0001752724-23-276499.txt : 20231211 0001752724-23-276499.hdr.sgml : 20231211 20231211142726 ACCESSION NUMBER: 0001752724-23-276499 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20231031 FILED AS OF DATE: 20231211 DATE AS OF CHANGE: 20231211 PERIOD START: 20231031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Global Macro Absolute Return Advantage Portfolio CENTRAL INDEX KEY: 0001493214 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22424 FILM NUMBER: 231477702 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 FORMER COMPANY: FORMER CONFORMED NAME: Global Strategies Portfolio DATE OF NAME CHANGE: 20100602 0001493214 S000029761 Global Macro Absolute Return Advantage Portfolio C000091471 Global Macro Absolute Return Advantage Portfolio NPORT-P 1 primary_doc.xml NPORT-P false 0001493214 XXXXXXXX S000029761 C000091471 Global Macro Absolute Return Advantage Portfolio 811-22424 0001493214 NKY7JRBKJHQQ68KJ6252 TWO INTERNATIONAL PLACE BOSTON 02110 617-482-8260 Global Macro Absolute Return Advantage Portfolio S000029761 NKY7JRBKJHQQ68KJ6252 2023-10-31 2023-10-31 N 2797185017.95 323656700.96 2473528316.99 0.00000000 6452894.72000000 51398479.68000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 248207011.65000000 AMD BRL CLP CNY COP CZK DOP EUR GBP HUF IDR INR ISK JPY KRW MXN PEN PLN RSD USD UYU UZS ZAR N Vietnam Dairy Products JSC N/A 000000000 352996.00000000 NS 977663.76000000 0.039525068433 Long EC CORP VN N 2 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -58786.01000000 -0.00237660549 N/A DFE NZ N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 3700612.50000000 USD 6250000.00000000 NZD 2023-12-20 -58786.01000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 238052.86000000 0.009624020002 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 39418559.50000000 ILS 10000395.64000000 USD 2023-11-28 238052.86000000 N N N RMOF SD 03/07/2018 N/A 000000000 53480208.52000000 PA USD 3973285.81000000 0.160632315494 Long ABS-MBS CORP US N 2 2039-10-12 Fixed 3.03000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 329460.52000000 0.013319456168 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 40406752.00000000 ILS 10353033.78000000 USD 2023-12-20 329460.52000000 N N N SUSSEX CAPITAL LTD SER 14 NOV N/A 000000000 1081.02000000 NS USD 599146.42000000 0.024222339234 Long STIV CORP US N 3 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2841000000.00000000 OU Notional Amount 452333.31000000 0.018286967118 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 2841000000.00000000 JPY 452333.31000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 61035.87000000 0.002467563018 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 46474700000.00000000 COP 11232338.71000000 USD 2023-12-20 61035.87000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 22097.43000000 0.000893356661 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 8386651.00000000 ZMW 400317.47000000 USD 2023-12-20 22097.43000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -199802.34000000 -0.00807762493 N/A DFE MX N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 4556580.39000000 USD 79159680.00000000 MXN 2023-12-20 -199802.34000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 271522.45000000 0.010977131255 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 42363277.00000000 ILS 10761387.24000000 USD 2023-11-24 271522.45000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -21209.88000000 -0.00085747471 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 82518200.00000000 MXN 4520413.86000000 USD 2023-12-20 -21209.88000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 225000000.00000000 OU Notional Amount -114839.79000000 -0.00464275218 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-20 0.00000000 CZK 0.00000000 CZK 225000000.00000000 CZK -114839.79000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 45000000.00000000 OU Notional Amount 8989.16000000 0.000363414477 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 45000000.00000000 JPY 8989.16000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -88400000.00000000 OU Notional Amount USD -202436.00000000 -0.00818409874 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD -202436.00000000 -0.01000000 DFE CN -88400000.00000000 USD -663000000.00000000 CNY 2024-01-18 1.00000000 7.50000000 USD 2024-01-18 XXXX 135702.40000000 N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 1016000.00000000 PA USD 426247.56000000 0.017232370338 Long DBT NUSS GH Y 2 2051-03-26 Fixed 8.95000000 N Y N N N N TIMES CHINA HLDG LTD 2549000KTINB9ZPZP710 000000000 6284000.00000000 PA USD 217426.40000000 0.008790131833 Long DBT CORP KY Y 2 2024-06-04 None 0.00000000 Y N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -162438.99000000 -0.00656709643 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4766378.88000000 USD 176998063.58000000 TRY 2024-09-23 -162438.99000000 N N N Goodman Property Trust N/A 000000000 -630200.00000000 NS -738112.92000000 -0.02984048797 Short EC NZ N 2 N N N ISLAMIC REP OF PAKISTAN 529900LOP29R5WKHOD86 000000000 -25032000.00000000 PA USD -13830180.00000000 -0.55912761964 Short DBT NUSS PK Y 2 2026-04-08 Fixed 6.00000000 N N N N N N KIDO Group Corp N/A 000000000 38090.00000000 NS 98481.65000000 0.003981423997 Long EC CORP VN N 2 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -332273.96000000 -0.01343319814 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 48141120629.00000000 UGX 12218558.54000000 USD 2024-02-06 -332273.96000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 6374.93000000 0.000257726178 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 8277000.00000000 THB 237636.55000000 USD 2023-12-20 6374.93000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 621240000.00000000 PA 10272685.78000000 0.415304959698 Long DBT NUSS DO Y 2 2027-02-12 Fixed 8.00000000 N N N N N N COOF 9886645005 N/A 000000000 1276780.98000000 PA USD 70474.02000000 0.002849129299 Long ABS-MBS CORP US N 2 2042-12-28 Fixed 1.88000000 N N N N N N ISLAMIC REP OF PAKISTAN 529900LOP29R5WKHOD86 000000000 -6441000.00000000 PA USD -4618023.09000000 -0.18669780565 Short DBT NUSS PK Y 2 2025-09-30 Fixed 8.25000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 7385840.28000000 PA USD 7385840.28000000 0.298595339672 Long RA CORP US N 2 Repurchase N 4.85000000 2024-10-11 7385840.28000000 USD 7385840.28000000 USD UST N N N Titan Cement International SA 213800H2CDP9I374WH83 000000000 7468.00000000 NS 139864.06000000 0.005654435368 Long EC CORP BE N 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -194802.92000000 -0.00787550798 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 11000000.00000000 OMR 28368794.33000000 USD 2024-02-22 -194802.92000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11000000.00000000 OU Notional Amount 1511372.92000000 0.061101904903 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 11000000.00000000 EUR 1511372.92000000 N N N United States Treasury 254900HROIFWPRGM1V77 912797HY6 42000000.00000000 PA USD 41575161.18000000 1.680803930742 Long STIV UST US N 2 2024-01-09 None 0.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -88131.56000000 -0.00356298973 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 553759398.00000000 KES 3418240.54000000 USD 2023-12-21 -88131.56000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 14659900000.00000000 OU Notional Amount 436512.77000000 0.017647373066 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 14659900000.00000000 COP 436512.77000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 37749.49000000 0.001526139391 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 40994000.00000000 PEN 10688603.24000000 USD 2023-12-20 37749.49000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HU7 15581939.00000000 PA USD 4744325.84000000 0.191803983298 Long DBT NUSS AR N 2 2038-01-09 Variable 4.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7156000000.00000000 OU Notional Amount -251423.55000000 -0.01016457132 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 7156000000.00000000 KRW -251423.55000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -764.00000000 NC 1623860.21000000 0.065649550031 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short EUX 10 Year Euro BUND Futures RXZ3 Comdty 2023-12-07 -100083054.05000000 EUR 1623860.21000000 N N N REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 000000000 3531000.00000000 PA USD 2393068.16000000 0.096747150358 Long DBT NUSS NG Y 2 2047-11-28 Fixed 7.62500000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -48877.87000000 -0.00197603842 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 268396676.00000000 TRY 8327475.31000000 USD 2024-03-20 -48877.87000000 N N N HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 12706.34000000 0.000513692926 N/A DFE US N 2 HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 2188101.50000000 ILS 554267.15000000 USD 2023-11-13 12706.34000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -70053.04000000 -0.00283210988 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 5837665.15000000 USD 168067954.00000000 TRY 2023-12-08 -70053.04000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 27150927800.00000000 OU Notional Amount -1741959.05000000 -0.07042405935 N/A DE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 KFE KOSPI 200 Index Futures KMZ3 Index Y equity-performance leg equity-performance leg 2023-12-14 0.00000000 KRW 0.00000000 KRW 27150927800.00000000 KRW -1741959.05000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 23607.55000000 0.000954407913 N/A DFE ZA N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 961221.28000000 USD 18431418.00000000 ZAR 2023-12-20 23607.55000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -305762.78000000 -0.01236140204 N/A DFE NG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1591111.25000000 USD 1352433739.00000000 NGN 2024-06-24 -305762.78000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 -24349052.66000000 PA USD -24349052.66000000 -0.98438544215 Short RA CORP US N 2 Reverse repurchase N 5.65000000 2024-09-29 24349052.66000000 USD 24452231.77000000 USD N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6120000000.00000000 OU Notional Amount -213510.08000000 -0.00863180253 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 6120000000.00000000 KRW -213510.08000000 N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 000000000 15118000.00000000 PA USD 7898493.13000000 0.319320909962 Long DBT NUSS LK Y 2 2025-11-03 Fixed 6.85000000 N Y N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -4240.72000000 -0.00017144416 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1669864.28000000 USD 1494946000.00000000 CLP 2023-12-20 -4240.72000000 N N N MT LOGAN RE DIVERSIFED OPTI N/A 000000000 8600.00000000 NS USD 10175821.86000000 0.411388937418 Long STIV CORP US N 3 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -25895.98000000 -0.00104692474 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 42945000.00000000 SAR 11380379.48000000 USD 2025-06-18 -25895.98000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 55665.80000000 0.002250461400 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1697606.15000000 USD 1573613000.00000000 CLP 2023-12-20 55665.80000000 N N N SUNAC CHINA HOLDINGS LTD 549300OLARYHDXP3WK18 000000000 2800000.00000000 PA USD 406000.00000000 0.016413800368 Long DBT CORP KY Y 2 2023-07-09 Fixed 6.50000000 N Y N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PES3 827650000.00000000 PA 16599398.07000000 0.671081788552 Long DBT NUSS DO N 2 2033-02-03 Fixed 13.62500000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -27456.71000000 -0.00111002206 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 42663000.00000000 MXN 2320622.79000000 USD 2023-12-20 -27456.71000000 N N N Spark New Zealand Ltd 529900HUN51H3Y7QBB66 000000000 -1322400.00000000 NS -3839084.42000000 -0.15520681100 Short EC CORP NZ N 2 N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 9463000.00000000 PA USD 4069941.67000000 0.164539926308 Long DBT NUSS GH Y 2 2029-04-07 Fixed 7.75000000 N Y N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 16465.17000000 0.000665655205 