BRK: JPMORGAN CHASE BANK, N.A. PAY: 3-MONTH NZD

NPORT-P false 0000804239 XXXXXXXX S000035782 C000147406 C000109627 SEI INSTITUTIONAL MANAGED TRUST 811-04878 0000804239 9FTE3UO0Y1HGMNV0D371 2 OLIVER STREET BOSTON 02109 8003455734 SIMT Multi-Asset Capital Stability Fund S000035782 C7C50PC2E3ID1LW1C681 2021-09-30 2021-06-30 N 734559607.77 1211915.98 733347691.79 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 350913564.54000000 USD N BRK: JPMORGAN CHASE BANK, N.A. N/A BRK: JPMORGAN CHASE BANK, N.A. PAY: 3-MONTH NZD - BKBM N/A 1220000.00000000 NC 4654.28000000 0.000634662118 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2031-06-30 0.00000000 NZD 0.00000000 NZD -1220000.00000000 NZD 4654.28000000 N N N KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC. N/A KNIGHT-SWIFT TRANSPORTATION COMMON STOCK 499049104 1624.00000000 NS USD 73827.04000000 0.010067126524 Long EC US N 1 N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 MGM RESORTS INTERNATIONAL COMMON STOCK 552953101 6936.00000000 NS USD 295820.40000000 0.040338355641 Long EC US N 1 N N N PROOFPOINT, INC. 529900C5FODDK0WSR085 PROOFPOINT INC COMMON STOCK 743424103 427.00000000 NS USD 74195.52000000 0.010117372813 Long EC US N 1 N N N BRK: DEUTSCHE BANK AG LONDON N/A BRK: DEUTSCHE BANK AG LONDON PAY: 6M AUD BBSW N/A 2430000.00000000 NC 31043.03000000 0.004233057572 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG LONDON N/A Y 2031-05-03 0.00000000 AUD 0.00000000 AUD -2430000.00000000 AUD 31043.03000000 N N N STRYKER CORPORATION 5493002F0SC4JTBU5137 STRYKER CORP COMMON STOCK 863667101 285.00000000 NS USD 74023.05000000 0.010093854637 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES .50% 04/15/24 912810FD5 966600.00000000 PA USD 1103161.36000000 0.150428149205 Long DBT USGA US N 2 2024-04-15 Fixed 0.50000000 N N N N N N N/A N/A NIKKEI 225 MINI SEP21 PHYSICAL INDEX FUTURE. N/A 133.00000000 NC 3448725.10000000 0.470271487673 N/A DE JP N 1 GOLDMAN SACHS & CO N/A Long NIKKEI 225 MINI Sep 2021 N/A N/A 2021-09-12 3511841.48000000 JPY -63116.38000000 N N N BRK: UBS AG N/A BRK: UBS AG PAY: 6-MONTH-AUD BBSW N/A 2140000.00000000 NC 20464.36000000 0.002790539907 N/A DIR XX N 2 BRK: UBS AG N/A Y 2031-06-03 0.00000000 AUD 0.00000000 AUD -2140000.00000000 AUD 20464.36000000 N N N PPL CORPORATION 9N3UAJSNOUXFKQLF3V18 PPL CORP COMMON STOCK 69351T106 2649.00000000 NS USD 74092.53000000 0.010103328997 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/MYR SETTLE 2021-09-23 N/A 1.00000000 NC USD 2037.44000000 0.000277827287 N/A DFE US N 2 BROWN BROTHERS N/A 1937700.00000000 MYR 468496.13000000 USD 2021-09-23 2037.44000000 N N N Spdr S&P Homebuilders Etf N/A SPDR S&P HOMEBUILDERS ETF MUTUAL FUND 78464A888 2335.00000000 NS USD 171015.40000000 0.023319825222 Long EC RF US N 1 N N N MALAYSIAN RINGGIT N/A FX Forward Contract: MYR/USD SETTLE 2021-09-23 N/A 1.00000000 NC -11760.01000000 -0.00160360632 N/A DFE MY N 2 BARCLAYS CAPITAL INC. N/A 1925908.88000000 USD 7951500.00000000 MYR 2021-09-23 -11760.01000000 N N N PRUDENTIAL FINANCIAL, INC. 5PRBRS5FEH7NREC8OR45 PRUDENTIAL FINANCIAL INC COMMON STOCK 744320102 740.00000000 NS USD 75827.80000000 0.010339952092 Long EC US N 1 N N N SWEDISH KRONE N/A FX Forward Contract: SEK/USD SETTLE 2021-07-15 N/A 1.00000000 NC -1744.54000000 -0.00023788716 N/A DFE SE N 2 BROWN BROTHERS N/A 606966.27000000 USD 5174700.00000000 SEK 2021-07-15 -1744.54000000 N N N ZIMMER BIOMET HOLDINGS, INC. 2P2YLDVPES3BXQ1FRB91 ZIMMER BIOMET HOLDINGS INC COMMON STOCK 98956P102 456.00000000 NS USD 73333.92000000 0.009999884205 Long EC US N 1 N N N LOCKHEED MARTIN CORPORATION DPRBOZP0K5RM2YE8UU08 LOCKHEED MARTIN CORP COMMON STOCK 539830109 193.00000000 NS USD 73021.55000000 0.009957289130 Long EC US N 1 N N N MEDICAL PROPERTIES TRUST, INC. 254900U6E39J1MQCCY14 MEDICAL PROPERTIES TRUST INC REIT 58463J304 3669.00000000 NS USD 73746.90000000 0.010056198557 Long EC US N 1 N N N SWISS FRANC N/A FX Forward Contract: CHF/USD SETTLE 2021-08-05 N/A 1.00000000 NC -11765.87000000 -0.00160440540 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 392583.78000000 USD 351600.00000000 CHF 2021-08-05 -11765.87000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-7/8% 02/15/2047 912810RW0 559800.00000000 PA USD 796332.45000000 0.108588662501 Long DBT USGA US N 2 2047-02-15 Fixed 0.87500000 N N N N N N ALEXION PHARMACEUTICALS, INC. M1YXUUZR0EIMU8T0EM75 ALEXION PHARMACEUTICALS INC COMMON STOCK 015351109 410.00000000 NS USD 75321.10000000 0.010270857990 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-3/8% 02/15/2044 912810RF7 958400.00000000 PA USD 1514661.60000000 0.206540719628 Long DBT USGA US N 2 2044-02-15 Fixed 1.37500000 N N N N N N AMERICAN ELECTRIC POWER COMPANY, INC. 1B4S6S7G0TW5EE83BO58 AMERICAN ELECTRIC POWER COMMON STOCK 025537101 447.00000000 NS USD 37811.73000000 0.005156044046 Long EC US N 1 N N N MCDONALD'S CORPORATION UE2136O97NLB5BYP9H04 MCDONALD'S CORP COMMON STOCK 580135101 319.00000000 NS USD 73685.81000000 0.010047868265 Long EC US N 1 N N N Technology Select Sector SPDR Fund N/A TECHNOLOGY SELECT SECT SPDR MUTUAL FUND 81369Y803 3604.00000000 NS USD 532166.64000000 0.072566757345 Long EC RF US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/CAD SETTLE 2021-07-16 N/A 1.00000000 NC USD 12431.99000000 0.001695238171 N/A DFE US N 2 BROWN BROTHERS N/A 581000.00000000 CAD 481662.02000000 USD 2021-07-16 12431.99000000 N N N INDONESIA RUPIAH N/A FX Forward Contract: IDR/USD SETTLE 2021-07-15 N/A 1.00000000 NC -5314.93000000 -0.00072474899 N/A DFE ID N 2 STANDARD BANK N/A 471680.34000000 USD 6781819900.00000000 IDR 2021-07-15 -5314.93000000 N N N N/A N/A DAX INDEX FUTURE SEP21 PHYSICAL INDEX FUTURE. N/A 1.00000000 NC 460367.16000000 0.062776110861 N/A DE DE N 1 GOLDMAN, SACHS & CO. N/A Long DAX INDEX FUTURE Sep 2021 N/A N/A 2021-09-20 475875.93000000 EUR -15508.77000000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 BANK OF NOVA SCOTIA COMMON STOCK 064149107 1145.00000000 NS USD 74505.15000000 0.010159594259 Long EC US N 1 N N N MALAYSIAN RINGGIT N/A FX Forward Contract: MYR/USD SETTLE 2021-09-23 N/A 1.00000000 NC -696.18000000 -0.00009493177 N/A DFE MY N 2 BARCLAYS CAPITAL INC. N/A 711325.30000000 USD 2952000.00000000 MYR 2021-09-23 -696.18000000 N N N METLIFE, INC. C4BXATY60WC6XEOZDX54 METLIFE INC COMMON STOCK 59156R108 1243.00000000 NS USD 74393.55000000 0.010144376376 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-3/8% 01/15/27 912810PS1 440700.00000000 PA USD 714815.11000000 0.097472879236 Long DBT USGA US N 2 2027-01-15 Fixed 2.37500000 N N N N N N BRK: DEUTSCHE BANK AG LONDON N/A BRK: DEUTSCHE BANK AG LONDON PAY: 3M NZD BKBM N/A 830000.00000000 NC 1237.23000000 0.000168709878 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG LONDON N/A Y 2031-06-25 0.00000000 NZD 0.00000000 NZD -830000.00000000 NZD 1237.23000000 N N N AMAZON.COM, INC. ZXTILKJKG63JELOEG630 AMAZON.COM INC COMMON STOCK 023135106 65.00000000 NS USD 223610.40000000 0.030491730253 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 10/15/2025 912810FH6 683600.00000000 PA USD 765612.24000000 0.104399624976 Long DBT USGA US N 2 2025-10-15 Fixed 0.12500000 N N N N N N RESMED INC. 529900T3QE5253CCXF22 RESMED INC COMMON STOCK 761152107 310.00000000 NS USD 76421.20000000 0.010420868689 Long EC US N 1 N N N N/A N/A AMSTERDAM IDX FUT JUL21 PHYSICAL INDEX FUTURE. N/A 1.00000000 NC 172982.78000000 0.023588099060 N/A DE NL N 1 GOLDMAN, SACHS & CO. N/A Long AMSTERDAM IDX FUT Jul 2021 N/A N/A 2021-07-19 177267.47000000 EUR -4284.69000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/KRW SETTLE 2021-07-22 N/A 1.00000000 NC USD -724.36000000 -0.00009877442 N/A DFE US N 2 BROWN BROTHERS N/A 523008600.00000000 KRW 462573.39000000 USD 2021-07-22 -724.36000000 N N N FIDELITY NATIONAL FINANCIAL, INC. 549300CAZYIH39SYQ287 FIDELITY NATIONAL FINANCIAL COMMON STOCK 31620R303 1660.00000000 NS USD 72143.60000000 0.009837571019 Long EC US N 1 N N N DOVER CORPORATION 549300FMC2ALGA7N9E80 DOVER CORP COMMON STOCK 260003108 507.00000000 NS USD 76354.20000000 0.010411732504 Long EC US N 1 N N N BRK: UBS AG N/A BRK: UBS AG PAY: 6-MONTH AUD - BBSW N/A 490000.00000000 NC -16655.51000000 -0.00227116144 N/A DIR XX N 2 BRK: UBS AG N/A Y 2030-12-17 0.00000000 AUD 0.00000000 AUD -490000.00000000 AUD -16655.51000000 N N N OTIS WORLDWIDE CORPORATION 549300ZLBKR8VSU25153 OTIS WORLDWIDE CORP COMMON STOCK 68902V107 919.00000000 NS USD 75146.63000000 0.010247067092 Long EC US N 1 N N N FX/JPY/USDVARSWAP N/A FX/JPY/USDVARSWAP STRIKE 7.20 FV1096787 -33151.00000000 NC USD 3890.56000000 0.000530520521 N/A DFE US N 3 GOLDMAN, SACHS & CO. N/A Call Written N/A N/A -33151.00000000 7.20000000 USD 2021-09-30 XXXX 3890.56000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 01/15/26 912828N71 1487700.00000000 PA USD 1856705.64000000 0.253182175492 Long DBT USGA US N 2 2026-01-15 Fixed 0.62500000 N N N N N N ARABELLA FINANCE LIMITED 213800K6AD4EJPK3IP83 ARABELLA FIN LTD COMMERCIAL PAPER (ISITC) 03846XVA4 5775000.00000000 PA USD 5773026.86000000 0.787215522000 Long ABS-APCP US Y 2 2021-08-10 None 0.00000000 N N N N N N TC Energy Corporation 549300UGKOFV2IWJJG27 TC ENERGY CORP COMMON STOCK 87807B107 713.00000000 NS USD 35307.76000000 0.004814600276 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.25% 02/15/2050 912810QV3 607600.00000000 PA USD 713552.38000000 0.097300692153 Long DBT USGA US N 2 2050-02-15 Fixed 0.25000000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/BRL SETTLE 2021-07-02 N/A 1.00000000 NC USD 8974.30000000 0.001223744221 N/A DFE US N 2 BROWN BROTHERS N/A 2857500.00000000 BRL 578441.30000000 USD 2021-07-02 8974.30000000 N N N SANOFI SA 549300E9PC51EN656011 SANOFI-ADR DEPOSITARY RECEIPT 80105N105 705.00000000 NS USD 37125.30000000 0.005062441787 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 1% 02/15/46 912810RR1 459000.00000000 PA USD 675749.22000000 0.092145816720 Long DBT USGA US N 2 2046-02-15 Fixed 1.