000.00000000 PA USD 907711.81000000 0.104521515863 Long ABS-MBS US N 2 2033-07-15 Floating 2.54949840 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137L105 -4500.00000000 NS USD -166815.00000000 -0.01920847176 Short EC US N 1 N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 42250P103 9208.00000000 NS USD 317399.76000000 0.036548058188 Long EC US N 1 N N N OMEGA HEALTHCARE INVESTORS, INC. 549300OJ7ENK42CZ8E73 681936100 4074.00000000 NS USD 172533.90000000 0.019866993650 Long EC US N 1 N N N NETFLIX, INC. 549300Y7VHGU0I7CE873 64110L106 3605.00000000 NS USD 1166469.85000000 0.134317076838 Long EC US N 1 N N N REX AMERICAN RESOURCES CORPORATION N/A 761624105 700.00000000 NS USD 57372.00000000 0.006606291051 Long EC US N 1 N N N THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY 2138005O9XJIJN4JPN90 780097AU5 600000.00000000 PA USD 590868.00000000 0.068037474399 Long DBT NUSS GB N 2 2168-03-31 Floating 4.26462840 N N N N N N MARATHON OIL CORPORATION 1FRVQX2CRLGC1XLP5727 565849106 43474.00000000 NS USD 590376.92000000 0.067980927348 Long EC US N 1 N N N STEEL DYNAMICS, INC. 549300HGGKEL4FYTTQ83 858119100 -3154.00000000 NS USD -107362.16000000 -0.01236257541 Short EC US N 1 N N N PT Perusahaan Listrik Negara (Persero) 254900OYVDRYS9J51J61 71568QAF4 230000.00000000 PA USD 290145.00000000 0.033409717584 Long DBT NUSS ID N 2 2048-05-21 Fixed 6.15000000 N N N N N N HOLOGIC, INC. 549300DYP6F5ZJL0LB74 436440101 3515.00000000 NS USD 183518.15000000 0.021131811897 Long EC US N 1 N N N INVITATION HOMES INC. N/A 46187W107 6683.00000000 NS USD 200289.51000000 0.023063006304 Long EC US N 1 N N N PT Pertamina (Persero) 254900NDAKGNZ2IBBL45 69370RAA5 450000.00000000 PA USD 577726.14000000 0.066524210924 Long DBT NUSS ID N 2 2044-05-30 Fixed 6.45000000 N N N N N N SL GREEN REALTY CORP. 549300VQZPJU97H3GT17 78440X101 1070.00000000 NS USD 98311.60000000 0.011320418381 Long EC US N 1 N N N PAR PACIFIC HOLDINGS, INC. 549300BTNS7MHSHRLR55 69888T207 4300.00000000 NS USD 99932.00000000 0.011507004765 Long EC US N 1 N N N RADNOR RE/ESSENT N/A 75049SAB9 313221.00000000 PA USD 312839.12000000 0.036022908023 Long ABS-MBS BM N 2 2029-02-25 Floating 3.74199840 N N N N N N THE MOSAIC COMPANY 2YD5STGSJNMUB7H76907 61945C103 -4639.00000000 NS USD -100387.96000000 -0.01155950780 Short EC US N 1 N N N ALLEGHENY TECHNOLOGIES INCORPORATED ZW1LRE7C3H17O2ZN9B45 01741R102 -1150.00000000 NS USD -23759.00000000 -0.00273580961 Short EC US N 1 N N N SOUTHWEST GAS HOLDINGS, INC. N/A 844895102 976.00000000 NS USD 74146.72000000 0.008537872356 Long EC US N 1 N N N TELEFLEX INCORPORATED UUL85LWXB4NGSWWXIQ25 879369106 600.00000000 NS USD 225864.00000000 0.026007866592 Long EC US N 1 N N N PORTLAND GENERAL ELECTRIC COMPANY GJOUP9M7C39GLSK9R870 736508847 1876.00000000 NS USD 104662.04000000 0.012051661059 Long EC US N 1 N N N N/A N/A N/A 134.00000000 NC USD 8844000.00000000 1.018371994407 N/A DCO GB N 1 MORGAN STANLEY & CO, INC N/A Long Crude Oil BRENT CRUDE OIL(ICE) Mar 2020 2020-02-03 8217418.38 USD 626581.62 N N N VERTEX PHARMACEUTICALS INCORPORATED 54930015RAQRRZ5ZGJ91 92532F100 2824.00000000 NS USD 618314.80000000 0.071197928092 Long EC US N 1 N N N CENTURYLINK, INC. 8M3THTGWLTYZVE6BBY25 156700106 13415.00000000 NS USD 177212.15000000 0.020405686412 Long EC US N 1 N N N KEYSIGHT TECHNOLOGIES, INC. 549300GLKVIO8YRCYN02 49338L103 -1553.00000000 NS USD -159384.39000000 -0.01835284929 Short EC US N 1 N N N Madison Square Garden Co N/A 55825T103 200.00000000 NS USD 58838.00000000 0.006775098530 Long EC US N 1 N N N APARTMENT INVESTMENT AND MANAGEMENT COMPANY 549300O8FT5GJ4RU1D57 03748R754 2755.00000000 NS USD 142295.75000000 0.016385120615 Long EC US N 1 N N N DECKERS OUTDOOR CORPORATION 5493008LG4W3I6K8J118 243537107 -1302.00000000 NS USD -219855.72000000 -0.02531602307 Short EC US N 1 N N N RYMAN HOSPITALITY PROPERTIES, INC. 529900GCCWW9SRMPJR11 78377T107 972.00000000 NS USD 84233.52000000 0.009699350718 Long EC US N 1 N N N DOLLAR GENERAL CORPORATION OPX52SQVOZI8IVSWYU66 256677105 -2834.00000000 NS USD -442047.32000000 -0.05090101887 Short EC US N 1 N N N THE MACERICH COMPANY 529900PSWCB5KI0JYU46 554382101 3212.00000000 NS USD 86467.04000000 0.009956536858 Long EC US N 1 N N N COCA-COLA CONSOLIDATED, INC. 57VG5X0E00X0QJU7CQ58 191098102 100.00000000 NS USD 28405.00000000 0.003270788840 Long EC US N 1 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCT7 181000.00000000 PA USD 193007.54000000 0.022224499485 Long DBT NUSS MX Y 2 2030-01-23 Fixed 6.84000000 N N N N N N MARRIOTT VACATIONS WORLDWIDE CORPORATION 549300WA6BT5H4F7IO94 57164Y107 -1170.00000000 NS USD -150649.20000000 -0.01734700658 Short EC US N 1 N N N CATALENT, INC. N/A 148806102 2456.00000000 NS USD 138272.80000000 0.015921884566 Long EC US N 1 N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 902973AZ9 474000.00000000 PA USD 523177.50000000 0.060243025113 Long DBT CORP US N 2 2168-04-15 Fixed 5.30000000 N N N N N N N/A N/A N/A 105.00000000 NC USD 2035687.50000000 0.234406053749 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Corn Corn Future Mar 2020 2020-03-16 2009936.6 USD 25750.9 N N N COUSINS PROPERTIES INCORPORATED 5493007XPYD5EJABN062 222795502 3528.00000000 NS USD 145353.60000000 0.016737226993 Long EC US N 1 N N N ACCENTURE PUBLIC LIMITED COMPANY N/A G1151C101 2960.00000000 NS USD 623287.20000000 0.071770491740 Long EC IE N 1 N N N BRK: SOCIETE GENERALE N/A N/A 44516.74390000 NC USD 55094.59000000 0.006344051051 N/A DE US N 2 BRK: SOCIETE GENERALE N/A Y 2020-01-24 0 USD 0 USD -7601972.33 USD 55094.59 N N N GRAND CANYON EDUCATION, INC. 529900XFER799IYOSW74 38526M106 -1155.00000000 NS USD -110637.45000000 -0.01273971965 Short EC US N 1 N N N FOUR CORNERS PROPERTY TRUST, INC. 549300SVTPZPBDVNER42 35086T109 2200.00000000 NS USD 62018.00000000 0.007141270279 Long EC US N 1 N N N PTC THERAPEUTICS, INC. 549300UJLWOIWFDGB318 69366J200 1200.00000000 NS USD 57636.00000000 0.006636690215 Long EC US N 1 N N N DBWF COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES N/A 23307GAA4 760897.00000000 PA USD 760518.53000000 0.087572452756 Long ABS-MBS US N 2 2035-11-19 Floating 2.76324840 N N N N N N CBRE GROUP, INC. 52990016II9MJ2OSWA10 12504L109 6378.00000000 NS USD 390907.62000000 0.045012366871 Long EC US N 1 N N N EQUITY LIFESTYLE PROPERTIES, INC. 529900PEQG66LENB6798 29472R108 3700.00000000 NS USD 260443.00000000 0.029989581336 Long EC US N 1 N N N ICU MEDICAL, INC. 5493003NRW7LS2QZRH60 44930G107 324.00000000 NS USD 60626.88000000 0.006981085108 Long EC US N 1 N N N Gaming and Leisure Properties, Inc. 5493006GWRDBCZYWTM57 36467J108 3856.00000000 NS USD 166000.80000000 0.019114717974 Long EC US N 1 N N N N/A N/A N/A 225.00000000 NC USD 4855500.00000000 0.559102806291 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Natural Gas Natural Gas Future Mar 2020 2020-02-29 5009982 USD -154482 N N N TERADYNE, INC. C3X4YJ278QNZHRJULN75 880770102 -834.00000000 NS USD -56870.46000000 -0.00654853954 Short EC US N 1 N N N NORTONLIFELOCK INC. YF6ZV0M6AU4FY94MK914 668771108 3306.00000000 NS USD 84369.12000000 0.009714964835 Long EC US N 1 N N N MEDTRONIC PUBLIC LIMITED COMPANY 549300GX3ZBSQWUXY261 G5960L103 14905.00000000 NS USD 1690972.25000000 0.194712661999 Long EC IE N 1 N N N Suzano Austria GmbH 254900287ZNSGVP1R341 86964WAF9 713000.00000000 PA USD 803907.50000000 0.092568620996 Long DBT NUSS AT N 2 2029-01-15 Fixed 6.00000000 N N N N N N Reata Pharmaceuticals Inc 5299005F094GH9QDDD80 75615P103 200.00000000 NS USD 40886.00000000 0.004707955378 Long EC US N 1 N N N HESS CORPORATION UASVRYNXNK17ULIGK870 42809H107 13953.00000000 NS USD 932199.93000000 0.107341282440 Long EC US N 1 N N N GS MORTGAGE SECURITIES TRUST N/A 36255NAT2 1350000.00000000 PA USD 1480229.78000000 0.170446014613 Long ABS-MBS US N 2 2051-03-10 Fixed 3.99200000 N N N N N N ADIENT PUBLIC LIMITED COMPANY 5493002QLDY8O75RTR78 G0084W101 -8118.00000000 NS USD -172507.50000000 -0.01986395373 Short EC IE N 1 N N N Iovance Biotherapeutics Inc N/A 462260100 1400.00000000 NS USD 38752.00000000 0.004462228802 Long EC US N 1 N N N GLADSTONE COMMERCIAL CORPORATION 529900EVVV534W8R0T32 376536108 3038.00000000 NS USD 66410.68000000 0.007647080126 Long EC US N 1 N N N HOST HOTELS & RESORTS, INC. N6EL63S0K3PB1YFTDI24 44107P104 12488.00000000 NS USD 231652.40000000 0.026674391293 Long EC US N 1 N N N CHASE MORTGAGE FINANCE CORPORATION N/A 161631AS5 124268.95000000 PA USD 97481.11000000 0.011224788829 Long ABS-MBS US N 2 2037-07-25 Fixed 6.00000000 N N N N N N STANDARD MOTOR PRODUCTS, INC. THGK1EO5B5HK0JHQVZ90 853666105 -1495.00000000 NS USD -79563.90000000 -0.00916165168 Short EC US N 1 N N N TALOS ENERGY INC. 549300OKFHZ84SFJFT95 87484T108 2200.00000000 NS USD 66330.00000000 0.007637789958 Long EC US N 1 N N N CASS INFORMATION SYSTEMS, INC. 549300G7XPIPR7SJ2F38 14808P109 1080.00000000 NS USD 62359.20000000 0.007180558895 Long EC US N 1 N N N U.S. SILICA HOLDINGS, INC. 529900HOXGPM9F75C193 90346E103 3378.00000000 NS USD 20774.70000000 0.002392172396 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -89499.70000000 -0.01030574264 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 2484564.94000000 NZD 1586756.96000000 USD 2020-01-17 -89499.7 N N N LIVE NATION ENTERTAINMENT, INC. 5493007B9BM9ZXJINO78 538034109 1500.00000000 NS USD 107205.00000000 0.012344478704 Long EC US N 1 N N N PPL CORPORATION 9N3UAJSNOUXFKQLF3V18 69351T106 6980.00000000 NS USD 250442.40000000 0.028838028762 Long EC US N 1 N N N HALLIBURTON COMPANY ENYF8GB5SMQZ25S06U51 406216101 43727.00000000 NS USD 1069999.69000000 0.123208697232 Long EC US N 1 N N N LAMAR ADVERTISING COMPANY 529900Y8WW4MKVPTB543 512816109 1784.00000000 NS USD 159239.84000000 0.018336204596 Long EC US N 1 N N N ASHLAND GLOBAL HOLDINGS INC. 529900E4L9R04SB8HB11 044186104 -951.00000000 NS USD -72780.03000000 -0.00838050026 Short EC US N 1 N N N THE KRAFT HEINZ COMPANY N/A 500754106 18218.00000000 NS USD 585344.34000000 0.067401434072 Long EC US N 1 N N N Federal National Mortgage Association N/A 30711XAT1 269962.38470000 PA USD 287403.03000000 0.033093984267 Long DBT USGA US N 2 2025-02-25 Floating 6.12275040 N N N N N N CUBESMART N/A 229663109 4581.00000000 NS USD 144209.88000000 0.016605529523 Long EC US N 1 N N N FOSSIL GROUP, INC. DDMY8YZ6L8UEMS1FDM73 34988V106 -1769.00000000 NS USD -13939.72000000 -0.00160513573 Short EC US N 1 N N N RITE AID CORPORATION 529900W353T1JY1DKT44 767754872 3190.00000000 NS USD 49349.30000000 0.005682490396 Long EC US N 1 N N N DUPONT DE NEMOURS, INC. 5493004JF0SDFLM8GD76 26078JAB6 690000.00000000 PA USD 738264.33000000 0.085009918378 Long DBT CORP US N 2 2023-11-15 Fixed 4.20500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EU4 233000.00000000 PA USD 269115.00000000 0.030988147814 Long DBT CORP US N 2 2168-09-10 Fixed 6.30000000 N N N N N N WORKDAY, INC. 549300J0DYC0N31V7G13 98138H101 851.00000000 NS USD 139946.95000000 0.016114660174 Long EC US N 1 N N N HEALTHEQUITY, INC. 529900LRJU1RAFQHM467 42226A107 500.00000000 NS USD 37035.00000000 0.004264519087 Long EC US N 1 N N N JABIL INC. 5493000CGCQY2OQU7669 466313103 -1422.00000000 NS USD -58771.26000000 -0.00676741353 Short EC US N 1 N N N GERDAU HOLDINGS INC. 549300XANGFWLNNZ4D13 36258GAA5 675000.00000000 PA USD 685968.75000000 0.078988168706 Long DBT CORP US Y 2 2030-01-21 Fixed 4.25000000 N N N N N N APTARGROUP, INC. VNPEQDQFAA7IY1T2PX43 038336103 -1090.00000000 NS USD -126025.80000000 -0.01451166274 Short EC US N 1 N N N DEUTSCHE ALT-A SECURITIES, INC N/A 25150PAB5 446404.79300000 PA USD 232567.39000000 0.026779750880 Long ABS-MBS US N 2 2036-12-25 Floating 2.01274920 N N N N N N ROSS STORES, INC. 549300ENZFLPGRDFZQ60 778296103 -3897.00000000 NS USD -453688.74000000 -0.05224150915 Short EC US N 1 N N N ACUSHNET HOLDINGS CORP. 529900W5FI106H543E43 005098108 -2200.00000000 NS USD -71500.00000000 -0.00823310691 Short EC US N 1 N N N EASTGROUP PROPERTIES, INC. 31TIGQQZC4P6JMHKSW85 277276101 976.00000000 NS USD 129485.92000000 0.014910089846 Long EC US N 1 N N N VISA INC. 549300JZ4OKEHW3DPJ59 92826C839 7908.00000000 NS USD 1485913.20000000 0.171100451040 Long EC US N 1 N N N Polaris Inc. 549300QJSN8UVWN1EI78 731068102 -2513.00000000 NS USD -255572.10000000 -0.02942870524 Short EC US N 1 N N N WALMART INC. Y87794H0US1R65VBXU25 931142103 42153.00000000 NS USD 5009462.52000000 0.576831336205 Long EC US N 1 N N N COMMERCIAL METALS COMPANY 549300OQS2LO07ZJ7N73 201723103 -2900.00000000 NS USD -64583.00000000 -0.00743662579 Short EC US N 1 N N N PTC INC. 54930050SSMU8SKDJ030 69370C100 500.00000000 NS USD 37445.00000000 0.004311729910 Long EC US N 1 N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045V100 -109408.00000000 NS USD -4004332.80000000 -0.46109230888 Short EC US N 1 N N N N/A N/A CDS857213 -356000.00000000 NC USD -2106.67000000 -0.00024257957 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -45130.71 USD -356000 USD 43024.04 N N N BRIXMOR PROPERTY GROUP INC. 5299007UXW6Y0W2EGZ95 11120U105 6467.00000000 NS USD 139751.87000000 0.016092197034 Long EC US N 1 N N N SILICON LABORATORIES INC. 4PRDF8Q9TDHRVZKZSZ47 826919102 -400.00000000 NS USD -46392.00000000 -0.00534196218 Short EC US N 1 N N N CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST) N/A 12667GQL0 78188.30200000 PA USD 73114.40000000 0.008419002413 Long ABS-MBS US N 2 2035-07-25 Fixed 5.50000000 N N N N N N LIMONEIRA COMPANY 549300UCPZVJGYHI7550 532746104 2400.00000000 NS USD 46152.00000000 0.005314326581 Long EC US N 1 N N N EASTERLY GOVERNMENT PROPERTIES, INC. 549300ERMCEFC6S8HL77 27616P103 3375.00000000 NS USD 80088.75000000 0.009222087298 Long EC US N 1 N N N ANTERO RESOURCES CORPORATION APVBKPOULHUX7YZLKU17 03674X106 9447.00000000 NS USD 26923.95000000 0.003100248378 Long EC US N 1 N N N HAEMONETICS CORPORATION 549300ZEL6TXZS6F5F95 405024100 628.00000000 NS USD 72157.20000000 0.008308782414 Long EC US N 1 N N N HOSTESS BRANDS, INC. N/A 44109J106 3370.00000000 NS USD 48999.80000000 0.005642246048 Long EC US N 1 N N N PEABODY ENERGY CORPORATION EJCO258LNNVSKAR2JX59 704551100 3825.00000000 NS USD 34884.00000000 0.004016834990 Long EC US N 1 N N N Yum China Holdings Inc 529900DO9BYZ7VA3K502 98850P109 -9482.00000000 NS USD -455230.82000000 -0.05241907712 Short EC US N 1 N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46644UBA5 540000.00000000 PA USD 578012.60000000 0.066557196320 Long ABS-MBS US N 2 2048-07-15 Fixed 3.82180000 N N N N N N ESSEX PROPERTY TRUST, INC. 549300TR2H2VEFX0NC60 297178105 1051.00000000 NS USD 316203.86000000 0.036410352278 Long EC US N 1 N N N LAUREATE EDUCATION, INC. 5JL7TMOH5TY3IUYSUP91 518613203 -3600.00000000 NS USD -63396.00000000 -0.00729994470 Short EC US N 1 N N N TENET HEALTHCARE CORPORATION 0W9AIBT6U6ADJ2I8HK17 88033G407 2000.00000000 NS USD 76060.00000000 0.008758183389 Long EC US N 1 N N N EASTMAN CHEMICAL COMPANY FDPVHDGJ1IQZFK9KH630 277432100 -1791.00000000 NS USD -141954.66000000 -0.01634584466 Short EC US N 1 N N N MORGAN STANLEY CAPITAL I INC. 3IFG42XD94UUZ7FL2766 61745M2L6 116630.77930000 PA USD 116913.26000000 0.013462368810 Long ABS-MBS US N 2 2056-07-15 Fixed 5.00000000 N N N N N N TYSON FOODS, INC. WD6L6041MNRW1JE49D58 902494BJ1 108000.00000000 PA USD 116908.58000000 0.013461829916 Long DBT CORP US N 2 2026-03-01 Fixed 4.00000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAS4 695000.00000000 PA USD 712717.66000000 0.082068261517 Long DBT NUSS GB N 2 2023-01-10 Fixed 3.68400000 N N N N N N Federal Home Loan Banks N/A 3130AHSR5 1400000.00000000 PA USD 1400567.20000000 0.161273000086 Long DBT USGA US N 2 2021-12-20 Fixed 1.62500000 N N N N N N N/A N/A CDS331911 -1093000.00000000 NC USD -55845.06000000 -0.00643046643 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2049-12-31 0 USD -74087.18 USD -1093000 USD 18242.12 N N N W.P. CAREY INC. 54930042CRNE713E3Q67 92936U109 3179.00000000 NS USD 254447.16000000 0.029299170262 Long EC US N 1 N N N OIL STATES INTERNATIONAL, INC. 5493004TF4KQJGMYL777 678026105 2170.00000000 NS USD 35392.70000000 0.004075410955 Long EC US N 1 N N N Wright Medical Group N.V. 549300JGCCQ1HTDOXU32 N96617118 1277.00000000 NS USD 38922.96000000 0.004481914563 Long EC NL N 1 N N N MCCORMICK & COMPANY, INCORPORATED 549300JQQA6MQ4OJP259 579780206 3573.00000000 NS USD 606445.29000000 0.069831173617 Long EC US N 1 N N N TEGNA INC. 549300YC5EDBGX85AO10 87901J105 -2600.00000000 NS USD -43394.00000000 -0.00499674743 Short EC US N 1 N N N N/A N/A N/A 217.00000000 NC USD 10367175.00000000 1.193763080180 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Soybeans Soybean Future Mar 2020 2020-03-16 9927003.73 USD 440171.27 N N N IRON MOUNTAIN INCORPORATED SQL3F6CKNNBM3SQGHX24 46284V101 6157.00000000 NS USD 196223.59000000 0.022594822331 Long EC US N 1 N N N MANUFACTURERS AND TRADERS TRUST COMPANY WWB2V0FCW3A0EE3ZJN75 55279HAR1 786000.00000000 PA USD 791232.55000000 0.091109121436 Long DBT CORP US N 2 2021-01-25 Fixed 2.62500000 N N N N N N KITE REALTY GROUP TRUST N/A 49803T300 3000.00000000 NS USD 58590.00000000 0.006746541740 Long EC US N 1 N N N N/A N/A N/A 22.00000000 NC USD 1538350.00000000 0.177138461962 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Copper COPPER FUTURE (Consolidated) Mar 2020 2020-03-27 1464602.4 USD 73747.6 N N N JONES LANG LASALLE INCORPORATED 6SYKCME112RT8TQUO411 48020Q107 1024.00000000 NS USD 178268.16000000 0.020527284219 Long EC US N 1 N N N DIAMOND OFFSHORE DRILLING, INC. F14FQJ2EEHW5VPYUHL14 25271C102 10500.00000000 NS USD 75495.00000000 0.008693124572 Long EC US N 1 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 11204.45000000 0.001290173913 N/A DFE GB N 2 BROWN BROTHERS N/A 397445.83000000 USD 308408.34000000 GBP 2020-01-10 11204.45 N N N TAKE-TWO INTERACTIVE SOFTWARE, INC. BOMSTHHJK882EWYX3334 874054109 1000.00000000 NS USD 122430.00000000 0.014097612310 Long EC US N 1 N N N GILEAD SCIENCES, INC. 549300WTZWR07K8MNV44 375558103 15001.00000000 NS USD 974764.98000000 0.112242577652 Long EC US N 1 N N N CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST) N/A 12668AYS8 4338.70260000 PA USD 3753.19000000 0.000432173630 Long ABS-MBS US N 2 2035-12-25 Fixed 5.50000000 N N N N N N FEDERAL FARM CREDIT BANKS FUNDING CORPORATION N/A 3133EJV89 4000000.00000000 PA USD 4010433.48000000 0.461794792115 Long DBT USGA US N 2 2021-11-23 Floating 2.45000160 N N N N N N Federal National Mortgage Association N/A 20753KAB8 335504.00000000 PA USD 338602.01000000 0.038989462260 Long ABS-MBS US N 2 2031-08-25 Floating 4.09200120 N N N N N N CELANESE CORPORATION 549300FHJQTDPPN41627 150870103 -1972.00000000 NS USD -242792.64000000 -0.02795717153 Short EC US N 1 N N N NATIONAL STORAGE AFFILIATES TRUST N/A 637870106 1700.00000000 NS USD 57154.00000000 0.006581188711 Long EC US N 1 N N N Freddie Mac N/A 35564XAH4 450000.00000000 PA USD 450043.92000000 0.051821814154 Long DBT USGA US N 2 2049-09-25 Floating 3.64200120 N N N N N N ZIMMER BIOMET HOLDINGS, INC. 2P2YLDVPES3BXQ1FRB91 98956P102 2403.00000000 NS USD 359681.04000000 0.041416677753 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828UH1 12660000.00000000 PA USD 14113354.35000000 1.625129445633 Long DBT USGA XX N 2 2023-01-15 Fixed 0.12500000 N N N N N N NEWS CORPORATION 549300ITS31QK8VRBQ14 65249B109 -4700.00000000 NS USD -66458.00000000 -0.00765252894 Short EC US N 1 N N N PERKINELMER, INC. 549300IKL1SDPFI7N655 714046109 1652.00000000 NS USD 160409.20000000 0.018470854469 Long EC US N 1 N N N United States of America N/A N/A 25.00000000 NC USD 3517578.13000000 0.405043312497 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Mar 2020 2020-03-23 3521050.13 USD -3472 N N N HP INC. WHKXQACZ14C5XRO8LW03 40434L105 -13487.00000000 NS USD -277157.85000000 -0.03191426870 Short EC US N 1 N N N SAREPTA THERAPEUTICS, INC. 549300IKDPIED8J8IG21 803607100 909.00000000 NS USD 117297.36000000 0.013506597291 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828H45 42550000.00000000 PA USD 44766174.77000000 5.154751094810 Long DBT USGA XX N 2 2023-04-15 Fixed 0.62500000 N N N N N N BRK: MERRILL LYNCH N/A N/A 72722.59330000 NC USD 90002.04000000 0.010363586270 N/A DE US N 2 BRK: MERRILL LYNCH N/A Y 2020-01-24 0 USD 0 USD -12418589.44 USD 90002.04 N N N VULCAN MATERIALS COMPANY 549300Q8LSNHAVWBNI21 929160109 -2228.00000000 NS USD -320809.72000000 -0.03694070945 Short EC US N 1 N N N Bellemeade RE N/A 07877BAE0 480791.00000000 PA USD 481475.26000000 0.055441081047 Long ABS-MBS BM N 2 2029-04-25 Floating 3.82275000 N N N N N N WASHINGTON REAL ESTATE INVESTMENT TRUST 549300DI34BGS8LVKW95 939653101 2478.00000000 NS USD 72308.04000000 0.008326151391 Long EC US N 1 N N N TOOTSIE ROLL INDUSTRIES, INC. 529900SBKOV9XX4M4Q35 890516107 2100.00000000 NS USD 71694.00000000 0.008255445699 Long EC US N 1 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A N/A 1460320000.00000000 NC -71554.34000000 -0.00823936408 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2029-12-13 0 JPY 0 JPY -1460320000 JPY -71554.34 N N N N/A N/A CDS875099 -1305000.00000000 NC USD 20248.17000000 0.002331543336 N/A DCR XX N 2 BRK: CREDIT SUISSE N/A Y 2063-05-11 0 USD -29005.85 USD -1305000 USD 49254.02 N N N AGREE REALTY CORPORATION N/A 008492100 800.00000000 NS USD 56136.00000000 0.006463967693 Long EC US N 1 N N N ENTEGRIS, INC. IYX6OWO7BT5DKO3BYG52 29362U104 -500.00000000 NS USD -25045.00000000 -0.00288389038 Short EC US N 1 N N N BELLEMEADE RE LTD. N/A 07877GAB5 466086.00000000 PA USD 466582.06000000 0.053726153663 Long ABS-MBS BM N 2 2029-07-25 Floating 3.39199920 N N N N N N BRK: SOCIETE GENERALE N/A N/A 4475.10550000 NC USD 16305.02000000 0.001877496125 N/A DE US N 2 BRK: SOCIETE GENERALE N/A Y 2020-01-24 0 USD 0 USD -1799965.77 USD 16305.02 N N N MEDIFAST, INC. 5299000YHQJ21T5KKI80 58470H101 400.00000000 NS USD 43832.00000000 0.005047182412 Long EC US N 1 N N N UNDER ARMOUR, INC. 549300D4549QKWETZ406 904311107 -8946.00000000 NS USD -193233.60000000 -0.02225052992 Short EC US N 1 N N N N/A N/A CDS894048 -471000.00000000 NC USD -24064.98000000 -0.00277104270 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -56749.88 USD -471000 USD 32684.9 N N N NEUROCRINE BIOSCIENCES, INC. 549300FECER0XBN49756 64125C109 1128.00000000 NS USD 121248.72000000 0.013961589869 Long EC US N 1 N N N MOLSON COORS BREWING