0001752724-22-048514.txt : 20220225
0001752724-22-048514.hdr.sgml : 20220225
20220225163908
ACCESSION NUMBER: 0001752724-22-048514
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220225
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Brighthouse Funds Trust I
CENTRAL INDEX KEY: 0001126087
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-10183
FILM NUMBER: 22680948
BUSINESS ADDRESS:
STREET 1: BRIGHTHOUSE INVESTMENT ADVISERS, LLC
STREET 2: ONE FINANCIAL CENTER
CITY: BOSTON
STATE: MA
ZIP: 02111
BUSINESS PHONE: 617-578-2000
MAIL ADDRESS:
STREET 1: BRIGHTHOUSE INVESTMENT ADVISERS, LLC
STREET 2: ONE FINANCIAL CENTER
CITY: BOSTON
STATE: MA
ZIP: 02111
FORMER COMPANY:
FORMER CONFORMED NAME: MET INVESTORS SERIES TRUST
DATE OF NAME CHANGE: 20001010
0001126087
S000065170
AB International Bond Portfolio
C000210964
Class B
C000210967
Class A
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001126087
XXXXXXXX
S000065170
C000210964
C000210967
Brighthouse Funds Trust I
811-10183
0001126087
549300LQX1AREJYGF247
Brighthouse Investment Advisers, LLC
One Financial Center
Boston
02111
980-949-5089
AB International Bond Portfolio
S000065170
549300OD7OEG1Q12BR56
2021-12-31
2021-12-31
N
836798134.63
14607310.53
822190824.10
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
17174011.03000000
AUD
CAD
CNY
EUR
GBP
JPY
KRW
NZD
USD
UST
HAZINE MUSTESARL
6354003QFJP7RDXEOZ20
Hazine Mustesarligi Varlik Kiralama AS
421790AG1
458000.00000000
PA
USD
437161.00000000
0.053170260137
Long
DBT
CORP
TR
N
2
2026-06-22
Fixed
5.12500000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
000000000
3106000.00000000
PA
USD
3280774.62000000
0.399028367117
Long
DBT
NUSS
KE
Y
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
1320000.00000000
PA
USD
1372757.76000000
0.166963400680
Long
DBT
NUSS
EG
Y
2
2027-01-31
Fixed
7.50000000
N
N
N
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAA3
471000.00000000
PA
USD
475003.50000000
0.057772902114
Long
DBT
CORP
KY
N
2
2026-11-29
Fixed
5.62500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
577000.00000000
PA
USD
588672.72000000
0.071598064919
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
2820300000.00000000
PA
25252019.32000000
3.071308822698
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
SAMRUK KAZYNA JSC
213800N83GBAZJ4ER974
Fund of National Welfare Samruk-Kazyna JSC
84612WAA1
805000.00000000
PA
USD
792611.05000000
0.096402322522
Long
DBT
CORP
KZ
N
2
2026-10-28
Fixed
2.00000000
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
6303790000.00000000
PA
4967008.85000000
0.604118740371
Long
DBT
NUSS
KR
N
2
2029-12-10
Fixed
1.37500000
N
N
N
N
N
N
EDP FINANCE BV
5299007L43AQDFOW5739
EDP Finance BV
000000000
1200000.00000000
PA
1368666.90000000
0.166465844653
Long
DBT
CORP
NL
Y
2
2026-09-16
Fixed
0.37500000
N
N
N
N
N
N
Flatiron CLO Ltd
N/A
Flatiron CLO 21 Ltd
33883PAJ6
3625000.00000000
PA
USD
3619461.00000000
0.440221526914
Long
ABS-CBDO
CORP
KY
N
2
2034-07-19
Floating
3.05100000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
900000.00000000
PA
1046423.46000000
0.127272578254
Long
DBT
CORP
ES
Y
2
2022-04-25
Fixed
6.75000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CU7
1296000.00000000
PA
USD
1169640.00000000
0.142258945942
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
PANAMA NOTAS DEL TESORO
549300SHS4T08CL0LP14
Panama Notas del Tesoro
000000000
1580000.00000000
PA
USD
1676538.00000000
0.203911057002
Long
DBT
NUSS
PA
N
2
2026-04-17
Fixed
3.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5561.65000000
0.000676442723
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
306163.95000000
EUR
354387.62000000
USD
2022-02-10
5561.65000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
1985000.00000000
PA
USD
1586015.00000000
0.192901082511
Long
DBT
NUSS
GH
Y
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
266549.52000000
0.032419422862
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
22387879.68000000
AUD
16556463.88000000
USD
2022-02-08
266549.52000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
3745000.00000000
PA
2928736.77000000
0.356211317878
Long
DBT
NUSS
AU
Y
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
1958900000.00000000
PA
17189888.19000000
2.090741916125
Long
DBT
NUSS
JP
N
2
2030-06-20
Fixed
0.10000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
605000.00000000
PA
818193.47000000
0.099513816746
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
1.75000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
66128.59000000
0.008042973487
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
775633002.00000000
JPY
6810746.42000000
USD
2022-02-09
66128.59000000
N
N
N
IBERDROLA INTL BV
549300ZMLFJKWC63XN87
Iberdrola International BV
000000000
700000.00000000
PA
796949.73000000
0.096930019971
Long
DBT
CORP
NL
Y
2
2026-11-09
Fixed
1.45000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
616000.00000000
PA
USD
634399.92000000
0.077159693516
Long
DBT
CORP
VG
Y
2
2026-06-03
Fixed
4.62500000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1WZV9 CDS USD R F 3.00000 IS1WZV9 CMBX / Short: IS1WZV9 CDS USD P V 01MEVENT IS1WZW0 CMBX
000000000
10929132.59000000
OU
Notional Amount
USD
-3057723.10000000
-0.37189944358
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-929988.58000000
USD
10929132.59000000
USD
-2127734.52000000
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
92220000.00000000
PA
2969856.86000000
0.361212600888
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
442000.00000000
PA
477743.99000000
0.058106217680
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
VORNADO REALTY LP
549300BMOJ05INE4YK86
Vornado Realty LP
929043AL1
906000.00000000
PA
USD
926547.00000000
0.112692452024
Long
DBT
US
N
2
2031-06-01
Fixed
3.40000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
000000000
1400000.00000000
PA
1639755.95000000
0.199437393599
Long
DBT
CORP
US
Y
2
2027-03-11
Fixed
1.09000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-9756.21000000
-0.00118661139
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
432540.92000000
GBP
575698.25000000
USD
2022-01-14
-9756.21000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HU7
1965508.00000000
PA
USD
741979.27000000
0.090244168172
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
2.00000000
N
N
N
N
N
N
BELLEMEADE RE LT
254900I4ZKD8IMM1O953
Bellemeade Re 2019-2 Ltd
07877BAG5
750000.00000000
PA
USD
757505.55000000
0.092132571636
Long
ABS-MBS
CORP
BM
N
2
2029-04-25
Floating
3.20200000
N
N
N
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
2673000.00000000
PA
USD
2387416.68000000
0.290372576538
Long
DBT
NUSS
NG
Y
2
2047-11-28
Fixed
7.62500000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
000000000
695000.00000000
PA
814994.95000000
0.099124792701
Long
DBT
CORP
US
Y
2
2059-05-23
Fixed
3.62500000
N
N
N
N
N
N
Black Diamond CLO Ltd
N/A
Black Diamond Clo 2019-2 Ltd
09204GAA7
2121980.00000000
PA
USD
2121152.43000000
0.257987850000
Long
ABS-CBDO
CORP
KY
N
2
2032-07-23
Floating
1.55400000
N
N
N
N
N
N
SEAZEN GROUP LTD
5493006M8GRAQRCSCD67
Seazen Group Ltd
000000000
440000.00000000
PA
USD
366821.88000000
0.044615175607
Long
DBT
CORP
KY
Y
2
2025-07-13
Fixed
4.45000000
N
N
N
N
N
N
VOLCAN CIA MINERA SAA-CM
549300XKJ91C4SZLG750
Volcan Cia Minera SAA
92863UAB2
385000.00000000
PA
USD
371043.75000000
0.045128665891
Long
DBT
CORP
PE
N
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
1628000.00000000
PA
USD
1459664.80000000
0.177533579458
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
1370000.00000000
PA
USD
702371.60000000
0.085426835159
Long
DBT
NUSS
LK
Y
2
2025-11-03
Fixed
6.85000000
N
N
N
N
N
N
MONDELEZ INTL HLDINGS NE
549300CW356R8I7N8D33
Mondelez International Holdings Netherlands BV
000000000
692000.00000000
PA
769124.47000000
0.093545737492
Long
DBT
CORP
NL
N
2
2029-09-09
Fixed
0.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
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
3800000.00000000
OU
Notional Amount
-601586.52000000
-0.07316872219
N/A
DIR
FR
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-09-30
0.00000000
EUR
0.00000000
EUR
3800000.00000000
EUR
-601586.41000000
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bond
283875BZ4
552000.00000000
PA
USD
302220.00000000
0.036757890156
Long
DBT
NUSS
SV
N
2
2050-01-20
Fixed
7.12500000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
10585000.00000000
PA
12300932.47000000
1.496116486518
Long
DBT
NUSS
IT
Y
2
2027-09-15
Fixed
0.95000000
N
N
N
N
N
N
Balboa Bay Loan Funding Ltd
549300G0EX8VHFWPJW18
Balboa Bay Loan Funding 2021-1 Ltd
05765XAA9
1350416.00000000
PA
USD
1351035.84000000
0.164321444657
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.34700000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
1200000.00000000
PA
1449879.26000000
0.176343400765
Long
DBT
CORP
ES
Y
2
2023-09-24
Fixed
5.87500000
N
N
N
N
N
N
WEIBO CORP
549300Q9ID4640FE0422
Weibo Corp
948596AE1
850000.00000000
PA
USD
841614.84000000
0.102362470527
Long
DBT
CORP
KY
N
2
2030-07-08
Fixed
3.37500000
N
N
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
575000.00000000
PA
665275.14000000
0.080914931242
Long
DBT
CORP
ES
Y
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
Oaktown Re Ltd
2549008N2FD0KB1Y5E03
Oaktown Re III Ltd
67400KAC4
1500000.00000000
PA
USD
1488850.50000000
0.181083327174
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
2.65200000
N
N
N
N
N
N
GRAN TIERRA ENERGY INTL
549300RQNK5SS6I0T293
Gran Tierra Energy International Holdings Ltd
000000000
705000.00000000
PA
USD
642396.00000000
0.078132226871
Long
DBT
CORP
KY
Y
2
2025-02-15
Fixed
6.25000000
N
N
N
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC
000000000
1005000.00000000
PA
1169986.78000000
0.142301123499
Long
DBT
CORP
GB
Y
2
2025-09-06
Fixed
0.87500000
N
N
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
000000000
2204000.00000000
PA
USD
2158377.20000000
0.262515359784
Long
DBT
NUSS
SN
Y
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
BELLEMEADE RE LT
254900SCWI9IDKK5LV64
Bellemeade Re 2019-3 Ltd
07877GAB5
654390.44000000
PA
USD
654390.90000000
0.079591121771
Long
ABS-MBS
CORP
BM
N
2
2029-07-25
Floating
1.70200000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BM6
1296000.00000000
PA
USD
1333920.96000000
0.162239825707
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.12500000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
000000000
846000.00000000
PA
USD
908521.09000000
0.110500027897
Long
DBT
NUSS
AE
Y
2
2027-10-11
Fixed
3.12500000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
000000000
492000.00000000
PA
698783.63000000
0.084990443765
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754AAA1
454590.00000000
PA
USD
454643.69000000
0.055296614444
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
0.90000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AT6
891000.00000000
PA
USD
961638.48000000
0.116960497710
Long
DBT
CORP
GB
N
2
2025-03-30
Fixed
6.37500000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
744000.00000000
PA
USD
963203.68000000
0.117150867142
Long
DBT
CORP
ID
Y
2
2041-05-27
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKY4
675847.00000000
PA
USD
675441.02000000
0.082151369268
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
1.55000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS2BO29 CDS USD R V 03MEVENT IS2BO30 CCPCDX / Short: BS2BO29 CDS USD P F 5.00000 IS2BO29 CCPCDX
000000000
25350000.00000000
OU
Notional Amount
USD
-2331320.86000000
-0.28354985140
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S37.V1
2I65BRYQ7
Y
buy protection
2026-12-20
0.00000000
USD
-2255863.02000000
USD
25350000.00000000
USD
-75457.84000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
3360000.00000000
PA
2352171.17000000
0.286085796758
Long
DBT
NUSS
AU
Y
2
2026-09-21
Fixed
0.50000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
6370000.00000000
PA
5174845.43000000
0.629397127566
Long
DBT
NUSS
AU
Y
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
1475.66000000
0.000179479015
N/A
DFE
MX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
878196.19000000
USD
18038111.02000000
MXN
2022-01-13
1475.66000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
374000.00000000
PA
USD
376015.86000000
0.045733405065
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
ALFA DESARROLLO SPA
2549006BJAN34R520038
Alfa Desarrollo SpA
01538TAA3
797000.00000000
PA
USD
786639.00000000
0.095675964379
Long
DBT
CORP
CL
N
2
2051-09-27
Fixed
4.55000000
N
N
N
N
N
N
Republic of Azerbaijan
549300P74FF45UQVU281
Republic of Azerbaijan International Bond
000000000
672000.00000000
PA
USD
710424.96000000
0.086406335266
Long
DBT
NUSS
AZ
Y
2
2024-03-18
Fixed
4.75000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
577000.00000000
PA
USD
531763.20000000
0.064676372493
Long
DBT
NUSS
EG
Y
2
2032-01-15
Fixed
7.05300000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDB7
477749.68000000
PA
USD
535631.44000000
0.065146852081
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Floating
10.35300000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
400000.00000000
PA
USD
396500.00000000
0.048224814529
Long
DBT
CORP
VG
Y
2
2024-11-13
Fixed
3.25000000
N
N
N
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
800000.00000000
PA
935555.23000000
0.113788089404
Long
DBT
CORP
NL
Y
2
2028-09-22
Fixed
0.87500000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
410000.00000000
PA
478633.71000000
0.058214431001
Long
DBT
NUSS
CI
Y
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711X5R1
2011766.22000000
PA
USD
2027501.85000000
0.246597479632
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Floating
2.20300000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
1301.71000000
0.000158322126
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
109332.10000000
AUD
80854.15000000
USD
2022-02-08
1301.71000000
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DR0
810000.00000000
PA
USD
694980.00000000
0.084527822450
Long
DBT
NUSS
PE
N
2
2121-07-28
Fixed
3.23000000
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
607000.00000000
PA
USD
717508.65000000
0.087267898031
Long
DBT
CORP
ID
Y
2
2043-05-20
Fixed
5.62500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
434000.00000000
PA
512507.47000000
0.062334369951
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
1.34200000
N
N
N
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
000000000
530000.00000000
PA
1041680.95000000
0.126695764470
Long
DBT
CORP
NL
N
2
2028-11-27
Fixed
8.87500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
713000.00000000
PA
USD
688045.00000000
0.083684344294
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS27N20 IRS USD R F 2.34800 IS27N20 CCPINFLATIONZERO / Short: SS27N20 IRS USD P V 12MUSCPI IS27N31 CCPINFLATIONZERO
000000000
2730000.00000000
OU
Notional Amount
USD
-327708.82000000
-0.03985800016
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2051-02-22
0.00000000
USD
0.00000000
USD
2730000.00000000
USD
-327708.82000000
N
N
N
EMPRESA DE TRANSPORTE ME
959800T4M5QUPYMSCH69
Empresa de Transporte de Pasajeros Metro SA
000000000
200000.00000000
PA
USD
233000.00000000
0.028338920013
Long
DBT
CORP
CL
Y
2
2047-01-25
Fixed
5.00000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CB4
5286000.00000000
PA
USD
4044847.20000000
0.491959662092
Long
DBT
NUSS
TR
N
2
2043-04-16
Fixed
4.87500000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
275000.00000000
PA
USD
70812.50000000
0.008612659971
Long
DBT
CORP
KY
Y
2
2025-07-23
Fixed
9.95000000
N
Y
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS23QW9 IRS CNY R F 2.59830 SS23QW9 NDRSLV513250 LCH / Short: SS23QW9 IRS CNY P V 03MLIBOR IS23QX0 NDRSLV513250 LCH
000000000
79300000.00000000
OU
Notional Amount
121271.33000000
0.014749779059
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-16
0.00000000
CNY
0.00000000
CNY
79300000.00000000
CNY
121271.33000000
N
N
N
Triangle Re 2019-1 Ltd.