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-3/8% 04/15/32 912810FQ6 127400.00000000 PA USD 282651.38000000 0.038542615346 Long DBT USGA US N 2 2032-04-15 Fixed 3.37500000 N N N N N N WASTE MANAGEMENT, INC. 549300YX8JIID70NFS41 WASTE MANAGEMENT INC COMMON STOCK 94106L109 533.00000000 NS USD 74678.63000000 0.010183250160 Long EC US N 1 N N N HONG KONG DOLLAR N/A FX Forward Contract: HKD/USD SETTLE 2021-08-13 N/A 1.00000000 NC 5118.62000000 0.000697979970 N/A DFE HK N 2 HSBC N/A 4571856.77000000 USD 35539100.00000000 HKD 2021-08-13 5118.62000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/AUD SETTLE 2021-08-25 N/A 1.00000000 NC USD 81022.04000000 0.011048243678 N/A DFE US N 2 BROWN BROTHERS N/A 3377000.00000000 AUD 2616405.04000000 USD 2021-08-25 81022.04000000 N N N NEW ZEALAND DOLLAR N/A FX Forward Contract: NZD/USD SETTLE 2021-07-29 N/A 1.00000000 NC -8489.97000000 -0.00115770051 N/A DFE NZ N 2 BROWN BROTHERS N/A 238525.60000000 USD 329346.53000000 NZD 2021-07-29 -8489.97000000 N N N VICI PROPERTIES INC. 254900RKH6RY9KCJQH63 VICI PROPERTIES INC REIT 925652109 2340.00000000 NS USD 72586.80000000 0.009898006199 Long EC US N 1 N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 BANK OF MONTREAL COMMON STOCK 063671101 718.00000000 NS USD 73638.08000000 0.010041359756 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/NZD SETTLE 2021-07-29 N/A 1.00000000 NC USD 8038.17000000 0.001096092629 N/A DFE US N 2 BROWN BROTHERS N/A 329119.83000000 NZD 237915.46000000 USD 2021-07-29 8038.17000000 N N N FX/JPY/USDVARSWAP N/A FX/JPY/USDVARSWAP STRIKE 6.85 FV1148994 120000.00000000 NC USD -7156.57000000 -0.00097587680 N/A DFE US N 3 CITIGROUP GLOBAL MARKETS N/A Call Purchased N/A N/A 120000.00000000 6.85000000 USD 2022-04-19 XXXX -7156.57000000 N N N NORWEIGAN KRONE N/A FX Forward Contract: NOK/USD SETTLE 2021-07-15 N/A 1.00000000 NC -31565.30000000 -0.00430427481 N/A DFE NO N 2 BANK OF AMERICA N/A 944114.68000000 USD 7851100.00000000 NOK 2021-07-15 -31565.30000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/IDR SETTLE 2021-07-15 N/A 1.00000000 NC USD 1031.50000000 0.000140656336 N/A DFE US N 2 BROWN BROTHERS N/A 6831630500.00000000 IDR 470822.23000000 USD 2021-07-15 1031.50000000 N N N ENBRIDGE (U.S.) INC. 5493003FRODSVHJWFS32 ENBRIDGE U S INC DISC COML PAP COMMERCIAL PAPER (ISITC) 29251UUS5 13500000.00000000 PA USD 13498566.71000000 1.840677602332 Long ABS-APCP US Y 2 2021-07-26 None 0.00000000 N N N N N N TAIWAN DOLLAR N/A FX Forward Contract: TWD/USD SETTLE 2021-07-22 N/A 1.00000000 NC -6245.95000000 -0.00085170377 N/A DFE TW N 2 STANDARD BANK N/A 734715.68000000 USD 20285500.00000000 TWD 2021-07-22 -6245.95000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES .625% 04/15/2023 912828H45 1920300.00000000 PA USD 2183889.89000000 0.297797336031 Long DBT USGA US N 2 2023-04-15 Fixed 0.62500000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 AT&T INC COMMON STOCK 00206R102 2566.00000000 NS USD 73849.48000000 0.010070186464 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 10/15/2025 912810FH6 733900.00000000 PA USD 821946.79000000 0.112081458658 Long DBT USGA US N 2 2025-10-15 Fixed 0.12500000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 AECOM COMMON STOCK 00766T100 1216.00000000 NS USD 76997.12000000 0.010499401697 Long EC US N 1 N N N Xtrackers Hvst CSI 300 China A-Shs ETF N/A XTRACKERS HARVEST CSI 300 CH MUTUAL FUND 233051879 7408.00000000 NS USD 300320.32000000 0.040951969081 Long EC RF US N 1 N N N United States of America N/A US ULTRA BOND CBT SEP21 FINANCIAL COMMODITY FUTURE. N/A 16.00000000 NC USD 3083000.00000000 0.420400859580 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Sep 2021 2021-09-24 3102259.20000000 USD -19259.20000000 N N N ILLINOIS TOOL WORKS INC. 76NA4I14SZCFAYMNSV04 ILLINOIS TOOL WORKS COMMON STOCK 452308109 331.00000000 NS USD 73998.36000000 0.010090487885 Long EC US N 1 N N N GLOBAL PAYMENTS INC. 549300NOMHGVQBX6S778 GLOBAL PAYMENTS INC COMMON STOCK 37940X102 381.00000000 NS USD 71452.74000000 0.009743364682 Long EC US N 1 N N N N/A N/A OMXS30 IND FUTURE JUL21 PHYSICAL INDEX FUTURE. N/A 1.00000000 NC 26496.26000000 0.003613055621 N/A DE SE N 1 GOLDMAN, SACHS & CO. N/A Long OMXS30 IND FUTURE Jul 2021 N/A N/A 2021-07-19 27360.18000000 SEK -863.92000000 N N N KOREAN WON N/A FX Forward Contract: KRW/USD SETTLE 2021-07-22 N/A 1.00000000 NC -3782.11000000 -0.00051573217 N/A DFE KR N 2 BARCLAYS CAPITAL INC. N/A 353155.31000000 USD 394401200.00000000 KRW 2021-07-22 -3782.11000000 N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 DELTA AIR LINES INC COMMON STOCK 247361702 4974.00000000 NS USD 215175.24000000 0.029341503683 Long EC US N 1 N N N N/A N/A MSCI EMGMKT SEP21 PHYSICAL INDEX FUTURE. N/A 154.00000000 NC USD 10518200.00000000 1.434271917366 N/A DE US N 1 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A Long US MSCI Emerging Markets Equity Index Future Sep 2021 N/A N/A 2021-09-20 10572068.43000000 USD -53868.43000000 N N N N/A N/A Credit Default Swap CD1082836 -3370000.00000000 NC USD 84569.62000000 0.011531995115 N/A DCR XX N 2 BRK: BARCLAYS BANK PLC N/A Y 2025-12-20 73003.39000000 USD 0.00000000 USD -3370000.00000000 USD 11566.23000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 WELLS FARGO & CO COMMON STOCK 949746101 8121.00000000 NS USD 367800.09000000 0.050153575734 Long EC US N 1 N N N BioNTech SE 894500UZJ5LG1F8J1U58 BIONTECH SE-ADR DEPOSITARY RECEIPT 09075V102 380.00000000 NS USD 85074.40000000 0.011600827404 Long EC US N 1 N N N LAS VEGAS SANDS CORP. 549300DUOO1KXOHPM605 LAS VEGAS SANDS CORP COMMON STOCK 517834107 15176.00000000 NS USD 799623.44000000 0.109037425078 Long EC US N 1 N N N CONAGRA BRANDS, INC. 54930035UDEIH090K650 CONAGRA BRANDS INC COMMERCIAL PAPER (ISITC) 20600GU12 13250000.00000000 PA USD 13249884.46000000 1.806767050382 Long ABS-APCP US Y 2 2021-07-01 None 0.00000000 N N N N N N N/A N/A FTSE 100 IDX FUT SEP21 PHYSICAL INDEX FUTURE. N/A 15.00000000 NC 1446475.94000000 0.197242857132 N/A DE GB N 1 MORGAN STANLEY & CO, INC N/A Long FTSE 100 IDX FUT Sep 2021 N/A N/A 2021-09-20 1501237.87000000 GBP -54761.93000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 04/15/2026 912810RL4 651600.00000000 PA USD 721769.63000000 0.098421204304 Long DBT USGA US N 2 2026-04-15 Fixed 0.12500000 N N N N N N KOREAN WON N/A FX Forward Contract: KRW/USD SETTLE 2021-07-22 N/A 1.00000000 NC -280.74000000 -0.00003828197 N/A DFE KR N 2 BARCLAYS CAPITAL INC. N/A 350879.49000000 USD 395784700.00000000 KRW 2021-07-22 -280.74000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/PHP SETTLE 2021-07-22 N/A 1.00000000 NC USD -11542.67000000 -0.00157396963 N/A DFE US N 2 BROWN BROTHERS N/A 123717800.00000000 PHP 2518018.44000000 USD 2021-07-22 -11542.67000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/BRL SETTLE 2021-08-03 N/A 1.00000000 NC USD 3415.96000000 0.000465803606 N/A DFE US N 2 BROWN BROTHERS N/A 1371900.00000000 BRL 275869.70000000 USD 2021-08-03 3415.96000000 N N N APPLE INC. HWUPKR0MPOU8FGXBT394 APPLE INC COMMON STOCK 037833100 2941.00000000 NS USD 402799.36000000 0.054926110017 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/COP SETTLE 2021-07-15 N/A 1.00000000 NC USD 1121.42000000 0.000152917915 N/A DFE US N 2 BROWN BROTHERS N/A 1706022300.00000000 COP 457869.65000000 USD 2021-07-15 1121.42000000 N N N BRK: DEUTSCHE BANK AG LONDON N/A BRK: DEUTSCHE BANK AG LONDON PAY: 3-MONTH NZD - BKBM N/A 1930000.00000000 NC -208776.58000000 -0.02846897622 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG LONDON N/A Y 2031-06-04 0.00000000 NZD 0.00000000 NZD -1930000.00000000 NZD -208776.58000000 N N N United States of America 254900HROIFWPRGM1V77 TSY INFL IX N/B 0.125000% 04/15/2025 912828ZJ2 1634600.00000000 PA USD 1823942.02000000 0.248714496605 Long DBT USGA US N 2 2025-04-15 Fixed 0.