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 860401.71000000 USD 16410872.00000000 ZAR 2023-12-20 16465.17000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -342498.42000000 -0.01384655342 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1084200446.00000000 PKR 3508739.31000000 USD 2023-11-22 -342498.42000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1200079.00000000 OU Notional Amount -11558.64000000 -0.00046729361 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-10-19 0.00000000 EUR 0.00000000 EUR 1200079.00000000 EUR -11558.64000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 31700000.00000000 OU Notional Amount USD -590519.65000000 -0.02387357548 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Qatar Government International Bonds Qatar Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -896530.69000000 USD 31700000.00000000 USD 306011.04000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 471346.24000000 0.019055623368 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 706205700.00000000 CNY 96979767.89000000 USD 2023-12-20 471346.24000000 N N N COOF 1471987007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-12 Fixed 2.88000000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 5542500.00000000 PA 5864520.84000000 0.237091316065 Long RA CORP LU N 2 Repurchase N 3.10000000 2024-09-20 5542500.00000000 USD 5858422.50000000 USD N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10710000.00000000 OU Notional Amount USD 630660.71000000 0.025496401462 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 10710000.00000000 USD 630660.71000000 N N N Meridian Energy Ltd 254900IFKXIGNCY3A092 000000000 -854400.00000000 NS -2406297.88000000 -0.09728200253 Short EC CORP NZ N 2 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC N/A -6199.02000000 -0.00025061447 N/A DFE XX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 30487194.00000000 CZK 1230998.58000000 EUR 2023-12-20 -6199.02000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -124.00000000 NC 1245623.08000000 0.050358149184 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 30 Year Euro BUXL Futures UBZ3 Comdty 2023-12-07 -16109305.92000000 EUR 1245623.08000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 66000000.00000000 OU Notional Amount USD -318795.84000000 -0.01288830363 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Philippines Government International Bonds Philippines Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -570538.46000000 USD 66000000.00000000 USD 251742.62000000 N N N Freddie Mac - STACR 5493000IT4TAVS1FNX06 35565RBD4 3160988.85000000 PA USD 3423833.92000000 0.138419030681 Long ABS-MBS USGSE US N 2 2050-09-25 Floating 10.68500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 394000000.00000000 OU Notional Amount USD -1669829.87000000 -0.06750801511 N/A DCO FR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Bloomberg Commodity 1-Month Forward Index BCOMF1 INDEX Y equity-performance leg 2024-02-26 0.00000000 USD 0.00000000 USD 394000000.00000000 USD -1669829.87000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 4661.48000000 0.000188454685 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 106755.49000000 USD 100000000.00000000 CLP 2023-12-20 4661.48000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 71770.18000000 0.002901530558 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2207483.46000000 USD 2045697000.00000000 CLP 2023-12-20 71770.18000000 N N N ALPHA HOLDING SA 549300R872G37EN6NT94 020ESCAB5 2864000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP MX N 3 2022-12-19 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 101000000.00000000 OU Notional Amount 26938.94000000 0.001089089614 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 101000000.00000000 CNY 26938.94000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11800000.00000000 OU Notional Amount USD -254981.48000000 -0.01030841160 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 USD 0.00000000 USD 11800000.00000000 USD -254981.48000000 N N N COOF 1134817001 N/A 000000000 202231.67000000 PA USD 22169.79000000 0.000896282037 Long ABS-MBS CORP US N 2 2042-12-12 Fixed 3.63000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 11229001.30000000 PA USD 11229001.30000000 0.453966959782 Long RA CORP US N 2 Repurchase N 5.00000000 2024-07-27 11223229.80000000 USD 11223229.80000000 USD CDS N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 17700000.00000000 OU Notional Amount USD -32536.67000000 -0.00131539508 N/A DCR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Petroleos Mexicanos Petroleos Mexicanos Y sell protection 2023-12-20 0.00000000 USD -17974.40000000 USD 17700000.00000000 USD -14562.27000000 N N N RIKISBREF 549300K5GD3JPA2LLG98 000000000 1168840952.00000000 PA 8340568.98000000 0.337193187670 Long DBT NUSS IS N 2 2025-06-12 Fixed 8.00000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -291218.05000000 -0.01177338654 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 698000000.00000000 PKR 2188087.77000000 USD 2023-11-27 -291218.05000000 N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 18253563.75000000 PA USD 18253563.75000000 0.737956530540 Long RA CORP US N 2 Repurchase N 5.00000000 2024-10-11 18253563.75000000 USD 18253563.75000000 USD CDS N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 50000000.00000000 OU Notional Amount USD -1922105.00000000 -0.07770701417 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-03-16 0.00000000 USD 0.00000000 USD 50000000.00000000 USD -1922105.00000000 N N N Georgia Capital PLC 213800Q65T5GNBOW7H65 000000000 175700.00000000 NS 1969722.01000000 0.079632078455 Long EC CORP GB N 2 N N N REPUBLIC OF CYPRUS 213800IOEYYAHPDLUL60 000000000 17969000.00000000 PA 19183189.45000000 0.775539512454 Long DBT NUSS CY Y 2 2033-04-13 Fixed 4.12500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -3846.53000000 -0.00015550782 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 1845019.45000000 EUR 45388807.00000000 CZK 2023-12-20 -3846.53000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 57200000.00000000 OU Notional Amount USD -97638.68000000 -0.00394734433 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Saudi Government International Bonds Saudi Government International Bonds Y buy protection 2033-12-20 0.00000000 USD -817969.33000000 USD 57200000.00000000 USD 720330.65000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 11249.03000000 0.000454776681 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4993000000.00000000 IDR 324452.53000000 USD 2023-12-20 11249.03000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 108000000.00000000 OU Notional Amount 364.96000000 0.000014754631 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 108000000.00000000 CNY 364.96000000 N N N REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 000000000 6333000.00000000 PA USD 4781161.68000000 0.193293185574 Long DBT NUSS NG Y 2 2033-09-28 Fixed 7.37500000 N N N N N N PETRA DIAMONDS US TREAS 635400LZYOO6WHAO2H58 000000000 914110.70000000 PA USD 781564.65000000 0.031597157980 Long DBT CORP GB Y 2 2026-03-08 Fixed 9.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 7890662080.00000000 OU Notional Amount 1062411.18000000 0.042951243885 N/A DIR CL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A Y 2033-01-13 0.00000000 CLP 0.00000000 CLP 7890662080.00000000 CLP 1062411.18000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -114641.22000000 -0.00463472438 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4730872.00000000 BHD 12408844.59000000 USD 2024-03-18 -114641.22000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 90408.44000000 0.003655039620 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 168067953.59000000 TRY 5858020.53000000 USD 2023-12-08 90408.44000000 N N N EDEN RE II LTD UNSECURED 144A 549300LKX8PCP3SC3F42 000000000 519292.22000000 NS USD 236797.25000000 0.009573258101 Long STIV CORP US N 3 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 000000000 57722000.00000000 PA 1509322.27000000 0.061019001061 Long DBT NUSS UA N 2 2023-11-01 Fixed 10.95000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 439000.00000000 PA 402237.13000000 0.016261674759 Long DBT NUSS RO Y 2 2030-05-26 Fixed 3.62400000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 25017.31000000 0.001011401803 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 973509.74000000 USD 18687785.00000000 ZAR 2023-12-20 25017.31000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -145380.16000000 -0.00587744069 N/A DFE MX N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 3223976.95000000 USD 55936000.00000000 MXN 2023-12-20 -145380.16000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -10195.43000000 -0.00041218165 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 4343865000.00000000 KZT 8488255.98000000 USD 2024-09-16 -10195.43000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 1128281.25000000 PA USD 1128281.25000000 0.045614244326 Long RA CORP US N 2 Repurchase N 3.75000000 2024-08-17 1128281.25000000 USD 1128281.25000000 USD N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 2500000.00000000 PA 79974.07000000 0.003233198077 Long DBT NUSS ZM N 2 2028-08-30 Fixed 12.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 55000000.00000000 OU Notional Amount USD -1277325.50000000 -0.05163981714 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-08-04 0.00000000 USD 0.00000000 USD 55000000.00000000 USD -1277325.50000000 N N N Bank Millennium SA 259400OFDZ9KPZEO8K78 000000000 86688.00000000 NS 150835.00000000 0.006097969405 Long EC CORP PL N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3543000000.00000000 OU Notional Amount -179488.21000000 -0.00725636366 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 3543000000.00000000 KRW -179488.21000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -40469.04000000 -0.00163608557 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 742000000.00000000 PHP 13025427.67000000 USD 2023-12-20 -40469.04000000 N N N COOF 9896925010 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-10-12 Fixed 2.48000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398NTF1 1340098.65000000 PA USD 82702.18000000 0.003343490326 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 1.16500000 N N N N N N RMOF SD 2.27.2018 N/A 000000000 21684469.97000000 PA USD 1364779.10000000 0.055175398261 Long ABS-MBS CORP US N 2 2040-08-15 Fixed 2.24000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -553579.49000000 -0.02238015575 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 18858800.00000000 OMR 48448681.13000000 USD 2023-11-06 -553579.49000000 N N N DOM REP CB NOTES 549300DTVR57NON7XL66 000000000 46050000.00000000 PA 736293.47000000 0.029766931105 Long DBT NUSS DO Y 2 2027-03-12 Fixed 8.00000000 N N N N N N EDEN RE II LTD UNSECURED 144A N/A 000000000 387743.47000000 NS USD 287046.49000000 0.011604738382 Long STIV CORP US N 3 N N N Bank of Georgia Group PLC 213800XKDG12NQG8VC53 000000000 55667.00000000 NS 2253801.61000000 0.091116871172 Long EC CORP GB N 2 N N N Piraeus Financial Holdings SA M6AD1Y1KW32H8THQ6F76 000000000 2652700.00000000 NS 7862985.20000000 0.317885392537 Long EC CORP GR N 2 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 2698942950.00000000 OU Notional Amount -207402.91000000 -0.00838490138 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 2698942950.00000000 CLP -207402.91000000 N N N Sunrisemezz PLC 213800ZHKUVSY51WLW40 000000000 272828.00000000 NS 75257.28000000 0.003042507315 Long EC CORP CY N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8950000.00000000 OU Notional Amount 3980704.95000000 0.160932257078 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2052-03-18 0.00000000 EUR 0.00000000 EUR 8950000.00000000 EUR 3981347.91000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 57000000.00000000 OU Notional Amount 11350.74000000 0.000458888621 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 57000000.00000000 JPY 11350.74000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 64000000.00000000 OU Notional Amount USD -2562502.40000000 -0.10359705132 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-03-20 0.00000000 USD 0.00000000 USD 64000000.00000000 