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 2022-09-30 2022-06-30 N 676496421.45 2543990.31 673952431.14 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 349207448.47000000 USD N INDONESIA RUPIAH N/A N/A 1.00000000 NC -30109.03000000 -0.00446753043 N/A DFE ID N 2 GOLDMAN, SACHS & CO. N/A 934129.45000000 USD 13510183500.00000000 IDR 2022-07-28 -30109.03000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5490.30000000 0.000814642064 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 20209282.00000000 THB 578333.39000000 USD 2022-08-10 5490.30000000 N N N CARDINAL HEALTH, INC. CCU46N3GJMF4OK4N7U60 14149Y108 772.00000000 NS USD 40352.44000000 0.005987431476 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -865.41000000 -0.00012840817 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 55338000.00000000 PHP 1004684.10000000 USD 2022-07-28 -865.41000000 N N N INVITATION HOMES INC. 984500FE452E665C9F85 46187W107 789.00000000 NS USD 28072.62000000 0.004165371130 Long EC US N 1 N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953101 4455.00000000 NS USD 128972.25000000 0.019136699274 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 63643.29000000 0.009443291107 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4608600.00000000 BRL 943534.52000000 USD 2022-07-05 63643.29000000 N N N EXTRA SPACE STORAGE INC. N/A 30225T102 246.00000000 NS USD 41849.52000000 0.006209565848 Long EC US N 1 N N N KINDER MORGAN, INC. 549300WR7IX8XE0TBO16 49456B101 2302.00000000 NS USD 38581.52000000 0.005724665156 Long EC US N 1 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343V104 840.00000000 NS USD 42630.00000000 0.006325372241 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 756.28000000 0.000112215634 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 173615465.00000000 HUF 457711.14000000 USD 2022-07-07 756.28000000 N N N N/A N/A N/A 11.00000000 NC USD 551485.00000000 0.081828475500 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long US MSCI Emerging Markets Equity Index Future Sep 2022 N/A N/A 2022-09-19 552398.77000000 USD -913.77000000 N N N KIMCO REALTY CORPORATION 549300EA7I6T15IBYS12 49446R109 1927.00000000 NS USD 38096.79000000 0.005652741683 Long EC US N 1 N N N Canada N/A N/A 50.00000000 NC 4806000.23000000 0.713106742840 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A Long Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Sep 2022 2022-09-23 4971342.90000000 CAD -165342.67000000 N N N N/A N/A N/A 1.00000000 NC 333784.62000000 0.049526436077 N/A DE DE N 1 GOLDMAN, SACHS & CO. N/A Long DAX INDEX FUTURE Sep 2022 N/A N/A 2022-09-19 346813.69000000 EUR -13029.07000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -3015.61000000 -0.00044745146 N/A DFE CA N 2 BROWN BROTHERS N/A 1020939.76000000 USD 1313000.00000000 CAD 2022-07-20 -3015.61000000 N N N Japan N/A N/A -11.00000000 NC -12032755.51000000 -1.78540130638 N/A DIR JP N 1 MORGAN STANLEY & CO, INC N/A Short Japan Govt. Bond Futures Japan Govt 10 Year Bond Future (TSE) Sep 2022 2022-09-15 -12512565.12000000 JPY 479809.61000000 N N N United States of America 254900HROIFWPRGM1V77 912810FD5 393800.00000000 PA USD 457659.12000000 0.067906739237 Long DBT USGA US N 2 2024-04-15 Fixed 0.50000000 N N N N N N KEURIG DR PEPPER INC. DYTQ8KRTKO7Y2BVU5K74 49271V100 1120.00000000 NS USD 39636.80000000 0.005881245940 Long EC US N 1 N N N N/A N/A CD1205227 -2110000.00000000 NC USD 4512.32000000 0.000669530932 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2026-12-20 45883.00000000 USD 0.00000000 USD -2110000.00000000 USD -41370.68000000 N N N EQUIFAX INC. 5493004MCF8JDC86VS77 294429105 149.00000000 NS USD 27234.22000000 0.004040970659 Long EC US N 1 N N N N/A N/A N/A 1.00000000 NC 84049.64000000 0.012471153172 N/A DE ES N 1 GOLDMAN, SACHS & CO. N/A Long IBEX 35 INDX FUTR Jul 2022 N/A N/A 2022-07-18 83608.64000000 EUR 441.00000000 N N N PPL CORPORATION 9N3UAJSNOUXFKQLF3V18 69351T106 1480.00000000 NS USD 40152.40000000 0.005957749856 Long EC US N 1 N N N JUNIPER NETWORKS, INC. AUHIXNGG7U2U7JEHM527 48203R104 1407.00000000 NS USD 40099.50000000 0.005949900637 Long EC US N 1 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -28.59000000 -0.00000424213 N/A DFE AU N 2 J.P. MORGAN SECURITIES N/A 3063.20000000 USD 4413.00000000 AUD 2022-07-20 -28.59000000 N N N CZECH REPUBLIC KORUNA N/A N/A 1.00000000 NC -885.02000000 -0.00013131787 N/A DFE CZ N 2 BROWN BROTHERS N/A 412820.47000000 USD 9765000.00000000 CZK 2022-07-14 -885.02000000 N N N Spdr S&P Homebuilders Etf N/A 78464A888 2335.00000000 NS USD 127747.85000000 0.018955024731 Long EC RF US N 1 N N N TARGA RESOURCES CORP. 5493003QENHHS261UR94 87612G101 196.00000000 NS USD 11695.32000000 0.001735333157 Long EC US N 1 N N N THE SOUTHERN COMPANY 549300FC3G3YU2FBZD92 842587107 388.00000000 NS USD 27668.28000000 0.004105375798 Long EC US N 1 N N N LOCKHEED MARTIN CORPORATION DPRBOZP0K5RM2YE8UU08 539830109 34.00000000 NS USD 14618.64000000 0.002169090773 Long EC US N 1 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -6608.12000000 -0.00098050243 N/A DFE AU N 2 J.P. MORGAN SECURITIES N/A 679535.71000000 USD 978587.00000000 AUD 2022-07-20 -6608.12000000 N N N United States of America 254900HROIFWPRGM1V77 912810RW0 217800.00000000 PA USD 240982.90000000 0.035756663061 Long DBT USGA US N 2 2047-02-15 Fixed 0.87500000 N N N N N N PHILLIPINE PESO N/A N/A 1.00000000 NC -24363.41000000 -0.00361500439 N/A DFE PH N 2 DEUTSCHE BANK SECURITIES, INC. N/A 584831.25000000 USD 30844000.00000000 PHP 2022-07-28 -24363.41000000 N N N Dominion Energy, Inc. ILUL7B6Z54MRYCF6H308 25746U109 517.00000000 NS USD 41261.77000000 0.006122356429 Long EC US N 1 N N N AGNC INVESTMENT CORP. 5TRACI5HRMELWV32OF39 00123Q104 2365.00000000 NS USD 26180.55000000 0.003884628764 Long EC US N 1 N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160104 150.00000000 NS USD 26626.50000000 0.003950798123 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810RF7 342500.00000000 PA USD 434513.83000000 0.064472477570 Long DBT USGA US N 2 2044-02-15 Fixed 1.37500000 N N N N N N AMERICAN ELECTRIC POWER COMPANY, INC. 1B4S6S7G0TW5EE83BO58 025537101 151.00000000 NS USD 14486.94000000 0.002149549334 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8878.99000000 0.001317450548 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 3987414205.00000000 IDR 275692.82000000 USD 2022-07-28 8878.99000000 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366GHN4 12550000.00000000 PA USD 12511439.75000000 1.856427719807 Long ABS-APCP US N 2 2022-08-22 None 0.00000000 N N N N N N Bundesrepublik Deutschland N/A N/A 1.00000000 NC 114105.15000000 0.016930742397 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Germany Govt. Bond Futures Euro-Schatz Future Sep 2022 2022-09-11 114000.74000000 EUR 104.41000000 N N N MCDONALD'S CORPORATION UE2136O97NLB5BYP9H04 580135101 117.00000000 NS USD 28884.96000000 0.004285904859 Long EC US N 1 N N N NASDAQ, INC. 549300L8X1Q78ERXFD06 631103108 183.00000000 NS USD 27914.82000000 0.004141957015 Long EC US N 1 N N N Franco-Nevada Corporation N/A 351858105 190.00000000 NS USD 25000.20000000 0.003709490291 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5181.78000000 0.000768864353 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 12626241.00000000 INR 164940.02000000 USD 2022-07-07 5181.78000000 N N N VERTEX PHARMACEUTICALS INCORPORATED 54930015RAQRRZ5ZGJ91 92532F100 109.00000000 NS USD 30715.11000000 0.004557459633 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3567.75000000 0.000529377124 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 3624839896.00000000 IDR 246120.29000000 USD 2022-07-28 3567.75000000 N N N HUMANA INC. 529900YLDW34GJAO4J06 44486JGC7 11000000.00000000 PA USD 10993488.00000000 1.631196430496 Long ABS-APCP US N 2 2022-07-12 None 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -163285.30000000 -0.02422801557 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4228214.00000000 CHF 4259500.03000000 USD 2022-07-20 -163285.30000000 N N N United States of America 254900HROIFWPRGM1V77 912810PS1 185700.00000000 PA USD 289110.18000000 0.042897713049 Long DBT USGA US N 2 2027-01-15 Fixed 2.37500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -46024.22000000 -0.00682900125 N/A DFE AU N 2 J.P. MORGAN SECURITIES N/A 1134371.74000000 USD 1582700.00000000 AUD 2022-07-21 -46024.22000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -8815.19000000 -0.00130798400 N/A DFE SE N 2 BROWN BROTHERS HARRIMAN & CO. N/A 1173889.75000000 USD 11928152.00000000 SEK 2022-07-20 -8815.19000000 N N N HUNGARIAN FORINT N/A N/A 1.00000000 NC 5993.30000000 0.000889276412 N/A DFE HU N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 403901.70000000 EUR 162780505.00000000 HUF 2022-07-07 5993.30000000 N N N HUNTSMAN CORPORATION 5299000V56320A7RIQ67 447011107 1266.00000000 NS USD 35891.10000000 0.005325464875 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -38534.28000000 -0.00571765576 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2787405.00000000 GBP 3347361.77000000 USD 2022-07-20 -38534.28000000 N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC 6432.72000000 0.000954476859 N/A DFE MY N 2 GOLDMAN, SACHS & CO. N/A 1638835.22000000 USD 7237588.00000000 MYR 2022-12-15 6432.72000000 N N N AMAZON.COM, INC. ZXTILKJKG63JELOEG630 023135106 1278.00000000 NS USD 135736.38000000 0.020140350227 Long EC US N 1 N N N HORMEL FOODS CORPORATION MSD54751OJP1FS2ND863 440452100 564.00000000 NS USD 26711.04000000 0.003963342035 Long EC US N 1 N N N C.H. ROBINSON WORLDWIDE, INC. 529900WNWN5L0OVDHA79 12541W209 268.00000000 NS USD 27167.16000000 0.004031020402 Long EC US N 1 N N N FORTIVE CORPORATION 549300MU9YQJYHDQEF63 34959J108 691.00000000 NS USD 37576.58000000 0.005575553742 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810FH6 573600.00000000 PA USD 638623.01000000 0.094757876148 Long DBT USGA US N 2 2025-10-15 Fixed 0.