COMPANY 54930073LBBH6ZCBE225 60871R209 5215.00000000 NS USD 281088.50000000 0.032366876566 Long EC US N 1 N N N MARLETTE FUNDING TRUST N/A 57109FAA4 258234.06960000 PA USD 258735.41000000 0.029792955167 Long ABS-MBS US N 2 2028-09-15 Fixed 3.20000000 N N N N N N LIFE STORAGE, INC. W9EE01AFDDF9DQCQZC68 53223X107 800.00000000 NS USD 86624.00000000 0.009974610543 Long EC US N 1 N N N Amdocs Limited N/A G02602103 953.00000000 NS USD 68797.07000000 0.007921868994 Long EC GG N 1 N N N MOLINA HEALTHCARE, INC. 549300NQQCEQ46YHZ591 60855R100 738.00000000 NS USD 100139.22000000 0.011530865806 Long EC US N 1 N N N WEC ENERGY GROUP, INC. 549300IGLYTZUK3PVP70 92939U106 3815.00000000 NS USD 351857.45000000 0.040515804285 Long EC US N 1 N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST N/A 61763MAF7 920000.00000000 PA USD 973393.30000000 0.112084630966 Long ABS-MBS US N 2 2047-06-15 Fixed 3.89200000 N N N N N N SERVICEMASTER GLOBAL HOLDINGS, INC. 549300GS10644JGL8R77 81761R109 -3955.00000000 NS USD -152900.30000000 -0.01760621703 Short EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 9128284C1 1100000.00000000 PA USD 1101546.88000000 0.126841304061 Long SN UST US N 2 2020-03-31 Fixed 2.25000000 N N N N N N BRK: MORGAN STANLEY N/A N/A 35050000.00000000 NC -193553.31000000 -0.02228734399 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2021-08-27 0 CAD 0 CAD -35050000 CAD -193553.31 N N N COLUMBIA PROPERTY TRUST, INC. 549300J5GYF2C9BGCC39 198287203 1650.00000000 NS USD 34501.50000000 0.003972790746 Long EC US N 1 N N N OXFORD INDUSTRIES INC IDZ20O0XD3GS4UOI2L88 691497309 -976.00000000 NS USD -73609.92000000 -0.00847606072 Short EC US N 1 N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857L108 -459.00000000 NS USD -942662.07000000 -0.10854598058 Short EC US N 1 N N N BROWN-FORMAN CORPORATION 549300873K3LXF7ARU34 115637209 5069.00000000 NS USD 342664.40000000 0.039457239760 Long EC US N 1 N N N WW International, Inc. SGT8R1MU6ESIC7UJC518 98262P101 -1300.00000000 NS USD -49673.00000000 -0.00571976391 Short EC US N 1 N N N RENEWABLE ENERGY GROUP, INC. 549300HPU3BD8ZI0X358 75972A301 2200.00000000 NS USD 59290.00000000 0.006827145584 Long EC US N 1 N N N SUPERNUS PHARMACEUTICALS, INC. 549300GRM36VBKISYJ58 868459108 1500.00000000 NS USD 35580.00000000 0.004096978240 Long EC US N 1 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AM1 741000.00000000 PA USD 802579.40000000 0.092415692474 Long DBT NUSS GB N 2 2025-12-10 Fixed 4.58200000 N N N N N N NEXSTAR MEDIA GROUP, INC. 52990083ZRR5UT591988 65336K103 -600.00000000 NS USD -70350.00000000 -0.00810068631 Short EC US N 1 N N N N/A N/A N/A -200.00000000 NC USD -10000.00000000 -0.00115148348 N/A DIR XX N 1 ROYAL BANK CANADA N/A Put Written N/A Put Option 485 Feb 2020 on WHEAT FUTR e-CBOT Mar 2020 (e-CBOT) -10000.00000000 485 USD 2020-02-24 XXXX 22956 N N N NISOURCE INC. 549300D8GOWWH0SJB189 65473P105 4946.00000000 NS USD 137696.64000000 0.015855540694 Long EC US N 1 N N N PIEDMONT OFFICE REALTY TRUST, INC. N/A 720190206 3766.00000000 NS USD 83755.84000000 0.009644346655 Long EC US N 1 N N N N/A N/A N/A -158.00000000 NC USD -25525690.00000000 -2.93924104861 N/A DE US N 1 MORGAN STANLEY & CO, INC N/A Short S&P 500 Future Mar 2020 N/A N/A 2020-03-23 -25263384.72 USD -262305.28 N N N COGNEX CORPORATION 549300JQTYZCLC43S226 192422103 -1768.00000000 NS USD -99078.72000000 -0.01140875098 Short EC US N 1 N N N LAMB WESTON HOLDINGS, INC. 5493005SMYID1D2OY946 513272104 4305.00000000 NS USD 370359.15000000 0.042646244485 Long EC US N 1 N N N KOSMOS ENERGY LTD. 213800YDFJ3OT9B5P157 500688106 24500.00000000 NS USD 139650.00000000 0.016080466872 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828VA5 1700000.00000000 PA USD 1697078.13000000 0.195415743997 Long SN UST US N 2 2020-04-30 Fixed 1.12500000 N N N N N N ALLIANCE DATA SYSTEMS CORPORATION 549300G8S4PO686J7H97 018581108 320.00000000 NS USD 35904.00000000 0.004134286305 Long EC US N 1 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAA7 800000.00000000 PA USD 896387.05000000 0.103217488451 Long DBT NUSS ES N 2 2025-11-19 Fixed 5.17900000 N N N N N N THERMO FISHER SCIENTIFIC INC. HCHV7422L5HDJZCRFL38 883556102 4586.00000000 NS USD 1489853.82000000 0.171554206925 Long EC US N 1 N N N CHURCH & DWIGHT CO., INC. POOXSI30AWAQGYJZC921 171340102 7368.00000000 NS USD 518265.12000000 0.059677372669 Long EC US N 1 N N N VALVOLINE INC. N/A 92047W101 -3294.00000000 NS USD -70524.54000000 -0.00812078431 Short EC US N 1 N N N N/A N/A CDS857147 257000.00000000 NC USD 1520.83000000 0.000175121062 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2058-09-17 17541.9 USD 0 USD 257000 USD -16021.07 N N N Federal National Mortgage Association N/A 3135G0V83 2600000.00000000 PA USD 2597744.11000000 0.299125944172 Long DBT USGA US N 2 2021-01-29 Floating 2.45000160 N N N N N N BOYD GAMING CORPORATION 254900787YGRYS2A1Z35 103304101 -2081.00000000 NS USD -62305.14000000 -0.00717433397 Short EC US N 1 N N N BIOGEN INC. W8J5WZB5IY3K0NDQT671 09062X103 2124.00000000 NS USD 630254.52000000 0.072572767132 Long EC US N 1 N N N COMM MORTGAGE TRUST N/A 12591KAE5 870000.00000000 PA USD 918163.37000000 0.105724995737 Long ABS-MBS US N 2 2046-10-10 Fixed 4.04600000 N N N N N N PDC ENERGY, INC. 5493008W8H2T511J5Y59 69327R101 3850.00000000 NS USD 100754.50000000 0.011601714282 Long EC US N 1 N N N TAYLOR MORRISON HOME CORPORATION 5299009UDLLGLKOOJE30 87724P106 -4033.00000000 NS USD -88161.38000000 -0.01015163731 Short EC US N 1 N N N BRK: MERRILL LYNCH N/A N/A 4107.40940000 NC USD 14967.08000000 0.001723434544 N/A DE US N 2 BRK: MERRILL LYNCH N/A Y 2020-01-24 0 USD 0 USD -1652070.21 USD 14967.08 N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460D109 2525.00000000 NS USD 537724.00000000 0.061918030565 Long EC US N 1 N N N BHMS MORTGAGE TRUST N/A 05549GAA9 774027.00000000 PA USD 773344.15000000 0.089049301718 Long ABS-MBS US N 2 2035-07-15 Floating 3.01538160 N N N N N N N/A N/A N/A -31073625.00000000 PA USD -31073625.00000000 -3.57807660161 Short RA XX N 2 Reverse repurchase N 1.95000000 2050-12-31 31073625.00000000 USD 31763459.48000000 USD UST N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 335000.00000000 PA USD 352009.53000000 0.040533316046 Long DBT NUSS IT Y 2 2024-06-26 Fixed 5.01700000 N N N N N N L STREET SECURITIES N/A 949771AC3 471813.39810000 PA USD 524879.67000000 0.060439027177 Long ABS-MBS US N 2 2025-11-25 Floating 7.04199960 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231G102 208548.00000000 NS USD 14552479.44000000 1.675693974545 Long EC US N 1 N N N NEWMONT GOLDCORP CORPORATION 549300VSP3RIX7FGDZ51 651639106 -12320.00000000 NS USD -535304.00000000 -0.06163937156 Short EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -17062.16000000 -0.00196467954 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 2381550.19000000 MYR 567439.05000000 USD 2020-02-13 -17062.16 N N N WESTLAKE CHEMICAL CORPORATION GOXNEVUM0LL78B1OS344 960413102 -375.00000000 NS USD -26306.25000000 -0.00302912124 Short EC US N 1 N N N CARTER'S, INC. 5299003WAQK4R3L3ZU36 146229109 -1763.00000000 NS USD -192766.42000000 -0.02219673491 Short EC US N 1 N N N AIR PRODUCTS AND CHEMICALS, INC. 7QEON6Y1RL5XR3R1W237 009158106 -3319.00000000 NS USD -779931.81000000 -0.08980785988 Short EC US N 1 N N N N/A N/A CDS852200 -783000.00000000 NC USD -40006.11000000 -0.00460663749 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -84297.73 USD -783000 USD 44291.62 N N N URBAN OUTFITTERS, INC. 549300N3DUFR5U6NRN38 917047102 -1300.00000000 NS USD -36101.00000000 -0.00415697053 Short EC US N 1 N N N CONTINENTAL RESOURCES, INC. XXRTID9RYWOZ0UPIVR53 212015101 4104.00000000 NS USD 140767.20000000 0.016209110607 Long EC US N 1 N N N WINGSTOP INC. 549300SSH3F8HPIM3Q47 974155103 -1000.00000000 NS USD -86230.00000000 -0.00992924209 Short EC US N 1 N N N Minerva Luxembourg S.A. 222100NM3G3RCPGZ2Z17 603374AD1 286000.00000000 PA USD 304235.36000000 0.035032199268 Long DBT NUSS LU Y 2 2026-09-20 Fixed 6.50000000 N N N N N N CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST) N/A 12668BKK8 177661.58990000 PA USD 159243.29000000 0.018336601858 Long ABS-MBS US N 2 2036-02-25 Fixed 5.50000000 N N N N N N AVALONBAY COMMUNITIES, INC. K9G90K85RBWD2LAGQX17 053484101 2253.00000000 NS USD 472454.10000000 0.054402309371 Long EC US N 1 N N N BROWN-FORMAN CORPORATION 549300873K3LXF7ARU34 115637100 1728.00000000 NS USD 108466.56000000 0.012489745254 Long EC US N 1 N N N NUVASIVE, INC. 549300C5ZB4NZ6TWM881 670704105 1100.00000000 NS USD 85074.00000000 0.009796130602 Long EC US N 1 N N N Brigham Minerals Inc 549300IQ6JCXW59RO175 10918L103 2400.00000000 NS USD 51456.00000000 0.005925073422 Long EC US N 1 N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523AH3 382000.00000000 PA USD 423213.20000000 0.048732301056 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -17665.46000000 -0.00203414854 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 2485756.25000000 MYR 592410.93000000 USD 2020-02-13 -17665.46 N N N N/A N/A CDS849818 -523000.00000000 NC USD -26721.84000000 -0.00307697574 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -59824.91 USD -523000 USD 33103.07 N N N N/A N/A N/A 53.00000000 NC USD 2577787.50000000 0.296827973488 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Coffee Coffee C Future Mar 2020 2020-03-31 2236172.16 USD 341615.34 N N N BALCHEM CORPORATION 549300VR70OPMHUI3557 057665200 -700.00000000 NS USD -71141.00000000 -0.00819176866 Short EC US N 1 N N N NEKTAR THERAPEUTICS 5299005I24806IOIYE03 640268108 2284.00000000 NS USD 49300.14000000 0.005676829703 Long EC US N 1 N N N N/A N/A N/A -37.00000000 NC USD -1387.50000000 -0.00015976833 N/A DIR XX N 1 ROYAL BANK CANADA N/A Put Written N/A Put Option 2.4 Feb 2020 on COPPER FUTURE (Consolidated) Mar 2020 -9250.00000000 240 USD 2020-02-28 XXXX 15792.52 N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441C204 7843.00000000 NS USD 715360.03000000 0.082372526059 Long EC US N 1 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967JL6 905000.00000000 PA USD 957428.82000000 0.110246347458 Long DBT CORP US N 2 2025-03-26 Fixed 3.87500000 N N N N N N COSTCO WHOLESALE CORPORATION 29DX7H14B9S6O3FD6V18 22160K105 13139.00000000 NS USD 3861814.88000000 0.444681605764 Long EC US N 1 N N N GRUBHUB INC. 529900CR2K1AJ5W4RR39 400110102 -932.00000000 NS USD -45332.48000000 -0.00521996020 Short EC US N 1 N N N N/A N/A N/A 30428.41210000 NC USD -6575.38000000 -0.00075714414 N/A DE US N 2 N/A N/A Y 2020-01-04 0 USD 0 USD -2948716.8 USD -6575.38 N N N LHC GROUP, INC. 5299009NPLWAMRQYZX73 50187A107 300.00000000 NS USD 41328.00000000 0.004758850948 Long EC US N 1 N N N BELLEMEADE RE LTD. N/A 07877GAC3 340000.00000000 PA USD 340600.30000000 0.039219562054 Long ABS-MBS BM N 2 2029-07-25 Floating 3.74199840 N N N N N N V.F. CORPORATION CWAJJ9DJ5Z7P057HV541 918204108 -13374.00000000 NS USD -1332852.84000000 -0.15347580336 Short EC US N 1 N N N MCDONALD'S CORPORATION UE2136O97NLB5BYP9H04 580135101 -19965.00000000 NS USD -3945283.65000000 -0.45429289678 Short EC US N 1 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467X1 