0001752724-20-265678.txt : 20201221
0001752724-20-265678.hdr.sgml : 20201221
20201221102618
ACCESSION NUMBER: 0001752724-20-265678
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201031
FILED AS OF DATE: 20201221
PERIOD START: 20201031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: International Income Portfolio
CENTRAL INDEX KEY: 0001394396
IRS NUMBER: 000000000
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22049
FILM NUMBER: 201402852
BUSINESS ADDRESS:
STREET 1: TWO INTERNATIONAL PLACE
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 617-482-8260
MAIL ADDRESS:
STREET 1: TWO INTERNATIONAL PLACE
CITY: BOSTON
STATE: MA
ZIP: 02110
0001394396
S000017995
International Income Portfolio
C000049878
International Income Portfolio
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001394396
XXXXXXXX
S000017995
C000049878
International Income Portfolio
811-22049
0001394396
4DW003P2NT3VNILVWA58
TWO INTERNATIONAL PLACE
BOSTON
02110
617-482-8260
International Income Portfolio
S000017995
4DW003P2NT3VNILVWA58
2020-10-31
2020-10-31
N
63934663.94
6766417.30
57168246.64
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
6178664.07000000
0.00000000
0.00000000
3733451.43000000
USD
CNY
BRL
RSD
PHP
AUD
ISK
IDR
MXN
MYR
SGD
EGP
PEN
THB
UAH
EUR
NZD
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
29820.63000000
0.052162925667
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3900000.00000000
EUR
4574658.66000000
USD
2020-11-30
29820.63000000
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
59300000.00000000
PA
483899.77000000
0.846448506716
Long
DBT
NUSS
IS
N
2
2028-11-15
Fixed
5.00000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
30860000.00000000
PA
1095446.16000000
1.916179390454
Long
DBT
NUSS
UA
N
2
2021-01-20
Fixed
15.70000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-506.84000000
-0.00088657607
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
92886.14000000
USD
334000.00000000
PEN
2020-11-05
-506.84000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
3473.71000000
0.006076292704
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
165836.21000000
USD
1139477.20000000
CNY
2021-01-11
3473.71000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
7553.19000000
0.013212212100
N/A
DFE
ZA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
230863.49000000
USD
3900000.00000000
ZAR
2020-12-17
7553.19000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
15907.96000000
0.027826566205
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
2080473.00000000
EUR
2440372.78000000
USD
2020-11-30
15907.96000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
4019046.00000000
PA
3625454.26000000
6.341727222858
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-1254.62000000
-0.00219460989
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
231096.53000000
USD
831000.00000000
PEN
2020-11-05
-1254.62000000
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
15000.00000000
PA
4619.51000000
0.008080552179
Long
STIV
NUSS
GE
N
2
2020-12-03
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-2573.31000000
-0.00450129250
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
385259.20000000
USD
28700000.00000000
INR
2021-01-05
-2573.31000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-48.79000000
-0.00008534458
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
10005.84000000
USD
36000.00000000
PEN
2020-11-05
-48.79000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-1590.72000000
-0.00278252367
N/A
DFE
MX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
149863.76000000
USD
3150000.00000000
MXN
2020-11-18
-1590.72000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV3QWRJ0 IRS MYR R F 3.14500 BILATERAL / Short: BEV3QWRJ0 IRS MYR P V 03MKLIBO KLIB3M+0BPS BILATERAL
000000000
8000000.00000000
OU
Notional Amount
92235.14000000
0.161339809109
N/A
DIR
MR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2024-10-14
0.00000000
MYR
0.00000000
MYR
8000000.00000000
MYR
92235.14000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-185.30000000
-0.00032413098
N/A
DFE
MY
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
534194.54000000
USD
2229728.00000000
MYR
2021-02-02
-185.30000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-33.31000000
-0.00005826661
N/A
DFE
MX
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
239284.96000000
USD
5100000.00000000
MXN
2020-12-18
-33.31000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV41E450 IRS MXN R F 5.11000 CCP CME / Short: SEV41E450 IRS MXN P V 01MMXIBO MXIBTIIE+0BPS CCP CME
000000000
27000000.00000000
OU
Notional Amount
2218.01000000
0.003879793644
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-05
0.00000000
MXN
0.00000000
MXN
27000000.00000000
MXN
2218.01000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
14689.74000000
0.025695628016
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
6024000.00000000
NOK
645596.89000000
USD
2020-12-07
14689.74000000
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bond
000000000
200000.00000000
PA
USD
207232.00000000
0.362494937626
Long
DBT
NUSS
MN
Y
2
2026-04-07
Fixed
5.13000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-3703.56000000
-0.00647835156
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
567731.89000000
USD
42300000.00000000
INR
2021-01-05
-3703.56000000
N
N
N
NEW S WALES TREASURY CRP
TC7LRO17HPNPLTAV0H77
New South Wales Treasury Corp
000000000
2500000.00000000
PA
2100828.67000000
3.674817391600
