0001752724-21-164126.txt : 20210809
0001752724-21-164126.hdr.sgml : 20210809
20210809115252
ACCESSION NUMBER: 0001752724-21-164126
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210809
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: AB VARIABLE PRODUCTS SERIES FUND, INC.
CENTRAL INDEX KEY: 0000825316
IRS NUMBER: 000000000
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05398
FILM NUMBER: 211155530
BUSINESS ADDRESS:
STREET 1: ALLIANCEBERNSTEIN LP
STREET 2: 1345 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10105
BUSINESS PHONE: 2129691000
MAIL ADDRESS:
STREET 1: ALLIANCEBERNSTEIN LP
STREET 2: 1345 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10105
FORMER COMPANY:
FORMER CONFORMED NAME: ALLIANCEBERNSTEIN VARIABLE PRODUCTS SERIES FUND INC
DATE OF NAME CHANGE: 19920703
0000825316
S000010443
AB Balanced Wealth Strategy Portfolio
C000028852
Class A
C000028853
Class B
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000825316
XXXXXXXX
S000010443
C000028853
C000028852
AB VARIABLE PRODUCTS SERIES FUND, INC.
811-05398
0000825316
549300O75IUIQOS5Q596
ALLIANCEBERNSTEIN LP
1345 AVENUE OF THE AMERICAS
NEW YORK
10105
212-969-1000
AB Balanced Wealth Strategy Portfolio
S000010443
549300R9D1H8EHZQZI72
2021-12-31
2021-06-30
N
252972379.20
1853805.52
251118573.68
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
250000.00000000
0.00000000
0.00000000
414508.93000000
CAD
CNY
EUR
JPY
USD
UST
Domino's Pizza Enterprises Ltd
54930034RFI409JZ3179
Domino's Pizza Enterprises Ltd
000000000
274.00000000
NS
24777.29000000
0.009866769166
Long
EC
CORP
AU
N
2
N
N
N
LondonMetric Property PLC
213800OCERWWPQDURL87
LondonMetric Property PLC
000000000
14720.00000000
NS
47086.81000000
0.018750827272
Long
EC
GB
N
2
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
86000.00000000
PA
USD
87851.58000000
0.034984102813
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
HelloFresh SE
391200ZAF4V6XD2M9G57
HelloFresh SE
000000000
985.00000000
NS
95750.92000000
0.038129764197
Long
EC
CORP
DE
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
376.07000000
0.000149757938
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1200000.00000000
SEK
140611.40000000
USD
2021-07-15
376.07000000
N
N
N
China Development Bank
300300C1020111000029
China Development Bank
000000000
14390000.00000000
PA
2410749.53000000
0.960004469072
Long
DBT
NUSS
CN
N
2
2028-02-09
Fixed
4.88000000
N
N
N
N
N
N
Boardwalk Pipelines LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AG3
125000.00000000
PA
USD
144966.25000000
0.057728206988
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
4.80000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-21.79000000
-0.00000867717
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4700.67000000
USD
5800.00000000
CAD
2021-07-16
-21.79000000
N
N
N
CANADA HOUSING TRUST
549300M44WH89JG50067
Canada Housing Trust No 1
13509PHJ5
200000.00000000
PA
166379.48000000
0.066255346054
Long
DBT
NUSS
CA
N
2
2024-12-15
Fixed
1.80000000
N
N
N
N
N
N
EDP FINANCE BV
5299007L43AQDFOW5739
EDP Finance BV
000000000
170000.00000000
PA
203635.63000000
0.081091425064
Long
DBT
CORP
NL
N
2
2026-09-16
Fixed
0.37500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
100000.00000000
PA
125919.55000000
0.050143463366
Long
DBT
CORP
US
N
2
2026-10-27
Fixed
1.37500000
N
N
N
N
N
N
TITULOS DE TESORERIA
549300MHDRBVRF6B9117
Colombian TES
000000000
1050100000.00000000
PA
267530.67000000
0.106535596343
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
200000.00000000
PA
247264.47000000
0.098465225561
Long
DBT
CORP
ES
N
2
2022-04-25
Fixed
6.75000000
N
N
N
N
Y
Banco Santander SA
Banco Santander SA
EUR
XXXX
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-5793.63000000
-0.00230712922
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
5791289113.00000000
IDR
391514.95000000
USD
2021-07-15
-5793.63000000
N
N
N
Independence Realty Trust Inc
549300Z3L8NU44NQEB29
Independence Realty Trust Inc
45378A106
6097.00000000
NS
USD
111148.31000000
0.044261285961
Long
EC
US
N
1
N
N
N
EPAM Systems Inc
549300XCR4R530HJP604
EPAM Systems Inc
29414B104
208.00000000
NS
USD
106279.68000000
0.042322508623
Long
EC
CORP
US
N
1
N
N
N
LVMH Moet Hennessy Louis Vuitton SE
IOG4E947OATN0KJYSD45
LVMH Moet Hennessy Louis Vuitton SE
000000000
61.00000000
NS
47986.06000000
0.019108925037
Long
EC
CORP
FR
N
2
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
277550000.00000000
PA
2517874.04000000
1.002663404423
Long
DBT
NUSS
JP
N
2
2030-06-20
Fixed
0.10000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48127FAA1
17000.00000000
PA
USD
17006.46000000
0.006772282810
Long
DBT
CORP
US
N
2
2021-10-01
Variable
3.46500000
N
N
N
N
N
N
OMV AG
549300V62YJ9HTLRI486
OMV AG
000000000
1616.00000000
NS
92221.10000000
0.036724125439
Long
EC
CORP
AT
N
2
N
N
N
Daiwa Securities Living Investments Corp
N/A
Daiwa Securities Living Investments Corp
000000000
45.00000000
NS
48877.17000000
0.019463781306
Long
EC
JP
N
2
N
N
N
Intuit Inc
VI90HBPH7XSFMB9E4M29
Intuit Inc
461202103
42.00000000
NS
USD
20587.14000000
0.008198174949
Long
EC
CORP
US
N
1
N
N
N
L Street Securities
N/A
JP Morgan Madison Avenue Securities Trust Series 2014-1
46643HAB4
11308.93000000
PA
USD
11163.06000000
0.004445334264
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
4.34200000
N
N
N
N
N
N
Omega Healthcare Investors Inc
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936100
2637.00000000
NS
USD
95696.73000000
0.038108184750
Long
EC
US
N
1
N
N
N
IBERDROLA INTL BV
549300ZMLFJKWC63XN87
Iberdrola International BV
000000000
100000.00000000
PA
119669.46000000
0.047654563438
Long
DBT
CORP
NL
N
2
2026-11-09
Fixed
1.45000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-20CB
12667GQL0
16218.97000000
PA
USD
14407.32000000
0.005737257817
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
Umicore SA
529900F3AIQECS8ZSV61
Umicore SA
000000000
725.00000000
NS
44354.15000000
0.017662632178
Long
EC
CORP
BE
N
2
N
N
N
LEG Immobilien SE
391200SO40AKONBO0Z96
LEG Immobilien SE
000000000
770.00000000
NS
110846.73000000
0.044141191300
Long
EC
CORP
DE
N
2
N
N
N
VORNADO REALTY LP
549300BMOJ05INE4YK86
Vornado Realty LP
929043AL1
105000.00000000
PA
USD
108269.70000000
0.043114970913
Long
DBT
US
N
2
2031-06-01
Fixed
3.40000000
N
N
N
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431109
3788.00000000
NS
USD
818776.20000000
0.326051628918
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1THN6 IRS CAD R F 1.98000 IS1THN6 CCPVANILLA / Short: SS1THN6 IRS CAD P V 03MCDOR IS1THO7 CCPVANILLA
000000000
3780000.00000000
OU
Notional Amount
84893.04000000
0.033805958179
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-05-22
2.26000000
CAD
0.00000000
CAD
3780000.00000000
CAD
84891.77000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
000000000
170000.00000000
PA
209878.48000000
0.083577441893
Long
DBT
CORP
US
N
2
2027-03-11
Fixed
1.09000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-7353.39000000
-0.00292825412
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
426426.61000000
USD
353191.27000000
EUR
2021-08-03
-7353.39000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
2279.17000000
0.000907607098
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4136734.14000000
THB
131345.74000000
USD
2021-07-15
2279.17000000
N
N
N
SoftBank Corp
353800M1YCTS9JRBJ535
SoftBank Corp
000000000
1800.00000000
NS
23534.97000000
0.009372054665
Long
EC
CORP
JP
N
2
N
N
N
Accenture PLC
N/A
Accenture PLC
000000000
229.00000000
NS
USD
67506.91000000
0.026882483844
Long
EC
CORP
IE
N
1
N
N
N
Equity Residential
5493008RACSH5EP3PI59
Equity Residential
29476L107
310.00000000
NS
USD
23870.00000000
0.009505469726
Long
EC
US
N
1
N
N
N
AEON REIT Investment Corp
353800P59F8MJB4FE788
AEON REIT Investment Corp
000000000
25.00000000
NS
36952.64000000
0.014715215787
Long
EC
JP
N
2
N
N
N
BELLEMEADE RE LT
254900I4ZKD8IMM1O953
Bellemeade Re 2019-2 Ltd
07877BAG5
150000.00000000
PA
USD
152006.82000000
0.060531890482
Long
ABS-MBS
CORP
BM
N
2
2029-04-25
Floating
3.19200000
N
N
N
N
N
N
American Electric Power Co Inc
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537101
9460.00000000
NS
USD
800221.40000000
0.318662768855
Long
EC
CORP
US
N
1
N
N
N
Orix JREIT Inc
N/A
Orix JREIT Inc
000000000
37.00000000
NS
71029.42000000
0.028285211626
Long
EC
JP
N
2
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
350000.00000000
PA
257784.11000000
0.102654338236
Long
DBT
NUSS
AU
N
2
2025-11-21
Fixed
0.25000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
1140000.00000000
PA
176353.80000000
0.070227302351
Long
DBT
NUSS
CN
N
2
2027-07-10
Fixed
3.39000000
N
N
N
N
N
N
Western Digital Corp
549300QQXOOYEF89IC56
Western Digital Corp
958102105
11152.00000000
NS
USD
793687.84000000
0.316060985999
Long
EC
CORP
US
N
1
N
N
N
VOLCAN CIA MINERA SAA-CM
549300XKJ91C4SZLG750
Volcan Cia Minera SAA
92863UAB2
24000.00000000
PA
USD
23640.00000000
0.009413879528
Long
DBT
CORP
PE
N
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
Citigroup Inc.
6SHGI4ZSSLCXXQSBB395
Long: SS24X76 IRS EUR R F .00000 IS24X76 IRS REC F -0.0165 / Short: SS24X76 IRS EUR P V 06MEURIB IS24X87 IRS REC F S
000000000
540000.00000000
OU
Notional Amount
-88885.52000000
-0.03539583659
N/A
DIR
FR
N
2
Citigroup Inc.
6SHGI4ZSSLCXXQSBB395
N/A
N/A
Y
2050-09-30
0.00000000
EUR
0.00000000
EUR
540000.00000000
EUR
-88885.52000000
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
74410.13000000
0.029631472061
N/A
DFE
US
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
3000262.44000000
AUD
2324993.37000000
USD
2021-08-25
74410.13000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
1715000.00000000
PA
2112036.61000000
0.841051531573
Long
DBT
NUSS
IT
N
2
2027-09-15
Fixed
0.95000000
N
N
N
N
N
N
Welltower Inc
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040Q104
3410.00000000
NS
USD
283371.00000000
0.112843504901
Long
EC
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380B6Y6
341711.64000000
PA
USD
75045.10000000
0.029884328705
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Floating
6.05700000
N
N
N
N
N
N
WEIBO CORP
549300Q9ID4640FE0422
Weibo Corp
948596AE1
200000.00000000
PA
USD
207478.00000000
0.082621526938
Long
DBT
CORP
KY
N
2
2030-07-08
Fixed
3.37500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
217.28000000
0.000086524862
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2740000.00000000
JPY
24890.55000000
USD
2021-08-19
217.28000000
N
N
N
Chipotle Mexican Grill Inc
N/A
Chipotle Mexican Grill Inc
169656105
39.00000000
NS
USD
60463.26000000
0.024077573838
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JXTG3
133206.92000000
PA
USD
142139.98000000
0.056602734683
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
La Francaise des Jeux SAEM
969500R4CLSQFTYYI535
La Francaise des Jeux SAEM
000000000
411.00000000
NS
24174.03000000
0.009626540022
Long
EC
CORP
FR
N
2
N
N
N
Volvo AB
549300HGV012CNC8JD22
Volvo AB
000000000
3843.00000000
NS
92614.09000000
0.036880621231
Long
EC
CORP
SE
N
2
N
N
N
Progressive Corp/The
529900TACNVLY9DCR586
Progressive Corp/The
743315103
5445.00000000
NS
USD
534753.45000000
0.212948585269
Long
EC
CORP
US
N
1
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
052528AK2
215000.00000000
PA
USD
242036.25000000
0.096383252920
Long
DBT
CORP
AU
N
2
2026-05-19
Fixed
4.40000000
N
N
N
N
Y
Australia & New Zealand Bankin
Australia & New Zealand Bankin
USD
XXXX
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AT6
200000.00000000
PA
USD
222948.00000000
0.088781963330
Long
DBT
CORP
GB
N
2
2025-03-30
Fixed
6.37500000
N
N
N
N
Y
HSBC Holdings PLC
HSBC Holdings PLC
USD
XXXX
N
N
N
Vertex Pharmaceuticals Inc
54930015RAQRRZ5ZGJ91
Vertex Pharmaceuticals Inc
92532F100
3545.00000000
NS
USD
714778.35000000
0.284637786654
Long
EC
CORP
US
N
1
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAB6
200000.00000000
PA
USD
193437.50000000
0.077030343540
Long
DBT
NUSS
EG
N
2
2031-02-16
Fixed
5.87500000
N
N
N
N
N
Parkland Corp/Canada
549300Q72GWZCL8MQC95
Parkland Corp/Canada
70137W108
1016.00000000
NS
32833.95000000
0.013075078246
Long
EC
CORP
CA
N
1
N
N
N
Swire Properties Ltd
5299001L12PHYVQ92465
Swire Properties Ltd
000000000
16000.00000000
NS
47658.82000000
0.018978612096
Long
EC
CORP
HK
N
2
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
475000.00000000
PA
350077.84000000
0.139407386267
Long
DBT
NUSS
AU
N
2
2026-09-21
Fixed
0.50000000
N
N
N
N
N
N
Aristocrat Leisure Ltd
529900TE2HO3OZKYKC27
Aristocrat Leisure Ltd
000000000
800.00000000
NS
25826.02000000
0.010284392596
Long
EC
CORP
AU
N
2
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
920000.00000000
PA
790659.82000000
0.314855173161
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABT1
48000.00000000
PA
USD
47603.52000000
0.018956590626
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
3331.00000000
NS
USD
548748.94000000
0.218521844863
Long
EC
CORP
US
N
1
N
N
N
Suzano SA
391200AW174YQSDMGG41
Suzano SA
000000000
9200.00000000
NS
110630.10000000
0.044054925280
Long
EC
CORP
BR
N
1
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBA1
11000.00000000
PA
USD
11721.16000000
0.004667579872
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.25000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
140000.00000000
PA
USD
152978.00000000
0.060918632086
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-113.64000000
-0.00004525352
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1149249199.08000000
COP
305919.88000000
USD
2021-07-15
-113.64000000
N
N
N
NetApp Inc
QTX3D84DZDD5JYOCYH15
NetApp Inc
64110D104
710.00000000
NS
USD
58092.20000000
0.023133374464
Long
EC
CORP
US
N
1
N
N
N
Mitsui Chemicals Inc
353800H2UB5ZEZRZQC02
Mitsui Chemicals Inc
000000000
1300.00000000
NS
44938.12000000
0.017895179691
Long
EC
CORP
JP
N
2
N
N
N
BX Trust
N/A
BX Trust 2018-EXCL
12433WAA9
149107.81000000
PA
USD
147436.31000000
0.058711829969
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Floating
1.16100000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
100000.00000000
PA
127527.43000000
0.050783750533
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324P102
5475.00000000
NS
USD
2192409.00000000
0.873057284402
Long
EC
CORP
US
N
1
N
N
N
Aisin Corp
3538004IOK08PDY6I723
Aisin Corp
000000000
2200.00000000
NS
94330.40000000
0.037564087202
Long
EC
CORP
JP
N
2
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAH6
23000.00000000
PA
USD
25480.32000000
0.010146728546
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
4.87500000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83367TBJ7
205000.00000000
PA
USD
222718.15000000
0.088690432864
Long
DBT
CORP
FR
N
2
2025-04-14
Fixed
4.25000000
N
N
N
N
N
N
BP PLC
213800LH1BZH3DI6G760
BP PLC
000000000
121953.00000000
NS
534811.48000000
0.212971693874
Long
EC
CORP
GB
N
2
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
National Bank of Canada
633067103
598.00000000
NS
44753.52000000
0.017821668602
Long
EC
CORP
CA
N
1
N
N
N
Stora Enso OYJ
7437000ZP669LKUTZ738
Stora Enso OYJ
000000000
4300.00000000
NS
78521.87000000
0.031268841985
Long
EC
CORP
FI
N
2
N
N
N
ASML Holding NV
724500Y6DUVHQD6OXN27
ASML Holding NV
000000000
201.00000000
NS
138754.18000000
0.055254447318
Long
EC
CORP
NL
N
2
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172109
1035.00000000
NS
USD
102578.85000000
0.040848770561
Long
EC
CORP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-15406.08000000
-0.00613498228
N/A
DFE
ID
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
804023.03000000
USD
11495117214.00000000
IDR
2021-07-15
-15406.08000000
N
N
N
Industrias Penoles SAB de CV
549300WA2HB7776CB324
Industrias Penoles SAB de CV
000000000
1909.00000000
NS
26430.47000000
0.010525095620
Long
EC
CORP
MX
N
1
N
N
N
United Rentals Inc
5323X5O7RN0NKFCDRY08
United Rentals Inc
911363109
1753.00000000
NS
USD
559224.53000000
0.222693416024
Long
EC
CORP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
6323.96000000
0.002518316310
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
593320.81000000
GBP
827169.31000000
USD
2021-08-26
6323.96000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
120000.00000000
PA
USD
115050.00000000
0.045815010142
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-28CB
02147TAP1
61651.52000000
PA
USD
46006.45000000
0.018320608199
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
6.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1541.77000000
-0.00061396095
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
59638.68000000
USD
48963.57000000
EUR
2021-08-03
-1541.77000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
350000.00000000
PA
USD
372519.00000000
0.148343865824
Long
DBT
CORP
DK
N
2
2025-12-20
Fixed
3.24400000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
28000.00000000
PA
USD
29538.04000000
0.011762586720
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
722.60000000
0.000287752510
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
559000.00000000
DKK
89881.18000000
USD
2021-07-15
722.60000000
N
N
N
MGM Growth Properties LLC
549300E2UGIBHWE12262
MGM Growth Properties LLC
55303A105
2660.00000000
NS
USD
97409.20000000
0.038790121563
Long
EC
US
N
1
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200101
202.00000000
NS
USD
29611.18000000
0.011791712403
Long
EC
CORP
US
N
1
N
N
N
Nomura Real Estate Master Fund Inc
353800TNNZOQ1CPZE086
Nomura Real Estate Master Fund Inc
000000000
22.00000000
NS
35209.56000000
0.014021089513
Long
EC
JP
N
2
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-17378.91000000
-0.00692059919
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4090007.79000000
BRL
804931.55000000
USD
2021-07-02
-17378.91000000
N
N
N
Essential Properties Realty Trust Inc
N/A
Essential Properties Realty Trust Inc
29670E107
4184.00000000
NS
USD
113135.36000000
0.045052565543
Long
EC
US
N
1
N
N
N
AXALTA COATING SYSTEMS
549300G80QONCHILSF69
Axalta Coating Systems LLC
05453GAC9
150000.00000000
PA
USD
146625.00000000
0.058388751517
