0001752724-23-136837.txt : 20230621
0001752724-23-136837.hdr.sgml : 20230621
20230621091915
ACCESSION NUMBER: 0001752724-23-136837
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230430
FILED AS OF DATE: 20230621
DATE AS OF CHANGE: 20230621
PERIOD START: 20231031
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: 231027794
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
2023-10-31
2023-04-30
N
48606805.83
5461156.90
43145648.93
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2720578.13000000
0.00000000
0.00000000
3278706.35000000
AUD
CAD
CLP
CNY
COP
DOP
EUR
IDR
INR
ISK
JPY
KRW
MXN
MYR
NZD
PEN
PHP
PLN
RSD
THB
TWD
USD
ZAR
N
85% Bloomberg Glbl Agg/ 15% JPM Hard/Loc Curr
LGIJPMUSD
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SMIBXDGN6 IRS MXN R F 8.56000 2 CCPVANILLA / Short: SMIBXDGN6 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
5400000.00000000
OU
Notional Amount
594.04000000
0.001376824812
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-04-18
0.00000000
MXN
0.00000000
MXN
5400000.00000000
MXN
594.04000000
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
3700000.00000000
PA
3880848.97000000
8.994763240892
Long
DBT
NUSS
DE
Y
2
2032-08-15
Fixed
1.70000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
203.18000000
0.000470916546
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
14000000.00000000
PHP
252980.65000000
USD
2023-05-24
203.18000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-1511.07000000
-0.00350225350
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3318132.00000000
ZAR
179073.09000000
USD
2023-06-21
-1511.07000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
287.94000000
0.000667367410
N/A
DFE
MY
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
17854.61000000
USD
80435.00000000
MYR
2023-06-21
287.94000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4KDSJ5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KDSJ5 IRS COP P F 4.48000 2 CCPNDFOIS
000000000
480600000.00000000
OU
Notional Amount
14191.19000000
0.032891358345
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-31
0.00000000
COP
0.00000000
COP
480600000.00000000
COP
14191.19000000
N
N
N
TITULOS DE TESORERIA
549300MHDRBVRF6B9117
Colombian TES
000000000
1654000000.00000000
PA
284495.98000000
0.659385099205
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4YJK48 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV4YJK48 IRS COP P F 6.05200 2 CCPNDF
000000000
984000000.00000000
OU
Notional Amount
20689.95000000
0.047953734647
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
984000000.00000000
COP
20689.95000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810TE8
537008.50000000
PA
USD
367088.12000000
0.850811447048
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.12500000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
20150000.00000000
PA
322449.48000000
0.747351095641
Long
DBT
NUSS
DO
Y
2
2027-02-12
Fixed
8.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBSAZ80 IRS CNY R F 2.89250 2 CCPNDF / Short: SMIBSAZ80 IRS CNY P V 00MCNRR 1 CCPNDF
000000000
3000000.00000000
OU
Notional Amount
2932.50000000
0.006796745611
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-21
0.00000000
CNY
0.00000000
CNY
3000000.00000000
CNY
2932.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUPT4 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPT4 IRS EUR P F 2.20083 2 CCPINFLATIONZERO
000000000
200000.00000000
OU
Notional Amount
29247.12000000
0.067786951234
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA
2036-10-15
0.00000000
EUR
0.00000000
EUR
200000.00000000
EUR
29247.12000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-1335.57000000
-0.00309549174
N/A
DFE
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
2642000000.00000000
IDR
178550.91000000
USD
2023-07-25
-1335.57000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-295.68000000
-0.00068530664
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
337273.97000000
EUR
371393.38000000
USD
2023-05-05
-295.68000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-491.37000000
-0.00113886338
N/A
DFE
AU
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
72286.64000000
USD
108270.00000000
AUD
2023-06-21
-491.37000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-16923.39000000
-0.03922386247
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5293000.00000000
MXN
274519.36000000
USD
2023-06-21
-16923.39000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
9194.53000000
0.021310445498
N/A
DFE
ID
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
636204.39000000
USD
9479000000.00000000
IDR
2023-07-25
9194.53000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PES3
16000000.00000000
PA
347823.40000000
0.806161011888
Long
DBT
NUSS
DO
N
2
2033-02-03
Fixed
13.62500000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-9076.61000000
-0.02103713868
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
2085000000.00000000
COP
429845.50000000
USD
2023-06-21
-9076.61000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-6020.48000000
-0.01395385200
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
853000.00000000
PEN
223415.40000000
USD
2023-06-21
-6020.48000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-832.87000000
-0.00193036846
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
246000000.00000000
COP
50953.62000000
USD
2023-06-21
-832.87000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBRYAW3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BMIBRYAW3 IRS USD P F 2.40000 2 CCPINFLATIONZERO
000000000
150000.00000000
OU
Notional Amount
USD
-816.21000000
-0.00189175506
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2053-03-13
0.00000000
USD
0.00000000
USD
150000.00000000
USD
-816.21000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-8943.13000000
-0.02072776797
N/A
DFE
AU
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
638817.26000000
USD
948737.00000000
AUD
2023-07-20
-8943.13000000
N
N
N
RIKISBREF
549300K5GD3JPA2LLG98
Iceland Rikisbref
000000000
15753425.00000000
PA
109610.72000000
0.254048143250
Long
DBT
NUSS
IS
N
2
2024-04-15
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4KHAJ5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KHAJ5 IRS COP P F 4.56250 2 CCPNDFOIS
000000000
514400000.00000000
OU
Notional Amount
14750.28000000
0.034187178465
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-06
0.00000000
COP
0.00000000
COP
514400000.00000000
COP
14750.28000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV5A80T2 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BEV5A80T2 IRS COP P F 9.41500 2 CCPNDFOIS
000000000
147000000.00000000
OU
Notional Amount
564.27000000
0.001307825966
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
147000000.00000000
COP
564.27000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
248.91000000
0.000576906376
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
14000000.00000000
PHP
253026.38000000
USD
2023-05-24
248.91000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-2036.22000000
-0.00471940983
N/A
DFE
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
1049100000.00000000
IDR
69394.10000000
USD
2023-07-25
-2036.22000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
5577.03000000
0.012926054279
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
81851.51000000
USD
1283800000.00000000
IDR
2023-07-11
5577.03000000
N
N
N
RIKISBREF
549300K5GD3JPA2LLG98
Iceland Rikisbref
000000000
37967658.00000000
PA
276080.15000000
0.639879470692
Long
DBT
NUSS
IS
N
2
2025-06-12
Fixed
8.00000000
N
N
N
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
618000.00000000
PA
688079.76000000
1.594783662001
Long
DBT
NUSS
CY
Y
2
2033-04-13
Fixed
4.12500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-1852.18000000
-0.00429285465
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3327964.00000000
ZAR
179267.07000000
USD
2023-06-21
-1852.18000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-17524.87000000
-0.04061793120
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2477007.00000000
NZD
1513954.36000000
USD
2023-06-21
-17524.87000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
3935.55000000
0.009121545503
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
349128.51000000
USD
5185466039.00000000
IDR
2023-07-25
3935.55000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-9687.14000000
-0.02245218287
N/A
DFE
KR
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
366494.97000000
USD
476000000.00000000
KRW
2023-06-21
-9687.14000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BMIBK5ET6 IRS CLP R V 06MCLICP CLICP+0BPS+ID COMPOUNDING / Short: BMIBK5ET6 IRS CLP P F 1.40750 CLF LEG 1.4075 FIXED RATE
000000000
140904680.00000000
OU
Notional Amount
4906.60000000
0.011372178010
N/A
DIR
CL
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
2033-01-13
0.00000000
CLP
0.00000000
CLP
140904680.00000000
CLP
4906.60000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBSB300 IRS CNY R F 2.89900 2 CCPNDF / Short: SMIBSB300 IRS CNY P V 00MCNRR 1 CCPNDF
000000000
3100000.00000000
OU
Notional Amount
3162.95000000
0.007330866677
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-21
0.00000000
CNY
0.00000000
CNY
3100000.00000000
CNY
3162.95000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBVTGS2 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBVTGS2 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
609000000.00000000
OU
Notional Amount
-1411.93000000
-0.00327247366
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-06-12
0.00000000
COP
0.00000000
COP
609000000.00000000
COP
-1411.93000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
563000.00000000
PA
11738.51000000
0.027206706333
Long
DBT
NUSS
UA
N
2
2023-11-01
Fixed
10.95000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
2760.25000000
0.006397516478
N/A
DFE
CA
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
626716.94000000
USD
852000.00000000
CAD
2023-06-21
2760.25000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
71810.99000000
0.166438544281
N/A
DFE
GB
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1488163.68000000