Long
DBT
NUSS
AU
Y
2
2026-05-20
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CH8
500000.00000000
PA
USD
527276.58000000
0.922324211411
Long
DBT
NUSS
PH
N
2
2045-05-05
Fixed
2.95000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
31372.09000000
0.054876774859
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
4102903.61000000
EUR
4812662.44000000
USD
2020-11-30
31372.09000000
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
184200000.00000000
PA
1702650.40000000
2.978314886447
Long
DBT
NUSS
IS
N
2
2031-01-24
Fixed
6.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92XUQRK6 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92XUQRK6 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
3200000.00000000
OU
Notional Amount
USD
-73856.00000000
-0.12919059852
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Hellenic Republic Government Bond
Hellenic Republic Government Bond
Y
sell protection
2025-12-20
0.00000000
USD
-83564.54000000
USD
3200000.00000000
USD
9708.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJZ6
237580.27000000
PA
USD
250658.84000000
0.438458155938
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
3.94000000
N
N
N
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
430000.00000000
PA
128134.67000000
0.224136085206
Long
DBT
NUSS
GE
N
2
2024-05-30
Fixed
7.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1548.82000000
0.002709231244
N/A
DFE
CN
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
446269.19000000
USD
3000000.00000000
CNY
2020-11-09
1548.82000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-21.52000000
-0.00003764327
N/A
DFE
ID
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
159674.60000000
USD
2375000000.00000000
IDR
2021-01-04
-21.52000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
28055000.00000000
PA
1013609.20000000
1.773028314796
Long
DBT
NUSS
UA
N
2
2021-03-24
Fixed
18.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV42TSD3 IRS CNY R F 2.28000 2 CCPNDF / Short: SEV42TSD3 IRS CNY P V 00MCNRR 1 CCPNDF
000000000
21500000.00000000
OU
Notional Amount
-42908.81000000
-0.07505706842
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-08
0.00000000
CNY
0.00000000
CNY
21500000.00000000
CNY
-42908.81000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
7926.11000000
0.013864532263
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
564606.00000000
USD
59915762.00000000
JPY
2020-12-08
7926.11000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RFXEQ2 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RFXEQ2 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
689000.00000000
OU
Notional Amount
USD
-8877.08000000
-0.01552799066
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Colombia Government International Bond
Colombia Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-18286.87000000
USD
689000.00000000
USD
9409.79000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
-1545.39000000
-0.00270323141
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2229728.00000000
MYR
535091.91000000
USD
2020-11-03
-1545.39000000
N
N
N
ISLANDSBANKI
549300PZMFIQR79Q0T97
Islandsbanki HF
000000000
40000000.00000000
PA
314556.09000000
0.550228681982
Long
DBT
CORP
IS
N
2
2023-10-26
Fixed
6.40000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC20 XCBT 20201231
000000000
-2.00000000
NC
USD
999.99000000
0.001749205299
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVZ0 Comdty
2020-12-31
-252203.12000000
USD
999.99000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
5534.07000000
0.009680321376
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1102955.26000000
USD
34560000.00000000
THB
2021-01-26
5534.07000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV444P49 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV444P49 IRS USD P F .63570 2 CCPVANILLA
000000000
96000.00000000
OU
Notional Amount
USD
2099.17000000
0.003671916008
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-30
0.00000000
USD
0.00000000
USD
96000.00000000
USD
2099.17000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
198627.71000000
0.347444117450
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
10500000.00000000
EUR
12427453.50000000
USD
2020-11-03
198627.71000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
18642.57000000
0.032610008345
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
5052003.86000000
NZD
3359178.41000000
USD
2021-01-07
18642.57000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-3066.68000000
-0.00536430655
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
152945.99000000
USD
860000.00000000
BRL
2020-11-04
-3066.68000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
3480.95000000
0.006088957077
N/A
DFE
CN
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
165828.97000000
USD
1139477.20000000
CNY
2021-01-11
3480.95000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-91795.57000000
-0.16057090324
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
12320621.36000000
USD
10500000.00000000
EUR
2020-11-03
-91795.57000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BM8
34000000.00000000
PA
906411.17000000
1.585515077465
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
6.25000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
49.20000000
0.000086061761
N/A
DFE
CN
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
67501.56000000
USD
454960.70000000
CNY
2021-01-21
49.20000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