275000.00000000 PA USD 309761.49000000 0.035668524011 Long DBT CORP US N 2 2025-11-24 Fixed 5.00000000 N N N N N N O'Reilly Automotive, Inc. 549300K2RLMQL149Q332 67103H107 -899.00000000 NS USD -393995.74000000 -0.04536795878 Short EC US N 1 N N N DANA INCORPORATED KVWHW7YLZPFJM8QYNJ51 235825205 -10723.00000000 NS USD -195158.60000000 -0.02247219049 Short EC US N 1 N N N AQUA AMERICA, INC. 549300ILTEOF3E3QY357 03836W103 2803.00000000 NS USD 131572.82000000 0.015150392934 Long EC US N 1 N N N Cracker Barrel Old Country Store, Inc. 8P4PHQIUWPIECBFBW745 22410J106 -706.00000000 NS USD -108540.44000000 -0.01249825241 Short EC US N 1 N N N MOVADO GROUP, INC. 549300WCGCGPWGHVXM59 624580106 -1300.00000000 NS USD -28262.00000000 -0.00325432262 Short EC US N 1 N N N HORIZON THERAPEUTICS PUBLIC LIMITED COMPANY N/A G46188101 1628.00000000 NS USD 58933.60000000 0.006786106712 Long EC IE N 1 N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958254AH7 285000.00000000 PA USD 281376.44000000 0.032400032381 Long DBT CORP US N 2 2028-03-01 Fixed 4.50000000 N N N N N N SBA Communications Corporation 5299001HX8ZN8Y8QIT49 78410G104 2103.00000000 NS USD 506801.97000000 0.058357409877 Long EC US N 1 N N N UBS COMMERCIAL MORTGAGE TRUST N/A 90276VAE9 900000.00000000 PA USD 986698.35000000 0.113616685500 Long ABS-MBS US N 2 2051-02-15 Fixed 3.98300000 N N N N N N ZYNGA INC. N/A 98986T108 14800.00000000 NS USD 90576.00000000 0.010429676816 Long EC US N 1 N N N TRIMBLE INC. 549300E2MI7NSZFQWS19 896239100 -1874.00000000 NS USD -78127.06000000 -0.00899620193 Short EC US N 1 N N N COHERENT, INC. 549300RYOCKUMWACR010 192479103 -100.00000000 NS USD -16635.00000000 -0.00191549277 Short EC US N 1 N N N KELLOGG COMPANY LONOZNOJYIBXOHXWDB86 487836108 7203.00000000 NS USD 498159.48000000 0.057362241427 Long EC US N 1 N N N Virgolino de Oliveira Finance S.A. N/A 92824BAA4 660000.00000000 PA USD 29700.00000000 0.003419905951 Long DBT NUSS XX Y 2 2018-01-28 Fixed 10.50000000 Y N N N N N INTUIT INC. VI90HBPH7XSFMB9E4M29 461202103 1203.00000000 NS USD 315101.79000000 0.036283450737 Long EC US N 1 N N N OCEANEERING INTERNATIONAL, INC. 549300L6PH74701W0R30 675232102 4468.00000000 NS USD 66617.88000000 0.007670938864 Long EC US N 1 N N N Qiagen N.V. 54930036WK3GMCN17Z57 N72482123 3104.00000000 NS USD 104915.20000000 0.012080812015 Long EC NL N 1 N N N BAKER HUGHES, A GE COMPANY, LLC 549300XU3XH6F05YEQ93 05723KAE0 501000.00000000 PA USD 523013.57000000 0.060224148844 Long DBT CORP US N 2 2027-12-15 Fixed 3.33700000 N N N N N N N/A N/A N/A -15.00000000 NC USD -11531.25000000 -0.00132780439 N/A DIR XX N 1 MORGAN STANLEY & CO, INC N/A Call Written N/A Call Option 150 Feb 2020 on Coffee C Future Mar 2020 -5625.00000000 150 USD 2020-02-15 XXXX 2617.58 N N N LGI HOMES, INC. 549300W02B4WNV8CV109 50187T106 -772.00000000 NS USD -54541.80000000 -0.00628039819 Short EC US N 1 N N N CF INDUSTRIES HOLDINGS, INC. 529900CG8YAQFZ2JMV97 125269100 -3003.00000000 NS USD -143363.22000000 -0.01650803802 Short EC US N 1 N N N QORVO, INC. 254900YAUJV2EUEVBR11 74736K101 -806.00000000 NS USD -93681.38000000 -0.01078725619 Short EC US N 1 N N N Freddie Mac N/A 35564TAH3 79500.00000000 PA USD 79868.37000000 0.009196710905 Long DBT USGA US N 2 2049-07-25 Floating 3.84199920 N N N N N N OUTFRONT MEDIA INC. 549300RZWDYU5722I639 69007J106 3922.00000000 NS USD 105188.04000000 0.012112229091 Long EC US N 1 N N N ONEOK, INC. 2T3D6M0JSY48PSZI1Q41 682680103 20320.00000000 NS USD 1537614.40000000 0.177053758837 Long EC US N 1 N N N GS MORTGAGE SECURITIES TRUST N/A 36252RAG4 679268.00000000 PA USD 569232.22000000 0.065546150063 Long ABS-MBS US N 2 2047-01-10 Floating 5.15655720 N N N N N N OFFICE PROPERTIES INCOME TRUST N/A 67623C109 2033.00000000 NS USD 65340.62000000 0.007523864484 Long EC US N 1 N N N WEIS MARKETS, INC. N/A 948849104 1300.00000000 NS USD 52637.00000000 0.006061063621 Long EC US N 1 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 95000FAW6 3833048.04000000 PA USD 372143.35000000 0.042851692169 Long DBT USGA US N 2 2048-07-15 Floating 2.11879800 N N N N N N N/A N/A CDS870815 -42000.00000000 NC USD -2145.92000000 -0.00024709914 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2049-12-31 0 USD -2277.45 USD -42000 USD 131.53 N N N SERVICENOW, INC. 549300HJTQM36M0E1G39 81762P102 813.00000000 NS USD 229526.16000000 0.026429558268 Long EC US N 1 N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851109 3184.00000000 NS USD 482312.32000000 0.055537467124 Long EC US N 1 N N N CONMED CORPORATION Z6C0YCECH9DCU5ZIQW84 207410101 800.00000000 NS USD 89464.00000000 0.010301631852 Long EC US N 1 N N N Transocean Ltd. 529900QO4W5DQGBGEF32 H8817H100 40125.00000000 NS USD 276060.00000000 0.031787853095 Long EC CH N 1 N N N WEX INC. T9M5IGROL1TL1G5OV478 96208T104 200.00000000 NS USD 41892.00000000 0.004823794616 Long EC US N 1 N N N EPAM SYSTEMS, INC. 549300XCR4R530HJP604 29414B104 450.00000000 NS USD 95472.00000000 0.010993443130 Long EC US N 1 N N N Spotify Technology SA 549300B4X0JHWV0DTD60 L8681T102 700.00000000 NS USD 104685.00000000 0.012054304865 Long EC LU N 1 N N N FMC CORPORATION CKDHZ2X64EEBQCSP7013 302491303 -1833.00000000 NS USD -182970.06000000 -0.02106870023 Short EC US N 1 N N N TYSON FOODS, INC. WD6L6041MNRW1JE49D58 902494103 9121.00000000 NS USD 830375.84000000 0.095616406635 Long EC US N 1 N N N IRIDIUM COMMUNICATIONS INC. 549300U620NVQ4J1CT96 46269C102 2600.00000000 NS USD 64064.00000000 0.007376863800 Long EC US N 1 N N N HERTZ VEHICLE FINANCING LLC 5493004IHDYOZ9K9WF47 42806DBQ1 470000.00000000 PA USD 481014.26000000 0.055387997658 Long ABS-MBS US N 2 2024-02-25 Fixed 3.29000000 N N N N N N N/A N/A N/A 29.00000000 NC USD 1001225.00000000 0.115289405257 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Cotton Cotton No. 2 Future Mar 2020 2020-03-09 960493.03 USD 40731.97 N N N MURPHY OIL CORPORATION QBKYQD0ODE7DC7PDIN91 626717102 8258.00000000 NS USD 221314.40000000 0.025483987666 Long EC US N 1 N N N EMPIRE STATE REALTY TRUST, INC. 549300VOKY1DUEQSB456 292104106 4528.00000000 NS USD 63210.88000000 0.007278628441 Long EC US N 1 N N N ZOETIS INC. 549300HD9Q1LOC9KLJ48 98978V103 5594.00000000 NS USD 740365.90000000 0.085251910693 Long EC US N 1 N N N SOFI CONSUMER LOAN PROGRAM LLC N/A 83402QAA0 59532.91890000 PA USD 59675.69000000 0.006871557150 Long ABS-MBS US N 2 2025-10-27 Fixed 3.09000000 N N N N N N N/A N/A N/A 31.00000000 NC USD 2608650.00000000 0.300381739395 N/A DCO GB N 1 MORGAN STANLEY & CO, INC N/A Long Nickel LME NICKEL FUTURE Mar 2020 2020-03-19 2540085.3 USD 68564.7 N N N ROYAL CARIBBEAN CRUISES LTD. K2NEH8QNVW44JIWK7Z55 V7780T103 -4972.00000000 NS USD -663811.72000000 -0.07643682329 Short EC LR N 1 N N N DOW INC. 5493003S21INSLK2IP73 260557103 -10849.66660000 NS USD -593802.25000000 -0.06837534844 Short EC US N 1 N N N N/A N/A CDS858168 245000.00000000 NC USD 1449.82000000 0.000166944378 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2058-09-17 17098.84 USD 0 USD 245000 USD -15649.02 N N N THE GAP, INC. T2ZG1WRWZ4BUCMQL9224 364760108 -3504.00000000 NS USD -61950.72000000 -0.00713352309 Short EC US N 1 N N N THE MEDICINES COMPANY 254900Z72DIL282LFL79 584688105 900.00000000 NS USD 76446.00000000 0.008802630651 Long EC US N 1 N N N BFLD TRUST N/A 054970AL2 332000.00000000 PA USD 331471.09000000 0.038168348599 Long ABS-MBS US N 2 2034-10-15 Floating 3.60537840 N N N N N N BROADCOM CORPORATION KFFV4ZWM9DJH1ND3BD89 11134LAF6 182000.00000000 PA USD 188629.30000000 0.021720352379 Long DBT CORP US N 2 2024-01-15 Fixed 3.62500000 N N N N N N BNP PARIBAS S.A. R0MUWSFPU8MPRO8K5P83 05565AAR4 650000.00000000 PA USD 697950.21000000 0.080367814038 Long DBT NUSS FR Y 2 2026-05-12 Fixed 4.37500000 N N N N N N N/A N/A CDS947038 -1170000.00000000 NC USD -132492.44000000 -0.01525628565 N/A DCR XX N 2 BRK: CITIGROUP GLOBAL MARKETS INC. N/A Y 2063-05-11 0 USD -188489.15 USD -1170000 USD 55996.71 N N N WOLVERINE WORLD WIDE, INC. 549300OVC7PK14LQ8D87 978097103 -3374.00000000 NS USD -113838.76000000 -0.01310834521 Short EC US N 1 N N N CCO HOLDINGS, LLC N/A 1248EPBZ5 603000.00000000 PA USD 611291.25000000 0.070389177908 Long DBT CORP US Y 2 2023-03-01 Fixed 4.00000000 N N N N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636Q104 4153.00000000 NS USD 1240044.27000000 0.142789049795 Long EC US N 1 N N N Kraft Heinz Foods Company 5493003STKEZ2S0RNU91 50077LAU0 688000.00000000 PA USD 708960.17000000 0.081635592749 Long DBT CORP US Y 2 2030-04-01 Fixed 3.75000000 N N N N N N Schlumberger N.V. 213800ZUA17OK3QLGM62 806857108 68716.00000000 NS USD 2762383.20000000 0.318083863489 Long EC CW N 1 N N N J & J SNACK FOODS CORP. N/A 466032109 727.00000000 NS USD 133964.29000000 0.015425766755 Long EC US N 1 N N N BRUKER CORPORATION LEBZ6VLQ6I8XB1NHVY15 116794108 900.00000000 NS USD 45873.00000000 0.005282200192 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8207.72000000 -0.00094510540 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 42915960.76000000 RUB 681378.77000000 USD 2020-01-17 -8207.72 N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429109 5196.00000000 NS USD 256786.32000000 0.029568520673 Long EC US N 1 N N N ANTHEM, INC. 8MYN82XMYQH89CTMTH67 036752103 2778.00000000 NS USD 839039.34000000 0.096613994353 Long EC US N 1 N N N UNITIL CORPORATION N/A 913259107 1300.00000000 NS USD 80366.00000000 0.009254012178 Long EC US N 1 N N N LA-Z-BOY INCORPORATED 549300WNO1WMN9ZG2519 505336107 -1827.00000000 NS USD -57513.96000000 -0.00662263751 Short EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 6795000.00000000 NC USD -52835.81000000 -0.00608395626 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2021-05-24 0 USD 0 USD -6795000 USD -52835.81 N N N HIGHWOODS PROPERTIES, INC. ZIIGTYKL9T0X3HLTDX53 431284108 2551.00000000 NS USD 124769.41000000 0.014366991508 Long EC US N 1 N N N Equitrans Midstream Corporation 549300RH0NLJNZ5SXU64 294600101 11398.00000000 NS USD 152277.28000000 0.017534477310 Long EC US N 1 N N N Federal National Mortgage Association N/A 20754HAE8 343422.00000000 PA USD 345155.15000000 0.039744045509 Long ABS-MBS US N 2 2039-07-25 Floating 3.79199880 N N N N N N WORLD FINANCIAL NETWORK CREDIT CARD MASTER NOTE TRUST N/A 981464GL8 1405000.00000000 PA USD 1420588.19000000 0.163578384020 Long ABS-MBS US N 2 2024-12-16 Fixed 3.07000000 N N N N N N NCR CORPORATION 549300YKTY8JX1DV2R67 62886E108 -877.00000000 NS USD -30835.32000000 -0.00355063617 Short EC US N 1 N N N RPC, INC. 549300ZDXAFBC3SB4918 749660106 4128.00000000 NS USD 21630.72000000 0.002490741685 Long EC US N 1 N N N Federal National Mortgage Association N/A 3136AMEG0 2337978.55000000 PA USD 474072.38000000 0.054588651641 Long DBT USGA US N 2 2045-01-25 Floating 4.27725000 N N N N N N Cenovus Energy Inc. 549300EIRQ0Z2B9C1W06 15135UAG4 52000.00000000 PA USD 52736.01000000 0.006072464459 Long DBT NUSS CA N 2 2022-08-15 Fixed 3.00000000 N N N N N N UNITED STATES STEEL CORPORATION JNLUVFYJT1OZSIQ24U47 912909108 -2100.00000000 NS USD -23961.00000000 -0.00275906957 Short EC US N 1 N N N N/A N/A N/A 47.00000000 NC USD 3980571.00000000 0.458356176859 