USD
1240000.00000000
GBP
2023-06-21
71810.99000000
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
845000.00000000
PA
222375.03000000
0.515405459217
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
DOM REP CB NOTES
549300DTVR57NON7XL66
Dominican Republic Central Bank Notes
000000000
900000.00000000
PA
14395.05000000
0.033363850949
Long
DBT
NUSS
DO
Y
2
2027-03-12
Fixed
8.00000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV56EAN6 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPUNDING / Short: BEV56EAN6 IRS CLP P F 2.10000 CLF LEG 2.1 FIXED RATE
000000000
63504540.00000000
OU
Notional Amount
-13343.56000000
-0.03092678017
N/A
DIR
CL
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2038-04-08
0.00000000
CLP
0.00000000
CLP
63504540.00000000
CLP
-13343.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBM6ZG7 IRS ZAR R F 7.69570 2 CCPVANILLA / Short: SMIBM6ZG7 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
9000000.00000000
OU
Notional Amount
-13781.01000000
-0.03194067152
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-01
0.00000000
ZAR
0.00000000
ZAR
9000000.00000000
ZAR
-13781.01000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-9910.20000000
-0.02296917590
N/A
DFE
KR
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
366718.03000000
USD
476000000.00000000
KRW
2023-06-21
-9910.20000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV50FPZ6 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV50FPZ6 IRS COP P F 6.00000 2 CCPNDF
000000000
347000000.00000000
OU
Notional Amount
7388.38000000
0.017124275988
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
347000000.00000000
COP
7388.38000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
325776.64000000
0.755062556895
N/A
DFE
XX
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
11838929.50000000
USD
11008954.00000000
EUR
2023-06-21
325776.64000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
6741000.00000000
PA
124435.46000000
0.288407899952
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-22955.67000000
-0.05320506370
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
775740.00000000
EUR
834223.78000000
USD
2023-06-21
-22955.67000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-22812.30000000
-0.05287277064
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
770895.00000000
EUR
829013.51000000
USD
2023-06-21
-22812.30000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-133981.98000000
-0.31053416351
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
4527646.58000000
EUR
4868990.16000000
USD
2023-06-21
-133981.98000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-61844.85000000
-0.14333971451
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
2089920.00000000
EUR
2247481.05000000
USD
2023-06-21
-61844.85000000
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
1901500000.00000000
PA
1486814.42000000
3.446035595413
Long
DBT
NUSS
KR
N
2
2031-12-10
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
5203.90000000
0.012061239381
N/A
DFE
AU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1160499.46000000
USD
1757925.00000000
AUD
2023-06-21
5203.90000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-7513.63000000
-0.01741457177
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7516000.00000000
MXN
406331.77000000
USD
2023-06-21
-7513.63000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4Y0R18 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV4Y0R18 IRS COP P F 6.06000 2 CCPNDF
000000000
303000000.00000000
OU
Notional Amount
5754.21000000
0.013336709825
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
303000000.00000000
COP
5754.21000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
501.08000000
0.001161368556
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
7500000.00000000
PHP
135917.58000000
USD
2023-05-24
501.08000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBJV3A4 IRS KRW R F 3.40000 2 CCPNDF / Short: SMIBJV3A4 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
360000000.00000000
OU
Notional Amount
931.18000000
0.002158224579
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-11
0.00000000
KRW
0.00000000
KRW
360000000.00000000
KRW
931.18000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBCSGK2 IRS USD R F 3.06000 2 CCPVANILLA / Short: SMIBCSGK2 IRS USD P V 12MSOFR 1 CCPVANILLA
000000000
1000000.00000000
OU
Notional Amount
USD
-7903.30000000
-0.01831772193
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-11-07
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
-7903.30000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K3JC2 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3JC2 IRS COP P F 4.82500 2 CCPNDFOIS
000000000
129500000.00000000
OU
Notional Amount
4851.36000000
0.011244146560
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-03-26
0.00000000
COP
0.00000000
COP
129500000.00000000
COP
4851.36000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
6709.27000000
0.015550281816
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
104854.40000000
USD
1638200000.00000000
IDR
2023-07-11
6709.27000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBJV041 IRS NZD R F 5.18500 2 CCPVANILLA / Short: SMIBJV041 IRS NZD P V 03MNZDBB 1 CCPVANILLA
000000000
2000000.00000000
OU
Notional Amount
-670.72000000
-0.00155454841
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-11
0.00000000
NZD
0.00000000
NZD
2000000.00000000
NZD
-670.72000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV51GDU7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV51GDU7 IRS USD P F 2.53700 2 CCPINFLATIONZERO
000000000
490000.00000000
OU
Notional Amount
USD
4924.26000000
0.011413109136
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2047-01-07
0.00000000
USD
0.00000000
USD
490000.00000000
USD
4924.26000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUPL1 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPL1 IRS EUR P F 2.20000 2 CCPINFLATIONZERO
000000000
300000.00000000
OU
Notional Amount
43909.05000000
0.101769358183
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA
2036-10-15
0.00000000
EUR
0.00000000
EUR
300000.00000000
EUR
43909.05000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
3970000.00000000
PA
63831.23000000
0.147943608644
Long
DBT
NUSS
DO
Y
2
2027-01-15
Fixed
8.00000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-20784.21000000
-0.04817220395
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
8796932093.00000000
IDR
578174.59000000
USD
2023-07-25
-20784.21000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN23
000000000
5.00000000
NC
USD
33737.32000000
0.078194026133
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNM3 Comdty
2023-06-21
673293.93000000
USD
33737.32000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
1472000000.00000000
PA
102388.79000000
0.237309653555
Long
DBT
NUSS
ID
N
2
2042-06-15
Fixed
7.12500000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBFGUN3 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBFGUN3 IRS CLP P F 5.73500 2 CCPNDFCAMARAPROMEDIO
000000000
82000000.00000000
OU
Notional Amount
2361.48000000
0.005473274961
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
82000000.00000000
CLP
2361.48000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
548000.00000000
PA
509852.31000000
1.181700409297
Long
DBT
NUSS
GR
Y
2
2030-06-18
Fixed
1.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBQB864 IRS ZAR R F 8.38500 2 CCPVANILLA / Short: SMIBQB864 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
3001007.00000000
OU
Notional Amount
-216.92000000
-0.00050276216
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-24
0.00000000
ZAR
-74.10000000
ZAR
3001007.00000000
ZAR
-212.77000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBXWGC8 IRS COP R V 00MCPIBR 1 CCPNDFOIS / Short: BMIBXWGC8 IRS COP P F 9.07000 2 CCPNDFOIS
000000000
900000000.00000000
OU
Notional Amount
120.65000000
0.000279634222
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-06-21
0.00000000
COP
0.00000000
COP
900000000.00000000
COP
120.65000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV534YN5 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BEV534YN5 IRS COP P F 7.03000 2 CCPNDFOIS
000000000
853000000.00000000
OU
Notional Amount
13671.85000000
0.031687668024
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
853000000.00000000
COP
13671.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV59HVE3 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BEV59HVE3 IRS JPY P F .42520 2 CCPOIS
000000000
90000000.00000000
OU
Notional Amount
4579.63000000
0.010614349566
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-06-15
0.00000000
JPY
0.00000000
JPY
90000000.00000000
JPY
4579.63000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
2757.76000000
0.006391745328
N/A
DFE
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
626719.43000000
USD
852000.00000000
CAD
2023-06-21
2757.76000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBFCAX2 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBFCAX2 IRS CLP P F 5.62000 2 CCPNDFCAMARAPROMEDIO
000000000
95000000.00000000
OU
Notional Amount
3334.59000000
0.007728681993
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
95000000.00000000
CLP
3334.59000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
1479.66000000
0.003429453575
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
66788.54000000
USD
2320000.00000000
THB
2023-06-21
1479.66000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: BMIBW1VW6 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBW1VW6 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
400000000.00000000
OU
Notional Amount
-763.38000000
-0.00176930934
N/A
DIR
CO
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-05-15
0.00000000
COP
0.00000000
COP
400000000.00000000
COP
-763.38000000
N
N
N
DOM REP CB NOTES
549300DTVR57NON7XL66
Dominican Republic Central Bank Notes
25714PEU8
6240000.00000000
PA
117413.35000000
0.272132539228
Long
DBT
NUSS
DO
N
2
2026-01-30
Fixed
13.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBBF3E9 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BMIBBF3E9 IRS COP P F 11.93300 2 CCPNDFOIS