N/A
Mortgage Insurance-Linked Notes Series 2019-1
89600TAB9
1334365.58000000
PA
USD
1334370.78000000
0.162294535634
Long
ABS-MBS
CORP
BM
N
2
2029-11-26
Floating
3.00200000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
1526000.00000000
PA
USD
1703412.76000000
0.207179733715
Long
DBT
CORP
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
2594000.00000000
PA
USD
2534545.52000000
0.308267307990
Long
DBT
NUSS
AO
Y
2
2048-05-08
Fixed
9.37500000
N
N
N
N
N
N
DOVER CORP
549300FMC2ALGA7N9E80
Dover Corp
260003AQ1
1150000.00000000
PA
1321935.24000000
0.160782047336
Long
DBT
CORP
US
N
2
2027-11-04
Fixed
0.75000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
511900.00000000
PA
645518.67000000
0.078512025563
Long
DBT
NUSS
FR
Y
2
2034-05-25
Fixed
1.25000000
N
N
N
N
N
N
WEPA HYGIENEPRODUKTE GMB
529900KQ44OJDIDU6J81
WEPA Hygieneprodukte GmbH
000000000
197000.00000000
PA
212509.49000000
0.025846735790
Long
DBT
CORP
DE
N
2
2027-12-15
Fixed
2.87500000
N
N
N
N
N
N
KONDOR FINANCE PLC (NAK)
213800PUC1T9GI6EIO63
NAK Naftogaz Ukraine via Kondor Finance PLC
000000000
2001000.00000000
PA
USD
1955065.04000000
0.237787260900
Long
DBT
CORP
GB
Y
2
2022-07-19
Fixed
7.37500000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AF0
201000.00000000
PA
USD
218939.25000000
0.026628763491
Long
DBT
CORP
NL
N
2
2025-04-16
Fixed
6.50000000
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-8504.08000000
-0.00103431949
N/A
DFE
CO
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
220411.29000000
USD
863351036.75000000
COP
2022-01-21
-8504.08000000
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
824000.00000000
PA
USD
887860.00000000
0.107987096666
Long
DBT
CORP
ZA
Y
2
2028-08-10
Fixed
6.35000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
202000.00000000
PA
USD
129280.00000000
0.015723843688
Long
DBT
CORP
KY
Y
2
2024-04-26
Fixed
5.95000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: IS20CG6 CDS USD R F 3.00000 IS20CG6 CMBX / Short: IS20CG6 CDS USD P V 01MEVENT IS20CH7 CMBX
000000000
1419718.21000000
OU
Notional Amount
USD
-397204.91000000
-0.04831055010
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-117275.21000000
USD
1419718.21000000
USD
-279929.70000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
4380000.00000000
PA
USD
3909150.00000000
0.475455318329
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNK1
454641.00000000
PA
USD
453740.13000000
0.055186717815
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
1.00000000
N
N
N
N
N
N
DEUTSCHE LUFTHANSA AG
529900PH63HYJ86ASW55
Deutsche Lufthansa AG
000000000
200000.00000000
PA
228232.29000000
0.027759041248
Long
DBT
CORP
DE
Y
2
2025-02-11
Fixed
2.87500000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
870000.00000000
PA
1090708.96000000
0.132658858263
Long
DBT
CORP
IT
Y
2
2026-09-15
Fixed
3.92800000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1313596.00000000
PA
1822647.65000000
0.221681828180
Long
DBT
NUSS
GB
Y
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS27DA8 IRS CNY R F 2.80000 IS27DA8/2.8 LCH / Short: SS27DA8 IRS CNY P V 03MLIBOR IS27DB9 NDRSLV514246 LCH
000000000
47100000.00000000
OU
Notional Amount
133121.69000000
0.016191094098
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-02-01
0.00000000
CNY
0.00000000
CNY
47100000.00000000
CNY
133121.69000000
N
N
N
Home Re Ltd
254900GFKVQN72ENGJ20
Home RE 2019-1 Ltd
43731AAB9
1600000.00000000
PA
USD
1608186.72000000
0.195597746029
Long
ABS-MBS
CORP
BM
N
2
2029-05-25
Floating
3.35200000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
86722TAB8
252000.00000000
PA
USD
362659.56000000
0.044108928167
Long
DBT
CORP
CA
N
2
2039-06-01
Fixed
6.85000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
600000.00000000
PA
751409.75000000
0.091391162242
Long
DBT
CORP
NL
Y
2
2027-06-29
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AJ9
650000.00000000
PA
USD
729625.00000000
0.088741564441
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
980000.00000000
PA
USD
1284427.20000000
0.156220084480
Long
DBT
NUSS
QA
Y
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AK3
567000.00000000
PA
USD
978983.21000000
0.119070072458
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
9.37500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1389.66000000
0.000169019157
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
131092.01000000
USD
116278.93000000
EUR
2022-02-10
1389.66000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
000000000
400000.00000000
PA
455969.10000000
0.055457819113
Long
DBT
CORP
US
N
2
2025-03-02
Fixed
2.87500000
N
N
N
N
N
N
Gran Tierra Energy Inc
549300IH2S17MAIUCM32
Gran Tierra Energy Inc
38502JAA9
355000.00000000
PA
USD
322606.25000000
0.039237393624
Long
DBT
CORP
US
N
2
2027-05-23
Fixed
7.75000000
N
N
N
N
N
N
BAYER AG
549300J4U55H3WP1XT59
Bayer AG
000000000
1200000.00000000
PA
1377899.67000000
0.167588791994
Long
DBT
CORP
DE
Y
2
2024-07-06
Fixed
0.37500000
N
N
N
N
N
N
SOUTHERN GAS CORRIDOR
213800DG58KG59XY6318
Southern Gas Corridor CJSC
000000000
454000.00000000
PA
USD
521482.56000000
0.063425976636
Long
DBT
CORP
AZ
Y
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS2CTA5 CDS EUR R V 03MEVENT IS2CTB6 CCPITRAXX / Short: BS2CTA5 CDS EUR P F 5.00000 IS2CTA5 CCPITRAXX
000000000
5500000.00000000
OU
Notional Amount
-742315.31000000
-0.09028503946
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S36.V1
2I667KJO7
Y
buy protection
2026-12-20
0.00000000
EUR
-582606.86000000
EUR
5500000.00000000
EUR
-89440.85000000
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
1546000.00000000
PA
USD
1540573.54000000
0.187374207403
Long
DBT
NUSS
NG
Y
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: SS1ZHQ7 IRS CNY R F 2.60500 SS1ZHQ7/CCP / Short: SS1ZHQ7 IRS CNY P V 03MCNR00 CNRR007/1W/CCP/IS1ZHR8
000000000
25990000.00000000
OU
Notional Amount
38237.82000000
0.004650723272
N/A
DIR
CN
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
N/A
N/A
Y
2025-02-04
0.00000000
CNY
0.00000000
CNY
25990000.00000000
CNY
38237.82000000
N
N
N
SHIMAO GROUP HOLDINGS LT
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
380000.00000000
PA
USD
229900.00000000
0.027961878588
Long
DBT
CORP
KY
Y
2
2027-01-16
Fixed
5.20000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
000000000
1580000.00000000
PA
1763385.26000000
0.214473964961
Long
DBT
CORP
NL
Y
2
2030-06-17
Fixed
0.50000000
N
N
N
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
775350000.00000000
PA
6741413.46000000
0.819932947728
Long
STIV
NUSS
JP
N
2
2022-02-21
None
0.00000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
4080000.00000000
PA
5574363.02000000
0.677988960300
Long
DBT
NUSS
GB
Y
2
2041-10-22
Fixed
1.25000000
N
N
N
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
Tullow Oil PLC
899415AG8
1440000.00000000
PA
USD
1454961.60000000
0.176961546803
Long
DBT
CORP
GB
N
2
2026-05-15
Fixed
10.25000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1234000.00000000
PA
USD
1098580.84000000
0.133616285635
Long
DBT
NUSS
UA
Y
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR22
000000000
-24.00000000
NC
-51833.32000000
-0.00630429317
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
Montreal Exchange 10 Year Canadian Bond Future
CNH2 COMDTY
2022-03-22
-3357313.44000000
CAD
-51833.32000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAA9
214000.00000000
PA
USD
219386.91000000
0.026683210705
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2CBG5 IRS NZD R F 2.50250 IS2CBG5 CCPVANILLA / Short: SS2CBG5 IRS NZD P V 03MNZDBB IS2CBH6 CCPVANILLA
000000000
7847000.00000000
OU
Notional Amount
18690.05000000
0.002273200995
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-02
0.00000000
NZD
0.00000000
NZD
7847000.00000000
NZD
18690.05000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
7736000.00000000
PA
8575313.14000000
1.042983318305
Long
DBT
NUSS
ES
Y
2
2042-07-30
Fixed
1.00000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-10415.82000000
-0.00126683729
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
14925164076.00000000
IDR
1035032.18000000
USD
2022-01-27
-10415.82000000
N
N
N
KWG GROUP HOLDINGS
549300LK82ZOM9ZE7H90
KWG Group Holdings Ltd
000000000
202000.00000000
PA
USD
139380.00000000
0.016952268976
Long
DBT
CORP
KY
Y
2
2026-08-14
Fixed
6.00000000
N
N
N
N
N
N
CF Secured, LLC
254900OXTV81I73FAT50
CF Secured, LLC
000000000
1100000.00000000
PA
USD
1100000.00000000
0.133788892767
Long
RA
CORP
US
N
2
Repurchase
Y
0.05000000
2022-01-03
1096715.01000000
USD
1122004.72000000
USD
UST
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAC4
809000.00000000
PA
USD
659391.63000000
0.080199341889
Long
DBT
NUSS
EG
N
2
2061-02-16
Fixed
7.50000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
650000.00000000
PA
1204171.23000000
0.146458850512
Long
DBT
NUSS
DE
Y
2
2034-07-04
Fixed
4.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-11568.62000000
-0.00140704805
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
358607.93000000
GBP
473815.78000000
USD
2022-01-14
-11568.62000000
N
N
N
SEPLAT ENERGY PL
029200711C4S4CB2E982
SEPLAT Energy PLC
81733LAB3
966000.00000000
PA
USD
963102.00000000
0.117138500183
Long
DBT
CORP
NG
N
2
2026-04-01
Fixed
7.75000000
N
N
N
N
N
N
OIL & GAS HOLDING
549300OBH16L6TS6IW50
Oil and Gas Holding Co BSCC/The
67778NAA6
2486000.00000000
PA
USD
2689096.26000000
0.327064737428
Long
DBT
CORP
BH
Y
2
2027-10-25
Fixed
7.50000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade RE 2021-3 Ltd
078777AA7
470651.00000000
PA
USD
466011.28000000
0.056679211971
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
1.05000000
N
N
N
N
N
N
DIGITAL INTREPID HOLDING
5493003H2CB2KXPP7461
Digital Intrepid Holding BV
000000000
625000.00000000
PA
670944.86000000
0.081604518115
Long
DBT
NL
Y
2
2031-07-15
Fixed
0.62500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-30261.59000000
-0.00368060419
N/A
DFE
CO
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
707784.31000000
USD
2760358815.77000000
COP
2022-01-21
-30261.59000000
N
N
N
ELIOR GROUP SA
969500LYSYS0E800SQ95
Elior Group SA
000000000
570000.00000000
PA
663315.46000000
0.080676582680
Long
DBT
CORP
FR
Y
2
2026-07-15
Fixed
3.75000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
340000.00000000
PA
USD
360400.00000000
0.043834106321
Long
DBT
NUSS
OM
Y
2
2028-01-17
Fixed
5.62500000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BK7
676097.00000000
PA
USD
778363.43000000
0.094669437700
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1071.08000000
0.000130271461
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
59357.84000000
EUR
68700.06000000
USD
2022-02-10
1071.08000000
N
N
N
VATTENFALL AB
549300T5RZ1HA5HZ3109
Vattenfall AB
000000000
732000.00000000
PA
886518.14000000
0.107823891244
Long
DBT
CORP
SE
Y
2
2077-03-19
Fixed
3.00000000
N
N
N
N
N
N
YANGO JUSTICE INTL
3003007ELD2HAYCXPT77
Yango Justice International Ltd
000000000
300000.00000000
PA
USD
69000.00000000
0.008392212364
Long
DBT
CORP
HK
Y
2
2023-11-25
Fixed
8.25000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AG4
1045000.00000000
PA
USD
1155362.45000000
0.140522420846
Long
DBT
CORP
GB
N
2
2024-06-27
Fixed
7.50000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
1084000.00000000
PA
USD
1041995.00000000
0.126733961199
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
IMPERIAL BRANDS FIN NETH
724500GIEFJOBWGD0272
Imperial Brands Finance Netherlands BV
000000000
1001000.00000000
PA
1110875.92000000
0.135111690308
Long
DBT
CORP
NL
Y
2
2033-03-18
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAE8
33731.34000000
PA
USD
33763.49000000
0.004106527220
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Floating
2.10300000
N
N
N
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
677200000.00000000
PA
5912180.30000000
0.719076414708
Long
DBT
NUSS
JP
N
2
2031-06-20
Fixed
0.10000000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAJ0
233000.00000000
PA
USD
184396.20000000
0.022427421298
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
KLABIN AUSTRIA GMBH
984500578YEA8DD41B09
Klabin Austria GmbH
000000000
465000.00000000
PA
USD
430710.90000000
0.052385758558
Long
DBT
CORP
AT
Y
2
2031-01-12
Fixed
3.20000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAS8
1915000.00000000
PA
USD
2229060.00000000
0.271112244829
Long
DBT
CORP
NL
N
2
2027-01-17
Fixed
7.37500000
N
N
N
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
8253000.00000000
PA
2105654.73000000
0.256102922615
Long
DBT
NUSS
MY
N
2
2030-04-15
Fixed
4.49800000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
1179000.00000000
PA
USD
1439592.01000000
0.175092200959
Long
DBT
CORP
KZ
Y
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAB8
1342000.00000000
PA
USD
1397357.50000000
0.169955375204
Long
DBT
CORP
NL
N
2
2027-02-01
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAA4
60068.53000000
PA
USD
60068.53000000
0.007305911017
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
0.80000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
453000.00000000
PA
USD
457530.00000000
0.055647665552
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
230000.00000000
PA
251548.30000000
0.030594880485
Long
DBT
NUSS
CI
Y
2
2032-01-30
Fixed
4.87500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2890942.09000000
0.351614492069
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
159143770.00000000
EUR
184210393.81000000
USD
2022-02-10
2890942.09000000
N
N
N
MOZART DEBT MERGER SUB
N/A
Mozart Debt Merger Sub Inc
62482BAA0
685000.00000000
PA
USD
682581.95000000
0.083019893921
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1266.48000000
-0.00015403723
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
154378.33000000
EUR
174623.50000000
USD
2022-02-10
-1266.48000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CQ7
1163000.00000000
PA
USD
1211641.43000000
0.147367423046
Long
DBT
NUSS
ID
N
2
2030-02-14
Fixed
2.85000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
1751000.00000000
PA
1903517.69000000
0.231517749189
Long
DBT
NUSS
FR
Y
2
2044-06-25
Fixed
0.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCG5
2524000.00000000
PA
USD
2692704.16000000
0.327503552833
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
6.50000000
N
N
N
N
N
N
INDONESIA ASAHAN ALUMINI
2549008P48EB9SN2OI80
Indonesia Asahan Aluminium Persero PT
74445PAG7
534000.00000000
PA
USD
617437.50000000
0.075096617707
Long
DBT
CORP
ID
N
2
2050-05-15
Fixed
5.80000000
N
N
N
N
N
N
Genworth Mortgage Insurance Corporation
N/A
Triangle Re 2021-3 Ltd
89600HAA7
642437.00000000
PA
USD
642436.81000000
0.078137190439
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
1.95000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAB2
66676.00000000
PA
USD
66756.44000000
0.008119336538
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
1.60000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AV6
306000.00000000
PA
USD
276930.00000000
0.033681961885
Long
DBT
NUSS
ZA
N
2
2046-10-12
Fixed
5.00000000
N
N
N
N
N
DIGITAL EURO FINCO
635400OUEAPTXSW3SC91
Digital Euro Finco LLC
000000000
735000.00000000
PA
903287.45000000
0.109863479805
Long
DBT
CORP
US
Y
2
2026-01-16
Fixed
2.50000000
N
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
1858000.00000000
PA
USD
1707056.08000000
0.207622857123
Long
DBT
NUSS
BS
Y
2
2032-10-15
Fixed
8.95000000
N
N
N
N
N
N
CIA DE MINAS BUENAVENTUR
529900WQB1ZU9KB6EL71
Cia de Minas Buenaventura SAA
204448AA2
857000.00000000
PA
USD
836432.00000000
0.101732101050
Long
DBT
CORP
PE
N
2