N/A DCO US N 1 ROYAL BANK CANADA N/A Long Heating Oil Heating Oil Future Mar 2020 2020-03-30 3821272.94 USD 159298.06 N N N FISERV, INC. GI7UBEJLXYLGR2C7GV83 337738108 2364.00000000 NS USD 273349.32000000 0.031475722770 Long EC US N 1 N N N N/A N/A CDS878891 -65000.00000000 NC USD -3321.07000000 -0.00038241572 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -7013.09 USD -65000 USD 3692.02 N N N PAYPAL HOLDINGS, INC. 5493005X2GO78EFZ3E94 70450Y103 5486.00000000 NS USD 593420.62000000 0.068331404377 Long EC US N 1 N N N PLANET FITNESS, INC. 549300LLE5HUPF6H8G33 72703H101 -2337.00000000 NS USD -174527.16000000 -0.02009651424 Short EC US N 1 N N N ZAYO GROUP HOLDINGS, INC. 529900Z6OTS7RT0V0I47 98919V105 3761.00000000 NS USD 130318.65000000 0.015005977330 Long EC US N 1 N N N RLJ LODGING TRUST N/A 74965L101 4599.00000000 NS USD 81494.28000000 0.009383931756 Long EC US N 1 N N N L STREET SECURITIES N/A 949771AG4 140719.16400000 PA USD 152029.19000000 0.017505910156 Long ABS-MBS US N 2 2025-11-25 Floating 7.29200160 N N N N N N L BRANDS, INC. GR3KVMWVCR54YWQNXU90 501797104 -2881.00000000 NS USD -52203.72000000 -0.00601117214 Short EC US N 1 N N N WORLD FINANCIAL NETWORK CREDIT CARD MASTER NOTE TRUST N/A 981464GT1 710000.00000000 PA USD 726157.26000000 0.083615809262 Long ABS-MBS US N 2 2025-07-15 Fixed 3.81000000 N N N N N N Olin Corporation 549300GKK294V7W57P06 680665205 -2032.00000000 NS USD -35052.00000000 -0.00403617991 Short EC US N 1 N N N BRAZILIAN REAL N/A N/A 1.00000000 NC 30583.96000000 0.003521692485 N/A DFE BR N 2 CREDIT SUISSE FIRST BOSTON N/A 625550.02000000 USD 2639633.41000000 BRL 2020-01-03 30583.96 N N N SEMTECH CORPORATION 549300J7WUY317SW6O61 816850101 -300.00000000 NS USD -15870.00000000 -0.00182740429 Short EC US N 1 N N N N/A N/A N/A 127.00000000 NC USD 7717790.00000000 0.888690772808 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Crude Oil WTI CRUDE Mar 2020 2020-02-22 7451898.24 USD 265891.76 N N N BRUNSWICK CORPORATION YM4O38W15AX4YLLQKU27 117043109 -4039.00000000 NS USD -242259.22000000 -0.02789574909 Short EC US N 1 N N N HOLLYFRONTIER CORPORATION 549300J3U2WK73C9ZK26 436106108 7431.00000000 NS USD 376826.01000000 0.043390892734 Long EC US N 1 N N N VMWARE, INC. 549300BUDHS3LRWBE814 928563402 420.00000000 NS USD 63751.80000000 0.007340914485 Long EC US N 1 N N N THE INTERPUBLIC GROUP OF COMPANIES, INC. 5493008IUOJ5VWTRC333 460690100 -4700.00000000 NS USD -108570.00000000 -0.01250165619 Short EC US N 1 N N N N/A N/A CDS409425 -201000.00000000 NC USD -10269.77000000 -0.00118254705 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2063-05-11 0 USD -25313.38 USD -201000 USD 15043.61 N N N IONIS PHARMACEUTICALS INC 549300SI4ZGLG0BLUZ92 462222100 1876.00000000 NS USD 113329.16000000 0.013049665614 Long EC US N 1 N N N N/A N/A CDS783609 -36000.00000000 NC USD -1839.36000000 -0.00021179926 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -5791.69 USD -36000 USD 3952.33 N N N N/A N/A N/A -13.00000000 NC USD -929838.00000000 -0.10706931010 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Unleaded Gas RBOB Unleaded Gasoline Future (Consolidated) Mar 2020 2020-03-02 -930371.16 USD 533.16 N N N EXACT SCIENCES CORPORATION 549300VM3X1FYD4N9Z14 30063P105 1439.00000000 NS USD 133078.72000000 0.015323794832 Long EC US N 1 N N N PENNSYLVANIA REAL ESTATE INVESTMENT TRUST 5493001GPBXRIG8WJO70 709102107 5061.00000000 NS USD 26975.13000000 0.003106141670 Long EC US N 1 N N N Freddie Mac N/A 3137G0BK4 756206.20660000 PA USD 805733.10000000 0.092778835821 Long DBT USGA US N 2 2024-08-25 Floating 5.82275160 N N N N N N MARLETTE FUNDING TRUST N/A 57109GAA2 210977.03580000 PA USD 212494.76000000 0.024468420685 Long ABS-MBS US N 2 2028-12-15 Fixed 3.71000000 N N N N N N AVIS BUDGET RENTAL CAR FUNDING N/A 05377RDC5 1080000.00000000 PA USD 1140704.86000000 0.131350280790 Long ABS-MBS US N 2 2025-03-20 Fixed 4.00000000 N N N N N N BELLEMEADE RE LTD. N/A 07877DAB2 288583.00000000 PA USD 289310.03000000 0.033313572167 Long ABS-MBS BM N 2 2028-08-25 Floating 3.14200080 N N N N N N TECH DATA CORPORATION 549300EK847TAWPJWF34 878237106 -589.00000000 NS USD -84580.40000000 -0.00973929337 Short EC US N 1 N N N N/A N/A N/A -126.00000000 NC USD -12829950.00000000 -1.47734755423 N/A DE US N 1 MORGAN STANLEY & CO, INC N/A Short MSCI EAFE MINI FUTURE Mar 2020 N/A N/A 2020-03-23 -12818243.34 USD -11706.66 N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179M103 20233.00000000 NS USD 525451.01000000 0.060504816035 Long EC US N 1 N N N PAYCOM SOFTWARE, INC. 254900LSB0HNJUDC6Q18 70432V102 300.00000000 NS USD 79428.00000000 0.009146003027 Long EC US N 1 N N N VONAGE HOLDINGS CORP. 529900W7N0N4WLN1JY21 92886T201 4800.00000000 NS USD 35568.00000000 0.004095596460 Long EC US N 1 N N N SOUTHERN COPPER CORPORATION 2549007U6NAP46Q9TU15 84265V105 -1921.00000000 NS USD -81604.08000000 -0.00939657504 Short EC US N 1 N N N CALIFORNIA WATER SERVICE GROUP 529900QABDOBU6UVRQ36 130788102 1200.00000000 NS USD 61872.00000000 0.007124458620 Long EC US N 1 N N N CSC HOLDINGS, LLC 3HG2WD2W22M120IUNG49 126307AF4 160000.00000000 PA USD 172200.00000000 0.019828545617 Long DBT CORP US N 2 2021-11-15 Fixed 6.75000000 N N N N N N BROADCOM CORPORATION KFFV4ZWM9DJH1ND3BD89 11134LAH2 486000.00000000 PA USD 504836.34000000 0.058131070829 Long DBT CORP US N 2 2027-01-15 Fixed 3.87500000 N N N N N N MARATHON PETROLEUM CORPORATION 3BNYRYQHD39K4LCKQF12 56585AAD4 196000.00000000 PA USD 202937.49000000 0.023367916828 Long DBT CORP US N 2 2021-03-01 Fixed 5.12500000 N N N N N N N/A N/A N/A 75.00000000 NC USD 9750.00000000 0.001122696398 N/A DIR XX N 1 ROYAL BANK CANADA N/A Call Purchased N/A Call Option 3 Feb 2020 on Natural Gas Future Mar 2020 750000.00000000 3 USD 2020-02-28 XXXX -119563.03 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCC4 380000.00000000 PA USD 380714.40000000 0.043838634421 Long DBT NUSS MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N ACADIA REALTY TRUST N/A 004239109 2627.00000000 NS USD 68118.11000000 0.007843687871 Long EC US N 1 N N N CENTRAL GARDEN & PET COMPANY 5493004DVZLD37DJ0H83 153527106 1800.00000000 NS USD 55926.00000000 0.006439786539 Long EC US N 1 N N N ALIGN TECHNOLOGY, INC. 549300N5YSE0U3LCP840 016255101 1001.00000000 NS USD 279319.04000000 0.032163126169 Long EC US N 1 N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38145GAG5 847000.00000000 PA USD 850365.66000000 0.097918201396 Long DBT CORP US N 2 2021-11-15 Fixed 2.35000000 N N N N N N N/A N/A N/A 3.00000000 NC USD 572790.00000000 0.065955822555 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Palladium Palladium Future Mar 2020 2020-03-30 509696.18 USD 63093.82 N N N LIMA METRO LINE 2 FINANCE LIMITED 5493009BVQNQT1UKQ352 532522AB5 225000.00000000 PA USD 238218.75000000 0.027430495651 Long DBT NUSS KY Y 2 2036-04-05 Fixed 4.35000000 N N N N N N THE ANDERSONS, INC. L38MWB8MVRFV7HVJPU11 034164103 1500.00000000 NS USD 37920.00000000 0.004366425376 Long EC US N 1 N N N MATTEL, INC. 549300VELLG24KHTJ564 577081102 -12569.00000000 NS USD -170309.95000000 -0.01961090948 Short EC US N 1 N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953101 -14228.00000000 NS USD -473365.56000000 -0.05450726248 Short EC US N 1 N N N INSULET CORPORATION 549300TZTYD2PYN92D43 45784P101 578.00000000 NS USD 98953.60000000 0.011394343621 Long EC US N 1 N N N N/A N/A N/A -45.00000000 NC USD -1093500.00000000 -0.12591471911 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Wheat WHEAT FUTURE(Consolidated) Mar 2020 2020-03-13 -1005284.25 USD -88215.75 N N N TIFFANY & CO. 549300EJG9IEYQL5XT21 886547108 -1191.00000000 NS USD -159177.15000000 -0.01832898594 Short EC US N 1 N N N M/I HOMES, INC. 5299005M71FH9CCSFB69 55305B101 -800.00000000 NS USD -31480.00000000 -0.00362487001 Short EC US N 1 N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211K100 -2152.00000000 NS USD -85714.16000000 -0.00986984396 Short EC US N 1 N N N ATMOS ENERGY CORPORATION QVLWEGTD2S8GJMO8D383 049560105 1337.00000000 NS USD 149556.82000000 0.017221220834 Long EC US N 1 N N N CARDINAL HEALTH, INC. CCU46N3GJMF4OK4N7U60 14149Y108 3775.00000000 NS USD 190939.50000000 0.021986368094 Long EC US N 1 N N N H & R BLOCK, INC. 549300CE3KUCWLZBG404 093671105 -5300.00000000 NS USD -124444.00000000 -0.01432952108 Short EC US N 1 N N N FLAGSHIP CREDIT AUTO TRUST N/A 33843RAA0 50523.13860000 PA USD 50484.79000000 0.005813240194 Long ABS-MBS US N 2 2022-04-15 Fixed 2.07000000 N N N N N N DISCOVERY, INC. 5493006ZCRFWKF6B1K26 25470F302 -4500.00000000 NS USD -137205.00000000 -0.01579892916 Short EC US N 1 N N N KINDER MORGAN, INC. 549300WR7IX8XE0TBO16 49456B101 96246.00000000 NS USD 2037527.82000000 0.234617963558 Long EC US N 1 N N N NATIONWIDE FINANCIAL SERVICES, INC. 5493001H7AZNDS6BKJ36 638612AK7 470000.00000000 PA USD 488201.09000000 0.056215549264 Long DBT CORP US Y 2 2021-03-25 Fixed 5.37500000 N N N N N N MATADOR RESOURCES COMPANY 549300CI3Q2UUK5R4G79 576485205 7964.00000000 NS USD 143113.08000000 0.016479234815 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 6110000.00000000 NC USD 78073.96000000 0.008990087557 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2026-10-25 0 USD 0 USD -6110000 USD 78073.96 N N N THE HOWARD HUGHES CORPORATION 549300BVHY25JZC1KI49 44267D107 1309.00000000 NS USD 165981.20000000 0.019112461067 Long EC US N 1 N N N CLEARWAY ENERGY, INC. 549300LHAZ9HA9G3XC48 18539C204 3419.00000000 NS USD 68209.05000000 0.007854159462 Long EC US N 1 N N N N/A N/A N/A 16.00000000 NC USD 904900.00000000 0.104197740585 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Zinc LME ZINC FUTURE Jun 2020 2020-06-18 980542.25 USD -75642.25 N N N LOUISIANA-PACIFIC CORPORATION 549300C7E2UAO5BVRR75 546347105 -1126.00000000 NS USD -33408.42000000 -0.00384692439 Short EC US N 1 N N N THE SCOTTS MIRACLE-GRO COMPANY 2TH9E0JTOUXOEGI2R879 810186106 -400.00000000 NS USD -42472.00000000 -0.00489058065 Short EC US N 1 N N N ROYAL GOLD, INC. 5493001NGRU6SFL04184 780287108 -960.00000000 NS USD -117360.00000000 -0.01351381018 Short EC US N 1 N N N Post Holdings, Inc. JM1I5YUAURL6DC8N1468 737446104 2172.00000000 NS USD 236965.20000000 0.027286151439 Long EC US N 1 N N N ATLASSIAN CORPORATION PLC 549300AGBII4MWBVJY22 G06242104 400.00000000 NS USD 48136.00000000 0.005542780904 Long EC GB N 1 N N N Federal National Mortgage Association N/A 3135G0U76 1000000.00000000 PA USD 1000097.95000000 0.115159627311 Long DBT USGA US N 2 2020-04-30 Floating 1.64000160 N N N N N N WORLD WRESTLING ENTERTAINMENT, INC. 549300WZVLSCS3L4L698 98156Q108 400.00000000 NS USD 25948.00000000 0.002987869347 Long EC US N 1 N N N ROKU, INC. 549300KR6ITU0YIR1T71 77543R102 651.00000000 NS USD 87168.90000000 0.010037354878 Long EC US N 1 N N N VIASAT, INC. UFC8NYMNFSYIHNSM2I38 92552V100 -797.00000000 NS USD -58336.42000000 -0.00671734242 Short EC US N 1 N N N ACADIA PHARMACEUTICALS INC. 529900O3044NO0PEA039 004225108 900.00000000 NS USD 38502.00000000 0.004433441715 Long EC US N 1 N N N MDU RESOURCES GROUP, INC. N/A 552690109 3645.00000000 NS USD 108292.95000000 0.012469754350 Long EC US N 1 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 