000000000
1135000000.00000000
OU
Notional Amount
-23573.98000000
-0.05463813984
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
COP
0.00000000
COP
1135000000.00000000
COP
-23573.98000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-7054.00000000
-0.01634927315
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7834100.00000000
MXN
424306.60000000
USD
2023-06-21
-7054.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBK1MG4 IRS KRW R F 3.35500 2 CCPNDF / Short: SMIBK1MG4 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
221000000.00000000
OU
Notional Amount
389.91000000
0.000903706421
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-12
0.00000000
KRW
0.00000000
KRW
221000000.00000000
KRW
389.91000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-34459.76000000
-0.07986844758
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
1164497.00000000
EUR
1252289.54000000
USD
2023-06-21
-34459.76000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-1726.74000000
-0.00400211850
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3327964.00000000
ZAR
179392.51000000
USD
2023-06-21
-1726.74000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV56GJV4 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPOUNDING / Short: BEV56GJV4 IRS CLP P F 2.25000 CLF LEG 2.25 FIXED RATE
000000000
158776700.00000000
OU
Notional Amount
-36168.65000000
-0.08382919459
N/A
DIR
CL
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2032-04-11
0.00000000
CLP
0.00000000
CLP
158776700.00000000
CLP
-36168.65000000
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
187260000.00000000
PA
1784436.88000000
4.135844341790
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBK5R13 IRS USD R F 3.22950 2 CCPOIS / Short: SMIBK5R13 IRS USD P V 00MSOFR 1 CCPOIS
000000000
160000.00000000
OU
Notional Amount
USD
1329.39000000
0.003081168166
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-01-13
0.00000000
USD
0.00000000
USD
160000.00000000
USD
1329.39000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BEV57Q330 EATON VANCE
000000000
-1000000.00000000
NC
USD
-744.40000000
-0.00172531881
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
1000000.00000000
OU
Notional Amount
N/A
-744.40000000
0.00000000
DIR
US
N/A
N/A
2033-05-05
0.00000000
N/A
0.00000000
N/A
1000000.00000000
USD
1.00000000
3.31000000
USD
2023-05-03
XXXX
22255.60000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBRRTP3 IRS JPY R V 00MTONAR 1 CCPOIS / Short: BMIBRRTP3 IRS JPY P F 1.27820 2 CCPOIS
000000000
26000000.00000000
OU
Notional Amount
-13785.53000000
-0.03195114766
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-03-15
0.00000000
JPY
0.00000000
JPY
26000000.00000000
JPY
-13785.53000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE JUN23
000000000
-1.00000000
NC
-110.19000000
-0.00025539075
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
CME 1 Year Mid-Curve 3 Month Eurodollar Option
OEM3 Comdty
2023-06-08
-117870.00000000
EUR
-110.19000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RGQGK7 CDS USD R F 1.00000 2 CCPCORPORATE / Short: S92RGQGK7 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1400000.00000000
OU
Notional Amount
USD
-293981.16000000
-0.68136919316
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Petroleos Mexicanos
Petroleos Mexicanos
Y
sell protection
2028-06-20
0.00000000
USD
-298429.88000000
USD
1400000.00000000
USD
4448.72000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-41941.83000000
-0.09720987177
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
1417338.40000000
EUR
1524192.89000000
USD
2023-06-21
-41941.83000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBSAZB3 IRS CNY R F 2.89300 2 CCPNDF / Short: SMIBSAZB3 IRS CNY P V 00MCNRR 1 CCPNDF
000000000
3000000.00000000
OU
Notional Amount
2942.37000000
0.006819621614
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-21
0.00000000
CNY
0.00000000
CNY
3000000.00000000
CNY
2942.37000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-15526.18000000
-0.03598550580
N/A
DFE
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
2054316.00000000
PEN
537033.96000000
USD
2023-06-21
-15526.18000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUQD8 IRS EUR R F 2.29150 2 CCPINFLATIONZERO / Short: SEV4XUQD8 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
000000000
200000.00000000
OU
Notional Amount
-37394.58000000
-0.08667057032
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA
2046-10-15
0.00000000
EUR
0.00000000
EUR
200000.00000000
EUR
-37394.58000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
1486.30000000
0.003444843308
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
89222.13000000
USD
3082600.00000000
THB
2023-06-21
1486.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBL7BQ0 IRS ZAR R F 7.66500 2 CCPVANILLA / Short: SMIBL7BQ0 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
11646215.00000000
OU
Notional Amount
-18344.90000000
-0.04251854000
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-01-19
0.00000000
ZAR
-100.24000000
ZAR
11646215.00000000
ZAR
-18338.89000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
9000000.00000000
PA
440885.61000000
1.021854163592
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
4421.35000000
0.010247499132
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
65518.76000000
USD
1027000000.00000000
IDR
2023-07-11
4421.35000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3QXT80 IRS THB R F 1.37000 CCP LCH / Short: SEV3QXT80 IRS THB P V 06MBOFX BOFX6M+0BPS CCP LCH
000000000
70000000.00000000
OU
Notional Amount
-125162.40000000
-0.29009275119
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
-125162.40000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
27560000.00000000
PA
1583285.65000000
3.669629937815
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
8036000000.00000000
PA
560249.43000000
1.298507367241
Long
DBT
NUSS
ID
N
2
2043-06-15
Fixed
7.12500000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
2453603.20000000
PA
1665696.47000000
3.860636034707
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV5AA299 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BEV5AA299 IRS COP P F 9.23300 2 CCPNDFOIS
000000000
213000000.00000000
OU
Notional Amount
1015.74000000
0.002354211896
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
213000000.00000000
COP
1015.74000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
1053000000.00000000
PA
71389.38000000
0.165461365793
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) JUN23
000000000
-1.00000000
NC
-23202.50000000
-0.05377714920
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
TSE Japanese 10 Year Bond Futures
JBM3 Comdty
2023-06-13
-145438776.00000000
JPY
-23202.50000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV58H438 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BEV58H438 IRS COP P F 8.85000 2 CCPNDFOIS
000000000
211000000.00000000
OU
Notional Amount
1419.23000000
0.003289393102
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
211000000.00000000
COP
1419.23000000
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BL5
10995880.38000000
PA
301462.95000000
0.698709968388
Long
DBT
NUSS
UY
N
2
2040-07-02
Fixed
3.87500000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
1581000.00000000
PA
360016.46000000
0.834421242763
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.40000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5028.46000000
-0.01165461668
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
646089.19000000
EUR
708889.06000000
USD
2023-06-21
-5028.46000000
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
124900000.00000000
PA
1528930.13000000
3.543648474219
Long
DBT
NUSS
IN
N
2
2029-04-18
Fixed
7.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBJPZJ3 IRS CAD R F 4.44100 2 CCPVANILLA / Short: SMIBJPZJ3 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
3230000.00000000
OU
Notional Amount
1493.84000000
0.003462318998
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-10
0.00000000
CAD
0.00000000
CAD
3230000.00000000
CAD
1493.84000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBBKJA9 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BMIBBKJA9 IRS COP P F 11.92500 2 CCPNDFOIS
000000000
726000000.00000000
OU
Notional Amount
-28052.02000000
-0.06501703113
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-12-21
0.00000000
COP
0.00000000
COP
726000000.00000000
COP
-28052.02000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-2428.31000000
-0.00562816891
N/A
DFE
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
474000.00000000
PEN
125065.96000000
USD
2023-06-21
-2428.31000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBM87U3 IRS KRW R F 3.10000 2 CCPNDF / Short: SMIBM87U3 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
623000000.00000000
OU
Notional Amount
-841.12000000
-0.00194948974
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-01
0.00000000
KRW
0.00000000
KRW
623000000.00000000
KRW
-841.12000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-17965.15000000
-0.04163838172
N/A
DFE
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
7818533946.00000000
IDR
514377.23000000
USD
2023-07-25
-17965.15000000
N
N
N
RIKISBREF
549300K5GD3JPA2LLG98
Iceland Rikisbref
000000000
3915800.00000000
PA
26216.78000000
0.060763438840
Long
DBT
NUSS
IS
N
2
2028-11-15
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SMIBX6BD8 IRS MXN R F 8.73250 2 CCPVANILLA / Short: SMIBX6BD8 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
13000000.00000000
OU
Notional Amount
6428.60000000
0.014899764308
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-04-17
0.00000000
MXN
0.00000000
MXN
13000000.00000000
MXN
6428.60000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RGQE94 CDS USD R F 1.00000 2 CCPCORPORATE / Short: S92RGQE94 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
700000.00000000
OU
Notional Amount
USD
-130956.59000000
-0.30352212389
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Petroleos Mexicanos
Petroleos Mexicanos
Y
sell protection
2027-12-20
0.00000000
USD
-145761.34000000
USD
700000.00000000