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.37500000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAJ2
11000.00000000
PA
USD
11112.75000000
0.004425299904
Long
DBT
CORP
US
N
2
2022-01-20
Fixed
2.87500000
N
N
N
N
N
N
Land Securities Group PLC
213800V8IAVKS37D6B88
Land Securities Group PLC
000000000
6570.00000000
NS
61315.59000000
0.024416987203
Long
EC
GB
N
2
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT SEP21 XMOD 20210921
000000000
-8.00000000
NC
-10951.34000000
-0.00436102349
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
10 Year Canadian Bond
CNU1 Comdty
2021-09-21
-1150584.72000000
CAD
-10951.34000000
N
N
N
ICG US CLO Ltd
254900IL8TH4VLG5DO47
ICG US CLO 2015-1 Ltd
44931AAJ8
285752.11000000
PA
USD
285760.40000000
0.113795007598
Long
ABS-CBDO
CORP
KY
N
2
2028-10-19
Floating
1.33000000
N
N
N
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913Y100
330.00000000
NS
USD
25766.40000000
0.010260650824
Long
EC
CORP
US
N
1
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
27902.00000000
NS
USD
1263681.58000000
0.503221072611
Long
EC
CORP
US
N
1
N
N
N
Persimmon PLC
213800XI72Y57UWN6F31
Persimmon PLC
000000000
1350.00000000
NS
55300.86000000
0.022021811923
Long
EC
CORP
GB
N
2
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
448055AP8
157000.00000000
PA
USD
177848.03000000
0.070822332013
Long
DBT
CORP
CA
N
2
2029-04-15
Fixed
4.40000000
N
N
N
N
N
N
NextEra Energy Inc
N/A
NextEra Energy Inc
65339F101
12360.00000000
NS
USD
905740.80000000
0.360682520104
Long
EC
CORP
US
N
1
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1CJQ2 CDS USD R F 3.00000 IS1CJQ2 CMBX-BBB--410410 / Short: IS1CJQ2 CDS USD P V 00MEVENT IS1CJR3 CMBX-BBB--410410
000000000
52000.00000000
OU
Notional Amount
USD
-13732.33000000
-0.00546846447
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-5737.30000000
USD
52000.00000000
USD
-7995.03000000
N
N
N
WEPA HYGIENEPRODUKTE GMB
529900KQ44OJDIDU6J81
WEPA Hygieneprodukte GmbH
000000000
120000.00000000
PA
140535.58000000
0.055963833316
Long
DBT
CORP
DE
N
2
2027-12-15
Fixed
2.87500000
N
N
N
N
N
N
UDR Inc
P3CH2EG5X6Z1XWU1OO74
UDR Inc
902653104
3110.00000000
NS
USD
152327.80000000
0.060659710577
Long
EC
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-3348.59000000
-0.00133346966
N/A
DFE
AU
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
108366.62000000
USD
140000.00000000
AUD
2021-08-25
-3348.59000000
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AF0
232000.00000000
PA
USD
258297.20000000
0.102858660040
Long
DBT
CORP
NL
N
2
2025-04-16
Fixed
6.50000000
N
N
N
N
Y
ING Groep NV
ING Groep NV
USD
XXXX
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1041.36000000
-0.00041468856
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
69192.25000000
USD
63000.00000000
CHF
2021-08-05
-1041.36000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHA1
34000.00000000
PA
USD
34073.44000000
0.013568665790
Long
DBT
CORP
US
N
2
2021-07-30
Variable
3.65600000
N
N
N
N
N
N
Alliance Bernstein
5493006YWHO7MNK2U579
AB Fixed Income Shares, Inc. - Government Money Market Portfolio
018616748
2610464.56000000
NS
USD
2610464.56000000
1.039534639650
Long
STIV
RF
US
N
1
N
N
N
ENA MASTER TRUST
549300CBCHB6Q73VG753
ENA Master Trust
29249BAA3
200000.00000000
PA
USD
201287.50000000
0.080156356835
Long
DBT
CORP
PA
N
2
2048-05-19
Fixed
4.00000000
N
N
N
N
N
N
Mowi ASA
549300W1OGQF5LZIH349
Mowi ASA
000000000
5160.00000000
NS
131371.10000000
0.052314370090
Long
EC
CORP
NO
N
2
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
8935268Z9
134000.00000000
PA
USD
208093.96000000
0.082866813454
Long
DBT
CORP
CA
N
2
2039-01-15
Fixed
7.62500000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
3783.05000000
0.001506479566
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
5590257.87000000
ZAR
391537.13000000
USD
2021-09-16
3783.05000000
N
N
N
Aircastle Ltd
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAR2
67000.00000000
PA
USD
71748.29000000
0.028571478783
Long
DBT
CORP
BM
N
2
2023-09-25
Fixed
4.40000000
N
N
N
N
N
N
Royal Dutch Shell PLC
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC
000000000
1579.00000000
NS
31655.57000000
0.012605825820
Long
EC
CORP
GB
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-27051.06000000
-0.01077222588
N/A
DFE
NO
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
809844.58000000
USD
6739527.37000000
NOK
2021-07-15
-27051.06000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287Y109
875.00000000
NS
USD
98560.00000000
0.039248391130
Long
EC
CORP
US
N
1
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
86722TAB8
94000.00000000
PA
USD
137243.76000000
0.054652970502
Long
DBT
CORP
CA
N
2
2039-06-01
Fixed
6.85000000
N
N
N
N
N
N
Sanford C Bernstein Fund Inc - Emerging Markets Portfolio
549300BT4HTKWD1GNK68
Sanford C Bernstein Fund Inc - Emerging Markets Portfolio
085568459
111589.89200000
NS
USD
3992686.34000000
1.589960583755
Long
EC
RF
US
N
1
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
000000000
100000.00000000
PA
120788.81000000
0.048100309041
Long
DBT
CORP
US
N
2
2025-03-02
Fixed
2.87500000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAG6
200000.00000000
PA
USD
218072.00000000
0.086840251122
Long
DBT
CORP
ES
N
2
2025-03-05
Fixed
6.50000000
N
N
N
N
Y
Banco Bilbao Vizcaya Argentaria SA
Banco Bilbao Vizcaya Argentaria SA
USD
XXXX
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
000000000
222.00000000
NS
16623.94000000
0.006619956364
Long
EC
CORP
AU
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2336.96000000
-0.00093062013
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
72342.43000000
USD
59000.00000000
EUR
2021-08-03
-2336.96000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
992.99000000
0.000395426744
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
40000.00000000
NZD
28951.33000000
USD
2021-07-29
992.99000000
N
N
N
Sonova Holding AG
5299004A0QNX7FBNHS61
Sonova Holding AG
000000000
48.00000000
NS
18079.43000000
0.007199559050
Long
EC
CORP
CH
N
2
N
N
N
Daiwa House REIT Investment Corp
3538001FWU534P8JMO05
Daiwa House REIT Investment Corp
000000000
33.00000000
NS
97108.15000000
0.038670237958
Long
EC
JP
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-295.18000000
-0.00011754606
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
11092.63000000
USD
9100.00000000
EUR
2021-08-03
-295.18000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
6153.05000000
0.002450256828
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
372245.06000000
CHF
408832.91000000
USD
2021-08-05
6153.05000000
N
N
N
Fibra Uno Administracion SA de CV
N/A
Fibra Uno Administracion SA de CV
000000000
13590.00000000
NS
14657.62000000
0.005836931846
Long
EC
MX
N
1
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAP4
116000.00000000
PA
USD
114657.88000000
0.045658860800
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
3.50000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
000000000
100000.00000000
PA
121210.94000000
0.048268408912
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
0.90000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
865000.00000000
PA
1041500.01000000
0.414744315698
Long
DBT
NUSS
ES
N
2
2040-10-31
Fixed
1.20000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1CJM8 CDS USD R F 3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8 CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332
000000000
53000.00000000
OU
Notional Amount
USD
-13996.42000000
-0.00557362993
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-5849.90000000
USD
53000.00000000
USD
-8146.52000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-14849.87000000
-0.00591348930
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1893851.35000000
CAD
1512926.67000000
USD
2021-07-16
-14849.87000000
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160K105
1203.00000000
NS
USD
475991.01000000
0.189548309001
Long
EC
CORP
US
N
1
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AF4
45000.00000000
PA
USD
45900.00000000
0.018278217866
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
6.75000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CV0
108000.00000000
PA
USD
120522.60000000
0.047994299359
Long
DBT
CORP
US
N
2
2023-04-21
Fixed
8.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
9819.09000000
0.003910140877
N/A
DFE
RU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
815225.68000000
USD
60601268.36000000
RUB
2021-07-28
9819.09000000
N
N
N
INDONESIA ASAHAN ALUMINI
2549008P48EB9SN2OI80
Indonesia Asahan Aluminium Persero PT
74445PAE2
200000.00000000
PA
USD
219736.00000000
0.087502886297
Long
DBT
CORP
ID
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAX0
204000.00000000
PA
USD
199946.52000000
0.079622354121
Long
DBT
CORP
KY
N
2
2031-02-09
Fixed
2.12500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-224.95000000
-0.00008957919
N/A
DFE
NO
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
19854.24000000
USD
169000.00000000
NOK
2021-07-15
-224.95000000
N
N
N
Constellation Software Inc/Canada
549300B6PYHMCTDWQV29
Constellation Software Inc/Canada
000000000
36.00000000
NS
54523.04000000
0.021712069800
Long
EC
CORP
CA
N
1
N
N
N
Planet Fitness Inc
549300LLE5HUPF6H8G33
Planet Fitness Inc
72703H101
285.00000000
NS
USD
21446.25000000
0.008540288233
Long
EC
CORP
US
N
1
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAF4
11000.00000000
PA
USD
12955.58000000
0.005159148449
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
Teradyne Inc
C3X4YJ278QNZHRJULN75
Teradyne Inc
880770102
194.00000000
NS
USD
25988.24000000
0.010348991561
Long
EC
CORP
US
N
1
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAA9
18000.00000000
PA
USD
18903.06000000
0.007527543551
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
Masco Corp
5GCSNMQXHEYA1JO8QN11
Masco Corp
574599106
826.00000000
NS
USD
48659.66000000
0.019377164853
Long
EC
CORP
US
N
1
N
N
N
Western Union Co/The
28ID94QU1140NC23S047
Western Union Co/The
959802109
2576.00000000
NS
USD
59170.72000000
0.023562860816
Long
EC
CORP
US
N
1
N
N
N
GDS Holdings Ltd
391200MGV8DDCHTN2R77
GDS Holdings Ltd
36165L108
350.00000000
NS
USD
27471.50000000
0.010939652769
Long
EC
CORP
KY
N
1
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087L51
425000.00000000
PA
331493.83000000
0.132006894250
Long
DBT
NUSS
CA
N
2
2026-03-01
Fixed
0.25000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
431.00000000
NS
27049.40000000
0.010771564844
Long
EC
CORP
FR
N
2
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
000000000
2057.00000000
NS
34120.84000000
0.013587541335
Long
EC
CORP
NL
N
2
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
250000.00000000
PA
488114.04000000
0.194375920843
Long
DBT
NUSS
DE
N
2
2034-07-04
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286X3
1840000.00000000
PA
USD
1952412.50000000
0.777486297165
Long
DBT
UST
US
N
2
2026-05-31
Fixed
2.12500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-286.75000000
-0.00011418908
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
107216.19000000
USD
915000.00000000
SEK
2021-07-15
-286.75000000
N
N
N
eBay Inc
OML71K8X303XQONU6T67
eBay Inc
278642103
9314.00000000
NS
USD
653935.94000000
0.260409228364
Long
EC
CORP
US
N
1
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875P101
11859.00000000
NS
USD
989514.96000000
0.394042919844
Long
EC
CORP
US
N
1
N
N
N
Neuberger Berman CLO Ltd
549300LGCRX4YI1JNS93
Neuberger Berman Loan Advisers Clo 42 Ltd
64133WAC9
250000.00000000
PA
USD
249999.50000000
0.099554364432
Long
ABS-CBDO
CORP
KY
N
2
2035-07-16
Floating
1.74100000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
230000.00000000
PA
USD
231202.90000000
0.092069215196
Long
DBT
CORP
CH
N
2
2021-08-10
Fixed
7.12500000
N
N
N
N
Y
UBS Group AG
UBS Group AG
USD
XXXX
N
N
N
M&G PLC
254900TWUJUQ44TQJY84
M&G PLC
000000000
24177.00000000
NS
76590.37000000
0.030499683427
Long
EC
CORP
GB
N
2
N
N
N
NIKE Inc
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106103
7636.00000000
NS
USD
1179685.64000000
0.469772356027
Long
EC
CORP
US
N
1
N
N
N
Mitsubishi Heavy Industries Ltd
353800TJ98PCAZROVE69
Mitsubishi Heavy Industries Ltd
000000000
600.00000000
NS
17713.32000000
0.007053767365
Long
EC
CORP
JP
N
2
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC
000000000
160000.00000000
PA
202408.50000000
0.080602759498
Long
DBT
CORP
GB
N
2
2027-09-04
Fixed
1.37500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148BAC2
0.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
2
2026-11-10
Fixed
5.30000000
N
N
N
N
N
N
Owens Corning
JO5M6676RDJIZ2U8X907
Owens Corning
690742101
244.00000000
NS
USD
23887.60000000
0.009512478368
Long
EC
CORP
US
N
1
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022675
400000.00000000
PA
USD
413937.52000000
0.164837476549
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBF0
33596.58000000
PA
USD
35591.75000000
0.014173284547
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Floating
5.79200000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
2040000.00000000
PA
318335.41000000
0.126766971210
Long
DBT
NUSS
CN
N
2
2029-05-21
Fixed
3.65000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAK6
280000.00000000
PA
USD
320565.00000000
0.127654834647
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
Americold Realty Trust
549300R7N1V5YV8MWH02
Americold Realty Trust
03064D108
3497.00000000
NS
USD
132361.45000000
0.052708745538
Long
EC
US
N
1
N
N
N
Covestro AG
3912005AWHKLQ1CPLV11
Covestro AG
000000000
1080.00000000
NS
69831.16000000
0.027808042621
Long
EC
CORP
DE
N
2
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2018-GLKS Mortgage Trust
23307GAA4
165621.00000000
PA
USD
165848.68000000
0.066043971805
Long
ABS-MBS
CORP
US
N
2
2030-12-19
Floating
1.12300000
N
N
N
N
N
N
Industrivarden AB
549300TM1DLIQI3B3T37
Industrivarden AB
000000000
596.00000000
NS
23180.28000000
0.009230810632
Long
EC
CORP
SE
N
2
N
N
N
alstria office REIT-AG
529900QIJIGPI0DRL085
alstria office REIT-AG
000000000
3910.00000000
NS
72242.06000000
0.028768107010
Long
EC
DE
N
2
N
N
N
Mitsui Fudosan Co Ltd
353800ND4ZKNZDYKMF33
Mitsui Fudosan Co Ltd
000000000
11000.00000000
NS
254360.39000000
0.101290950435
Long
EC
CORP
JP
N
2
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
187500.00000000
PA
USD
200857.50000000
0.079985122986
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
Snap-on Inc
HHWAT5TDOYZMM26KKQ73
Snap-on Inc
833034101
409.00000000
NS
USD
91382.87000000
0.036390326952
Long
EC
CORP
US
N
1
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
12645.00000000
NS
USD
894633.75000000
0.356259490044
Long
EC
CORP
US
N
1
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6
46634SAM7
119058.00000000
PA
USD
83872.81000000
0.033399683970
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
5.31300000
N
N
N
N
N
N
Novo Nordisk A/S
549300DAQ1CVT6CXN342
Novo Nordisk A/S
000000000
418.00000000
NS
34990.20000000
0.013933736356
Long
EC
CORP
DK
N
2
N
N
N
Linde PLC
8945002PAZHZLBGKGF02
Linde PLC
000000000
2355.00000000
NS
USD
680830.50000000
0.271119133094
Long
EC
CORP
IE
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
7160.74000000
0.002851537381
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
15908413.66000000
MXN
799751.75000000
USD
2021-08-27
7160.74000000
N
N
N
TAG Immobilien AG
529900TAE68USJNXLR59
TAG Immobilien AG
000000000
2630.00000000
NS
83361.79000000
0.033196186478
Long
EC
CORP
DE
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUA0
117540.50000000
PA
USD
123889.40000000
0.049335020577
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XGP3
122250.55000000
PA
USD
126689.70000000
0.050450151155
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Floating
3.74200000
N
N
N
N
N
N
IMPERIAL BRANDS FIN NETH
724500GIEFJOBWGD0272
Imperial Brands Finance Netherlands BV
000000000
169000.00000000
PA
202403.71000000
0.080600852033
Long
DBT
CORP
NL
N
2
2033-03-18
Fixed
1.75000000
N
N
N
N
N
N
Aviva PLC
YF0Y5B0IB8SM0ZFG9G81
Aviva PLC
000000000
2165.00000000
NS
12154.21000000
0.004840028286
Long
EC
CORP
GB
N
2
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475105
3618.00000000
NS
USD
690169.68000000
0.274838165049
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAE8
20096.99000000
PA
USD
20177.75000000
0.008035148378
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Floating
2.09200000
N
N
N
N
N
N
Northern Star Resources Ltd
254900XFXCRYYZAX6M78
Northern Star Resources Ltd
000000000
4630.00000000
NS
34003.27000000
0.013540722815
Long
EC
CORP
AU
N
2
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
1088000.00000000
PA
285441.77000000
0.113668123316
Long
DBT
NUSS
MY
N
2
2030-04-15
Fixed
4.49800000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
7424.45000000
0.002956551517
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
30922420.46000000
RUB
428412.03000000
USD
2021-07-28
7424.45000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE SEP21 XEUR 20210908
000000000
-37.00000000
NC
4330.94000000
0.001724659365
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bobl (FGBM)
OEU1 Comdty
2021-09-08
-4967202.49000000
EUR
4330.94000000
N
N
N
AngloGold Ashanti Ltd
378900EF3BA9A5F42A59
AngloGold Ashanti Ltd
000000000
7069.00000000
NS
131211.42000000
0.052250782599
Long
EC
CORP
ZA
N
2
N
N
N
MMC Norilsk Nickel PJSC
253400JPTEEW143W3E47
MMC Norilsk Nickel PJSC
55315J102
2130.00000000
NS
USD
72249.60000000
0.028771109576
Long
EC
CORP
RU
N
1
N
N
N
Cheniere Energy Inc
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411R208
999.00000000
NS
USD
86653.26000000
0.034506909915
Long
EC
CORP
US
N
1
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AE7
89000.00000000
PA
USD
94614.12000000
0.037677069686
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.50000000
N
N
N
N
N
N
SVB Financial Group
549300D2KJ20JMXE7542
SVB Financial Group
78486Q101
175.00000000
NS
USD
97375.25000000
0.038776602054
Long
EC
CORP
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
200000.00000000
PA
USD
206210.00000000
0.082116586191