H3698DBW3 645000.00000000 PA USD 705855.75000000 0.081278123913 Long DBT NUSS CH N 2 2168-01-17 Fixed 7.50000000 N N N N N N STRATEGIC EDUCATION, INC. 0PYXF82EO1UCNGL5I740 86272C103 -560.00000000 NS USD -88984.00000000 -0.01024636064 Short EC US N 1 N N N SPECTRUM BRANDS HOLDINGS, INC. 549300JM0MJETDD30O20 84790A105 1666.00000000 NS USD 107107.14000000 0.012333210286 Long EC US N 1 N N N N/A N/A CDS416265 -222000.00000000 NC USD -11342.73000000 -0.00130609662 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0 USD -23635.46 USD -222000 USD 12292.73 N N N THE ENSIGN GROUP, INC. 5493003K4HEEA8Q0BC72 29358P101 1219.00000000 NS USD 55306.03000000 0.006368398018 Long EC US N 1 N N N AVIS BUDGET RENTAL CAR FUNDING N/A 05377RCD4 646000.00000000 PA USD 652850.12000000 0.075174613156 Long ABS-MBS US N 2 2022-06-20 Fixed 2.99000000 N N N N N N NETAPP, INC. QTX3D84DZDD5JYOCYH15 64110D104 -2561.00000000 NS USD -159422.25000000 -0.01835720880 Short EC US N 1 N N N N/A N/A N/A 69.00000000 NC USD 4935294.00000000 0.568290953614 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Unleaded Gas RBOB Unleaded Gasoline Future (Consolidated) Mar 2020 2020-03-02 4911962.28 USD 23331.72 N N N Clarios Global LP 549300474L1ZLXZY2P98 N/A 155000.00000000 PA 182373.41000000 0.020999996977 Long DBT NUSS CA Y 2 2026-05-15 Fixed 4.37500000 N N N N N N CONSTELLATION BRANDS, INC. 5493005GKEG8QCVY7037 21036P108 4773.00000000 NS USD 905676.75000000 0.104287182065 Long EC US N 1 N N N TELEPHONE AND DATA SYSTEMS, INC. N/A 879433829 1422.00000000 NS USD 36161.46000000 0.004163932399 Long EC US N 1 N N N NEWMARK GROUP, INC. N/A 65158N102 4400.00000000 NS USD 59202.00000000 0.006817012529 Long EC US N 1 N N N U. S. PHYSICAL THERAPY, INC. 529900KL1UXQYFIOMY96 90337L108 200.00000000 NS USD 22870.00000000 0.002633442730 Long EC US N 1 N N N GULFPORT ENERGY CORPORATION 549300FJX18IDUFPHD40 402635304 7258.00000000 NS USD 22064.32000000 0.002540670009 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912796SV2 60000000.00000000 PA USD 59568753.60000000 6.859243601083 Long DBT UST US N 2 2020-06-18 None 0.00000000 N N N N N N N/A N/A N/A 15.00000000 NC USD 15750.00000000 0.001813586489 N/A DIR XX N 1 MORGAN STANLEY & CO, INC N/A Put Purchased N/A Put Option 120 Feb 2020 on Coffee C Future Mar 2020 5625.00000000 120 USD 2020-02-15 XXXX 1462.57 N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46644YAU4 1091680.00000000 PA USD 1168083.95000000 0.134502937787 Long ABS-MBS US N 2 2048-08-15 Fixed 3.80140000 N N N N N N N/A N/A N/A -60.00000000 NC USD -1344.00000000 -0.00015475938 N/A DIR XX N 1 MARKET AXESS N/A Put Written N/A Put Option 12 Feb 2020 on Sugar #11 World Future Mar 2020 -67200.00000000 12 USD 2020-02-21 XXXX 9778.8 N N N BRK: GOLDMAN SACHS INTERNATIONAL N/A N/A 2530000.00000000 NC USD 30712.51000000 0.003536494805 N/A DIR XX N 2 BRK: GOLDMAN SACHS INTERNATIONAL N/A Y 2029-12-13 0 USD 0 USD -2530000 USD 30712.51 N N N QUALCOMM INCORPORATED H1J8DDZKZP6H7RWC0H53 747525103 -8350.00000000 NS USD -736720.50000000 -0.08483214890 Short EC US N 1 N N N Embraer Netherlands Finance B.V. 724500PBR8LR26XBSP67 29082HAB8 670000.00000000 PA USD 754091.70000000 0.086832413895 Long DBT NUSS NL N 2 2027-02-01 Fixed 5.40000000 N N N N N N N/A N/A N/A -30982875.00000000 PA USD -30982875.00000000 -3.56762688898 Short RA XX N 2 Reverse repurchase N 1.64000000 2050-12-31 30982875.00000000 USD 31605971.60000000 USD UST N N N N/A N/A CDS852848 -290000.00000000 NC USD -14817.08000000 -0.00170616229 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -31177.94 USD -290000 USD 16360.86 N N N United States of America 254900HROIFWPRGM1V77 912828TE0 77691000.00000000 PA USD 87305531.58000000 10.05308777904 Long DBT USGA XX N 2 2022-07-15 Fixed 0.12500000 N N N N N N GILEAD SCIENCES, INC. 549300WTZWR07K8MNV44 375558BB8 1137000.00000000 PA USD 1141845.02000000 0.131481568331 Long DBT CORP US N 2 2020-09-01 Fixed 2.55000000 N N N N N N FLAGSHIP CREDIT AUTO TRUST N/A 33844FAE7 450000.00000000 PA USD 457850.39000000 0.052720716282 Long ABS-MBS US N 2 2022-11-15 Fixed 3.89000000 N N N N N N TOPBUILD CORP. 5493007YSKHOL4RWII46 89055F103 -1470.00000000 NS USD -151527.60000000 -0.01744815289 Short EC US N 1 N N N CYRUSONE INC. 5493006S177ZK2ZNBU43 23283R100 2136.00000000 NS USD 139758.48000000 0.016092958165 Long EC US N 1 N N N GENERAL MILLS, INC. 2TGYMUGI08PO8X8L6150 370334104 18214.00000000 NS USD 975541.84000000 0.112332031798 Long EC US N 1 N N N Eversource Energy SJ7XXD41SQU3ZNWUJ746 30040W108 3705.00000000 NS USD 315184.35000000 0.036292957385 Long EC US N 1 N N N N/A N/A 67400KAB6 338117.00000000 PA USD 337509.57000000 0.038863669598 Long ABS-MBS US N 2 2029-07-25 Floating 3.74199840 N N N N N N DAVE & BUSTER'S ENTERTAINMENT, INC. 529900WTVU85QZLYHR86 238337109 -1437.00000000 NS USD -57724.29000000 -0.00664685666 Short EC US N 1 N N N REXFORD INDUSTRIAL REALTY, INC 549300MSLO0DF0EMX355 76169C100 1128.00000000 NS USD 51515.76000000 0.005931954687 Long EC US N 1 N N N INVESTORS REAL ESTATE TRUST 5493002LG2SH9EEHT720 461730509 544.00000000 NS USD 39440.00000000 0.004541450866 Long EC US N 1 N N N KB HOME 549300LGUCWQURMWLG09 48666K109 -3177.00000000 NS USD -108875.79000000 -0.01253686741 Short EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -40046.02000000 -0.00461123306 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 1876231.61000000 EUR 2068066.91000000 USD 2020-01-16 -40046.02 N N N CORNING INCORPORATED 549300X2937PB0CJ7I56 219350105 -5902.00000000 NS USD -171807.22000000 -0.01978331764 Short EC US N 1 N N N LEXINGTON REALTY TRUST 549300S4MH2ICXDBFV43 529043101 4000.00000000 NS USD 42480.00000000 0.004891501845 Long EC US N 1 N N N N/A N/A N/A 42.00000000 NC USD 3763410.00000000 0.433350446344 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Silver SILVER FUTURE Mar 2020 2020-03-27 3568917.84 USD 194492.16 N N N LAM RESEARCH CORPORATION 549300I4GMO6D34U1T02 512807108 -966.00000000 NS USD -282458.40000000 -0.03252461828 Short EC US N 1 N N N THE COOPER COMPANIES, INC. QJKMVPIGLH7530PCUE20 216648402 572.00000000 NS USD 183777.88000000 0.021161719378 Long EC US N 1 N N N Inversiones CMPC S.A. N/A P58072AG7 389000.00000000 PA USD 402609.33000000 0.046359799452 Long DBT NUSS CL N 2 2023-05-15 Fixed 4.37500000 N N N N N N MARLETTE FUNDING TRUST N/A 57109DAB7 95593.81990000 PA USD 95618.36000000 0.011010296243 Long ABS-MBS US N 2 2024-12-15 Fixed 3.01000000 N N N N N N Mylan N.V. 549300A0CD4KNFGIIS89 62854AAN4 437000.00000000 PA USD 455582.80000000 0.052459607039 Long DBT NUSS NL N 2 2026-06-15 Fixed 3.95000000 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017104 -1743.00000000 NS USD -182526.96000000 -0.02101767800 Short EC US N 1 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC 20985.68000000 0.002416466394 N/A DFE RU N 2 BANK OF AMERICA N/A 671529.30000000 USD 43098213.43000000 RUB 2020-01-17 20985.68 N N N FRONTDOOR, INC. 5493008RB0JZJI3QGZ06 35905A109 -1800.00000000 NS USD -85356.00000000 -0.00982860243 Short EC US N 1 N N N MURPHY USA INC. 549300Y081F8XIKQIO72 626755102 -700.00000000 NS USD -81900.00000000 -0.00943064974 Short EC US N 1 N N N CONSUMER LOAN UNDERLYING BOND (CLUB) CREDIT TRUST N/A 21051TAA8 77526.11790000 PA USD 77784.22000000 0.008956724474 Long ABS-MBS US N 2 2025-07-15 Fixed 3.39000000 N N N N N N AMC NETWORKS INC. 549300VGG9K75226LR46 00164V103 -900.00000000 NS USD -35550.00000000 -0.00409352379 Short EC US N 1 N N N INTER PARFUMS, INC. N/A 458334109 800.00000000 NS USD 58168.00000000 0.006697949137 Long EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 2820000.00000000 NC USD -84836.24000000 -0.00976875293 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2025-05-18 0 USD 0 USD -2820000 USD -84836.24 N N N TRIPADVISOR, INC. N/A 896945201 800.00000000 NS USD 24304.00000000 0.002798565462 Long EC US N 1 N N N ASHFORD HOSPITALITY TRUST N/A 04410CAA7 1000000.00000000 PA USD 998722.30000000 0.115001223485 Long ABS-MBS US N 2 2035-05-15 Floating 2.76537960 N N N N N N SANDERSON FARMS, INC. 529900KZGVFTWHUO2759 800013104 601.00000000 NS USD 105908.22000000 0.012195156628 Long EC US N 1 N N N ALTICE USA, INC. 54930064K3612MGCER95 02156K103 -2700.00000000 NS USD -73818.00000000 -0.00850002079 Short EC US N 1 N N N N/A N/A N/A 70.00000000 NC USD 10661700.00000000 1.227677147531 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Gold GOLD 100 OZ FUTR Feb 2020 2020-02-28 10272786.4 USD 388913.6 N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAD0 770000.00000000 PA USD 814275.00000000 0.093762421499 Long DBT CORP US N 2 2021-07-26 Fixed 6.62500000 N N N N N N United States of America N/A N/A -346.00000000 NC USD -44433968.75000000 -5.11649812023 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Mar 2020 2020-03-20 -44800285.46 USD 366316.71 N N N NVR, Inc. 529900RWXR4JI3JYTV70 62944T105 -151.00000000 NS USD -575069.91000000 -0.06621835042 Short EC US N 1 N N N CALLON PETROLEUM COMPANY 549300EFOWPEB0WLZW21 13123X102 15953.00000000 NS USD 77052.99000000 0.008872524547 Long EC US N 1 N N N THE AES CORPORATION 2NUNNB7D43COUIRE5295 00130HBZ7 463000.00000000 PA USD 469366.25000000 0.054046748543 Long DBT CORP US N 2 2021-03-15 Fixed 4.00000000 N N N N N N STRYKER CORPORATION 5493002F0SC4JTBU5137 863667101 3802.00000000 NS USD 798191.88000000 0.091910476792 Long EC US N 1 N N N AVISTA CORPORATION Q0IK63NITJD6RJ47SW96 05379B107 600.00000000 NS USD 28854.00000000 0.003322490448 Long EC US N 1 N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 2027A0HR3 400000.00000000 PA USD 432592.36000000 0.049812295841 Long DBT NUSS AU Y 2 2025-12-09 Fixed 4.50000000 N N N Y Y COMMONWEALTH BANK OF AUSTRALIA AUD XXXX N N N FIRST SOLAR, INC. 549300NPYMLM4NHTOF27 336433107 -889.00000000 NS USD -49748.44000000 -0.00572845070 Short EC US N 1 N N N PILGRIM'S PRIDE CORPORATION 549300ZSLGV64ZL3HD75 72147K108 1078.00000000 NS USD 35266.77000000 0.004060910323 Long EC US N 1 N N N N/A N/A CDS894065 -141000.00000000 NC USD -7204.17000000 -0.00082954827 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -16988.82 USD -141000 USD 9784.65 N N N LITHIA MOTORS, INC. SE8N1EZEHPZQBCBVKD53 536797103 -400.00000000 NS USD -58800.00000000 -0.00677072289 Short EC US N 1 N N N VICI PROPERTIES INC. 254900RKH6RY9KCJQH63 925652109 7900.00000000 NS USD 201845.00000000 0.023242118409 Long EC US N 1 N N N CFCRE COMMERCIAL MORTGAGE TRUST N/A 12531YAN8 670000.00000000 PA USD 696544.60000000 0.080205960368 Long ABS-MBS US N 2 2058-05-10 Fixed 3.28300000 N N N N N N GRAHAM HOLDINGS COMPANY 529900BOSCEEEMAFQJ29 384637104 -188.00000000 NS USD -120130.12000000 -0.01383278492 Short EC US N 1 N N N SIRIUS XM HOLDINGS INC. 54930055RWDMVXAGZK98 82968B103 -17300.00000000 NS USD -123695.00000000 -0.01424327497 Short EC US N 1 N N N BIOMARIN PHARMACEUTICAL INC. NSLL8ITTRR0J5HEMR848 09061G101 2543.00000000 NS USD 215010.65000000 0.024758121264 Long EC US N 1 N N N CorePoint Lodging Inc 549300VM1I60JN1Z8171 21872L104 5700.00000000 NS USD 60876.00000000 0.007009770865 Long EC US N 1 N N N AKAMAI TECHNOLOGIES, INC. OC1LZNN2LF5WTJ5RIL89 00971T101 