USD -2562502.40000000 N N N CORURIPE NETHERLANDS BV 724500EL5MDC9RD0FW48 22088DAA8 1194000.00000000 PA USD 845209.26000000 0.034170187347 Long DBT CORP NL N 2 2027-02-10 Fixed 10.00000000 N N N N N N Bank Polska Kasa Opieki SA 5493000LKS7B3UTF7H35 000000000 26142.00000000 NS 794381.56000000 0.032115321039 Long EC CORP PL N 2 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 13292.08000000 0.000537373269 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 40189000.00000000 PEN 10454994.80000000 USD 2023-12-20 13292.08000000 N N N Auckland International Airport Ltd 549300HFZIZDJWB7AK60 000000000 -827749.00000000 NS -3540506.24000000 -0.14313586853 Short EC CORP NZ N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 55000000.00000000 OU Notional Amount USD -1279652.00000000 -0.05173387307 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-08-04 0.00000000 USD 0.00000000 USD 55000000.00000000 USD -1279652.00000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 9572000.00000000 OU Notional Amount USD -71333.70000000 -0.00288388451 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Emirate of Dubai Government International Bonds Emirate of Dubai Government International Bonds Y buy protection 2024-12-20 36181.46000000 USD 0.00000000 USD 9572000.00000000 USD -107515.16000000 N N N HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 53276.37000000 0.002153861333 N/A DFE US N 2 HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 9161989.00000000 ILS 2326061.57000000 USD 2023-12-20 53276.37000000 N N N COOF 1620337005 N/A 000000000 890661.59000000 PA USD 98576.97000000 0.003985277602 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 3.63000000 N N N N N N SERBIA TREASURY BONDS 254900W94OCY91V32O78 000000000 5345300000.00000000 PA 42521780.13000000 1.719073917121 Long DBT NUSS RS N 2 2032-08-20 Fixed 4.50000000 N N N N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 000000000 -413767307.80000000 PA -20326751.95000000 -0.82177154837 Short DBT NUSS MX N 2 2040-11-15 Fixed 4.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -16136.81000000 -0.00065238024 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 9108511.62000000 EUR 224142254.00000000 CZK 2023-12-20 -16136.81000000 N N N COOF 1597927006 N/A 000000000 1593133.74000000 PA USD 162652.09000000 0.006575711661 Long ABS-MBS CORP US N 2 2043-01-22 Fixed 2.88000000 N N N N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 000000000 426258000.00000000 PA 9222199.89000000 0.372835832387 Long DBT NUSS UA N 2 2025-02-26 Fixed 15.84000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325BR5 -6826000.00000000 PA USD -4800107.84000000 -0.19405914244 Short DBT NUSS CO N 2 2044-02-26 Fixed 5.62500000 N N N N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -52855.06000000 -0.00213682857 N/A DFE US N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 3474880000.00000000 KZT 7073547.07000000 USD 2024-03-14 -52855.06000000 N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 30696000.00000000 PA 32956439.56000000 1.332365565966 Long DBT NUSS MK Y 2 2027-03-13 Fixed 6.96000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 569000000.00000000 OU Notional Amount -302532.97000000 -0.01223082703 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 CZK 0.00000000 CZK 569000000.00000000 CZK -302532.97000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3776964000.00000000 OU Notional Amount 255791.88000000 0.010341174517 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-04-27 0.00000000 HUF 0.00000000 HUF 3776964000.00000000 HUF 255791.88000000 N N N COOF 1264397004 N/A 000000000 1302961.08000000 PA USD 144209.60000000 0.005830117205 Long ABS-MBS CORP US N 2 2042-12-08 Fixed 3.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 48700000.00000000 OU Notional Amount 6576.87000000 0.000265890224 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 48700000.00000000 CNY 6576.87000000 N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 4717567.68000000 PA USD 4717567.68000000 0.190722202272 Long RA CORP US N 2 Repurchase N 4.90000000 2024-10-11 4717567.68000000 USD 4717567.68000000 USD CDS N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -40141.28000000 -0.00162283486 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2066000000.00000000 INR 24733628.64000000 USD 2023-12-20 -40141.28000000 N N N Masan Group Corp 254900M1892CMJ87XD24 000000000 167040.00000000 NS 396600.20000000 0.016033784504 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5458000.00000000 OU Notional Amount USD -509319.27000000 -0.02059080005 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-03-10 3727.33000000 USD 0.00000000 USD 5458000.00000000 USD -513046.60000000 N N N Summerset Group Holdings Ltd N/A 000000000 -106094.00000000 NS -602508.35000000 -0.02435825560 Short EC CORP NZ N 2 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 35344000000.00000000 OU Notional Amount 583239.55000000 0.023579255025 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 35344000000.00000000 COP 583239.55000000 N N N KRUK SA 259400T1FZYBIW8XUJ78 000000000 2534.00000000 NS 280322.62000000 0.011332905229 Long EC CORP PL N 2 N N N Warsaw Stock Exchange 25940039ZHD3Z37GKR71 000000000 3778.00000000 NS 35086.37000000 0.001418474563 Long EC CORP PL N 2 N N N REPUBLIC OF POLAND 259400R9L8QEP0TPXS31 000000000 -3000000.00000000 PA -2885350.60000000 -0.11664918408 Short DBT NUSS PL Y 2 2032-05-25 Fixed 2.75000000 N N N N N N COOF 1960337001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-25 Fixed 2.13000000 N N N N N N INDIA GOVERNMENT BOND 335800IV7VCDQGIOI391 000000000 3161740000.00000000 PA 37720435.89000000 1.524964789402 Long DBT NUSS IN N 2 2033-02-06 Fixed 7.26000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4747173000.00000000 OU Notional Amount -256164.56000000 -0.01035624125 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 4747173000.00000000 KRW -256164.56000000 N N N DOM REP CB NOTES 549300DTVR57NON7XL66 25714RDA9 379500000.00000000 PA 6761772.31000000 0.273365470027 Long DBT NUSS DO N 2 2025-10-03 Fixed 12.00000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 591090000.00000000 PA 26195624.27000000 1.059038786419 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 90381.81000000 0.003653963020 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 122184000.00000000 UYU 3128911.65000000 USD 2023-12-20 90381.81000000 N N N Ho Chi Minh City Infrastructure Investment JSC N/A 000000000 868000.00000000 NS 492873.06000000 0.019925911363 Long EC CORP VN N 2 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 3018570.00000000 PA USD 3018570.00000000 0.122034988613 Long RA CORP US N 2 Repurchase N 2.50000000 2024-10-11 3018570.00000000 USD 3018570.00000000 USD N N N Binh Minh Plastics JSC N/A 000000000 45300.00000000 NS 144930.66000000 0.005859268276 Long EC CORP VN N 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 140230.48000000 0.005669249025 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1171795907.06000000 KES 7559973.59000000 USD 2023-12-21 140230.48000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 50000000.00000000 OU Notional Amount USD 521927.50000000 0.021100526580 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2028-03-16 0.00000000 USD 0.00000000 USD 50000000.00000000 USD 521927.50000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2103490000.00000000 OU Notional Amount 36087.80000000 0.001458960455 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-20 0.00000000 INR 0.00000000 INR 2103490000.00000000 INR 36087.80000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -631716.90000000 -0.02553910119 N/A DFE MX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 20307412.00000000 USD 357493935.00000000 MXN 2023-12-20 -631716.90000000 N N N COOF 1797557007 N/A 000000000 2125908.18000000 PA USD 224565.38000000 0.009078747085 Long ABS-MBS CORP US N 2 2043-02-27 Fixed 3.63000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -40093.16000000 -0.00162088946 N/A DFE NZ N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 2523887.00000000 USD 4262617.00000000 NZD 2023-12-20 -40093.16000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 121500000.00000000 OU Notional Amount 39678.72000000 0.001604134455 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 121500000.00000000 CNY 39678.72000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -392639.02000000 -0.01587364160 N/A DFE AU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 23441167.46000000 USD 36275670.00000000 AUD 2023-12-20 -392639.02000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -25549.76000000 -0.00103292773 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1204000000.00000000 INR 14411826.32000000 USD 2023-12-20 -25549.76000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -332542.97000000 -0.01344407370 N/A DFE ID N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 24316563.50000000 USD 382346349516.00000000 IDR 2023-12-20 -332542.97000000 N N N Reginn HF 9676000V0KP4AUXNSZ66 000000000 2864793.00000000 NS 460499.49000000 0.018617110094 Long EC CORP IS N 2 N N N COOF 1556307001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-08 Fixed 2.63000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 5012531.20000000 PA USD 5012531.20000000 0.202647010974 Long RA CORP US N 2 Repurchase N 4.95000000 2024-07-27 5012531.20000000 USD 5012531.20000000 USD CDS N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10941835.00000000 OU Notional Amount USD 1021049.37000000 0.041279065332 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-03-10 0.00000000 USD -7922.71000000 USD 10941835.00000000 USD 1028972.08000000 N N N Optima bank SA 2138008NSD1X1XFUK750 000000000 186213.00000000 NS 1398927.40000000 0.056555948455 Long EC CORP GR N 2 N N N Mobile World Investment Corp 254900ZRFNB8CRAHHO95 000000000 1116000.00000000 NS 1717400.02000000 0.069431184927 Long EC CORP VN N 2 N N N WOW AIR EHF 549300LW49V05P8Z2H93 000000000 121000.00000000 PA 0.00000000 0.000000 Long DBT CORP IS N 3 2099-12-31 None 0.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -219285.67000000 -0.00886529854 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 8595638.84000000 USD 268396675.70000000 TRY 2024-03-20 -219285.67000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 18140000.00000000 OU Notional Amount USD 1135673.57000000 0.045913101628 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 18140000.00000000 USD 1135673.57000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A 86935.25000000 0.003514625217 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 1768991.72000000 EUR 717173476.98000000 HUF 2024-01-11 86935.25000000 N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 000000000 -319966353.95000000 PA -15233695.72000000 -0.61586906506 Short DBT NUSS MX N 2 2050-11-03 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10900000.00000000 OU Notional Amount 1498917.53000000 0.060598357403 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 10900000.00000000 EUR 1498917.53000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 128350000.00000000 PA 2099617.45000000 0.084883501659 Long DBT NUSS DO Y 2 2027-01-15 Fixed 8.