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