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.21900000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0BK4
92030.72000000
PA
USD
93878.33000000
0.037384064676
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Floating
4.09200000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030N101
26300.00000000
NS
USD
1499626.00000000
0.597178447624
Long
EC
CORP
US
N
1
N
N
N
UOL Group Ltd
254900O9PRCWTMR86R25
UOL Group Ltd
000000000
7700.00000000
NS
41875.05000000
0.016675409304
Long
EC
CORP
SG
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SU3
820000.00000000
PA
USD
783100.00000000
0.311844714838
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1I2V6 CDS USD R F 3.00000 IS1I2V6 CMBX / Short: IS1I2V6 CDS USD P V 01MEVENT IS1I2W7 CMBX
000000000
75000.00000000
OU
Notional Amount
USD
-19800.00000000
-0.00788472143
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-11124.99000000
USD
75000.00000000
USD
-8675.01000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
19482.17000000
0.007758155724
N/A
DFE
MX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
779811.88000000
USD
16042953.14000000
MXN
2021-08-27
19482.17000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAK7
13000.00000000
PA
USD
12999.74000000
0.005176733767
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AU7
104000.00000000
PA
USD
118584.96000000
0.047222695741
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.55000000
N
N
N
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
205850000.00000000
PA
1869613.47000000
0.744514211992
Long
DBT
NUSS
JP
N
2
2030-03-20
Fixed
0.10000000
N
N
N
N
N
N
Moody's Corp
549300GCEDD8YCF5WU84
Moody's Corp
615369105
152.00000000
NS
USD
55080.24000000
0.021933957011
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDK7
130237.89000000
PA
USD
136366.66000000
0.054303693271
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Floating
4.54200000
N
N
N
N
N
N
DIGITAL EURO FINCO
635400OUEAPTXSW3SC91
Digital Euro Finco LLC
000000000
220000.00000000
PA
286661.97000000
0.114154029229
Long
DBT
US
N
2
2026-01-16
Fixed
2.50000000
N
N
N
N
N
N
Dropbox Inc
549300JCDF7UAR6TJR51
Dropbox Inc
26210C104
1871.00000000
NS
USD
56710.01000000
0.022582961176
Long
EC
CORP
US
N
1
N
N
N
CTP NV
3157000YTVO4TN65UM14
CTP NV
000000000
2463.00000000
NS
49708.13000000
0.019794684746
Long
EC
CORP
NL
N
2
N
N
N
CubeSmart
N/A
CubeSmart
229663109
3086.00000000
NS
USD
142943.52000000
0.056922718979
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGXA1
171289.38000000
PA
USD
182669.25000000
0.072742229825
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
Buzzi Unicem SpA
5299003DX5YLKSVJ6K59
Buzzi Unicem SpA
000000000
2280.00000000
NS
60571.32000000
0.024120605303
Long
EC
CORP
IT
N
2
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA
000000000
34800.00000000
NS
205911.78000000
0.081997829544
Long
EC
CORP
BR
N
1
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAH8
215000.00000000
PA
USD
252607.80000000
0.100593037105
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
4.70900000
N
N
N
N
N
N
Sun Communities Inc
549300H5GEOJYN41ZG57
Sun Communities Inc
866674104
1138.00000000
NS
USD
195053.20000000
0.077673744773
Long
EC
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2N58
183723.70000000
PA
USD
38976.16000000
0.015521018389
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
6.44900000
N
N
N
N
N
N
Lear Corp
549300UPNBTXA1SYTQ33
Lear Corp
521865204
235.00000000
NS
USD
41190.80000000
0.016402928463
Long
EC
CORP
US
N
1
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
3208.00000000
NS
94897.10000000
0.037789757487
Long
EC
CORP
FR
N
2
N
N
N
RLJ Lodging Trust
549300RX5I8Z6I6LDZ74
RLJ Lodging Trust
74965L101
5596.00000000
NS
USD
85227.08000000
0.033938979005
Long
EC
US
N
1
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAJ6
36000.00000000
PA
USD
41621.76000000
0.016574544602
Long
DBT
CORP
BM
N
2
2029-05-01
Fixed
4.25000000
N
N
N
N
N
N
Merlin Properties Socimi SA
959800L8KD863DP30X04
Merlin Properties Socimi SA
000000000
7690.00000000
NS
79567.38000000
0.031685183152
Long
EC
ES
N
2
N
N
N
Horizon Therapeutics Plc
529900P0GSQ79OOZEV53
Horizon Therapeutics Plc
000000000
113.00000000
NS
USD
10581.32000000
0.004213674777
Long
EC
CORP
IE
N
1
N
N
N
Bernstein International Strategic Equities Portfolio
549300L7INBUVRFBBK21
Bernstein International Strategic Equities Portfolio
085567808
3129894.16800000
NS
USD
43223838.46000000
17.21252148997
Long
EC
RF
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
410.08000000
0.000163301341
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
52025.65000000
USD
65000.00000000
CAD
2021-07-16
410.08000000
N
N
N
Killam Apartment Real Estate Investment Trust
N/A
Killam Apartment Real Estate Investment Trust
000000000
6151.00000000
NS
100581.45000000
0.040053369420
Long
EC
CA
N
1
N
N
N
Medtronic PLC
549300GX3ZBSQWUXY261
Medtronic PLC
000000000
11651.00000000
NS
USD
1446238.63000000
0.575918622348
Long
EC
CORP
IE
N
1
N
N
N
Evraz PLC
5493005B7DAN39RXLK23
Evraz PLC
000000000
11134.00000000
NS
91345.78000000
0.036375557037
Long
EC
CORP
GB
N
2
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
000000000
102000.00000000
PA
123837.13000000
0.049314205709
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
2.62500000
N
N
N
N
N
N
Next PLC
213800WQD8ECPZP9PH98
Next PLC
000000000
608.00000000
NS
66170.92000000
0.026350468239
Long
EC
CORP
GB
N
2
N
N
N
Corteva Inc
549300WZN9I2QKLS0O94
Corteva Inc
22052L104
3020.00000000
NS
USD
133937.00000000
0.053336158308
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP21 XCBT 20210930
000000000
19.00000000
NC
USD
-22.61000000
-0.00000900371
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUU1 Comdty
2021-09-30
4186108.54000000
USD
-22.61000000
N
N
N
Advanced Micro Devices Inc
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903107
284.00000000
NS
USD
26676.12000000
0.010622917934
Long
EC
CORP
US
N
1
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAU4
200000.00000000
PA
USD
198874.00000000
0.079195257079
Long
DBT
CORP
NL
N
2
2027-06-16
Fixed
1.54200000
N
N
N
N
N
N
L Street Securities
549300T6W1U156OOG754
Wells Fargo Credit Risk Transfer Securities Trust 2015
949771AC3
57664.88000000
PA
USD
56074.54000000
0.022329905422
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Floating
5.34200000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508104
4373.00000000
NS
USD
840927.90000000
0.334872840219
Long
EC
CORP
US
N
1
N
N
N
CME Group Inc
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572Q105
2857.00000000
NS
USD
607626.76000000
0.241968067552
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XEP5
57305.71000000
PA
USD
59492.78000000
0.023691110987
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
3.64200000
N
N
N
N
N
N
FINNISH GOVERNMENT
743700M6Y2OQRVSBRD14
Finland Government Bond
000000000
115000.00000000
PA
144052.04000000
0.057364151878
Long
DBT
NUSS
FI
N
2
2028-09-15
Fixed
0.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBQ3
255000.00000000
PA
USD
251254.69000000
0.100054204003
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.50000000
N
N
N
N
N
N
PayPal Holdings Inc
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450Y103
3644.00000000
NS
USD
1062153.12000000
0.422968761105
Long
EC
CORP
US
N
1
N
N
N
Shimizu Corp
353800BRAE0QFP3ZLY22
Shimizu Corp
000000000
6700.00000000
NS
51489.36000000
0.020504003047
Long
EC
CORP
JP
N
2
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K305
54.00000000
NS
USD
131856.66000000
0.052507728945
Long
EC
CORP
US
N
1
N
N
N
Grupo Cementos de Chihuahua SAB de CV
254900WY9XL8033CKX68
Grupo Cementos de Chihuahua SAB de CV
000000000
3320.00000000
NS
26692.91000000
0.010629604018
Long
EC
CORP
MX
N
1
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
26850000.00000000
PA
243352.67000000
0.096907475394
Long
DBT
NUSS
JP
N
2
2030-09-20
Fixed
0.10000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1BZK5 CDS USD R F 3.00000 IS1BZK5 CMBX-BBB--408197 / Short: IS1BZK5 CDS USD P V 00MEVENT IS1BZL6 CMBX-BBB--408197
000000000
8000.00000000
OU
Notional Amount
USD
-2112.67000000
-0.00084130375
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-704.63000000
USD
8000.00000000
USD
-1408.04000000
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAK1
58000.00000000
PA
USD
61945.74000000
0.024667924435
Long
DBT
US
N
2
2025-06-15
Fixed
4.62500000
N
N
N
N
N
N
Prologis Inc
529900DFH19P073LZ636
Prologis Inc
74340W103
9092.00000000
NS
USD
1086766.76000000
0.432770361854
Long
EC
US
N
1
N
N
N
Eurocommercial Properties NV
724500SFK53FPNM68L95
Eurocommercial Properties NV
000000000
2427.00000000
NS
60531.07000000
0.024104577018
Long
EC
NL
N
2
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826C839
9342.00000000
NS
USD
2184346.44000000
0.869846625834
Long
EC
CORP
US
N
1
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2007-S5
161631AS5
27799.33000000
PA
USD
19007.10000000
0.007568974178
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
CA Immobilien Anlagen AG
5299003ICAPV07J0R180
CA Immobilien Anlagen AG
000000000
1378.00000000
NS
57579.13000000
0.022929060625
Long
EC
CORP
AT
N
2
N
N
N
Pandora A/S
5299007OWYZ6I1E46843
Pandora A/S
000000000
744.00000000
NS
100375.92000000
0.039971523622
Long
EC
CORP
DK
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUZQ7
339963.34000000
PA
USD
67878.30000000
0.027030378121
Long
ABS-MBS
USGSE
US
N
2
2047-01-25
Floating
5.90900000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978V103
4607.00000000
NS
USD
858560.52000000
0.341894471371
Long
EC
CORP
US
N
1
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377508
998.00000000
NS
USD
40219.40000000
0.016016099251
Long
EC
CORP
US
N
1
N
N
N
American Homes 4 Rent
549300ZJUO7A58PNUW40
American Homes 4 Rent
02665T306
3453.00000000
NS
USD
134149.05000000
0.053420600489
Long
EC
US
N
1
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBM5
39282.19000000
PA
USD
42030.77000000
0.016737419850
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Floating
6.84200000
N
N
N
N
N
N
Zimmer Biomet Holdings Inc
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956P102
3995.00000000
NS
USD
642475.90000000
0.255845631242
Long
EC
CORP
US
N
1
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816BJ7
8000.00000000
PA
USD
8019.68000000
0.003193582968
Long
DBT
CORP
US
N
2
2021-08-15
Variable
3.58400000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BE2
116000.00000000
PA
USD
150028.60000000
0.059744127167
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
6.35000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-514.33000000
-0.00020481559
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
65000.00000000
CAD
51921.40000000
USD
2021-07-16
-514.33000000
N
N
N
OZ Minerals Ltd
529900O2VBT5CL7EZT27
OZ Minerals Ltd
000000000
2685.00000000
NS
45139.89000000
0.017975528189
Long
EC
CORP
AU
N
2
N
N
N
ResMed Inc
529900T3QE5253CCXF22
ResMed Inc
761152107
109.00000000
NS
USD
26870.68000000
0.010700395277
Long
EC
CORP
US
N
1
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752103
2261.00000000
NS
USD
863249.80000000
0.343761828266
Long
EC
CORP
US
N
1
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
145000.00000000
PA
USD
199369.20000000
0.079392454758
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
Baker Hughes Co
N/A
Baker Hughes Co
05722G100
893.00000000
NS
USD
20422.91000000
0.008132775565
Long
EC
CORP
US
N
1
N
N
N
NXP Semiconductors NV
724500M9BY5293JDF951
NXP Semiconductors NV
000000000
4860.00000000
NS
USD
999799.20000000
0.398138291942
Long
EC
CORP
NL
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
264.84000000
0.000105464122
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
132350.85000000
EUR
157303.54000000
USD
2021-08-03
264.84000000
N
N
N
Raymond James Financial Inc
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730109
743.00000000
NS
USD
96515.70000000
0.038434313553
Long
EC
CORP
US
N
1
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
0.00000000
PA
0.00000000
0.000000
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
9033.00000000
NS
USD
1218822.69000000
0.485357443752
Long
EC
CORP
US
N
1
N
N
N
Sumitomo Realty & Development Co Ltd
N/A
Sumitomo Realty & Development Co Ltd
000000000
1300.00000000
NS
46494.20000000
0.018514839152
Long
EC
CORP
JP
N
2
N
N
N
ESSENTIAL PROPER
254900XX9FNFCDE1NX02
Essential Properties LP
29670VAA7
124000.00000000
PA
USD
123949.16000000
0.049358818100
Long
DBT
US
N
2
2031-07-15
Fixed
2.95000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-422.80000000
-0.00016836667
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
17601.63000000
USD
147000.00000000
SEK
2021-07-15
-422.80000000
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
8219.00000000
NS
372335.41000000
0.148270756935
Long
EC
CORP
FR
N
2
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAL5
149000.00000000
PA
USD
167510.27000000
0.066705647274
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
000000000
200000.00000000
PA
USD
228250.00000000
0.090893316513
Long
DBT
CORP
NL
N
2
2028-01-17
Fixed
6.95000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAW3
14000.00000000
PA
USD
14359.38000000
0.005718167234
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
37000.00000000
PA
USD
40730.34000000
0.016219564886
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-586.35000000
-0.00023349527
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
34303.19000000
USD
3744300.00000000
JPY
2021-08-19
-586.35000000
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
110000.00000000
PA
USD
116029.10000000
0.046204905634
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
81000.00000000
PA
USD
90308.52000000
0.035962501170
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
4.70000000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trust
N/A
LSTAR Commercial Mortgage Trust 2016-4
50219QAC8
139882.85000000
PA
USD
141731.82000000
0.056440197920
Long
ABS-MBS
CORP
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
CNP Assurances
969500QKVPV2H8UXM738
CNP Assurances
000000000
4769.00000000
NS
81280.06000000
0.032367203591
Long
EC
CORP
FR
N
2
N
N
N
Lowe's Cos Inc
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661107
22.00000000
NS
USD
4267.34000000
0.001699332684
Long
EC
CORP
US
N
1
N
N
N
Sumitomo Dainippon Pharma Co Ltd
529900D60UKVYLJ2OJ79
Sumitomo Dainippon Pharma Co Ltd
000000000
300.00000000
NS
6292.26000000
0.002505692791
Long
EC
CORP
JP
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
2232.18000000
0.000888894822
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
30838820.31000000
INR
416414.44000000
USD
2021-07-15
2232.18000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GD7
90000.00000000
PA
USD
94730.40000000
0.037723374504
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
5.95000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2017-SCH
054966AA4
375000.00000000
PA
USD
366897.53000000
0.146105293855
Long
ABS-MBS
CORP
US
N
2
2033-11-15
Floating
1.07300000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3066.04000000
-0.00122095309
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
153986.16000000
USD
127194.17000000
EUR
2021-08-03
-3066.04000000
N
N
N
Radnor Re LTD
254900JBDDKUTX6TX151
Radnor RE 2019-1 Ltd
75049SAB9
140476.25000000
PA
USD
140855.04000000
0.056091048119
Long
ABS-MBS
CORP
BM
N
2
2029-02-25
Floating
2.04200000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
223.42000000
0.000088969922
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
9000.00000000
NZD
6514.05000000
USD
2021-07-29
223.42000000
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BD7
103000.00000000
PA
USD
100308.61000000
0.039944719552
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAC7
200000.00000000
PA
USD
219736.00000000
0.087502886297
Long
DBT
CORP
FR
N
2
2024-07-11
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBD5
29103.62000000
PA
USD
29487.20000000
0.011742341304
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Floating
5.09200000
N
N
N
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AV5
7000.00000000
PA
USD
8586.06000000
0.003419125823
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
5.20000000
N
N
N
N
N
N
Physicians Realty Trust
549300ITOVH0OY7PZC34
Physicians Realty Trust
71943U104
5803.00000000
NS
USD
107181.41000000
0.042681593969
Long
EC
US
N
1
N
N
N
CDW Corp/DE
9845001B052ABF0B6755
CDW Corp/DE
12514G108
3770.00000000
NS
USD
658430.50000000
0.262199044200
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AX4B8
375863.12000000
PA
USD
88989.13000000
0.035437095988
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Floating
6.10900000
N
N
N
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211K100
1017.00000000
NS
USD
60257.25000000
0.023995536895
Long
EC
CORP
US
N
1
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
20578.00000000
NS
USD
5574580.20000000
2.219899594963
Long
EC
CORP
US
N
1
N
N
N
Magna International Inc
95RWVLFZX6VGDZNNTN43
Magna International Inc
559222401
8793.00000000
NS
USD
814583.52000000
0.324382027208
Long
EC
CORP
CA
N
1
N
N
N
True North Commercial Real Estate Investment Trust
N/A
True North Commercial Real Estate Investment Trust
000000000
3060.00000000
NS
18291.87000000
0.007284156536
Long
EC
CA
N
1
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
000000000
20518.00000000
NS
190671.08000000
0.075928704597
Long
EC
CORP
IT
N
2
N
N
N
VERISIGN INC
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAM4
68000.00000000
PA
USD
69010.48000000
0.027481232864
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.70000000
N
N
N
N
N
N
Align Technology Inc
549300N5YSE0U3LCP840
Align Technology Inc
016255101
66.00000000
NS
USD
40326.00000000
0.016058549317
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAH7
174000.00000000
PA
USD
176287.80000000
0.070201019947
Long
ABS-MBS
USGSE
US
N
2
2048-09-25
Floating
2.19200000
N
N
N
N
N
N
Stellantis NV
549300LKT9PW7ZIBDF31
Stellantis NV
000000000
26715.00000000
NS
USD
526552.65000000
0.209682877010