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -67241.12000000 -0.00271842936 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 31540404344.00000000 CLP 35074122.15000000 USD 2023-12-20 -67241.12000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 75172.32000000 0.003039072546 N/A DFE KZ N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3536773.58000000 USD 1846195811.00000000 KZT 2024-09-16 75172.32000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4900000.00000000 OU Notional Amount USD -475825.77000000 -0.01923672216 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-04-03 0.00000000 USD 0.00000000 USD 4900000.00000000 USD -475825.77000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6500000.00000000 OU Notional Amount 2931260.03000000 0.118505214185 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2052-03-17 0.00000000 EUR 0.00000000 EUR 6500000.00000000 EUR 2929763.44000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -7929.45000000 -0.00032057243 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1697232.41000000 EUR 1787983.43000000 USD 2023-11-03 -7929.45000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -50709.46000000 -0.00205008609 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 43940503.00000000 ZAR 2297122.61000000 USD 2023-12-20 -50709.46000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 5588000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2027-12-01 0.00000000 JPY 0.00000000 JPY 5588000000.00000000 JPY 0.00000000 N N N KWG GROUP HOLDINGS 549300LK82ZOM9ZE7H90 000000000 2385000.00000000 PA USD 186626.25000000 0.007544940913 Long DBT CORP KY N 2 2024-08-30 None 0.00000000 Y N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A 53111.43000000 0.002147193126 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3135051.15000000 EUR 1229481162.00000000 HUF 2023-12-20 53111.43000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 148000000.00000000 OU Notional Amount 21758.82000000 0.000879667309 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 148000000.00000000 CNY 21758.82000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 101384000000.00000000 PA 6338526.40000000 0.256254450634 Long DBT NUSS ID N 2 2042-06-15 Fixed 7.12500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 163380000.00000000 OU Notional Amount 2313145.52000000 0.093516031496 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-10-15 0.00000000 PLN 0.00000000 PLN 163380000.00000000 PLN 2313145.52000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC N/A 206573.05000000 0.008351351734 N/A DFE HU N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 12532130.77000000 EUR 4912670454.00000000 HUF 2023-12-20 206573.05000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 642465593.00000000 OU Notional Amount -126676.47000000 -0.00512128642 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-02-24 0.00000000 ZAR -14204.44000000 ZAR 642465593.00000000 ZAR -125904.17000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -422605.72000000 -0.01708513774 N/A DFE AU N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 26472839.00000000 USD 41000000.00000000 AUD 2023-12-20 -422605.72000000 N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 35702000.00000000 PA 24833381.75000000 1.003965937217 Long DBT NUSS BJ Y 2 2052-01-19 Fixed 6.87500000 N N N N N N Eimskipafelag Islands hf 549300IUR8Q7Y44KBL02 000000000 483446.00000000 NS 1630033.46000000 0.065899122674 Long EC CORP IS N 2 N N N COOF 1595387006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 3.13000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 155357.72000000 0.006280814289 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 14993966.67000000 EUR 16055839.39000000 USD 2023-12-20 155357.72000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -131723.49000000 -0.00532532775 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 644850000.00000000 PKR 2149500.00000000 USD 2024-01-31 -131723.49000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 391091.80000000 0.015811090469 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 37745259.97000000 EUR 40418379.28000000 USD 2023-12-20 391091.80000000 N N N COOF 1039197007 N/A 000000000 541992.59000000 PA USD 40681.95000000 0.001644693117 Long ABS-MBS CORP US N 2 2042-11-10 Fixed 2.63000000 N N N N N N Contact Energy Ltd 549300FT5JOXS1PZ1I32 000000000 -534300.00000000 NS -2427038.80000000 -0.09812051810 Short EC CORP NZ N 2 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 7759.59000000 0.000313705323 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 743000000.00000000 PHP 13091265.32000000 USD 2023-12-20 7759.59000000 N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 14100000.00000000 PA 11760070.47000000 0.475437066526 Long DBT NUSS RS Y 2 2028-09-23 Fixed 1.00000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 4605042.75000000 PA USD 4605042.75000000 0.186173035431 Long RA CORP US N 2 Repurchase N 3.25000000 2024-08-14 4605042.75000000 USD 4605042.75000000 USD N N N COOF 1051957002 N/A 000000000 1423946.86000000 PA USD 101867.71000000 0.004118315901 Long ABS-MBS CORP US N 2 2042-11-07 Fixed 2.88000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 2929000.00000000 PA USD 1227558.55000000 0.049627834925 Long DBT NUSS GH Y 2 2042-05-07 Fixed 8.87500000 N Y N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A 63951.37000000 0.002585431084 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4625517.63000000 EUR 1808755940.00000000 HUF 2023-12-20 63951.37000000 N N N DOM REP CB NOTES 549300DTVR57NON7XL66 25714PEU8 342670000.00000000 PA 6235098.24000000 0.252073048736 Long DBT NUSS DO N 2 2026-01-30 Fixed 13.00000000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 15638334.03000000 PA USD 15638334.03000000 0.632227814922 Long RA CORP US N 2 Repurchase N 5.15000000 2024-10-11 15638334.03000000 USD 15638334.03000000 USD N N N REPUBLIC OF SURINAME INT 254900SYU4G5JM13TN77 000000000 2634000.00000000 PA USD 2412744.00000000 0.097542606786 Long DBT NUSS SR Y 2 2023-12-30 Fixed 12.87500000 N Y N N N N Chorus Ltd R7NJHU48LTCIOB9BVU57 000000000 -258615.00000000 NS -1081731.51000000 -0.04373232772 Short EC CORP NZ N 2 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 255919000.00000000 OU Notional Amount -471960.98000000 -0.01908047612 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 255919000.00000000 BRL -471960.98000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -126199.82000000 -0.00510201638 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 12431060.00000000 PLN 2660017.55000000 EUR 2023-12-20 -126199.82000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5920391000.00000000 OU Notional Amount 570284.09000000 0.023055490656 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-05-25 0.00000000 HUF 0.00000000 HUF 5920391000.00000000 HUF 570284.09000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38384DLN5 5095654.00000000 PA USD 5086297.61000000 0.205629245279 Long ABS-MBS USGA US N 2 2053-10-20 Fixed 6.50000000 N N N N N N COOF 1603467007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-11 Fixed 3.13000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 4368125.00000000 PA USD 4368125.00000000 0.176594905746 Long RA CORP US N 2 Repurchase N 4.50000000 2024-10-11 4368125.00000000 USD 4368125.00000000 USD N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -142600.14000000 -0.00576504982 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3885895.79000000 USD 131342227.00000000 TRY 2024-06-21 -142600.14000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 257155.54000000 0.010396304672 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 39418559.50000000 ILS 10013351.50000000 USD 2023-11-13 257155.54000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC N/A -141881.91000000 -0.00573601316 N/A DFE IS N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 5670078.04000000 EUR 822444819.00000000 ISK 2023-12-20 -141881.91000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 8224633060.00000000 OU Notional Amount -750986.29000000 -0.03036093360 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 8224633060.00000000 CLP -750986.29000000 N N N COOF 1619327005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-28 Fixed 1.88000000 N N N N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 000000000 3485722.50000000 PA USD 862711.26000000 0.034877759598 Long DBT NUSS EC Y 2 2040-07-31 Variable 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2800000.00000000 OU Notional Amount 49202.42000000 0.001989159358 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-01-24 45.56000000 EUR 0.00000000 EUR 2800000.00000000 EUR 49152.35000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 86100000.00000000 OU Notional Amount USD -4535016.15000000 -0.18334199446 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2028-12-20 0.00000000 USD -4818505.19000000 USD 86100000.00000000 USD 283489.04000000 N N N ALPHA HOLDING SA 549300R872G37EN6NT94 000000000 2696899.69000000 PA USD 40453.50000000 0.001635457323 Long DBT CORP MX Y 2 2022-12-19 None 0.00000000 Y N N N N N SERBIA TREASURY BONDS 254900W94OCY91V32O78 000000000 3900890000.00000000 PA 36045766.41000000 1.457261118153 Long DBT NUSS RS N 2 2028-02-08 Fixed 5.87500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4723000000.00000000 OU Notional Amount -231379.27000000 -0.00935421957 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 4723000000.00000000 KRW -231379.27000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -117772.27000000 -0.00476130672 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 117383914.00000000 ZAR 6154293.34000000 USD 2023-12-20 -117772.27000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 147000000.00000000 OU Notional Amount USD -555961.80000000 -0.02247646797 N/A DCO FR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Bloomberg Commodity Index 3 Month Forward BCOMF3 INDEX Y equity-performance leg 2024-02-26 0.00000000 USD 0.00000000 USD 147000000.00000000 USD -555961.80000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10205000.00000000 OU Notional Amount USD -969329.07000000 -0.03918811292 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-01-13 0.00000000 USD 0.00000000 USD 10205000.00000000 USD -969329.07000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -152981.52000000 -0.00618474908 N/A DFE AU N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 26203214.80000000 USD 41000000.00000000 AUD 2023-12-20 -152981.52000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 54770000.00000000 OU Notional Amount 774466.18000000 0.031310180468 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-10-14 0.00000000 PLN 0.00000000 PLN 54770000.00000000 PLN 774466.18000000 N N N FEDERAL REP OF ETHIOPIA N/A 000000000 32194000.00000000 PA USD 20436332.68000000 0.826201686862 Long DBT NUSS ET Y 2 2024-12-11 Fixed 6.62500000 N N N N N N a2 Milk Co Ltd/The 529900PVC9CV0KFA2U62 000000000 -563000.00000000 NS -1371319.88000000 -0.05543982943 Short EC CORP NZ N 2 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38384DNZ6 7070000.00000000 PA USD 7058357.12000000 0.285355824371 Long ABS-MBS USGA US N 2 2053-10-20 Fixed 6.50000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 192485.66000000 0.007781825608 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 244636000.00000000 UYU 6276210.10000000 USD 2023-12-20 192485.66000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 94021.83000000 0.003801122039 N/A DFE KZ N 2 Citibank NA E57ODZWZ7FF32TWEFA76 4527815.84000000 USD 2362387916.00000000 KZT 2024-09-16 94021.83000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 537000000.00000000 OU Notional Amount 388116.28000000 0.015690795910 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 537000000.00000000 JPY 388116.28000000 N N N Tauron Polska Energia SA 259400NAPDFBOTNCRL54 000000000 154214.00000000 NS 135626.13000000 0.005483103996 Long EC CORP PL N 2 N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 4321000.00000000 PA USD 1854400.36000000 0.074969845595 Long DBT NUSS GH Y 2 2027-02-11 Fixed 6.37500000 N Y N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7533000000.00000000 OU Notional Amount -336191.95000000 -0.01359159495 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 7533000000.00000000 KRW -336191.95000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -217.00000000 NC USD 1976855.66000000 0.079920478226 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USZ3 Comdty 2023-12-19 -25724793.16000000 USD 1976855.66000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -971.00000000 NC 1815278.69000000 0.073388231601 N/A DE DE N 2 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex EURO STOXX 50 Futures VGZ3 Index 2023-12-15 -41340305.58000000 EUR 1815278.69000000 N N N OPAP SA 213800M4NRGFJCI34834 000000000 233095.00000000 NS 3948230.58000000 0.159619380658 Long EC CORP GR N 2 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 3993420.00000000 PA USD 3993420.00000000 0.161446302133 Long RA CORP US N 2 Repurchase N 0.00000100 2024-10-11 3993420.00000000 USD 3993420.00000000 USD N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 231211.84000000 0.009347450700 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 5850451.23000000 USD 5458471000.00000000 CLP 2023-12-20 231211.84000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 174000000.00000000 PA 515358.53000000 0.020834955737 Long STIV NUSS LK N 2 2024-01-12 None 0.