637.00000000 NS USD 55024.06000000 0.006335929638 Long EC US N 1 N N N N/A N/A N/A 46.00000000 NC USD 10580.00000000 0.001218269527 N/A DIR XX N 1 MARKET AXESS N/A Call Purchased N/A Call Option 80 Feb 2020 on LEAN HOGS FUTURE (Globex) Feb 2020 18400.00000000 80 USD 2020-02-17 XXXX -9384 N N N United States of America N/A N/A -266.00000000 NC USD -57323000.00000000 -6.60064878283 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US 2-YEAR NOTE (Globex) Mar 2020 2020-04-03 -57341422.86 USD 18422.86 N N N WESTERN DIGITAL CORPORATION 549300QQXOOYEF89IC56 958102105 -2786.00000000 NS USD -176827.42000000 -0.02036138538 Short EC US N 1 N N N PARSLEY ENERGY, INC. 549300DMRA8DSL66G562 701877102 12991.00000000 NS USD 245659.81000000 0.028287321421 Long EC US N 1 N N N HORMEL FOODS CORPORATION MSD54751OJP1FS2ND863 440452100 8018.00000000 NS USD 361691.98000000 0.041648234173 Long EC US N 1 N N N NEOGEN CORPORATION 549300HJT9FC36N4UW43 640491106 469.00000000 NS USD 30606.94000000 0.003524338594 Long EC US N 1 N N N LIMA METRO LINE 2 FINANCE LIMITED 5493009BVQNQT1UKQ352 G54897AA4 247613.79000000 PA USD 286615.44000000 0.033003294579 Long DBT NUSS KY N 2 2034-07-05 Fixed 5.87500000 N N N N N N N/A N/A CDS849795 -365000.00000000 NC USD -18649.08000000 -0.00214741076 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -41751.61 USD -365000 USD 23102.53 N N N CONAGRA BRANDS, INC. 54930035UDEIH090K650 205887102 15186.00000000 NS USD 519968.64000000 0.059873530183 Long EC US N 1 N N N THE SIMPLY GOOD FOODS COMPANY N/A 82900L102 1700.00000000 NS USD 48518.00000000 0.005586767574 Long EC US N 1 N N N Federal National Mortgage Association N/A 20753MAF5 170797.00000000 PA USD 172082.62000000 0.019815029503 Long ABS-MBS US N 2 2031-09-25 Floating 3.94200000 N N N N N N PAYCHEX, INC. 529900K900DW6SUBM174 704326107 1875.00000000 NS USD 159487.50000000 0.018364722236 Long EC US N 1 N N N OGE ENERGY CORP. CE5OG6JPOZMDSA0LAQ19 670837103 3290.00000000 NS USD 146306.30000000 0.016846928824 Long EC US N 1 N N N NRG ENERGY, INC. 5E2UPK5SW04M13XY7I38 629377508 3905.00000000 NS USD 155223.75000000 0.017873758465 Long EC US N 1 N N N BAKER HUGHES COMPANY N/A 05722G100 31340.00000000 NS USD 803244.20000000 0.092492243097 Long EC US N 1 N N N DEXCOM, INC. 549300YSK3QDSFR5EU59 252131107 1000.00000000 NS USD 218740.00000000 0.025187549757 Long EC US N 1 N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 124857AP8 835000.00000000 PA USD 873835.34000000 0.100620696288 Long DBT CORP US N 2 2025-01-15 Fixed 3.50000000 N N N N N N N/A N/A N/A 38.00000000 NC USD 1914060.00000000 0.220400847989 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Live Cattle Live Cattle Future(Consolidated) Feb 2020 2020-03-16 1896202 USD 17858 N N N Malibu Boats Inc N/A 56117J100 -1000.00000000 NS USD -40950.00000000 -0.00471532487 Short EC US N 1 N N N THE CHEESECAKE FACTORY INCORPORATED 529900872XMLK10SY247 163072101 -1734.00000000 NS USD -67383.24000000 -0.00775906880 Short EC US N 1 N N N BJ'S WHOLESALE CLUB HOLDINGS, INC. 549300UCIWH1C93V0J03 05550J101 4800.00000000 NS USD 109152.00000000 0.012568672538 Long EC US N 1 N N N DIAMONDROCK HOSPITALITY COMPANY 529900KKD4BPVBUAQ734 252784301 6442.00000000 NS USD 71377.36000000 0.008218985126 Long EC US N 1 N N N N/A N/A 69345WAA6 485713.93500000 PA USD 488742.22000000 0.056277859490 Long ABS-MBS US N 2 2023-05-27 Floating 4.55487840 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CR4 120000.00000000 PA USD 121441.31000000 0.013983766289 Long DBT CORP US N 2 2026-08-15 Fixed 3.20000000 N N N N N N BROOKFIELD PROPERTY REIT INC. 549300K1JD1LDRNBET48 11282X103 2800.00000000 NS USD 51646.00000000 0.005946951608 Long EC US N 1 N N N TWITTER, INC. 549300I8RX485XMK6836 90184L102 4392.00000000 NS USD 140763.60000000 0.016208696073 Long EC US N 1 N N N MOHAWK INDUSTRIES, INC. 549300JI1115MG3Q6322 608190104 -2766.00000000 NS USD -377227.08000000 -0.04343707528 Short EC US N 1 N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057104 -12620.00000000 NS USD -704069.80000000 -0.08107247472 Short EC US N 1 N N N DUKE REALTY CORPORATION N/A 264411505 7159.00000000 NS USD 248202.53000000 0.028580111430 Long EC US N 1 N N N AMERICAN HOMES 4 RENT 549300ZJUO7A58PNUW40 02665T306 5994.00000000 NS USD 157102.74000000 0.018090121060 Long EC US N 1 N N N EXELIXIS, INC. N/A 30161Q104 3701.00000000 NS USD 65211.62000000 0.007509010348 Long EC US N 1 N N N TEXAS ROADHOUSE, INC. 5299002Y1CNRPDGXTQ75 882681109 -1628.00000000 NS USD -91688.96000000 -0.01055783232 Short EC US N 1 N N N LyondellBasell Industries N.V. BN6WCCZ8OVP3ITUUVN49 N53745100 -3775.00000000 NS USD -356662.00000000 -0.04106904028 Short EC NL N 1 N N N KOHL'S CORPORATION 549300JF6LPRTRJ0FH50 500255104 -1739.00000000 NS USD -88602.05000000 -0.01020237973 Short EC US N 1 N N N BRK: MACQUARIE BANK LIMITED N/A N/A 76355.66320000 NC USD 94498.31000000 0.010881324335 N/A DE US N 2 BRK: MACQUARIE BANK LIMITED N/A Y 2020-01-24 0 USD 0 USD -13038996.45 USD 94498.31 N N N Commscope Finance LLC 549300NGP3QQM94T9A69 20338QAD5 315000.00000000 PA USD 335081.25000000 0.038584052561 Long DBT CORP US Y 2 2026-03-01 Fixed 6.00000000 N N N N N N INTERNATIONAL GAME TECHNOLOGY PLC 549300UQ6KHRCZDRGZ76 G4863A108 -100.00000000 NS USD -1497.00000000 -0.00017237707 Short EC GB N 1 N N N THE GEO GROUP, INC. N/A 36162J106 3947.00000000 NS USD 65559.67000000 0.007549087730 Long EC US N 1 N N N ABIOMED, INC. 5493001EZN4ZTB4Z5887 003654100 424.00000000 NS USD 72330.16000000 0.008328698472 Long EC US N 1 N N N N/A N/A N/A 57.00000000 NC USD 3484125.00000000 0.401191239825 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Gasoil GAS OIL FUT (ICE) Mar 2020 2020-03-15 3496051.06 USD -11926.06 N N N ON SEMICONDUCTOR CORPORATION ZV20P4CNJVT8V1ZGJ064 682189105 -2223.00000000 NS USD -54196.74000000 -0.00624066510 Short EC US N 1 N N N N/A N/A N/A 37.00000000 NC USD 11100.00000000 0.001278146668 N/A DIR XX N 1 ROYAL BANK CANADA N/A Call Purchased N/A Call Option 3 Feb 2020 on COPPER FUTURE (Consolidated) Mar 2020 9250.00000000 300 USD 2020-02-28 XXXX -13149.08 N N N Federal National Mortgage Association N/A 3136AJWQ5 2695919.73370000 PA USD 507290.14000000 0.058413621847 Long DBT USGA US N 2 2044-04-25 Floating 4.22724960 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030N101 -51500.00000000 NS USD -2315955.00000000 -0.26667839352 Short EC US N 1 N N N JUNIPER NETWORKS, INC. AUHIXNGG7U2U7JEHM527 48203R104 -4191.00000000 NS USD -103224.33000000 -0.01188611112 Short EC US N 1 N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523AG5 286000.00000000 PA USD 310379.65000000 0.035739704115 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N ACTIVISION BLIZZARD, INC. 549300TPQQDBP9GNOF40 00507V109 6373.00000000 NS USD 378683.66000000 0.043604798064 Long EC US N 1 N N N SPIRIT REALTY CAPITAL, INC. 549300LTU6LVPZSHMJ25 84860W300 2641.00000000 NS USD 129884.38000000 0.014955971856 Long EC US N 1 N N N WYNDHAM DESTINATIONS, INC. T4VNTWMFQ7JQB65L7T35 98310W108 -4376.00000000 NS USD -226195.44000000 -0.02604603136 Short EC US N 1 N N N DARDEN RESTAURANTS, INC. CY1NFSCCB5GUXC7WZC70 237194105 -3474.00000000 NS USD -378700.74000000 -0.04360676479 Short EC US N 1 N N N N/A N/A CDS950108 -126000.00000000 NC USD -14268.42000000 -0.00164298499 N/A DCR XX N 2 BRK: CITIGROUP GLOBAL MARKETS INC. N/A Y 2063-05-11 0 USD -19452.61 USD -126000 USD 5184.19 N N N N/A N/A CDS850416 -1045000.00000000 NC USD -53392.58000000 -0.00614806741 N/A DCR XX N 2 BRK: CITIGROUP N/A Y 2063-05-11 0 USD -116894.99 USD -1045000 USD 63502.41 N N N EOG RESOURCES, INC. XWTZDRYZPBUHIQBKDB46 26875P101 29487.00000000 NS USD 2469831.12000000 0.284396974618 Long EC US N 1 N N N PVH CORP. 123WALMHY1GZXG2YDL90 693656100 -3001.00000000 NS USD -315555.15000000 -0.03633565439 Short EC US N 1 N N N United States of America N/A N/A -136.00000000 NC USD -16130875.00000000 -1.85744361660 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Mar 2020 2020-04-03 -16180997.86 USD 50122.86 N N N XEROX HOLDINGS CORPORATION N/A 98421M106 -2849.00000000 NS USD -105042.63000000 -0.01209548536 Short EC US N 1 N N N BX TRUST N/A 12433WAA9 866554.83330000 PA USD 864651.01000000 0.099563135857 Long ABS-MBS US N 2 2037-09-15 Floating 2.85300720 N N N N N N GRAPHIC PACKAGING HOLDING COMPANY N/A 388689101 -4952.00000000 NS USD -82450.80000000 -0.00949407345 Short EC US N 1 N N N Cree, Inc. 549300OGU88P3AW3TO93 225447101 -450.00000000 NS USD -20767.50000000 -0.00239134332 Short EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912796SH3 7000000.00000000 PA USD 6975373.44000000 0.803202732002 Long DBT UST US N 2 2020-03-26 None 0.00000000 N N N N N N GETTY REALTY CORP. N/A 374297109 2400.00000000 NS USD 78888.00000000 0.009083822918 Long EC US N 1 N N N DRIL-QUIP, INC. 5299007REICYIJNMW197 262037104 1388.00000000 NS USD 65111.08000000 0.007497433333 Long EC US N 1 N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AR2 555000.00000000 PA USD 616179.41000000 0.070952041460 Long DBT NUSS GG N 2 2026-04-17 Fixed 4.55000000 N N N N N N LIBERTY PROPERTY TRUST N/A 531172104 3787.00000000 NS USD 227409.35000000 0.026185811092 Long EC US N 1 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94989QBB5 793700.00000000 PA USD 813387.41000000 0.093660216977 Long ABS-MBS US N 2 2048-09-15 Floating 4.62350160 N N N N N N CALLAWAY GOLF COMPANY 5493005UB0KFRKBPCU72 131193104 -2933.00000000 NS USD -62179.60000000 -0.00715987825 Short EC US N 1 N N N Pepsico, Inc. FJSUNZKFNQ5YPJ5OT455 713448108 41496.00000000 NS USD 5671258.32000000 0.653036029640 Long EC US N 1 N N N Freddie Mac N/A 3134GTS87 8100000.00000000 PA USD 8068799.04000000 0.929108884083 Long DBT USGA US N 2 2022-08-05 Floating 1.68999840 N N N N N N N/A N/A N/A 119.00000000 NC USD 2568020.00000000 0.295703261994 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Natural Gas Natural Gas Future Mar 2020 2020-02-29 2646773.3 USD -78753.3 N N N BRK: MACQUARIE BANK LIMITED N/A N/A 2518.07730000 NC USD 9176.29000000 0.001056634639 N/A DE US N 2 BRK: MACQUARIE BANK LIMITED N/A Y 2020-01-24 0 USD 0 USD -1012813.08 USD 9176.29 N N N UNIVERSAL CORPORATION 549300BZXZ66F6DTIF20 913456109 822.00000000 NS USD 46903.32000000 0.005400839838 Long EC US N 1 N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498106 -4706.00000000 NS USD -304337.02000000 -0.03504390524 Short EC US N 1 N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CW3 755000.00000000 PA USD 767336.28000000 0.088357505409 Long DBT CORP US N 2 2024-08-15 Fixed 2.90000000 N N N N N N DOMINO'S PIZZA, INC. 5299004V0Y8MI5D9FF45 25754A201 -1173.00000000 NS USD -344603.94000000 -0.03968057458 Short EC US N 1 N N N BORGWARNER INC. 549300DSFX2IE88NSX47 099724106 -17364.00000000 NS USD -753250.32000000 -0.08673553037 Short EC US N 1 N N N M.D.C. HOLDINGS, INC. 5299005FV4VNV75R8R35 552676108 -1894.00000000 NS USD -72275.04000000 -0.00832235149 Short EC US N 1 N N N KEURIG DR PEPPER INC. DYTQ8KRTKO7Y2BVU5K74 49271V100 6485.00000000 NS USD 187740.75000000 0.021618037314 Long EC US N 1 N N N MORGAN STANLEY CAPITAL I TRUST N/A 61765VAA6 203878.81610000 PA USD 