Long
EC
CORP
NL
N
1
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-20405.48000000
-0.00812583462
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
39989269.98000000
MXN
1971945.01000000
USD
2021-08-27
-20405.48000000
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494103
490.00000000
NS
USD
36142.40000000
0.014392563429
Long
EC
CORP
US
N
1
N
N
N
STMicroelectronics NV
213800Z8NOHIKRI42W10
STMicroelectronics NV
000000000
1641.00000000
NS
59677.54000000
0.023764685791
Long
EC
CORP
NL
N
2
N
N
N
Vertiv Holdings Co
549300KTTIRAOGXCRV69
Vertiv Holdings Co
92537N108
1190.00000000
NS
USD
32487.00000000
0.012936916423
Long
EC
CORP
US
N
1
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027X100
1943.00000000
NS
USD
524882.02000000
0.209017601648
Long
EC
US
N
1
N
N
N
CANADA HOUSING TRUST
549300M44WH89JG50067
Canada Housing Trust No 1
13509PFA6
195000.00000000
PA
162904.28000000
0.064871457978
Long
DBT
NUSS
CA
N
2
2025-12-15
Fixed
1.95000000
N
N
N
N
N
N
Shurgard Self Storage SA
549300J0UEIKU81XO336
Shurgard Self Storage SA
000000000
770.00000000
NS
37202.03000000
0.014814527438
Long
EC
CORP
LU
N
2
N
N
N
Regal Beloit Corp
QH78R09VCJGQKPBPYU33
Regal Beloit Corp
758750103
4309.00000000
NS
USD
575294.59000000
0.229092807262
Long
EC
CORP
US
N
1
N
N
N
Veeva Systems Inc
549300YZEXPDB92M2F02
Veeva Systems Inc
922475108
107.00000000
NS
USD
33271.65000000
0.013249378376
Long
EC
CORP
US
N
1
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
864.00000000
NS
USD
123033.60000000
0.048994225396
Long
EC
CORP
US
N
1
N
N
N
CIFI Holdings Group Co Ltd
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
38000.00000000
NS
29641.03000000
0.011803599218
Long
EC
CORP
KY
N
2
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-24CB
02146TAR8
83861.75000000
PA
USD
65316.77000000
0.026010330117
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
5.75000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
248000.00000000
PA
316467.98000000
0.126023326495
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.77600000
N
N
N
N
N
N
Lundin Mining Corp
549300FQDIM6C8HTN269
Lundin Mining Corp
000000000
6005.00000000
NS
54159.33000000
0.021567233839
Long
EC
CORP
CA
N
1
N
N
N
Rockwell Automation Inc
VH3R4HHBHH12O0EXZJ88
Rockwell Automation Inc
773903109
370.00000000
NS
USD
105827.40000000
0.042142402471
Long
EC
CORP
US
N
1
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
000000000
135000.00000000
PA
160473.26000000
0.063903381437
Long
DBT
CORP
XX
N
2
2028-09-01
Fixed
2.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
571.39000000
0.000227537928
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
3161000.00000000
JPY
29035.70000000
USD
2021-08-19
571.39000000
N
N
N
Kellogg Co
LONOZNOJYIBXOHXWDB86
Kellogg Co
487836108
727.00000000
NS
USD
46767.91000000
0.018623835471
Long
EC
CORP
US
N
1
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
000000000
120000.00000000
PA
147337.04000000
0.058672298843
Long
DBT
CORP
XX
N
2
2026-05-15
Fixed
4.37500000
N
N
N
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications PLC
111021AE1
77000.00000000
PA
USD
119404.67000000
0.047549119226
Long
DBT
CORP
GB
N
2
2030-12-15
Fixed
9.62500000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2G8
200000.00000000
PA
USD
194750.00000000
0.077553004999
Long
DBT
NUSS
BH
N
2
2033-01-25
Fixed
5.25000000
N
N
N
N
N
N
Aroundtown SA
529900H4DWG3KWMBMQ39
Aroundtown SA
000000000
12810.00000000
NS
99946.53000000
0.039800532686
Long
EC
CORP
LU
N
2
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1C069 CDS USD R F 3.00000 IS1C069 CMBX-BBB--408481 / Short: IS1C069 CDS USD P V 00MEVENT IS1C070 CMBX-BBB--408481
000000000
8000.00000000
OU
Notional Amount
USD
-2112.67000000
-0.00084130375
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-762.48000000
USD
8000.00000000
USD
-1350.19000000
N
N
N
Huntington Ingalls Industries Inc
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries Inc
446413106
18.00000000
NS
USD
3793.50000000
0.001510640947
Long
EC
CORP
US
N
1
N
N
N
Hilton Grand Vacations Inc
549300O9K6MFD8D07574
Hilton Grand Vacations Inc
43283X105
1250.00000000
NS
USD
51737.50000000
0.020602816925
Long
EC
CORP
US
N
1
N
N
N
Kuraray Co Ltd
549300W9JPTOE739QZ31
Kuraray Co Ltd
000000000
1800.00000000
NS
17295.79000000
0.006887499298
Long
EC
CORP
JP
N
2
N
N
N
Alexandria Real Estate Equities Inc
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271109
1137.00000000
NS
USD
206865.78000000
0.082377729758
Long
EC
US
N
1
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00766T100
11197.00000000
NS
USD
708994.04000000
0.282334368824
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
224.55000000
0.000089419908
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
14000.00000000
GBP
19593.22000000
USD
2021-08-26
224.55000000
N
N
N
NVIDIA Corp
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066G104
1279.00000000
NS
USD
1023327.90000000
0.407507849779
Long
EC
CORP
US
N
1
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
000000000
165000.00000000
PA
201301.06000000
0.080161756675
Long
DBT
CORP
US
N
2
2028-12-03
Fixed
1.00000000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
11194.00000000
NS
USD
1172459.56000000
0.466894799065
Long
EC
CORP
US
N
1
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
1258166.00000000
PA
1623095.42000000
0.646346224500
Long
DBT
NUSS
FR
N
2
2026-03-01
Fixed
0.10000000
N
N
N
N
N
N
Ballyrock Ltd
N/A
Ballyrock CLO 16 Ltd
05876KAA3
250000.00000000
PA
USD
250101.50000000
0.099594982694
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.26500000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-2035.78000000
-0.00081068475
N/A
DFE
KR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
805874.85000000
USD
908376495.00000000
KRW
2021-07-22
-2035.78000000
N
N
N
Adobe Inc
FU4LY2G4933NH2E1CP29
Adobe Inc
00724F101
1137.00000000
NS
USD
665872.68000000
0.265162656127
Long
EC
CORP
US
N
1
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4
25150PAB5
199631.46000000
PA
USD
94766.33000000
0.037737682486
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.47200000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
20143.30000000
0.008021429759
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
533205.51000000
EUR
652809.42000000
USD
2021-08-03
20143.30000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDS0
86497.67000000
PA
USD
89915.01000000
0.035805798305
Long
ABS-MBS
USGSE
US
N
2
2029-04-25
Floating
4.34200000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBB9
24945.94000000
PA
USD
25652.74000000
0.010215389337
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Floating
5.09200000
N
N
N
N
N
N
Minto Apartment Real Estate Investment Trust
N/A
Minto Apartment Real Estate Investment Trust
60448E103
2790.00000000
NS
53882.38000000
0.021456947294
Long
EC
CA
N
1
N
N
N
Barrick Gold Corp
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901108
5170.00000000
NS
USD
106915.60000000
0.042575743575
Long
EC
CORP
CA
N
1
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1BZI3 CDS USD R F 3.00000 IS1BZI3 CMBX-BBB--408196 / Short: IS1BZI3 CDS USD P V 00MEVENT IS1BZJ4 CMBX-BBB--408196
000000000
4000.00000000
OU
Notional Amount
USD
-1056.33000000
-0.00042064988
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-345.90000000
USD
4000.00000000
USD
-710.43000000
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
000000000
1531.00000000
NS
26962.32000000
0.010736887998
Long
EC
CORP
DK
N
2
N
N
N
Daicel Corp
353800ZG4XF6D7NZGS72
Daicel Corp
000000000
2600.00000000
NS
21392.80000000
0.008519003467
Long
EC
CORP
JP
N
2
N
N
N
Evonik Industries AG
41GUOJQTALQHLF39XJ34
Evonik Industries AG
000000000
2148.00000000
NS
72115.64000000
0.028717764259
Long
EC
CORP
DE
N
2
N
N
N
Safestore Holdings PLC
213800WGA3YSJC1YOH73
Safestore Holdings PLC
000000000
6050.00000000
NS
79254.10000000
0.031560429337
Long
EC
GB
N
1
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K107
1664.00000000
NS
USD
4170516.48000000
1.660775791644
Long
EC
CORP
US
N
1
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AQ1
205000.00000000
PA
USD
217011.03000000
0.086417753501
Long
DBT
CORP
KY
N
2
2025-04-07
Fixed
3.07500000
N
N
N
N
N
N
Citrix Systems Inc
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376100
4648.00000000
NS
USD
545070.96000000
0.217057206088
Long
EC
CORP
US
N
1
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAS0
3000.00000000
PA
USD
3256.29000000
0.001296714118
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
Stockland
N/A
Stockland
000000000
40300.00000000
NS
140334.62000000
0.055883807375
Long
EC
AU
N
2
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-J1
12668BKK8
38070.49000000
PA
USD
34619.05000000
0.013785937651
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1024.61000000
0.000408018405
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
25736.98000000
EUR
31562.39000000
USD
2021-08-03
1024.61000000
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
100000.00000000
PA
USD
124565.00000000
0.049604056830
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
Countrywide Home Loans
5493008WNOU8I3M5WW38
CHL Mortgage Pass-Through Trust 2006-10
1266942E7
37404.28000000
PA
USD
26264.16000000
0.010458867942
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300LCOEVXWN75LP18
Neuberger Berman Loan Advisers Clo 43 Ltd
64134AAA0
250000.00000000
PA
USD
250000.00000000
0.099554563541
Long
ABS-CBDO
CORP
KY
N
2
2035-07-17
Floating
0.00000000
N
N
N
N
N
N
Cofinimmo SA
549300TM914CSF6KI389
Cofinimmo SA
000000000
270.00000000
NS
41129.05000000
0.016378338486
Long
EC
BE
N
2
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
000000000
155000.00000000
PA
200115.61000000
0.079689688845
Long
DBT
CORP
GB
N
2
2029-03-22
Fixed
3.62500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-92.32000000
-0.00003676350
N/A
DFE
CL
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
391924.15000000
USD
287856807.00000000
CLP
2021-07-15
-92.32000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KG3T8
301785.48000000
PA
USD
315662.66000000
0.125702633371
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
GLP J-Reit
353800E27V9KA51K2I90
GLP J-Reit
000000000
38.00000000
NS
65536.70000000
0.026097910257
Long
EC
JP
N
1
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
802000.00000000
PA
673388.60000000
0.268155632668
Long
DBT
NUSS
AU
N
2
2035-06-21
Fixed
2.75000000
N
N
N
N
N
N
Brixmor Property Group Inc
5299007UXW6Y0W2EGZ95
Brixmor Property Group Inc
11120U105
6284.00000000
NS
USD
143840.76000000
0.057280016325
Long
EC
US
N
1
N
N
N
Wharf Real Estate Investment Co Ltd
529900QLPKS8U9QOPB59
Wharf Real Estate Investment Co Ltd
000000000
6000.00000000
NS
34878.25000000
0.013889155823
Long
EC
CORP
KY
N
2
N
N
N
TOTALENERGIES SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
100000.00000000
PA
125342.09000000
0.049913508253
Long
DBT
CORP
FR
N
2
2025-02-26
Fixed
2.62500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1071.90000000
0.000426850146
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
135000.00000000
EUR
161253.90000000
USD
2021-08-03
1071.90000000
N
N
N
Breedon Group PLC
213800ZQKCIVCPN9H229
Breedon Group PLC
000000000
28900.00000000
NS
43095.60000000
0.017161454594
Long
EC
CORP
JE
N
1
N
N
N
E.ON INTL FINANCE BV
549300TG53AWJ719M814
E.ON International Finance BV
000000000
109000.00000000
PA
137506.92000000
0.054757765618
Long
DBT
CORP
NL
N
2
2027-10-19
Fixed
1.25000000
N
N
N
N
N
N
BRF GMBH
5299002S6DY5RA2IOQ11
BRF GmbH
000000000
200000.00000000
PA
USD
210412.50000000
0.083790098405
Long
DBT
CORP
AT
N
2
2026-09-29
Fixed
4.35000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
7368.21000000
0.002934155722
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
276201.15000000
EUR
335090.08000000
USD
2021-08-03
7368.21000000
N
N
N
GE CAPITAL FUNDING LLC
549300XAGH9TOLX5XM67
GE Capital Funding LLC
36166NAJ2
200000.00000000
PA
USD
233122.00000000
0.092833435848
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.40000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-116.47000000
-0.00004638048
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
25285.62000000
USD
31200.00000000
CAD
2021-07-16
-116.47000000
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612E106
103.00000000
NS
USD
24899.22000000
0.009915323918
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
549300KB1O80CETXGJ21
Freddie Mac STACR Trust 2019-DNA3
35564TAH3
20445.53000000
PA
USD
20625.19000000
0.008213327153
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
2.14200000
N
N
N
N
N
N
Gartner Inc
PP55B5R38BFB8O8HH686
Gartner Inc
366651107
105.00000000
NS
USD
25431.00000000
0.010127088421
Long
EC
CORP
US
N
1
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
44000.00000000
PA
USD
46080.76000000
0.018350199797
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.87500000
N
N
N
N
N
N
Sun Hung Kai Properties Ltd
529900LUMD393RD3S874
Sun Hung Kai Properties Ltd
000000000
11000.00000000
NS
163481.38000000
0.065101269732
Long
EC
CORP
HK
N
2
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142103
7258.00000000
NS
USD
1023523.16000000
0.407585605875
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-370.77000000
-0.00014764738
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
21691.54000000
USD
2367700.00000000
JPY
2021-08-19
-370.77000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
31137.35000000
PA
USD
31265.98000000
0.012450683970
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
2.19200000
N
N
N
N
N
N
WPC Eurobond BV
5493005XDMOLBARL5M14
WPC Eurobond BV
000000000
148000.00000000
PA
189923.40000000
0.075630964773
Long
DBT
NL
N
2
2027-04-15
Fixed
2.12500000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AY5
245000.00000000
PA
USD
246251.95000000
0.098062021614
Long
DBT
CORP
IT
N
2
2032-06-03
Fixed
3.12700000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216100
9683.00000000
NS
USD
523947.13000000
0.208645311384
Long
EC
CORP
US
N
1
N
N
N
Ascendas Real Estate Investment Trust
549300ILIBAEMQZK3L20
Ascendas Real Estate Investment Trust
000000000
24600.00000000
NS
54058.95000000
0.021527260691
Long
EC
SG
N
2
N
N
N
Robert Half International Inc
529900VPCUY9H3HLIC08
Robert Half International Inc
770323103
10187.00000000
NS
USD
906337.39000000
0.360920093132
Long
EC
CORP
US
N
1
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460D109
480.00000000
NS
USD
144331.20000000
0.057475318485
Long
EC
US
N
1
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
1310000.00000000
PA
1537550.81000000
0.612280799252
Long
DBT
NUSS
IT
N
2
2028-03-15
Fixed
0.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-612.41000000
-0.00024387284
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
23037.89000000
USD
18900.00000000
EUR
2021-08-03
-612.41000000
N
N
N
Techtronic Industries Co Ltd
549300HZW2SBE758OK89
Techtronic Industries Co Ltd
000000000
5500.00000000
NS
95848.31000000
0.038168546673
Long
EC
CORP
HK
N
2
N
N
N
BELLEMEADE RE LT
254900K56RF3Z7VQ3U81
Bellemeade Re 2019-1 Ltd
07876RAB2
220000.00000000
PA
USD
219999.93000000
0.087607988041
Long
ABS-MBS
CORP
BM
N
2
2029-03-25
Floating
1.84200000
N
N
N
N
N
N
Magna International Inc
95RWVLFZX6VGDZNNTN43
Magna International Inc
000000000
530.00000000
NS
49070.75000000
0.019540868395
Long
EC
CORP
CA
N
1
N
N
N
American Campus Communities Inc
529900MR3ZXRO3W6UX26
American Campus Communities Inc
024835100
11816.00000000
NS
USD
552043.52000000
0.219833806759
Long
EC
US
N
1
N
N
N
ALPEK SA DE CV
549300PWKJTP62D4IQ66
Alpek SAB de CV
020564AE0
200000.00000000
PA
USD
201475.00000000
0.080231022758
Long
DBT
CORP
MX
N
2
2031-02-25
Fixed
3.25000000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65557DAL5
200000.00000000
PA
USD
220180.00000000
0.087679695202
Long
DBT
CORP
FI
N
2
2024-09-23
Fixed
6.12500000
N
N
N
N
Y
Nordea Bank Abp
Nordea Bank Abp
USD
XXXX
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-4380.20000000
-0.00174427559
N/A
DFE
AU
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
759143.48000000
USD
1006178.25000000
AUD
2021-08-25
-4380.20000000
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
3783.00000000
NS
USD
238631.64000000
0.095027475070
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
190900.47000000
0.076020051883
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1036683486.00000000
JPY
9526073.17000000
USD
2021-08-19
190900.47000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
114000.00000000
PA
201983.31000000
0.080433441079
Long
DBT
NUSS
ES
N
2
2037-01-31
Fixed
4.20000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
180000.00000000
PA
238753.75000000
0.095076101501
Long
DBT
NUSS
ID
N
2
2025-07-30
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAX2
52645.31000000
PA
USD
53736.75000000
0.021398954769
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Floating
4.09200000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBH6
118138.38000000
PA
USD
125098.05000000
0.049816327070
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Floating
5.64200000
N
N
N
N
N
N
Etsy Inc
54930089Q7XT501AEA40
Etsy Inc
29786A106
1874.00000000
NS
USD
385744.16000000
0.153610365950
Long
EC
CORP
US
N
1
N
N
N
Nestle SA
KY37LUS27QQX7BB93L28
Nestle SA
000000000
543.00000000
NS
67683.35000000
0.026952745473
Long
EC
CORP
CH
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1951.22000000
-0.00077701142
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
71183.87000000
USD
64000.00000000
CHF
2021-08-05
-1951.22000000
N
N
N
INPOST NA
2221003M23QLERR89585
InPost SA
000000000
135000.00000000
PA
161145.58000000
0.064171111534
Long
DBT
CORP
LU
N
2
2027-07-15
Fixed
2.25000000
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
2024830000.00000000
PA
1756590.32000000
0.699506330518
Long
DBT
NUSS
KR
N
2
2026-03-10
Fixed
1.25000000
N
N
N
N
N
N
Agnico Eagle Mines Ltd
YGE0EUBRF7IJOB3QRX76
Agnico Eagle Mines Ltd
000000000
4226.00000000
NS
255550.95000000
0.101765053159
Long
EC
CORP
CA
N
1
N
N
N