2026-07-23
Fixed
5.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
-25652.21000000
-0.00311998252
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
9514790.54000000
MYR
2243525.24000000
USD
2022-06-16
-25652.21000000
N
N
N
Medco Oak Tree Pte Ltd
254900AU06KP3JTGZL51
Medco Oak Tree Pte Ltd
58405FAA3
622000.00000000
PA
USD
643770.00000000
0.078299341360
Long
DBT
CORP
SG
N
2
2026-05-14
Fixed
7.37500000
N
N
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
1051000.00000000
PA
USD
1078244.02000000
0.131142794153
Long
DBT
CORP
ZA
Y
2
2023-08-06
Fixed
6.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS25KM3 IRS CNY R F 2.59500 IS25KM3 NDRSLV513694 LCH / Short: SS25KM3 IRS CNY P V 03MLIBOR IS25KN4 NDRSLV513694 LCH
000000000
40400000.00000000
OU
Notional Amount
62133.22000000
0.007557031552
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-11-02
0.00000000
CNY
0.00000000
CNY
40400000.00000000
CNY
62133.22000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS25Q36 IRS EUR R V 06MEURIB IS25Q47 CCPVANILLA / Short: BS25Q36 IRS EUR P F .02200 IS25Q36 CCPVANILLA
000000000
3820000.00000000
OU
Notional Amount
559315.88000000
0.068027502084
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-11-10
24261.08000000
EUR
0.00000000
EUR
3820000.00000000
EUR
530661.86000000
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
000000000
524000.00000000
PA
609980.01000000
0.074189591043
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
2.62500000
N
N
N
N
N
N
STATE STREET INST US GOVT FUND
N/A
STATE STREET INST US GOVT FUND
000000000
100000.00000000
NS
USD
100000.00000000
0.012162626615
Long
STIV
RF
US
N
1
N
N
XIAOMI BEST TIME INTL
254900IGJCVEY8WNJT74
Xiaomi Best Time International Ltd
98422HAC0
1074000.00000000
PA
USD
1053089.75000000
0.128083374215
Long
DBT
CORP
HK
N
2
2031-07-14
Fixed
2.87500000
N
N
N
N
N
N
NBM US Holdings Inc
5493008K1QMSP0J8UC24
NBM US Holdings Inc
000000000
975000.00000000
PA
USD
1022541.00000000
0.124367843817
Long
DBT
CORP
US
Y
2
2026-05-14
Fixed
7.00000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BD3
592005.00000000
PA
USD
776272.48000000
0.094415123259
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
4.97500000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAB0
277454.00000000
PA
USD
277768.24000000
0.033783913886
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
2.10000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BQ4
903000.00000000
PA
USD
896227.50000000
0.109004804448
Long
DBT
CORP
PA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
MDGH GMTN RSC LTD
213800WRY6FRL9IXLT77
MDGH GMTN RSC Ltd
000000000
1356000.00000000
PA
USD
1562331.67000000
0.190020567513
Long
DBT
CORP
AE
Y
2
2028-11-07
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS24XH6 IRS CNY R F 2.60000 SS24XH6 NDRSLV513551 LCH/2.60 / Short: SS24XH6 IRS CNY P V 03MLIBOR IS24XI7 NDRSLV513551 LCH
000000000
40730000.00000000
OU
Notional Amount
63101.52000000
0.007674802266
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-29
0.00000000
CNY
0.00000000
CNY
40730000.00000000
CNY
63101.52000000
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
203000.00000000
PA
USD
54810.00000000
0.006666335647
Long
DBT
CORP
KY
Y
2
2027-01-13
Fixed
6.35000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: SS1Y1P1 IRS CNY R F 2.85500 SS1Y1P1/CCP / Short: SS1Y1P1 IRS CNY P V 01MCNR00 CNRR007/1W/CCP/SS1Y1Q2
000000000
26130000.00000000
OU
Notional Amount
66275.86000000
0.008060885387
N/A
DIR
CN
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
N/A
N/A
Y
2024-11-22
0.00000000
CNY
0.00000000
CNY
26130000.00000000
CNY
66275.86000000
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
345150000.00000000
PA
3025395.93000000
0.367967610598
Long
DBT
NUSS
JP
N
2
2030-09-20
Fixed
0.10000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
13661.86000000
0.001661641020
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
9927232.97000000
EUR
11324192.20000000
USD
2022-02-10
13661.86000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
4056000.00000000
PA
USD
3589397.76000000
0.436565047284
Long
DBT
NUSS
EG
Y
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: SS1YUT8 IRS CNY R F 2.98250 SS1YUT8/CCP / Short: SS1YUT8 IRS CNY P V 03MLIBOR CNRR007/1W/SS1YUT8
000000000
69210000.00000000
OU
Notional Amount
219093.60000000
0.026647536505
N/A
DIR
CN
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
N/A
N/A
Y
2025-01-06
0.00000000
CNY
0.00000000
CNY
69210000.00000000
CNY
219093.60000000
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
12342000.00000000
PA
14341101.36000000
1.744254610929
Long
DBT
NUSS
DE
Y
2
2031-08-15
None
0.00000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAA1
515000.00000000
PA
USD
534312.50000000
0.064986434333
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.87500000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAT6
689000.00000000
PA
USD
739917.10000000
0.089993354135
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
3.25000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
000000000
1205000.00000000
PA
1392928.63000000
0.169416708283
Long
DBT
CORP
IT
Y
2
2026-01-20
Fixed
1.20000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BN6
288000.00000000
PA
USD
335653.27000000
0.040824253951
Long
DBT
NUSS
PH
N
2
2026-03-30
Fixed
5.50000000
N
N
N
N
N
N
POWERLONG REAL ESTATE
549300R3K12EPXCGDP22
Powerlong Real Estate Holdings Ltd
000000000
210000.00000000
PA
USD
172285.83000000
0.020954482213
Long
DBT
CORP
KY
Y
2
2026-05-13
Fixed
4.90000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBC1
203000.00000000
PA
USD
216220.91000000
0.026298141947
Long
DBT
CORP
CL
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
BRITISH AMERICAN TOBACCO
213800FKA5MF17RJKT63
British American Tobacco PLC
000000000
995000.00000000
PA
1110626.76000000
0.135081385907
Long
DBT
CORP
GB
Y
2
2026-09-27
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAE9
901252.15000000
PA
USD
904971.17000000
0.110068264382
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Floating
2.50200000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2C7
712000.00000000
PA
USD
789437.12000000
0.096016289267
Long
DBT
NUSS
BH
N
2
2030-05-14
Fixed
7.37500000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
1135.89000000
0.000138154059
N/A
DFE
MX
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
3583386.96000000
USD
73502433.24000000
MXN
2022-01-13
1135.89000000
N
N
N
ZHENRO PROPERTIES GROUP
549300I66TVJEL841P38
Zhenro Properties Group Ltd
000000000
235000.00000000
PA
USD
148696.25000000
0.018085369678
Long
DBT
CORP
KY
Y
2
2025-02-05
Fixed
7.35000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAA8
1031000.00000000
PA
USD
963572.60000000
0.117195737504
Long
DBT
NUSS
EG
N
2
2026-02-16
Fixed
3.87500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR22
000000000
77.00000000
NC
USD
202615.72000000
0.024643393487
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT US Long Bond Future
USH2 COMDTY
2022-03-22
12151071.78000000
USD
202615.72000000
N
N
N
BELDEN INC
68BKYO1JC791TTJHUE82
Belden Inc
000000000
344000.00000000
PA
396143.86000000
0.048181498550
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
3.37500000
N
N
N
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
470000.00000000
PA
USD
470620.40000000
0.057239802027
Long
DBT
CORP
VG
Y
2
2022-04-27
Fixed
3.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
978.94000000
0.000119064816
N/A
DFE
MX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1644728.73000000
USD
33746058.63000000
MXN
2022-01-13
978.94000000
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
1666000.00000000
PA
USD
1713471.00000000
0.208403079890
Long
DBT
NUSS
OM
Y
2
2026-06-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKR9
71248.00000000
PA
USD
71183.45000000
0.008657777235
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
0.85000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
22546DAB2
1003000.00000000
PA
USD
1083240.00000000
0.131750436546
Long
DBT
CORP
CH
N
2
2023-12-11
Fixed
7.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR22
000000000
22.00000000
NC
-78920.06000000
-0.00959875222
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex 10 Year Euro BUND Future
RXH2 COMDTY
2022-03-08
3839459.36000000
EUR
-78920.06000000
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
1673000.00000000
PA
USD
1645362.04000000
0.200119241394
Long
DBT
NUSS
NG
Y
2
2032-02-16
Fixed
7.87500000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
000000000
790000.00000000
PA
USD
820524.49000000
0.099797330005
Long
DBT
CORP
MX
Y
2
2036-09-29
Fixed
5.00000000
N
N
N
N
N
N
TRANSPRTDRA DE GAS INTL
529900780HCVLCEM2440
Transportadora de Gas Internacional SA ESP
000000000
854000.00000000
PA
USD
941543.54000000
0.114516425190
Long
DBT
CORP
CO
Y
2
2028-11-01
Fixed
5.55000000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
6250000.00000000
PA
4365082.22000000
0.530908651866
Long
DBT
NUSS
NZ
Y
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR22
000000000
-23.00000000
NC
USD
-48008.54000000
-0.00583909946
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYH2 COMDTY
2022-03-22
-3320053.96000000
USD
-48008.54000000
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
000000000
396000.00000000
PA
USD
437184.00000000
0.053173057541
Long
DBT
CORP
NL
Y
2
2028-01-17
Fixed
6.95000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
57.91000000
0.000007043377
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
8858330.00000000
KRW
7506.93000000
USD
2022-01-20
57.91000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
1503000.00000000
PA
USD
1562608.98000000
0.190054295693
Long
DBT
NUSS
CI
Y
2
2024-07-23
Fixed
5.37500000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
24441.89000000
0.002972775818
N/A
DFE
US
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
118724027.83000000
MXN
5814304.50000000
USD
2022-01-13
24441.89000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS2BDL1 CDS USD R V 03MEVENT IS2BDM2 CCPCDX / Short: BS2BDL1 CDS USD P F 1.00000 IS2BDL1 CCPCDX
000000000
10960000.00000000
OU
Notional Amount
USD
442514.16000000
0.053821345000
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S36.V1
2I65BZEB4
Y
buy protection
2026-12-20
346080.48000000
USD
0.00000000
USD
10960000.00000000
USD
96433.68000000
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
570000.00000000
PA
USD
592443.75000000
0.072056721217
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAA6
1951000.00000000
PA
USD
2007891.78000000
0.244212380039
Long
DBT
CORP
NL
N
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
1879000.00000000
PA
USD
2038715.00000000
0.247961293198
Long
DBT
NUSS
CI
Y
2
2028-03-03
Fixed
6.37500000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBL9
141000.00000000
PA
162389.94000000
0.019750882062
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
0.62500000
N
N
N
N
N
N
OIL & GAS HOLDING
549300OBH16L6TS6IW50
Oil and Gas Holding Co BSCC/The
000000000
1079000.00000000
PA
USD
1162622.50000000
0.141405433619
Long
DBT
CORP
BH
Y
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
INTERCORP FIN SER INC
5299004181WFTEWB1398
Intercorp Financial Services Inc
000000000
745000.00000000
PA
USD
743510.00000000
0.090430345146
Long
DBT
CORP
PA
Y
2
2027-10-19
Fixed
4.12500000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
000000000
900000.00000000
PA
1064695.01000000
0.129494878657
Long
DBT
CORP
GB
Y
2
2025-03-04
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
500000.00000000
PA
550671.77000000
0.066976151260
Long
DBT
CORP
US
N
2
2031-02-07
Fixed
0.49700000
N
N
N
N
N
N
HEATHROW FUNDING LTD
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
000000000
490000.00000000
PA
677353.21000000
0.082383941798
Long
DBT
CORP
JE
Y
2
2029-10-13
Fixed
2.75000000
N
N
N
N
N
N
BIDVEST GROUP UK PLC
984500A80C777F496830
Bidvest Group UK PLC/The
88332EAA1
660000.00000000
PA
USD
655974.00000000
0.079783668313
Long
DBT
CORP
GB
N
2
2026-09-23
Fixed
3.62500000
N
N
N
N
N
N
RUTAS 2 AND 7 FINANCE
N/A
Rutas 2 and 7 Finance Ltd
78319MAA1
650000.00000000
PA
USD
477750.00000000
0.058106948654
Long
DBT
CORP
KY
N
2
2036-09-30
None
0.00000000
N
N
N
N
N
N
Radnor Re LTD
254900JBDDKUTX6TX151
Radnor RE 2019-1 Ltd
75049SAC7
2751041.00000000
PA
USD
2774502.43000000
0.337452370991
Long
ABS-MBS
CORP
BM
N
2
2029-02-25
Floating
3.30300000
N
N
N
N
N
N
CA MAGNUM HOLDINGS
549300ZRDHFR078MFZ78
CA Magnum Holdings
12674CAA1
680000.00000000
PA
USD
702950.00000000
0.085497183791
Long
DBT
CORP
MU
N
2
2026-10-31
Fixed
5.37500000
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
5235390000.00000000
PA
4137444.49000000
0.503221924731
Long
DBT
NUSS
KR
N
2
2030-12-10
Fixed
1.50000000
N
N
N
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
769950000.00000000
PA
6708330.77000000
0.815909223669
Long
DBT
NUSS
JP
N
2
2023-03-01
Fixed
0.10000000
N
N
N
N
N
N
TENGIZCHEVROIL FIN CO IN
5493001VEV2XTJIBZH31
Tengizchevroil Finance Co International Ltd
88034QAC1
552000.00000000
PA
USD
551144.40000000
0.067033635482
Long
DBT
CORP
BM
N
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
1464000.00000000
PA
1761412.26000000
0.214233996338
Long
DBT
CORP
US
Y
2
2027-05-04
Fixed
1.77600000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-703.52000000
-0.00008556651
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
115958.70000000
EUR
131413.29000000
USD
2022-02-10
-703.52000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
401000.00000000
PA
452721.69000000
0.055062848760
Long
DBT
NUSS
CI
Y
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
KOSMOS ENERGY LTD
213800YDFJ3OT9B5P157
Kosmos Energy Ltd
500688AD8
545000.00000000
PA
USD
511646.00000000
0.062229592571
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
7.50000000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2020-1R
730151AA5
1018184.64000000
PA
USD
1017855.05000000
0.123797909215
Long
ABS-MBS
CORP
US
N
2
2023-02-27
Floating
2.45200000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
000000000
945000.00000000
PA
1062433.61000000
0.129219833019
Long
DBT
CORP
XX
N
2
2028-09-01
Fixed
2.00000000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AJ9
485000.00000000
PA
USD
455293.75000000
0.055375678814
Long
DBT
CORP
MX
N
2
2051-02-09
Fixed
4.67700000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
214000.00000000
PA
USD
105930.00000000
0.012883870373
Long
DBT
NUSS
LK
Y
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
Colbun SA
5493003VQJLE2QB8IF36
Colbun SA
000000000
422000.00000000
PA
USD
444581.22000000
0.054072753790
Long
DBT
CORP
CL
Y
2
2024-07-10
Fixed
4.50000000
N
N
N
N
N
N
Pikes Peak CLO
549300NJA5BS4BQQJL72
Pikes Peak CLO 8
72133CAA0
968631.00000000
PA
USD
968384.97000000
0.117781048099
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.32200000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
310000.00000000
PA
USD
88350.00000000
0.010745680614
Long
DBT
CORP
KY
Y
2
2025-02-20
Fixed
7.70000000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
900000.00000000
PA
1049159.27000000
0.127605324609
Long
DBT
CORP
ES
Y
2
2026-06-21
Fixed
1.00000000
N
N
N
N
N
N
NH HOTEL GROUP SA
959800LM1RW3PKJ4A296
NH Hotel Group SA
000000000
142000.00000000
PA
160616.11000000
0.019535137743
Long
DBT
CORP
ES
Y
2
2026-07-02
Fixed
4.00000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
234000.00000000
PA
USD
242775.00000000
0.029527816765
Long
DBT
CORP
VG
Y
2
2025-11-19
Fixed
5.00000000
N
N
N
N
N
N
Cantor Fitzgerald & Co.