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 52.52000000 0.000007792834 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 194500.00000000 THB 5565.73000000 USD 2022-08-10 52.52000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8135.18000000 0.001207085192 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 404763.00000000 EUR 432041.60000000 USD 2022-07-28 8135.18000000 N N N BRK: CITIBANK, N.A. N/A N/A 1340000.00000000 NC -84391.69000000 -0.01252190601 N/A DIR XX N 2 BRK: CITIBANK, N.A. N/A Y 2031-11-23 0.00000000 NZD 0.00000000 NZD -1340000.00000000 NZD -84391.69000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -45360.52000000 -0.00673052249 N/A DFE AU N 2 J.P. MORGAN SECURITIES N/A 655308.24000000 USD 887000.00000000 AUD 2022-07-21 -45360.52000000 N N N FIDELITY NATIONAL FINANCIAL, INC. 549300CAZYIH39SYQ287 31620R303 1007.00000000 NS USD 37218.72000000 0.005522455039 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12485.47000000 0.001852574369 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 5677080975.00000000 IDR 392361.67000000 USD 2022-07-28 12485.47000000 N N N CROWN CASTLE INTERNATIONAL CORP. 54930012H97VSM0I2R19 22823QG62 12300000.00000000 PA USD 12295709.39000000 1.824417988848 Long ABS-APCP US N 2 2022-07-06 None 0.00000000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020107 841.00000000 NS USD 53184.84000000 0.007891482772 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2606.59000000 0.000386761717 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 10475107.00000000 CZK 444497.83000000 USD 2022-07-14 2606.59000000 N N N United States of America N/A N/A 132.00000000 NC USD 14817000.00000000 2.198523117564 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Sep 2022 2022-10-03 14909964.96000000 USD -92964.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13500.81000000 0.002003228918 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 319599682.00000000 CLP 353559.03000000 USD 2022-07-15 13500.81000000 N N N VISTRA CORP. 549300KP43CPCUJOOG15 92840M102 1650.00000000 NS USD 37702.50000000 0.005594237554 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2206.26000000 0.000327361383 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 11752750.00000000 INR 150912.32000000 USD 2022-07-07 2206.26000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 7951.44000000 0.001179822140 N/A DFE CH N 2 BROWN BROTHERS N/A 1193922.53000000 USD 1149000.00000000 CHF 2022-07-20 7951.44000000 N N N United States of America 254900HROIFWPRGM1V77 912828N71 440400.00000000 PA USD 541848.27000000 0.080398592684 Long DBT USGA US N 2 2026-01-15 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 958.97000000 0.000142290457 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 28187000.00000000 TWD 950657.67000000 USD 2022-07-27 958.97000000 N N N PRINCIPAL FINANCIAL GROUP, INC. CUMYEZJOAF02RYZ1JJ85 74251V102 416.00000000 NS USD 27784.64000000 0.004122641111 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810QV3 246500.00000000 PA USD 218639.05000000 0.032441317798 Long DBT USGA US N 2 2050-02-15 Fixed 0.25000000 N N N N N N THE AES CORPORATION 2NUNNB7D43COUIRE5295 00130H105 2008.00000000 NS USD 42188.08000000 0.006259800848 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4067.04000000 0.000603460988 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 50741676.00000000 CLP 58056.84000000 USD 2022-07-15 4067.04000000 N N N CZECH REPUBLIC KORUNA N/A N/A 1.00000000 NC 5787.68000000 0.000858766840 N/A DFE CZ N 2 BROWN BROTHERS N/A 1045042.44000000 USD 24910107.00000000 CZK 2022-07-14 5787.68000000 N N N COLOMBIA PESO N/A N/A 1.00000000 NC -73.74000000 -0.00001094142 N/A DFE CO N 2 BNP PARIBAS N/A 4106.49000000 USD 16808988.00000000 COP 2022-07-15 -73.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3201.89000000 0.000475091394 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 17629125.00000000 INR 226260.99000000 USD 2022-07-07 3201.89000000 N N N United States of America 254900HROIFWPRGM1V77 912810RR1 188800.00000000 PA USD 218262.98000000 0.032385517124 Long DBT USGA US N 2 2046-02-15 Fixed 1.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810FQ6 48000.00000000 PA USD 97660.63000000 0.014490730426 Long DBT USGA US N 2 2032-04-15 Fixed 3.37500000 N N N N N N WASTE MANAGEMENT, INC. 549300YX8JIID70NFS41 94106L109 186.00000000 NS USD 28454.28000000 0.004222001240 Long EC US N 1 N N N THE J. M. SMUCKER COMPANY 5493000WDH6A0LHDJD55 832696405 215.00000000 NS USD 27522.15000000 0.004083693259 Long EC US N 1 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -92.36000000 -0.00001370423 N/A DFE ID N 2 GOLDMAN, SACHS & CO. N/A 3730.64000000 USD 54372480.00000000 IDR 2022-07-28 -92.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6691.38000000 0.000992856422 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 17413818.00000000 MXN 866698.75000000 USD 2022-07-20 6691.38000000 N N N VICI PROPERTIES INC. 254900RKH6RY9KCJQH63 925652109 893.00000000 NS USD 26602.47000000 0.003947232589 Long EC US N 1 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -30642.14000000 -0.00454663246 N/A DFE NZ N 2 GOLDMAN, SACHS & CO. N/A 811360.82000000 USD 1257000.00000000 NZD 2022-08-26 -30642.14000000 N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 063671101 125.00000000 NS USD 12021.25000000 0.001783694136 Long EC US N 1 N N N N/A N/A N/A 6.00000000 NC 666435.16000000 0.098884599150 N/A DE AU N 1 CITIGROUP GLOBAL MARKETS N/A Long SPI 200 Future Sep 2022 N/A N/A 2022-09-18 682361.12000000 AUD -15925.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12509.71000000 0.001856171062 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 5648836791.00000000 IDR 390495.98000000 USD 2022-07-28 12509.71000000 N N N SIRIUS XM HOLDINGS INC. 54930055RWDMVXAGZK98 82968B103 6672.00000000 NS USD 40899.36000000 0.006068582604 Long EC US N 1 N N N VIATRIS INC. 254900ZZTSW7NL773X71 92557NGD9 650000.00000000 PA USD 649500.98000000 0.096371932200 Long ABS-APCP US N 2 2022-07-13 None 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 56851.17000000 0.008435487042 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 262703000.00000000 JPY 1993100.48000000 USD 2022-07-20 56851.17000000 N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 101137107 1387.00000000 NS USD 51693.49000000 0.007670198609 Long EC US N 1 N N N CBRE GROUP, INC. 52990016II9MJ2OSWA10 12504L109 383.00000000 NS USD 28192.63000000 0.004183178025 Long EC US N 1 N N N DELL TECHNOLOGIES INC. 549300TJB5YBRUPOG437 24703L202 539.00000000 NS USD 24907.19000000 0.003695689613 Long EC US N 1 N N N CHANGE HEALTHCARE INC. 549300GS1BPJEDOZHM07 15912K100 1158.00000000 NS USD 26703.48000000 0.003962220294 Long EC US N 1 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -65015.01000000 -0.00964682476 N/A DFE ID N 2 GOLDMAN, SACHS & CO. N/A 2462568.32000000 USD 35830369000.00000000 IDR 2022-07-28 -65015.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1493.03000000 -0.00022153343 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 987000.00000000 EUR 1031665.85000000 USD 2022-07-20 -1493.03000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -39748.90000000 -0.00589787916 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 13859180.00000000 CNY 2027144.28000000 USD 2022-07-21 -39748.90000000 N N N AT&T INC. 549300Z40J86GGSTL398 00206R102 1955.00000000 NS USD 40976.80000000 0.006080073029 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 33.23000000 0.000004930615 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 16402.00000000 PEN 4349.86000000 USD 2022-07-15 33.23000000 N N N INDIA RUPEE N/A N/A 1.00000000 NC -6416.42000000 -0.00095205829 N/A DFE IN N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 643193.79000000 USD 50326698.00000000 INR 2022-07-07 -6416.42000000 N N N N/A N/A N/A 5.00000000 NC USD 1134000.00000000 0.168261133516 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long S&P MID 400 EMINI Sep 2022 N/A N/A 2022-09-19 1258255.85000000 USD -124255.85000000 N N N United States of America 254900HROIFWPRGM1V77 912810FH6 3300.00000000 PA USD 3674.09000000 0.000545155686 Long DBT USGA US N 2 2025-10-15 Fixed 0.12500000 N N N N N N FORTIVE CORPORATION 549300MU9YQJYHDQEF63 34961EGK5 7950000.00000000 PA USD 7941797.11000000 1.178391343817 Long ABS-APCP US N 2 2022-07-19 None 0.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -3780.72000000 -0.00056097727 N/A DFE NZ N 2 GOLDMAN, SACHS & CO. N/A 483922.46000000 USD 772596.00000000 NZD 2022-07-20 -3780.72000000 N N N Xtrackers Hvst CSI 300 China A-Shs ETF N/A 233051879 5524.00000000 NS USD 188755.08000000 0.028007181409 Long EC RF US N 1 N N N MOLSON COORS BEVERAGE COMPANY 54930073LBBH6ZCBE225 60871WG78 10350000.00000000 PA USD 10346276.90000000 1.535164267083 Long ABS-APCP US N 2 2022-07-07 None 0.00000000 N N N N N N ARAMARK 549300MR6PG2DWZUIL39 03852U106 821.00000000 NS USD 25147.23000000 0.003731306370 Long EC US N 1 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -20129.10000000 -0.00298672414 N/A DFE ZA N 2 BROWN BROTHERS N/A 651807.52000000 USD 10398900.00000000 ZAR 2022-08-18 -20129.10000000 N N N CROWN HOLDINGS, INC. NYLWZIOY8PUNIT4JOE22 228368106 290.00000000 NS USD 26729.30000000 0.003966051425 Long EC US N 1 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -2709.03000000 -0.00040196160 N/A DFE NZ N 2 GOLDMAN, SACHS & CO. N/A 635982.36000000 USD 1019000.00000000 NZD 2022-07-20 -2709.03000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -23549.50000000 -0.00349423771 N/A DFE JP N 2 DEUTSCHE BANK SECURITIES, INC. N/A 857101.25000000 USD 113130362.00000000 JPY 2022-07-15 -23549.