61189.97000000
0.107034890164
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
6711070.50000000
AUD
4780496.85000000
USD
2021-01-28
61189.97000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
11035.16000000
0.019302953385
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
527427.35000000
USD
3615092.57000000
CNY
2020-12-09
11035.16000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
1300000.00000000
PA
929190.52000000
1.625361235672
Long
DBT
NUSS
AU
Y
2
2030-12-21
Fixed
1.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-86.92000000
-0.00015204244
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
144972.16000000
USD
604099.00000000
MYR
2020-12-02
-86.92000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV496H48 IRS BRL R F 3.08110 2 CCPNDFPREDISWAP / Short: SEV496H48 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
52136184.00000000
OU
Notional Amount
-26414.69000000
-0.04620517779
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
52136184.00000000
BRL
-26414.69000000
N
N
N
AUST CAPITAL TERRITORY
549300DFQM5A0MPGF178
Australian Capital Territory
000000000
2350000.00000000
PA
1717515.23000000
3.004316785882
Long
DBT
NUSS
AU
Y
2
2025-05-22
Fixed
1.25000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
22340.20000000
0.039077987017
N/A
DFE
KR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
511759.20000000
USD
607320000.00000000
KRW
2020-12-10
22340.20000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV486088 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV486088 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
200000.00000000
OU
Notional Amount
USD
-2689.40000000
-0.00470435977
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Vietnam Government International Bond
Vietnam Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-2645.39000000
USD
200000.00000000
USD
-44.01000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
10894.60000000
0.019057082629
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1194876.00000000
AUD
851146.02000000
USD
2021-01-28
10894.60000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
3822.22000000
0.006685914339
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
462521.41000000
USD
48774501.00000000
JPY
2021-01-07
3822.22000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-28.37000000
-0.00004962545
N/A
DFE
MY
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
235823.32000000
USD
979728.00000000
MYR
2020-11-03
-28.37000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-4067.01000000
-0.00711410658
N/A
DFE
IN
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
306748.88000000
USD
22700000.00000000
INR
2021-01-05
-4067.01000000
N
N
N
Landsbankinn HF
549300TLZPT6JELDWM92
Landsbankinn HF
000000000
120000000.00000000
PA
911302.50000000
1.594071103384
Long
DBT
CORP
IS
Y
2
2023-11-23
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC20 XCBT 20201221
000000000
-3.00000000
NC
USD
2929.69000000
0.005124680521
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYZ0 Comdty
2020-12-21
-417585.94000000
USD
2929.69000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
1747.84000000
0.003057361564
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
220000.00000000
NZD
147218.41000000
USD
2021-01-28
1747.84000000
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
5339.80000000
0.009340499864
N/A
DFE
KR
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
140253.54000000
USD
165552981.00000000
KRW
2020-12-10
5339.80000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
21262.52000000
0.037192884598
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
482214.90000000
USD
572500000.00000000
KRW
2020-12-10
21262.52000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
3582.90000000
0.006267290341
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
166509.87000000
USD
1139477.00000000
CNY
2020-11-09
3582.90000000
N
N
N
EV CASH RESERVES FUND LLC
N/A
EV CASH RESERVES FUND LLC
000000000
3099970.14500000
NS
USD
3099970.15000000
5.422538440825
Long
STIV
US
N
2
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
30844.16000000
0.053953307671
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3470862.52000000
USD
366523081.00000000
JPY
2020-11-25
30844.16000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-14689.74000000
-0.02569562801
N/A
DFE
NO
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
645596.89000000
USD
6024000.00000000
NOK
2020-12-07
-14689.74000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
22547.03000000
0.039439778767
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
4219400.00000000
PEN
1189568.65000000
USD
2020-11-05
22547.03000000
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
3200000.00000000
PA
844856.71000000
1.477842613085
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.89000000
N
N
N
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
5612.51000000
0.009817530412
N/A
DFE
KR
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
254930.42000000
USD
296246000.00000000
KRW
2020-12-01
5612.51000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3QWQP7 IRS SGD R F 1.64250 CCP LCH / Short: SEV3QWQP7 IRS SGD P V 06MSIBOR SORF6M+0BPS CCP LCH
000000000
3500000.00000000
OU
Notional Amount
189817.93000000
0.332033849481
N/A
DIR
SG
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-10-16
0.00000000
SGD
0.00000000
SGD
3500000.00000000
SGD
189817.93000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-1219.41000000