5493004J7H4GCPG6OB62
Cantor Fitzgerald & Co.
000000000
1100000.00000000
PA
USD
1100000.00000000
0.133788892767
Long
RA
CORP
US
N
2
Repurchase
Y
0.05000000
2022-01-03
34480.72000000
USD
6981.69000000
USD
ACMO
1656300.61000000
USD
1114876.35000000
USD
AMBS
0.00000000
USD
0.00000000
USD
UST
1000.16000000
USD
141.97000000
USD
ADAS
N
N
Levi Strauss & Co
MB0UERO0RDFKU8258G77
Levi Strauss & Co
000000000
915000.00000000
PA
1062561.69000000
0.129235410911
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.37500000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
204000.00000000
PA
USD
207060.00000000
0.025183934669
Long
DBT
CORP
NL
Y
2
2022-04-16
Fixed
6.87500000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBM7
149000.00000000
PA
172472.42000000
0.020977176458
Long
DBT
CORP
US
N
2
2028-12-03
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAS2
558000.00000000
PA
USD
530992.80000000
0.064582671617
Long
DBT
NUSS
NG
N
2
2033-09-28
Fixed
7.37500000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
1240000.00000000
PA
USD
623546.40000000
0.075839620404
Long
DBT
NUSS
LK
Y
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAH4
1374000.00000000
PA
USD
1075842.00000000
0.130850645429
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BAZ1
1605000.00000000
PA
USD
1622612.95000000
0.197352354518
Long
DBT
CORP
CL
N
2
2029-09-30
Fixed
3.00000000
N
N
N
N
N
N
Intertrust Group BV
724500E2H60ZHP192G28
Intertrust Group BV
000000000
925000.00000000
PA
1071541.61000000
0.130327605051
Long
DBT
CORP
NL
Y
2
2025-11-15
Fixed
3.37500000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
400000.00000000
PA
USD
313200.00000000
0.038093346558
Long
DBT
NUSS
GH
Y
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AV0
473000.00000000
PA
USD
460187.27000000
0.055970859380
Long
DBT
CORP
KY
N
2
2027-02-23
Fixed
1.62500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-74095.70000000
-0.00901198332
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3803195.11000000
USD
3273024.12000000
EUR
2022-02-10
-74095.70000000
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AQ1
284000.00000000
PA
USD
294531.12000000
0.035822720391
Long
DBT
CORP
KY
N
2
2025-04-07
Fixed
3.07500000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAS0
49000.00000000
PA
USD
52485.90000000
0.006383664042
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
240000.00000000
PA
USD
148200.00000000
0.018025012643
Long
DBT
CORP
KY
Y
2
2026-01-26
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QG7
556795.00000000
PA
USD
570731.52000000
0.069415943753
Long
ABS-MBS
USGSE
US
N
2
2029-12-25
Floating
2.75300000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
288000.00000000
PA
USD
292057.92000000
0.035521914309
Long
DBT
CORP
VG
Y
2
2029-05-29
Fixed
4.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAQ2
888000.00000000
PA
USD
1078920.00000000
0.131225011077
Long
DBT
CORP
NL
N
2
2026-05-23
Fixed
8.75000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
613000.00000000
PA
USD
759855.31000000
0.092418364171
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
GRAN TIERRA ENERGY INC
549300IH2S17MAIUCM32
Gran Tierra Energy Inc
000000000
252000.00000000
PA
USD
229005.00000000
0.027853023080
Long
DBT
CORP
US
Y
2
2027-05-23
Fixed
7.75000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BW2
267000.00000000
PA
USD
293969.67000000
0.035754433324
Long
DBT
CORP
MX
N
2
2027-06-05
Fixed
7.37500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
561.57000000
0.000068301662
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
130726.24000000
CAD
103901.91000000
USD
2022-02-10
561.57000000
N
N
N
Neuberger Berman CLO Ltd
549300LCOEVXWN75LP18
Neuberger Berman Loan Advisers Clo 43 Ltd
64134AAA0
1374102.00000000
PA
USD
1373582.59000000
0.167063721673
Long
ABS-CBDO
CORP
KY
N
2
2035-07-17
Floating
1.24100000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
000000000
875000.00000000
PA
1069685.85000000
0.130101895891
Long
DBT
CORP
GB
Y
2
2029-03-22
Fixed
3.62500000
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567RAH9
570000.00000000
PA
USD
630876.00000000
0.076731092285
Long
DBT
NUSS
ID
Y
2
2027-03-29
Fixed
4.15000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
1265000.00000000
PA
1471310.38000000
0.178949987870
Long
DBT
CORP
CH
Y
2
2025-07-17
Fixed
1.25000000
N
N
N
N
N
N
Peru LNG Srl
254900F70J1LOALV5K70
Peru LNG Srl
000000000
1053000.00000000
PA
USD
910845.00000000
0.110782676393
Long
DBT
CORP
PE
Y
2
2030-03-22
Fixed
5.37500000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
035198AE0
670000.00000000
PA
USD
641661.68000000
0.078042914271
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAZ9
437000.00000000
PA
USD
448597.80000000
0.054561275418
Long
DBT
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
Republic of Kazakhstan
5493007OEK8EF02UO833
Kazakhstan Government International Bond
000000000
1084000.00000000
PA
USD
1220557.98000000
0.148451909729
Long
DBT
NUSS
KZ
Y
2
2025-07-21
Fixed
5.12500000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
5614000.00000000
PA
4512938.92000000
0.548891910213
Long
DBT
NUSS
AU
Y
2
2035-06-21
Fixed
2.75000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
2061000.00000000
PA
USD
2127982.50000000
0.258818565912
Long
DBT
CORP
ZA
Y
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
1532610.00000000
PA
USD
555586.45000000
0.067573905438
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
549300S1EK2VN6XVJP58
Costa Rica Government International Bond
000000000
1679000.00000000
PA
USD
1693691.25000000
0.205997342752
Long
DBT
NUSS
CR
Y
2
2031-02-19
Fixed
6.12500000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAK9
294000.00000000
PA
USD
274517.21000000
0.033388503246
Long
DBT
CORP
TR
N
2
2026-01-08
Fixed
6.50000000
N
N
N
N
N
N
JAB HOLDINGS BV
529900RRNKUM3INJGF98
JAB Holdings BV
000000000
900000.00000000
PA
1039646.43000000
0.126448313399
Long
DBT
CORP
NL
Y
2
2027-12-20
Fixed
1.00000000
N
N
N
N
N
N
Republic of Paraguay
529900UXKJTJPCU0HK83
Paraguay Government International Bond
000000000
858000.00000000
PA
USD
951307.50000000
0.115703979187
Long
DBT
NUSS
PY
Y
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
ENTEL CHILE SA
529900N4SUIP0URJT330
Empresa Nacional de Telecomunicaciones SA
000000000
1051000.00000000
PA
USD
1032618.01000000
0.125593472917
Long
DBT
CORP
CL
Y
2
2032-09-14
Fixed
3.05000000
N
N
N
N
N
N
Freddie Mac - STACR
549300KB1O80CETXGJ21
Freddie Mac STACR Trust 2019-DNA3
35564TAH3
107823.75000000
PA
USD
108556.84000000
0.013203363114
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
2.15300000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
5853.09000000
0.000711889482
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
1978883.81000000
AUD
1445732.54000000
USD
2022-02-08
5853.09000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BB9
1601000.00000000
PA
USD
1538561.00000000
0.187129429677
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
103857.69000000
PA
USD
104087.53000000
0.012659777626
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
2.20300000
N
N
N
N
N
N
OZLM Ltd
5493002SZMQH8ZTTHX49
OZLM XVIII Ltd
67112GAC2
3000000.00000000
PA
USD
2988015.00000000
0.363421107657
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.67400000
N
N
N
N
N
N
Radnor Re LTD
549300ED4YNDE7SVU538
Radnor Re 2018-1 Ltd
750496AB7
1600000.00000000
PA
USD
1600001.12000000
0.194602162065
Long
ABS-MBS
CORP
BM
N
2
2028-03-25
Floating
2.80200000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
1746000.00000000
PA
USD
1942425.00000000
0.236249900030
Long
DBT
NUSS
DO
Y
2
2027-01-25
Fixed
5.95000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007222WHFWMBOC78
Freddie Mac STACR Trust 2019-DNA1
35563KAH3
4433470.35000000
PA
USD
4486371.85000000
0.545660656686
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Floating
2.75300000
N
N
N
N
N
N
SIERRACOL ENRGY ANDINA
N/A
SierraCol Energy Andina LLC
82653LAA9
400000.00000000
PA
USD
376000.00000000
0.045731476073
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
6.00000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
900000.00000000
PA
1052622.59000000
0.128026555289
Long
DBT
CORP
ES
Y
2
2027-06-23
Fixed
1.12500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
11325.80000000
0.001377514765
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
70984962.00000000
JPY
628584.79000000
USD
2022-02-09
11325.80000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
13510000.00000000
PA
14998548.98000000
1.824217510140
Long
DBT
NUSS
IT
Y
2
2028-03-15
Fixed
0.25000000
N
N
N
N
N
N
TENGIZCHEVROIL FIN CO IN
5493001VEV2XTJIBZH31
Tengizchevroil Finance Co International Ltd
000000000
730000.00000000
PA
USD
728868.50000000
0.088649554171
Long
DBT
CORP
BM
Y
2
2030-08-15
Fixed
3.25000000
N
N
N
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
475000.00000000
PA
USD
471247.50000000
0.057316073858
Long
DBT
NUSS
PK
Y
2
2051-04-08
Fixed
8.87500000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
395650000.00000000
PA
3394857.92000000
0.412903892927
Long
DBT
NUSS
JP
N
2
2041-06-20
Fixed
0.40000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1945000.00000000
PA
USD
1851678.90000000
0.225212790720
Long
DBT
NUSS
UA
Y
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
CSN RESOURCES SA
222100ZEX458NMOXZP08
CSN Resources SA
12644VAD0
677000.00000000
PA
USD
644003.02000000
0.078327682713
Long
DBT
CORP
LU
N
2
2031-06-10
Fixed
4.62500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS2DAS3 CDS USD R F 1.00000 IS2DAS3 CCPSOVEREIGN / Short: SS2DAS3 CDS USD P V 03MEVENT IS2DAT4 CCPSOVEREIGN
000000000
1040000.00000000
OU
Notional Amount
USD
-198456.26000000
-0.02413749389
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF TURKEY
REPUBLIC OF TURKEY
Y
sell protection
2026-12-20
0.00000000
USD
-216626.56000000
USD
1040000.00000000
USD
18170.30000000
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
200000.00000000
PA
USD
135050.00000000
0.016425627243
Long
DBT
CORP
KY
Y
2
2026-03-22
Fixed
6.20000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
8977.55000000
0.001091905885
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
984014.51000000
USD
871547.42000000
EUR
2022-02-10
8977.55000000
N
N
N
VERISURE HOLDING AB
549300VQQCWGISM3N408
Verisure Holding AB
000000000
585000.00000000
PA
663572.65000000
0.080707863740
Long
DBT
CORP
SE
Y
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1020.54000000
-0.00012412446
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
98587.02000000
EUR
111303.96000000
USD
2022-02-10
-1020.54000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1284768.00000000
PA
USD
843129.00000000
0.102546632154
Long
DBT
NUSS
EC
Y
2
2035-07-31
Variable
1.00000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
1222000.00000000
PA
USD
1041877.20000000
0.126719633625
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
MS GOVT US LEX
N/A
MS GOVT US LEX
000000000
750000.00000000
NS
USD
750000.00000000
0.091219699614
Long
STIV
RF
US
N
1
N
N
COLBUN SA
5493003VQJLE2QB8IF36
Colbun SA
000000000
200000.00000000
PA
USD
211000.00000000
0.025663142158
Long
DBT
CORP
CL
Y
2
2027-10-11
Fixed
3.95000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
294000.00000000
PA
USD
304366.44000000
0.037018953639
Long
DBT
CORP
VG
Y
2
2026-11-22
Fixed
4.87500000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
255000.00000000
PA
USD
267752.55000000
0.032565742909
Long
DBT
NUSS
DO
Y
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
EMPRESA GEN ELEC HAINA
549300Y36L5LRW5RH373
Empresa Generadora de Electricidad Haina SA
29249FAA4
596000.00000000
PA
USD
600475.96000000
0.073033648929
Long
DBT
CORP
DO
N
2
2028-11-08
Fixed
5.62500000
N
N
N
N
N
N
WEPA HYGIENEPRODUKTE GMB
529900KQ44OJDIDU6J81
WEPA Hygieneprodukte GmbH
000000000
570000.00000000
PA
614875.18000000
0.074784972293
Long
DBT
CORP
DE
Y
2
2027-12-15
Fixed
2.87500000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
654000.00000000
PA
USD
664323.39000000
0.080799173443
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
DEXIA CREDIT LOCAL
F4G136OIPBYND1F41110
Dexia Credit Local SA
000000000
3000000.00000000
PA
3482032.77000000
0.423506644435
Long
DBT
CORP
FR
Y
2
2024-02-03
Fixed
0.62500000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
942000.00000000
PA
USD
1006451.64000000
0.122410955036
Long
DBT
NUSS
AO
Y
2
2025-11-12
Fixed
9.50000000
N
N
N
N
N
N
RONSHINE CHINA
549300GNBBT32SFSEC47
Ronshine China Holdings Ltd
000000000
295000.00000000
PA
USD
109150.00000000
0.013275506950
Long
DBT
CORP
KY
Y
2
2023-06-09
Fixed
8.10000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AV3
635000.00000000
PA
USD
621191.93000000
0.075553255009
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
2.87500000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AR6
346000.00000000
PA
USD
348525.80000000
0.042389891711
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
3.10000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS20CK0 CDS USD R F 3.00000 IS20CK0 CMBX / Short: IS20CK0 CDS USD P V 01MEVENT IS20CL1 CMBX
000000000
946145.77000000
OU
Notional Amount
USD
-264710.10000000
-0.03219570107
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
-78175.70000000
USD
946145.77000000
USD
-186534.40000000
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299AW4
835000.00000000
PA
USD
1116812.50000000
0.135833734367
Long
DBT
NUSS
PA
N
2
2036-01-26
Fixed
6.70000000
N
N
N
N
N
N
Harley-Davidson Inc
ZDNAWZWXIKMWI51R2A08
Harley-Davidson Inc
412822AD0
693000.00000000
PA
USD
730828.10000000
0.088887893002
Long
DBT
CORP
US
N
2
2025-07-28
Fixed
3.50000000
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-12011.64000000
-0.00146093092
N/A
DFE
JP
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1182748.13000000
USD
134635035.00000000
JPY
2022-02-09
-12011.64000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
876000.00000000
PA
USD
692697.00000000
0.084250149684
Long
DBT
NUSS
GH
Y
2
2049-06-16
Fixed
8.62700000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAF6
880000.00000000
PA
USD
983400.00000000
0.119607270134
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.10000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AA8
1000000.00000000
PA
USD
966250.00000000
0.117521379669
Long
DBT
CORP
GB
N
2
2027-01-30
Variable
1.63900000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
150000.00000000
PA
USD
144187.50000000
0.017536987250
Long
DBT
NUSS
DO
Y
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
400000.00000000
PA
466506.14000000
0.056739399945
Long
DBT
CORP
NL
Y
2
2026-12-29
Fixed
3.25000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
3875000.00000000
PA
4540750.44000000
0.552274521546
Long
DBT
NUSS
AU
Y
2
2030-09-20
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CT1
1418000.00000000
PA
USD
1614814.26000000
0.196403828973
Long
DBT
NUSS
ID
N
2
2050-10-15
Fixed
4.20000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-18568.84000000
-0.00225845867
N/A
DFE
CO
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
489841.91000000
USD
1920057812.33000000
COP
2022-01-21
-18568.84000000
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TBA3
699000.00000000
PA
USD
674367.79000000
0.082020836311
Long
DBT
US
N
2
2031-12-15
Fixed
2.90000000
N
N
N
N
N
N
STILLWATER MINING CO
6354007DPCY4ZN2MRR73
Stillwater Mining Co
86074QAP7
1495000.00000000
PA
USD
1464352.50000000
0.178103726905
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
4.00000000