USD
14804.75000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
28963.32000000
0.067129179229
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
643626.70000000
USD
9878356800.00000000
IDR
2023-07-25
28963.32000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBFCCA0 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBFCCA0 IRS CLP P F 5.67000 2 CCPNDFCAMARAPROMEDIO
000000000
95000000.00000000
OU
Notional Amount
3074.28000000
0.007125353485
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
95000000.00000000
CLP
3074.28000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBFB2K1 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BMIBFB2K1 IRS TWD P F 1.16500 2 CCPNDF
000000000
15300000.00000000
OU
Notional Amount
3742.42000000
0.008673922151
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-21
0.00000000
TWD
0.00000000
TWD
15300000.00000000
TWD
3742.42000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-45274.67000000
-0.10493449773
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
1529964.58000000
EUR
1645310.06000000
USD
2023-06-21
-45274.67000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-48.62000000
-0.00011268807
N/A
DFE
CL
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
125569.37000000
USD
102000000.00000000
CLP
2023-06-22
-48.62000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBPC5P4 IRS JPY R V 00MTONAR 1 CCPOIS / Short: BMIBPC5P4 IRS JPY P F 1.29520 2 CCPOIS
000000000
11100000.00000000
OU
Notional Amount
-6249.27000000
-0.01448412564
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-03-15
0.00000000
JPY
0.00000000
JPY
11100000.00000000
JPY
-6249.27000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
167.27000000
0.000387686833
N/A
DFE
XX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
240279.22000000
USD
217602.00000000
EUR
2023-06-21
167.27000000
N
N
N
DOM REP CB NOTES
549300DTVR57NON7XL66
Dominican Republic Central Bank Notes
25714PER5
8440000.00000000
PA
159385.41000000
0.369412476003
Long
DBT
NUSS
DO
N
2
2025-12-05
Fixed
13.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE JUN23
000000000
-10.00000000
NC
-2395.80000000
-0.00555281948
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 10 Year Euro BUND Futures
RXM3 Comdty
2023-06-08
-1353425.76000000
EUR
-2395.80000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUPY3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4XUPY3 IRS USD P F 2.62250 2 CCPINFLATIONZERO
000000000
800000.00000000
OU
Notional Amount
USD
546.94000000
0.001267659691
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2046-10-29
0.00000000
USD
0.00000000
USD
800000.00000000
USD
546.94000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
75.12000000
0.000174107938
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
157600000.00000000
CLP
194016.99000000
USD
2023-06-22
75.12000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: BMIBXT735 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBXT735 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
645914800.00000000
OU
Notional Amount
-3996.48000000
-0.00926276484
N/A
DIR
CO
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-06-29
0.00000000
COP
0.00000000
COP
645914800.00000000
COP
-3996.48000000
N
N
N
Landsbankinn HF
549300TLZPT6JELDWM92
Landsbankinn HF
000000000
40000000.00000000
PA
289783.60000000
0.671640379010
Long
DBT
CORP
IS
Y
2
2023-11-23
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-13122.70000000
-0.03041488614
N/A
DFE
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
1919000.00000000
PEN
503040.79000000
USD
2023-06-21
-13122.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV5ABA23 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV5ABA23 IRS PLN P F 6.78000 2 CCPVANILLA
000000000
650000.00000000
OU
Notional Amount
-15501.27000000
-0.03592777112
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-06-28
0.00000000
PLN
0.00000000
PLN
650000.00000000
PLN
-15501.27000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
13426.19000000
0.031118294272
N/A
DFE
PE
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
539134.04000000
USD
2054316.33000000
PEN
2023-06-21
13426.19000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBXJQQ5 TRS COP R V 00MDTF DTF RATE 90D NON COMPOUNDING / Short: BMIBXJQQ5 TRS COP P F .00000 NO INDEX+0BPS COLUMBIA TRS
000000000
455200000.00000000
OU
Notional Amount
1393.69000000
0.003230198257
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-05-16
0.00000000
COP
0.00000000
COP
455200000.00000000
COP
1393.69000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-2712.10000000
-0.00628591773
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
623000000.00000000
COP
128438.25000000
USD
2023-06-21
-2712.10000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-8968.22000000
-0.02078591983
N/A
DFE
KR
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
265330.15000000
USD
342000000.00000000
KRW
2023-06-21
-8968.22000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-2882.52000000
-0.00668090542
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
451522.07000000
PEN
118565.74000000
USD
2023-06-21
-2882.52000000
N
N
N
Republic of Cyprus
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
407000.00000000
PA
399232.89000000
0.925314370975
Long
DBT
NUSS
CY
Y
2
2034-02-26
Fixed
2.75000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-6102.34000000
-0.01414358145
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
2435000000.00000000
IDR
159724.50000000
USD
2023-07-11
-6102.34000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
110225.35000000
0.255472690140
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
2449441.48000000
USD
37593929911.00000000
IDR
2023-07-25
110225.35000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUPG2 IRS USD R F 2.75000 2 CCPINFLATIONZERO / Short: SEV4XUPG2 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
1300000.00000000
OU
Notional Amount
USD
-21649.77000000
-0.05017833903
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2036-10-29
0.00000000
USD
0.00000000
USD
1300000.00000000
USD
-21649.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBF8TJ2 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BMIBF8TJ2 IRS TWD P F 1.18500 2 CCPNDF
000000000
46100000.00000000
OU
Notional Amount
9914.00000000
0.022977983286
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-21
0.00000000
TWD
0.00000000
TWD
46100000.00000000
TWD
9914.00000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-1153.08000000
-0.00267252904
N/A
DFE
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
233000.00000000
PEN
61518.15000000
USD
2023-06-21
-1153.08000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBM9YT4 IRS THB R F 2.19000 2 CCPNDFOIS / Short: SMIBM9YT4 IRS THB P V 12MTHOR 1 CCPNDFOIS
000000000
10600000.00000000
OU
Notional Amount
789.21000000
0.001829176335
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-02
0.00000000
THB
0.00000000
THB
10600000.00000000
THB
789.21000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBK05U4 IRS KRW R F 3.38550 2 CCPNDF / Short: SMIBK05U4 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
238000000.00000000
OU
Notional Amount
561.57000000
0.001301568093
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-12
0.00000000
KRW
0.00000000
KRW
238000000.00000000
KRW
561.57000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-130.53000000
-0.00030253340
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
728323700.00000000
IDR
49459.02000000
USD
2023-07-25
-130.53000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUQK2 IRS EUR R F 2.29000 2 CCPINFLATIONZERO / Short: SEV4XUQK2 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
000000000
300000.00000000
OU
Notional Amount
-56207.12000000
-0.13027297397
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA
2046-10-15
0.00000000
EUR
0.00000000
EUR
300000.00000000
EUR
-56207.12000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBFCKY9 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BMIBFCKY9 IRS PLN P F 5.85000 2 CCPVANILLA
000000000
590000.00000000
OU
Notional Amount
-4793.45000000
-0.01110992676
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-12-21
0.00000000
PLN
0.00000000
PLN
590000.00000000
PLN
-4793.45000000
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
140000000.00000000
PA
1007286.91000000
2.334619909493
Long
DBT
CORP
IS
Y
2
2024-04-12
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBFGX91 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBFGX91 IRS CLP P F 5.68000 2 CCPNDFCAMARAPROMEDIO
000000000
84000000.00000000
OU
Notional Amount
2672.26000000
0.006193579344
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
84000000.00000000
CLP
2672.26000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV58NJZ8 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BEV58NJZ8 IRS COP P F 8.75000 2 CCPNDFOIS
000000000
400000000.00000000
OU
Notional Amount
2894.91000000
0.006709622109
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
400000000.00000000
COP
2894.91000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
1885.96000000
0.004371147605
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
640000.00000000
CNY
94298.48000000
USD
2023-05-08
1885.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBM87R0 IRS NZD R F 4.98000 2 CCPVANILLA / Short: SMIBM87R0 IRS NZD P V 03MNZDBB 1 CCPVANILLA
000000000
1000000.00000000
OU
Notional Amount
-2062.79000000
-0.00478099194
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-02
0.00000000
NZD
0.00000000
NZD
1000000.00000000
NZD
-2062.79000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-15152.81000000
-0.03512013465
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
1684080.03000000
BRL
314194.04000000
USD
2023-09-11
-15152.81000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BM8
34000000.00000000
PA
601427.11000000
1.393946145011
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBQG6X6 IRS ZAR R F 8.38000 2 CCPVANILLA / Short: SMIBQG6X6 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
3021148.00000000
OU
Notional Amount
-250.01000000
-0.00057945588
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-27