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 42344.37000000 0.006282990912 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 16208223480.00000000 IDR 1126901.44000000 USD 2022-07-28 42344.37000000 N N N KOREAN WON N/A N/A 1.00000000 NC -14.69000000 -0.00000217967 N/A DFE KR N 2 GOLDMAN, SACHS & CO. N/A 595489.59000000 USD 772350000.00000000 KRW 2022-07-27 -14.69000000 N N N United States of America N/A N/A 3.00000000 NC USD 336750.00000000 0.049966434490 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 5-Year Note (consolidated) Sep 2022 2022-10-03 340176.00000000 USD -3426.00000000 N N N ILLINOIS TOOL WORKS INC. 76NA4I14SZCFAYMNSV04 452308109 142.00000000 NS USD 25879.50000000 0.003839959439 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15485.31000000 0.002297685902 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 9066000.00000000 SEK 901001.02000000 USD 2022-07-20 15485.31000000 N N N KELLOGG COMPANY LONOZNOJYIBXOHXWDB86 487836108 372.00000000 NS USD 26538.48000000 0.003937737854 Long EC US N 1 N N N DELTA AIR LINES, INC. Q2CCMS6R0AS67HJMBN42 247361702 575.00000000 NS USD 16657.75000000 0.002471650702 Long EC US N 1 N N N INGERSOLL RAND INC. 5299004C02FMZCUOIR50 45687V106 604.00000000 NS USD 25416.32000000 0.003771233521 Long EC US N 1 N N N CONAGRA BRANDS, INC. 54930035UDEIH090K650 205887102 1287.00000000 NS USD 44066.88000000 0.006538574232 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5458.69000000 -0.00080995182 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 533876.00000000 CAD 408437.18000000 USD 2022-07-20 -5458.69000000 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -3757.24000000 -0.00055749335 N/A DFE ID N 2 GOLDMAN, SACHS & CO. N/A 620063.28000000 USD 9210420000.00000000 IDR 2022-07-28 -3757.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 22419.08000000 0.003326507771 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 31766300.00000000 TWD 1092714.39000000 USD 2022-07-27 22419.08000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -14256.81000000 -0.00211540300 N/A DFE AU N 2 J.P. MORGAN SECURITIES N/A 355332.42000000 USD 496000.00000000 AUD 2022-07-21 -14256.81000000 N N N N/A N/A N/A -7.00000000 NC -251816.46000000 -0.03736412962 N/A DE DE N 1 GOLDMAN, SACHS & CO. N/A Short DJ EURO STOXX 50 FUTR Sep 2022 N/A N/A 2022-09-19 -252973.59000000 EUR 1157.13000000 N N N N/A N/A N/A 6.00000000 NC 116506.57000000 0.017287061314 N/A DE JP N 1 GOLDMAN, SACHS & CO. N/A Long NIKKEI 225 MINI Sep 2022 N/A N/A 2022-09-11 127087.29000000 JPY -10580.72000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -5299.76000000 -0.00078637003 N/A DFE AU N 2 J.P. MORGAN SECURITIES N/A 517316.71000000 USD 744587.00000000 AUD 2022-07-20 -5299.76000000 N N N United States of America 254900HROIFWPRGM1V77 91282CCA7 475900.00000000 PA USD 519729.99000000 0.077116717142 Long DBT USGA US N 2 2026-04-15 Fixed 0.12500000 N N N N N N AFLAC INCORPORATED 549300N0B7DOGLXWPP39 001055102 474.00000000 NS USD 26226.42000000 0.003891434882 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12213.66000000 0.001812243629 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 5592348423.00000000 IDR 386420.06000000 USD 2022-07-28 12213.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6762.71000000 0.001003440255 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4975400.00000000 PLN 1112392.96000000 USD 2022-07-07 6762.71000000 N N N MOLSON COORS BEVERAGE COMPANY 54930073LBBH6ZCBE225 60871R209 504.00000000 NS USD 27473.04000000 0.004076406394 Long EC US N 1 N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122108 558.00000000 NS USD 42966.00000000 0.006375227392 Long EC US N 1 N N N HEALTHCARE TRUST OF AMERICA, INC. 549300L0I14L7I0VLX84 42225P501 974.00000000 NS USD 27184.34000000 0.004033569543 Long EC US N 1 N N N APPLE INC. HWUPKR0MPOU8FGXBT394 037833100 1331.00000000 NS USD 181974.32000000 0.027001062922 Long EC US N 1 N N N AMPHENOL CORPORATION 549300D3L3G0R4U4VT04 032095101 595.00000000 NS USD 38306.10000000 0.005683798771 Long EC US N 1 N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370860 2166.00000000 NS USD 24107.58000000 0.003577044741 Long EC US N 1 N N N N/A N/A N/A 40.00000000 NC -3895.47000000 -0.00057800370 N/A DE XX N 2 N/A N/A Y 2022-09-16 0.00000000 CHF 0.00000000 CHF -431209.33000000 CHF -3895.47000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2007.79000000 -0.00029791271 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 214704.00000000 CHF 222466.06000000 USD 2022-07-13 -2007.79000000 N N N HARLEY-DAVIDSON FINANCIAL SERVICES, INC. RLUFFFFW4GRYU77BTS24 41282KG77 12500000.00000000 PA USD 12495260.38000000 1.854027050375 Long ABS-APCP US N 2 2022-07-07 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828ZJ2 672700.00000000 PA USD 753300.57000000 0.111773551840 Long DBT USGA US N 2 2025-04-15 Fixed 0.12500000 N N N N N N Chubb Limited E0JAN6VLUDI1HITHT809 H1467J104 135.00000000 NS USD 26538.30000000 0.003937711146 Long EC US N 1 N N N TRACTOR SUPPLY COMPANY 549300OJ9VZHZRO6I137 892356106 140.00000000 NS USD 27139.00000000 0.004026842065 Long EC US N 1 N N N Ishares China Large-Cap Etf N/A 464287184 2995.00000000 NS USD 101560.45000000 0.015069379574 Long EC RF US N 1 N N N GILEAD SCIENCES, INC. 549300WTZWR07K8MNV44 375558103 490.00000000 NS USD 30286.90000000 0.004493922508 Long EC US N 1 N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209S103 543.00000000 NS USD 22681.11000000 0.003365387370 Long EC US N 1 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -41422.00000000 -0.00614613110 N/A DFE ID N 2 GOLDMAN, SACHS & CO. N/A 1122340.79000000 USD 16153851000.00000000 IDR 2022-07-28 -41422.00000000 N N N United States of America 254900HROIFWPRGM1V77 912828V49 512900.00000000 PA USD 611578.36000000 0.090745033587 Long DBT USGA US N 2 2027-01-15 Fixed 0.37500000 N N N N N N N/A N/A N/A -3.00000000 NC USD -396600.00000000 -0.05884688320 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Short NIKKEI 225 (CME) Sep 2022 N/A N/A 2022-09-11 -420594.27000000 USD 23994.27000000 N N N NORTHERN TRUST CORPORATION 549300GLF98S992BC502 665859104 259.00000000 NS USD 24988.32000000 0.003707727555 Long EC US N 1 N N N ONEOK, INC. 2T3D6M0JSY48PSZI1Q41 682680103 428.00000000 NS USD 23754.00000000 0.003524581098 Long EC US N 1 N N N EXELON CORPORATION 3SOUA6IRML7435B56G12 30161N101 1231.00000000 NS USD 55788.92000000 0.008277872060 Long EC US N 1 N N N NEW RESIDENTIAL INVESTMENT CORP. 549300WNTHGEO5LP2G31 64828T201 3090.00000000 NS USD 28798.80000000 0.004273120574 Long EC US N 1 N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC 2919.36000000 0.000433170037 N/A DFE MY N 2 GOLDMAN, SACHS & CO. N/A 535835.41000000 USD 2370000.00000000 MYR 2022-12-15 2919.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 23336.43000000 0.003462622719 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 13134303000.00000000 IDR 902205.18000000 USD 2022-07-28 23336.43000000 N N N KOREAN WON N/A N/A 1.00000000 NC -21966.61000000 -0.00325937098 N/A DFE KR N 2 GOLDMAN, SACHS & CO. N/A 652762.53000000 USD 818162500.00000000 KRW 2022-07-27 -21966.61000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4230.64000000 0.000627735698 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 13888000.00000000 TWD 472156.12000000 USD 2022-07-27 4230.64000000 N N N STARWOOD PROPERTY TRUST, INC. BUGSFQZERKRBFWIG5267 85571B105 1837.00000000 NS USD 38374.93000000 0.005694011658 Long EC US N 1 N N N LEIDOS, INC. 5493006I78VIN6J1BQ95 52533BG14 12050000.00000000 PA USD 12049283.75000000 1.787853740599 Long ABS-APCP US N 2 2022-07-01 None 0.00000000 N N N N N N A. O. SMITH CORPORATION 549300XG4US7UJNECY36 831865209 706.00000000 NS USD 38604.08000000 0.005728012574 Long EC US N 1 N N N Compagnie des chemins de fer nationaux du Canada 3SU7BEP7TH9YEQOZCS77 136375102 235.00000000 NS USD 26430.45000000 0.003921708532 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4249.19000000 -0.00063048811 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 302396.00000000 CHF 311906.98000000 USD 2022-07-13 -4249.19000000 N N N United States of America 254900HROIFWPRGM1V77 912828XL9 593200.00000000 PA USD 730429.21000000 0.108379935474 Long DBT USGA US N 2 2025-07-15 Fixed 0.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QP6 177700.00000000 PA USD 272536.62000000 0.040438554326 Long DBT USGA US N 2 2041-02-15 Fixed 2.12500000 N N N N N N STORE CAPITAL CORPORATION 5493004EA6C9IHDZ7N66 862121100 1026.00000000 NS USD 26758.08000000 0.003970321756 Long EC US N 1 N N N N/A N/A N/A 17.00000000 NC 611554.26000000 0.090741457667 N/A DE DE N 1 GOLDMAN, SACHS & CO. N/A Long DJ EURO STOXX 50 FUTR Sep 2022 N/A N/A 2022-09-19 611963.49000000 EUR -409.23000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -374.09000000 -0.00005550688 N/A DFE MX N 2 HSBC BANK PLC, LONDON - TREASURY AND CAP N/A 586625.07000000 USD 11870675.00000000 MXN 2022-07-20 -374.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7053.66000000 -0.00104661095 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 286072315.00000000 HUF 745886.96000000 USD 2022-07-07 -7053.66000000 N N N KIMBERLY-CLARK CORPORATION MP3J6QPYPGN75NVW2S34 494368103 236.00000000 NS USD 31895.40000000 0.004732589204 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 81.70000000 0.000012122517 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4413.00000000 AUD 3116.31000000 USD 2022-07-20 81.70000000 N N N Vanguard Health Care Etf N/A 92204A504 1013.00000000 NS USD 238561.50000000 0.035397379544 Long EC RF US N 1 N N N Japan 353800WZS8AXZXFUC241 JK7713619 1358600000.00000000 PA 10596690.49000000 1.572320241070 Long DBT USGA JP N 2 2026-03-10 Fixed 0.10000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -20298.78000000 -0.00301190099 N/A DFE CH N 2 BROWN BROTHERS N/A 733382.20000000 USD 682047.65000000 CHF 2022-07-13 -20298.78000000 N N N Garmin Ltd. 2549001E0HIPIJQ0W046 H2906T109 261.00000000 NS USD 25643.25000000 0.003804905037 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 33.01000000 0.000004897971 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 298600.00000000 CLP 350.72000000 USD 2022-07-15 33.01000000 N N N N/A N/A N/A 50.00000000 NC USD 2506750.00000000 0.371947615911 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long US MSCI Emerging Markets Equity Index Future Sep 2022 N/A N/A 2022-09-19 2501978.50000000 USD 4771.