Comforia Residential REIT Inc
353800BJ2SV3UPG9JU05
Comforia Residential REIT Inc
000000000
15.00000000
NS
47252.03000000
0.018816620892
Long
EC
JP
N
2
N
N
N
Steel Dynamics Inc
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119100
125.00000000
NS
USD
7450.00000000
0.002966725993
Long
EC
CORP
US
N
1
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAL2
308000.00000000
PA
USD
323584.80000000
0.128857374131
Long
DBT
CORP
NL
N
2
2024-09-10
Fixed
2.65000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAF6
75000.00000000
PA
USD
84590.25000000
0.033685381674
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.10000000
N
N
N
N
N
N
Trend Micro Inc/Japan
3538005O5UJ5RNAGVE16
Trend Micro Inc/Japan
000000000
800.00000000
NS
41890.80000000
0.016681681241
Long
EC
CORP
JP
N
2
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AA8
200000.00000000
PA
USD
192664.00000000
0.076722321721
Long
DBT
CORP
GB
N
2
2027-01-30
Variable
1.69600000
N
N
N
N
N
N
Plymouth Industrial REIT Inc
N/A
Plymouth Industrial REIT Inc
729640102
1112.00000000
NS
USD
22262.24000000
0.008865230346
Long
EC
US
N
1
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-8320.16000000
-0.00331323958
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1990812787.00000000
KRW
1753386.69000000
USD
2021-07-22
-8320.16000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2712.42000000
-0.00108013515
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
96261.14000000
USD
78842.05000000
EUR
2021-08-03
-2712.42000000
N
N
N
EPR Properties
549300YSSXFHMPOWZ492
EPR Properties
26884U109
1820.00000000
NS
USD
95877.60000000
0.038180210485
Long
EC
US
N
1
N
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
Allison Transmission Inc
019736AG2
105000.00000000
PA
USD
103030.20000000
0.041028506370
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
3.75000000
N
N
N
N
N
N
Broadstone Net Lease Inc
N/A
Broadstone Net Lease Inc
11135E203
1660.00000000
NS
USD
38860.60000000
0.015475000287
Long
EC
US
N
1
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAC9
53000.00000000
PA
USD
53228.43000000
0.021196532466
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.00000000
N
N
N
N
N
N
Octagon Loan Funding Ltd
549300HJJWTCMWFILG24
Octagon Loan Funding Ltd
67590RAY1
320000.00000000
PA
USD
320055.68000000
0.127452014126
Long
ABS-CBDO
CORP
KY
N
2
2031-11-18
Floating
1.33500000
N
N
N
N
N
N
LUKOIL PJSC
549300LCJ1UJXHYBWI24
LUKOIL PJSC
69343P105
1350.00000000
NS
USD
124200.00000000
0.049458707167
Long
EC
CORP
RU
N
1
N
N
N
Link REIT
529900XUE70U36QX5M62
Link REIT
000000000
13768.00000000
NS
133210.05000000
0.053046673548
Long
EC
HK
N
2
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
28000.00000000
PA
USD
33446.28000000
0.013318919230
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
132.48000000
0.000052755954
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
16808.29000000
USD
21000.00000000
CAD
2021-07-16
132.48000000
N
N
N
ICADE
969500UDH342QLTE1M42
ICADE
000000000
570.00000000
NS
49185.78000000
0.019586675441
Long
EC
FR
N
2
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540109
10997.00000000
NS
USD
741417.74000000
0.295246078031
Long
EC
CORP
US
N
1
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBF0
20000.00000000
PA
USD
22602.20000000
0.009000608624
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.62500000
N
N
N
N
N
N
WABTEC TRANSPORTATION
213800W8WKL7DR8NFE48
Wabtec Transportation Netherlands BV
000000000
199000.00000000
PA
238050.20000000
0.094795935048
Long
DBT
CORP
NL
N
2
2027-12-03
Fixed
1.25000000
N
N
N
N
N
N
Repsol SA
BSYCX13Y0NOTV14V9N85
Repsol SA
000000000
17792.00000000
NS
223513.53000000
0.089007167699
Long
EC
CORP
ES
N
2
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
69900000.00000000
PA
616280.23000000
0.245414037268
Long
DBT
NUSS
JP
N
2
2050-09-20
Fixed
0.60000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
7823.36000000
0.003115404760
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
323095.44000000
GBP
454818.28000000
USD
2021-08-26
7823.36000000
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AH3
200000.00000000
PA
USD
198187.50000000
0.078921880247
Long
DBT
CORP
MX
N
2
2031-02-09
Fixed
3.34800000
N
N
N
N
N
N
Cerner Corp
549300L4UJ40IEVVI304
Cerner Corp
156782104
1009.00000000
NS
USD
78863.44000000
0.031404861394
Long
EC
CORP
US
N
1
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866108
591.00000000
NS
USD
102940.38000000
0.040992738406
Long
EC
CORP
US
N
1
N
N
N
Host Hotels & Resorts LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAU0
10000.00000000
PA
USD
10538.50000000
0.004196623071
Long
DBT
US
N
2
2023-10-15
Fixed
3.75000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229BB1
20000.00000000
PA
USD
22159.80000000
0.008824436868
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
200000.00000000
PA
USD
209475.00000000
0.083416768791
Long
DBT
NUSS
OM
N
2
2025-02-01
Fixed
4.87500000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DB3
41000.00000000
PA
USD
44498.12000000
0.017719963660
Long
DBT
CORP
US
N
2
2025-09-30
Fixed
4.50000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
320000.00000000
PA
230593.47000000
0.091826529045
Long
DBT
NUSS
AU
N
2
2030-12-21
Fixed
1.00000000
N
N
N
N
N
N
Roche Holding AG
549300U41AUUVOAAOB37
Roche Holding AG
771195104
27571.00000000
NS
USD
1295561.29000000
0.515916155071
Long
EC
CORP
CH
N
1
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110L106
238.00000000
NS
USD
125713.98000000
0.050061601640
Long
EC
CORP
US
N
1
N
N
N
Cadence Design Systems Inc
GCT7RXJOGLXPV0NXZY22
Cadence Design Systems Inc
127387108
264.00000000
NS
USD
36120.48000000
0.014383834485
Long
EC
CORP
US
N
1
N
N
N
ADLER Group SA
391200OYYFJ3DWAMEC69
ADLER Group SA
000000000
2920.00000000
NS
76795.82000000
0.030581497367
Long
EC
CORP
LU
N
1
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
702824.00000000
0.279877346267
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
17488117.96000000
EUR
21453059.04000000
USD
2021-08-03
702824.00000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
000000000
200000.00000000
PA
237228.29000000
0.094468635483
Long
DBT
CORP
GB
N
2
2030-02-26
Fixed
0.78000000
N
N
N
N
N
N
Alexander & Baldwin Inc
N/A
Alexander & Baldwin Inc
014491104
3260.00000000
NS
USD
59723.20000000
0.023782868437
Long
EC
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-12189.81000000
-0.00485420485
N/A
DFE
JP
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1586804.21000000
USD
174863047.00000000
JPY
2021-08-19
-12189.81000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-21178.27000000
-0.00843357370
N/A
DFE
XX
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
789247.06000000
USD
647321.71000000
EUR
2021-08-03
-21178.27000000
N
N
N
CYRUSONE LP/CYRUSONE FIN
N/A
CyrusOne LP / CyrusOne Finance Corp
000000000
100000.00000000
PA
120910.94000000
0.048148943436
Long
DBT
US
N
2
2027-01-22
Fixed
1.45000000
N
N
N
N
N
N
Electrolux AB
549300Y3HHZB1ZGFPJ93
Electrolux AB
000000000
3467.00000000
NS
96077.24000000
0.038259710778
Long
EC
CORP
SE
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
110.43000000
0.000043975241
N/A
DFE
GB
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
204528.66000000
USD
147916.57000000
GBP
2021-08-26
110.43000000
N
N
N
Sika AG
549300R3N69ECGYPU434
Sika AG
000000000
68.00000000
NS
22279.36000000
0.008872047843
Long
EC
CORP
CH
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEDJ8
440514.24000000
PA
USD
463386.22000000
0.184528851533
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
44850000.00000000
PA
396514.45000000
0.157899292031
Long
DBT
NUSS
JP
N
2
2039-12-20
Fixed
0.30000000
N
N
N
N
N
N
Southwest Airlines Co
UDTZ87G0STFETI6HGH41
Southwest Airlines Co
844741108
9145.00000000
NS
USD
485508.05000000
0.193338168055
Long
EC
CORP
US
N
1
N
N
N
Booz Allen Hamilton Holding Corp
529900JPV47PIUWMA015
Booz Allen Hamilton Holding Corp
099502106
4107.00000000
NS
USD
349834.26000000
0.139310388265
Long
EC
CORP
US
N
1
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135F101
76.00000000
NS
USD
36239.84000000
0.014431365816
Long
EC
CORP
US
N
1
N
N
N
Fletcher Building Ltd
549300UPHQTT2LG75045
Fletcher Building Ltd
000000000
8770.00000000
NS
46088.68000000
0.018353353686
Long
EC
CORP
NZ
N
2
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162100
100.00000000
NS
USD
24375.00000000
0.009706569945
Long
EC
CORP
US
N
1
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505104
40250.00000000
NS
USD
1659507.50000000
0.660846179428
Long
EC
CORP
US
N
1
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAF8
13000.00000000
PA
USD
13949.26000000
0.005554849964
Long
DBT
CORP
US
N
2
2024-01-30
Fixed
4.37500000
N
N
N
N
N
N
Antofagasta PLC
213800MY6QVH4FVLD628
Antofagasta PLC
000000000
2060.00000000
NS
40964.80000000
0.016312931138
Long
EC
CORP
GB
N
2
N
N
N
TELECOM ITALIA SPA
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
140000.00000000
PA
163250.99000000
0.065009524228
Long
DBT
CORP
IT
N
2
2029-01-18
Fixed
1.62500000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
158046.00000000
PA
USD
158142.50000000
0.062975230259
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.32300000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
9561.26000000
0.003807468264
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
5735316835.00000000
IDR
403029.89000000
USD
2021-07-15
9561.26000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
1780000.00000000
PA
276091.53000000
0.109944687067
Long
DBT
NUSS
CN
N
2
2027-01-14
Fixed
3.43000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS24Y73 IRS EUR R V 06MEURIB IS24Y84 CCPVANILLA / Short: BS24Y73 IRS EUR P F .12200 IS24Y73 CCPVANILLA
000000000
540000.00000000
OU
Notional Amount
63369.36000000
0.025234835906
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
2050-09-30
0.00000000
EUR
0.00000000
EUR
540000.00000000
EUR
63369.36000000
N
N
N
Essex Property Trust Inc
549300TR2H2VEFX0NC60
Essex Property Trust Inc
297178105
622.00000000
NS
USD
186606.22000000
0.074310003145
Long
EC
US
N
1
N
N
N
Nippon Building Fund Inc
52990053R8NL2MB32172
Nippon Building Fund Inc
000000000
17.00000000
NS
105919.35000000
0.042179018639
Long
EC
JP
N
2
N
N
N
Tesla Inc
54930043XZGB27CTOV49
Tesla Inc
88160R101
81.00000000
NS
USD
55055.70000000
0.021924184735
Long
EC
CORP
US
N
1
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAH4
47000.00000000
PA
USD
53172.98000000
0.021174451264
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
250000.00000000
PA
USD
280950.00000000
0.111879418508
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-5516.30000000
-0.00219669135
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
25685172.03000000
CNY
3944404.32000000
USD
2021-09-16
-5516.30000000
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
1894.00000000
NS
25141.61000000
0.010011848041
Long
EC
CORP
NL
N
2
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
32000.00000000
PA
USD
33440.00000000
0.013316418419
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076102
5649.00000000
NS
USD
1801409.61000000
0.717354189935
Long
EC
CORP
US
N
1
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA Inc
000000000
170000.00000000
PA
203603.38000000
0.081078582526
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.75000000
N
N
N
N
N
N
Knight-Swift Transportation Holdings Inc
N/A
Knight-Swift Transportation Holdings Inc
499049104
14267.00000000
NS
USD
648577.82000000
0.258275527172
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1E3T9 CDS USD R F 3.00000 IS1E3T9 CMBX-BBB--416265 / Short: IS1E3T9 CDS USD P V 00MEVENT IS1E3U0 CMBX-BBB--416265
000000000
53000.00000000
OU
Notional Amount
USD
-13996.42000000
-0.00557362993
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-5448.77000000
USD
53000.00000000
USD
-8547.65000000
N
N
N
Rio Tinto PLC
213800YOEO5OQ72G2R82
Rio Tinto PLC
000000000
3936.00000000
NS
325064.21000000
0.129446502198
Long
EC
CORP
GB
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
8164.76000000
0.003251356472
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
908134480.00000000
KRW
811789.66000000
USD
2021-07-22
8164.76000000
N
N
N
CapitaLand Integrated Commercial Trust
54930031292WUTXF0L29
CapitaLand Integrated Commercial Trust
000000000
52980.00000000
NS
82485.53000000
0.032847243750
Long
EC
SG
N
2
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-9201.66000000
-0.00366426898
N/A
DFE
CL
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
388485.44000000
USD
278638459.00000000
CLP
2021-07-15
-9201.66000000
N
N
N
Pikes Peak CLO
549300NJA5BS4BQQJL72
Pikes Peak CLO 8
72133CAC6
250000.00000000
PA
USD
250000.00000000
0.099554563541
Long
ABS-CBDO
CORP
KY
N
3
2034-07-20
Variable
1.87000000
N
N
N
N
N
N
CARNIVAL PLC
4DR1VPDQMHD3N3QW8W95
Carnival PLC
000000000
200000.00000000
PA
194498.59000000
0.077452888947
Long
DBT
CORP
GB
N
2
2029-10-28
Fixed
1.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-11693.30000000
-0.00465648551
N/A
DFE
CH
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1190953.78000000
USD
1090131.21000000
CHF
2021-08-05
-11693.30000000
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
000000000
147000.00000000
PA
200437.11000000
0.079817716014
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.62500000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
4504.92000000
0.001793941377
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
6133933.46000000
BRL
1233571.33000000
USD
2021-08-03
4504.92000000
N
N
N
Kinnevik AB
2138006PZH76JOS6MN27
Kinnevik AB
000000000
1722.00000000
NS
68955.60000000
0.027459378647
Long
EC
CORP
SE
N
2
N
N
N
Flagship Credit Auto Trust
549300A2KXZJ0K08VV65
Flagship Credit Auto Trust 2016-4
33844FAE7
71089.52000000
PA
USD
71532.81000000
0.028485670713
Long
ABS-O
CORP
US
N
2
2022-11-15
Fixed
3.89000000
N
N
N
N
N
N
APERAM SA
5493001136GE6L4R7M63
APERAM SA
000000000
2450.00000000
NS
125822.33000000
0.050104748587
Long
EC
CORP
LU
N
2
N
N
N
Eurex Zurich
N/A
EURO-SCHATZ FUT SEP21 EUCH 20210908
000000000
3.00000000
NC
-74.63000000
-0.00002971902
N/A
DIR
DE
N
1
Eurex Zurich
N/A
Long
Euro-Schatz Futures (FGBS)
DUU1 Comdty
2021-09-08
336482.94000000
EUR
-74.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPG65
167401.54000000
PA
USD
181138.76000000
0.072132760769
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
22192000.00000000
PA
1175547.56000000
0.468124497034
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
BorgWarner Inc
549300DSFX2IE88NSX47
BorgWarner Inc
099724106
426.00000000
NS
USD
20678.04000000
0.008234372988
Long
EC
CORP
US
N
1
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AF4
100000.00000000
PA
USD
106552.00000000
0.042430951418
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAU5
79000.00000000
PA
USD
79463.73000000
0.031643907830
Long
DBT
CORP
BM
N
2
2028-01-26
Fixed
2.85000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824100
420.00000000
NS
USD
48690.60000000
0.019389485726
Long
EC
CORP
US
N
1
N
N
N
Industrial & Infrastructure Fund Investment Corp
353800WCHFY04YKYCI19
Industrial & Infrastructure Fund Investment Corp
000000000
30.00000000
NS
57180.21000000
0.022770203399
Long
EC
JP
N
2
N
N
N
New World Development Co Ltd
2549008GWMWXTIRL4S48
New World Development Co Ltd
000000000
18000.00000000
NS
93347.08000000
0.037172511229
Long
EC
CORP
HK
N
2
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
172000.00000000
PA
198175.23000000
0.078916994109
Long
DBT
NUSS
IT
N
2
2045-04-30
Fixed
1.50000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
279000.00000000
PA
304106.92000000
0.121100926762
Long
DBT
NUSS
DE
N
2
2050-08-15
None
0.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-495.89000000
-0.00019747245
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
32948.69000000
USD
30000.00000000
CHF
2021-08-05
-495.89000000
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
46153.00000000
PA
USD
50589.46000000
0.020145646440
Long
DBT
CORP
IL
N
2
2025-06-30
Fixed
6.12500000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
180000.00000000
PA
262377.81000000
0.104483633430
Long
DBT
NUSS
BE
N
2
2038-06-22
Fixed
1.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7S26
132055.25000000
PA
USD
138127.63000000
0.055004943670
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
000000000
200000.00000000
PA
237508.12000000
0.094580068897
Long
DBT
CORP
ES
N
2
2026-11-18
Fixed
0.37500000
N
N
N
N
N
N
Zalando SE
529900YRFFGH5AXU4S86
Zalando SE
000000000
337.00000000
NS
40816.23000000
0.016253767852
Long
EC
CORP
DE
N
3
N
N
N
Mitsui Fudosan Logistics Park Inc
353800DN63EIYS760S59
Mitsui Fudosan Logistics Park Inc
000000000
9.00000000
NS
47958.95000000
0.019098129340
Long
EC
JP
N
1
N
N
N
Domino's Pizza Inc
25490005ZWM1IF9UXU57
Domino's Pizza Inc
25754A201
20.00000000
NS
USD
9329.80000000
0.003715296667
Long
EC
CORP
US
N
1
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
26000.00000000
PA
USD
27120.86000000
0.010800021520
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408103
31461.00000000
NS
USD
1009268.88000000
0.401909291379
Long
EC
CORP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
857.38000000
0.000341424366
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1646451.48000000
THB
52226.85000000
USD
2021-07-15
857.38000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4747.98000000
0.001890732306
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
178043.98000000
EUR
216003.10000000
USD
2021-08-03
4747.98000000
N
N
N
HomeBanc Mortgage Trust
N/A
HomeBanc Mortgage Trust 2005-1
43739EAP2
47034.72000000
PA
USD
42918.60000000
0.017090969963
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.59200000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-XLF1
61765VAA6
79900.60000000
PA
USD
73508.55000000
0.029272446447
Long
ABS-MBS
CORP
US
N
2
2026-11-15
Floating
2.02300000
N
N
N
N
N
N
SITE Centers Corp
W2AVA6SODOQ1LCYJQR54
SITE Centers Corp
82981J109
8215.00000000
NS
USD
123717.90000000
0.049266726147
Long
EC
US
N
1
N
N
N
AGL CLO 1 Ltd.