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -22173.29000000 -0.00089642353 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2291554.80000000 USD 2140000.00000000 EUR 2023-12-20 -22173.29000000 N N N Mainfreight Ltd 5493007BE0VNXX7RYQ88 000000000 -56400.00000000 NS -1882530.18000000 -0.07610708020 Short EC CORP NZ N 2 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 64578.05000000 0.002610766553 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1971407.77000000 USD 1827357000.00000000 CLP 2023-12-20 64578.05000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 -113.00000000 NC 847840.25000000 0.034276553220 N/A DE AU N 2 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Short SFE S&P ASX Share Price Index 200 Futures XPZ3 Index 2023-12-21 -20577297.74000000 AUD 847840.25000000 N N N Eik fasteignafelag hf 2138005WRSDC4DI3BJ43 000000000 6056328.00000000 NS 496255.47000000 0.020062655704 Long EC CORP IS N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11000000.00000000 OU Notional Amount -1775352.32000000 -0.07177408513 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 11000000.00000000 EUR -1775352.32000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A 154045.06000000 0.006227745966 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 11504434.02000000 EUR 4496853170.00000000 HUF 2023-12-20 154045.06000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 85600000.00000000 OU Notional Amount 777576.94000000 0.031435942522 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-12-15 0.00000000 PLN 0.00000000 PLN 85600000.00000000 PLN 777576.94000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 161637849.00000000 OU Notional Amount -244427.65000000 -0.00988174052 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-01-19 0.00000000 ZAR -1242.69000000 ZAR 161637849.00000000 ZAR -244354.73000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1012969.73000000 0.040952421002 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 397356600.86000000 EGP 10353220.45000000 USD 2024-06-13 1012969.73000000 N N N SHIMAO GROUP HOLDINGS LT 254900WTJ6B5CU69ZD26 000000000 7800000.00000000 PA USD 195000.00000000 0.007883475546 Long DBT CORP KY Y 2 2026-07-15 None 0.00000000 Y N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 12557000000.00000000 OU Notional Amount 1125128.25000000 0.045486774591 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-06-22 0.00000000 CLP 0.00000000 CLP 12557000000.00000000 CLP 1125128.25000000 N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 8685000.00000000 PA USD 4526000.68000000 0.182977516324 Long DBT NUSS LK Y 2 2024-03-14 Fixed 6.85000000 N Y N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC N/A -128322.13000000 -0.00518781730 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 12656581.00000000 PLN 2708432.52000000 EUR 2023-12-20 -128322.13000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F4ZS4 7287067.27000000 PA USD 1529835.24000000 0.061848301048 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -634707.40000000 -0.02566000136 N/A DFE AU N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 38757000.00000000 USD 60000000.00000000 AUD 2023-12-20 -634707.40000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 464841000000.00000000 PA 29184903.92000000 1.179889622428 Long DBT NUSS ID N 2 2043-06-15 Fixed 7.12500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 261625000.00000000 OU Notional Amount -488280.18000000 -0.01974023004 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 261625000.00000000 BRL -488280.18000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 4997215.20000000 PA USD 4997215.20000000 0.202027814505 Long RA CORP US N 2 Repurchase N 4.75000000 2024-07-27 4997215.20000000 USD 4997215.20000000 USD CDS N N N Unison Trust N/A 90919VAA0 46758304.74000000 PA USD 36486767.66000000 1.475089951846 Long ABS-MBS CORP US N 2 2050-04-25 Variable 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 225000000.00000000 OU Notional Amount -3953.90000000 -0.00015984858 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 225000000.00000000 CNY -3953.90000000 N N N CD Projekt SA 259400TYO5Q8SH8TL437 000000000 9466.00000000 NS 236334.73000000 0.009554559306 Long EC CORP PL N 2 N N N Santander Bank Polska SA 259400LGXW3K0GDAG361 000000000 5122.00000000 NS 556284.84000000 0.022489527861 Long EC CORP PL N 2 N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 17891000.00000000 PA 14202965.40000000 0.574198617515 Long DBT NUSS BJ Y 2 2032-01-19 Fixed 4.87500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 18801000.00000000 OU Notional Amount USD -20654.40000000 -0.00083501772 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Finland Government International Bonds Finland Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -8592.75000000 USD 18801000.00000000 USD -12061.65000000 N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 4223000.00000000 PA USD 274389.43000000 0.011093037751 Long DBT NUSS LB N 2 2033-05-17 None 0.00000000 Y N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 41185000.00000000 OU Notional Amount USD -146781.28000000 -0.00593408528 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Sweden Government International Bonds Sweden Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -151150.37000000 USD 41185000.00000000 USD 4369.09000000 N N N Grupa Azoty SA 259400Z9C99U5B36R274 000000000 7075.00000000 NS 37018.32000000 0.001496579592 Long EC CORP PL N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -450529.38000000 -0.01821403769 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 10611383.76000000 USD 1528000000.00000000 JPY 2023-12-20 -450529.38000000 N N N ALPHA HOLDING, SA 549300R872G37EN6NT94 020ESCAA7 2864000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP MX N 3 2022-12-19 None 0.00000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BL5 890795990.83000000 PA 22618170.36000000 0.914409194535 Long DBT NUSS UY N 2 2040-07-02 Fixed 3.87500000 N N N N N N SKYCITY Entertainment Group Ltd N/A 000000000 -402000.00000000 NS -438177.67000000 -0.01771468177 Short EC CORP NZ N 2 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 11066000.00000000 PA 2406559.17000000 0.097292565986 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.40000000 N N N N N N INDIA GOVERNMENT BOND 335800IV7VCDQGIOI391 000000000 8779810000.00000000 PA 104133385.27000000 4.209912801674 Long DBT NUSS IN N 2 2029-04-18 Fixed 7.10000000 N N N N N N National Bank of Greece SA 5UMCZOEYKCVFAW8ZLO05 000000000 640500.00000000 NS 3668368.21000000 0.148305082452 Long EC CORP GR N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -30805.22000000 -0.00124539589 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 3107765.00000000 PLN 665706.66000000 EUR 2023-12-20 -30805.22000000 N N N Jastrzebska Spolka Weglowa SA 259400D4E0H5BGXNIK97 000000000 7415.00000000 NS 88086.73000000 0.003561177343 Long EC CORP PL N 2 N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 9131000.00000000 PA 6423457.40000000 0.259688047873 Long DBT NUSS RS Y 2 2033-03-03 Fixed 1.65000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -43686.81000000 -0.00176617383 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 42182883.00000000 ZAR 2210231.98000000 USD 2023-12-20 -43686.81000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -1041.94000000 -0.00004212363 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4035171000.00000000 COP 968907.67000000 USD 2023-12-20 -1041.94000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 127300000.00000000 OU Notional Amount USD -2607414.61000000 -0.10541276572 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Spain Government International Bonds Spain Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -2793906.52000000 USD 127300000.00000000 USD 186491.91000000 N N N REPUBLIC OF SURINAME INT 254900SYU4G5JM13TN77 000000000 80695000.00000000 PA USD 73634187.50000000 2.976888802696 Long DBT NUSS SR Y 2 2026-10-26 Fixed 9.25000000 N Y N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 10207968.75000000 PA USD 10207968.75000000 0.412688574449 Long RA CORP US N 2 Repurchase N 5.05000000 2024-10-11 10207968.75000000 USD 10207968.75000000 USD CDS N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 75000000.00000000 OU Notional Amount USD -2829690.00000000 -0.11439893291 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-03-16 0.00000000 USD 0.00000000 USD 75000000.00000000 USD -2829690.00000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 333800000.00000000 OU Notional Amount 34091.10000000 0.001378237708 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 333800000.00000000 CNY 34091.10000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 3743865.01000000 PA USD 3743865.01000000 0.151357273101 Long RA CORP US N 2 Repurchase N 5.00000000 2024-10-06 3743865.01000000 USD 3743865.01000000 USD N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 164557.44000000 0.006652741303 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 189202424764.00000000 IDR 12032945.47000000 USD 2023-12-20 164557.44000000 N N N RIKISBREF 549300K5GD3JPA2LLG98 000000000 2319312891.00000000 PA 14703678.39000000 0.594441482193 Long DBT NUSS IS N 2 2028-11-15 Fixed 5.00000000 N N N N N N SUSSEX CAPITAL LTD N/A 000000000 7500.00000000 NS USD 8224783.50000000 0.332512203054 Long STIV CORP US N 3 N N N COOF 1663777008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-21 Fixed 2.63000000 N N N N N N SUSSEX CAPITAL LTD SE 14 12 21 N/A 000000000 1113.97000000 NS USD 20764.34000000 0.000839462392 Long STIV CORP US N 3 N N N ROMANIA 315700IASY927EDWBK92 000000000 5022000.00000000 PA 3664135.35000000 0.148133956051 Long DBT NUSS RO Y 2 2033-04-14 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 310978940.00000000 OU Notional Amount -591397.74000000 -0.02390907498 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 CZK 0.00000000 CZK 310978940.00000000 CZK -591397.74000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -31422.42000000 -0.00127034810 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3107765.00000000 PLN 665124.65000000 EUR 2023-12-20 -31422.42000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 50000000.00000000 PA 148555.40000000 0.006005809554 Long STIV NUSS LK N 2 2024-01-05 None 0.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 56137.41000000 0.002269527687 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 493134000.00000000 AMD 1213868.31000000 USD 2024-09-16 56137.41000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -7511.31000000 -0.00030366783 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1673135.98000000 USD 1494947000.00000000 CLP 2023-12-20 -7511.31000000 N N N Freddie Mac - STACR 5493000IRODEKU3J3Q16 35564KTB5 2521300.00000000 PA USD 2603696.59000000 0.105262453318 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 8.82100000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 541000000.00000000 OU Notional Amount USD 2293006.97000000 0.092701868591 N/A DCO FR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Bloomberg Commodity Index BCOM INDEX Y equity-performance leg equity-performance leg 2024-02-26 0.00000000 USD 0.00000000 USD 541000000.00000000 USD 2293006.97000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -92294.58000000 -0.00373129263 N/A DFE US N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 2175117000.00000000 KZT 4244130.73000000 USD 2024-06-25 -92294.58000000 N N N REPUBLIC OF SURINAME INT 254900SYU4G5JM13TN77 86886PAA0 200000.00000000 PA USD 182500.00000000 0.007378124549 Long DBT NUSS SR N 2 2026-10-26 Fixed 9.25000000 N Y N N N N Bank Rakyat Indonesia Persero Tbk PT 254900HB6S4B12GBNP64 000000000 8500000.00000000 NS 2657813.11000000 0.107450280303 Long EC CORP ID N 2 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -28883.70000000 -0.00116771252 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 1605000000.00000000 INR 19216954.02000000 USD 2023-12-20 -28883.70000000 N N N COOF 1598997007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-18 Fixed 3.63000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1987810000.00000000 OU Notional Amount -176068.21000000 -0.00711809963 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-10-10 0.00000000 MXN 0.00000000 MXN 1987810000.00000000 MXN -176068.21000000 N N N COOF 1144147005 N/A 000000000 2022720.75000000 PA USD 198907.08000000 0.008041431288 Long ABS-MBS CORP US N 2 2042-10-27 Fixed 3.63000000 N N N N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 8247000.00000000 PA 310584.42000000 0.012556331692 Long DBT NUSS ZM N 2 2026-06-28 Fixed 11.