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 01/15/2027 912828V49 1212800.00000000 PA USD 1483939.67000000 0.202351447562 Long DBT USGA US N 2 2027-01-15 Fixed 0.37500000 N N N N N N United States of America N/A US 5YR NOTE (CBT) SEP21 FINANCIAL COMMODITY FUTURE. N/A 40.00000000 NC USD 4937187.50000000 0.673239659069 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Sep 2021 2021-10-03 4959400.00000000 USD -22212.50000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/TWD SETTLE 2021-07-22 N/A 1.00000000 NC USD 3372.45000000 0.000459870541 N/A DFE US N 2 BROWN BROTHERS N/A 19316300.00000000 TWD 697037.38000000 USD 2021-07-22 3372.45000000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 AVIATION CAP GROUP LLC COMMERCIAL PAPER (ISITC) 05369BUD9 10000000.00000000 PA USD 9999693.10000000 1.363567815369 Long ABS-APCP US Y 2 2021-07-13 None 0.00000000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/NOK SETTLE 2021-07-15 N/A 1.00000000 NC USD 18386.98000000 0.002507266362 N/A DFE US N 2 BROWN BROTHERS N/A 3969800.00000000 NOK 479804.94000000 USD 2021-07-15 18386.98000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/KRW SETTLE 2021-07-22 N/A 1.00000000 NC USD 9654.57000000 0.001316506495 N/A DFE US N 2 BROWN BROTHERS N/A 1011650200.00000000 KRW 905806.69000000 USD 2021-07-22 9654.57000000 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A BRK: JPMORGAN CHASE BANK, N.A. PAY: 3M NZD BKBM N/A 2370000.00000000 NC 3383.26000000 0.000461344603 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2031-05-10 0.00000000 NZD 0.00000000 NZD -2370000.00000000 NZD 3383.26000000 N N N STARWOOD PROPERTY TRUST, INC. BUGSFQZERKRBFWIG5267 STARWOOD PROPERTY TRUST INC REIT 85571B105 1433.00000000 NS USD 37501.61000000 0.005113755783 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2025 912828XL9 1422300.00000000 PA USD 1758548.16000000 0.239797326655 Long DBT USGA US N 2 2025-07-15 Fixed 0.37500000 N N N N N N CZECH REPUBLIC KORUNA N/A FX Forward Contract: CZK/USD SETTLE 2021-09-17 N/A 1.00000000 NC -1163.37000000 -0.00015863825 N/A DFE CZ N 2 BROWN BROTHERS N/A 455155.55000000 USD 9766300.00000000 CZK 2021-09-17 -1163.37000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-1/8% 02/15/41 912810QP6 399800.00000000 PA USD 734388.70000000 0.100141952885 Long DBT USGA US N 2 2041-02-15 Fixed 2.12500000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/SEK SETTLE 2021-07-15 N/A 1.00000000 NC USD -6379.10000000 -0.00086986024 N/A DFE US N 2 BROWN BROTHERS N/A 5936000.00000000 SEK 687882.64000000 USD 2021-07-15 -6379.10000000 N N N THE TJX COMPANIES, INC. V167QI9I69W364E2DY52 TJX COMPANIES INC COMMON STOCK 872540109 1144.00000000 NS USD 77128.48000000 0.010517314074 Long EC US N 1 N N N KIMBERLY-CLARK CORPORATION MP3J6QPYPGN75NVW2S34 KIMBERLY-CLARK CORP COMMON STOCK 494368103 287.00000000 NS USD 38394.86000000 0.005235560216 Long EC US N 1 N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 US BANCORP COMMON STOCK 902973304 681.00000000 NS USD 38796.57000000 0.005290337780 Long EC US N 1 N N N CANADIAN DOLLAR N/A FX Forward Contract: CAD/USD SETTLE 2021-07-16 N/A 1.00000000 NC 29313.75000000 0.003997251280 N/A DFE CA N 2 BROWN BROTHERS N/A 2290657.27000000 USD 2872585.00000000 CAD 2021-07-16 29313.75000000 N N N Vanguard Health Care Etf N/A VANGUARD HEALTH CARE ETF MUTUAL FUND 92204A504 1013.00000000 NS USD 250342.69000000 0.034136971153 Long EC RF US N 1 N N N Japan 353800WZS8AXZXFUC241 Japanese Government CPI Linked Bond .100000% 03/10/2026 JK7713619 1358600000.00000000 PA 12705035.48000000 1.732470916897 Long DBT USGA JP N 2 2026-03-10 Fixed 0.10000000 N N N N N N SINGAPORE DOLLAR N/A FX Forward Contract: SGD/USD SETTLE 2021-08-19 N/A 1.00000000 NC -9559.30000000 -0.00130351538 N/A DFE SG N 2 HSBC N/A 1123877.96000000 USD 1497700.00000000 SGD 2021-08-19 -9559.30000000 N N N Canada N/A CAN 10YR BOND FUT SEP21 FINANCIAL COMMODITY FUTURE. N/A 107.00000000 NC 12574206.58000000 1.714630961653 N/A DIR CA N 1 MORGAN STANLEY & CO, INC N/A Long Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Sep 2021 2021-09-24 12737867.37000000 CAD -163660.79000000 N N N THE WESTERN UNION COMPANY 28ID94QU1140NC23S047 WESTERN UNION CO COMMON STOCK 959802109 3124.00000000 NS USD 71758.28000000 0.009785028411 Long EC US N 1 N N N N/A N/A IBEX 35 INDX FUTR JUL21 PHYSICAL INDEX FUTURE. N/A 8.00000000 NC 833765.00000000 0.113693001196 N/A DE ES N 1 GOLDMAN, SACHS & CO. N/A Long IBEX 35 INDX FUTR Jul 2021 N/A N/A 2021-07-19 888358.07000000 EUR -54593.07000000 N N N Garmin Ltd. 2549001E0HIPIJQ0W046 GARMIN LTD COMMON STOCK H2906T109 522.00000000 NS USD 75502.08000000 0.010295536598 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/MYR SETTLE 2021-09-23 N/A 1.00000000 NC USD 590.21000000 0.000080481606 N/A DFE US N 2 BROWN BROTHERS N/A 961500.00000000 MYR 232050.20000000 USD 2021-09-23 590.21000000 N N N N/A N/A AUST 3YR BOND FUT JUN21 FINANCIAL COMMODITY FUTURE. N/A 118.00000000 NC 10319420.69000000 1.407166178543 N/A DIR AU N 1 GOLDMAN, SACHS & CO. N/A Long Australia Govt. Bond Futures AUST 3YR BOND FUT (consolidated) Sep 2021 2021-09-16 10595033.29000000 AUD -275612.60000000 N N N Japan N/A JPN 10Y BOND(OSE) SEP21 FINANCIAL COMMODITY FUTURE. N/A -11.00000000 NC -15033696.73000000 -2.05000941549 N/A DIR JP N 1 GOLDMAN, SACHS & CO. N/A Short Japan Govt. Bond Futures Japan Govt 10 Year Bond Future (TSE) Sep 2021 2021-09-16 -15212571.30000000 JPY 178874.57000000 N N N N/A N/A FTSE/MIB IDX FUT SEP21 PHYSICAL INDEX FUTURE. N/A 7.00000000 NC 1037830.28000000 0.141519539997 N/A DE IT N 1 GOLDMAN, SACHS & CO. N/A Long FTSE/MIB IDX FUT Sep 2021 N/A N/A 2021-09-20 1085384.60000000 EUR -47554.32000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/KRW SETTLE 2021-07-22 N/A 1.00000000 NC USD -275.91000000 -0.00003762335 N/A DFE US N 2 BROWN BROTHERS N/A 524500400.00000000 KRW 464343.33000000 USD 2021-07-22 -275.91000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/JPY SETTLE 2021-08-19 N/A 1.00000000 NC USD 1309570.86000000 0.178574348110 N/A DFE US N 2 BROWN BROTHERS N/A 7782876210.00000000 JPY 71475320.83000000 USD 2021-08-19 1309570.86000000 N N N Energy Select Sector SPDR Fund N/A ENERGY SELECT SECTOR SPDR MUTUAL FUND 81369Y506 12731.00000000 NS USD 685818.97000000 0.093518937562 Long EC RF US N 1 N N N FIRSTENERGY CORP. 549300SVYJS666PQJH88 FIRSTENERGY CORP COMMON STOCK 337932107 1968.00000000 NS USD 73229.28000000 0.009985615393 Long EC US N 1 N N N Ishares S&P 500 N/A ISHARES CORE S&P 500 ETF MUTUAL FUND 464287200 53136.00000000 NS USD 22844229.12000000 3.115061160721 Long EC RF US N 1 N N N ALTICE USA, INC. 54930064K3612MGCER95 ALTICE USA INC- A COMMON STOCK 02156K103 2180.00000000 NS USD 74425.20000000 0.010148692200 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/NZD SETTLE 2021-07-29 N/A 1.00000000 NC USD 187823.74000000 0.025611826709 N/A DFE US N 2 BROWN BROTHERS N/A 7415000.00000000 NZD 5366910.27000000 USD 2021-07-29 187823.74000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2027 9128282L3 1394300.00000000 PA USD 1697474.33000000 0.231469240171 Long DBT USGA US N 2 2027-07-15 Fixed 0.37500000 N N N N N N N/A N/A SPI 200 FUTURES SEP21 PHYSICAL INDEX FUTURE. N/A -11.00000000 NC -1491234.98000000 -0.20334624308 N/A DE AU N 1 GOLDMAN, SACHS & CO. N/A Short SPI 200 Future Sep 2021 N/A N/A 2021-09-19 -1505439.59000000 AUD 14204.61000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/KRW SETTLE 2021-07-22 N/A 1.00000000 NC USD 6252.89000000 0.000852650123 N/A DFE US N 2 BROWN BROTHERS N/A 880085600.00000000 KRW 785860.88000000 USD 2021-07-22 6252.89000000 N N N ARABELLA FINANCE LIMITED 213800K6AD4EJPK3IP83 ARABELLA FIN LTD COMMERCIAL PAPER (ISITC) 03846XV63 5700000.00000000 PA USD 5698242.52000000 0.777017857121 Long ABS-APCP US Y 2 2021-08-06 None 0.00000000 N N N N N N V.F. CORPORATION CWAJJ9DJ5Z7P057HV541 VF CORP COMMON STOCK 918204108 916.00000000 NS USD 75148.64000000 0.010247341178 Long EC US N 1 N N N N/A N/A EURO STOXX 50 SEP21 PHYSICAL INDEX FUTURE. N/A -7.00000000 NC -336659.79000000 -0.04590725433 N/A DE DE N 1 GOLDMAN, SACHS & CO. N/A Short DJ EURO STOXX 50 FUTR Sep 2021 N/A N/A 2021-09-20 -350527.31000000 EUR 13867.52000000 N N N N/A N/A NIKKEI 225 (CME) SEP21 PHYSICAL INDEX FUTURE. N/A 2.00000000 NC USD 287850.00000000 0.039251504194 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long NIKKEI 225 (CME) Sep 2021 N/A N/A 2021-09-12 288956.34000000 USD -1106.34000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-5/8% 04/15/28 912810FD5 346000.00000000 PA USD 770238.60000000 0.105030479896 Long DBT USGA US N 2 2028-04-15 Fixed 3.62500000 N N N N N N EATON CORPORATION PUBLIC LIMITED COMPANY 549300VDIGTMXUNT7H71 EATON CORP PLC COMMON STOCK G29183103 517.00000000 NS USD 76609.06000000 0.010446485460 Long EC US N 1 N N N COLOMBIA PESO N/A FX Forward Contract: COP/USD SETTLE 2021-07-15 N/A 1.00000000 NC 5777.50000000 0.000787825483 N/A DFE CO N 2 CITIGROUP GLOBAL MARKETS N/A 450970.71000000 USD 1706022200.00000000 COP 2021-07-15 5777.50000000 N N N KKR & CO. INC. 549300JOHU21WRN2Z451 KKR & CO INC COMMON STOCK 48251W104 1289.00000000 NS USD 76360.36000000 0.010412572488 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 07/15/2028 912828Y38 1166100.00000000 PA USD 1423397.10000000 0.194095804205 Long DBT USGA US N 2 2028-07-15 Fixed 0.