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3718.07000000 0.000551681369 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 3624839896.00000000 IDR 246270.61000000 USD 2022-07-28 3718.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2693.93000000 0.000399721089 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2705104400.00000000 IDR 183703.29000000 USD 2022-07-28 2693.93000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 102543.74000000 0.015215278595 N/A DFE CH N 2 BROWN BROTHERS N/A 2629978.77000000 USD 2613594.00000000 CHF 2022-07-13 102543.74000000 N N N Energy Select Sector SPDR Fund N/A 81369Y506 12731.00000000 NS USD 910393.81000000 0.135082799309 Long EC RF US N 1 N N N FIRSTENERGY CORP. 549300SVYJS666PQJH88 337932107 689.00000000 NS USD 26450.71000000 0.003924714679 Long EC US N 1 N N N iShares Core S&P 500 ETF N/A 464287200 42126.00000000 NS USD 15972072.90000000 2.369911014785 Long EC RF US N 1 N N N SWISS FRANC N/A N/A 1.00000000 NC 5027.71000000 0.000746003689 N/A DFE CH N 2 BROWN BROTHERS N/A 567798.61000000 USD 547895.00000000 CHF 2022-07-13 5027.71000000 N N N Northrop Grumman Corporation RIMU48P07456QXSO0R61 666807102 94.00000000 NS USD 44985.58000000 0.006674889490 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 85.28000000 0.000012653712 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 120833.00000000 TWD 4156.48000000 USD 2022-07-27 85.28000000 N N N N/A N/A CD1270042 -267300.00000000 NC USD -7708.10000000 -0.00114371573 N/A DCR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2027-06-20 13766.72000000 USD 0.00000000 USD -267300.00000000 USD -21474.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 62891.90000000 0.009331801043 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 784660324.00000000 CLP 897780.69000000 USD 2022-07-15 62891.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8216.58000000 0.001219163196 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 976466.00000000 EUR 1030864.92000000 USD 2022-07-28 8216.58000000 N N N United States of America 254900HROIFWPRGM1V77 9128282L3 570000.00000000 PA USD 671224.28000000 0.099595201231 Long DBT USGA US N 2 2027-07-15 Fixed 0.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4303.20000000 0.000638502036 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 24264672.00000000 CZK 1027905.72000000 USD 2022-07-14 4303.20000000 N N N AVALONBAY COMMUNITIES, INC. K9G90K85RBWD2LAGQX17 053484101 257.00000000 NS USD 49922.25000000 0.007407384808 Long EC US N 1 N N N KOREAN WON N/A N/A 1.00000000 NC -11352.68000000 -0.00168449277 N/A DFE KR N 2 GOLDMAN, SACHS & CO. N/A 445773.73000000 USD 563458000.00000000 KRW 2022-07-27 -11352.68000000 N N N N/A N/A N/A 17.00000000 NC 310307.98000000 0.046043009218 N/A DE SE N 1 GOLDMAN, SACHS & CO. N/A Long OMXS30 IND FUTURE Jul 2022 N/A N/A 2022-07-18 323112.42000000 SEK -12804.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12741.68000000 0.001890590405 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 69212000.00000000 INR 888472.40000000 USD 2022-07-07 12741.68000000 N N N Xcel Energy Inc. LGJNMI9GH8XIDG5RCM61 98389B100 792.00000000 NS USD 56041.92000000 0.008315411802 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810FD5 134700.00000000 PA USD 281217.56000000 0.041726618527 Long DBT USGA US N 2 2028-04-15 Fixed 3.62500000 N N N N N N EATON CORPORATION PUBLIC LIMITED COMPANY 549300VDIGTMXUNT7H71 G29183103 192.00000000 NS USD 24190.08000000 0.003589285961 Long EC US N 1 N N N EURO N/A N/A 1.00000000 NC -4478.04000000 -0.00066444452 N/A DFE XX N 2 BROWN BROTHERS N/A 435582.95000000 USD 411636.41000000 EUR 2022-07-28 -4478.04000000 N N N United States of America 254900HROIFWPRGM1V77 912828Y38 472700.00000000 PA USD 548324.07000000 0.081359461686 Long DBT USGA US N 2 2028-07-15 Fixed 0.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QV3 228300.00000000 PA USD 266863.48000000 0.039596782750 Long DBT USGA US N 2 2042-02-15 Fixed 0.75000000 N N N N N N ARES CAPITAL CORPORATION WEQ82666OJYSI5GUAB47 04010L103 2859.00000000 NS USD 51261.87000000 0.007606155513 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13729.97000000 0.002037231318 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 744587.00000000 AUD 525746.92000000 USD 2022-07-20 13729.97000000 N N N Pepsico, Inc. FJSUNZKFNQ5YPJ5OT455 713448108 159.00000000 NS USD 26498.94000000 0.003931870971 Long EC US N 1 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 4674.95000000 0.000693661716 N/A DFE GB N 2 GOLDMAN, SACHS & CO. N/A 682852.40000000 USD 566000.00000000 GBP 2022-07-20 4674.95000000 N N N Brookfield Infrastructure Holdings (Canada) Inc. 549300GV8LYH0T7DZO77 11275NGK4 11400000.00000000 PA USD 11387996.71000000 1.689733011384 Long ABS-APCP US N 2 2022-07-19 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128285W6 401200.00000000 PA USD 463644.56000000 0.068794849395 Long DBT USGA US N 2 2029-01-15 Fixed 0.87500000 N N N N N N DOW INC. 5493003S21INSLK2IP73 260557103 457.00000000 NS USD 23585.77000000 0.003499619396 Long EC US N 1 N N N KOREAN WON N/A N/A 1.00000000 NC -7434.31000000 -0.00110309120 N/A DFE KR N 2 GOLDMAN, SACHS & CO. N/A 322148.21000000 USD 408194000.00000000 KRW 2022-07-27 -7434.31000000 N N N Enbridge Inc. 98TPTUM4IVMFCZBCUR27 29250N105 898.00000000 NS USD 37949.48000000 0.005630884057 Long EC US N 1 N N N WEC ENERGY GROUP, INC. 549300IGLYTZUK3PVP70 92939U106 435.00000000 NS USD 43778.40000000 0.006495770024 Long EC US N 1 N N N BERKSHIRE HATHAWAY INC. 5493000C01ZX7D35SD85 084670702 42.00000000 NS USD 11466.84000000 0.001701431654 Long EC US N 1 N N N INDIA RUPEE N/A N/A 1.00000000 NC -4184.13000000 -0.00062083461 N/A DFE IN N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 316498.18000000 USD 24683250.00000000 INR 2022-07-07 -4184.13000000 N N N QUEST DIAGNOSTICS INCORPORATED 8MCWUBXQ0WE04KMXBX50 74834L100 220.00000000 NS USD 29255.60000000 0.004340899839 Long EC US N 1 N N N KOREAN WON N/A N/A 1.00000000 NC -17961.14000000 -0.00266504565 N/A DFE KR N 2 GOLDMAN, SACHS & CO. N/A 590793.58000000 USD 742982000.00000000 KRW 2022-07-27 -17961.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6295.16000000 -0.00093406592 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 9264610.00000000 BRL 1762539.00000000 USD 2022-07-05 -6295.16000000 N N N GENUINE PARTS COMPANY 549300D46DQVEU651W04 372460105 204.00000000 NS USD 27132.00000000 0.004025803416 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810RL4 365000.00000000 PA USD 367975.03000000 0.054599555250 Long DBT USGA US N 2 2027-04-15 Fixed 0.12500000 N N N N N N THE WILLIAMS COMPANIES, INC. D71FAKCBLFS2O0RBPG08 969457100 908.00000000 NS USD 28338.68000000 0.004204848694 Long EC US N 1 N N N MANULIFE FINANCIAL CORP 5493007GBX87QOZACS27 56501R106 2317.00000000 NS USD 40153.61000000 0.005957929394 Long EC US N 1 N N N VIATRIS INC. 254900ZZTSW7NL773X71 92557NGK3 11050000.00000000 PA USD 11037449.63000000 1.637719387899 Long ABS-APCP US N 2 2022-07-19 None 0.00000000 N N N N N N NATIONAL RETAIL PROPERTIES, INC. 5493008JKH5SOTI0JS97 637417106 665.00000000 NS USD 28595.00000000 0.004242881051 Long EC US N 1 N N N THE FEDERAL HOME LOAN BANKS N/A 3130AJ7E3 12910000.00000000 PA USD 12803644.58000000 1.899784612148 Long DBT USGA US N 2 2023-02-17 Fixed 1.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1168.40000000 0.000173365351 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 305356.00000000 GBP 372088.19000000 USD 2022-07-20 1168.40000000 N N N AUST 10Y BOND FUT SEP22 N/A N/A 1.00000000 NC 81758.01000000 0.012131124723 Long AU N 1 N N N Industrial Select Sector SPDR Fund N/A 81369Y704 2532.00000000 NS USD 221144.88000000 0.032813128906 Long EC RF US N 1 N N N THE WENDY'S COMPANY 529900M0JIUCMWVKHG76 95058W100 1494.00000000 NS USD 28206.72000000 0.004185268677 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4678.01000000 0.000694115754 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 14435000.00000000 CZK 613616.90000000 USD 2022-07-14 4678.01000000 N N N JABIL INC. 5493000CGCQY2OQU7669 46652MG58 12150000.00000000 PA USD 12146201.42000000 1.802234231792 Long ABS-APCP US N 2 2022-07-05 None 0.00000000 N N N N N N TRANSCANADA PIPELINES LIMITED 5BV01I6231JPDAPMGH09 89355QGJ9 5000000.00000000 PA USD 4995135.00000000 0.741170262054 Long ABS-APCP US N 2 2022-07-18 None 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19365.40000000 0.002873407544 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 56263900.00000000 JPY 433921.42000000 USD 2022-07-15 19365.40000000 N N N N/A N/A N/A -740000.00000000 NC -14090.15000000 -0.00209067425 N/A DCR XX N 2 BRK: MORGAN STANLEY & CO. LLC N/A Y 2026-12-20 90501.20000000 EUR 0.00000000 EUR -740000.00000000 EUR -104591.35000000 N N N EQUITY RESIDENTIAL 5493008RACSH5EP3PI59 29476L107 331.00000000 NS USD 23904.82000000 0.003546959532 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828VM9 434400.00000000 PA USD 549145.66000000 0.081481367916 Long DBT USGA US N 2 2023-07-15 Fixed 0.37500000 N N N N N N Vanguard Long Term Corporate Bond Etf N/A 92206C813 27294.00000000 NS USD 2213816.34000000 0.328482580922 Long EC RF US N 1 N N N CENTENNIAL ENERGY HOLDINGS, INC. 549300I76MW4N0RMJ639 1513E3GM5 5600000.00000000 PA USD 5593558.15000000 0.829963346305 Long ABS-APCP US N 2 2022-07-21 None 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -14764.43000000 -0.00219072286 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 11578000.00000000 MXN 557032.36000000 USD 2022-07-20 -14764.43000000 N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824100 241.00000000 NS USD 26184.65000000 0.003885237116 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2442.34000000 -0.00036239056 