0.00000000
ZAR
-74.31000000
ZAR
3021148.00000000
ZAR
-245.85000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
4349.00000000
0.010079811308
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
65591.11000000
USD
1027000000.00000000
IDR
2023-07-11
4349.00000000
N
N
N
Credit Agricole CIB
1VUV7VQFKUOQSJ21A208
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
2658.70000000
0.006162150914
N/A
DFE
MY
N
2
Credit Agricole CIB
1VUV7VQFKUOQSJ21A208
182183.98000000
USD
819500.00000000
MYR
2023-06-21
2658.70000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-16546.32000000
-0.03834991571
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
27881000.00000000
MXN
1518635.10000000
USD
2023-06-21
-16546.32000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBRNWX1 IRS JPY R V 00MTONAR 1 CCPOIS / Short: BMIBRNWX1 IRS JPY P F 1.28209 2 CCPOIS
000000000
23000000.00000000
OU
Notional Amount
-12367.44000000
-0.02866439677
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-03-15
0.00000000
JPY
0.00000000
JPY
23000000.00000000
JPY
-12367.44000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUQG1 IRS EUR R F 2.29150 2 CCPINFLATIONZERO / Short: SEV4XUQG1 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
000000000
300000.00000000
OU
Notional Amount
-56091.86000000
-0.13000583231
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA
2046-10-15
0.00000000
EUR
0.00000000
EUR
300000.00000000
EUR
-56091.86000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
1564.13000000
0.003625232297
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
600000.00000000
NZD
372531.00000000
USD
2023-06-21
1564.13000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
12007.18000000
0.027829411071
N/A
DFE
ID
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
416942.42000000
USD
6300000000.00000000
IDR
2023-07-25
12007.18000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBFCEY6 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBFCEY6 IRS CLP P F 5.64000 2 CCPNDFCAMARAPROMEDIO
000000000
95000000.00000000
OU
Notional Amount
3230.47000000
0.007487359861
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
95000000.00000000
CLP
3230.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUPP2 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPP2 IRS EUR P F 2.20000 2 CCPINFLATIONZERO
000000000
300000.00000000
OU
Notional Amount
43909.05000000
0.101769358183
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA
2036-10-15
0.00000000
EUR
0.00000000
EUR
300000.00000000
EUR
43909.05000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV58QP27 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BEV58QP27 IRS COP P F 8.59700 2 CCPNDFOIS
000000000
210500000.00000000
OU
Notional Amount
1688.05000000
0.003912445499
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
210500000.00000000
COP
1688.05000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBGE109 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBGE109 IRS CLP P F 5.57600 2 CCPNDFCAMARAPROMEDIO
000000000
643000000.00000000
OU
Notional Amount
24120.56000000
0.055904965154
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
643000000.00000000
CLP
24120.56000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
2009.93000000
0.004658476694
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
49616.55000000
USD
758240122.00000000
IDR
2023-07-25
2009.93000000
N
N
N
JPMorgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
Long: BMIBTF7F3 IRS MYR R F 3.63000 2 NDF / Short: BMIBTF7F3 IRS MYR P V 03MKLIBO 1 NDF
000000000
1800000.00000000
OU
Notional Amount
3387.14000000
0.007850478748
N/A
DIR
GB
N
2
JPMorgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
N/A
N/A
Y
2028-06-21
0.00000000
MYR
0.00000000
MYR
1800000.00000000
MYR
3387.14000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV5AB198 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV5AB198 IRS PLN P F 6.51000 2 CCPVANILLA
000000000
650000.00000000
OU
Notional Amount
-12494.51000000
-0.02895891082
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-06-28
0.00000000
PLN
0.00000000
PLN
650000.00000000
PLN
-12494.51000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-4677.83000000
-0.01084195073
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
158077.63000000
EUR
169995.25000000
USD
2023-06-21
-4677.83000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBXCEX8 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBXCEX8 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
391000000.00000000
OU
Notional Amount
-1151.87000000
-0.00266972459
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-06-26
0.00000000
COP
0.00000000
COP
391000000.00000000
COP
-1151.87000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
6865.55000000
0.015912496787
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
13297981.54000000
ZAR
724290.93000000
USD
2023-09-18
6865.55000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV56Z3G2 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPOUNDING / Short: BEV56Z3G2 IRS CLP P F 1.85000 CLF LEG 1.85 FIXED
000000000
28777725.00000000
OU
Notional Amount
-5024.51000000
-0.01164546165
N/A
DIR
CL
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2032-04-20
0.00000000
CLP
0.00000000
CLP
28777725.00000000
CLP
-5024.51000000
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216KAF9
1000000.00000000
PA
USD
818747.09000000
1.897635359079
Long
DBT
NUSS
IN
Y
2
2031-01-13
Fixed
2.25000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
1891000.00000000
PA
402597.32000000
0.933112214057
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBFGPY5 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBFGPY5 IRS CLP P F 5.72000 2 CCPNDFCAMARAPROMEDIO
000000000
72000000.00000000
OU
Notional Amount
2132.68000000
0.004942978151
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
72000000.00000000
CLP
2132.68000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBL7DB1 IRS ZAR R F 7.71000 2 CCPVANILLA / Short: SMIBL7DB1 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
11234913.00000000
OU
Notional Amount
-16624.42000000
-0.03853093049
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-01-19
0.00000000
ZAR
-109.80000000
ZAR
11234913.00000000
ZAR
-16617.82000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
1508000.00000000
PA
31041.17000000
0.071945076200
Long
DBT
NUSS
UA
N
2
2023-11-22
Fixed
11.67000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797FE2
2250000.00000000
PA
USD
2246050.78000000
5.205741101829
Long
STIV
UST
US
N
2
2023-05-16
None
0.00000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-14196.08000000
-0.03290269204
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
479727.24000000
EUR
515894.33000000
USD
2023-06-21
-14196.08000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBSC0J0 CDS USD R F 1.00000 2 SOVEREIGN / Short: BMIBSC0J0 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
900000.00000000
OU
Notional Amount
USD
-12601.31000000
-0.02920644447
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Vietnam Government International Bonds
Vietnam Government International Bonds
Y
sell protection
2028-06-20
0.00000000
USD
-14703.01000000
USD
900000.00000000
USD
2101.70000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-6570.71000000
-0.01522913703
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
922000.00000000
PEN
241424.46000000
USD
2023-06-21
-6570.71000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBH7AM5 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BMIBH7AM5 IRS PLN P F 5.97530 2 CCPVANILLA
000000000
1500000.00000000
OU
Notional Amount
-15537.71000000
-0.03601222924
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-12-21
0.00000000
PLN
0.00000000
PLN
1500000.00000000
PLN
-15537.71000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBJV1S7 IRS KRW R F 3.43000 2 CCPNDF / Short: SMIBJV1S7 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
397000000.00000000
OU
Notional Amount
1259.08000000
0.002918208512
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-11
0.00000000
KRW
0.00000000
KRW
397000000.00000000
KRW
1259.08000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBWKLR6 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBWKLR6 TRS COP P V 00MDTF DTF RATE 90D NON COMOUNDING
000000000
881000000.00000000
OU
Notional Amount
-1018.08000000
-0.00235963538
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-05-22
0.00000000
COP
0.00000000
COP
881000000.00000000
COP
-1018.08000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-2811.81000000
-0.00651701867
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
1143000000.00000000
IDR
75028.06000000
USD
2023-07-11
-2811.81000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBKCYE2 IRS KRW R F 3.24000 2 CCPNDF / Short: SMIBKCYE2 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
200000000.00000000
OU
Notional Amount
-71.48000000
-0.00016567139
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-17
0.00000000
KRW
0.00000000
KRW
200000000.00000000
KRW
-71.48000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBGHUR1 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBGHUR1 IRS CLP P F 5.57000 2 CCPNDFCAMARAPROMEDIO
000000000
59000000.00000000
OU
Notional Amount
2232.63000000
0.005174635346
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
59000000.00000000
CLP
2232.63000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SMIBX6DB0 IRS MXN R F 8.71250 2 CCPVANILLA / Short: SMIBX6DB0 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
4000000.00000000
OU
Notional Amount
1799.22000000
0.004170107634
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-04-17
0.00000000
MXN
0.00000000
MXN
4000000.00000000
MXN
1799.22000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBLNZD8 IRS ZAR R F 7.71300 2 CCPVANILLA / Short: SMIBLNZD8 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
11918872.00000000
OU
Notional Amount
-17580.70000000
-0.04074733011
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-01-20
0.00000000
ZAR
-109.76000000
ZAR
11918872.00000000
ZAR
-17574.09000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBM9YQ0 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BMIBM9YQ0 IRS TWD P F 1.25000 2 CCPNDF