-0.00213301976
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
182561.85000000
USD
13600000.00000000
INR
2021-01-05
-1219.41000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
14724.82000000
0.025756990751
N/A
DFE
CN
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
701476.18000000
USD
4820123.42000000
CNY
2021-01-11
14724.82000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-144.88000000
-0.00025342739
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
300987.24000000
USD
1250000.00000000
MYR
2020-11-03
-144.88000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV485Z41 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV485Z41 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
300000.00000000
OU
Notional Amount
USD
-4034.10000000
-0.00705653966
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Vietnam Government International Bond
Vietnam Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-3931.76000000
USD
300000.00000000
USD
-102.34000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-669.34000000
-0.00117082478
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
110574.35000000
USD
426200000.00000000
COP
2020-12-16
-669.34000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
13850000000.00000000
PA
975892.31000000
1.707053071166
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
9500000.00000000
PA
604012.15000000
1.056551819410
Long
STIV
NUSS
EG
N
2
2020-11-24
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-961.69000000
-0.00168221006
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
155684.83000000
USD
600000000.00000000
COP
2020-12-16
-961.69000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV49HQG7 IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BEV49HQG7 IRS BRL P F 3.41500 2 CCPNDFPREDISWAP
000000000
5838117.00000000
OU
Notional Amount
-847.78000000
-0.00148295609
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
5838117.00000000
BRL
-847.78000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
1177.46000000
0.002059639868
N/A
DFE
ZA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
151707.85000000
USD
2500000.00000000
ZAR
2020-12-14
1177.46000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0206C8
3000000.00000000
PA
USD
3086789.55000000
5.399482634893
Long
ABS-MBS
USGSE
US
N
2
2050-12-15
Fixed
2.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
2608.71000000
0.004563214989
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
124683.83000000
USD
854607.90000000
CNY
2020-12-09
2608.71000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-821.64000000
-0.00143723141
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
157550.00000000
NZD
103351.22000000
USD
2020-11-16
-821.64000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-681.29000000
-0.00119172799
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
116929.94000000
USD
450800000.00000000
COP
2020-12-16
-681.29000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
24.12000000
0.000042191253
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
40979.00000000
ZAR
2530.15000000
USD
2020-12-14
24.12000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
3444.81000000
0.006025740166
N/A
DFE
ID
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
219940.10000000
USD
3323075000.00000000
IDR
2021-01-04
3444.81000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RFVGM3 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RFVGM3 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
731000.00000000
OU
Notional Amount
USD
-41313.20000000
-0.07226599104
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Brazilian Government International Bond
Brazilian Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-51205.42000000
USD
731000.00000000
USD
9892.22000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
546.07000000
0.000955198090
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
99435.68000000
USD
113652000.00000000
KRW
2021-01-19
546.07000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-4089.83000000
-0.00715402385
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
228908.80000000
USD
1290000.00000000
BRL
2020-11-04
-4089.83000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
500000.00000000
PA
USD
553129.06000000
0.967545958656
Long
DBT
NUSS
BH
Y
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV49HM97 IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BEV49HM97 IRS BRL P F 3.43853 2 CCPNDFPREDISWAP
000000000
46281044.00000000
OU
Notional Amount
-9004.08000000
-0.01575014195
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
46281044.00000000
BRL
-9004.08000000
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
3500000.00000000
PA
1146443.41000000
2.005384942482
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-18330.10000000
-0.03206342869
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
120000000.00000000
JPY
1128052.79000000
USD
2020-11-19
-18330.10000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-505.02000000
-0.00088339249
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
92450.00000000
NZD
60625.68000000
USD
2021-01-13
-505.02000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
188952.75000000
0.330520456906
N/A
DFE
JP
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
11628344.21000000
USD
1237000000.00000000
JPY
2020-11-19
188952.75000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
14000000000.00000000
PA
987897.44000000
1.728052718182