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4608600.00000000 BRL 869766.74000000 USD 2022-08-02 -2442.34000000 N N N United States of America 254900HROIFWPRGM1V77 91282CDC2 590500.00000000 PA USD 619060.53000000 0.091855226184 Long DBT USGA US N 2 2026-10-15 Fixed 0.12500000 N N N N N N MSCI INC. 549300HTIN2PD78UB763 55354G100 68.00000000 NS USD 28026.20000000 0.004158483404 Long EC US N 1 N N N SWISS FRANC N/A N/A 1.00000000 NC 16671.40000000 0.002473676068 N/A DFE CH N 2 BROWN BROTHERS N/A 1267540.87000000 USD 1227716.00000000 CHF 2022-07-20 16671.40000000 N N N W.P. CAREY INC. 54930042CRNE713E3Q67 92936U109 318.00000000 NS USD 26349.48000000 0.003909694331 Long EC US N 1 N N N United States of America N/A N/A 87.00000000 NC USD 10312218.75000000 1.530110772440 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Sep 2022 2022-09-24 10453909.06000000 USD -141690.31000000 N N N N/A N/A N/A 3.00000000 NC 185482.94000000 0.027521666430 N/A DE FR N 1 GOLDMAN, SACHS & CO. N/A Long CAC40 10 EURO FUT Jul 2022 N/A N/A 2022-07-18 185986.01000000 EUR -503.07000000 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -34595.60000000 -0.00513324062 N/A DFE ID N 2 GOLDMAN, SACHS & CO. N/A 1397356.59000000 USD 20365857520.00000000 IDR 2022-07-28 -34595.60000000 N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 134429109 1219.00000000 NS USD 58572.95000000 0.008690962046 Long EC US N 1 N N N BRAZILIAN REAL N/A N/A 1.00000000 NC 3108.45000000 0.000461226914 N/A DFE BR N 2 BANK OF AMERICA N/A 876782.78000000 USD 4608600.00000000 BRL 2022-07-05 3108.45000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -1542.31000000 -0.00022884552 N/A DFE SE N 2 BROWN BROTHERS HARRIMAN & CO. N/A 470398.75000000 USD 4800200.00000000 SEK 2022-07-20 -1542.31000000 N N N THE KRAFT HEINZ COMPANY 9845007488EC87F5AF14 500754106 710.00000000 NS USD 27079.40000000 0.004017998711 Long EC US N 1 N N N N/A N/A N/A -111.00000000 NC USD -21031725.00000000 -3.12065422249 N/A DE US N 1 CITIGROUP GLOBAL MARKETS N/A Short S&P 500 Future (e-Mini) Sep 2022 N/A N/A 2022-09-19 -21628085.34000000 USD 596360.34000000 N N N BRK: UBS AG N/A N/A 1510000.00000000 NC -158374.05000000 -0.02349929203 N/A DIR XX N 2 BRK: UBS AG N/A Y 2031-11-22 0.00000000 AUD 0.00000000 AUD -1510000.00000000 AUD -158374.05000000 N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 45866F104 111.00000000 NS USD 10438.44000000 0.001548839282 Long EC US N 1 N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199105 71.00000000 NS USD 21262.37000000 0.003154876964 Long EC US N 1 N N N AMERISOURCEBERGEN CORPORATION AI8GXW8LG5WK7E9UD086 03073E105 190.00000000 NS USD 26881.20000000 0.003988590107 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 56650.85000000 0.008405763876 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 110160500.00000000 JPY 868320.46000000 USD 2022-07-15 56650.85000000 N N N Financial Select Sector SPDR Fund N/A 81369Y605 6381.00000000 NS USD 200682.45000000 0.029776945779 Long EC RF US N 1 N N N KEYCORP RKPI3RZGV1V1FJTH5T61 493267108 2154.00000000 NS USD 37113.42000000 0.005506830791 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9712.08000000 0.001441063130 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 565000.00000000 NZD 360840.08000000 USD 2022-07-20 9712.08000000 N N N THE PROGRESSIVE CORPORATION 529900TACNVLY9DCR586 743315103 236.00000000 NS USD 27439.72000000 0.004071462425 Long EC US N 1 N N N SWISS FRANC N/A N/A 1.00000000 NC -303.06000000 -0.00004496756 N/A DFE CH N 2 BROWN BROTHERS N/A 434814.45000000 USD 415600.00000000 CHF 2022-07-13 -303.06000000 N N N STAG INDUSTRIAL, INC. 549300QWYX2W6FASVQ07 85254J102 1555.00000000 NS USD 48018.40000000 0.007124894544 Long EC US N 1 N N N HUNGARIAN FORINT N/A N/A 1.00000000 NC -40131.13000000 -0.00595459384 N/A DFE HU N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 867806.23000000 USD 314466942.00000000 HUF 2022-07-07 -40131.13000000 N N N PACCAR INC KDTEY8BWE486IKZ3CC07 693718108 321.00000000 NS USD 26431.14000000 0.003921810914 Long EC US N 1 N N N INDIA RUPEE N/A N/A 1.00000000 NC -19635.43000000 -0.00291347417 N/A DFE IN N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 841831.84000000 USD 64981000.00000000 INR 2022-07-07 -19635.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 98.45000000 0.000014607855 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 38867.00000000 PEN 10327.35000000 USD 2022-07-15 98.45000000 N N N GENERAL DYNAMICS CORPORATION 9C1X8XOOTYY2FNYTVH06 369550108 186.00000000 NS USD 41152.50000000 0.006106143119 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828H45 689000.00000000 PA USD 846099.22000000 0.125542869334 Long DBT USGA US N 2 2025-01-15 Fixed 0.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828S50 796000.00000000 PA USD 788013.99000000 0.116924274413 Long DBT USGA US N 2 2032-01-15 Fixed 0.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1343160.18000000 0.199295991517 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2600098506.00000000 JPY 20500852.38000000 USD 2022-07-15 1343160.18000000 N N N The Travelers Companies, Inc. 549300Y650407RU8B149 89417E109 159.00000000 NS USD 26891.67000000 0.003990143629 Long EC US N 1 N N N N/A N/A N/A -3.00000000 NC -531415.95000000 -0.07885066147 N/A DE CA N 1 GOLDMAN, SACHS & CO. N/A Short S&P/TSE 60 IX FUT Sep 2022 N/A N/A 2022-09-18 -531714.89000000 CAD 298.94000000 N N N CZECH REPUBLIC KORUNA N/A N/A 1.00000000 NC -9.81000000 -0.00000145559 N/A DFE CZ N 2 BROWN BROTHERS N/A 1671.89000000 USD 39400.00000000 CZK 2022-07-14 -9.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6575.19000000 0.000975616333 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2953640152.00000000 IDR 204215.07000000 USD 2022-07-28 6575.19000000 N N N Lyxor FTSE MIB (DR) UCITS ETF - Dist N/A N/A 4800.00000000 NS 106961.62000000 0.015870796670 Long EC RF IT N 1 N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884U109 565.00000000 NS USD 26515.45000000 0.003934320699 Long EC US N 1 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -32830.71000000 -0.00487136902 N/A DFE AU N 2 J.P. MORGAN SECURITIES N/A 1204993.86000000 USD 1704587.00000000 AUD 2022-07-20 -32830.71000000 N N N INDIA RUPEE N/A N/A 1.00000000 NC -4141.52000000 -0.00061451221 N/A DFE IN N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 316455.57000000 USD 24683250.00000000 INR 2022-07-07 -4141.52000000 N N N Invesco QQQ Trust Series 1 N/A 46090E103 3900.00000000 NS USD 1093092.00000000 0.162191268922 Long EC RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810RL4 352200.00000000 PA USD 387125.21000000 0.057441028789 Long DBT USGA US N 2 2045-02-15 Fixed 0.75000000 N N N N N N United States of America N/A N/A 24.00000000 NC USD 5040375.00000000 0.747882901983 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Sep 2022 2022-10-03 5070022.80000000 USD -29647.80000000 N N N PINNACLE WEST CAPITAL CORPORATION TWSEY0NEDUDCKS27AH81 723484101 547.00000000 NS USD 39996.64000000 0.005934638433 Long EC US N 1 N N N JAPANESE YEN N/A N/A 1.00000000 NC -36701.15000000 -0.00544565881 N/A DFE JP N 2 DEUTSCHE BANK SECURITIES, INC. N/A 866233.16000000 USD 112584800.00000000 JPY 2022-07-15 -36701.15000000 N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 42250P103 434.00000000 NS USD 11244.94000000 0.001668506482 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 9128287D6 536600.00000000 PA USD 588067.12000000 0.087256472835 Long DBT USGA US N 2 2029-07-15 Fixed 0.25000000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851109 172.00000000 NS USD 25846.44000000 0.003835054049 Long EC US N 1 N N N CENTENNIAL ENERGY HOLDINGS, INC. 549300I76MW4N0RMJ639 1513E3GR4 6500000.00000000 PA USD 6490940.63000000 0.963115544968 Long ABS-APCP US N 2 2022-07-25 None 0.00000000 N N N N N N KOREAN WON N/A N/A 1.00000000 NC -52004.53000000 -0.00771635023 N/A DFE KR N 2 GOLDMAN, SACHS & CO. N/A 1330877.52000000 USD 1658739200.00000000 KRW 2022-07-27 -52004.53000000 N N N GENERAL MILLS, INC. 2TGYMUGI08PO8X8L6150 370334104 630.00000000 NS USD 47533.50000000 0.007052945846 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810PZ5 198300.00000000 PA USD 296825.22000000 0.044042458530 Long DBT USGA US N 2 2029-01-15 Fixed 2.50000000 N N N N N N Vanguard 500 Index Fund N/A 922908363 45998.00000000 NS USD 15955786.24000000 2.367494425832 Long EC RF US N 1 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -7498.65000000 -0.00111263787 N/A DFE GB N 2 GOLDMAN, SACHS & CO. N/A 582057.72000000 USD 473000.00000000 GBP 2022-07-20 -7498.65000000 N N N TRANSCANADA PIPELINES LIMITED 5BV01I6231JPDAPMGH09 89355QGR1 7550000.00000000 PA USD 7539477.19000000 1.118695747895 Long ABS-APCP US N 2 2022-07-25 None 0.00000000 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29364G103 127.00000000 NS USD 14305.28000000 0.002122594910 Long EC US N 1 N N N N/A N/A N/A 1.00000000 NC 111072.53000000 0.016480767019 N/A DE AU N 1 GOLDMAN, SACHS & CO. N/A Long SPI 200 Future Sep 2022 N/A N/A 2022-09-18 112296.22000000 AUD -1223.