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-1033.96000000
-0.00012575669
N/A
DFE
GB
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
470974.12000000
USD
347197.54000000
GBP
2022-01-14
-1033.96000000
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
3200000.00000000
PA
USD
1752000.00000000
0.213089218298
Long
DBT
NUSS
SV
Y
2
2050-01-20
Fixed
7.12500000
N
N
N
N
N
N
TOTALENERGIES SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
595000.00000000
PA
671412.22000000
0.081661361367
Long
DBT
CORP
FR
Y
2
2027-10-25
Fixed
1.62500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
502000.00000000
PA
USD
582304.80000000
0.070823558586
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAR4
1630000.00000000
PA
USD
1570765.80000000
0.191046379253
Long
DBT
NUSS
NG
N
2
2028-09-28
Fixed
6.12500000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
3284000.00000000
PA
USD
3481072.84000000
0.423389891733
Long
DBT
NUSS
DO
Y
2
2048-02-15
Fixed
6.50000000
N
N
N
N
N
N
ZORLU YENILENEBILIR
7890003XL281DFSLEQ74
Zorlu Yenilenebilir Enerji AS
98980HAA8
1211000.00000000
PA
USD
996798.32000000
0.121236857768
Long
DBT
CORP
TR
N
2
2026-06-01
Fixed
9.00000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BK9
2580000.00000000
PA
USD
2670325.80000000
0.324781756464
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-225.41000000
-0.00002741577
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
455751.74000000
USD
399814.67000000
EUR
2022-02-10
-225.41000000
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
14568.40000000
0.001771900095
N/A
DFE
US
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
70764547.40000000
MXN
3465571.66000000
USD
2022-01-13
14568.40000000
N
N
N
DNB Boligkreditt AS
5967007LIEEXZX659K67
DNB Boligkreditt AS
000000000
433000.00000000
PA
505509.53000000
0.061483236638
Long
DBT
CORP
NO
Y
2
2025-06-19
Fixed
0.62500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1012.53000000
0.000123150243
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
120786.86000000
EUR
138630.28000000
USD
2022-02-10
1012.53000000
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
565900000.00000000
PA
4821686.43000000
0.586443717038
Long
DBT
NUSS
JP
N
2
2050-09-20
Fixed
0.60000000
N
N
N
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
1144000.00000000
PA
USD
1152580.00000000
0.140184001841
Long
DBT
NUSS
PK
Y
2
2027-12-05
Fixed
6.87500000
N
N
N
N
N
N
BRASKEM IDESA SAPI
YH0V7ZHY352ITDGEYB83
Braskem Idesa SAPI
10554NAB4
726000.00000000
PA
USD
728729.76000000
0.088632679742
Long
DBT
CORP
MX
N
2
2032-02-20
Fixed
6.99000000
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
2149428.00000000
PA
USD
1781338.46000000
0.216657545643
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
5.00000000
N
N
N
N
N
N
Minejesa Capital BV
549300KS7ERCP10BKC35
Minejesa Capital BV
000000000
360000.00000000
PA
USD
376200.00000000
0.045755801326
Long
DBT
CORP
NL
Y
2
2037-08-10
Fixed
5.62500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR22
000000000
149.00000000
NC
USD
224417.88000000
0.027295108802
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note
TYH2 COMDTY
2022-03-22
19215425.87000000
USD
224417.88000000
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AH3
1520000.00000000
PA
USD
1487654.40000000
0.180937849997
Long
DBT
CORP
MX
N
2
2031-02-09
Fixed
3.34800000
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
19992259.00000000
PA
USD
6397722.80000000
0.778131136041
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.12500000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
000000000
665000.00000000
PA
USD
815855.25000000
0.099229427778
Long
DBT
CORP
AE
Y
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAE0
2126000.00000000
PA
USD
1956005.04000000
0.237901589590
Long
DBT
NUSS
EG
N
2
2033-09-30
Fixed
7.30000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
1530000.00000000
PA
USD
1600395.30000000
0.194650104706
Long
DBT
NUSS
DO
Y
2
2024-04-18
Fixed
5.87500000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
709000.00000000
PA
USD
737385.52000000
0.089685447512
Long
DBT
NUSS
OM
Y
2
2025-02-01
Fixed
4.87500000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
208000.00000000
PA
USD
209300.00000000
0.025456377505
Long
DBT
CORP
VG
Y
2
2024-05-29
Fixed
3.75000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
29646AAB2
286000.00000000
PA
USD
295295.00000000
0.035915628263
Long
DBT
CORP
ZA
N
2
2025-02-11
Fixed
7.12500000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
205000.00000000
PA
USD
52787.50000000
0.006420346524
Long
DBT
CORP
KY
Y
2
2025-01-15
Fixed
10.50000000
N
Y
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
4005000.00000000
PA
2739064.39000000
0.333142174506
Long
DBT
NUSS
AU
Y
2
2031-11-21
Fixed
1.00000000
N
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
692000.00000000
PA
USD
435966.92000000
0.053025028645
Long
DBT
NUSS
SV
Y
2
2025-01-30
Fixed
5.87500000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
388702.00000000
PA
580928.95000000
0.070656219088
Long
DBT
NUSS
GB
Y
2
2053-07-31
Fixed
1.50000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
293984000.00000000
PA
3864294.95000000
0.469999766079
Long
DBT
NUSS
RU
N
2
2026-10-07
Fixed
7.95000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2A1
2174000.00000000
PA
USD
2135868.04000000
0.259777654699
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
Enel Chile SA
549300YM5CWCAUVOPB53
Enel Chile SA
29278DAA3
760000.00000000
PA
USD
837900.00000000
0.101910648409
Long
DBT
CORP
CL
N
2
2028-06-12
Fixed
4.87500000
N
N
N
N
N
N
ABU DHABI NATIONAL ENERG
213800UNJSVQFNUYYW03
Abu Dhabi National Energy Co PJSC
00388WAH4
1200000.00000000
PA
USD
1365782.40000000
0.166115013688
Long
DBT
CORP
AE
N
2
2049-10-03
Fixed
4.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
7928.70000000
0.000964338176
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
959546.94000000
USD
849151.70000000
EUR
2022-02-10
7928.70000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
11840.71000000
0.001440141345
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1982911.20000000
AUD
1454650.57000000
USD
2022-02-08
11840.71000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) MAR22
000000000
6.00000000
NC
-28185.92000000
-0.00342814820
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
TSE Japanese 10 Year Bond Futures
JBH2 COMDTY
2022-03-14
912782226.00000000
JPY
-28185.92000000
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
600000.00000000
PA
732337.60000000
0.089071487850
Long
DBT
CORP
NL
Y
2
2027-03-30
Fixed
1.87500000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBE0
1538000.00000000
PA
USD
1910645.10000000
0.232384629455
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAF8
459000.00000000
PA
USD
481293.06000000
0.058537877812
Long
DBT
CORP
US
N
2
2024-01-30
Fixed
4.37500000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087H72
7425000.00000000
PA
6318367.13000000
0.768479402201
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-15.24000000
-0.00000185358
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
37445.63000000
CNY
5839.47000000
USD
2022-02-17
-15.24000000
N
N
N
AUTOPISTAS DEL SOL SA
N/A
Autopistas del Sol SA/Costa Rica
000000000
832033.75000000
PA
USD
850754.51000000
0.103474094463
Long
DBT
CORP
CR
Y
2
2030-12-30
Fixed
7.37500000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
2803000.00000000
PA
3628997.98000000
0.441381474181
Long
DBT
NUSS
BE
Y
2
2037-06-22
Fixed
1.45000000
N
N
N
N
N
N
PANAMA BONOS DEL
549300SHS4T08CL0LP14
Panama Bonos del Tesoro
000000000
1759000.00000000
PA
USD
1767795.00000000
0.215010305172
Long
DBT
NUSS
PA
N
2
2031-06-30
Fixed
3.36200000
N
N
N
N
N
N
INVESCO GOVT AND AGCY LEX
N/A
INVESCO GOVT AND AGCY LEX
000000000
500000.00000000
NS
USD
500000.00000000
0.060813133076
Long
STIV
RF
US
N
1
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
8710888.00000000
PA
USD
3048897.91000000
0.370826068672
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS24Y73 IRS EUR R V 06MEURIB IS24Y84 CCPVANILLA / Short: BS24Y73 IRS EUR P F .12200 IS24Y73 CCPVANILLA
000000000
3800000.00000000
OU
Notional Amount
437087.24000000
0.053161288984
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-09-30
0.00000000
EUR
0.00000000
EUR
3800000.00000000
EUR
437087.13000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
17746.38000000
0.002158425937
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4183215.16000000
USD
3687176.70000000
EUR
2022-02-10
17746.38000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS23JS6 IRS CNY R F 2.36000 SS23JS6 NDRSLV513153 LCH / Short: SS23JS6 IRS CNY P V 03MLIBOR IS23JT7 NDRSLV513153 LCH
000000000
50360000.00000000
OU
Notional Amount
14222.58000000
0.001729839300
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-01
0.00000000
CNY
0.00000000
CNY
50360000.00000000
CNY
14222.58000000
N
N
N
CENTRAL CHN REAL ESTATE
549300JDML9PYG0CIJ22
Central China Real Estate Ltd
000000000
335000.00000000
PA
USD
207700.00000000
0.025261775479
Long
DBT
CORP
KY
Y
2
2024-08-13
Fixed
7.25000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAC6
802000.00000000
PA
USD
885408.00000000
0.107688869061
Long
DBT
CORP
NL
N
2
2028-01-17
Fixed
6.95000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
9658.00000000
0.001174666478
N/A
DFE
KR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4773079.23000000
USD
5687601216.00000000
KRW
2022-01-20
9658.00000000
N
N
N
Transnet SOC Ltd
378900B07CD6F01EA796
Transnet SOC Ltd
000000000
679000.00000000
PA
USD
675360.56000000
0.082141583219
Long
DBT
CORP
ZA
Y
2
2022-07-26
Fixed
4.00000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
1123000.00000000
PA
USD
1141259.98000000
0.138807190076
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
57518.69000000
0.006995783498
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3751673.75000000
AUD
2787319.14000000
USD
2022-02-08
57518.69000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
53739.24000000
0.006536103107
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
13548586.29000000
CAD
10764025.47000000
USD
2022-02-10
53739.24000000
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
000000000
305000.00000000
PA
507218.68000000
0.061691114171
Long
DBT
CORP
GB
Y
2
2034-11-24
Fixed
6.00000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
44551000000.00000000
PA
3384031.76000000
0.411587147509
Long
DBT
NUSS
ID
N
2
2026-02-15
Fixed
7.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: IS2CVN2 IRS CNY R F 2.46500 IS2CVN2 NDRSLV516040 LCH / Short: IS2CVN2 IRS CNY P V 03MREPO IS2CVO3 NDRSLV516040 LCH
000000000
37030000.00000000
OU
Notional Amount
26237.97000000
0.003191226322
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-12-01
0.00000000
CNY
0.00000000
CNY
37030000.00000000
CNY
26237.97000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DZ5
3741000.00000000
PA
USD
3362223.75000000
0.408934720681
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
68205LAS2
1129000.00000000
PA
USD
1233240.57000000
0.149994445796
Long
DBT
NUSS
OM
N
2
2031-01-25
Fixed
6.25000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
2006000.00000000
PA
USD
207661.12000000
0.025257046650
Long
DBT
NUSS
LB
Y
2
2028-11-03
None
0.00000000
Y
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CB4
2760000.00000000
PA
USD
2452287.60000000
0.298262584319
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS2B5M6 IRS CNY R F 2.52750 IS2B5M6 CCPNDF / Short: SS2B5M6 IRS CNY P V 00MCNRR IS2B5N7 CCPNDF
000000000
38340000.00000000
OU
Notional Amount
44414.92000000
0.005402020881
N/A
DIR
US
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
N/A
N/A
Y
2026-09-15
0.00000000
CNY
0.00000000
CNY
38340000.00000000
CNY
44414.92000000
N
N
N
CARNIVAL PLC
4DR1VPDQMHD3N3QW8W95
Carnival PLC
000000000
798000.00000000
PA
681392.02000000
0.082875167178
Long
DBT
CORP
GB
N
2
2029-10-28
Fixed
1.00000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
000000000
300000.00000000
PA
392009.10000000
0.047678603130
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.62500000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
200000.00000000
PA
USD
260500.00000000
0.031683642332
Long
DBT
NUSS
RU
Y
2
2042-04-04
Fixed
5.62500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
125197.65000000
0.015227322700
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
9147090434.88000000
COP
2370326.62000000
USD
2022-01-21
125197.65000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
6653000.00000000
PA
USD
685791.24000000
0.083410227881
Long
DBT
NUSS
LB
Y
2
2023-01-27
None
0.00000000
Y
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AF4
978000.00000000
PA
USD
984818.22000000
0.119779762937
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
STONEGATE PUB FIN
254900L5266ML3505282
Stonegate Pub Co Financing 2019 PLC
000000000
340000.00000000
PA
466419.78000000
0.056728896300
Long
DBT
CORP
GB
Y
2
2025-07-31
Fixed
8.25000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
7517.60000000
0.000914337618
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
1895314.13000000
CAD
1505781.43000000
USD
2022-02-10
7517.60000000
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DU3
1101000.00000000
PA
USD
1096596.00000000
0.133374876957
Long
DBT
NUSS
PE
N
2
2034-01-15
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
663000.00000000
PA
USD
374601.63000000
0.045561397551
Long
DBT
NUSS
SV
Y
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAU5
497000.00000000
PA
USD
499876.48000000
0.060798109799
Long
DBT
CORP
BM
N
2
2028-01-26
Fixed
2.85000000
N
N
N
N
N
N
TFDXX LEX BLACKROCK FED FUND
N/A
TFDXX LEX BLACKROCK FED FUND
000000000
750000.00000000
NS
USD
750000.00000000
0.091219699614
Long
STIV
RF
US
N
1
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
1100000.00000000
PA
1566759.79000000
0.190559143215
Long
DBT
CORP
NL
Y
2
2026-02-18
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-24580.86000000
-0.00298967822
N/A
DFE
CO
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
584993.38000000
USD
2283229176.54000000
COP
2022-01-21
-24580.86000000
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370RAA5
684000.00000000
PA
USD
893111.15000000
0.108625774433
Long
DBT
CORP
ID
Y
2
2044-05-30
Fixed
6.45000000
N
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
1785000.00000000
PA
USD
1428017.85000000
0.173684479094
Long
DBT
NUSS
SV
Y
2
2023-01-24
Fixed
7.75000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
2198000.00000000
PA
2347954.14000000
0.285572895145
Long
DBT
NUSS
IT
Y
2
2045-04-30
Fixed
1.50000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
2419000.00000000
PA
2636114.00000000
0.320620702971
Long
DBT
NUSS
DE
Y
2
2050-08-15
None
0.00000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
3596000.00000000
PA
USD
3784790.00000000
0.460329875870
Long
DBT
NUSS
CI
Y
2
2033-06-15
Fixed
6.12500000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAL5
571000.00000000
PA
USD
477295.47000000
0.058051665867
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
324995.00000000
PA
USD
342973.72000000
0.041714612951
Long
DBT
CORP
IL
Y
2
2025-06-30
Fixed
6.12500000
N
N
N
N
N
N
Dufry One BV
7245003K5MN9U7XW0808
Dufry One BV
000000000
227000.00000000
PA
253896.05000000
0.030880428552
Long
DBT
CORP
NL
Y
2
2024-10-15
Fixed
2.50000000
N
N
N
N
N
N
CEMIG GERACAO E TRANSM
529900ZT0AVI5W1VFB58
Cemig Geracao e Transmissao SA
000000000
837000.00000000
PA
USD
937306.08000000
0.114001038752
Long
DBT
CORP
BR
Y
2
2024-12-05
Fixed