54930005OE1IFBESDA27
AGL CLO 12 Ltd
00120BAA8
250000.00000000
PA
USD
250112.00000000
0.099599163986
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.29000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141G104
4356.00000000
NS
USD
1653232.68000000
0.658347431563
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-267.42000000
-0.00010649152
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
632000.00000000
MXN
31220.16000000
USD
2021-08-27
-267.42000000
N
N
N
Mebuki Financial Group Inc
353800K1RXV3E3JAE812
Mebuki Financial Group Inc
000000000
21000.00000000
NS
44404.26000000
0.017682586894
Long
EC
CORP
JP
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
1045.29000000
0.000416253558
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2026888.12000000
THB
64284.43000000
USD
2021-07-15
1045.29000000
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
155000.00000000
PA
195235.95000000
0.077746519159
Long
DBT
CORP
IT
N
2
2029-07-13
Fixed
3.37500000
N
N
N
N
N
N
PetroChina Co Ltd
529900RPY4YG47TRSV05
PetroChina Co Ltd
000000000
548000.00000000
NS
268360.84000000
0.106866185191
Long
EC
CORP
CN
N
2
N
N
N
Acuity Brands Inc
N/A
Acuity Brands Inc
00508Y102
521.00000000
NS
USD
97442.63000000
0.038803434000
Long
EC
CORP
US
N
1
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABV6
78000.00000000
PA
USD
80655.90000000
0.032118651686
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
Mitsubishi Chemical Holdings Corp
353800YNKX4RQUGAR072
Mitsubishi Chemical Holdings Corp
000000000
3600.00000000
NS
30290.38000000
0.012062182241
Long
EC
CORP
JP
N
2
N
N
N
Genworth Mortgage Insurance Corporation
N/A
Traingle Re 2021-1 Ltd
89600FAB9
149356.00000000
PA
USD
150421.86000000
0.059900730477
Long
ABS-MBS
CORP
BM
N
2
2033-08-25
Floating
3.09200000
N
N
N
N
N
N
ServiceNow Inc
549300HJTQM36M0E1G39
ServiceNow Inc
81762P102
165.00000000
NS
USD
90675.75000000
0.036108738860
Long
EC
CORP
US
N
1
N
N
N
Mitsubishi Estate Co Ltd
353800KOFMRGOXSJ5Z65
Mitsubishi Estate Co Ltd
000000000
3800.00000000
NS
61421.56000000
0.024459186391
Long
EC
CORP
JP
N
2
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FAXY9
243114.45000000
PA
USD
46537.48000000
0.018532074038
Long
ABS-MBS
USGSE
US
N
2
2047-09-15
Floating
6.07700000
N
N
N
N
N
N
L Street Securities
549300T6W1U156OOG754
Wells Fargo Credit Risk Transfer Securities Trust 2015
949771AG4
15645.21000000
PA
USD
15508.87000000
0.006175915135
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Floating
5.59200000
N
N
N
N
N
N
Canadian Natural Resources Ltd
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
000000000
671.00000000
NS
24358.66000000
0.009700063059
Long
EC
CORP
CA
N
1
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBL5
29000.00000000
PA
USD
32580.63000000
0.012974201598
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.50000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAV6
14000.00000000
PA
USD
15071.70000000
0.006001826061
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
Regis Resources Ltd
213800XH9YUXBLYBD749
Regis Resources Ltd
000000000
19455.00000000
NS
34442.15000000
0.013715492842
Long
EC
CORP
AU
N
2
N
N
N
Vale SA
254900SMTWBX7RU2SR20
Vale SA
91912E105
12586.00000000
NS
USD
287086.66000000
0.114323148540
Long
EC
CORP
BR
N
1
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-KEYS
04410CAA7
200000.00000000
PA
USD
200156.60000000
0.079706011812
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.07300000
N
N
N
N
N
N
Eagle Re 2018-1 Ltd.
549300BLEDGL5R7YKU33
Eagle RE 2018-1 Ltd
269826AA1
55779.12000000
PA
USD
55816.63000000
0.022227200952
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Floating
1.79200000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
21145.27000000
0.008420432503
N/A
DFE
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
716568.71000000
CHF
796300.73000000
USD
2021-08-05
21145.27000000
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
000000000
270000.00000000
PA
368652.44000000
0.146804131051
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AK1
17000.00000000
PA
USD
17081.60000000
0.006802204930
Long
DBT
CORP
US
N
2
2021-08-01
Fixed
6.75000000
N
N
N
N
N
N
St Barbara Ltd
2549001WR6XSXNOD1F93
St Barbara Ltd
000000000
23750.00000000
NS
30384.86000000
0.012099805902
Long
EC
CORP
AU
N
2
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-5244.14000000
-0.00208831227
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2043925.67000000
BRL
405694.31000000
USD
2021-07-02
-5244.14000000
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BK0
201000.00000000
PA
USD
209622.90000000
0.083475665271
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-902.74000000
-0.00035948754
N/A
DFE
SG
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
98321.84000000
USD
131000.00000000
SGD
2021-08-19
-902.74000000
N
N
N
Subsea 7 SA
222100AIF0CBCY80AH62
Subsea 7 SA
000000000
11870.00000000
NS
113923.28000000
0.045366329670
Long
EC
CORP
LU
N
2
N
N
N
Deere & Co
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199105
203.00000000
NS
USD
71600.13000000
0.028512478766
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
2946.90000000
0.001173509373
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
878000.00000000
SEK
105552.41000000
USD
2021-07-15
2946.90000000
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBN4
55000.00000000
PA
USD
63209.30000000
0.025171097093
Long
DBT
CORP
US
N
2
2030-04-02
Fixed
4.90600000
N
N
N
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156R108
1474.00000000
NS
USD
88218.90000000
0.035130376342
Long
EC
CORP
US
N
1
N
N
N
EDP Renovaveis SA
529900MUFAH07Q1TAX06
EDP Renovaveis SA
000000000
3550.00000000
NS
82251.93000000
0.032754219966
Long
EC
CORP
ES
N
1
N
N
N
Apple Hospitality REIT Inc
549300EVZAR0FBZO4F16
Apple Hospitality REIT Inc
03784Y200
3240.00000000
NS
USD
49442.40000000
0.019688866209
Long
EC
US
N
1
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB Bank ASA
000000000
210000.00000000
PA
USD
217772.10000000
0.086720825468
Long
DBT
CORP
NO
N
2
2022-03-26
Fixed
6.50000000
N
N
N
N
Y
DNB Bank ASA
DNB Bank ASA
USD
XXXX
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAZ7
18703.57000000
PA
USD
18935.40000000
0.007540421929
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Floating
4.09200000
N
N
N
N
N
N
Royal Dutch Shell PLC
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC
000000000
56449.00000000
NS
1095832.23000000
0.436380397491
Long
EC
CORP
GB
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
166.07000000
0.000066132105
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
5471000.00000000
JPY
49431.57000000
USD
2021-08-19
166.07000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
000000000
200000.00000000
PA
USD
185000.00000000
0.073670377021
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.83200000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-2055.29000000
-0.00081845399
N/A
DFE
IN
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
807870.85000000
USD
59998709.90000000
INR
2021-07-15
-2055.29000000
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BL2
17000.00000000
PA
USD
17046.41000000
0.006788191630
Long
DBT
CORP
US
N
2
2021-09-15
Variable
3.40400000
N
N
N
N
N
N
Facebook Inc
BQ4BKCS1HXDV9HN80Z93
Facebook Inc
30303M102
8305.00000000
NS
USD
2887731.55000000
1.149947416346
Long
EC
CORP
US
N
1
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081103
1632.00000000
NS
USD
63909.12000000
0.025449778191
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BFLM1
350989.34000000
PA
USD
74818.89000000
0.029794247754
Long
ABS-MBS
USGSE
US
N
2
2044-12-15
Floating
6.02700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BYRV4
366862.59000000
PA
USD
88396.46000000
0.035201083975
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Floating
6.07700000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
99000.00000000
PA
USD
115519.14000000
0.046001830253
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
DEUTSCHLAND I/L BOND
529900AQBND3S6YJLY83
Deutsche Bundesrepublik Inflation Linked Bond
000000000
1249963.45000000
PA
1621969.82000000
0.645897990033
Long
DBT
NUSS
DE
N
2
2026-04-15
Fixed
0.10000000
N
N
N
N
N
N
Daiwa Office Investment Corp
N/A
Daiwa Office Investment Corp
000000000
6.00000000
NS
41709.52000000
0.016609492236
Long
EC
JP
N
2
N
N
N
BHP Group Ltd
WZE1WSENV6JSZFK0JC28
BHP Group Ltd
000000000
756.00000000
NS
27503.51000000
0.010952399735
Long
EC
CORP
AU
N
2
N
N
N
Molina Healthcare Inc
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855R100
404.00000000
NS
USD
102236.24000000
0.040712337005
Long
EC
CORP
US
N
1
N
N
N
ALLEGHANY CORP
549300DCJE6AYX159479
Alleghany Corp
017175AE0
79000.00000000
PA
USD
87168.60000000
0.034712127710
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.62500000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389X105
11426.00000000
NS
USD
889399.84000000
0.354175251542
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HKK5
31000.00000000
PA
USD
31084.94000000
0.012378590537
Long
DBT
CORP
US
N
2
2021-08-01
Variable
3.97600000
N
N
N
N
N
N
Edwards Lifesciences Corp
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp
28176E108
7483.00000000
NS
USD
775014.31000000
0.308624845483
Long
EC
CORP
US
N
1
N
N
N
EQT AB
213800U7P9GOIRKCTB34
EQT AB
000000000
425.00000000
NS
15438.45000000
0.006147872606
Long
EC
CORP
SE
N
2
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
000000000
120000.00000000
PA
141759.27000000
0.056451129011
Long
DBT
CORP
US
N
2
2029-05-04
Fixed
0.45000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBH1
33000.00000000
PA
USD
38623.86000000
0.015380726098
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
N
National Storage Affiliates Trust
N/A
National Storage Affiliates Trust
637870106
2842.00000000
NS
USD
143691.52000000
0.057220586233
Long
EC
US
N
1
N
N
N
PMT Credit Risk Transfer Trust
N/A
PMT Credit Risk Transfer Trust 2019-1R
73021CAA3
61583.41000000
PA
USD
61459.55000000
0.024474314702
Long
ABS-MBS
CORP
US
N
2
2024-03-27
Floating
2.09600000
N
N
N
N
N
N
SLM CORP
N/A
SLM Corp
78442PGD2
96000.00000000
PA
USD
103178.88000000
0.041087713460
Long
DBT
CORP
US
N
2
2025-10-29
Fixed
4.20000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
7909.40000000
0.003149667459
N/A
DFE
IN
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
397892.89000000
USD
30214871.78000000
INR
2021-07-15
7909.40000000
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
118000.00000000
PA
USD
116005.80000000
0.046195627149
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
LANXESS AG
529900PTLRE72EMYIJ77
LANXESS AG
000000000
507.00000000
NS
34794.89000000
0.013855960349
Long
EC
CORP
DE
N
2
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAT1
36382.08000000
PA
USD
37238.82000000
0.014829177887
Long
ABS-MBS
USGSE
US
N
2
2025-02-25
Floating
4.39200000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0DF3
28382.63000000
PA
USD
28597.84000000
0.011388181917
Long
ABS-MBS
USGSE
US
N
2
2024-10-25
Floating
4.84200000
N
N
N
N
N
N
GE CAPITAL EURO FUNDING
YHZHHIVHTKEV7XROHS46
GE Capital European Funding Unlimited Co
000000000
100000.00000000
PA
147038.94000000
0.058553589981
Long
DBT
CORP
IE
N
2
2027-02-22
Fixed
4.62500000
N
N
N
N
N
N
Autodesk Inc
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769106
22.00000000
NS
USD
6421.80000000
0.002557277984
Long
EC
CORP
US
N
1
N
N
N
Prysmian SpA
529900X0H1IO3RS1A464
Prysmian SpA
000000000
1361.00000000
NS
48840.92000000
0.019449345894
Long
EC
CORP
IT
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
707.14000000
0.000281596056
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4522000.00000000
JPY
41427.04000000
USD
2021-08-19
707.14000000
N
N
N
Crowdstrike Holdings Inc
549300YBY08K9KM4HX32
Crowdstrike Holdings Inc
22788C105
88.00000000
NS
USD
22115.28000000
0.008806708192
Long
EC
CORP
US
N
1
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
639057AA6
200000.00000000
PA
USD
198346.00000000
0.078984997841
Long
DBT
CORP
GB
N
2
2027-09-30
Variable
2.46700000
N
N
N
N
N
N
SPCM SA
969500F7036FEDYPRV54
SPCM SA
7846ELAC1
200000.00000000
PA
USD
204720.00000000
0.081523240993
Long
DBT
CORP
FR
N
2
2025-09-15
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R04
20753TAB9
34646.50000000
PA
USD
34785.56000000
0.013852244973
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Floating
2.19200000
N
N
N
N
N
N
NortonLifeLock Inc
YF6ZV0M6AU4FY94MK914
NortonLifeLock Inc
668771108
27909.00000000
NS
USD
759682.98000000
0.302519630016
Long
EC
CORP
US
N
1
N
N
N
CNP ASSURANCES
969500QKVPV2H8UXM738
CNP Assurances
000000000
100000.00000000
PA
142202.27000000
0.056627539698
Long
DBT
CORP
FR
N
2
2047-06-10
Fixed
4.50000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
549300KOHW56HILAN819
First Horizon Alternative Mortgage Securities Trust 2006-FA3
32051HAJ2
73678.41000000
PA
USD
49678.91000000
0.019783048809
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR4 Trust
46187XAA3
209225.71000000
PA
USD
209785.66000000
0.083540479274
Long
ABS-O
CORP
US
N
2
2038-01-17
Floating
1.18200000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
39000.00000000
PA
USD
37742.25000000
0.015029652903
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9T45
274597.09000000
PA
USD
299405.62000000
0.119228783284
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
AmerisourceBergen Corp
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073E105
681.00000000
NS
USD
77967.69000000
0.031048157393
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED HKD / SOLD USD
000000000
1.00000000
NC
1.24000000
0.000000493790
N/A
DFE
HK
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
12364.14000000
USD
96000.00000000
HKD
2021-08-19
1.24000000
N
N
N
Kilroy Realty Corp
549300CXXI18B214UN80
Kilroy Realty Corp
49427F108
1339.00000000
NS
USD
93247.96000000
0.037133039835
Long
EC
US
N
1
N
N
N
Countrywide Home Loans
5493008WNOU8I3M5WW38
CHL Mortgage Pass-Through Trust 2006-13
12543TAU9
19494.65000000
PA
USD
12777.68000000
0.005088305421
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.25000000
N
N
N
N
N
N
Chicago Parking Meters LLC
N/A
CHICAGO PARKING METERS 4.93 30
000000000
200000.00000000
PA
USD
220360.22000000
0.087751462096
Long
DBT
CORP
US
N
2
2025-12-30
Fixed
4.93000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-338.99000000
-0.00013499200
N/A
DFE
GB
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
19707.66000000
USD
14000.00000000
GBP
2021-08-26
-338.99000000
N
N
N
LPL Financial Holdings Inc
549300XROQ4Y8G2L7682
LPL Financial Holdings Inc
50212V100
3438.00000000
NS
USD
464061.24000000
0.184797656819
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
830.60000000
0.000330760081
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4595000.00000000
JPY
42207.86000000
USD
2021-08-19
830.60000000
N
N
N
Carrier Global Corp
549300JE3W6CWY2NAN77
Carrier Global Corp
14448C104
1332.00000000
NS
USD
64735.20000000
0.025778738327
Long
EC
CORP
US
N
1
N
N
N
CHEPLAPHARM ARZNEIMITTEL
529900ONXKBELT7EW052
Cheplapharm Arzneimittel GmbH
000000000
120000.00000000
PA
143872.28000000
0.057292568164
Long
DBT
CORP
DE
N
2
2027-02-11
Fixed
3.50000000
N
N
N
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
000000000
5321.00000000
NS
USD
547371.27000000
0.217973231521
Long
EC
CORP
NL
N
1
N
N
N
Alliance Bernstein
5493006YWHO7MNK2U579
AB Fixed Income Shares, Inc. - Government Money Market Portfolio
018616748
95175.00000000
NS
USD
95175.00000000
0.037900422340
Long
STIV
RF
US
N
1
N
N
VICI Properties Inc
254900RKH6RY9KCJQH63
VICI Properties Inc
925652109
772.00000000
NS
USD
23947.44000000
0.009536307748
Long
EC
US
N
1
N
N
Wells Fargo Commercial Mortgage Trust
549300ZJL46M82UL2Z22
Wells Fargo Commercial Mortgage Trust 2015-SG1
94989QBB5
72719.00000000
PA
USD
67686.82000000
0.026954127290
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
4.61100000
N
N
N
N
N
N
LKQ Corp
DS830JTTZQN6GK0I2E41
LKQ Corp
501889208
11319.00000000
NS
USD
557121.18000000
0.221855823659
Long
EC
CORP
US
N
1
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
160000.00000000
PA
190389.73000000
0.075816665892
Long
DBT
CORP
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1IED2 CDS USD R F 3.00000 IS1IED2 CMBX / Short: IS1IED2 CDS USD P V 01MEVENT IS1IEE3 CMBX
000000000
82000.00000000
OU
Notional Amount
USD
-21648.00000000
-0.00862062876
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-13118.86000000
USD
82000.00000000
USD
-8529.14000000
N
N
N
ENEOS Holdings Inc
3538001KQ5SAOZSQTT44
ENEOS Holdings Inc
000000000
41400.00000000
NS
173499.11000000
0.069090512683
Long
EC
CORP
JP
N
2
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCS7
102000.00000000
PA
USD
103494.30000000
0.041213319462
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
46000.00000000
PA
USD
48380.50000000
0.019265998245
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
DP WORLD CRESCENT LTD
21380096JRTWB8TL9236
DP World Crescent Ltd
000000000
200000.00000000
PA
USD
216750.00000000
0.086313806590
Long
DBT
CORP
KY
N
2
2029-07-18
Fixed