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4217.31000000 -0.00062575781 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 879000.00000000 EUR 915890.75000000 USD 2022-07-20 -4217.31000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 11529.87000000 0.001710783946 N/A DFE NO N 2 J.P. MORGAN SECURITIES N/A 1032941.28000000 USD 10312425.00000000 NOK 2022-07-20 11529.87000000 N N N Vanguard Intermediate Term Corporate Bond Etf N/A 92206C870 12152.00000000 NS USD 972403.04000000 0.144283631168 Long EC RF US N 1 N N N INDIA RUPEE N/A N/A 1.00000000 NC -2772.10000000 -0.00041131983 N/A DFE IN N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 210981.47000000 USD 16455500.00000000 INR 2022-07-07 -2772.10000000 N N N LEGGETT & PLATT, INCORPORATED DKOVQUCDW4ZLYCUD4T55 524660107 710.00000000 NS USD 24551.80000000 0.003642957405 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810QF8 124900.00000000 PA USD 195004.15000000 0.028934408570 Long DBT USGA US N 2 2040-02-15 Fixed 2.12500000 N N N N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC -230.79000000 -0.00003424425 N/A DFE CN N 2 DEUTSCHE BANK SECURITIES, INC. N/A 533836.95000000 USD 3578000.00000000 CNY 2022-07-21 -230.79000000 N N N Ishares Trust S & P Global N/A 464287341 12640.00000000 NS USD 428243.20000000 0.063542051369 Long EC RF US N 1 N N N TOWER SEMICONDUCTOR LTD 54930086ZSNXZOUX0C54 M87915274 605.00000000 NS USD 27938.90000000 0.004145529967 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 24277.40000000 0.003602242365 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 32663000.00000000 PHP 617798.37000000 USD 2022-07-28 24277.40000000 N N N FLEX LTD. 549300EAQH74YHD07T53 Y2573F102 1732.00000000 NS USD 25062.04000000 0.003718666012 Long EC US N 1 N N N ANNALY CAPITAL MANAGEMENT, INC. 2DTL0G3FPRYUT58TI025 035710409 4391.00000000 NS USD 25950.81000000 0.003850540305 Long EC US N 1 N N N NEW YORK COMMUNITY BANCORP, INC. 529900HVXOTLY61GL030 649445103 5609.00000000 NS USD 51210.17000000 0.007598484349 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 9128283R9 598400.00000000 PA USD 696572.19000000 0.103356284184 Long DBT USGA US N 2 2028-01-15 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5832.83000000 0.000865466126 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 2302598.00000000 PEN 611823.57000000 USD 2022-07-15 5832.83000000 N N N United States of America N/A N/A 21.00000000 NC USD 2489156.25000000 0.369337083002 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Sep 2022 2022-09-24 2484076.10000000 USD 5080.15000000 N N N NORTONLIFELOCK INC. YF6ZV0M6AU4FY94MK914 668771108 1776.00000000 NS USD 39000.96000000 0.005786901003 Long EC US N 1 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 4380.20000000 0.000649927175 N/A DFE NO N 2 J.P. MORGAN SECURITIES N/A 302514.69000000 USD 3024900.00000000 NOK 2022-09-22 4380.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 113766.27000000 0.016880459917 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 334170300.00000000 JPY 2575954.43000000 USD 2022-07-15 113766.27000000 N N N EURO N/A N/A 1.00000000 NC -14489.30000000 -0.00214989950 N/A DFE XX N 2 BROWN BROTHERS N/A 1540398.68000000 USD 1457000.00000000 EUR 2022-07-28 -14489.30000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -2066.89000000 -0.00030668188 N/A DFE CA N 2 BROWN BROTHERS N/A 432340.64000000 USD 555000.00000000 CAD 2022-07-21 -2066.89000000 N N N CONAGRA BRANDS, INC. 54930035UDEIH090K650 20600HG81 1300000.00000000 PA USD 1299374.84000000 0.192799191747 Long ABS-APCP US N 2 2022-07-08 None 0.00000000 N N N N N N BRK: DEUTSCHE BANK AG LONDON N/A N/A 3780000.00000000 NC -415512.81000000 -0.06165313615 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG LONDON N/A Y 2032-01-05 0.00000000 AUD 0.00000000 AUD -3780000.00000000 AUD -415512.81000000 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -28893.50000000 -0.00428717201 N/A DFE ID N 2 GOLDMAN, SACHS & CO. N/A 805258.78000000 USD 11602434200.00000000 IDR 2022-07-28 -28893.50000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -5583.23000000 -0.00082843087 N/A DFE AU N 2 J.P. MORGAN SECURITIES N/A 544986.62000000 USD 784413.00000000 AUD 2022-07-20 -5583.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 26918.73000000 0.003994158750 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 25031888700.00000000 IDR 1701902.53000000 USD 2022-07-28 26918.73000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -22020.23000000 -0.00326732703 N/A DFE CA N 2 BROWN BROTHERS N/A 706260.16000000 USD 882585.00000000 CAD 2022-07-21 -22020.23000000 N N N Japan 353800WZS8AXZXFUC241 N/A 1083000000.00000000 PA 8617299.30000000 1.278621294595 Long DBT USGA JP N 2 2027-03-10 Fixed 0.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 22065.85000000 0.003274096060 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 29484000.00000000 TWD 1015464.10000000 USD 2022-07-27 22065.85000000 N N N HEALTHPEAK PROPERTIES, INC. PZ9HF5U52KPF0MH0QN75 42250RHG7 12550000.00000000 PA USD 12514297.63000000 1.856851767539 Long ABS-APCP US N 2 2022-08-16 None 0.00000000 N N N N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498106 386.00000000 NS USD 26545.22000000 0.003938737924 Long EC US N 1 N N N N/A N/A CD1205226 -2445300.00000000 NC USD -34980.59000000 -0.00519036483 N/A DCR XX N 2 BRK: BNP PARIBAS N/A Y 2026-12-20 200792.75000000 USD 0.00000000 USD -2445300.00000000 USD -235773.34000000 N N N Vanguard Small-Cap Index Fund N/A 922908751 1706.00000000 NS USD 300443.66000000 0.044579356957 Long EC RF US N 1 N N N PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED PUSS41EMO3E6XXNV3U28 744573106 617.00000000 NS USD 39043.76000000 0.005793251599 Long EC US N 1 N N N LAMB WESTON HOLDINGS, INC. 5493005SMYID1D2OY946 513272104 410.00000000 NS USD 29298.60000000 0.004347280111 Long EC US N 1 N N N Rogers Communications Inc. 54930030NVF3Y2OL0A78 77511MGE5 7550000.00000000 PA USD 7544389.07000000 1.119424564911 Long ABS-APCP US N 2 2022-07-14 None 0.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -38284.57000000 -0.00568060418 N/A DFE JP N 2 DEUTSCHE BANK SECURITIES, INC. N/A 3500850.97000000 USD 469787944.00000000 JPY 2022-07-20 -38284.57000000 N N N THE COCA-COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 419.00000000 NS USD 26359.29000000 0.003911149924 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9279.82000000 0.001376925072 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 16953000.00000000 ZAR 1039085.31000000 USD 2022-08-18 9279.82000000 N N N PERUVIAN NEW SOL N/A N/A 1.00000000 NC -4616.00000000 -0.00068491480 N/A DFE PE N 2 DEUTSCHE BANK SECURITIES, INC. N/A 610606.74000000 USD 2302598.00000000 PEN 2022-07-15 -4616.00000000 N N N N/A N/A N/A -8.00000000 NC -161270.39000000 -0.02392904640 N/A DE SG N 1 GOLDMAN, SACHS & CO. N/A Short MSCI SING IX ETS Jul 2022 N/A N/A 2022-07-31 -168847.75000000 SGD 7577.36000000 N N N BORGWARNER INC. 549300DSFX2IE88NSX47 099724106 720.00000000 NS USD 24026.40000000 0.003564999381 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 228.08000000 0.000033842151 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 503000.00000000 CAD 390186.84000000 USD 2022-07-20 228.08000000 N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040Q104 311.00000000 NS USD 25610.85000000 0.003800097576 Long EC US N 1 N N N KOREAN WON N/A N/A 1.00000000 NC -7444.48000000 -0.00110460021 N/A DFE KR N 2 GOLDMAN, SACHS & CO. N/A 322158.38000000 USD 408194000.00000000 KRW 2022-07-27 -7444.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19037.27000000 0.002824720131 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 10398900.00000000 ZAR 650715.69000000 USD 2022-08-18 19037.27000000 N N N United States of America 254900HROIFWPRGM1V77 912810FS2 87700.00000000 PA USD 135291.48000000 0.020074336666 Long DBT USGA US N 2 2026-01-15 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5816.87000000 0.000863098006 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 28304000.00000000 TWD 959457.63000000 USD 2022-07-27 5816.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 153284.67000000 0.022744137852 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4889176063.00000000 KRW 3922795.41000000 USD 2022-07-27 153284.67000000 N N N NRG ENERGY, INC. 5E2UPK5SW04M13XY7I38 629377508 652.00000000 NS USD 24886.84000000 0.003692670112 Long EC US N 1 N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137L105 810.00000000 NS USD 26049.60000000 0.003865198609 Long EC US N 1 N N N BLACKSTONE MORTGAGE TRUST, INC. 549300OLDJ20R2Y2UW20 09257W100 1420.00000000 NS USD 39291.40000000 0.005829996033 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7345.46000000 0.001089907782 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 593200.00000000 CHF 627538.33000000 USD 2022-07-13 7345.46000000 N N N FS KKR CAPITAL CORP. 549300TYRSI1T21B1360 302635206 1313.00000000 NS USD 25498.46000000 0.003783421324 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810SG4 160500.00000000 PA USD 177418.17000000 0.026325028563 Long DBT USGA US N 2 2049-02-15 Fixed 1.00000000 N N N N N N United States of America N/A N/A 2.00000000 NC USD 277250.00000000 0.041137918225 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US Long Bond (CBT) Sep 2022 2022-09-24 277854.05000000 USD -604.05000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29277FG13 10000000.00000000 PA USD 9999428.60000000 1.483699462747 Long ABS-APCP US N 2 2022-07-01 None 0.00000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC -3261.12000000 -0.00048387984 N/A DFE MX N 2 HSBC BANK PLC, LONDON - TREASURY AND CAP N/A 391605.77000000 USD 7863378.00000000 MXN 2022-07-20 -3261.12000000 N N N United States of America 254900HROIFWPRGM1V77 9128282L3 908300.00000000 PA USD 1029772.43000000 0.152796010878 Long DBT USGA US N 2 2024-10-15 Fixed 0.12500000 N N N N N N VIATRIS INC. 254900ZZTSW7NL773X71 92556V106 316.00000000 NS USD 3308.52000000 0.000490912985 Long EC US N 1 N N N N/A N/A N/A 59.00000000 NC USD 5476970.00000000 0.812664180279 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long NYL - MSCI EAFE MINI INDEX Sep 2022 N/A N/A 2022-09-19 5516917.13000000 USD -39947.13000000 N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 962166104 1521.00000000 NS USD 50375.52000000 0.007474640296 Long EC US N 1 N N N THE SHERWIN-WILLIAMS COMPANY Z15BMIOX8DDH0X2OBP21 824348106 112.00000000 NS USD 25077.92000000 0.003721022262 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 729.99000000 0.000108314766 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 657000.00000000 CAD 510079.70000000 USD 2022-07-20 729.99000000 N N N EMERSON ELECTRIC CO. FGLT0EWZSUIRRITFOA30 291011104 299.00000000 NS USD 23782.46000000 0.003528803948 Long EC US N 1 N N N Stellantis N.V. 549300LKT9PW7ZIBDF31 N82405106 1972.00000000 