204082.69000000 0.023499784717 Long ABS-MBS US N 2 2026-11-15 Floating 3.71538000 N N N N N N POLYONE CORPORATION SM8L9RZYIB34LNTWO040 73179P106 -1400.00000000 NS USD -51506.00000000 -0.00593083083 Short EC US N 1 N N N SHAKE SHACK INC. 529900J74GJAHYP80N79 819047101 -800.00000000 NS USD -47656.00000000 -0.00548750969 Short EC US N 1 N N N APERGY CORPORATION 549300EP2909K6DYYP38 03755L104 3400.00000000 NS USD 114852.00000000 0.013225018125 Long EC US N 1 N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 052528AK2 400000.00000000 PA USD 426466.91000000 0.049106960389 Long DBT NUSS AU Y 2 2026-05-19 Fixed 4.40000000 N N N Y Y AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED AUD XXXX N N N Japan 353800WZS8AXZXFUC241 N/A 150000000.00000000 PA 1380363.61000000 0.158946590063 Long DBT NUSS JP N 2 2020-01-20 None 0.00000000 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650100 14937.00000000 NS USD 1109669.73000000 0.127776636824 Long EC US N 1 N N N AMICUS THERAPEUTICS, INC. 549300MRD1SMUTNBPQ53 03152W109 2893.00000000 NS USD 28177.82000000 0.003244629438 Long EC US N 1 N N N N/A N/A N/A -61.00000000 NC USD -1742770.00000000 -0.20067708736 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Hogs LEAN HOGS FUTURE(Consolidated) Feb 2020 2020-02-14 -1790900.79 USD 48130.79 N N N MONMOUTH REAL ESTATE INVESTMENT CORPORATION 549300DFIUDCN3KVN260 609720107 2173.00000000 NS USD 31465.04000000 0.003623147392 Long EC US N 1 N N N BECTON, DICKINSON AND COMPANY ICE2EP6D98PQUILVRZ91 075887109 3081.00000000 NS USD 837939.57000000 0.096487357654 Long EC US N 1 N N N Nationwide Building Society 549300XFX12G42QIKN82 63859WAE9 747000.00000000 PA USD 786434.56000000 0.090556640811 Long DBT NUSS GB Y 2 2026-09-14 Fixed 4.00000000 N N N N N N N/A N/A N/A -32597000.00000000 PA USD -32597000.00000000 -3.75349071706 Short RA XX N 2 Reverse repurchase N 1.93000000 2050-12-31 32597000.00000000 USD 33288056.40000000 USD UST N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523AF7 242000.00000000 PA USD 253808.55000000 0.029225635375 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N Solaris Oilfield Infrastructure Inc 529900MTK3C8Y8TIIC10 83418M103 4300.00000000 NS USD 60200.00000000 0.006931930581 Long EC US N 1 N N N WORLD FINANCIAL NETWORK CREDIT CARD MASTER NOTE TRUST N/A 981464HD5 770000.00000000 PA USD 770074.61000000 0.088672819587 Long ABS-MBS US N 2 2026-04-15 Fixed 3.04000000 N N N N N N N/A N/A CDS948592 -254000.00000000 NC USD -28763.32000000 -0.00331204879 N/A DCR XX N 2 BRK: CITIGROUP GLOBAL MARKETS INC. N/A Y 2063-05-11 0 USD -39675.88 USD -254000 USD 10912.56 N N N GS MORTGAGE SECURITIES CORPORATION TRUST N/A 36256QAA5 331324.00000000 PA USD 331216.72000000 0.038139058313 Long ABS-MBS US N 2 2038-06-15 Floating 2.96538120 N N N N N N ANTERO MIDSTREAM CORPORATION N/A 03676B102 7900.00000000 NS USD 59961.00000000 0.006904410126 Long EC US N 1 N N N PNM RESOURCES, INC. 5493003JOBJGLZSDDQ28 69349H107 2052.00000000 NS USD 104056.92000000 0.011981982491 Long EC US N 1 N N N Freddie Mac N/A 3134GT2Q5 2700000.00000000 PA USD 2701041.96000000 0.311020521006 Long DBT USGA US N 2 2021-08-19 Fixed 2.00000000 N N N N N N N/A N/A CDS797948 -254000.00000000 NC USD -12977.72000000 -0.00149436302 N/A DCR XX N 2 BRK: CGG N/A Y 2063-05-11 0 USD -33662.86 USD -254000 USD 20685.14 N N N NORTHWESTERN CORPORATION 3BPWMBHR1R9SHUN7J795 668074305 601.00000000 NS USD 43073.67000000 0.004959861965 Long EC US N 1 N N N AMEREN CORPORATION XRZQ5S7HYJFPHJ78L959 023608102 2754.00000000 NS USD 211507.20000000 0.024354704782 Long EC US N 1 N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46642NBF2 18236718.15000000 PA USD 601177.06000000 0.069224545633 Long DBT USGA US N 2 2047-09-15 Floating 1.00380240 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967JZ5 320000.00000000 PA USD 327433.60000000 0.037703438293 Long DBT CORP US N 2 2168-02-15 Fixed 5.95000000 N N N N N N DICK'S SPORTING GOODS, INC. 529900SSBV5I4LWSK313 253393102 -1400.00000000 NS USD -69286.00000000 -0.00797816847 Short EC US N 1 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816BL2 359000.00000000 PA USD 360346.25000000 0.041493275586 Long DBT CORP US N 2 2168-09-15 Fixed 4.90000000 N N N N N N HELIX ENERGY SOLUTIONS GROUP, INC. 416AP2JOUTCWEGSOZW41 42330P107 7900.00000000 NS USD 76077.00000000 0.008760140911 Long EC US N 1 N N N N/A N/A N/A -27906250.00000000 PA USD -27906250.00000000 -3.21335860119 Short RA XX N 2 Reverse repurchase N 1.67000000 2050-12-31 27906250.00000000 USD 28551442.50000000 USD UST N N N SRC Energy Inc. 549300RFZV39PJ73PH67 78470V108 18764.00000000 NS USD 77307.68000000 0.008901851680 Long EC US N 1 N N N VALERO ENERGY CORPORATION 549300XTO5VR8SKV1V74 91913Y100 20315.00000000 NS USD 1902499.75000000 0.219069704292 Long EC US N 1 N N N CSAIL COMMERCIAL MORTGAGE TRUST N/A 12635RAX6 1090000.00000000 PA USD 1162161.71000000 0.133821001632 Long ABS-MBS US N 2 2048-11-15 Fixed 3.80790000 N N N N N N Freddie Mac N/A 35565AAH3 670000.00000000 PA USD 670970.43000000 0.077261136927 Long DBT USGA US N 2 2049-10-25 Floating 3.65799960 N N N N N N United States of America 254900HROIFWPRGM1V77 912828VM9 21110000.00000000 PA USD 23666562.17000000 2.725165549279 Long DBT USGA XX N 2 2023-07-15 Fixed 0.37500000 N N N N N N TIDEWATER INC. N/A 88642R109 2500.00000000 NS USD 48200.00000000 0.005550150399 Long EC US N 1 N N N ELI LILLY AND COMPANY FRDRIPF3EKNDJ2CQJL29 532457108 9803.00000000 NS USD 1288408.29000000 0.148358086827 Long EC US N 1 N N N CITRIX SYSTEMS, INC. HCTKJGUQOPZ5NBK7NP58 177376100 800.00000000 NS USD 88720.00000000 0.010215961481 Long EC US N 1 N N N GLOBAL NET LEASE, INC. 549300NUYANCT5SU8Z65 379378201 3900.00000000 NS USD 79092.00000000 0.009107313182 Long EC US N 1 N N N N/A N/A N/A 91.00000000 NC USD 6363175.00000000 0.732709092663 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Copper COPPER FUTURE (Consolidated) Mar 2020 2020-03-27 6099745.32 USD 263429.68 N N N N/A N/A N/A 18.00000000 NC USD 1188000.00000000 0.136796238054 N/A DCO GB N 1 GOLDMAN, SACHS & CO. N/A Long Crude Oil BRENT CRUDE OIL(ICE) Mar 2020 2020-02-03 1090228.36 USD 97771.64 N N N ZEBRA TECHNOLOGIES CORPORATION PO0I32GKZ3HZMMDPZZ08 989207105 -550.00000000 NS USD -140492.00000000 -0.01617742178 Short EC US N 1 N N N UNITI GROUP INC. 549300V3NU625PJUVA84 91325V108 4262.00000000 NS USD 34991.02000000 0.004029158166 Long EC US N 1 N N N IMMUNOMEDICS, INC. 5493007ZU7DDO8PSIM59 452907108 2254.00000000 NS USD 47694.64000000 0.005491959029 Long EC US N 1 N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 59217GAQ2 275000.00000000 PA USD 286541.49000000 0.032994779359 Long DBT CORP US Y 2 2022-04-11 Fixed 3.87500000 N N N N N N TOLL BROTHERS, INC. 529900JB6IS9MSZGVR44 889478103 -6149.00000000 NS USD -242946.99000000 -0.02797494467 Short EC US N 1 N N N N/A N/A N/A 10.00000000 NC USD 503700.00000000 0.058000223155 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Long Live Cattle Live Cattle Future(Consolidated) Feb 2020 2020-03-16 495588.3 USD 8111.7 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 22116.38000000 0.002546664632 N/A DFE US N 2 BARCLAYS CAPITAL INC. N/A 527159956.00000000 JPY 4881987.65000000 USD 2020-01-30 22116.38 N N N SEATTLE GENETICS, INC. N/A 812578102 1252.00000000 NS USD 143053.52000000 0.016472376579 Long EC US N 1 N N N ALKERMES PUBLIC LIMITED COMPANY N/A G01767105 2411.00000000 NS USD 49184.40000000 0.005663502433 Long EC IE N 1 N N N POTLATCHDELTIC CORPORATION 54930084YA8UJOTXDM59 737630103 1763.00000000 NS USD 76285.01000000 0.008784092919 Long EC US N 1 N N N UGI CORPORATION DX6GCWD4Q1JO9CRE5I40 902681105 2447.00000000 NS USD 110506.52000000 0.012724643279 Long EC US N 1 N N N CarMax, Inc. 529900F60CID3NCZM330 143130102 -1666.00000000 NS USD -146058.22000000 -0.01681836282 Short EC US N 1 N N N BRK: MORGAN STANLEY N/A N/A 1190000.00000000 NC USD -101095.77000000 -0.01164101095 N/A DIR XX N 2 BRK: MORGAN STANLEY N/A Y 2035-11-10 0 USD 0 USD -1190000 USD -101095.77 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SK8 881000.00000000 PA USD 899180.42000000 0.103539140394 Long DBT CORP US N 2 2023-01-24 Fixed 3.06900000 N N N N N N N/A N/A N/A 94.00000000 NC USD 2864180.00000000 0.329805596895 N/A DCO US N 1 MORGAN STANLEY & CO, INC N/A Long Soybean Meal Soybean Meal Future Mar 2020 2020-03-13 2831019.13 USD 33160.87 N N N LENDING CLUB ISSUANCE TRUST N/A 21051CAC1 11232.18800000 PA USD 11232.95000000 0.001293455641 Long ABS-MBS US N 2 2024-01-15 Fixed 2.61000000 N N N N N N CROWN CASTLE INTERNATIONAL CORP. 54930012H97VSM0I2R19 22822V101 7496.00000000 NS USD 1065556.40000000 0.122697059726 Long EC US N 1 N N N CMS ENERGY CORPORATION 549300IA9XFBAGNIBW29 125896100 3204.00000000 NS USD 201339.36000000 0.023183894798 Long EC US N 1 N N N CISCO SYSTEMS, INC. 8E6NF1YAL0WT6CWXXV93 17275R102 -30348.00000000 NS USD -1455490.08000000 -0.16759727901 Short EC US N 1 N N N JOHN WILEY & SONS, INC. 5493003XM719UN7E8P64 968223206 -1000.00000000 NS USD -48520.00000000 -0.00558699787 Short EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828Q60 6306000.00000000 PA USD 6833040.53000000 0.786813332474 Long DBT USGA XX N 2 2021-04-15 Fixed 0.12500000 N N N N N N BELLEMEADE RE LTD. N/A 07877TAB7 570000.00000000 PA USD 571080.49000000 0.065758975301 Long ABS-MBS BM N 2 2028-10-25 Floating 3.64200120 N N N N N N LKQ CORPORATION DS830JTTZQN6GK0I2E41 501889208 -3205.00000000 NS USD -114418.50000000 -0.01317510131 Short EC US N 1 N N N DUPONT DE NEMOURS, INC. 5493004JF0SDFLM8GD76 26614N102 -10949.54920000 NS USD -702961.06000000 -0.08094480514 Short EC US N 1 N N N DOLLAR TREE, INC. 549300PMSTQITB1WHR43 256746108 -2364.00000000 NS USD -222334.20000000 -0.02560141595 Short EC US N 1 N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46642EAY2 925000.00000000 PA USD 980436.55000000 0.112895649571 Long ABS-MBS US N 2 2047-08-15 Fixed 3.77480000 N N N N N N BANQUE FEDERATIVE DU CREDIT MUTUEL S.A. VBHFXSYT7OG62HNT8T76 06675FAF4 470000.00000000 PA USD 472850.38000000 0.054447940359 Long DBT NUSS FR Y 2 2020-10-15 Fixed 2.75000000 N N N N N N SOUTHWESTERN ENERGY COMPANY EFWMP121W54QV9MGOP87 845467109 28922.00000000 NS USD 69991.24000000 0.008059375697 Long EC US N 1 N N N DELEK US ENERGY, INC. N/A 24665A103 3658.00000000 NS USD 122652.74000000 0.014123260453 Long EC US N 1 N N N WYNN RESORTS, LIMITED 254900CEKKWIHTEAB172 983134107 -2487.00000000 NS USD -345369.69000000 -0.03976874943 Short EC US N 1 N N N N/A N/A N/A -80.00000000 NC USD -2762000.00000000 -0.31803973864 N/A DCO US N 1 GOLDMAN, SACHS & CO. N/A Short Cotton Cotton No. 2 Future Mar 2020 2020-03-09 -2661941.3 USD -100058.7 N N N REPLIGEN CORPORATION 54930006QJ0T5AUO1E71 759916109 388.00000000 NS USD 35890.00000000 0.004132674228 Long EC US N 1 N N N Blueprint Medicines Corp 5299004CC60O9T5HVM83 09627Y109 540.00000000 NS USD 43259.40000000 0.004981248468 Long EC US N 1 N N N OMNICELL, INC. 5493008RH0GTKHHPZI77 68213N109 550.00000000 NS USD 44946.00000000 0.005175457673 Long EC US N 1 N N N 2019-12-31 SEI INSTITUTIONAL MANAGED TRUST James Hoffmayer James Hoffmayer CFO XXXX