000000000
5500000.00000000
OU
Notional Amount
684.86000000
0.001587321125
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-02
0.00000000
TWD
0.00000000
TWD
5500000.00000000
TWD
684.86000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-32882.94000000
-0.07621380328
N/A
DFE
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
9878356800.00000000
IDR
639707.08000000
USD
2023-07-25
-32882.94000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBWZ7F5 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBWZ7F5 TRS COP P V 00MDTF DTF RATE 90D NON COMPOMDING
000000000
213000000.00000000
OU
Notional Amount
-290.48000000
-0.00067325444
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-05-24
0.00000000
COP
0.00000000
COP
213000000.00000000
COP
-290.48000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIB2G5H8 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BMIB2G5H8 IRS COP P F 10.28000 2 CCPNDFOIS
000000000
252000000.00000000
OU
Notional Amount
-146.74000000
-0.00034010381
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
252000000.00000000
COP
-146.74000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV506FA2 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV506FA2 IRS COP P F 6.17500 2 CCPNDF
000000000
318000000.00000000
OU
Notional Amount
5864.32000000
0.013591915165
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
318000000.00000000
COP
5864.32000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714RCZ5
10930000.00000000
PA
199491.55000000
0.462367712497
Long
DBT
NUSS
DO
N
2
2025-08-08
Fixed
12.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-14203.48000000
-0.03291984325
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4280000.00000000
MXN
221461.54000000
USD
2023-06-21
-14203.48000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-69645.84000000
-0.16142030941
N/A
DFE
JP
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
5601540.73000000
USD
748013672.00000000
JPY
2023-06-21
-69645.84000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
842.81000000
0.001953406707
N/A
DFE
ZA
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
76438.47000000
USD
1420000.00000000
ZAR
2023-06-21
842.81000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBPC541 IRS JPY R V 00MTONAR 1 CCPOIS / Short: BMIBPC541 IRS JPY P F 1.29770 2 CCPOIS
000000000
11000000.00000000
OU
Notional Amount
-6246.01000000
-0.01447656983
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-03-15
0.00000000
JPY
0.00000000
JPY
11000000.00000000
JPY
-6246.01000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-1607.55000000
-0.00372586816
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3327963.00000000
ZAR
179511.64000000
USD
2023-06-21
-1607.55000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIB310M4 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BMIB310M4 IRS COP P F 10.00200 2 CCPNDFOIS
000000000
351773000.00000000
OU
Notional Amount
294.96000000
0.000683637880
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
351773000.00000000
COP
294.96000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SMIBQ77L1 IRS MXN R F 9.19300 2 CCPVANILLA / Short: SMIBQ77L1 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
18100000.00000000
OU
Notional Amount
25883.01000000
0.059989849827
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-02-18
0.00000000
MXN
0.00000000
MXN
18100000.00000000
MXN
25883.01000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBQC342 IRS ZAR R F 8.39000 2 CCPVANILLA / Short: SMIBQC342 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
2819738.00000000
OU
Notional Amount
-173.40000000
-0.00040189452
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-24
0.00000000
ZAR
-69.99000000
ZAR
2819738.00000000
ZAR
-169.48000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
905.80000000
0.002099400571
N/A
DFE
CZ
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
88579.69000000
EUR
2114220.00000000
CZK
2023-06-21
905.80000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN23
000000000
14.00000000
NC
USD
50048.06000000
0.115997930825
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYM3 Comdty
2023-06-21
1562795.69000000
USD
50048.06000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQC6
1800000.00000000
PA
USD
1698045.66000000
3.935612749167
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
7.31500000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
549300BI6Y5SI6BYPB26
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
61747C707
4243350.15000000
NS
USD
4243350.15000000
9.834943395762
Long
STIV
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBMBWS3 IRS USD R F 3.18000 2 CCPVANILLA / Short: SMIBMBWS3 IRS USD P V 12MSOFR 1 CCPVANILLA
000000000
1000000.00000000
OU
Notional Amount
USD
-1993.20000000
-0.00461970105
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-02-02
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
-1993.20000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052656
2700000.00000000
PA
USD
2723202.45000000
6.311650230173
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
5.50000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
3948.68000000
0.009151977309
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
1000000.00000000
NZD
622226.80000000
USD
2023-06-21
3948.68000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-3497.51000000
-0.00810628669
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
1398000000.00000000
IDR
91708.21000000
USD
2023-07-11
-3497.51000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBFPEW1 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BMIBFPEW1 IRS PLN P F 5.55500 2 CCPVANILLA
000000000
890000.00000000
OU
Notional Amount
-209.86000000
-0.00048639898
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-21
0.00000000
PLN
0.00000000
PLN
890000.00000000
PLN
-209.86000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-110594.50000000
-0.25632828047
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
37719834412.00000000
IDR
2457644.82000000
USD
2023-07-25
-110594.50000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
405000.00000000
PA
269533.50000000
0.624706098261
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBQHF22 IRS ZAR R F 8.26100 2 CCPVANILLA / Short: SMIBQHF22 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
3158107.00000000
OU
Notional Amount
-1073.09000000
-0.00248713375
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-27
0.00000000
ZAR
-67.75000000
ZAR
3158107.00000000
ZAR
-1069.30000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-3689.46000000
-0.00855117512
N/A
DFE
CO
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
104799.43000000
USD
480300000.00000000
COP
2023-06-21
-3689.46000000
N
N
N
TITULOS DE TESORERIA
549300MHDRBVRF6B9117
Colombian TES
000000000
1367900000.00000000
PA
214227.78000000
0.496522326845
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-8867.66000000
-0.02055284882
N/A
DFE
AU
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
619663.06000000
USD
920000.00000000
AUD
2023-07-20
-8867.66000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1420.79000000
-0.00329300876
N/A
DFE
MY
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
124940.37000000
USD
550000.00000000
MYR
2023-05-15
-1420.79000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIB2M5A0 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BMIB2M5A0 IRS COP P F 10.17000 2 CCPNDFOIS
000000000
131000000.00000000
OU
Notional Amount
-2.63000000
-0.00000609563
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
8516.32000000
COP
0.00000000
COP
131000000.00000000
COP
-5.02000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBRYAT0 IRS EUR R F 2.63800 2 CCPINFLATIONZERO / Short: SMIBRYAT0 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
000000000
110000.00000000
OU
Notional Amount
-1865.66000000
-0.00432409766
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Eurostat Eurozone HICP ex Tobacco NSA
2053-03-13
0.00000000
EUR
0.00000000
EUR
110000.00000000
EUR
-1865.66000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
529000000.00000000
PA
37437.48000000
0.086770000981
Long
DBT
NUSS
ID
N
2
2048-05-15
Fixed
7.37500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBR34G3 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBR34G3 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
309900000.00000000
OU
Notional Amount
3977.91000000
0.009219724580
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-05-05
0.00000000
COP
0.00000000
COP
309900000.00000000
COP
3977.91000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1319.65000000
0.003058593468
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2067559.76000000
USD
1872318.00000000
EUR
2023-06-21
1319.65000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBF87A5 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBF87A5 IRS CLP P F 5.58000 2 CCPNDFCAMARAPROMEDIO
000000000
96000000.00000000
OU
Notional Amount
3580.16000000
0.008297847149
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
96000000.00000000
CLP
3580.16000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV50P1Y3 IRS COP R V 03MCPIBR 1 CCPNDF / Short: BEV50P1Y3 IRS COP P F 6.25000 2 CCPNDF
000000000
651600000.00000000
OU
Notional Amount
11782.80000000
0.027309358631
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
651600000.00000000
COP
11782.80000000
N
N
N
Kingdom of Jordan
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
200000.00000000
PA
USD
169492.00000000
0.392836831067
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBFCLK8 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BMIBFCLK8 IRS PLN P F 6.01900 2 CCPVANILLA
000000000
1010000.00000000
OU
Notional Amount
-4729.88000000
-0.01096258862
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-21
0.00000000
PLN
0.00000000
PLN
1010000.00000000
PLN
-4729.88000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
BMIBRKY23 EATON VANCE
000000000
145000.00000000
OU
Notional Amount
USD
33428.74000000
0.077478820759
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Citibank N.A.