NS USD 24373.92000000 0.003616563851 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12485.47000000 0.001852574369 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 5677080974.00000000 IDR 392361.67000000 USD 2022-07-28 12485.47000000 N N N PHILLIPINE PESO N/A N/A 1.00000000 NC -94852.75000000 -0.01407410161 N/A DFE PH N 2 DEUTSCHE BANK SECURITIES, INC. N/A 2503478.41000000 USD 132552923.00000000 PHP 2022-07-28 -94852.75000000 N N N FORTUNE BRANDS HOME & SECURITY, INC. 54930032LHW54PQUJD44 34965HGB4 12550000.00000000 PA USD 12543013.16000000 1.861112532643 Long ABS-APCP US N 2 2022-07-11 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828S50 413700.00000000 PA USD 494930.69000000 0.073437036077 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 97717W851 3982.00000000 NS USD 248596.26000000 0.036886321424 Long EC RF US N 1 N N N United Kingdom of Great Britain and Northern Ireland N/A N/A 19.00000000 NC 2630030.85000000 0.390239834219 N/A DIR GB N 1 CITIGROUP GLOBAL MARKETS N/A Long U.K. Gilt Futures U.K. Long Gilt Future Sep 2022 2022-10-01 2814072.86000000 GBP -184042.01000000 N N N United States of America 254900HROIFWPRGM1V77 91282CBF7 698200.00000000 PA USD 737545.02000000 0.109435768152 Long DBT USGA US N 2 2031-01-15 Fixed 0.12500000 N N N N N N ANTERO MIDSTREAM CORPORATION N/A 03676B102 1396.00000000 NS USD 12633.80000000 0.001874583340 Long EC US N 1 N N N Canada N/A N/A 1.00000000 NC 96120.00000000 0.014262134174 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A Long Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Sep 2022 2022-09-23 95803.68000000 CAD 316.32000000 N N N CHURCH & DWIGHT CO., INC. POOXSI30AWAQGYJZC921 171340102 301.00000000 NS USD 27890.66000000 0.004138372192 Long EC US N 1 N N N Republique Francaise N/A N/A 17.00000000 NC 2462034.65000000 0.365312822721 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long France Govt. Bond Future Eurex Long Term Euro OAT Bond Future Sep 2022 2022-09-11 2542349.79000000 EUR -80315.14000000 N N N FASTENAL COMPANY 529900PP0C7H2HHPSJ32 311900104 534.00000000 NS USD 26657.28000000 0.003955365210 Long EC US N 1 N N N TAIWAN DOLLAR N/A N/A 1.00000000 NC -440.98000000 -0.00006543191 N/A DFE TW N 2 UBS SECURITIES LLC N/A 437162.02000000 USD 12961854.00000000 TWD 2022-07-27 -440.98000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1516.02000000 -0.00022494465 N/A DFE JP N 2 DEUTSCHE BANK SECURITIES, INC. N/A 342114.80000000 USD 46211157.00000000 JPY 2022-07-20 -1516.02000000 N N N Mondelez International, Inc. 549300DV9GIB88LZ5P30 609207105 904.00000000 NS USD 56129.36000000 0.008328386011 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4851.20000000 -0.00071981341 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 4169000.00000000 CNY 616893.93000000 USD 2022-07-21 -4851.20000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -610.52000000 -0.00009058799 N/A DFE MX N 2 BROWN BROTHERS N/A 898921.16000000 USD 18189400.00000000 MXN 2022-07-20 -610.52000000 N N N N/A N/A N/A 26.00000000 NC USD 599534.00000000 0.088957910424 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long IOM - CME Index and Options Market Micro E-Mini Nasdaq-100 Composite Index Future Sep 2022 N/A N/A 2022-09-19 588993.60000000 USD 10540.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6249.34000000 0.000927267224 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 651000.00000000 EUR 688038.64000000 USD 2022-07-28 6249.34000000 N N N PERUVIAN NEW SOL N/A N/A 1.00000000 NC -32.88000000 -0.00000487868 N/A DFE PE N 2 DEUTSCHE BANK SECURITIES, INC. N/A 4349.51000000 USD 16402.00000000 PEN 2022-07-15 -32.88000000 N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -127941.29000000 -0.01898372705 N/A DFE BR N 2 BANK OF AMERICA N/A 1896775.45000000 USD 9264610.00000000 BRL 2022-07-05 -127941.29000000 N N N THE WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 740.00000000 NS USD 69856.00000000 0.010365123230 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3354.74000000 0.000497771036 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 75913663.00000000 JPY 562691.47000000 USD 2022-07-15 3354.74000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 994.62000000 0.000147580148 N/A DFE CA N 2 BROWN BROTHERS N/A 804351.61000000 USD 1038800.00000000 CAD 2022-07-20 994.62000000 N N N United States of America 254900HROIFWPRGM1V77 912810FR4 321900.00000000 PA USD 523157.17000000 0.077625236712 Long DBT USGA US N 2 2025-01-15 Fixed 2.37500000 N N N N N N COLOMBIA PESO N/A N/A 1.00000000 NC -42.88000000 -0.00000636246 N/A DFE CO N 2 BNP PARIBAS N/A 2387.58000000 USD 9773000.00000000 COP 2022-07-15 -42.88000000 N N N DANAHER CORPORATION S4BKK9OTCEWQ3YHPFM11 235851102 110.00000000 NS USD 27887.20000000 0.004137858803 Long EC US N 1 N N N CENTERPOINT ENERGY, INC. 21TPXMRRHFKOBHDC8J74 15189T107 950.00000000 NS USD 28101.00000000 0.004169582110 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3287.30000000 0.000487764395 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 17629125.00000000 INR 226346.40000000 USD 2022-07-07 3287.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19415.85000000 0.002880893235 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 52645000.00000000 INR 685526.40000000 USD 2022-07-07 19415.85000000 N N N CAESARS ENTERTAINMENT, INC. 549300FA4CTCW903Y781 12769G100 770.00000000 NS USD 29491.00000000 0.004375828120 Long EC US N 1 N N N N/A N/A N/A -27.00000000 NC -492842.08000000 -0.07312713141 N/A DE SE N 1 CITIGROUP GLOBAL MARKETS N/A Short OMXS30 IND FUTURE Jul 2022 N/A N/A 2022-07-18 -498780.00000000 SEK 5937.92000000 N N N HUNGARIAN FORINT N/A N/A 1.00000000 NC -11688.96000000 -0.00173438947 N/A DFE HU N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 406885.49000000 USD 150151000.00000000 HUF 2022-07-07 -11688.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1130.74000000 0.000167777419 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 45100.00000000 CAD 36095.33000000 USD 2022-07-21 1130.74000000 N N N SOCIETE AURIFERE BARRICK 0O4KBQCJZX82UKGCBV73 067901108 1213.00000000 NS USD 21457.97000000 0.003183899784 Long EC US N 1 N N N TAIWAN DOLLAR N/A N/A 1.00000000 NC -2481.39000000 -0.00036818473 N/A DFE TW N 2 UBS SECURITIES LLC N/A 434648.71000000 USD 12826700.00000000 TWD 2022-07-27 -2481.39000000 N N N United States of America N/A N/A 1.00000000 NC USD 154343.75000000 0.022901282474 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Sep 2022 2022-09-24 152032.45000000 USD 2311.30000000 N N N ALPHABET INC. 5493006MHB84DD0ZWV18 02079K305 10.00000000 NS USD 21792.60000000 0.003233551656 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828S50 247500.00000000 PA USD 211561.50000000 0.031391162079 Long DBT USGA US N 2 2051-02-15 Fixed 0.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810FH6 247000.00000000 PA USD 524445.25000000 0.077816359993 Long DBT USGA US N 2 2029-04-15 Fixed 3.87500000 N N N N N N WORLD WRESTLING ENTERTAINMENT, INC. 549300WZVLSCS3L4L698 98156Q108 6681.00000000 NS USD 417495.69000000 0.061947352766 Long EC US N 1 N N N Alcon AG 549300LDT5AP8S0NBM78 H01301128 380.00000000 NS USD 26558.20000000 0.003940663876 Long EC US N 1 N N N JAPANESE YEN N/A N/A 1.00000000 NC -37161.67000000 -0.00551399005 N/A DFE JP N 2 DEUTSCHE BANK SECURITIES, INC. N/A 567203.98000000 USD 71937800.00000000 JPY 2022-07-15 -37161.67000000 N N N United States of America 254900HROIFWPRGM1V77 91282CBF7 715100.00000000 PA USD 733408.54000000 0.108822003766 Long DBT USGA US N 2 2031-07-15 Fixed 0.12500000 N N N N N N BRK: UBS AG N/A N/A 980000.00000000 NC -103166.14000000 -0.01530762932 N/A DIR XX N 2 BRK: UBS AG N/A Y 2031-11-15 0.00000000 AUD 0.00000000 AUD -980000.00000000 AUD -103166.14000000 N N N BRK: UBS AG N/A N/A 810000.00000000 NC -55009.31000000 -0.00816219475 N/A DIR XX N 2 BRK: UBS AG N/A Y 2031-11-16 0.00000000 NZD 0.00000000 NZD -810000.00000000 NZD -55009.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3980256.46000000 0.590584183110 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 7705007210.00000000 JPY 60751242.70000000 USD 2022-07-15 3980256.46000000 N N N META PLATFORMS, INC. BQ4BKCS1HXDV9HN80Z93 30303M102 426.00000000 NS USD 68692.50000000 0.010192484933 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5858.44000000 0.000869266097 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 135000.00000000 GBP 169950.69000000 USD 2022-08-25 5858.44000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -44552.23000000 -0.00661058970 N/A DFE JP N 2 DEUTSCHE BANK SECURITIES, INC. N/A 703474.51000000 USD 89429500.00000000 JPY 2022-07-15 -44552.23000000 N N N iShares Core S&P 500 ETF N/A 464287200 25289.00000000 NS USD 9588324.35000000 1.422700461779 Long EC RF US N 1 N N N MEDTRONIC PUBLIC LIMITED COMPANY 549300GX3ZBSQWUXY261 G5960L103 268.00000000 NS USD 24053.00000000 0.003568946247 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828WU0 234100.00000000 PA USD 287763.36000000 0.042697874019 Long DBT USGA US N 2 2024-07-15 Fixed 0.12500000 N N N N N N N/A N/A CD1270041 -180000.00000000 NC USD -57.18000000 -0.00000848427 N/A DCR XX N 2 BRK: BANK OF AMERICA, N.A. N/A Y 2027-06-20 2761.58000000 USD 0.00000000 USD -180000.00000000 USD -2818.76000000 N N N N/A N/A N/A 1.00000000 NC 137783.45000000 0.020444091249 N/A DE NL N 1 GOLDMAN, SACHS & CO. N/A Long AMSTERDAM IDX FUT Jul 2022 N/A N/A 2022-07-18 136504.21000000 EUR 1279.24000000 N N N Japan N/A N/A 1.00000000 NC 1093886.86000000 0.162309208997 N/A DIR JP N 1 GOLDMAN, SACHS & CO. N/A Long Japan Govt. Bond Futures Japan Govt 10 Year Bond Future (TSE) Sep 2022 2022-09-15 1106100.77000000 JPY -12213.91000000 N N N HUNTINGTON INGALLS INDUSTRIES, INC. 5TZLZ6WJTBVJ0QWBG121 446413106 147.00000000 NS USD 32019.54000000 0.004751008902 Long EC US N 1 N N N HOLOGIC, INC. 549300DYP6F5ZJL0LB74 436440101 372.00000000 NS USD 25779.60000000 0.003825136435 Long EC US N 1 N N N AUST 3YR BOND FUT SEP22 N/A N/A 31.00000000 NC 2290729.74000000 0.339894870046 Long AU N 1 N N N BANQUE ROYALE DU CANADA ES7IP3U3RHIGC71XBU11 780087102 534.00000000 NS USD 51701.88000000 0.007671443504 Long EC US N 1 N N N MEXICAN PESO N/A N/A 1.00000000 NC -11151.80000000 -0.00165468651 N/A DFE MX N 2 BROWN BROTHERS N/A 432033.28000000 USD 8534500.00000000 MXN 2022-07-28 -11151.80000000 N N N ZOETIS INC. 549300HD9Q1LOC9KLJ48 98978V103 165.00000000 NS USD 28361.85000000 0.004208286622 Long EC US N 1 N N N AVANTOR, INC. N/A 05352A100 458.00000000 NS USD 14243.80000000 0.002113472604 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810PV4 260700.00000000 PA USD 381882.15000000 0.056663071806 Long DBT USGA US N 2 2028-01-15 Fixed 1.75000000 N N N N N N THE ALLSTATE CORPORATION OBT0W1ED8G0NWVOLOJ77 020002101 208.00000000 NS USD 26359.84000000 0.003911231532 Long EC US N 1 N N N EURO N/A N/A 1.00000000 NC -4587.17000000 -0.00068063705 N/A DFE XX N 2 BROWN BROTHERS N/A 433349.90000000 USD 409400.00000000 EUR 2022-07-28 -4587.