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 66691.42000000 0.002696206044 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 6436558.35000000 EUR 6892395.41000000 USD 2023-12-20 66691.42000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 63357.31000000 0.002561414379 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 42087000.00000000 PEN 10998188.79000000 USD 2023-12-20 63357.31000000 N N N IVORY COAST 254900ICW11T82O6H590 000000000 39874000.00000000 PA 28425977.95000000 1.149207702808 Long DBT NUSS CI Y 2 2048-03-22 Fixed 6.62500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 143425.20000000 0.005798405420 N/A DFE KZ N 2 Citibank NA E57ODZWZ7FF32TWEFA76 7073547.17000000 USD 3688854849.00000000 KZT 2024-09-16 143425.20000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -78951.87000000 -0.00319187249 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 2005168.16000000 USD 23620880922.00000000 UZS 2023-11-27 -78951.87000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 318301.06000000 0.012868300630 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 30720041.85000000 EUR 32895635.21000000 USD 2023-12-20 318301.06000000 N N N JSW STEEL LTD 335800EK6HZSC4CVAJ09 000000000 2277000.00000000 PA USD 1757154.48000000 0.071038381405 Long DBT CORP IN Y 2 2032-04-05 Fixed 5.05000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -13789.08000000 -0.00055746602 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1486108580.00000000 PHP 26155134.37000000 USD 2023-12-20 -13789.08000000 N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -951156.98000000 -0.03845345021 N/A DFE IL N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 11248913.75000000 USD 41606661.00000000 ILS 2023-11-13 -951156.98000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -332052.35000000 -0.01342423887 N/A DFE NZ N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 20902881.29000000 USD 35303077.00000000 NZD 2023-12-20 -332052.35000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -792200.04000000 -0.03202712637 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 17777187.35000000 USD 651103832.64000000 TRY 2024-09-20 -792200.04000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -81769.55000000 -0.00330578588 N/A DFE CO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 15047926.57000000 USD 62262000000.00000000 COP 2023-12-20 -81769.55000000 N N N COOF 1094947010 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-10-27 Fixed 2.88000000 N N N N N N COOF 9796515008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-11-22 Fixed 3.63000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A 214501.40000000 0.008671879700 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 12524654.43000000 EUR 4912670454.00000000 HUF 2023-12-20 214501.40000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7020000000.00000000 OU Notional Amount 154162.39000000 0.006232489393 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-20 0.00000000 INR 0.00000000 INR 7020000000.00000000 INR 154162.39000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 11020000.00000000 PA USD 688750.00000000 0.027844839910 Long DBT NUSS LB N 2 2023-05-26 None 0.00000000 Y N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -2447.57000000 -0.00009895055 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 131342227.00000000 TRY 3740848.08000000 USD 2024-06-21 -2447.57000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 2160873.75000000 PA USD 2160873.75000000 0.087359976239 Long RA CORP US N 2 Repurchase N 4.00000000 2024-09-12 2160873.75000000 USD 2160873.75000000 USD UST N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 12687829.80000000 PA USD 12687829.80000000 0.512944594684 Long RA CORP US N 2 Repurchase N 4.80000000 2024-07-27 12693601.30000000 USD 12693601.30000000 USD CDS N N N COOF 1097207006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-26 Fixed 3.63000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 71557.03000000 0.002892913313 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 111000000.00000000 CNY 15240557.79000000 USD 2023-12-20 71557.03000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 15522.66000000 0.000627551336 N/A DFE OM N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 13755872.20000000 USD 5300000.00000000 OMR 2023-11-06 15522.66000000 N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 27000000.00000000 PA 876040.70000000 0.035416643261 Long DBT NUSS ZM N 2 2028-06-28 Fixed 12.00000000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 2887500.00000000 PA 3055264.58000000 0.123518480019 Long RA CORP LU N 2 Repurchase N 2.60000000 2024-09-20 2887500.00000000 USD 3052087.50000000 USD N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1128100000.00000000 OU Notional Amount 785616.80000000 0.031760978623 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 1128100000.00000000 JPY 785616.80000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 4111365.00000000 PA 4350236.49000000 0.175871707638 Long RA CORP LU N 2 Repurchase N 2.50000000 2024-09-20 4111365.00000000 USD 4345712.80000000 USD N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714WBR3 1010500000.00000000 PA 19709604.92000000 0.796821479043 Long DBT NUSS DO N 2 2029-09-23 Fixed 12.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 2900.65000000 0.000117267709 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2184212.43000000 EUR 2314107.54000000 USD 2023-11-03 2900.65000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 267331000.00000000 OU Notional Amount -491400.17000000 -0.01986636524 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 267331000.00000000 BRL -491400.17000000 N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 11845000.00000000 PA USD 5963363.83000000 0.241087348345 Long DBT NUSS LK Y 2 2027-05-11 Fixed 6.20000000 N Y N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 286450000.00000000 OU Notional Amount USD -4668920.16000000 -0.18875547645 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Penerbangan Malaysia Bhd Penerbangan Malaysia Bhd Y buy protection 2028-12-20 0.00000000 USD -6581236.28000000 USD 286450000.00000000 USD 1912316.12000000 N N N DOM REP CB NOTES 549300DTVR57NON7XL66 25714PER5 497230000.00000000 PA 9038978.16000000 0.365428529680 Long DBT NUSS DO N 2 2025-12-05 Fixed 13.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5306360000.00000000 OU Notional Amount -255821.13000000 -0.01034235703 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 5306360000.00000000 KRW -255821.13000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 240413.21000000 0.009719444420 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 26620382.75000000 PEN 7156786.42000000 USD 2023-12-20 240413.21000000 N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 1481000.00000000 PA USD 642383.75000000 0.025970341458 Long DBT NUSS GH Y 2 2035-02-11 Fixed 7.87500000 N Y N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 34300000.00000000 OU Notional Amount USD 1916016.18000000 0.077460854878 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 34300000.00000000 USD 1916016.18000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 000000000 17248000.00000000 PA USD 16946160.00000000 0.685100707503 Long LON CORP MX N 2 2024-06-28 Variable 8.44700000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 6116000.00000000 PA 5632882.01000000 0.227726602978 Long DBT NUSS RO Y 2 2028-03-07 Fixed 2.12500000 N N N N N N Text SA 259400W35VF4Q1XFFE11 000000000 2565.00000000 NS 69106.45000000 0.002793841070 Long EC CORP PL N 2 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 385963.09000000 0.015603746573 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 37250274.62000000 EUR 39888339.07000000 USD 2023-12-20 385963.09000000 N N N Landsbankinn HF 549300TLZPT6JELDWM92 000000000 1020000000.00000000 PA 7254878.05000000 0.293300788196 Long DBT CORP IS Y 2 2023-11-23 Fixed 5.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -757975.23000000 -0.03064348302 N/A DFE IL N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 13054333.69000000 USD 49568741.00000000 ILS 2023-12-20 -757975.23000000 N N N COOF 1262037008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-11-20 Fixed 1.63000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -233104.88000000 -0.00942398267 N/A DFE NG N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1571533.04000000 USD 1414379737.00000000 NGN 2024-07-08 -233104.88000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2783830000.00000000 OU Notional Amount -138519.83000000 -0.00560009073 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-10-07 0.00000000 MXN 0.00000000 MXN 2783830000.00000000 MXN -138519.83000000 N N N Bank Central Asia Tbk PT 254900BR956G2OHVOM21 000000000 6100000.00000000 NS 3360615.67000000 0.135863238230 Long EC CORP ID N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A 238417.87000000 0.009638776656 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 6008397.19000000 EUR 2415135335.00000000 HUF 2024-01-11 238417.87000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -23924.65000000 -0.00096722765 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4649489.93000000 EUR 4906667.17000000 USD 2023-12-20 -23924.65000000 N N N Fletcher Building Ltd 549300UPHQTT2LG75045 000000000 -629500.00000000 NS -1586469.87000000 -0.06413793038 Short EC CORP NZ N 2 N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 15362000.00000000 PA 12618071.68000000 0.510124407848 Long DBT NUSS RS Y 2 2029-06-26 Fixed 1.50000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 129377.51000000 0.005230484288 N/A DFE PE N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 14306460.33000000 USD 55562000.00000000 PEN 2023-12-20 129377.51000000 N N N HO CHI MINH CITY TECHNICAL N/A 000000000 868000.00000000 NS 0.00000000 0.000000 Long EC CORP VN N 2 N N N COOF 1577317003 N/A 000000000 2042087.93000000 PA USD 193285.48000000 0.007814160795 Long ABS-MBS CORP US N 2 2043-01-02 Fixed 3.13000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 18213000.00000000 OU Notional Amount USD -690691.60000000 -0.02792333506 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of Austria Government International Bonds Republic of Austria Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -689165.66000000 USD 18213000.00000000 USD -1525.94000000 N N N COOF 1998837004 N/A 000000000 1506258.66000000 PA USD 102918.43000000 0.004160794493 Long ABS-MBS CORP US N 2 2043-02-01 Fixed 2.63000000 N N N N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 27346000.00000000 PA USD 14252542.96000000 0.576202943063 Long DBT NUSS LK Y 2 2026-07-18 Fixed 6.82500000 N Y N N N N REPUBLIC OF ALBANIA 254900EDM43U3SGRND29 000000000 200000.00000000 PA 172715.83000000 0.006982569344 Long DBT NUSS AL Y 2 2031-11-23 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC N/A -145075.79000000 -0.00586513560 N/A DFE IS N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 6322836.85000000 EUR 915862918.00000000 ISK 2023-11-28 -145075.79000000 N N N Fisher & Paykel Healthcare Corp Ltd N/A 000000000 -323700.00000000 NS -3926351.68000000 -0.15873485874 Short EC CORP NZ N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 724225.57000000 0.029279049082 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 605562800.00000000 MXN 34053095.95000000 USD 2023-12-20 724225.57000000 N N N Dino Polska SA 259400H4L81SMPRTW956 000000000 7237.00000000 NS 685744.15000000 0.027723319166 Long EC CORP PL Y 2 N N N Galaxy Cosmos Mezz PLC 2138002CVPZMTIF4VV87 000000000 48440.00000000 NS 26151.37000000 0.001057249671 Long EC CORP CY N 2 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 