E57ODZWZ7FF32TWEFA76
FX Contract
N/A
1.00000000
NC
USD
33428.74000000
0.08000000
DFE
US
696000.00000000
BRL
145000.00000000
USD
2023-09-06
1.00000000
4.80000000
USD
2023-09-06
XXXX
11461.24000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
2165.22000000
0.005018397112
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
731000.00000000
CNY
107717.65000000
USD
2023-05-08
2165.22000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-3077.77000000
-0.00713344236
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
707000000.00000000
COP
145755.77000000
USD
2023-06-21
-3077.77000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
0.00000000
PA
0.00000000
0.000000
Long
DBT
NUSS
IT
Y
2
2026-08-01
None
0.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
BMIBPKKW4 EATON VANCE
000000000
-900000.00000000
NC
USD
-271.80000000
-0.00062995923
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
900000.00000000
OU
Notional Amount
N/A
-271.80000000
0.00000000
DIR
US
N/A
N/A
2033-05-19
0.00000000
N/A
0.00000000
N/A
900000.00000000
USD
1.00000000
3.60000000
USD
2023-05-17
XXXX
12778.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJZ6
105748.33000000
PA
USD
103032.54000000
0.238801692766
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
4.70200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBJV0E9 IRS KRW R F 3.40000 2 CCPNDF / Short: SMIBJV0E9 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
435000000.00000000
OU
Notional Amount
1325.77000000
0.003072777980
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-15
0.00000000
KRW
0.00000000
KRW
435000000.00000000
KRW
1325.77000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBF8731 IRS CLP R V 06MCLICP 1 CCPNDFCAMARAPROMEDIO / Short: BMIBF8731 IRS CLP P F 5.68500 2 CCPNDFCAMARAPROMEDIO
000000000
52000000.00000000
OU
Notional Amount
1640.01000000
0.003801101711
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
CLP
0.00000000
CLP
52000000.00000000
CLP
1640.01000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-108.53000000
-0.00025154332
N/A
DFE
CO
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
3266.24000000
USD
15000000.00000000
COP
2023-06-21
-108.53000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-1522.19000000
-0.00352802666
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
3170200000.00000000
IDR
214327.97000000
USD
2023-07-25
-1522.19000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-12808.87000000
-0.02968751268
N/A
DFE
KR
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
408684.84000000
USD
528118900.00000000
KRW
2023-06-21
-12808.87000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV50CZK5 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV50CZK5 IRS COP P F 6.08750 2 CCPNDF
000000000
636900000.00000000
OU
Notional Amount
12011.55000000
0.027839539554
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
636900000.00000000
COP
12011.55000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV5AEL66 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV5AEL66 IRS PLN P F 6.98500 2 CCPVANILLA
000000000
800000.00000000
OU
Notional Amount
-22302.84000000
-0.05169197949
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-09-21
0.00000000
PLN
0.00000000
PLN
800000.00000000
PLN
-22302.84000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV51GE02 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV51GE02 IRS EUR P F 2.08000 2 CCPINFLATIONZERO
000000000
280000.00000000
OU
Notional Amount
43632.58000000
0.101128575145
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA
2037-01-15
0.00000000
EUR
0.00000000
EUR
280000.00000000
EUR
43632.58000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBD6FH7 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BMIBD6FH7 IRS COP P F 11.54000 2 CCPNDFOIS
000000000
350000000.00000000
OU
Notional Amount
-6162.93000000
-0.01428401276
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
COP
0.00000000
COP
350000000.00000000
COP
-6162.93000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912797FG7
1000000.00000000
PA
USD
996691.18000000
2.310061859579
Long
STIV
UST
US
N
2
2023-05-30
None
0.00000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-493.92000000
-0.00114477360
N/A
DFE
KR
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
53132.34000000
USD
70222353.00000000
KRW
2023-06-21
-493.92000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV51GE44 IRS EUR R F 2.17700 2 CCPINFLATIONZERO / Short: SEV51GE44 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
000000000
280000.00000000
OU
Notional Amount
-58018.77000000
-0.13447189099
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA
2047-01-15
0.00000000
EUR
0.00000000
EUR
280000.00000000
EUR
-58018.77000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBWCUX1 TRS COP R F .00000 N0 INDEX+0BPS COLUMBIA TRS / Short: BMIBWCUX1 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
687700000.00000000
OU
Notional Amount
-1801.96000000
-0.00417645821
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-06-19
0.00000000
COP
0.00000000
COP
687700000.00000000
COP
-1801.96000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
1221.72000000
0.002831618089
N/A
DFE
CZ
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
171059.57000000
EUR
4071560.00000000
CZK
2023-06-21
1221.72000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BEV4RTJY0 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4RTJY0 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
300000.00000000
OU
Notional Amount
USD
1428.12000000
0.003309997729
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2024-06-20
1021.13000000
USD
0.00000000
USD
300000.00000000
USD
406.99000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4YZPN5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4YZPN5 IRS COP P F 6.13500 2 CCPNDFOIS
000000000
310000000.00000000
OU
Notional Amount
5776.05000000
0.013387329066
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
310000000.00000000
COP
5776.05000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-6535.60000000
-0.01514776150
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
1000000.00000000
PEN
262439.64000000
USD
2023-06-21
-6535.60000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
906.94000000
0.002102042784
N/A
DFE
CZ
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
88578.65000000
EUR
2114220.00000000
CZK
2023-06-21
906.94000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-410.17000000
-0.00095066364
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
467865.13000000
EUR
515195.44000000
USD
2023-05-05
-410.17000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797FD4
1500000.00000000
PA
USD
1498628.34000000
3.473417081827
Long
STIV
UST
US
N
2
2023-05-09
None
0.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: BMIBAJM84 CYS PLN R V 03MWIBOR WIBO3+0BPS / Short: BMIBAJM84 CYS EUR P V 03MEURIB EUR003M+0BPS
000000000
1.00000000
NC
27411.14000000
0.063531643815
N/A
DFE
PL
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
90130.00000000
EUR
520798.36000000
PLN
2028-10-14
10831.18000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
15344.96000000
0.035565486626
N/A
DFE
BR
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
314001.89000000
USD
1684080.03000000
BRL
2023-09-11
15344.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBJSMG7 IRS NZD R F 5.17250 2 CCPVANILLA / Short: SMIBJSMG7 IRS NZD P V 03MNZDBB 1 CCPVANILLA
000000000
1850000.00000000
OU
Notional Amount
-851.39000000
-0.00197329283
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-11
0.00000000
NZD
0.00000000
NZD
1850000.00000000
NZD
-851.39000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
1057000.00000000
PA
26249.54000000
0.060839367702
Long
DBT
NUSS
UA
N
2
2023-05-24
Fixed
16.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CEZ0
336449.75000000
PA
USD
319681.79000000
0.740936335245
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.62500000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-474.57000000
-0.00109992551
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
65000.00000000
PEN
17008.82000000
USD
2023-06-21
-474.57000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBRNX36 IRS JPY R V 00MTONAR 1 CCPOIS / Short: BMIBRNX36 IRS JPY P F 1.28770 2 CCPOIS
000000000
25000000.00000000
OU
Notional Amount
-13713.33000000
-0.03178380749
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-03-15
0.00000000
JPY
0.00000000
JPY
25000000.00000000
JPY
-13713.33000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ELX6
975421.97000000
PA
USD
970274.81000000
2.248835824845
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-5496.10000000
-0.01273848032
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
13302023.00000000
ZAR
718445.75000000
USD
2023-06-21
-5496.10000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: BMIBXZEN9 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBXZEN9 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
350000000.00000000
OU
Notional Amount
-702.09000000
-0.00162725562
N/A
DIR
CO
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-06-30
0.00000000
COP
0.00000000
COP
350000000.00000000
COP
-702.09000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-945.53000000
-0.00219148401
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
279273168.00000000
COP
57845.44000000
USD
2023-06-21
-945.53000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1188.91000000
-0.00275557334
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
158281.51000000
USD
700000.00000000
MYR
2023-05-10
-1188.91000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND JUN23
000000000
-1.00000000
NC
-7080.23000000
-0.01641006723