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10806.97000000 0.001603521183 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 1704587.00000000 AUD 1182970.12000000 USD 2022-07-20 10806.97000000 N N N N/A N/A N/A 6.00000000 NC USD 1136850.00000000 0.168684012026 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long S&P 500 Future (e-Mini) Sep 2022 N/A N/A 2022-09-19 1126075.38000000 USD 10774.62000000 N N N CHILEAN PESO N/A N/A 1.00000000 NC -5608.13000000 -0.00083212549 N/A DFE CL N 2 UBS INTERNATIONAL INC N/A 59597.93000000 USD 50741676.00000000 CLP 2022-07-15 -5608.13000000 N N N TAIWAN DOLLAR N/A N/A 1.00000000 NC -4415.11000000 -0.00065510706 N/A DFE TW N 2 UBS SECURITIES LLC N/A 642543.09000000 USD 18939600.00000000 TWD 2022-07-27 -4415.11000000 N N N ENBRIDGE (U.S.) INC. 5493003FRODSVHJWFS32 29251VGK6 10000000.00000000 PA USD 9988879.70000000 1.482134233584 Long ABS-APCP US N 2 2022-07-19 None 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4973.13000000 0.000737905194 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 784413.00000000 AUD 544376.52000000 USD 2022-07-20 4973.13000000 N N N N/A N/A N/A 5.00000000 NC USD 1134000.00000000 0.168261133516 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long S&P MID 400 EMINI Sep 2022 N/A N/A 2022-09-19 1145333.65000000 USD -11333.65000000 N N N BRK: DEUTSCHE BANK AG LONDON N/A N/A 3620000.00000000 NC -259711.29000000 -0.03853555206 N/A DIR XX N 2 BRK: DEUTSCHE BANK AG LONDON N/A Y 2032-01-06 0.00000000 NZD 0.00000000 NZD -3620000.00000000 NZD -259711.29000000 N N N CHEVRON CORPORATION N/A 166764100 92.00000000 NS USD 13319.76000000 0.001976365005 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 96877.77000000 0.014374570893 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 135382800.00000000 PHP 2556925.26000000 USD 2022-07-28 96877.77000000 N N N N/A N/A N/A 2.00000000 NC USD 170800.00000000 0.025343034924 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long Russell 2000 E-mini Composite Index Futures Sep 2022 N/A N/A 2022-09-19 171583.46000000 USD -783.46000000 N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC -112.28000000 -0.00001665992 N/A DFE CN N 2 BROWN BROTHERS N/A 639600.06000000 USD 4282400.00000000 CNY 2022-07-21 -112.28000000 N N N N/A N/A N/A 6.00000000 NC 831303.88000000 0.123347560093 N/A DE HK N 1 GOLDMAN, SACHS & CO. N/A Long HANG SENG IDX FUT Jul 2022 N/A N/A 2022-07-31 844142.48000000 HKD -12838.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -521.00000000 -0.00007730515 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 770305.00000000 EUR 805808.74000000 USD 2022-07-20 -521.00000000 N N N MCCORMICK & COMPANY, INCORPORATED 549300JQQA6MQ4OJP259 579780206 146.00000000 NS USD 12154.50000000 0.001803465562 Long EC US N 1 N N N HUNTINGTON BANCSHARES INCORPORATED 549300XTVCVV9I7B5T19 446150104 2098.00000000 NS USD 25238.94000000 0.003744914156 Long EC US N 1 N N N ELECTRONIC ARTS INC. 549300O7A67PUEYKDL45 285512109 233.00000000 NS USD 28344.45000000 0.004205704837 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810SB5 183600.00000000 PA USD 205431.74000000 0.030481637947 Long DBT USGA US N 2 2048-02-15 Fixed 1.00000000 N N N N N N N/A N/A N/A -11.00000000 NC -951288.53000000 -0.14115069343 N/A DE GB N 1 GOLDMAN, SACHS & CO. N/A Short FTSE 100 IDX FUT Sep 2022 N/A N/A 2022-09-19 -943323.88000000 GBP -7964.65000000 N N N United States of America 254900HROIFWPRGM1V77 912828B25 979200.00000000 PA USD 1234036.19000000 0.183104345793 Long DBT USGA US N 2 2024-01-15 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1091.83000000 -0.00016200401 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 664994069.00000000 KRW 511612.61000000 USD 2022-07-27 -1091.83000000 N N N LA BANQUE TORONTO-DOMINION PT3QB789TSUIDF371261 891160509 561.00000000 NS USD 36790.38000000 0.005458898625 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3539.52000000 0.000525188401 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 3570737808.00000000 IDR 242471.87000000 USD 2022-07-28 3539.52000000 N N N TEXAS INSTRUMENTS INCORPORATED WDJNR2L6D8RWOEB8T652 882508104 166.00000000 NS USD 25505.90000000 0.003784525260 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 20169.69000000 0.002992746827 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 827400.00000000 NZD 534065.19000000 USD 2022-08-26 20169.69000000 N N N CHENIERE ENERGY, INC. MIHC87W9WTYSYZWV1J40 16411R208 215.00000000 NS USD 28601.45000000 0.004243838092 Long EC US N 1 N N N POLISH ZLOTY N/A N/A 1.00000000 NC -6570.55000000 -0.00097492785 N/A DFE PA N 2 MERRILL LYNCH, PIERCE, FENNER & SMITH N/A 1080783.87000000 USD 4834022.00000000 PLN 2022-07-07 -6570.55000000 N N N United States of America 254900HROIFWPRGM1V77 912828Z37 671300.00000000 PA USD 720011.46000000 0.106834166141 Long DBT USGA US N 2 2030-01-15 Fixed 0.12500000 N N N N N N CORNING INCORPORATED 549300X2937PB0CJ7I56 219350105 1249.00000000 NS USD 39355.99000000 0.005839579795 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912828ZZ6 629900.00000000 PA USD 677357.03000000 0.100505169015 Long DBT USGA US N 2 2030-07-15 Fixed 0.12500000 N N N N N N CONSOLIDATED EDISON, INC. 54930033SBW53OO8T749 209115104 279.00000000 NS USD 26532.90000000 0.003936909902 Long EC US N 1 N N N LAZARD LTD 254900RIBCDJSUFG1A11 G54050102 803.00000000 NS USD 26025.23000000 0.003861582627 Long EC US N 1 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 395.92000000 0.000058745985 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 442789.00000000 EUR 463892.77000000 USD 2022-07-20 395.92000000 N N N KINROSS GOLD CORPORATION 549300UEBMAQDN0K0R06 496902404 6225.00000000 NS USD 22285.50000000 0.003306687381 Long EC US N 1 N N N EURO N/A N/A 1.00000000 NC -11821.64000000 -0.00175407631 N/A DFE XX N 2 BROWN BROTHERS N/A 980080.98000000 USD 925000.00000000 EUR 2022-07-20 -11821.64000000 N N N Materials Select Sector SPDR N/A 81369Y100 9217.00000000 NS USD 678371.20000000 0.100655649962 Long EC RF US N 1 N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC -22.78000000 -0.00000338006 N/A DFE CN N 2 DEUTSCHE BANK SECURITIES, INC. N/A 779553.22000000 USD 5227001.00000000 CNY 2022-07-21 -22.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9643.79000000 0.001430930367 N/A DFE US N 2 GOLDMAN, SACHS & CO. N/A 42433195.00000000 JPY 322294.29000000 USD 2022-07-15 9643.79000000 N N N PHILLIPINE PESO N/A N/A 1.00000000 NC -15581.07000000 -0.00231189462 N/A DFE PH N 2 DEUTSCHE BANK SECURITIES, INC. N/A 427536.92000000 USD 22671000.00000000 PHP 2022-07-28 -15581.07000000 N N N TRIMBLE INC. 549300E2MI7NSZFQWS19 896239100 407.00000000 NS USD 23699.61000000 0.003516510795 Long EC US N 1 N N N N/A N/A N/A 3.00000000 NC USD 691770.00000000 0.102643742797 N/A DE US N 1 GOLDMAN, SACHS & CO. N/A Long NASDAQ 100 E-MINI Sep 2022 N/A N/A 2022-09-19 679592.19000000 USD 12177.81000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -13876.05000000 -0.00205890643 N/A DFE JP N 2 DEUTSCHE BANK SECURITIES, INC. N/A 535489.30000000 USD 70793800.00000000 JPY 2022-07-15 -13876.05000000 N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 54.00000000 NS USD 27736.02000000 0.004115426952 Long EC US N 1 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -7861.26000000 -0.00116644137 N/A DFE GB N 2 GOLDMAN, SACHS & CO. N/A 390495.74000000 USD 315000.00000000 GBP 2022-07-20 -7861.26000000 N N N FMC CORPORATION CKDHZ2X64EEBQCSP7013 34410XGF1 12250000.00000000 PA USD 12238668.75000000 1.815954388546 Long ABS-APCP US N 2 2022-07-15 None 0.00000000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172109 294.00000000 NS USD 29029.56000000 0.004307360380 Long EC US N 1 N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC 1156.07000000 0.000171535845 N/A DFE MY N 2 GOLDMAN, SACHS & CO. N/A 567150.64000000 USD 2500000.00000000 MYR 2022-12-15 1156.07000000 N N N AMERICOLD REALTY TRUST, INC. N/A 03064D108 916.00000000 NS USD 27516.64000000 0.004082875693 Long EC US N 1 N N N ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC 549300ITBBGKJ651R879 G0751N103 788.00000000 NS USD 25420.88000000 0.003771910126 Long EC US N 1 N N N BRAZILIAN REAL N/A N/A 1.00000000 NC 4945.44000000 0.000733796596 N/A DFE BR N 2 BANK OF AMERICA N/A 1748445.39000000 USD 9264610.00000000 BRL 2022-08-02 4945.44000000 N N N United States of America 254900HROIFWPRGM1V77 912828S50 159500.00000000 PA USD 128525.67000000 0.019070436437 Long DBT USGA US N 2 2052-02-15 Fixed 0.12500000 N N N N N N BANQUE CANADIENNE IMPERIALE DE COMMERCE 2IGI19DL77OX0HC3ZE78 136069101 490.00000000 NS USD 23784.60000000 0.003529121478 Long EC US N 1 N N N United States of America 254900HROIFWPRGM1V77 912810RA8 231400.00000000 PA USD 257074.78000000 0.038144350865 Long DBT USGA US N 2 2043-02-15 Fixed 0.62500000 N N N N N N 2022-06-30 SEI INSTITUTIONAL MANAGED TRUST Peter Rodriguez Peter Rodriguez CFO XXXX