9.25000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
5600000.00000000
PA
USD
7084224.00000000
0.861627713706
Long
DBT
NUSS
RU
Y
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
401494AU3
336000.00000000
PA
USD
335580.00000000
0.040815342395
Long
DBT
NUSS
GT
N
2
2041-10-07
Fixed
4.65000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAT0
910000.00000000
PA
USD
850850.00000000
0.103485708555
Long
DBT
NUSS
NG
N
2
2051-09-28
Fixed
8.25000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
000000000
1000000.00000000
PA
1131759.70000000
0.137651706492
Long
DBT
CORP
ES
Y
2
2026-11-18
Fixed
0.37500000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 78 CLO Ltd
26253LAG7
272928.00000000
PA
USD
273079.75000000
0.033213670354
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
3.12200000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
1549000.00000000
PA
USD
1703125.50000000
0.207144795353
Long
DBT
CORP
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
161.13000000
0.000019597640
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
748694.12000000
MXN
36673.00000000
USD
2022-01-13
161.13000000
N
N
N
BELLEMEADE RE LT
254900KXN235YISGF415
Bellemeade Re 2019-4 Ltd
07876LAC3
228716.00000000
PA
USD
228196.95000000
0.027754742975
Long
ABS-MBS
CORP
BM
N
2
2029-10-25
Floating
2.60200000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
162000.00000000
PA
USD
165756.78000000
0.020160378240
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
3909.73000000
0.000475525861
N/A
DFE
CA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1067046.70000000
USD
1354767.30000000
CAD
2022-02-10
3909.73000000
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299AD6
2265000.00000000
PA
USD
3047557.50000000
0.370663039609
Long
DBT
NUSS
PA
N
2
2027-09-30
Fixed
8.87500000
N
N
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAA8
679000.00000000
PA
USD
661127.51000000
0.080410470491
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
PMT Credit Risk Transfer Trust
N/A
PMT Credit Risk Transfer Trust 2019-3R
69349MAA4
34096.00000000
PA
USD
34105.88000000
0.004148170838
Long
ABS-MBS
CORP
US
N
2
2022-10-27
Floating
2.80200000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
3232778.00000000
PA
USD
2121510.56000000
0.258031408015
Long
DBT
NUSS
EC
N
2
2035-07-31
Variable
1.00000000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
935000.00000000
PA
1116018.80000000
0.135737199599
Long
DBT
CORP
IT
Y
2
2029-07-13
Fixed
3.37500000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAE8
897000.00000000
PA
USD
850813.47000000
0.103481265548
Long
DBT
CORP
CO
N
2
2029-07-18
Fixed
4.25000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
3225000.00000000
PA
USD
3475454.92000000
0.422706605100
Long
DBT
NUSS
ID
Y
2
2025-01-15
Fixed
4.12500000
N
N
N
N
N
N
DEVELOPMENT BK OF JAPAN
5493001HGBABMWFZUI25
Development Bank of Japan Inc
000000000
828000.00000000
PA
945122.99000000
0.114951780328
Long
DBT
NUSS
JP
Y
2
2024-10-15
Fixed
0.01000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754AAB9
909180.00000000
PA
USD
910317.75000000
0.110718548944
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
1.70000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
43233.10000000
0.005258280527
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
2459989.97000000
EUR
2846007.17000000
USD
2022-02-10
43233.10000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS22DM5 IRS CNY R F 1.78000 SS22DM5 NDRSLV512875 LCH / Short: SS22DM5 IRS CNY P V 03MLIBOR IS22DN6 NDRSLV512875 LCH
000000000
40620000.00000000
OU
Notional Amount
-104603.09000000
-0.01272248326
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-06
0.00000000
CNY
0.00000000
CNY
40620000.00000000
CNY
-104603.09000000
N
N
N
GRUPO ENERGIA BOGOTA
529900LG618OWYVHI655
Grupo Energia Bogota SA ESP
40053XAA7
501000.00000000
PA
USD
539827.50000000
0.065657203191
Long
DBT
CORP
CO
N
2
2030-05-15
Fixed
4.87500000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
460000.00000000
PA
537003.67000000
0.065313751292
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
632000.00000000
PA
USD
578305.28000000
0.070337111902
Long
DBT
NUSS
BH
Y
2
2051-01-25
Fixed
6.25000000
N
N
N
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
1521000.00000000
PA
USD
1507691.25000000
0.183374857248
Long
DBT
NUSS
PK
Y
2
2031-04-08
Fixed
7.37500000
N
N
N
N
N
N
CENTRAL CHN REAL ESTATE
549300JDML9PYG0CIJ22
Central China Real Estate Ltd
000000000
203000.00000000
PA
USD
126367.50000000
0.015369607188
Long
DBT
CORP
KY
Y
2
2024-05-24
Fixed
7.75000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
5000000.00000000
PA
5514413.97000000
0.670697581189
Long
DBT
NUSS
DE
Y
2
2050-08-15
None
0.00000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF Finance GmbH
000000000
800000.00000000
PA
909797.81000000
0.110655310583
Long
DBT
CORP
DE
Y
2
2027-05-06
Fixed
2.00000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAZ6
1100000.00000000
PA
1390245.79000000
0.169090404471
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
RONSHINE CHINA
549300GNBBT32SFSEC47
Ronshine China Holdings Ltd
000000000
423000.00000000
PA
USD
160740.00000000
0.019550206021
Long
DBT
CORP
KY
Y
2
2025-01-25
Fixed
7.10000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-472.10000000
-0.00005741976
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
105252.68000000
EUR
119446.88000000
USD
2022-02-10
-472.10000000
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-C
64035GAC3
548158.00000000
PA
USD
540729.58000000
0.065766919813
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.53000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
625000.00000000
PA
980242.57000000
0.119223243712
Long
DBT
CORP
NL
Y
2
2029-05-23
Fixed
4.62500000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CG0
364000.00000000
PA
USD
409568.66000000
0.049814306848
Long
DBT
NUSS
PH
N
2
2029-01-14
Fixed
3.75000000
N
N
N
N
N
N
KLABIN AUSTRIA GMBH
984500578YEA8DD41B09
Klabin Austria GmbH
49836AAC8
535000.00000000
PA
USD
495549.10000000
0.060271786728
Long
DBT
CORP
AT
N
2
2031-01-12
Fixed
3.20000000
N
N
N
N
N
N
CANADA HOUSING TRUST
549300M44WH89JG50067
Canada Housing Trust No 1
13509PHD8
3685000.00000000
PA
2991755.64000000
0.363876067733
Long
DBT
NUSS
CA
N
2
2029-09-15
Fixed
2.10000000
N
N
N
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
Banco Nacional de Panama
059626AC5
852000.00000000
PA
USD
798758.52000000
0.097150016344
Long
DBT
CORP
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR22
000000000
296.00000000
NC
USD
-381.54000000
-0.00004640528
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVH2 COMDTY
2022-03-31
35809444.19000000
USD
-381.54000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
400000.00000000
PA
501693.06000000
0.061019053642
Long
DBT
CORP
US
Y
2
2025-03-27
Fixed
3.37500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
3018000.00000000
PA
USD
3465267.60000000
0.421467559406
Long
DBT
NUSS
QA
Y
2
2028-04-23
Fixed
4.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
10055.80000000
0.001223049407
N/A
DFE
KR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
5420188.91000000
USD
6457613065.00000000
KRW
2022-01-20
10055.80000000
N
N
N
Lamar Funding Ltd
549300TSXHL7X0727895
Lamar Funding Ltd
000000000
1772000.00000000
PA
USD
1762732.44000000
0.214394564902
Long
DBT
CORP
KY
Y
2
2025-05-07
Fixed
3.95800000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320AN2
642000.00000000
PA
USD
668561.58000000
0.081314648668
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.20000000
N
N
N
N
N
N
RKPF OVERSEAS 2019 A LTD
254900P8BXRCW5458103
RKPF Overseas 2019 A Ltd
000000000
202000.00000000
PA
USD
194378.71000000
0.023641556716
Long
DBT
CORP
VG
Y
2
2025-09-04
Fixed
6.00000000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
000000000
924000.00000000
PA
1034382.85000000
0.125808123817
Long
DBT
CORP
US
N
2
2029-05-04
Fixed
0.45000000
N
N
N
N
N
N
LIMA METRO LINE 2 FIN LT
5493009BVQNQT1UKQ352
Lima Metro Line 2 Finance Ltd
000000000
1578554.53000000
PA
USD
1814327.43000000
0.220669870888
Long
DBT
CORP
KY
Y
2
2034-07-05
Fixed
5.87500000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBH1
181000.00000000
PA
USD
212332.04000000
0.025825153209
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR Trust 2019-DNA4
35565AAH3
98074.58000000
PA
USD
98365.13000000
0.011963783481
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Floating
2.05300000
N
N
N
N
N
N
CHILE ELEC PEC SPA
N/A
Chile Electricity PEC SpA
168831AA3
957000.00000000
PA
USD
779476.50000000
0.094804816248
Long
DBT
CORP
CL
N
2
2028-01-25
None
0.00000000
N
N
N
N
N
Colfax Corp
635400OP2DYYYMOIYL17
Colfax Corp
000000000
770000.00000000
PA
881887.04000000
0.107260627843
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0KE8
1218869.34000000
PA
USD
1261647.63000000
0.153449490436
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Floating
5.25300000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
000000000
1414000.00000000
PA
1738625.53000000
0.211462531451
Long
DBT
CORP
GB
Y
2
2023-09-29
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CP0
1404000.00000000
PA
USD
1425970.90000000
0.173435516208
Long
DBT
NUSS
PH
N
2
2046-07-06
Fixed
3.20000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
6313.76000000
0.000767919054
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
284651.18000000
EUR
330629.29000000
USD
2022-02-10
6313.76000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
639057AA6
1300000.00000000
PA
USD
1293747.00000000
0.157353616955
Long
DBT
CORP
GB
N
2
2027-09-30
Variable
2.54400000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
888000.00000000
PA
USD
954830.88000000
0.116132514741
Long
DBT
CORP
ZA
Y
2
2028-08-10
Fixed
8.45000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2020-1 Ltd
43731WAD7
1300000.00000000
PA
USD
1331582.98000000
0.161955465929
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
5.35200000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
275000.00000000
PA
USD
70193.75000000
0.008537403719
Long
DBT
CORP
KY
Y
2
2026-06-01
Fixed
11.65000000
N
Y
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
666000.00000000
PA
USD
647168.85000000
0.078712730795
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
BANK HAPOALIM
B6ARUI4946ST4S7WOU88
Bank Hapoalim BM
000000000
957000.00000000
PA
USD
947430.00000000
0.115232373340
Long
DBT
CORP
IL
Y
2
2032-01-21
Fixed
3.25500000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
605000.00000000
PA
USD
614831.25000000
0.074779629251
Long
DBT
NUSS
DO
Y
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
203000.00000000
PA
USD
163348.38000000
0.019867453541
Long
DBT
CORP
KY
Y
2
2026-02-04
Fixed
6.00000000
N
N
N
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC
000000000
695000.00000000
PA
1316206.38000000
0.160085267485
Long
DBT
CORP
GB
Y
2
2028-11-20
Fixed
8.37500000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
471000.00000000
PA
USD
554659.02000000
0.067461105590
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
CHEPLAPHARM ARZNEIMITTEL
529900ONXKBELT7EW052
Cheplapharm Arzneimittel GmbH
000000000
153000.00000000
PA
177064.58000000
0.021535703733
Long
DBT
CORP
DE
N
2
2027-02-11
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
1385000.00000000
PA
1566017.59000000
0.190468872200
Long
DBT
CORP
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
GRIFOLS ESCROW ISSUER
959800HLB3PGTGSLVV62
Grifols Escrow Issuer SA
000000000
390000.00000000
PA
445512.07000000
0.054185969599
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
3.87500000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCS7
288000.00000000
PA
USD
291600.00000000
0.035466219210
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4204.01000000
0.000511318039
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
194762.61000000
EUR
226105.56000000
USD
2022-02-10
4204.01000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
2169604.00000000
PA
USD
1269218.34000000
0.154370287626
Long
DBT
NUSS
EC
N
2
2040-07-31
Variable
0.50000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
1357000.00000000
PA
USD
1786327.66000000
0.217264363410
Long
DBT
NUSS
SA
Y
2
2050-01-16
Fixed
5.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
897328.07000000
0.109138662667
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
10057890147.00000000
JPY
88357022.38000000
USD
2022-02-09
897328.07000000
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
800000.00000000
PA
USD
863697.60000000
0.105048314172
Long
DBT
NUSS
RU
Y
2
2027-06-23
Fixed
4.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9
46639EAR2
1500000.00000000
PA
USD
1191671.10000000
0.144938506374
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
4.36300000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAA3
555000.00000000
PA
USD
560550.00000000
0.068177603491
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
000000000
302000.00000000
PA
USD
328802.50000000
0.039991020376
Long
DBT
CORP
AE
Y
2
2049-09-30
Fixed
4.70000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
1187000.00000000
PA
USD
1286594.05000000
0.156483630355
Long
DBT
NUSS
BH
Y
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TC2
5485000.00000000
PA
USD
5547563.28000000
0.674729407990
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
2991000.00000000
PA
USD
2864492.66000000
0.348397546656
Long
DBT
NUSS
AO
Y
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
711514.00000000
PA
USD
400226.63000000
0.048678070621
Long
DBT
NUSS
EC
N
2
2030-07-31
None
0.00000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
3381000.00000000
PA
USD
3061732.17000000
0.372387051795
Long
DBT
NUSS
BH
Y
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XYX6
2112806.10000000
PA
USD
2136669.61000000
0.259875146665
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
2.35300000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
000000000
698000.00000000
PA
USD
683146.56000000
0.083088565327
Long
DBT
CORP
MX
Y
2
2031-02-09
Fixed
3.34800000
N
N
N
N
N
N
CK HUTCHISON GROUP
254900OM17Q9YNDIUG82
CK Hutchison Group Telecom Finance SA
000000000
1035000.00000000
PA
1191323.06000000
0.144896175568
Long
DBT
CORP
LU
Y
2
2026-04-17
Fixed
0.75000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR22
000000000
-133.00000000
NC
176311.42000000
0.021444099694
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
CME 1 Year Mid-Curve 3 Month Eurodollar Option
OEH2 COMDTY
2022-03-08
-17875782.96000000
EUR
176311.42000000
N
N
N
NEXA RESOURCES SA
549300QRMRHM7GAU7L47
Nexa Resources SA
000000000
2002000.00000000
PA
USD
2202220.02000000
0.267847798278
Long
DBT
CORP
LU
Y
2
2028-01-18
Fixed
6.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
000000000
1145000.00000000
PA
1323771.94000000
0.161005438299
Long
DBT
CORP
US
N
2
2027-11-18
Fixed
0.75000000
N
N
N
N
N
N
BLOCK INC
549300OHIIUWSTIZME52
Block Inc
852234AL7
914000.00000000
PA
USD
915087.67000000
0.111298696504
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
2.75000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
1060000.00000000
PA
USD
1159375.00000000
0.141010452320
Long
DBT
CORP
FR
Y
2
2023-12-18
Fixed
7.87500000
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER Group SA
000000000
900000.00000000
PA
888371.25000000
0.108049278094
Long
DBT
CORP
LU
Y
2
2025-08-05
Fixed
3.25000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IS2DDJ5 ALLIANCE SWAPTION 1.555 PUT USD 2022012
000000000
-4426000.00000000
NC
USD
-38741.66000000