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 30 Year Euro BUXL Futures
UBM3 Comdty
2023-06-08
-133074.53000000
EUR
-7080.23000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV51GDX1 IRS USD R F 2.67000 2 CCPINFLATIONZERO / Short: SEV51GDX1 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
450000.00000000
OU
Notional Amount
USD
-7838.07000000
-0.01816653635
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation Based on US CPI Urban Consumers NSA
2037-01-07
0.00000000
USD
0.00000000
USD
450000.00000000
USD
-7838.07000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
1752.56000000
0.004061962314
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
131085.64000000
USD
1951000000.00000000
IDR
2023-07-25
1752.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBK0617 IRS KRW R F 3.38750 2 CCPNDF / Short: SMIBK0617 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
347000000.00000000
OU
Notional Amount
832.30000000
0.001929047356
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-12
0.00000000
KRW
0.00000000
KRW
347000000.00000000
KRW
832.30000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
625.69000000
0.001450180992
N/A
DFE
ID
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
22415.71000000
USD
338410027.00000000
IDR
2023-07-25
625.69000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
11320.03000000
0.026236782342
N/A
DFE
NZ
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
977924.96000000
USD
1600000.00000000
NZD
2023-06-21
11320.03000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BMIBBKJT8 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BMIBBKJT8 IRS COP P F 12.10000 2 CCPNDFOIS
000000000
511000000.00000000
OU
Notional Amount
-11300.01000000
-0.02619038137
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-12-21
0.00000000
COP
0.00000000
COP
511000000.00000000
COP
-11300.01000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1003.73000000
-0.00232637594
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
135654.53000000
USD
600000.00000000
MYR
2023-05-10
-1003.73000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
1957.50000000
0.004536958067
N/A
DFE
MY
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
113075.77000000
USD
510000.00000000
MYR
2023-06-21
1957.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIB2FNC1 IRS CAD R F 3.45100 2 CCPVANILLA / Short: SMIB2FNC1 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
2280000.00000000
OU
Notional Amount
-1848.60000000
-0.00428455718
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-07-21
0.00000000
CAD
-1.37000000
CAD
2280000.00000000
CAD
-1847.59000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-1094.03000000
-0.00253566704
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
2113400000.00000000
IDR
142801.54000000
USD
2023-07-25
-1094.03000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-2786.88000000
-0.00645923764
N/A
DFE
US
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
823138552.00000000
COP
170495.48000000
USD
2023-06-21
-2786.88000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-15728.40000000
-0.03645419732
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4870000.00000000
MXN
252423.16000000
USD
2023-06-21
-15728.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SMIBV4WY6 IRS SEK R F 3.46600 2 CCPVANILLA / Short: SMIBV4WY6 IRS SEK P V 03MSTIBO 1 CCPVANILLA
000000000
4250000.00000000
OU
Notional Amount
-355.08000000
-0.00082297985
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-04-06
0.00000000
SEK
0.00000000
SEK
4250000.00000000
SEK
-355.08000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
40800000.00000000
PA
864093.30000000
2.002735667278
Long
DBT
NUSS
DO
Y
2
2034-06-10
Fixed
13.00000000
N
N
N
N
N
N
RIKISBREF
549300K5GD3JPA2LLG98
Iceland Rikisbref
000000000
34246575.00000000
PA
251625.11000000
0.583199270935
Long
DBT
NUSS
IS
N
2
2023-05-15
Fixed
1.50000000
N
N
N
N
N
N
DUMMY BROKER
N/A
Long: BMIBAJM8S CYS EUR R F .00000 / Short: BMIBAJM8S CYS PLN P F .00000
000000000
1.00000000
NC
-25814.46000000
-0.05983096937
N/A
DFE
DE
N
2
DUMMY BROKER
N/A
520798.36000000
PLN
90130.00000000
EUR
2028-10-14
-9234.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBV2KE7 IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BMIBV2KE7 IRS AUD P F 3.62780 2 CCPVANILLA
000000000
1550000.00000000
OU
Notional Amount
-482.87000000
-0.00111916267
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-04-05
0.00000000
AUD
0.00000000
AUD
1550000.00000000
AUD
-482.87000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBWCCX1 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BMIBWCCX1 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
604000000.00000000
OU
Notional Amount
-1164.29000000
-0.00269851080
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-05-16
0.00000000
COP
0.00000000
COP
604000000.00000000
COP
-1164.29000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBFPFA8 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BMIBFPFA8 IRS PLN P F 5.53000 2 CCPVANILLA
000000000
510000.00000000
OU
Notional Amount
-1233.75000000
-0.00285950039
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-12-21
0.00000000
PLN
0.00000000
PLN
510000.00000000
PLN
-1233.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBPC4Y6 IRS JPY R V 00MTONAR 1 CCPOIS / Short: BMIBPC4Y6 IRS JPY P F 1.28920 2 CCPOIS
000000000
11900000.00000000
OU
Notional Amount
-6561.98000000
-0.01520890324
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2053-03-15
0.00000000
JPY
0.00000000
JPY
11900000.00000000
JPY
-6561.98000000
N
N
N
HONDURAS GOVERNMENT
5493002DW1JNBNG17615
Honduras Government International Bond
000000000
158333.33000000
PA
USD
156829.16000000
0.363487776610
Long
DBT
NUSS
HN
Y
2
2024-03-15
Fixed
7.50000000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
58766965.20000000
PA
3185179.22000000
7.382388025192
Long
DBT
NUSS
MX
N
2
2028-11-30
Fixed
4.00000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
2100000.00000000
PA
518885.89000000
1.202637816021
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUQ48 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4XUQ48 IRS USD P F 2.62450 2 CCPINFLATIONZERO
000000000
400000.00000000
OU
Notional Amount
USD
91.06000000
0.000211052567
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2046-10-29
0.00000000
USD
0.00000000
USD
400000.00000000
USD
91.06000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: BMIBTF7J5 IRS MYR R F 3.62800 2 NDF / Short: BMIBTF7J5 IRS MYR P V 03MKLIBO 1 NDF
000000000
1500000.00000000
OU
Notional Amount
2791.27000000
0.006469412488
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2028-06-21
0.00000000
MYR
0.00000000
MYR
1500000.00000000
MYR
2791.27000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
8700000000.00000000
PA
586920.86000000
1.360324562396
Long
DBT
NUSS
ID
N
2
2032-04-15
Fixed
6.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBK5QY2 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BMIBK5QY2 IRS USD P F 2.44000 2 CCPINFLATIONZERO
000000000
150000.00000000
OU
Notional Amount
USD
199.33000000
0.000461993283
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2033-01-13
0.00000000
USD
0.00000000
USD
150000.00000000
USD
199.33000000
N
N
N
TITULOS DE TESORERIA
549300MHDRBVRF6B9117
Colombian TES
000000000
1409600000.00000000
PA
230084.78000000
0.533274584357
Long
DBT
NUSS
CO
N
2
2031-03-26
Fixed
7.00000000
N
N
N
N
N
N
TITULOS DE TESORERIA
549300MHDRBVRF6B9117
Colombian TES
000000000
645000000.00000000
PA
110317.24000000
0.255685666424
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
904.35000000
0.002096039861
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
102388.66000000
USD
93729.00000000
EUR
2023-05-05
904.35000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-115.09000000
-0.00026674763
N/A
DFE
CL
N
2
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
68536.21000000
USD
55600000.00000000
CLP
2023-06-22
-115.09000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV59HU20 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BEV59HU20 IRS JPY P F .42520 2 CCPOIS
000000000
80000000.00000000
OU
Notional Amount
4070.78000000
0.009434972241
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-06-15
0.00000000
JPY
0.00000000
JPY
80000000.00000000
JPY
4070.78000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBM8816 IRS JPY R V 00MTONAR 1 CCPOIS / Short: BMIBM8816 IRS JPY P F .89875 2 CCPOIS
000000000
21000000.00000000
OU
Notional Amount
-5308.58000000
-0.01230385944
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-02-02
0.00000000
JPY
0.00000000
JPY
21000000.00000000
JPY
-5308.58000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
2515.86000000
0.005831086244
N/A
DFE
CA
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
556034.32000000
USD
756000.00000000
CAD
2023-06-21
2515.86000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BMIBM6ZS1 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BMIBM6ZS1 IRS PLN P F 5.31580 2 CCPVANILLA
000000000
750000.00000000
OU
Notional Amount
1009.58000000
0.002339934674
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-02-01
0.00000000
PLN
0.00000000
PLN
750000.00000000
PLN
1009.58000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BMIBX62W6 TRS COP R F .00000 NO INDEX+0BPS COLUMBIA TRS / Short: BMIBX62W6 TRS COP P V 00MDTF DTF RATE 90D COMPOUNDING
000000000
699000000.00000000
OU
Notional Amount
-1704.50000000
-0.00395057217
N/A
DIR
CO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2023-06-23
0.00000000
COP
0.00000000
COP
699000000.00000000
COP
-1704.50000000
N
N
N
2023-05-22
International Income Portfolio
James Kirchner
James Kirchner
Treasurer