3.87500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1C4Z6 CDS USD R F 3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6 CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304
000000000
8000.00000000
OU
Notional Amount
USD
-2112.67000000
-0.00084130375
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-904.91000000
USD
8000.00000000
USD
-1207.76000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAD3
2000.00000000
PA
USD
2159.02000000
0.000859761175
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.12500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
200000.00000000
PA
USD
221984.00000000
0.088398080933
Long
DBT
CORP
CH
N
2
2023-12-11
Fixed
7.50000000
N
N
N
N
Y
Credit Suisse Group AG
Credit Suisse Group AG
USD
XXXX
N
N
N
NETSTREIT Corp
N/A
NETSTREIT Corp
64119V303
2644.00000000
NS
USD
60970.64000000
0.024279621816
Long
EC
US
N
1
N
N
N
Citizens Financial Group Inc
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610105
703.00000000
NS
USD
32246.61000000
0.012841188737
Long
EC
CORP
US
N
1
N
N
N
Simon Property Group Inc
529900GQL5X8H7AO3T64
Simon Property Group Inc
828806109
2049.00000000
NS
USD
267353.52000000
0.106465051980
Long
EC
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-36.57000000
-0.00001456284
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
39540.82000000
USD
4387000.00000000
JPY
2021-08-19
-36.57000000
N
N
N
Smurfit Kappa Group PLC
635400CPLP8H5ITDVT56
Smurfit Kappa Group PLC
000000000
469.00000000
NS
25505.77000000
0.010156863200
Long
EC
CORP
IE
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
2315000.00000000
PA
USD
1993432.03000000
0.793821022789
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Instone Real Estate Group AG
391200DINUIRPDZQHX03
Instone Real Estate Group AG
000000000
2115.00000000
NS
63679.36000000
0.025358283565
Long
EC
CORP
DE
N
2
N
N
N
ABIOMED Inc
5493001EZN4ZTB4Z5887
ABIOMED Inc
003654100
45.00000000
NS
USD
14044.95000000
0.005592955468
Long
EC
CORP
US
N
1
N
N
N
AP Moller - Maersk A/S
549300D2K6PKKKXVNN73
AP Moller - Maersk A/S
000000000
3.00000000
NS
8636.73000000
0.003439303542
Long
EC
CORP
DK
N
2
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
000000000
200000.00000000
PA
247679.49000000
0.098630494101
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
1.12500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1IDZ7 CDS USD R F 3.00000 IS1IDZ7 CMBX / Short: IS1IDZ7 CDS USD P V 01MEVENT IS1IE09 CMBX
000000000
58000.00000000
OU
Notional Amount
USD
-15312.00000000
-0.00609751790
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-9147.57000000
USD
58000.00000000
USD
-6164.43000000
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAL4
32000.00000000
PA
USD
43832.96000000
0.017455084806
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
6.62500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4745.74000000
0.001889840297
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
139036.50000000
EUR
169717.18000000
USD
2021-08-03
4745.74000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP21 XEUR 20210908
000000000
11.00000000
NC
378.52000000
0.000150733573
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bund (FGBL)
RXU1 Comdty
2021-09-08
1898390.78000000
EUR
378.52000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-1574.38000000
-0.00062694685
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
452331781.00000000
KRW
398702.33000000
USD
2021-07-22
-1574.38000000
N
N
N
Infrastrutture Wireless Italiane SpA
81560066183FE361C071
Infrastrutture Wireless Italiane SpA
000000000
4130.00000000
NS
46637.85000000
0.018572043205
Long
EC
CORP
IT
N
2
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
31650000.00000000
PA
280959.81000000
0.111883325029
Long
DBT
NUSS
JP
N
2
2039-06-20
Fixed
0.30000000
N
N
N
N
N
N
PulteGroup Inc
N/A
PulteGroup Inc
745867101
1250.00000000
NS
USD
68212.50000000
0.027163462662
Long
EC
CORP
US
N
1
N
N
N
SQUARE INC
549300OHIIUWSTIZME52
Square Inc
852234AL7
155000.00000000
PA
USD
157697.00000000
0.062797824027
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
38624.48000000
0.015380972993
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
840783575.00000000
CLP
1183102.43000000
USD
2021-07-15
38624.48000000
N
N
N
Fortescue Metals Group Ltd
529900VEJFORCO6I4826
Fortescue Metals Group Ltd
000000000
3114.00000000
NS
54398.20000000
0.021662356233
Long
EC
CORP
AU
N
2
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JQK8
9000.00000000
PA
USD
9036.72000000
0.003598586861
Long
DBT
CORP
US
N
2
2021-10-15
Variable
3.79400000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-2R
69345WAA6
105575.73000000
PA
USD
104552.14000000
0.041634570660
Long
ABS-MBS
CORP
US
N
2
2023-05-27
Floating
2.84600000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
140000.00000000
PA
173531.69000000
0.069103486634
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.37500000
N
N
N
N
N
N
Nissan Motor Co Ltd
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
000000000
9000.00000000
NS
44835.15000000
0.017854175158
Long
EC
CORP
JP
N
2
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAM5
25000.00000000
PA
USD
27819.25000000
0.011078133167
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.95000000
N
N
N
N
N
N
Pioneer Natural Resources Co
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787107
203.00000000
NS
USD
32991.56000000
0.013137841425
Long
EC
CORP
US
N
1
N
N
N
Kuehne + Nagel International AG
529900Q0YED3805QXQ66
Kuehne + Nagel International AG
000000000
284.00000000
NS
97201.62000000
0.038707459418
Long
EC
CORP
CH
N
2
N
N
N
FirstService Corp
5493000XUDIV75BCF118
FirstService Corp
000000000
117.00000000
NS
20067.26000000
0.007991149243
Long
EC
CORP
CA
N
1
N
N
N
CF Industries Holdings Inc
529900CG8YAQFZ2JMV97
CF Industries Holdings Inc
125269100
1585.00000000
NS
USD
81548.25000000
0.032474001745
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGSG4
262526.73000000
PA
USD
280870.52000000
0.111847768121
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525103
8401.00000000
NS
USD
1200754.93000000
0.478162531908
Long
EC
CORP
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
29897.76000000
0.011905833790
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1107703.77000000
EUR
1344225.22000000
USD
2021-08-03
29897.76000000
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBM3
16000.00000000
PA
USD
16874.88000000
0.006719885252
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.55000000
N
N
N
N
N
N
AB International Small Cap Portfolio
549300G1B9DY1MOTDQ52
AB International Small Cap Portfolio
085567816
623585.08200000
NS
USD
8387219.35000000
3.339943846880
Long
EC
RF
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-2542.45000000
-0.00101245000
N/A
DFE
GB
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
147807.47000000
USD
105000.00000000
GBP
2021-08-26
-2542.45000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-218.55000000
-0.00008703059
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6926866.57000000
SEK
809274.28000000
USD
2021-07-15
-218.55000000
N
N
N
Chegg Inc
549300AKX7O8JG0O3G77
Chegg Inc
163092109
3767.00000000
NS
USD
313075.37000000
0.124672327264
Long
EC
CORP
US
N
1
N
N
N
UGI Corp
DX6GCWD4Q1JO9CRE5I40
UGI Corp
902681105
2074.00000000
NS
USD
96046.94000000
0.038247644764
Long
EC
CORP
US
N
1
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005N100
1114.00000000
NS
USD
55521.76000000
0.022109778335
Long
EC
CORP
US
N
1
N
N
N
Lam Research Corp
549300I4GMO6D34U1T02
Lam Research Corp
512807108
32.00000000
NS
USD
20822.40000000
0.008291859775
Long
EC
CORP
US
N
1
N
N
N
Dine Brands Global Inc
529900HKM8OWSHLKJY75
Dine Brands Global Inc
254423106
290.00000000
NS
USD
25882.50000000
0.010306883963
Long
EC
CORP
US
N
1
N
N
N
AutoZone Inc
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332102
639.00000000
NS
USD
953528.58000000
0.379712486426
Long
EC
CORP
US
N
1
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
225000.00000000
PA
USD
295881.75000000
0.117825513925
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
LEVI STRAUSS & CO
MB0UERO0RDFKU8258G77
Levi Strauss & Co
52736RBJ0
55000.00000000
PA
USD
54816.30000000
0.021828851285
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
1851.10000000
0.000737141810
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1236799.53000000
MYR
298996.62000000
USD
2021-09-23
1851.10000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
955000.00000000
PA
1135663.98000000
0.452242127437
Long
DBT
NUSS
IT
N
2
2028-07-15
Fixed
0.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABU8
73000.00000000
PA
USD
74643.23000000
0.029724296736
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
2.62500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMC3
250000.00000000
PA
USD
250730.00000000
0.099845262867
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
Hulic Co Ltd
N/A
Hulic Co Ltd
000000000
3800.00000000
NS
42688.56000000
0.016999363836
Long
EC
CORP
JP
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-6773.29000000
-0.00269724771
N/A
DFE
KR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
407401.66000000
USD
452729173.00000000
KRW
2021-07-22
-6773.29000000
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAA5
175737.62000000
PA
USD
131363.87000000
0.052311490972
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
1.54300000
N
N
N
N
N
N
MDC Holdings Inc
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AQ1
133000.00000000
PA
USD
171504.83000000
0.068296353983
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
7870000.00000000
PA
1149628.75000000
0.457803153766
Long
DBT
NUSS
CN
N
2
2050-03-16
Fixed
3.39000000
N
N
N
N
N
N
Bio-Rad Laboratories Inc
549300ZC1GPV35XYDK53
Bio-Rad Laboratories Inc
090572207
124.00000000
NS
USD
79891.96000000
0.031814436833
Long
EC
CORP
US
N
1
N
N
N
Transurban Group
549300ZR71SUQ4VUTM79
Transurban Group
000000000
7998.00000000
NS
85299.29000000
0.033967734345
Long
EC
CORP
AU
N
2
N
N
N
KLA Corp
549300H0BF5JCG96TJ81
KLA Corp
482480100
29.00000000
NS
USD
9402.09000000
0.003744083865
Long
EC
CORP
US
N
1
N
N
N
Glencore PLC
2138002658CPO9NBH955
Glencore PLC
000000000
88873.00000000
NS
381450.86000000
0.151900695520
Long
EC
CORP
JE
N
2
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
68323AEE0
235000.00000000
PA
201482.74000000
0.080234104967
Long
DBT
NUSS
CA
N
2
2027-06-02
Fixed
2.60000000
N
N
N
N
N
N
Takeda Pharmaceutical Co Ltd
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
000000000
2000.00000000
NS
67121.10000000
0.026728847259
Long
EC
CORP
JP
N
2
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAY1
50000.00000000
PA
USD
53486.50000000
0.021299300651
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
3.35000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-10562.74000000
-0.00420627588
N/A
DFE
CL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
383661.92000000
USD
274094983.00000000
CLP
2021-07-15
-10562.74000000
N
N
N
Electronic Arts Inc
549300O7A67PUEYKDL45
Electronic Arts Inc
285512109
5577.00000000
NS
USD
802139.91000000
0.319426754558
Long
EC
CORP
US
N
1
N
N
N
McKesson Corp
549300WZWOM80UCFSF54
McKesson Corp
58155Q103
142.00000000
NS
USD
27156.08000000
0.010814046767
Long
EC
CORP
US
N
1
N
N
N
Idemitsu Kosan Co Ltd
549300P0R46FF6DUA630
Idemitsu Kosan Co Ltd
000000000
900.00000000
NS
21744.62000000
0.008659104613
Long
EC
CORP
JP
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2070.96000000
0.000824694075
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
61504.43000000
EUR
75048.02000000
USD
2021-08-03
2070.96000000
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859102
100.00000000
NS
USD
44272.00000000
0.017629918548
Long
EC
CORP
US
N
1
N
N
N
INVERSIONES CMPC SA
549300G475ACIABB4385
Inversiones CMPC SA
46128MAN1
200000.00000000
PA
USD
213225.00000000
0.084910087244
Long
DBT
CORP
CL
N
2
2030-01-13
Fixed
3.85000000
N
N
N
N
N
N
Kroger Co/The
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044101
2459.00000000
NS
USD
94204.29000000
0.037513867898
Long
EC
CORP
US
N
1
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
449000.00000000
PA
560773.50000000
0.223310244153
Long
DBT
NUSS
AT
N
2
2029-02-20
Fixed
0.50000000
N
N
N
N
N
N
Xinyi Glass Holdings Ltd
52990082YXVVZFK1QJ17
Xinyi Glass Holdings Ltd
000000000
10000.00000000
NS
40744.50000000
0.016225203656
Long
EC
CORP
KY
N
2
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
155000.00000000
PA
193489.94000000
0.077051226105
Long
DBT
CORP
US
N
2
2026-07-24
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAF5
22751.23000000
PA
USD
22913.34000000
0.009124510251
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
2.24200000
N
N
N
N
N
N
Cie de Saint-Gobain
NFONVGN05Z0FMN5PEC35
Cie de Saint-Gobain
000000000
710.00000000
NS
46857.05000000
0.018659332646
Long
EC
CORP
FR
N
2
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBN1
42000.00000000
PA
USD
44979.06000000
0.017911482747
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.80000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833100
24558.00000000
NS
USD
3363463.68000000
1.339392634606
Long
EC
CORP
US
N
1
N
N
N
Nintendo Co Ltd
353800FEEXU6I9M0ZF27
Nintendo Co Ltd
000000000
100.00000000
NS
57867.28000000
0.023043807215
Long
EC
CORP
JP
N
2
N
N
N
INEOS QUATTRO FINANCE 2
213800V48W4Y5MT5Q131
INEOS Quattro Finance 2 Plc
000000000
100000.00000000
PA
119650.49000000
0.047647009238
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
2.50000000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
867229AE6
44000.00000000
PA
USD
62101.16000000
0.024729815517
Long
DBT
CORP
CA
N
2
2038-06-15
Fixed
6.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
171000.00000000
PA
USD
212116.95000000
0.084468841508
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-820.48000000
-0.00032673011
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
25595.39000000
USD
212000.00000000
SEK
2021-07-15
-820.48000000
N
N
N
Heathrow Funding Ltd
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
000000000
135000.00000000
PA
236029.50000000
0.093991255422
Long
DBT
CORP
JE
N
2
2026-12-03
Fixed
6.75000000
N
N
N
N
N
N
Regeneron Pharmaceuticals Inc
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886F107
850.00000000
NS
USD
474759.00000000
0.189057700130
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
3390.01000000
0.001349963863
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5590257.86000000
ZAR
391144.09000000
USD
2021-09-16
3390.01000000
N
N
N
Province of Quebec
549300WN65YFEQH74Y36
Province of Quebec Canada
74814ZFB4
465000.00000000
PA
403397.63000000
0.160640299954
Long
DBT
NUSS
CA
N
2
2027-09-01
Fixed
2.75000000
N
N
N
N
N
N
BAT NETHERLANDS FINANCE
2138009B37VJ9VOWAO51
BAT Netherlands Finance BV
000000000
100000.00000000
PA
134992.91000000
0.053756640945
Long
DBT
CORP
NL
N
2
2028-04-07
Fixed
3.12500000
N
N
N
N
N
N
CNP ASSURANCES
969500QKVPV2H8UXM738
CNP Assurances
000000000
100000.00000000
PA
126833.76000000
0.050507518476
Long
DBT
CORP
FR
N
2
2051-06-30
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132VMWS0
138204.81000000
PA
USD
151833.38000000
0.060462823508
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Medical Properties Trust Inc
254900U6E39J1MQCCY14
Medical Properties Trust Inc
58463J304
6680.00000000
NS
USD
134268.00000000
0.053467968550
Long
EC
US
N
1
N
N
N
Bluerock Residential Growth REIT Inc
549300KWLV0TGICOUU26
Bluerock Residential Growth REIT Inc
09627J102
1800.00000000
NS
USD
18306.00000000
0.007289783360
Long
EC
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: IS29939 IRS USD R V 12MUSCPI IS29940 INFLATIONZERO / Short: IS29939 IRS USD P F 2.53200 IS29939 INFLATIONZERO
000000000
6210000.00000000
OU
Notional Amount
USD
-110685.49000000
-0.04407698258
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2032-05-17
0.00000000
USD
0.00000000
USD
6210000.00000000
USD
-110685.49000000
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBW9
48000.00000000
PA
USD
48542.88000000
0.019330660925
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.90000000
N
N
N
N
N
N
Bernstein Small Cap Core Portfolio
549300P1KZB3RPQ3EX57
Bernstein Small Cap Core Portfolio
085567725
208852.94700000
NS
USD
3218423.91000000
1.281635150612
Long
EC
RF
US
N
1
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAB0
45791.42000000
PA
USD
46008.49000000
0.018321420564
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
2.19200000
N
N
N
N
N
N
Mid-America Apartment Communities Inc
549300FQZKFR5YNSHZ21
Mid-America Apartment Communities Inc
59522J103
5691.00000000
NS
USD
958478.22000000
0.381683523426
Long
EC
US
N
1
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320102
993.00000000
NS
USD
101752.71000000
0.040519786533
Long
EC
CORP
US
N
1
N
N
N
Alcoa Corp
549300T12EZ1F6PWWU29
Alcoa Corp
013872106
3460.00000000
NS
USD
127466.40000000
0.050759447273
Long
EC
CORP
US
N
1
N
N
N
Manulife Financial Corp
5493007GBX87QOZACS27
Manulife Financial Corp
000000000
1020.00000000
NS
20077.44000000
0.007995203104
Long
EC
CORP
CA
N
1
N
N
N
ArcelorMittal SA
2EULGUTUI56JI9SAL165