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
14694.19000000
0.025703412057
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
701506.81000000
USD
4820123.42000000
CNY
2021-01-11
14694.19000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-703.54000000
-0.00123064820
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
43000000.00000000
PHP
883682.70000000
USD
2021-01-11
-703.54000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
79.37000000
0.000138835812
N/A
DFE
ZA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2425.78000000
USD
40979.00000000
ZAR
2020-12-17
79.37000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-1750.56000000
-0.00306211945
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
268350.62000000
USD
19994000.00000000
INR
2021-01-05
-1750.56000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-2899.20000000
-0.00507134671
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
163911.36000000
USD
12800000.00000000
RUB
2020-11-09
-2899.20000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
14355.17000000
0.025110390546
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1877397.00000000
EUR
2202166.78000000
USD
2020-11-30
14355.17000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3810.35000000
0.006665151065
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
498325.41000000
EUR
584530.42000000
USD
2020-11-30
3810.35000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-142.08000000
-0.00024852957
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
76931.38000000
USD
320173.00000000
MYR
2020-12-02
-142.08000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
9254.41000000
0.016188024898
N/A
DFE
CH
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2447040.60000000
USD
2250000.00000000
CHF
2020-12-07
9254.41000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
15156.10000000
0.026511395557
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
704356.52000000
USD
4820123.00000000
CNY
2020-11-09
15156.10000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
27040.61000000
0.047300051320
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3536424.86000000
EUR
4148188.87000000
USD
2020-11-30
27040.61000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
11635.62000000
0.020353291702
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
270137.54000000
USD
320385472.00000000
KRW
2020-12-01
11635.62000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-3285.02000000
-0.00574623185
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
301996.53000000
USD
1080000.00000000
PEN
2020-11-05
-3285.02000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV41DVS2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV41DVS2 IRS USD P F .81650 CCP LCH
000000000
340000.00000000
OU
Notional Amount
USD
43704.89000000
0.076449589708
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-05-12
0.00000000
USD
0.00000000
USD
340000.00000000
USD
43704.89000000
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
100000000.00000000
PA
786071.24000000
1.375013729124
Long
DBT
CORP
IS
Y
2
2024-04-12
Fixed
6.00000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
370200000.00000000
PA
4280804.18000000
7.488080239642
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV444FJ7 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV444FJ7 IRS USD P F .91820 2 CCPVANILLA
000000000
200000.00000000
OU
Notional Amount
USD
20548.04000000
0.035943099898
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-30
0.00000000
USD
0.00000000
USD
200000.00000000
USD
20548.04000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
14600000.00000000
PA
884972.33000000
1.548013769904
Long
STIV
NUSS
EG
N
2
2021-04-06
None
0.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CS3
375000.00000000
PA
USD
428180.21000000
0.748982582405
Long
DBT
NUSS
ID
N
2
2030-10-15
Fixed
3.85000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TP4
19000000.00000000
PA
USD
18999902.34000000
33.23506221844
Long
STIV
UST
US
N
2
2020-11-05
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
208.15000000
0.000364100724
N/A
DFE
CN
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
285539.57000000
USD
1924537.59000000
CNY
2021-01-21
208.15000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
7325000.00000000
PA
428964.02000000
0.750353640721
Long
STIV
NUSS
EG
N
2
2021-07-13
None
0.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5931.56000000
0.010375619943
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
775740.00000000
EUR
909934.80000000
USD
2020-11-30
5931.56000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RGQBC0 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RGQBC0 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
661000.00000000
OU
Notional Amount
USD
13446.06000000
0.023520154614
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Peruvian Government International Bond
Peruvian Government International Bond
Y
sell protection
2025-12-20
5320.40000000
USD
0.00000000
USD
661000.00000000
USD
8125.66000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC20 XCBT 20201221
000000000
-4.00000000
NC
USD
18625.00000000
0.032579274500
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USZ0 Comdty
2020-12-21
-708500.00000000
USD
18625.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV448SQ8 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV448SQ8 IRS USD P F .61970 2 CCPVANILLA
000000000
270000.00000000
OU
Notional Amount
USD