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 02/15/2042 912810QV3 568900.00000000 PA USD 818563.47000000 0.111620105873 Long DBT USGA US N 2 2042-02-15 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/CHF SETTLE 2021-08-05 N/A 1.00000000 NC USD 1955.43000000 0.000266644324 N/A DFE US N 2 BROWN BROTHERS N/A 426600.00000000 CHF 464005.83000000 USD 2021-08-05 1955.43000000 N N N MALAYSIAN RINGGIT N/A FX Forward Contract: MYR/USD SETTLE 2021-09-23 N/A 1.00000000 NC 163.71000000 0.000022323653 N/A DFE MY N 2 BARCLAYS CAPITAL INC. N/A 474094.57000000 USD 1970100.00000000 MYR 2021-09-23 163.71000000 N N N ARES CAPITAL CORPORATION WEQ82666OJYSI5GUAB47 ARES CAPITAL CORP COMMON STOCK 04010L103 3865.00000000 NS USD 75715.35000000 0.010324618301 Long EC US N 1 N N N ROMULUS FUNDING CORP. 5493004LX3D9U3X6GY11 ROMULUS FDG CORP COMMERCIAL PAPER (ISITC) 77619EUC2 9000000.00000000 PA USD 8998409.97000000 1.227031880067 Long ABS-APCP US Y 2 2021-07-12 None 0.00000000 N N N N N N Brookfield Infrastructure Holdings (Canada) Inc. 549300GV8LYH0T7DZO77 BROOKFIELD INFRASTUCTURE HLDG COMMERCIAL PAPER (ISITC) 11275MUL8 3500000.00000000 PA USD 3499585.85000000 0.477206908698 Long ABS-APCP US Y 2 2021-07-20 None 0.00000000 N N N N N N Magna International Inc. 95RWVLFZX6VGDZNNTN43 MAGNA INTERNATIONAL INC COMMON STOCK 559222401 2394.00000000 NS USD 221780.16000000 0.030242156958 Long EC US N 1 N N N AUTOZONE, INC. GA3JGKJ41LJKXDN23E90 AUTOZONE INC COMMON STOCK 053332102 26.00000000 NS USD 38797.72000000 0.005290494595 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES .875% 01/15/2029 9128285W6 976600.00000000 PA USD 1195049.23000000 0.162958067964 Long DBT USGA US N 2 2029-01-15 Fixed 0.87500000 N N N N N N EURO N/A FX Forward Contract: EUR/USD SETTLE 2021-08-03 N/A 1.00000000 NC -10577.02000000 -0.00144229266 N/A DFE XX N 2 BROWN BROTHERS N/A 464230.71000000 USD 382300.00000000 EUR 2021-08-03 -10577.02000000 N N N WEC ENERGY GROUP, INC. 549300IGLYTZUK3PVP70 WEC ENERGY GROUP INC COMMON STOCK 92939U106 410.00000000 NS USD 36469.50000000 0.004973016266 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/TWD SETTLE 2021-07-07 N/A 1.00000000 NC USD 13798.30000000 0.001881549523 N/A DFE US N 2 BROWN BROTHERS N/A 21809300.00000000 TWD 796686.76000000 USD 2021-07-07 13798.30000000 N N N BERKSHIRE HATHAWAY INC. 5493000C01ZX7D35SD85 BERKSHIRE HATHAWAY INC-CL B COMMON STOCK 084670702 78.00000000 NS USD 21677.76000000 0.002956000304 Long EC US N 1 N N N CORTEVA, INC. 549300WZN9I2QKLS0O94 CORTEVA INC COMMON STOCK 22052L104 1694.00000000 NS USD 75128.90000000 0.010244649412 Long EC US N 1 N N N QUEST DIAGNOSTICS INCORPORATED 8MCWUBXQ0WE04KMXBX50 QUEST DIAGNOSTICS INC COMMON STOCK 74834L100 573.00000000 NS USD 75618.81000000 0.010311454013 Long EC US N 1 N N N Federal Home Loan Banks N/A FEDERAL HOME LOAN BANK 1.375000% 02/17/2023 3130AJ7E3 19515000.00000000 PA USD 19890427.42000000 2.712277906193 Long DBT USGA US N 2 2023-02-17 Fixed 1.37500000 N N N N N N Industrial Select Sector SPDR Fund N/A INDUSTRIAL SELECT SECT SPDR MUTUAL FUND 81369Y704 2532.00000000 NS USD 259276.80000000 0.035355235027 Long EC RF US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/CHF SETTLE 2021-08-05 N/A 1.00000000 NC USD 14172.87000000 0.001932626250 N/A DFE US N 2 BROWN BROTHERS N/A 419000.00000000 CHF 467991.71000000 USD 2021-08-05 14172.87000000 N N N CNPC FINANCE (HK) LIMITED 3003002NJ625UNILOU94 CNPC FIN HONG KONG LTD DISC CO COMMERCIAL PAPER (ISITC) 12623KVJ3 13550000.00000000 PA USD 13548340.13000000 1.847464753987 Long ABS-APCP US Y 2 2021-08-18 None 0.00000000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/SEK SETTLE 2021-07-15 N/A 1.00000000 NC USD 17521.54000000 0.002389254128 N/A DFE US N 2 BROWN BROTHERS N/A 5171500.00000000 SEK 622369.01000000 USD 2021-07-15 17521.54000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2023 912828VM9 1758500.00000000 PA USD 2146632.76000000 0.292716917777 Long DBT USGA US N 2 2023-07-15 Fixed 0.37500000 N N N N N N Federal Home Loan Banks N/A FEDERAL HOME LOAN BANK 2.000000% 09/09/2022 313380GJ0 1175000.00000000 PA USD 1201539.24000000 0.163843051999 Long DBT USGA US N 2 2022-09-09 Fixed 2.00000000 N N N N N N Vanguard Long Term Corporate Bond Etf N/A VANGUARD LONG-TERM CORP BOND MUTUAL FUND 92206C813 36730.00000000 NS USD 3927906.20000000 0.535613085576 Long EC RF US N 1 N N N BRK: UBS AG N/A BRK: UBS AG PAY: 6-MONTH AUD - BBSW N/A 850000.00000000 NC 12360.03000000 0.001685425636 N/A DIR XX N 2 BRK: UBS AG N/A Y 2031-04-21 0.00000000 AUD 0.00000000 AUD -850000.00000000 AUD 12360.03000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/AUD SETTLE 2021-08-25 N/A 1.00000000 NC USD 2931.93000000 0.000399800808 N/A DFE US N 2 BROWN BROTHERS N/A 451600.00000000 AUD 341984.04000000 USD 2021-08-25 2931.93000000 N N N N/A N/A S&P/TSX 60 IX FUT SEP21 PHYSICAL INDEX FUTURE. N/A 3.00000000 NC 582895.91000000 0.079484249630 N/A DE CA N 1 MORGAN STANLEY & CO, INC N/A Long S&P/TSE 60 IX FUT Sep 2021 N/A N/A 2021-09-19 588366.39000000 CAD -5470.48000000 N N N W.P. CAREY INC. 54930042CRNE713E3Q67 WP CAREY INC REIT 92936U109 482.00000000 NS USD 35966.84000000 0.004904473062 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/MYR SETTLE 2021-09-23 N/A 1.00000000 NC USD 7547.91000000 0.001029240302 N/A DFE US N 2 BROWN BROTHERS N/A 3736800.00000000 MYR 907100.38000000 USD 2021-09-23 7547.91000000 N N N Brookfield Infrastructure Holdings (Canada) Inc. 549300GV8LYH0T7DZO77 BROOKFIELD INFRASTRUCTURE HLDG COMMERCIAL PAPER (ISITC) 11275MU79 10000000.00000000 PA USD 9999743.30000000 1.363574660689 Long ABS-APCP US Y 2 2021-07-07 None 0.00000000 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 CAMPBELL SOUP CO COMMON STOCK 134429109 815.00000000 NS USD 37155.85000000 0.005066607615 Long EC US N 1 N N N N/A N/A Credit Default Swap CDX590955 -4990000.00000000 NC USD 126036.22000000 0.017186420767 N/A DCR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2026-06-20 119679.55000000 USD 0.00000000 USD -4990000.00000000 USD 6356.67000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/MYR SETTLE 2021-09-23 N/A 1.00000000 NC USD -2162.31000000 -0.00029485468 N/A DFE US N 2 BROWN BROTHERS N/A 2893800.00000000 MYR 694456.44000000 USD 2021-09-23 -2162.31000000 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A BRK: JPMORGAN CHASE BANK, N.A. PAY: 6-MONTH-AUD BBSW N/A 1320000.00000000 NC 4227.59000000 0.000576478258 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2031-06-29 0.00000000 AUD 0.00000000 AUD -1320000.00000000 AUD 4227.59000000 N N N N/A N/A S&P/TSX 60 IX FUT SEP21 PHYSICAL INDEX FUTURE. N/A 22.00000000 NC 4274569.98000000 0.582884493652 N/A DE CA N 1 GOLDMAN, SACHS & CO. N/A Long S&P/TSE 60 IX FUT Sep 2021 N/A N/A 2021-09-19 4317250.27000000 CAD -42680.29000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/CHF SETTLE 2021-08-05 N/A 1.00000000 NC USD 11902.45000000 0.001623029585 N/A DFE US N 2 BROWN BROTHERS N/A 645100.00000000 CHF 710610.16000000 USD 2021-08-05 11902.45000000 N N N Financial Select Sector SPDR Fund N/A FINANCIAL SELECT SECTOR SPDR MUTUAL FUND 81369Y605 13108.00000000 NS USD 480932.52000000 0.065580423226 Long EC RF US N 1 N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 GENERAL MOTORS CO COMMON STOCK 37045V100 6816.00000000 NS USD 403302.72000000 0.054994748673 Long EC US N 1 N N N OGLETHORPE POWER CORP 3EERXCUSWMS9GV5D9M98 OGLETHORPE PWR CORP ELEC MEMBE COMMERCIAL PAPER (ISITC) 67705AVA9 12750000.00000000 PA USD 12747967.14000000 1.738325119546 Long ABS-APCP US Y 2 2021-08-10 None 0.00000000 N N N N N N N/A N/A S&P MID 400 EMINI SEP21 PHYSICAL INDEX FUTURE. N/A 18.00000000 NC USD 4846320.00000000 0.660848878950 