-0.00471200345
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
4426000.00000000
OU
Notional Amount
N/A
-38741.66000000
0.00000000
DIR
US
N/A
N/A
2032-01-26
0.00000000
N/A
0.00000000
N/A
4426000.00000000
USD
1.00000000
1.55500000
USD
2022-01-24
XXXX
1313.64000000
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-2R
69345WAA6
349769.12000000
PA
USD
346594.51000000
0.042154996120
Long
ABS-MBS
CORP
US
N
2
2023-05-27
Floating
2.85200000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3712.54000000
0.000451542378
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
588521.52000000
USD
519802.81000000
EUR
2022-02-10
3712.54000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
320000.00000000
PA
USD
322937.60000000
0.039277694488
Long
DBT
NUSS
UA
Y
2
2028-11-01
Fixed
9.75000000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
1000000.00000000
PA
1175500.85000000
0.142971779244
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.37500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
2105000.00000000
PA
USD
1848017.39000000
0.224767454930
Long
DBT
NUSS
GH
Y
2
2027-03-26
Fixed
7.87500000
N
N
N
N
N
N
Elmwood CLO IX Ltd
N/A
Elmwood CLO IX Ltd
29003UAA7
563280.00000000
PA
USD
562959.49000000
0.068470660763
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.26900000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: IS20CQ6 CDS USD R F 3.00000 IS20CQ6 CMBX / Short: IS20CQ6 CDS USD P V 01MEVENT IS20CR7 CMBX
000000000
946145.77000000
OU
Notional Amount
USD
-264710.10000000
-0.03219570107
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-78550.69000000
USD
946145.77000000
USD
-186159.41000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3104.91000000
0.000377638610
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
431468.51000000
USD
381424.34000000
EUR
2022-02-10
3104.91000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS23SU1 IRS CNY R F 2.56750 SS23SU1 NDRSLV513252 LCH / Short: SS23SU1 IRS CNY P V 03MLIBOR IS23SV2 NDRSLV513252 LCH
000000000
79220000.00000000
OU
Notional Amount
109991.30000000
0.013377831128
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-20
0.00000000
CNY
0.00000000
CNY
79220000.00000000
CNY
109991.30000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
2151000.00000000
PA
USD
2911008.53000000
0.354055098241
Long
DBT
NUSS
QA
Y
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
LIGHT SERVICOS ENERGIA
N/A
Light Servicos de Eletricidade SA/Light Energia SA
000000000
200000.00000000
PA
USD
199702.00000000
0.024289008603
Long
DBT
CORP
BR
Y
2
2026-06-18
Fixed
4.37500000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAD5
977000.00000000
PA
USD
1005692.54000000
0.122318628537
Long
DBT
CORP
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
5380000.00000000
PA
USD
5209023.60000000
0.633554090767
Long
DBT
NUSS
UA
Y
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
413000.00000000
PA
USD
406805.00000000
0.049478173202
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2CAA2 IRS NZD R F 2.58000 IS2CAA2 CCPVANILLA / Short: SS2CAA2 IRS NZD P V 03MNZDBB IS2CAB3 CCPVANILLA
000000000
2933000.00000000
OU
Notional Amount
11311.23000000
0.001375742670
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-01
0.00000000
NZD
0.00000000
NZD
2933000.00000000
NZD
11311.23000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
461000.00000000
PA
USD
47077.32000000
0.005725838652
Long
DBT
NUSS
LB
Y
2
2025-02-26
None
0.00000000
Y
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
1323000.00000000
PA
USD
800428.23000000
0.097353096937
Long
DBT
NUSS
SV
Y
2
2027-01-18
Fixed
6.37500000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
439000.00000000
PA
USD
446067.90000000
0.054253573127
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
SCHAEFFLER AG
549300Q7E782X7GC1P43
Schaeffler AG
000000000
700000.00000000
PA
844766.72000000
0.102745821923
Long
DBT
CORP
DE
Y
2
2025-10-12
Fixed
2.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: IS1SYS7 CDS USD R F 3.00000 IS1SYS7 CMBX / Short: IS1SYS7 CDS USD P V 01MEVENT IS1SYT8 CMBX
000000000
4051342.24000000
OU
Notional Amount
USD
-1133473.55000000
-0.13786015566
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-410779.28000000
USD
4051342.24000000
USD
-722694.27000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
1050000.00000000
PA
USD
1371574.62000000
0.166819499779
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
19898.18000000
0.002420141336
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
83024908.04000000
ZAR
5214641.09000000
USD
2022-01-25
19898.18000000
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
LONG GILT FUTURE MAR22
000000000
10.00000000
NC
-7319.73000000
-0.00089027142
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
Long
Long Gilt Future
G H2 COMDTY
2022-03-29
1254407.80000000
GBP
-7319.73000000
N
N
N
SINOPEC GRP DEV 2018
549300C6OZZ8LTVR8209
Sinopec Group Overseas Development 2018 Ltd
000000000
1903000.00000000
PA
USD
1942906.50000000
0.236308463078
Long
DBT
CORP
VG
Y
2
2030-05-13
Fixed
2.70000000
N
N
N
N
N
N
MDC Holdings Inc
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AQ1
771000.00000000
PA
USD
975341.21000000
0.118627109596
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
TRANSJAMAICAN HIGHWAY
254900AWJ3QIGYQ04W45
TransJamaican Highway Ltd
893727AA5
758009.99000000
PA
USD
755735.96000000
0.091917343011
Long
DBT
CORP
JM
N
2
2036-10-10
Fixed
5.75000000
N
N
N
N
N
N
STATE OIL CO OF THE AZER
2549002HARR1VE257O76
State Oil Co of the Azerbaijan Republic
000000000
701000.00000000
PA
USD
844116.16000000
0.102666696739
Long
DBT
CORP
AZ
Y
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
2333000.00000000
PA
USD
1169159.62000000
0.142200519116
Long
DBT
NUSS
LK
Y
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAY1
401000.00000000
PA
USD
420093.04000000
0.051094347891
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
3.35000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
2228000.00000000
PA
USD
1977350.00000000
0.240497697376
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Republic of Gabon
N/A
Gabon Government International Bond
000000000
3395000.00000000
PA
USD
3522040.90000000
0.428372683902
Long
DBT
NUSS
GA
Y
2
2025-06-16
Fixed
6.95000000
N
N
N
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
000000000
955000.00000000
PA
1128452.81000000
0.137249501809
Long
DBT
CORP
AU
Y
2
2029-10-03
Fixed
1.93600000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
800000.00000000
PA
1129393.34000000
0.137363894961
Long
DBT
CORP
DE
Y
2
2024-02-12
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
67066.58000000
0.008157057709
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
6608131.45000000
NZD
4592235.05000000
USD
2022-01-20
67066.58000000
N
N
N
KONDOR FINANCE PLC (NAK)
213800PUC1T9GI6EIO63
NAK Naftogaz Ukraine via Kondor Finance PLC
50050MAB1
505000.00000000
PA
USD
439865.48000000
0.053499195941
Long
DBT
CORP
GB
N
2
2026-11-08
Fixed
7.62500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
650000.00000000
PA
USD
530575.50000000
0.064531916976
Long
DBT
NUSS
GH
Y
2
2032-03-26
Fixed
8.12500000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
486000.00000000
PA
USD
481577.40000000
0.058572461025
Long
DBT
NUSS
OM
Y
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS27MU1 IRS USD R V 03MLIBOR IS27MV2 CCPVANILLA / Short: BS27MU1 IRS USD P F 1.85350 IS27MU1 CCPVANILLA
000000000
4310000.00000000
OU
Notional Amount
USD
-128293.62000000
-0.01560387397
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-02-22
0.00000000
USD
0.00000000
USD
4310000.00000000
USD
-128293.62000000
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
9888000.00000000
PA
11742344.06000000
1.428177463893
Long
DBT
NUSS
AT
Y
2
2029-02-20
Fixed
0.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
1290000.00000000
PA
1530858.84000000
0.186192644715
Long
DBT
CORP
US
Y
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
502556.63000000
PA
USD
504479.76000000
0.061357989558
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
2.25300000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BL7
1585000.00000000
PA
USD
1585000.00000000
0.192777631851
Long
DBT
NUSS
PA
N
2
2060-07-23
Fixed
3.87000000
N
N
N
N
N
N
STATE AGE ROADS
254900FGEO8P5USHG994
State Agency of Roads of Ukraine
857329AA4
1144000.00000000
PA
USD
989560.00000000
0.120356487933
Long
DBT
CORP
UA
N
2
2028-06-24
Fixed
6.25000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
1145000.00000000
PA
1175979.63000000
0.143030011468
Long
DBT
NUSS
EG
Y
2
2030-04-16
Fixed
5.62500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
849000.00000000
PA
USD
866662.24000000
0.105408892266
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
225000.00000000
PA
USD
182299.57000000
0.022172416020
Long
DBT
CORP
KY
Y
2
2025-05-02
Fixed
7.00000000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAA6
579000.00000000
PA
USD
572500.73000000
0.069631126159
Long
DBT
CORP
XX
N
2
2028-09-01
Fixed
3.25000000
N
N
N
N
N
N
INEOS QUATTRO FINANCE 2
213800V48W4Y5MT5Q131
INEOS Quattro Finance 2 Plc
000000000
940000.00000000
PA
1062163.22000000
0.129186946492
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
248000.00000000
PA
USD
339106.07000000
0.041244205123
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
985000.00000000
PA
USD
1235506.55000000
0.150270048483
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
DIGICEL GROUP HOLDINGS
N/A
Digicel Group Holdings Ltd
25381YAD3
1829006.00000000
PA
USD
1829006.00000000
0.222455170550
Long
DBT
CORP
BM
N
2
2024-04-01
Fixed
10.00000000
N
N
Y
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
8195000.00000000
PA
9978999.46000000
1.213708444256
Long
DBT
NUSS
FR
Y
2
2027-05-25
Fixed
1.00000000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
203000.00000000
PA
USD
37098.25000000
0.004512121628
Long
DBT
CORP
KY
Y
2
2027-03-01
Fixed
5.88000000
N
N
N
N
N
N
ZHENRO PROPERTIES GROUP
549300I66TVJEL841P38
Zhenro Properties Group Ltd
000000000
203000.00000000
PA
USD
128702.00000000
0.015653543706
Long
DBT
CORP
KY
Y
2
2026-01-07
Fixed
6.63000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
000000000
1175000.00000000
PA
1325146.27000000
0.161172592925
Long
DBT
CORP
DK
Y
2
2029-06-09
Fixed
0.75000000
N
N
N
N
N
N
VOLCAN CIA MINERA SAA-CM
549300XKJ91C4SZLG750
Volcan Cia Minera SAA
000000000
1387000.00000000
PA
USD
1336721.25000000
0.162580414523
Long
DBT
CORP
PE
Y
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
000000000
908000.00000000
PA
USD
962479.92000000
0.117062838916
Long
DBT
CORP
GB
Y
2
2024-01-21
Fixed
13.87500000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAH5
2000000.00000000
PA
USD
2023206.60000000
0.246075064412
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
2.40300000
N
N
N
N
N
N
Regatta XXIV Funding Ltd.
N/A
Regatta XXIV Funding Ltd
75889HAJ9
250000.00000000
PA
USD
249002.75000000
0.030285274744
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
3.18900000
N
N
N
N
N
N
CNP ASSURANCES
969500QKVPV2H8UXM738
CNP Assurances
000000000
300000.00000000
PA
360915.08000000
0.043896753578
Long
DBT
CORP
FR
Y
2
2051-06-30
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
520000.00000000
PA
581496.06000000
0.070725194560
Long
DBT
NUSS
ID
N
2
2029-07-28
Fixed
1.00000000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
225000.00000000
PA
USD
153225.00000000
0.018636184631
Long
DBT
CORP
KY
Y
2
2025-07-08
Fixed
6.75000000
N
N
N
N
N
N
PTTEP Treasury Center Co
2549006WFOUPZX6TZG08
PTTEP Treasury Center Co Ltd
69371MAD9
376000.00000000
PA
USD
391934.97000000
0.047669586975
Long
DBT
CORP
TH
N
2
2059-12-06
Fixed
3.90300000
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
000000000
369000.00000000
PA
USD
376157.49000000
0.045750630993
Long
DBT
CORP
CL
Y
2
2030-01-14
Fixed
3.15000000
N
N
N
N
N
N
ASSICURAZIONI GENERALI
549300X5UKJVE386ZB61
Assicurazioni Generali SpA
000000000
700000.00000000
PA
966902.45000000
0.117600734727
Long
DBT
CORP
IT
Y
2
2047-10-27
Fixed
5.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
150172.82000000
0.018264959374
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
22971345214.00000000
KRW
19466911.76000000
USD
2022-01-20
150172.82000000
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
184000.00000000
PA
USD
113161.84000000
0.013763452070
Long
DBT
NUSS
SV
Y
2
2029-02-28
Fixed
8.62500000
N
N
N
N
N
N
Volkswagen Leasing GmbH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
780000.00000000
PA
908972.99000000
0.110554990807
Long
DBT
CORP
DE
Y
2
2024-04-04
Fixed
1.12500000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
7885.14000000
0.000959040136
N/A
DFE
MX
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
3507347.51000000
USD
72081603.12000000
MXN
2022-01-13
7885.14000000
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBW9
267000.00000000
PA
USD
264185.27000000
0.032131867962
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.90000000
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAB0
109347.88000000
PA
USD
109507.19000000
0.013318950636
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
2.20200000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
55388RAA4
349488.09000000
PA
USD
360413.09000000
0.043835698409
Long
DBT
CORP
NL
N
2
2034-06-01
Fixed
6.74800000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
535000.00000000
PA
745320.43000000
0.090650540987
Long
DBT
CORP
CH
Y
2
2025-08-08
Fixed
2.75000000
N
N
N
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
531793.00000000
PA
USD
570518.17000000
0.069389994789
Long
DBT
CORP
IL
Y
2
2030-06-30
Fixed
6.75000000
N
N
N
N
N
N
AES GENER SA
549300IF4IFG0FS0RM26
AES Andes SA
00105DAG0
457000.00000000
PA
USD
465226.00000000
0.056583701296
Long
DBT
CORP
CL
N
2
2079-10-07
Fixed
6.35000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
29042.37000000
0.003532315023
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1312175.06000000
EUR
1524060.76000000
USD
2022-02-10
29042.37000000
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
514450000.00000000
PA
4472873.02000000
0.544018844396
Long
STIV
NUSS
JP
N
2
2022-02-14
None
0.00000000
N
N
N
N
N
N
CNTL AMR BOTTLING CORP
549300DT8SH0CF6BTT37
Central American Bottling Corp
15238XAB5
826000.00000000
PA
USD
848723.26000000
0.103227041110
Long
DBT
CORP
VG
N
2
2027-01-31
Fixed
5.75000000
N
N
N
N
N
N
AES PANAMA GENERATION HL
N/A
AES Panama Generation Holdings SRL
00109AAB3
817000.00000000
PA
USD
850709.42000000
0.103468610335
Long
DBT
CORP
PA
N
2
2030-05-31
Fixed
4.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
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
3820000.00000000
OU
Notional Amount
-637195.95000000
-0.07749976420
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-11-10
0.00000000
EUR
0.00000000
EUR
3820000.00000000
EUR
-637195.67000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
3090000.00000000
PA
USD
2808810.00000000
0.341625072631
Long
DBT
NUSS
UA
Y
2
2040-05-31
None
0.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-54896.37000000
-0.00667684050
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
5515084.02000000
USD
87267374.96000000
ZAR
2022-01-25
-54896.37000000
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
000000000
820000.00000000
PA
1104952.54000000
0.134391251715
Long
DBT
NUSS
PE
N
2
2030-03-01
Fixed
3.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
55406.62000000
0.006738900310
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
18605172.62000000
GBP