ArcelorMittal SA
000000000
5743.00000000
NS
176810.08000000
0.070409001376
Long
EC
CORP
LU
N
2
N
N
N
Aker BP ASA
549300NFTY73920OYK69
Aker BP ASA
000000000
5368.00000000
NS
171095.44000000
0.068133327412
Long
EC
CORP
NO
N
2
N
N
N
Digital Realty Trust Inc
549300HKCZ31D08NEI41
Digital Realty Trust Inc
253868103
1830.00000000
NS
USD
275341.80000000
0.109646130895
Long
EC
US
N
1
N
N
N
STAG Industrial Inc
549300QWYX2W6FASVQ07
STAG Industrial Inc
85254J102
3269.00000000
NS
USD
122358.67000000
0.048725455949
Long
EC
US
N
1
N
N
N
TIAA CLO Ltd
5493000Q4E256SBMCY29
TIAA CLO IV Ltd
88631YAA5
250000.00000000
PA
USD
250011.75000000
0.099559242606
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
1.41800000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS25Q14 IRS EUR R F .00000 IS25Q14 IRS R F-0.043 / Short: SS25Q14 IRS EUR P V 06MEURIB IS25Q25 IRS P V 06EURIB
000000000
550000.00000000
OU
Notional Amount
-94485.33000000
-0.03762578315
N/A
DIR
ER
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
N/A
N/A
Y
2050-11-10
0.00000000
EUR
0.00000000
EUR
550000.00000000
EUR
-94485.33000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: BS25Q58 IRS EUR R V 06MEURIB IS25Q69 CCPVANILLA / Short: BS25Q58 IRS EUR P F .02200 IS25Q58 CCPVANILLA
000000000
550000.00000000
OU
Notional Amount
84033.85000000
0.033463813038
N/A
DIR
US
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
N/A
N/A
Y
2050-11-10
5492.79000000
EUR
0.00000000
EUR
550000.00000000
EUR
77548.35000000
N
N
N
WW Grainger Inc
549300TWZSP6O1IH2V34
WW Grainger Inc
384802104
221.00000000
NS
USD
96798.00000000
0.038546730566
Long
EC
CORP
US
N
1
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773100
1724.00000000
NS
USD
65908.52000000
0.026245975769
Long
EC
CORP
US
N
1
N
N
N
Sartorius Stedim Biotech
52990006IVXY7GCSSR39
Sartorius Stedim Biotech
000000000
117.00000000
NS
55374.98000000
0.022051327860
Long
EC
CORP
FR
N
2
N
N
N
AB Discovery Value Fund
549300WKD6DWM5XTLS83
AB Discovery Value Fund
018914804
123464.05100000
NS
USD
3161914.35000000
1.259132012285
Long
EC
RF
US
N
1
N
N
N
T-Mobile US Inc
549300QHIJYOHPACPG31
T-Mobile US Inc
872590104
6434.00000000
NS
USD
931836.22000000
0.371074192698
Long
EC
CORP
US
N
1
N
N
N
Segro PLC
213800XC35KGM9NFC641
Segro PLC
000000000
10786.00000000
NS
163281.49000000
0.065021669885
Long
EC
GB
N
2
N
N
N
Mettler-Toledo International Inc
5493000BD5GJNUDIUG10
Mettler-Toledo International Inc
592688105
65.00000000
NS
USD
90047.10000000
0.035858398954
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
54930047IR7X5WWFY307
Freddie Mac Stacr Trust 2019-HQA1
35563MAH9
45606.97000000
PA
USD
46077.16000000
0.018348766212
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
2.44200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YQ7
2905000.00000000
PA
USD
3010306.25000000
1.198758899385
Long
DBT
UST
US
N
2
2026-10-31
Fixed
1.62500000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
7680000.00000000
PA
243576.46000000
0.096996592657
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
2.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-G1
36197QAC3
275691.00000000
PA
USD
275631.48000000
0.109761486759
Long
ABS-MBS
CORP
US
N
2
2031-04-10
Variable
3.55700000
N
N
N
N
N
N
Deckers Outdoor Corp
5493008LG4W3I6K8J118
Deckers Outdoor Corp
243537107
1761.00000000
NS
USD
676347.27000000
0.269333829070
Long
EC
CORP
US
N
1
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
2800000.00000000
PA
438385.89000000
0.174573263767
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
Weyerhaeuser Co
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166104
2160.00000000
NS
USD
74347.20000000
0.029606412186
Long
EC
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP21 XCBT 20210921
000000000
-3.00000000
NC
USD
-7738.40000000
-0.00308157213
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYU1 Comdty
2021-09-21
-433870.98000000
USD
-7738.40000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
190000.00000000
PA
232965.99000000
0.092771309818
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
1.25000000
N
N
N
N
N
N
Rexford Industrial Realty Inc
549300MSLO0DF0EMX355
Rexford Industrial Realty Inc
76169C100
1851.00000000
NS
USD
105414.45000000
0.041977958243
Long
EC
US
N
1
N
N
N
Retail Opportunity Investments Corp
N/A
Retail Opportunity Investments Corp
76131N101
1330.00000000
NS
USD
23487.80000000
0.009353270710
Long
EC
US
N
1
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
3670000.00000000
PA
545979.98000000
0.217419194446
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
Vicinity Centres
N/A
Vicinity Centres
000000000
81346.00000000
NS
93788.61000000
0.037348336535
Long
EC
AU
N
2
N
N
N
Fastighets AB Balder
549300GHKJCEZOAEUU82
Fastighets AB Balder
000000000
1520.00000000
NS
95285.32000000
0.037944353778
Long
EC
CORP
SE
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZT0
1435000.00000000
PA
USD
1411457.03000000
0.562067954319
Long
DBT
UST
US
N
2
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
7799.68000000
0.003105974952
N/A
DFE
IN
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
405298.24000000
USD
30758083.58000000
INR
2021-07-15
7799.68000000
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
960000.00000000
PA
1169578.39000000
0.465747464578
Long
DBT
NUSS
DE
N
2
2030-08-15
None
0.00000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AQ1
117000.00000000
PA
USD
131305.59000000
0.052288282812
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
6.12500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
7165.35000000
0.002853373167
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
180900.00000000
EUR
221809.23000000
USD
2021-08-03
7165.35000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-70.02000000
-0.00002788324
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
326000.00000000
CNY
50062.96000000
USD
2021-09-16
-70.02000000
N
N
N
AB Discovery Growth Fund Inc
549300I01DFK1EYZ2O55
AB Discovery Growth Fund Inc
018636803
200739.63800000
NS
USD
3296144.86000000
1.312585051633
Long
EC
RF
US
N
1
N
N
N
Dream Industrial Real Estate Investment Trust
549300QOI0TM3CBYUH79
Dream Industrial Real Estate Investment Trust
000000000
7055.00000000
NS
86963.86000000
0.034630596504
Long
EC
CA
N
1
N
N
N
Mercialys SA
969500081CGAXB7YS433
Mercialys SA
000000000
3169.00000000
NS
38375.38000000
0.015281776826
Long
EC
FR
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
2834.05000000
0.001128570443
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
29823080.50000000
INR
403374.37000000
USD
2021-07-15
2834.05000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QC5
200000.00000000
PA
USD
281968.75000000
0.112285103354
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
000000000
215000.00000000
PA
269431.95000000
0.107292720746
Long
DBT
CORP
US
N
2
2026-10-26
Fixed
1.37500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-252.77000000
-0.00010065762
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
37000.00000000
CAD
29595.26000000
USD
2021-07-16
-252.77000000
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
62950000.00000000
PA
528152.17000000
0.210319835072
Long
DBT
NUSS
JP
N
2
2049-12-20
Fixed
0.40000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933Y105
641.00000000
NS
USD
49850.57000000
0.019851406954
Long
EC
CORP
US
N
1
N
N
N
Equinix Inc
549300EVUN2BTLJ3GT74
Equinix Inc
29444U700
120.00000000
NS
USD
96312.00000000
0.038353196495
Long
EC
US
N
1
N
N
N
GRIFOLS SA
959800HSSNXWRKBK4N60
Grifols SA
000000000
100000.00000000
PA
119626.77000000
0.047637563501
Long
DBT
CORP
ES
N
2
2025-02-15
Fixed
1.62500000
N
N
N
N
N
N
Cousins Properties Inc
5493007XPYD5EJABN062
Cousins Properties Inc
222795502
3382.00000000
NS
USD
124389.96000000
0.049534352707
Long
EC
US
N
1
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
17000.00000000
PA
USD
19585.87000000
0.007799450957
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
Orocobre Ltd
2138006SR6M416DVKM86
Orocobre Ltd
000000000
5420.00000000
NS
26239.16000000
0.010448912486
Long
EC
CORP
AU
N
2
N
N
N
GLOBO COMMUNICACOES PART
52990054HEKS017PVR75
Globo Comunicacao e Participacoes SA
37959DAB0
200000.00000000
PA
USD
206350.00000000
0.082172336747
Long
DBT
CORP
BR
N
2
2030-01-22
Fixed
4.87500000
N
N
N
N
N
N
UK TSY 1 3/4% 2037
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
541000.00000000
PA
818150.35000000
0.325802404023
Long
DBT
NUSS
GB
N
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1212.11000000
0.000482684328
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
161000.00000000
EUR
192243.98000000
USD
2021-08-03
1212.11000000
N
N
N
Waters Corp
5T547R1474YC9HOD8Q74
Waters Corp
941848103
91.00000000
NS
USD
31450.51000000
0.012524167184
Long
EC
CORP
US
N
1
N
N
N
Eli Lilly & Co
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457108
584.00000000
NS
USD
134039.68000000
0.053377047358
Long
EC
CORP
US
N
1
N
N
N
Bunge Ltd
5493007M0RIN8HY3MM77
Bunge Ltd
000000000
1123.00000000
NS
USD
87762.45000000
0.034948609620
Long
EC
CORP
BM
N
1
N
N
N
ENBRIDGE ENERGY PARTNERS
CZ6VG2MNE1J6YDI02G48
Enbridge Energy Partners LP
29250RAX4
130000.00000000
PA
USD
205176.40000000
0.081704987804
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
7.37500000
N
N
N
N
N
N
IA FINANCIAL CORP INC
549300ZXLJVHQAIXV215
iA Financial Corp Inc
000000000
766.00000000
NS
41704.86000000
0.016607636539
Long
EC
CORP
CA
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GQ64
213449.54000000
PA
USD
41841.94000000
0.016662224297
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Floating
6.10700000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
828.00000000
NS
USD
128787.12000000
0.051285382085
Long
EC
CORP
US
N
1
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135106
905.00000000
NS
USD
3113344.80000000
1.239790730878
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B0CN4
314343.69000000
PA
USD
79239.29000000
0.031554531725
Long
ABS-MBS
USGSE
US
N
2
2047-12-25
Floating
6.10900000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XNX8
107213.74000000
PA
USD
108922.81000000
0.043375051237
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Floating
2.29200000
N
N
N
N
N
N
Japan Prime Realty Investment Corp
353800NJOQJAY1ODEX72
Japan Prime Realty Investment Corp
000000000
11.00000000
NS
43035.84000000
0.017137657071
Long
EC
JP
N
2
N
N
N
PAYSAFE FIN PLC/PAYSAFE
N/A
Paysafe Finance PLC / Paysafe Holdings US Corp
000000000
135000.00000000
PA
157667.12000000
0.062785925266
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS171J4 CDS USD R F 3.00000 IS171J4 CMBX / Short: IS171J4 CDS USD P V 00MEVENT IS171K5 CMBX
000000000
9000.00000000
OU
Notional Amount
USD
-2376.75000000
-0.00094646523
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-498.50000000
USD
9000.00000000
USD
-1878.25000000
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
63600000.00000000
PA
551667.53000000
0.219684080677
Long
DBT
NUSS
JP
N
2
2049-03-20
Fixed
0.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBD2
35000.00000000
PA
USD
41370.00000000
0.016474289174
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-4179.66000000
-0.00166441690
N/A
DFE
BR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1237428.58000000
USD
6133933.46000000
BRL
2021-07-02
-4179.66000000
N
N
N
Telenor ASA
549300IM1QSBY4SLPM26
Telenor ASA
000000000
1727.00000000
NS
29125.93000000
0.011598476995
Long
EC
CORP
NO
N
2
N
N
N
Anglo American PLC
549300S9XF92D1X8ME43
Anglo American PLC
000000000
7365.00000000
NS
293083.83000000
0.116711331107
Long
EC
CORP
GB
N
2
N
N
N
Zalando SE
529900YRFFGH5AXU4S86
Zalando SE
000000000
123.00000000
NS
14875.61000000
0.005923739443
Long
EC
CORP
DE
N
2
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
32638.76000000
PA
USD
32863.84000000
0.013086980990
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.39200000
N
N
N
N
N
N
Nippon Yusen KK
353800YPW4XM0ZN5I149
Nippon Yusen KK
000000000
600.00000000
NS
30448.86000000
0.012125291870
Long
EC
CORP
JP
N
2
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: IS1D675 CDS USD R F 3.00000 IS1D675 CMBX-BBB--413180 / Short: IS1D675 CDS USD P V 00MEVENT IS1D686 CMBX-BBB--413180
000000000
78000.00000000
OU
Notional Amount
USD
-20598.50000000
-0.00820269870
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-10243.47000000
USD
78000.00000000
USD
-10355.03000000
N
N
N
Fair Isaac Corp
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250104
67.00000000
NS
USD
33679.56000000
0.013411815584
Long
EC
CORP
US
N
1
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp
45688CAB3
88000.00000000
PA
USD
87815.20000000
0.034969615633
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.87500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1606.40000000
-0.00063969780
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
238036.79000000
USD
199261.48000000
EUR
2021-08-03
-1606.40000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
289.11000000
0.000115128879
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
22000.00000000
GBP
30725.59000000
USD
2021-08-26
289.11000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
35000.00000000
PA
USD
42917.70000000
0.017090611566
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
Park Hotels & Resorts Inc
5493005UZ5TQN0H6HS73
Park Hotels & Resorts Inc
700517105
4100.00000000
NS
USD
84501.00000000
0.033649840695
Long
EC
US
N
1
N
N
N
Invitation Homes Inc
N/A
Invitation Homes Inc
46187W107
3580.00000000
NS
USD
133498.20000000
0.053161420138
Long
EC
US
N
1
N
N
N
Genpact Ltd
529900OSEC6Q0L4L5B35
Genpact Ltd
000000000
14637.00000000
NS
USD
664958.91000000
0.264798776233
Long
EC
CORP
BM
N
1
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBG3
46000.00000000
PA
USD
58007.84000000
0.023099780772
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3863.80000000
0.001538635690
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
105498.29000000
EUR
129041.04000000
USD
2021-08-03
3863.80000000
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBH7
53000.00000000
PA
USD
53117.66000000
0.021152421830
Long
DBT
CORP
US
N
2
2021-09-01
Variable
3.93500000
N
N
N
N
N
N
TERRAFORM GLOBAL OPERATI
549300LC7QMVR79H5O86
Terraform Global Operating LLC
88104UAC7
14000.00000000
PA
USD
14421.68000000
0.005742976231
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.12500000
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040H105
245.00000000
NS
USD
37899.05000000
0.015092093525
Long
EC
CORP
US
N
1
N
N
N
First Quantum Minerals Ltd
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
000000000
4901.00000000
NS
112957.06000000
0.044981563229
Long
EC
CORP
CA
N
1
N
N
N
Arrow Electronics Inc
549300YNNLBXT8N8R512
Arrow Electronics Inc
042735100
814.00000000
NS
USD
92657.62000000
0.036897955671
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
163.36000000
0.000065052934
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
21978.03000000
EUR
26241.03000000
USD
2021-08-03
163.36000000
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AC7
24000.00000000
PA
USD
27812.40000000
0.011075405372
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.70000000
N
N
N
N
N
N
Investor AB
549300VEBQPHRZBKUX38
Investor AB
000000000
1119.00000000
NS
25793.39000000
0.010271398734
Long
EC
CORP
SE
N
2
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAT8
72000.00000000
PA
USD
80868.96000000
0.032203496067
Long
DBT
CORP
BM
N
2
2025-08-11
Fixed
5.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
674.11000000
0.000268442907
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
3711000.00000000
JPY
34091.08000000
USD
2021-08-19
674.11000000
N
N
N
Banco Bilbao Vizcaya Argentaria SA
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
4110.00000000
NS
25494.26000000
0.010152279708
Long
EC
CORP
ES
N
2
N
N
N
Kirin Holdings Co Ltd
353800GBVL72LLMTYM96
Kirin Holdings Co Ltd
000000000
2100.00000000
NS
40983.22000000
0.016320266318
Long
EC
CORP
JP
N
2
N
N
N
Eaton Corp PLC
549300VDIGTMXUNT7H71
Eaton Corp PLC
000000000
6175.00000000
NS
USD
915011.50000000
0.364374282073
Long
EC
CORP
IE
N
1
N
N
N
Voya Financial Inc
549300T065Z4KJ686G75
Voya Financial Inc
45685EAG1
153000.00000000
PA
USD
163803.33000000
0.065229476099
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.65000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XCB8
72835.31000000
PA
USD
76867.04000000
0.030609858471
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Floating
6.09200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MFS99
257910.37000000
PA
USD
279155.48000000
0.111164807887
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-5658.31000000
-0.00225324232
N/A
DFE
JP
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
754644.55000000
USD
83175930.00000000
JPY
2021-08-19
-5658.31000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AD3
61000.00000000
PA
USD
62695.80000000
0.024966612019
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.50000000
N
N
N
N
N
N
2021-07-19
AB VARIABLE PRODUCTS SERIES FUND, INC.
Joseph Mantineo
Joseph Mantineo
Treasurer and Chief Financial Officer