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long S&P MID 400 EMINI Sep 2021 N/A N/A 2021-09-20 4899742.99000000 USD -53422.99000000 N N N THE CARLYLE GROUP INC. 529900NGGVF94UK6PG95 CARLYLE GROUP INC/THE COMMON STOCK 14316J108 1647.00000000 NS USD 76552.56000000 0.010438781066 Long EC US N 1 N N N TAIWAN DOLLAR N/A FX Forward Contract: TWD/USD SETTLE 2021-07-07 N/A 1.00000000 NC -4735.23000000 -0.00064570053 N/A DFE TW N 2 STANDARD BANK N/A 787623.69000000 USD 21809300.00000000 TWD 2021-07-07 -4735.23000000 N N N N/A N/A MSCI SING IX ETS JUL21 PHYSICAL INDEX FUTURE. N/A 44.00000000 NC 1163502.45000000 0.158656318554 N/A DE SG N 1 MORGAN STANLEY & CO, INC N/A Long MSCI SING IX ETS Jul 2021 N/A N/A 2021-08-01 1163177.55000000 SGD 324.90000000 N N N SWISS FRANC N/A FX Forward Contract: CHF/USD SETTLE 2021-08-05 N/A 1.00000000 NC -16146.67000000 -0.00220177552 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 798794.62000000 USD 722600.00000000 CHF 2021-08-05 -16146.67000000 N N N NEWMONT CORPORATION 549300VSP3RIX7FGDZ51 NEWMONT CORP COMMON STOCK 651639106 1177.00000000 NS USD 74598.26000000 0.010172290829 Long EC US N 1 N N N United States of America N/A US 5YR NOTE (CBT) SEP21 FINANCIAL COMMODITY FUTURE. N/A 278.00000000 NC USD 34313453.13000000 4.679015631213 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Sep 2021 2021-10-03 34368400.84000000 USD -54947.71000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/4% 01/15/2025 912828H45 1692000.00000000 PA USD 2064670.59000000 0.281540477063 Long DBT USGA US N 2 2025-01-15 Fixed 0.25000000 N N N N N N Carnival Corporation F1OF2ZSX47CR0BCWA982 CARNIVAL CORP COMMON STOCK 143658300 10860.00000000 NS USD 286269.60000000 0.039035999322 Long EC US N 1 N N N OMEGA HEALTHCARE INVESTORS, INC. 549300OJ7ENK42CZ8E73 OMEGA HEALTHCARE INVESTORS REIT 681936100 2037.00000000 NS USD 73922.73000000 0.010080174905 Long EC US N 1 N N N N/A N/A Credit Default Swap CDX590978 -5970000.00000000 NC USD 606779.87000000 0.082741089498 N/A DCR XX N 2 BRK: MORGAN STANLEY CAPITAL SERVICES LLC N/A Y 2026-06-20 568464.72000000 USD 0.00000000 USD -5970000.00000000 USD 38315.15000000 N N N N/A N/A S&P MID 400 EMINI SEP21 PHYSICAL INDEX FUTURE. N/A 5.00000000 NC USD 1346200.00000000 0.183569133041 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long S&P MID 400 EMINI Sep 2021 N/A N/A 2021-09-20 1361083.40000000 USD -14883.40000000 N N N PHILLIPINE PESO N/A FX Forward Contract: PHP/USD SETTLE 2021-07-22 N/A 1.00000000 NC -1232.38000000 -0.00016804852 N/A DFE PH N 2 BARCLAYS CAPITAL INC. N/A 467964.33000000 USD 22827300.00000000 PHP 2021-07-22 -1232.38000000 N N N Lyxor FTSE MIB (DR) UCITS ETF - Dist N/A LYXOR FTSE MIB DR UCITS ETF MUTUAL FUND N/A 4800.00000000 NS 139519.00000000 0.019024945678 Long EC RF IT N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/IDR SETTLE 2021-07-15 N/A 1.00000000 NC USD -414.45000000 -0.00005651480 N/A DFE US N 2 BROWN BROTHERS N/A 6675272000.00000000 IDR 458623.98000000 USD 2021-07-15 -414.45000000 N N N Invesco QQQ Trust Series 1 N/A INVESCO QQQ TRUST SERIES 1 MUTUAL FUND 46090E103 5200.00000000 NS USD 1843036.00000000 0.251318170171 Long EC RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 02/15/2045 912810RL4 838100.00000000 PA USD 1171605.80000000 0.159761299192 Long DBT USGA US N 2 2045-02-15 Fixed 0.75000000 N N N N N N N/A N/A MSCI EAFE SEP21 PHYSICAL INDEX FUTURE. N/A 196.00000000 NC USD 22571360.00000000 3.077852463802 N/A DE US N 1 CITIGROUP GLOBAL MARKETS N/A Long NYL - MSCI EAFE MINI INDEX Sep 2021 N/A N/A 2021-09-20 23154067.62000000 USD -582707.62000000 N N N JAPANESE YEN N/A FX Forward Contract: JPY/USD SETTLE 2021-08-19 N/A 1.00000000 NC -1597.98000000 -0.00021790209 N/A DFE JP N 2 UBS SECURITIES LLC N/A 916018.38000000 USD 101428700.00000000 JPY 2021-08-19 -1597.98000000 N N N MALAYSIAN RINGGIT N/A FX Forward Contract: MYR/USD SETTLE 2021-09-23 N/A 1.00000000 NC -3666.65000000 -0.00049998793 N/A DFE MY N 2 BARCLAYS CAPITAL INC. N/A 467718.06000000 USD 1927700.00000000 MYR 2021-09-23 -3666.65000000 N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 HEALTHPEAK PROPERTIES INC REIT 42250P103 1103.00000000 NS USD 36718.87000000 0.005007020600 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES .25% 07/15/29 9128287D6 1305900.00000000 PA USD 1516660.10000000 0.206813237019 Long DBT USGA US N 2 2029-07-15 Fixed 0.25000000 N N N N N N N/A N/A Credit Default Swap N/A -600000.00000000 NC 88225.91000000 0.012030570353 N/A DCR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2026-06-20 83872.40000000 EUR 0.00000000 EUR -600000.00000000 EUR 4353.51000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-1/2% 01/15/29 912810PZ5 491500.00000000 PA USD 787402.63000000 0.107370983615 Long DBT USGA US N 2 2029-01-15 Fixed 2.50000000 N N N N N N United States of America N/A US 10YR NOTE (CBT)SEP21 FINANCIAL COMMODITY FUTURE. N/A 57.00000000 NC USD 7552500.00000000 1.029866199151 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Sep 2021 2021-09-24 7527599.10000000 USD 24900.90000000 N N N Vanguard 500 Index Fund N/A VANGUARD S&P 500 ETF MUTUAL FUND 922908363 58148.00000000 NS USD 22882400.96000000 3.120266309715 Long EC RF US N 1 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 ENTERGY CORP COMMON STOCK 29364G103 712.00000000 NS USD 70986.40000000 0.009679774109 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/MYR SETTLE 2021-09-23 N/A 1.00000000 NC USD 2705.84000000 0.000368970957 N/A DFE US N 2 BROWN BROTHERS N/A 3308400.00000000 MYR 799130.43000000 USD 2021-09-23 2705.84000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/22 912828TE0 1109500.00000000 PA USD 1335283.44000000 0.182080540369 Long DBT USGA US N 2 2022-07-15 Fixed 0.12500000 N N N N N N N/A N/A OMXS30 IND FUTURE JUL21 PHYSICAL INDEX FUTURE. N/A -62.00000000 NC -1642768.19000000 -0.22400945804 N/A DE SE N 1 GOLDMAN, SACHS & CO. N/A Short OMXS30 IND FUTURE Jul 2021 N/A N/A 2021-07-19 -1699567.87000000 SEK 56799.68000000 N N N Vanguard Intermediate Term Corporate Bond Etf N/A VANGUARD INT-TERM CORPORATE MUTUAL FUND 92206C870 31173.00000000 NS USD 2963617.11000000 0.404121693322 Long EC RF US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/INR SETTLE 2021-07-15 N/A 1.00000000 NC USD -11982.08000000 -0.00163388800 N/A DFE US N 2 BROWN BROTHERS N/A 44302100.00000000 INR 583022.10000000 USD 2021-07-15 -11982.08000000 N N N LEGGETT & PLATT, INCORPORATED DKOVQUCDW4ZLYCUD4T55 LEGGETT & PLATT INC COMMON STOCK 524660107 1470.00000000 NS USD 76160.70000000 0.010385346657 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 2 1/8% 02/15/40 912810QF8 290300.00000000 PA USD 534465.79000000 0.072880271661 Long DBT USGA US N 2 2040-02-15 Fixed 2.12500000 N N N N N N NORFOLK SOUTHERN CORPORATION 54930036C8MWP850MI84 NORFOLK SOUTHERN CORP COMMON STOCK 655844108 278.00000000 NS USD 73783.98000000 0.010061254821 Long EC US N 1 N N N N/A N/A S&P500 EMINI FUT SEP21 PHYSICAL INDEX FUTURE. N/A 7.00000000 NC USD 1501010.00000000 0.204679174258 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long S&P 500 Future Sep 2021 N/A N/A 2021-09-20 1485831.76000000 USD 15178.24000000 N N N CANADIAN DOLLAR N/A FX Forward Contract: CAD/USD SETTLE 2021-07-16 N/A 1.00000000 NC -3056.88000000 -0.00041683911 N/A DFE CA N 2 BROWN BROTHERS N/A 365680.44000000 USD 449000.00000000 CAD 2021-07-16 -3056.88000000 N N N N/A N/A MSCI EMGMKT SEP21 PHYSICAL INDEX FUTURE. N/A 92.00000000 NC USD 6283600.00000000 0.856837768816 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long US MSCI Emerging Markets Equity Index Future Sep 2021 N/A N/A 2021-09-20 6273084.64000000 USD 10515.36000000 N N N PHILLIPINE PESO N/A FX Forward Contract: PHP/USD SETTLE 2021-07-22 N/A 1.00000000 NC -10192.46000000 -0.00138985369 N/A DFE PH N 2 BARCLAYS CAPITAL INC. N/A 486912.39000000 USD 23315800.00000000 PHP 2021-07-22 -10192.46000000 N N N NETFLIX, INC. 549300Y7VHGU0I7CE873 NETFLIX INC COMMON STOCK 64110L106 137.00000000 NS USD 72364.77000000 0.009867729974 Long EC US N 1 N N N United States of America N/A US 10YR NOTE (CBT)SEP21 FINANCIAL COMMODITY FUTURE. N/A 191.00000000 NC USD 25307500.00000000 3.450955158558 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Sep 2021 2021-09-24 25183370.58000000 USD 124129.42000000 N N N NEWELL BRANDS INC. 549300LWGYFM1TVO1Z12 NEWELL BRANDS INC COMMON STOCK 651229106 2795.00000000 NS USD 76778.65000000 0.010469610917 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/2% 01/15/2028 9128283R9 1472800.00000000 PA USD 1787568.39000000 0.243754553264 Long DBT USGA US N 2 2028-01-15 Fixed 0.50000000 N N N N N N PHILLIPINE PESO N/A FX Forward Contract: PHP/USD SETTLE 2021-07-22 N/A 1.00000000 NC 727.16000000 0.000099156240 