19120000.00000000 OU Notional Amount USD 567883.50000000 0.022958439412 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Romania Government International Bonds Romania Government International Bonds Y buy protection 2028-12-20 583706.42000000 USD 0.00000000 USD 19120000.00000000 USD -15822.92000000 N N N REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 000000000 25398000.00000000 PA USD 17944804.51000000 0.725473987370 Long DBT NUSS NG Y 2 2051-09-28 Fixed 8.25000000 N N N N N N Motor Oil Hellas Corinth Refineries SA 213800U3Y9UL7Y4QVM11 000000000 109300.00000000 NS 2603262.45000000 0.105244901872 Long EC CORP GR N 2 N N N Republic of Cyprus 213800IOEYYAHPDLUL60 000000000 2016000.00000000 PA 1870000.74000000 0.075600539001 Long DBT NUSS CY Y 2 2034-02-26 Fixed 2.75000000 N N N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 442000.00000000 PA USD 28434.74000000 0.001149561935 Long DBT NUSS LB N 2 2020-06-19 None 0.00000000 Y N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -1894.36000000 -0.00007658533 N/A DFE CZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1843178.54000000 EUR 45388806.00000000 CZK 2023-12-20 -1894.36000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 1831825.00000000 PA USD 1831825.00000000 0.074057167141 Long RA CORP US N 2 Repurchase N 3.60000000 2024-08-23 1831825.00000000 USD 1831825.00000000 USD N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 5799000.00000000 PA USD 371924.66000000 0.015036199805 Long DBT NUSS LB N 2 2029-05-25 None 0.00000000 Y N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -53950.63000000 -0.00218112037 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 98600000.00000000 SAR 26205980.07000000 USD 2024-03-14 -53950.63000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -28.91000000 -0.00000116877 N/A DFE TH N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3156.10000000 USD 111924.00000000 THB 2023-12-20 -28.91000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 83000000.00000000 OU Notional Amount 27602.40000000 0.001115912027 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 83000000.00000000 CNY 27602.40000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -191852.45000000 -0.00775622614 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 13422878.00000000 BHD 35111768.55000000 USD 2025-06-18 -191852.45000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796ZD4 55000000.00000000 PA USD 54765889.20000000 2.214079734758 Long STIV UST US N 2 2023-11-30 None 0.00000000 N N N N N N ALPHA HOLDING SA 549300R872G37EN6NT94 020ESCAC3 5879000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP MX N 3 2025-02-10 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 51550000.00000000 OU Notional Amount USD -2293254.33000000 -0.09271186888 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 51550000.00000000 USD -2293254.33000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 98919.29000000 0.003999116942 N/A DFE XX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 21930554.45000000 USD 20819014.76000000 EUR 2023-11-03 98919.29000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -35531.26000000 -0.00143646061 N/A DFE UZ N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 3579153.94000000 USD 44918382000.00000000 UZS 2024-01-10 -35531.26000000 N N N Republic of Poland 259400R9L8QEP0TPXS31 000000000 -10844000.00000000 PA -10089581.90000000 -0.40790242143 Short DBT NUSS PL Y 2 2029-03-07 Fixed 1.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 73949000.00000000 OU Notional Amount USD -1066454.02000000 -0.04311468814 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of Poland Government International Bonds Republic of Poland Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -935804.15000000 USD 73949000.00000000 USD -130649.87000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 874.21000000 0.000035342631 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1694180.54000000 EUR 1793557.78000000 USD 2023-11-03 874.21000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 1474000000.00000000 PA 4365738.33000000 0.176498417261 Long STIV NUSS LK N 2 2024-01-12 None 0.00000000 N N N N N N COOF 1543087008 N/A 000000000 2616633.81000000 PA USD 160858.12000000 0.006503184899 Long ABS-MBS CORP US N 2 2043-03-01 Fixed 2.38000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -3824.84000000 -0.00015463093 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3335071.95000000 USD 2989892000.00000000 CLP 2023-12-20 -3824.84000000 N N N Arion Banki HF RIL4VBPDB0M7Z3KXSF19 000000000 1970378.00000000 NS 1812328.92000000 0.073268978064 Long EC CORP IS Y 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4350000.00000000 OU Notional Amount -1919286.89000000 -0.07759308340 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2050-03-12 0.00000000 EUR 0.00000000 EUR 4350000.00000000 EUR -1919286.89000000 N N N Precinct Properties New Zealand Ltd N/A 000000000 -1111675.00000000 NS -719619.48000000 -0.02909283370 Short EC NZ N 2 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -174482.37000000 -0.00705398716 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 146008014.00000000 ZAR 7627028.18000000 USD 2023-12-20 -174482.37000000 N N N Budimex SA 25940093SDJZW2C1V355 000000000 1828.00000000 NS 204632.68000000 0.008272906301 Long EC CORP PL N 2 N N N Bank Mandiri Persero Tbk PT 549300RSKQN4Z5ZSGH94 000000000 6600000.00000000 NS 2357863.58000000 0.095323896791 Long EC CORP ID N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10900000.00000000 OU Notional Amount -1762781.39000000 -0.07126586657 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 10900000.00000000 EUR -1762781.39000000 N N N Islandsbanki HF 549300PZMFIQR79Q0T97 000000000 1104783.00000000 NS 816881.02000000 0.033024931001 Long EC CORP IS N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -15641.37000000 -0.00063235055 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 77525249.00000000 CZK 3130395.61000000 EUR 2023-12-20 -15641.37000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC N/A 64836.81000000 0.002621227723 N/A DFE HU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4624682.67000000 EUR 1808755940.00000000 HUF 2023-12-20 64836.81000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 13237.17000000 0.000535153364 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3382000.00000000 EUR 3591873.39000000 USD 2023-11-03 13237.17000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 122000000.00000000 OU Notional Amount USD 592025.74000000 0.023934463815 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S41 2I65BRZP8 Y buy protection 2028-12-20 0.00000000 USD -393354.84000000 USD 122000000.00000000 USD 985380.58000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3184000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 JPY 0.00000000 JPY 3184000000.00000000 JPY 0.00000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC N/A -38407.55000000 -0.00155274349 N/A DFE XX N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 169489187.00000000 CZK 6839840.15000000 EUR 2023-12-20 -38407.55000000 N N N Arion Banki HF RIL4VBPDB0M7Z3KXSF19 000000000 1720000000.00000000 PA 12165853.66000000 0.491842101682 Long DBT CORP IS Y 2 2024-04-12 Fixed 6.00000000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 6254000.00000000 PA USD 2619331.55000000 0.105894544728 Long DBT NUSS GH Y 2 2049-06-16 Fixed 8.62700000 N Y N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 4878000.00000000 PA USD 321313.86000000 0.012990102348 Long DBT NUSS LB N 2 2024-12-03 None 0.00000000 Y N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 3171981.12000000 PA USD 3171981.12000000 0.128237105603 Long RA CORP US N 2 Repurchase N 4.85000000 2024-09-11 3171981.12000000 USD 3171981.12000000 USD UST N N N Coteccons Construction JSC N/A 000000000 198093.00000000 NS 410079.81000000 0.016578739252 Long EC CORP VN N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 611643.66000000 0.024727578649 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 81522464.43000000 NZD 48114150.89000000 USD 2023-12-20 611643.66000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 60696.84000000 0.002453856686 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 6920000.00000000 PEN 1858616.24000000 USD 2023-12-20 60696.84000000 N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 5137506.99000000 PA USD 5137506.99000000 0.207699542176 Long RA CORP US N 2 Repurchase N 5.05000000 2024-10-11 5137506.99000000 USD 5137506.99000000 USD UST N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 559000000.00000000 OU Notional Amount 36346.52000000 0.001469420008 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-01 0.00000000 JPY 0.00000000 JPY 559000000.00000000 JPY 36346.52000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 459827393.00000000 OU Notional Amount USD 34775398.44000000 1.405902580582 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of South Africa Government International Bonds Republic of South Africa Government International Bonds Y buy protection 2028-12-20 32806253.94000000 USD 0.00000000 USD 459827393.00000000 USD 1969144.50000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 862025.74000000 0.034850045341 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 83196286.51000000 EUR 89088247.52000000 USD 2023-12-20 862025.74000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 868230.00000000 PA USD 868230.00000000 0.035100871659 Long RA CORP US N 2 Repurchase N 4.00000000 2024-09-08 868230.00000000 USD 868230.00000000 USD UST N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 000000000 5875000.00000000 PA USD 3064125.46000000 0.123876708382 Long DBT NUSS LK Y 2 2024-06-28 Fixed 6.35000000 N Y N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 91836.37000000 0.003712768087 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1998945.18000000 USD 1876537774.00000000 CLP 2023-12-20 91836.37000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 559000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2027-12-01 0.00000000 JPY 0.00000000 JPY 559000000.00000000 JPY 0.00000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 126.00000000 NC USD -784352.52000000 -0.03170986621 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Nikkei 225 Index Futures NXZ3 Index 2023-12-07 20550602.52000000 USD -784352.52000000 N N N COOF 2285277007 N/A 000000000 2282347.60000000 PA USD 157627.11000000 0.006372561369 Long ABS-MBS CORP US N 2 2043-03-20 Fixed 2.63000000 N N N N N N Sunac China Holdings Ltd 549300OLARYHDXP3WK18 000000000 5201000.00000000 PA USD 745043.25000000 0.030120667909 Long DBT CORP KY Y 2 2023-04-19 None 0.00000000 Y N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 9464000.00000000 OU Notional Amount USD 1338259.66000000 0.054103268226 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of South Africa Republic of South Africa Y buy protection 2031-06-20 1101977.02000000 USD 0.00000000 USD 9464000.00000000 USD 236282.64000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -2377.56000000 -0.00009612018 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1668002.23000000 USD 1494947000.00000000 CLP 2023-12-20 -2377.56000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 65000000.00000000 OU Notional Amount USD -2873266.50000000 -0.11616064713 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-06-05 0.00000000 USD 0.00000000 USD 65000000.00000000 USD -2873266.50000000 N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 000000000 2241798.00000000 PA USD 554841.75000000 0.022431186503 Long DBT NUSS EC Y 2 2040-07-31 Variable 2.