6326.43000000
0.011066335547
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-01
0.00000000
USD
0.00000000
USD
270000.00000000
USD
6326.43000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-47814.11000000
-0.08363753099
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
383000000.00000000
JPY
3611057.95000000
USD
2020-11-19
-47814.11000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5894.50000000
0.010310793747
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
770895.00000000
EUR
904251.66000000
USD
2020-11-30
5894.50000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RH4QV0 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RH4QV0 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
689000.00000000
OU
Notional Amount
USD
-9639.80000000
-0.01686215787
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Mexico Government International Bond
Mexico Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-20096.76000000
USD
689000.00000000
USD
10456.96000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
42943.83000000
0.075118326210
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
963571.28000000
USD
1144500000.00000000
KRW
2020-12-10
42943.83000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
7750000.00000000
PA
440326.94000000
0.770229919369
Long
STIV
NUSS
EG
N
2
2021-10-12
None
0.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-751.71000000
-0.00131490826
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
127427.52000000
USD
458000.00000000
PEN
2020-11-05
-751.71000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1987.49000000
0.003476562806
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
259927.00000000
EUR
304891.62000000
USD
2020-11-30
1987.49000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
36.26000000
0.000063426818
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
374142.41000000
USD
2150000.00000000
BRL
2020-12-02
36.26000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-167920.72000000
-0.29373075066
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
25760020.21000000
USD
21961000.00000000
EUR
2020-11-30
-167920.72000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV3QYS30 IRS MXN R F 6.70000 CCP CME / Short: SEV3QYS30 IRS MXN P V 01MMXIBO MXIBTIIE+0BPS CCP CME
000000000
24000000.00000000
OU
Notional Amount
76310.71000000
0.133484433203
N/A
DIR
MN
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2029-10-03
0.00000000
MXN
0.00000000
MXN
24000000.00000000
MXN
76310.71000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
1200000.00000000
PA
USD
1216242.00000000
2.127478226958
Long
DBT
NUSS
EG
Y
2
2050-05-29
Fixed
8.88000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND DEC20 XEUR 20201208
000000000
-2.00000000
NC
-18820.75000000
-0.03292168486
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Buxl (FGBX)
UBZ0 Comdty
2020-12-08
-441360.00000000
EUR
-18820.75000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
3371.95000000
0.005898291793
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
680000.00000000
SGD
501227.27000000
USD
2021-01-26
3371.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV47SX10 IRS CNY R F 2.78500 2 CCPNDF / Short: SEV47SX10 IRS CNY P V 00MCNRR 1 CCPNDF
000000000
9300000.00000000
OU
Notional Amount
12935.05000000
0.022626284275
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-08
0.00000000
CNY
0.00000000
CNY
9300000.00000000
CNY
12935.05000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-4664.72000000
-0.00815963454
N/A
DFE
RU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
218509.00000000
USD
17000000.00000000
RUB
2020-11-09
-4664.72000000
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
18018.50000000
0.031518370877
N/A
DFE
KR
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
412399.84000000
USD
489400000.00000000
KRW
2020-12-01
18018.50000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
500000.00000000
PA
607593.29000000
1.062816031119
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RFX715 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RFX715 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
651000.00000000
OU
Notional Amount
USD
14268.62000000
0.024958995314
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Chile Government International Bond
Chile Government International Bond
Y
sell protection
2025-12-20
9886.08000000
USD
0.00000000
USD
651000.00000000
USD
4382.54000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
12086.95000000
0.021142768425
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
284037.64000000
USD
336703528.00000000
KRW
2020-12-01
12086.95000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-221.89000000
-0.00038813504
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2150000.00000000
BRL
374476.39000000
USD
2020-11-04
-221.89000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3QXT80 IRS THB R F 1.37000 CCP LCH / Short: SEV3QXT80 IRS THB P V 06MBKIBO BOFX6M+0BPS CCP LCH
000000000
70000000.00000000
OU
Notional Amount
50207.59000000
0.087824260758
N/A
DIR
TH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-10-17
0.00000000
THB
0.00000000
THB
70000000.00000000
THB
50207.59000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-43439.27000000
-0.07598496115
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3393715.35000000
USD
4764246.00000000
AUD
2021-01-28
-43439.27000000
N
N
N
2020-11-13
International Income Portfolio
James Kirchner
James Kirchner
Treasurer