N/A DFE PH N 2 BARCLAYS CAPITAL INC. N/A 621768.17000000 USD 30445500.00000000 PHP 2021-07-22 727.16000000 N N N KOREAN WON N/A FX Forward Contract: KRW/USD SETTLE 2021-07-22 N/A 1.00000000 NC 1394.14000000 0.000190106277 N/A DFE KR N 2 BARCLAYS CAPITAL INC. N/A 466113.44000000 USD 527761000.00000000 KRW 2021-07-22 1394.14000000 N N N BRK: UBS AG N/A BRK: UBS AG PAY: 6-MONTH-AUD BBSW N/A 1230000.00000000 NC 19759.17000000 0.002694379517 N/A DIR XX N 2 BRK: UBS AG N/A Y 2031-05-20 0.00000000 AUD 0.00000000 AUD -1230000.00000000 AUD 19759.17000000 N N N BRK: DEUTSCHE BANK AG LONDON N/A BRK: DEUTSCHE BANK AG LONDON PAY: 3-MONTH NZD - BKBM N/A 770000.00000000 NC -1448.50000000 -0.00019751885 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG LONDON N/A Y 2031-04-22 0.00000000 NZD 0.00000000 NZD -770000.00000000 NZD -1448.50000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/RUB SETTLE 2021-07-28 N/A 1.00000000 NC USD -3877.28000000 -0.00052870964 N/A DFE US N 2 BROWN BROTHERS N/A 25715800.00000000 RUB 346807.82000000 USD 2021-07-28 -3877.28000000 N N N Japan 353800WZS8AXZXFUC241 Japanese Government CPI Linked Bond .100000% 03/10/2027 N/A 1083000000.00000000 PA 10178120.69000000 1.387898373983 Long DBT USGA JP N 2 2027-03-10 Fixed 0.10000000 N N N N N N AMCOR PLC 549300GSODGFCDQ3DI89 AMCOR PLC COMMON STOCK G0250X107 6446.00000000 NS USD 73871.16000000 0.010073142770 Long EC US N 1 N N N SWISS FRANC N/A FX Forward Contract: CHF/USD SETTLE 2021-08-05 N/A 1.00000000 NC -21289.35000000 -0.00290303634 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 779567.56000000 USD 700100.00000000 CHF 2021-08-05 -21289.35000000 N N N N/A N/A EURO STOXX 50 SEP21 PHYSICAL INDEX FUTURE. N/A 18.00000000 NC 865696.60000000 0.118047225032 N/A DE DE N 1 GOLDMAN, SACHS & CO. N/A Long DJ EURO STOXX 50 FUTR Sep 2021 N/A N/A 2021-09-20 879292.13000000 EUR -13595.53000000 N N N Vanguard Small-Cap Index Fund N/A VANGUARD SMALL-CAP ETF MUTUAL FUND 922908751 4449.00000000 NS USD 1002270.72000000 0.136670604028 Long EC RF US N 1 N N N BRK: CITIBANK, N.A. N/A BRK: CITIBANK, N.A. PAY: 3M NZD BKBM N/A 2230000.00000000 NC -5690.48000000 -0.00077595935 N/A DIR XX N 2 BRK: CITIBANK, N.A. N/A Y 2031-05-04 0.00000000 NZD 0.00000000 NZD -2230000.00000000 NZD -5690.48000000 N N N THE COCA-COLA COMPANY UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE COMMON STOCK 191216100 683.00000000 NS USD 36957.13000000 0.005039509964 Long EC US N 1 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A BRK: JPMORGAN CHASE BANK, N.A. PAY: 6M AUD BBSW N/A 2550000.00000000 NC 27317.70000000 0.003725067973 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2031-05-07 0.00000000 AUD 0.00000000 AUD -2550000.00000000 AUD 27317.70000000 N N N SOUTH AFRICAN RAND N/A FX Forward Contract: ZAR/USD SETTLE 2021-09-16 N/A 1.00000000 NC -27.01000000 -0.00000368310 N/A DFE ZA N 2 BROWN BROTHERS N/A 762.23000000 USD 10600.00000000 ZAR 2021-09-16 -27.01000000 N N N BRAZILIAN REAL N/A FX Forward Contract: BRL/USD SETTLE 2021-08-03 N/A 1.00000000 NC -9144.19000000 -0.00124691058 N/A DFE BR N 2 DEUTSCHE BANK SECURITIES, INC. N/A 576632.03000000 USD 2857500.00000000 BRL 2021-08-03 -9144.19000000 N N N Takeda Pharmaceutical Company Limited 549300ZLMVP4X0OGR454 TAKEDA PHARMACEUTIC-SP ADR DEPOSITARY RECEIPT 874060205 4459.00000000 NS USD 75044.97000000 0.010233204636 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 2% 01/15/26 912810FS2 433700.00000000 PA USD 686511.94000000 0.093613431621 Long DBT USGA US N 2 2026-01-15 Fixed 2.00000000 N N N N N N iShares MSCI Hong Kong Index Fund N/A ISHARES MSCI HONG KONG ETF MUTUAL FUND 464286871 17953.00000000 NS USD 479704.16000000 0.065412922870 Long EC RF US N 1 N N N FX/JPY/USDVARSWAP N/A FX/JPY/USDVARSWAP STRIKE 7.85 FV1083449 38000.00000000 NC USD -5608.85000000 -0.00076482820 N/A DFE US N 3 UBS SECURITIES LLC N/A Call Purchased N/A N/A 38000.00000000 7.85000000 USD 2021-09-30 XXXX -5608.85000000 N N N The Bank of New York Mellon Corporation WFLLPEPC7FZXENRZV188 BANK OF NEW YORK MELLON CORP COMMON STOCK 064058100 1507.00000000 NS USD 77203.61000000 0.010527558873 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 1.000000% 02/15/2049 912810SG4 372200.00000000 PA USD 531533.33000000 0.072480398581 Long DBT USGA US N 2 2049-02-15 Fixed 1.00000000 N N N N N N CANADIAN DOLLAR N/A FX Forward Contract: CAD/USD SETTLE 2021-07-16 N/A 1.00000000 NC -162.51000000 -0.00002216002 N/A DFE CA N 2 BROWN BROTHERS N/A 624375.75000000 USD 772900.00000000 CAD 2021-07-16 -162.51000000 N N N BRK: JPMORGAN CHASE BANK, N.A. N/A BRK: JPMORGAN CHASE BANK, N.A. PAY: 6-MONTH AUD - BBSW N/A 950000.00000000 NC 498.79000000 0.000068015486 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK, N.A. N/A Y 2031-06-24 0.00000000 AUD 0.00000000 AUD -950000.00000000 AUD 498.79000000 N N N BIOMARIN PHARMACEUTICAL INC. NSLL8ITTRR0J5HEMR848 BIOMARIN PHARMACEUTICAL INC COMMON STOCK 09061G101 903.00000000 NS USD 75346.32000000 0.010274297014 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 10/15/2024 9128282L3 1996600.00000000 PA USD 2239580.80000000 0.305391402341 Long DBT USGA US N 2 2024-10-15 Fixed 0.12500000 N N N N N N VIATRIS INC. 254900ZZTSW7NL773X71 VIATRIS INC COMMON STOCK 92556V106 316.00000000 NS USD 4515.64000000 0.000615757034 Long EC US N 1 N N N United States of America N/A US 2YR NOTE (CBT) SEP21 FINANCIAL COMMODITY FUTURE. N/A 69.00000000 NC USD 15202101.56000000 2.072973260868 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Sep 2021 2021-10-03 15227313.65000000 USD -25212.09000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/GBP SETTLE 2021-08-26 N/A 1.00000000 NC USD 4457.78000000 0.000607867189 N/A DFE US N 2 BROWN BROTHERS N/A 329800.00000000 GBP 460031.09000000 USD 2021-08-26 4457.78000000 N N N EMERSON ELECTRIC CO. FGLT0EWZSUIRRITFOA30 EMERSON ELECTRIC CO COMMON STOCK 291011104 783.00000000 NS USD 75355.92000000 0.010275606079 Long EC US N 1 N N N BRK: UBS AG N/A BRK: UBS AG PAY: 3-MONTH NZD - BKBM N/A 640000.00000000 NC -35520.05000000 -0.00484354834 N/A DIR XX N 2 BRK: UBS AG N/A Y 2030-12-18 0.00000000 NZD 0.00000000 NZD -640000.00000000 NZD -35520.05000000 N N N INTESA SANPAOLO FUNDING LLC N/A INTESA FDG LLC COMMERCIAL PAPER (ISITC) 4611K0VG9 13250000.00000000 PA USD 13241523.71000000 1.805626970431 Long ABS-APCP US N 2 2021-08-16 None 0.00000000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/ILS SETTLE 2021-09-30 N/A 1.00000000 NC USD -1557.24000000 -0.00021234675 N/A DFE US N 2 BROWN BROTHERS N/A 1518900.00000000 ILS 465338.71000000 USD 2021-09-30 -1557.24000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/2026 912828S50 1237500.00000000 PA USD 1509491.21000000 0.205835680250 Long DBT USGA US N 2 2026-07-15 Fixed 0.12500000 N N N N N N WisdomTree Japan Hedged Equity Fund N/A WISDOMTREE JAPAN HEDGED EQ MUTUAL FUND 97717W851 3982.00000000 NS USD 242981.64000000 0.033133211261 Long EC RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 01/15/2031 91282CBF7 1698300.00000000 PA USD 1917180.46000000 0.261428580394 Long DBT USGA US N 2 2031-01-15 Fixed 0.12500000 N N N N N N EURO N/A FX Forward Contract: EUR/USD SETTLE 2021-08-03 N/A 1.00000000 NC -5861.84000000 -0.00079932616 N/A DFE XX N 2 BROWN BROTHERS N/A 228238.77000000 USD 187400.00000000 EUR 2021-08-03 -5861.84000000 N N N NEW RUSSIAN ROUBLE N/A FX Forward Contract: RUB/USD SETTLE 2021-07-28 N/A 1.00000000 NC 8630.57000000 0.001176872866 N/A DFE RU N 2 BANK OF AMERICA N/A 695607.49000000 USD 51641900.00000000 RUB 2021-07-28 8630.57000000 N N N MAGELLAN MIDSTREAM PARTNERS, L.P. MZF5TI8NFVZZNUSKDL39 MAGELLAN MIDSTREAM PARTNERS PARTNERSHIP SHARES 559080106 1450.00000000 NS USD 70919.50000000 0.009670651560 Long EC US N 1 N N N HARLEY-DAVIDSON FINANCIAL SERVICES, INC. RLUFFFFW4GRYU77BTS24 HARLEY-DAVIDSON FDG CORP COMMERCIAL PAPER (ISITC) 41282JV40 5000000.00000000 PA USD 4998493.05000000 0.681599343116 Long ABS-APCP US Y 2 2021-08-04 None 0.00000000 N N N N N N CANADIAN DOLLAR N/A FX Forward Contract: CAD/USD SETTLE 2021-07-16 N/A 1.00000000 NC 3152.89000000 0.000429931127 N/A DFE CA N 2 BROWN BROTHERS N/A 260132.81000000 USD 326000.00000000 CAD 2021-07-16 3152.89000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/CAD SETTLE 2021-07-16 N/A 1.00000000 NC USD 732.76000000 0.000099919861 N/A DFE US N 2 BROWN BROTHERS N/A 384000.00000000 CAD 310860.70000000 USD 2021-07-16 732.76000000 N N N CANADIAN DOLLAR N/A FX Forward Contract: CAD/USD SETTLE 2021-07-16 N/A 1.00000000 NC -3469.92000000 -0.00047316164 N/A DFE CA N 2 BROWN BROTHERS N/A 467531.16000000 USD 574600.00000000 CAD 2021-07-16 -3469.92000000 N N N Evergy, Inc. 549300PGTHDQY6PSUI61 EVERGY INC COMMON STOCK 30034W106 1170.00000000 