25237952.01000000
USD
2022-01-14
55406.62000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BL6
111000.00000000
PA
136179.27000000
0.016562976137
Long
DBT
CORP
US
N
2
2027-05-28
Fixed
1.87500000
N
N
N
N
N
N
KWG GROUP HOLDINGS
549300LK82ZOM9ZE7H90
KWG Group Holdings Ltd
000000000
225000.00000000
PA
USD
156375.00000000
0.019019307369
Long
DBT
CORP
KY
Y
2
2027-01-13
Fixed
7.40000000
N
N
N
N
N
N
Freddie Mac - STACR
54930047IR7X5WWFY307
Freddie Mac Stacr Trust 2019-HQA1
35563MAH9
304770.30000000
PA
USD
307267.34000000
0.037371779274
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
2.45300000
N
N
N
N
N
N
IRISH TSY 0% 2031
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
4462000.00000000
PA
4953534.30000000
0.602479881166
Long
DBT
NUSS
IE
Y
2
2031-10-18
None
0.00000000
N
N
N
N
N
N
AEROPUERTO INTL TOCUMEN
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
00787CAE2
404000.00000000
PA
USD
422689.04000000
0.051410089678
Long
DBT
CORP
PA
N
2
2061-08-11
Fixed
5.12500000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
059895AT9
955000.00000000
PA
USD
975055.00000000
0.118592298943
Long
DBT
CORP
TH
N
2
2034-09-25
Fixed
3.73300000
N
N
N
N
N
N
KFW
549300GDPG70E3MBBU98
Kreditanstalt fuer Wiederaufbau
000000000
605000.00000000
PA
690321.83000000
0.083961266626
Long
DBT
CORP
DE
Y
2
2029-06-15
None
0.00000000
N
N
N
N
N
N
CREDIT AGRICOLE ASSRNCES
969500K2MUPSI57XK083
Credit Agricole Assurances SA
000000000
600000.00000000
PA
821290.85000000
0.099890539510
Long
DBT
CORP
FR
Y
2
2048-09-27
Fixed
4.75000000
N
N
N
N
N
N
IRELAND GOVERNMENT BOND
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
1722000.00000000
PA
2183083.25000000
0.265520264397
Long
DBT
NUSS
IE
Y
2
2031-03-18
Fixed
1.35000000
N
N
N
N
N
N
Flatiron CLO Ltd
N/A
Flatiron CLO 21 Ltd
33883PAC1
1562322.00000000
PA
USD
1557042.91000000
0.189377315382
Long
ABS-CBDO
CORP
KY
N
2
2034-07-19
Floating
1.26100000
N
N
N
N
N
N
JAPAN FIN ORG MUNICIPAL
5493007YYYNZ4NMEOD64
Japan Finance Organization for Municipalities
000000000
980000.00000000
PA
1111793.33000000
0.135223271460
Long
DBT
NUSS
JP
Y
2
2027-02-12
Fixed
0.05000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
278433.00000000
PA
USD
279625.19000000
0.034009767781
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
1.70000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
900000.00000000
PA
1050993.40000000
0.127828402992
Long
DBT
CORP
US
Y
2
2025-05-01
Fixed
1.25000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
000000000
640000.00000000
PA
USD
685600.00000000
0.083386968074
Long
DBT
CORP
MX
Y
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XUX0
2040995.83000000
PA
USD
2073474.40000000
0.252188949234
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Floating
2.50200000
N
N
N
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding Inc
000000000
225000.00000000
PA
261918.90000000
0.031856217841
Long
DBT
CORP
US
Y
2
2025-11-01
Fixed
2.62500000
N
N
N
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
1155150000.00000000
PA
10054213.51000000
1.222856448319
Long
DBT
NUSS
JP
N
2
2023-04-01
Fixed
0.00500000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
2231000.00000000
PA
2599027.15000000
0.316109967883
Long
DBT
NUSS
DE
Y
2
2030-08-15
None
0.00000000
N
N
N
N
N
N
YANGO JUSTICE INTL
3003007ELD2HAYCXPT77
Yango Justice International Ltd
000000000
203000.00000000
PA
USD
46690.00000000
0.005678730366
Long
DBT
CORP
HK
Y
2
2025-02-17
Fixed
7.50000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DL6
3711000.00000000
PA
USD
3738832.50000000
0.454740236744
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-34534.89000000
-0.00420034972
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
49486181576.00000000
IDR
3431774.03000000
USD
2022-01-27
-34534.89000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: IS20CI8 CDS USD R F 3.00000 IS20CI8 CMBX / Short: IS20CI8 CDS USD P V 01MEVENT IS20CJ9 CMBX
000000000
473572.44000000
OU
Notional Amount
USD
-132494.81000000
-0.01611484902
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Markit CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-39119.25000000
USD
473572.44000000
USD
-93375.56000000
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
677800000.00000000
PA
5481677.30000000
0.666715942251
Long
DBT
NUSS
JP
N
2
2049-12-20
Fixed
0.40000000
N
N
N
N
N
N
VIVION INVESTMENTS
529900SJ7X71ESJK9N76
Vivion Investments Sarl
000000000
200000.00000000
PA
222394.52000000
0.027049015080
Long
DBT
CORP
LU
Y
2
2024-08-08
Fixed
3.00000000
N
N
N
N
N
N
GRIFOLS SA
959800HSSNXWRKBK4N60
Grifols SA
000000000
392000.00000000
PA
443524.84000000
0.053944270235
Long
DBT
CORP
ES
N
2
2025-02-15
Fixed
1.62500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
1795000.00000000
PA
2324602.75000000
0.282732752769
Long
DBT
NUSS
MX
N
2
2031-02-23
Fixed
3.37500000
N
N
N
N
N
N
BMW FINANCE NV
5299006ZHG3IXU0PNJ56
BMW Finance NV
000000000
935000.00000000
PA
1102056.86000000
0.134039060969
Long
DBT
CORP
NL
Y
2
2025-08-29
Fixed
1.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
107000.00000000
PA
USD
119800.84000000
0.014570928851
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
OLEODUCTO CENTRAL SA
254900W4CPYCQFVH5E92
Oleoducto Central SA
680617AC1
260000.00000000
PA
USD
258570.00000000
0.031448903639
Long
DBT
CORP
CO
N
2
2027-07-14
Fixed
4.00000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAL4
1334000.00000000
PA
USD
1512102.34000000
0.183911361654
Long
DBT
NUSS
MX
N
2
2051-04-27
Fixed
5.00000000
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR22
000000000
24.00000000
NC
USD
118464.24000000
0.014408363183
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNH2 COMDTY
2022-03-22
4612535.76000000
USD
118464.24000000
N
N
N
GLOBO COMMUNICACOES PART
52990054HEKS017PVR75
Globo Comunicacao e Participacoes SA
37959DAB0
421000.00000000
PA
USD
408900.46000000
0.049733036177
Long
DBT
CORP
BR
N
2
2030-01-22
Fixed
4.87500000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
4413590.00000000
PA
6474444.19000000
0.787462472241
Long
DBT
NUSS
GB
Y
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
TRINIDAD GEN UNLTD
N/A
Trinidad Generation UnLtd
000000000
962000.00000000
PA
USD
976439.62000000
0.118760705103
Long
DBT
CORP
TT
Y
2
2027-11-04
Fixed
5.25000000
N
N
N
N
N
N
WELLS FARGO GOVT FD LEX
N/A
WELLS FARGO GOVT FD LEX
000000000
500000.00000000
NS
USD
500000.00000000
0.060813133076
Long
STIV
RF
US
N
1
N
N
BFLD Trust
N/A
BFLD Trust
05554BAA2
310000.00000000
PA
USD
309813.66000000
0.037681478668
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
1.71000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AX2
881000.00000000
PA
USD
843998.00000000
0.102652325380
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
El Salvador Government International Bond
000000000
195000.00000000
PA
USD
109931.25000000
0.013370527470
Long
DBT
NUSS
SV
Y
2
2035-06-15
Fixed
7.65000000
N
N
N
N
N
N
China Aoyuan Group Ltd
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
216000.00000000
PA
USD
38880.00000000
0.004728829228
Long
DBT
CORP
KY
Y
2
2022-09-13
Fixed
5.37500000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AE9
1645000.00000000
PA
USD
1813628.95000000
0.220584917374
Long
DBT
CORP
CO
N
2
2043-09-18
Fixed
7.37500000
N
N
N
N
N
N
BELLEMEADE RE LT
254900KXN235YISGF415
Bellemeade Re 2019-4 Ltd
07876LAD1
486000.00000000
PA
USD
483627.35000000
0.058821788789
Long
ABS-MBS
CORP
BM
N
2
2029-10-25
Floating
2.95200000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-4 Ltd
07876UAA7
14195.35000000
PA
USD
14195.73000000
0.001726573635
Long
ABS-MBS
CORP
BM
N
2
2030-06-25
Floating
2.70200000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
3290000.00000000
PA
USD
3544975.00000000
0.431162072853
Long
DBT
CORP
NL
Y
2
2024-04-16
Fixed
6.75000000
N
N
N
N
N
N
BIOCEANICO SOVEREIGN
N/A
Bioceanico Sovereign Certificate Ltd
09076AAA5
904459.16000000
PA
USD
678796.60000000
0.082559495934
Long
DBT
CORP
KY
N
2
2034-06-05
None
0.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
795000.00000000
PA
1143972.37000000
0.139137087944
Long
DBT
CORP
FR
Y
2
2026-01-23
Fixed
3.37500000
N
N
N
N
N
N
YANGO JUSTICE INTL
3003007ELD2HAYCXPT77
Yango Justice International Ltd
000000000
320000.00000000
PA
USD
73600.00000000
0.008951693188
Long
DBT
CORP
HK
Y
2
2024-04-15
Fixed
7.50000000
N
N
N
N
N
N
OLYMPUS WTR US HLDG CORP
549300YU2GGVCBN3MY89
Olympus Water US Holding Corp
000000000
198000.00000000
PA
225986.48000000
0.027485891763
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
3.87500000
N
N
N
N
N
N
CBB INTL SUKUK PRGM SPC
5493006IRJ2IWXTNIM16
CBB International Sukuk Programme Co WLL
12482TAA6
1049000.00000000
PA
USD
1083249.85000000
0.131751634565
Long
DBT
CORP
BH
N
2
2027-03-30
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
477594.43000000
PA
USD
479567.09000000
0.058327954526
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.40300000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5713.77000000
-0.00069494451
N/A
DFE
US
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
596321.71000000
EUR
673701.61000000
USD
2022-02-10
-5713.77000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
90372UAR5
1073000.00000000
PA
USD
947941.85000000
0.115294627745
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.87600000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAM3
1196000.00000000
PA
USD
970398.52000000
0.118025948667
Long
DBT
NUSS
GH
N
2
2034-04-07
Fixed
8.62500000
N
N
N
N
N
N
EMPRESA DE TRANSPORTE ME
959800T4M5QUPYMSCH69
Empresa de Transporte de Pasajeros Metro SA
29246QAD7
200000.00000000
PA
USD
212250.00000000
0.025815174990
Long
DBT
CORP
CL
N
2
2030-05-07
Fixed
3.65000000
N
N
N
N
N
N
FIN DEPT GOVT SHARJAH
254900ZNL8O3F1CLJO24
Finance Department Government of Sharjah
38381CAB8
499000.00000000
PA
USD
450621.95000000
0.054807465224
Long
DBT
NUSS
AE
N
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AQ8
142000.00000000
PA
USD
143367.46000000
0.017437248847
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
27308169.49000000
PA
USD
27308169.49000000
3.321390690524
Long
RA
CORP
US
N
2
Repurchase
N
0.00000000
2022-01-03
27968000.00000000
USD
27854394.05000000
USD
UST
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
1299000.00000000
PA
USD
1587508.47000000
0.193082727691
Long
DBT
CORP
ID
Y
2
2042-05-03
Fixed
6.00000000
N
N
N
N
N
N
AGILE GROUP HOLDINGS LTD
549300ZRISRT38EEYY07
Agile Group Holdings Ltd
000000000
215000.00000000
PA
USD
125775.00000000
0.015297543625
Long
DBT
CORP
KY
Y
2
2026-05-17
Fixed
5.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
240.27000000
0.000029223142
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
80682.69000000
GBP
109446.22000000
USD
2022-01-14
240.27000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CC9
915000.00000000
PA
USD
981186.24000000
0.119338018771
Long
DBT
NUSS
PH
N
2
2028-02-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-19872.27000000
-0.00241699000
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
94869947.07000000
THB
2819314.92000000
USD
2022-03-10
-19872.27000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
490000.00000000
PA
USD
407827.00000000
0.049602475246
Long
DBT
NUSS
GH
Y
2
2029-05-16
Fixed
7.62500000
N
N
N
N
N
N
Octagon Investment Partners 29, Ltd.
5493003U22XL00FIHD56
Octagon Investment Partners 29 Ltd
67591JAS1
1509124.00000000
PA
USD
1522623.11000000
0.185190963626
Long
ABS-CBDO
CORP
KY
N
2
2033-01-24
Floating
3.22400000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
4.37000000
0.000000531506
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
37824.05000000
SGD
28070.41000000
USD
2022-01-14
4.37000000
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBG3
264000.00000000
PA
USD
330537.44000000
0.040202034650
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
PRINCIPAL FINANCIAL GRP
CUMYEZJOAF02RYZ1JJ85
Principal Financial Group Inc
74251VAL6
300000.00000000
PA
USD
297367.95000000
0.036167753431
Long
DBT
CORP
US
N
2
2055-05-15
Variable
3.20000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
70805.71000000
0.008611834129
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
332257776.00000000
RUB
4445812.22000000
USD
2022-03-02
70805.71000000
N
N
N
Lincoln Financing SARL
222100831I4WRVCLV609
Lincoln Financing SARL
000000000
206000.00000000
PA
235938.11000000
0.028696271362
Long
DBT
CORP
LU
N
2
2024-04-01
Fixed
3.62500000
N
N
N
N
N
N
ENGIE ENERGIA CHILE SA
5493000FIKCC3ZDWTO77
Engie Energia Chile SA
29287TAA7
1576000.00000000
PA
USD
1595700.00000000
0.194079032899
Long
DBT
CORP
CL
N
2
2030-01-28
Fixed
3.40000000
N
N
N
N
N
N
Government of Jamaica
529900Y93KNSXZI8KK56
Jamaica Government International Bond
470160BQ4
2620000.00000000
PA
USD
2924575.00000000
0.355705137332
Long
DBT
NUSS
JM
N
2
2025-07-09
Fixed
7.62500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS24116 IRS CNY R F 2.58500 SS24116 NDRSLV513321 LCH / Short: SS24116 IRS CNY P V 03MLIBOR IS24127 NDRSLV513321 LCH
000000000
41560000.00000000
OU
Notional Amount
60060.78000000
0.007304968413
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-08-03
0.00000000
CNY
0.00000000
CNY
41560000.00000000
CNY
60060.78000000
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAT8
480000.00000000
PA
USD
527810.62000000
0.064195634946
Long
DBT
CORP
BM
N
2
2025-08-11
Fixed
5.25000000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123DB3
1231000.00000000
PA
USD
1128371.53000000
0.137239616026
Long
DBT
NUSS
TR
N
2
2026-01-26
Fixed
4.75000000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
203000.00000000
PA
USD
137532.50000000
0.016727564449
Long
DBT
CORP
KY
Y
2
2027-01-14
Fixed
5.75000000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT MAR22
000000000
90.00000000
NC
18664.28000000
0.002270066686
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
SFE 10 Year Australian Bond Future
XMH2 COMDTY
2022-03-15
12499406.10000000
AUD
18664.28000000
N
N
N
RIMINI BIDCO SPA
815600E0EAFAEE1B3F69
Rimini Bidco SpA
000000000
605000.00000000
PA
675188.62000000
0.082120670799
Long
DBT
CORP
IT
N
2
2026-12-14
Floating
5.25000000
N
N
N
N
N
N
Voya Financial Inc
549300T065Z4KJ686G75
Voya Financial Inc
45685EAG1
589000.00000000
PA
USD
608878.75000000
0.074055648902
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.65000000
N
N
N
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BM2
1000000.00000000
PA
USD
1018750.00000000
0.123906758642
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
DEUTSCHE BANK SECURITIES INC.
000000000
325136.50000000
PA
USD
325136.50000000
0.039545138484
Long
RA
CORP
US
N
2
Repurchase
Y
0.02000000
2022-01-03
425274.29000000
USD
331639.23000000
USD
UST
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
Zambia Government International Bond
000000000
4053000.00000000
PA
USD
3124863.00000000
0.380065418927
Long
DBT
NUSS
ZM
Y
2
2027-07-30
Fixed
8.97000000
N
Y
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
000000000
895000.00000000
PA
USD
920210.36000000
0.111921750161
Long
DBT
NUSS
SN
Y
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
Government of Jamaica
529900Y93KNSXZI8KK56
Jamaica Government International Bond
470160CB6
1180000.00000000
PA
USD
1632825.00000000
0.198594408030
Long
DBT
NUSS
JM
N
2
2045-07-28
Fixed
7.87500000
N
N
N
N
N
N
BRASKEM IDESA SAPI
YH0V7ZHY352ITDGEYB83
Braskem Idesa SAPI
000000000
783000.00000000
PA
USD
811391.58000000
0.098686528262
Long
DBT
CORP
MX
Y
2
2029-11-15
Fixed
7.45000000
N
N
N
N
N
N
2022-02-25
Brighthouse Funds Trust I
Alan Otis
Alan Otis
Treasurer