NS USD 70703.10000000 0.009641143047 Long EC US N 1 N N N SOUTHWEST AIRLINES CO. UDTZ87G0STFETI6HGH41 SOUTHWEST AIRLINES CO COMMON STOCK 844741108 2147.00000000 NS USD 113984.23000000 0.015542999763 Long EC US N 1 N N N CANADIAN DOLLAR N/A FX Forward Contract: CAD/USD SETTLE 2021-07-16 N/A 1.00000000 NC -1824.25000000 -0.00024875649 N/A DFE CA N 2 BROWN BROTHERS N/A 213421.96000000 USD 262000.00000000 CAD 2021-07-16 -1824.25000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/TWD SETTLE 2021-07-22 N/A 1.00000000 NC USD -5230.68000000 -0.00071326058 N/A DFE US N 2 BROWN BROTHERS N/A 20298100.00000000 TWD 723691.53000000 USD 2021-07-22 -5230.68000000 N N N ARCHER-DANIELS-MIDLAND COMPANY 549300LO13MQ9HYSTR83 ARCHER-DANIELS-MIDLAND CO COMMON STOCK 039483102 1196.00000000 NS USD 72477.60000000 0.009883115582 Long EC US N 1 N N N KOREAN WON N/A FX Forward Contract: KRW/USD SETTLE 2021-07-22 N/A 1.00000000 NC -27080.58000000 -0.00369273406 N/A DFE KR N 2 BARCLAYS CAPITAL INC. N/A 2393536.39000000 USD 2671449900.00000000 KRW 2021-07-22 -27080.58000000 N N N THE WALT DISNEY COMPANY 549300GZKULIZ0WOW665 WALT DISNEY CO/THE COMMON STOCK 254687106 2650.00000000 NS USD 465790.50000000 0.063515642745 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/INR SETTLE 2021-07-15 N/A 1.00000000 NC USD 231.34000000 0.000031545745 N/A DFE US N 2 BROWN BROTHERS N/A 34844700.00000000 INR 468216.88000000 USD 2021-07-15 231.34000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/KRW SETTLE 2021-07-22 N/A 1.00000000 NC USD 522.00000000 0.000071180424 N/A DFE US N 2 BROWN BROTHERS N/A 261083700.00000000 KRW 231798.30000000 USD 2021-07-22 522.00000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/EUR SETTLE 2021-08-03 N/A 1.00000000 NC USD 17936.46000000 0.002445833020 N/A DFE US N 2 BROWN BROTHERS N/A 573200.00000000 EUR 698120.34000000 USD 2021-08-03 17936.46000000 N N N THE HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 HERSHEY CO/THE COMMON STOCK 427866108 431.00000000 NS USD 75071.58000000 0.010236833202 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-3/8% 01/15/25 912810FR4 797500.00000000 PA USD 1312895.58000000 0.179027710143 Long DBT USGA US N 2 2025-01-15 Fixed 2.37500000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/HKD SETTLE 2021-08-13 N/A 1.00000000 NC USD 11356.51000000 0.001548584679 N/A DFE US N 2 BROWN BROTHERS N/A 57660100.00000000 HKD 7437229.94000000 USD 2021-08-13 11356.51000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 01/15/2023 912828UH1 1606500.00000000 PA USD 1941913.24000000 0.264801166178 Long DBT USGA US N 2 2023-01-15 Fixed 0.12500000 N N N N N N N/A N/A E-MINI RUSS 2000 SEP21 PHYSICAL INDEX FUTURE. N/A 39.00000000 NC USD 4500210.00000000 0.613652984850 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long Russell 2000 E-mini Composite Index Futures Sep 2021 N/A N/A 2021-09-20 4524175.57000000 USD -23965.57000000 N N N CAESARS ENTERTAINMENT, INC. 549300FA4CTCW903Y781 CAESARS ENTERTAINMENT INC COMMON STOCK 12769G100 2211.00000000 NS USD 229391.25000000 0.031280012546 Long EC US N 1 N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 CARRIER GLOBAL CORP COMMON STOCK 14448C104 1602.00000000 NS USD 77857.20000000 0.010616683037 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 02/15/2051 912828S50 388000.00000000 PA USD 436863.41000000 0.059571116796 Long DBT USGA US N 2 2051-02-15 Fixed 0.12500000 N N N N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 PUBLIC STORAGE REIT 74460D109 244.00000000 NS USD 73368.36000000 0.010004580476 Long EC US N 1 N N N S&P GLOBAL INC. Y6X4K52KMJMZE7I7MY94 S&P GLOBAL INC COMMON STOCK 78409V104 186.00000000 NS USD 76343.70000000 0.010410300714 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-7/8% 04/15/29 912810FH6 601400.00000000 PA USD 1373713.26000000 0.187320867765 Long DBT USGA US N 2 2029-04-15 Fixed 3.87500000 N N N N N N WORLD WRESTLING ENTERTAINMENT, INC. 549300WZVLSCS3L4L698 WORLD WRESTLING ENTERTAIN-A COMMON STOCK 98156Q108 20246.00000000 NS USD 1172040.94000000 0.159820635303 Long EC US N 1 N N N SERVICE CORPORATION INTERNATIONAL 549300RKVM2ME20JHZ15 SERVICE CORP INTERNATIONAL COMMON STOCK 817565104 1408.00000000 NS USD 75454.72000000 0.010289078542 Long EC US N 1 N N N N/A N/A FTSE 100 IDX FUT SEP21 PHYSICAL INDEX FUTURE. N/A 17.00000000 NC 1639339.39000000 0.223541903568 N/A DE GB N 1 GOLDMAN, SACHS & CO. N/A Long FTSE 100 IDX FUT Sep 2021 N/A N/A 2021-09-20 1700379.11000000 GBP -61039.72000000 N N N INDONESIA RUPIAH N/A FX Forward Contract: IDR/USD SETTLE 2021-07-15 N/A 1.00000000 NC -8711.38000000 -0.00118789219 N/A DFE ID N 2 STANDARD BANK N/A 471175.11000000 USD 6725082300.00000000 IDR 2021-07-15 -8711.38000000 N N N FACEBOOK, INC. BQ4BKCS1HXDV9HN80Z93 FACEBOOK INC-CLASS A COMMON STOCK 30303M102 1034.00000000 NS USD 359532.14000000 0.049026150082 Long EC US N 1 N N N N/A N/A NASDAQ 100 E-MINI SEP21 PHYSICAL INDEX FUTURE. N/A 24.00000000 NC USD 6983520.00000000 0.952279536457 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long NASDAQ 100 E-MINI Sep 2021 N/A N/A 2021-09-20 6790830.64000000 USD 192689.36000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/JPY SETTLE 2021-08-19 N/A 1.00000000 NC USD 530259.60000000 0.072306711528 N/A DFE US N 2 BROWN BROTHERS N/A 3151371943.00000000 JPY 28941141.37000000 USD 2021-08-19 530259.60000000 N N N N/A N/A Credit Default Swap N/A -838661.00000000 NC 125209.84000000 0.017073734792 N/A DCR XX N 2 BRK: DEUTSCHE BANK AG LONDON N/A Y 2025-12-20 93403.21000000 EUR 0.00000000 EUR -838661.00000000 EUR 31806.63000000 N N N Ishares S&P 500 N/A ISHARES CORE S&P 500 ETF MUTUAL FUND 464287200 25289.00000000 NS USD 10872246.88000000 1.482550092093 Long EC RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/4% 07/15/2024 912828WU0 1509800.00000000 PA USD 1825897.66000000 0.248981169565 Long DBT USGA US N 2 2024-07-15 Fixed 0.12500000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/CHF SETTLE 2021-08-05 N/A 1.00000000 NC USD 8551.84000000 0.001166137167 N/A DFE US N 2 BROWN BROTHERS N/A 429100.00000000 CHF 473309.99000000 USD 2021-08-05 8551.84000000 N N N MALAYSIAN RINGGIT N/A FX Forward Contract: CNY/USD SETTLE 2021-09-16 N/A 1.00000000 NC 1565.70000000 0.000213500365 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 688550.02000000 USD 4483700.00000000 CNY 2021-09-16 1565.70000000 N N N KOREAN WON N/A FX Forward Contract: KRW/USD SETTLE 2021-07-22 N/A 1.00000000 NC -1094.82000000 -0.00014929071 N/A DFE KR N 2 BARCLAYS CAPITAL INC. N/A 1400910.46000000 USD 1580227000.00000000 KRW 2021-07-22 -1094.82000000 N N N HUNTINGTON INGALLS INDUSTRIES, INC. 5TZLZ6WJTBVJ0QWBG121 HUNTINGTON INGALLS INDUSTRIE COMMON STOCK 446413106 348.00000000 NS USD 73341.00000000 0.010000849640 Long EC US N 1 N N N CHILEAN PESO N/A FX Forward Contract: CLP/USD SETTLE 2021-07-15 N/A 1.00000000 NC 891.95000000 0.000121627164 N/A DFE CL N 2 CITIGROUP GLOBAL MARKETS N/A 233268.09000000 USD 170542300.00000000 CLP 2021-07-15 891.95000000 N N N PHILLIPINE PESO N/A FX Forward Contract: PHP/USD SETTLE 2021-07-22 N/A 1.00000000 NC -6122.73000000 -0.00083490138 N/A DFE PH N 2 BARCLAYS CAPITAL INC. N/A 969736.63000000 USD 47129200.00000000 PHP 2021-07-22 -6122.73000000 N N N United Kingdom of Great Britain and Northern Ireland N/A LONG GILT FUTURE SEP21 FINANCIAL COMMODITY FUTURE. N/A 38.00000000 NC 6724595.24000000 0.916972305944 N/A DIR GB N 1 CITIGROUP GLOBAL MARKETS N/A Long U.K. Gilt Futures U.K. Long Gilt Future Sep 2021 2021-10-01 6818264.35000000 GBP -93669.11000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-3/4% 01/15/28 912810PV4 624400.00000000 PA USD 961873.72000000 0.131162030066 Long DBT USGA US N 2 2028-01-15 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/MYR SETTLE 2021-09-23 N/A 1.00000000 NC USD -2650.98000000 -0.00036149019 N/A DFE US N 2 BROWN BROTHERS N/A 1963100.00000000 MYR 469922.20000000 USD 2021-09-23 -2650.98000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/CHF SETTLE 2021-08-05 N/A 1.00000000 NC USD 21810.02000000 0.002974035405 N/A DFE US N 2 BROWN BROTHERS N/A 629500.00000000 CHF 703621.38000000 USD 2021-08-05 21810.02000000 N N N EURO N/A FX Forward Contract: EUR/USD SETTLE 2021-08-03 N/A 1.00000000 NC -24069.48000000 -0.00328213755 N/A DFE XX N 2 BROWN BROTHERS N/A 762946.62000000 USD 622661.59000000 EUR 2021-08-03 -24069.48000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/EUR SETTLE 2021-08-03 N/A 1.00000000 NC USD 12687.84000000 0.001730126124 N/A DFE US N 2 BROWN BROTHERS N/A 382800.00000000 EUR 466934.85000000 USD 2021-08-03 12687.84000000 N N N FMC CORPORATION CKDHZ2X64EEBQCSP7013 FMC CORP COMMON STOCK 302491303 647.00000000 NS USD 70005.40000000 0.009546004001 Long EC US N 1 N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 GENERAL MTRS FINL CO INC COMMERCIAL PAPER (ISITC) 37046TU10 6000000.00000000 PA USD 5999958.18000000 0.818160096114 Long ABS-APCP US Y 2 2021-07-01 None 0.00000000 N N N N N N FX/JPY/USDVARSWAP N/A FX/JPY/USDVARSWAP STRIKE 6.85 FV1148989 35000.00000000 NC USD -2087.33000000 -0.00028463033 N/A DFE US N 3 CITIGROUP GLOBAL MARKETS N/A Call Purchased N/A N/A 35000.00000000 6.85000000 USD 2022-04-19 XXXX -2087.33000000 N N N N/A N/A HANG SENG IDX FUT JUL21 PHYSICAL INDEX FUTURE. N/A 6.00000000 NC 1105996.12000000 0.150814699818 N/A DE HK N 1 MORGAN STANLEY & CO, INC N/A Long HANG SENG IDX FUT Jul 2021 N/A N/A 2021-08-01 1125655.80000000 HKD -19659.68000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/EUR SETTLE 2021-08-03 N/A 1.00000000 NC USD 13638.99000000 0.001859825857 N/A DFE US N 2 BROWN BROTHERS N/A 382100.00000000 EUR 467055.35000000 USD 2021-08-03 13638.99000000 N N N COLGATE-PALMOLIVE COMPANY YMEGZFW4SBUSS5BQXF88 COLGATE-PALMOLIVE CO COMMON STOCK 194162103 910.00000000 NS USD 74028.50000000 0.010094597805 Long EC US N 1 N N N N/A N/A SPI 200 FUTURES SEP21 PHYSICAL INDEX FUTURE. N/A 39.00000000 NC 5287105.86000000 0.720954864819 N/A DE AU N 1 GOLDMAN SACHS & CO N/A Long SPI 200 Future Sep 2021 N/A N/A 2021-09-19 5472313.60000000 AUD -185207.74000000 N N N CINCINNATI FINANCIAL CORPORATION 254900Q4WEDMZBOZ0002 CINCINNATI FINANCIAL CORP COMMON STOCK 172062101 638.00000000 NS USD 74403.56000000 0.010145741349 Long EC US N 1 N N N HUMANA INC. 529900YLDW34GJAO4J06 HUMANA INC COMMERCIAL PAPER (ISITC) 44486HVS9 12000000.00000000 PA USD 11994072.00000000 1.635523249650 Long ABS-APCP US Y 2 2021-08-26 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 1% 02/15/48 912810SB5 430700.00000000 PA USD 621725.63000000 0.084779107776 Long DBT USGA US N 2 2048-02-15 Fixed 1.00000000 N N N N N N BRAZILIAN REAL N/A FX Forward Contract: BRL/USD SETTLE 2021-07-02 N/A 1.00000000 NC 46513.69000000 0.006342651721 N/A DFE BR N 2 DEUTSCHE BANK SECURITIES, INC. N/A 755702.40000000 USD 4025400.00000000 BRL 2021-07-02 46513.69000000 N N N CSX Corporation 549300JVQR4N1MMP3Q88 CSX CORP COMMON STOCK 126408103 2310.00000000 NS USD 74104.80000000 0.010105002146 Long EC US N 1 N N N NEW RUSSIAN ROUBLE N/A FX Forward Contract: RUB/USD SETTLE 2021-07-28 N/A 1.00000000 NC 16082.22000000 0.002192987061 N/A DFE RU N 2 BANK OF AMERICA N/A 1221040.16000000 USD 90718400.00000000 RUB 2021-07-28 16082.22000000 N N N INDIA RUPEE N/A FX Forward Contract: INR/USD SETTLE 2021-07-15 N/A 1.00000000 NC -7074.64000000 -0.00096470474 N/A DFE IN N 2 STANDARD BANK N/A 347994.53000000 USD 25383800.00000000 INR 2021-07-15 -7074.64000000 N N N AUSTRALIAN DOLLAR N/A FX Forward Contract: AUD/USD SETTLE 2021-08-25 N/A 1.00000000 NC -7078.06000000 -0.00096517110 N/A DFE AU N 2 BROWN BROTHERS N/A 346130.17000000 USD 451600.00000000 AUD 2021-08-25 -7078.06000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/CAD SETTLE 2021-07-16 N/A 1.00000000 NC USD 1151.00000000 0.000156951472 N/A DFE US N 2 BROWN BROTHERS N/A 78000.00000000 CAD 64145.74000000 USD 2021-07-16 1151.00000000 N N N VW CREDIT, INC. 549300UUPJ2NXDB68M19 VW CREDIT INC COMMERCIAL PAPER (ISITC) 91842JVR7 13300000.00000000 PA USD 13296379.47000000 1.813107154881 Long ABS-APCP US Y 2 2021-08-25 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 TREASURY BILL 0.000000% 07/22/2021 912796C49 36914000.00000000 PA USD 36912973.42000000 5.033488730277 Long DBT UST US N 2 2021-07-22 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 01/15/2024 912828B25 1510700.00000000 PA USD 1862096.61000000 0.253917293372 Long DBT USGA US N 2 2024-01-15 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A FX Forward Contract: USD/EUR SETTLE 2021-08-03 N/A 1.00000000 NC USD 6586.36000000 0.000898122415 N/A DFE US N 2 BROWN BROTHERS N/A 190700.00000000 EUR 232879.22000000 USD 2021-08-03 6586.36000000 N N N SOUTH AFRICAN RAND N/A FX Forward Contract: ZAR/USD SETTLE 2021-09-16 N/A 1.00000000 NC -523.82000000 -0.00007142860 N/A DFE ZA N 2 BROWN BROTHERS N/A 228898.62000000 USD 3292600.00000000 ZAR 2021-09-16 -523.82000000 N N N N/A N/A AUST 10YR BND FUTR SEP 21 N/A 25.00000000 NC 2649943.51000000 0.361348858074 N/A DIR AU N 1 GOLDMAN SACHS & CO N/A Long Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Sep 2021 2021-09-17 2716881.17000000 AUD -66937.66000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/JPY SETTLE 2021-08-19 N/A 1.00000000 NC USD 17154.83000000 0.002339249198 N/A DFE US N 2 BROWN BROTHERS N/A 101428700.00000000 JPY 931575.23000000 USD 2021-08-19 17154.83000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 01/15/2030 912828Z37 1655900.00000000 PA USD 1886601.22000000 0.257258765674 Long DBT USGA US N 2 2030-01-15 Fixed 0.12500000 N N N N N N CORNING INCORPORATED 549300X2937PB0CJ7I56 CORNING INC COMMON STOCK 219350105 1876.00000000 NS USD 76728.40000000 0.010462758778 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES .125 07/15/2030 912828ZZ6 1715900.00000000 PA USD 1971482.83000000 0.268833304048 Long DBT USGA US N 2 2030-07-15 Fixed 0.12500000 N N N N N N CANADIAN DOLLAR N/A FX Forward Contract: CAD/USD SETTLE 2021-07-16 N/A 1.00000000 NC -12058.94000000 -0.00164436871 N/A DFE CA N 2 BROWN BROTHERS N/A 468851.55000000 USD 565600.00000000 CAD 2021-07-16 -12058.94000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/EUR SETTLE 2021-08-03 N/A 1.00000000 NC USD 1637.92000000 0.000223348354 N/A DFE US N 2 BROWN BROTHERS N/A 390000.00000000 EUR 464428.77000000 USD 2021-08-03 1637.92000000 N N N CONSOLIDATED EDISON, INC. 54930033SBW53OO8T749 CONSOLIDATED EDISON INC COMMON STOCK 209115104 493.00000000 NS USD 35357.96000000 0.004821445597 Long EC US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/BRL SETTLE 2021-07-02 N/A 1.00000000 NC USD -1334.67000000 -0.00018199689 N/A DFE US N 2 BROWN BROTHERS N/A 1167900.00000000 BRL 231414.42000000 USD 2021-07-02 -1334.67000000 N N N U.S. DOLLARS N/A FX Forward Contract: USD/CAD SETTLE 2021-07-16 N/A 1.00000000 NC USD -13658.93000000 -0.00186254489 N/A DFE US N 2 BROWN BROTHERS N/A 1338500.00000000 CAD 1067346.92000000 USD 2021-07-16 -13658.93000000 N N N ABB Ltd 5493000LKVGOO9PELI61 ABB LTD-SPON ADR DEPOSITARY RECEIPT 000375204 2203.00000000 NS USD 74879.97000000 0.010210705077 Long EC US N 1 N N N VIATRIS INC. 254900ZZTSW7NL773X71 VIATRIS INC COMMERCIAL PAPER (ISITC) 92557MVG7 6000000.00000000 PA USD 5996968.50000000 0.817752420459 Long ABS-APCP US Y 2 2021-08-16 None 0.00000000 N N N N N N NORWEGIAN CRUISE LINE HOLDINGS LTD. N/A NORWEGIAN CRUISE LINE HOLDIN COMMON STOCK G66721104 18661.00000000 NS USD 548820.01000000 0.074837626973 Long EC US N 1 N N N Materials Select Sector SPDR N/A MATERIALS SELECT SECTOR SPDR MUTUAL FUND 81369Y100 9217.00000000 NS USD 758651.27000000 0.103450420379 Long EC RF US N 1 N N N U.S. DOLLARS N/A FX Forward Contract: USD/TWD SETTLE 2021-07-22 N/A 1.00000000 NC USD 144.04000000 0.000019641433 N/A DFE US N 2 BROWN BROTHERS N/A 19489500.00000000 TWD 700028.73000000 USD 2021-07-22 144.04000000 N N N N/A N/A Credit Default Swap CD1085115 -3770000.00000000 NC USD 380367.20000000 0.051867238999 N/A DCR XX N 2 BRK: BARCLAYS BANK PLC N/A Y 2025-12-20 308778.09000000 USD 0.00000000 USD -3770000.00000000 USD 71589.11000000 N N N BRK: DEUTSCHE BANK AG LONDON N/A BRK: DEUTSCHE BANK AG LONDON PAY: 3-MONTH NZD - BKBM N/A 1240000.00000000 NC 10358.90000000 0.001412549615 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG LONDON N/A Y 2031-05-21 0.00000000 NZD 0.00000000 NZD -1240000.00000000 NZD 10358.90000000 N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 PHILIP MORRIS INTERNATIONAL COMMON STOCK 718172109 742.00000000 NS USD 73539.62000000 0.010027933655 Long EC US N 1 N N N N/A N/A S&P500 EMINI FUT SEP21 PHYSICAL INDEX FUTURE. N/A -4.00000000 NC USD -857720.00000000 -0.11695952814 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Short S&P 500 Future Sep 2021 N/A N/A 2021-09-20 -842917.40000000 USD -14802.60000000 N N N N/A N/A CAC40 10 EURO FUT JUL21 PHYSICAL INDEX FUTURE. N/A 11.00000000 NC 848572.17000000 0.115712121207 N/A DE FR N 1 GOLDMAN, SACHS & CO. N/A Long CAC40 10 EURO FUT Jul 2021 N/A N/A 2021-07-19 878117.04000000 EUR -29544.87000000 N N N BANQUE CANADIENNE IMPERIALE DE COMMERCE 2IGI19DL77OX0HC3ZE78 CAN IMPERIAL BK OF COMMERCE COMMON STOCK 136069101 630.00000000 NS USD 71731.80000000 0.009781417573 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 02/15/2043 912810RA8 564100.00000000 PA USD 782232.42000000 0.106665968783 Long DBT USGA US N 2 2043-02-15 Fixed 0.62500000 N N N N N N 2021-06-30 SEI INSTITUTIONAL MANAGED TRUST Peter Rodriguez Peter Rodriguez CFO XXXX