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -252389.75000000 -0.01020363293 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 687000000.00000000 PKR 2187898.09000000 USD 2023-11-24 -252389.75000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC 54748.00000000 0.002213356508 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 3691832.44000000 USD 46590925423.00000000 UZS 2024-01-22 54748.00000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 573843.57000000 0.023199393597 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 292300000.00000000 BRL 58149481.77000000 USD 2024-01-03 573843.57000000 N N N Mercury NZ Ltd 254900XLT925U953KK55 000000000 -469259.00000000 NS -1614223.25000000 -0.06525994624 Short EC CORP NZ N 2 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -178393.83000000 -0.00721211998 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 788150000.00000000 PKR 2609768.21000000 USD 2024-01-31 -178393.83000000 N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 3970000.00000000 PA 3951433.09000000 0.159748851988 Long DBT NUSS MK Y 2 2026-06-03 Fixed 3.67500000 N N N N N N RIKISBREF 549300K5GD3JPA2LLG98 000000000 1273622050.00000000 PA 8618876.33000000 0.348444619404 Long DBT NUSS IS N 2 2031-01-24 Fixed 6.50000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 564911.19000000 0.022838274626 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 54521009.02000000 EUR 58382186.88000000 USD 2023-12-20 564911.19000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 1662750.00000000 PA 1759356.25000000 0.071127394738 Long RA CORP LU N 2 Repurchase N 2.75000000 2024-09-20 1662750.00000000 USD 1757526.75000000 USD N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1770000.00000000 OU Notional Amount 637105.80000000 0.025756964075 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2052-04-20 0.00000000 EUR 0.00000000 EUR 1770000.00000000 EUR 637138.58000000 N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -58562.77000000 -0.00236758033 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1877496000.00000000 KZT 3603639.16000000 USD 2024-09-30 -58562.77000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC 6281.51000000 0.000253949387 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 1934275.77000000 USD 24149433000.00000000 UZS 2023-12-21 6281.51000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -818.00000000 NC 565947.20000000 0.022880158521 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short EUX Euro-Bobl Futures OEZ3 Comdty 2023-12-07 -95660091.04000000 EUR 565947.20000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 15536000000.00000000 OU Notional Amount -546812.44000000 -0.02210657691 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 15536000000.00000000 KRW -546812.44000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -38727.60000000 -0.00156568250 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 7526276.18000000 EUR 7942577.09000000 USD 2023-12-20 -38727.60000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 478000000.00000000 OU Notional Amount 342592.69000000 0.013850364584 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 478000000.00000000 JPY 342592.69000000 N N N SEPLAT ENERGY PL 029200711C4S4CB2E982 000000000 561000.00000000 PA USD 475054.80000000 0.019205553327 Long DBT CORP NG Y 2 2026-04-01 Fixed 7.75000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 85267000.00000000 OU Notional Amount USD -2648496.19000000 -0.10707361511 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 U.K. Gilts U.K. Gilts Y buy protection 2028-12-20 0.00000000 USD -2723119.94000000 USD 85267000.00000000 USD 74623.75000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 600040.00000000 OU Notional Amount -3179.15000000 -0.00012852692 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-10-17 0.00000000 EUR 0.00000000 EUR 600040.00000000 EUR -3179.15000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10900000.00000000 OU Notional Amount -1759212.77000000 -0.07112159411 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 10900000.00000000 EUR -1759212.77000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HT0 12357000.00000000 PA USD 3084417.80000000 0.124697088721 Long DBT NUSS AR N 2 2035-07-09 Variable 3.62500000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 73721.99000000 0.002980438489 N/A DFE KZ N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3828850.86000000 USD 1957500000.00000000 KZT 2024-06-25 73721.99000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 27292.40000000 0.001103379323 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1193014.03000000 USD 22838464.00000000 ZAR 2023-12-20 27292.40000000 N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 9220000.00000000 PA 6639231.18000000 0.268411367454 Long DBT NUSS BJ Y 2 2035-01-22 Fixed 4.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 467531589.00000000 OU Notional Amount -877169.69000000 -0.03546228615 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 CZK 0.00000000 CZK 467531589.00000000 CZK -877169.69000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10900000.00000000 OU Notional Amount 1498917.53000000 0.060598357403 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 10900000.00000000 EUR 1498917.53000000 N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 000000000 1200000.00000000 PA USD 629888.75000000 0.025465192602 Long DBT NUSS LK Y 2 2023-04-18 Fixed 5.75000000 N Y N N N N Bank of Cyprus Holdings PLC 635400L14KNHZXPUZM19 000000000 5496009.00000000 NS 16945628.61000000 0.685079224426 Long EC CORP IE N 2 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 395045000.00000000 PA 98604303.52000000 3.986382643882 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 37100000.00000000 OU Notional Amount 5676.45000000 0.000229487973 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 37100000.00000000 CNY 5676.45000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -108112.68000000 -0.00437078804 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 21010495.83000000 EUR 22172649.39000000 USD 2023-12-20 -108112.68000000 N N N Republic of El Salvador 529900AKDMUSFSDOM949 000000000 1502000.00000000 PA USD 1383743.77000000 0.055942103451 Long DBT NUSS SV Y 2 2025-01-30 Fixed 5.87500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 30192171.00000000 OU Notional Amount -129889.23000000 -0.00525117214 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 GBP 0.00000000 GBP 30192171.00000000 GBP -129889.23000000 N N N UZBEKISTAN INTL BOND 213800L6VDKUM3TCM927 000000000 367300000000.00000000 PA 30171083.01000000 1.219758949301 Long DBT NUSS UZ Y 2 2026-10-12 Fixed 16.25000000 N N N N N N KGHM Polska Miedz SA G30CO71KTT9JDYJESN22 000000000 19590.00000000 NS 522764.67000000 0.021134371755 Long EC CORP PL N 2 N N N Republic of Azerbaijan 549300P74FF45UQVU281 000000000 -3798000.00000000 PA USD -3493057.67000000 -0.14121761396 Short DBT NUSS AZ Y 2 2029-09-01 Fixed 5.12500000 N N N N N N SSI Securities Corp 213800IF2RICE613K743 000000000 280688.00000000 NS 295271.80000000 0.011937271870 Long EC CORP VN N 2 N N N Powszechny Zaklad Ubezpieczen SA QLPCKOOKVX32FUELX240 000000000 88981.00000000 NS 1006898.00000000 0.040706952618 Long EC CORP PL N 2 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 285.00000000 NC USD -729378.56000000 -0.02948737457 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long ICE Brent Crude Oil Futures COF4 Comdty 2023-11-30 24960078.56000000 USD -729378.56000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 27759.62000000 0.001122268130 N/A DFE ZA N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 1192546.81000000 USD 22838464.00000000 ZAR 2023-12-20 27759.62000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 15096085.00000000 OU Notional Amount 92102.27000000 0.003723517914 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 GBP 0.00000000 GBP 15096085.00000000 GBP 92102.27000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 8138.50000000 0.000329023926 N/A DFE ZA N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 357222.73000000 USD 6837864.00000000 ZAR 2023-12-20 8138.50000000 N N N Pepco Group NV 213800OVMJPFP79OB449 000000000 25985.00000000 NS 105320.21000000 0.004257893846 Long EC CORP NL Y 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 108000000.00000000 OU Notional Amount 10706.88000000 0.000432858598 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 108000000.00000000 CNY 10706.88000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 29320000000.00000000 OU Notional Amount 847338.74000000 0.034256278134 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 29320000000.00000000 COP 847338.74000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 36000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 36000000.00000000 JPY 0.00000000 N N N INDIABULLS HOUSING FIN 335800A2A3G53ZQZTQ21 000000000 4605000.00000000 PA USD 4104298.35000000 0.165928900906 Long DBT CORP IN Y 2 2026-09-28 Fixed 4.50000000 N N N N N INDIABULLS HOUSING FIN USD XXXX N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 1531614475.00000000 OU Notional Amount -71473.41000000 -0.00288953271 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 1531614475.00000000 CLP -71473.41000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 200000000.00000000 PA 577719.33000000 0.023356083131 Long STIV NUSS LK N 2 2024-03-15 None 0.00000000 N N N N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 840000000.00000000 PA 2495730.74000000 0.100897601327 Long STIV NUSS LK N 2 2024-01-05 None 0.00000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HS2 12198939.00000000 PA USD 3417053.95000000 0.138144929513 Long DBT NUSS AR N 2 2030-07-09 Variable 0.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 607981476.00000000 OU Notional Amount 43040.97000000 0.001740063766 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-04-25 0.00000000 HUF 0.00000000 HUF 607981476.00000000 HUF 43040.97000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -20913.22000000 -0.00084548132 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4722105.11000000 EUR 4975744.49000000 USD 2023-11-03 -20913.22000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13412000000.00000000 OU Notional Amount -202246.07000000 -0.00817642024 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-06-21 0.00000000 KRW 0.00000000 KRW 13412000000.00000000 KRW -202246.07000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -155842.28000000 -0.00630040412 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 6518000.00000000 BHD 17098499.10000000 USD 2024-03-18 -155842.28000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -230888.81000000 -0.00933439121 N/A DFE NG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1475318.75000000 USD 1313023184.00000000 NGN 2024-07-03 -230888.81000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEW4 289800000.00000000 PA 5064614.57000000 0.204752641609 Long DBT NUSS DO N 2 2035-09-15 Fixed 11.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6104000000.00000000 OU Notional Amount 407307.85000000 0.016466674232 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-01 0.00000000 JPY 0.00000000 JPY 6104000000.00000000 JPY 407307.85000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 225000000.00000000 OU Notional Amount 4799.40000000 0.000194030525 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 225000000.00000000 CNY 4799.40000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 550.00000000 NC -1003504.44000000 -0.04056975750 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long Long Gilt Futures G Z3 Comdty 2023-12-27 52063624.25000000 GBP -1003504.44000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 857000000.00000000 PA 2446002.00000000 0.098887163862 Long STIV NUSS LK N 2 2024-04-19 None 0.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 192700000.00000000 OU Notional Amount USD -2824082.09000000 -0.11417221588 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Saudi Government International Bonds Saudi Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -4400328.11000000 USD 192700000.00000000 USD 1576246.02000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 797000.00000000 PA 608504.26000000 0.024600658735 Long DBT NUSS RO Y 2 2032-01-28 Fixed 2.00000000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 2974880.25000000 PA USD 2974880.25000000 0.120268695917 Long RA CORP US N 2 Repurchase N 3.40000000 2024-10-11 2974880.25000000 USD 2974880.25000000 USD N N N COOF 2000317003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-22 Fixed 2.88000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 446293.47000000 0.018042787985 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 43072912.25000000 EUR 46123335.90000000 USD 2023-12-20 446293.47000000 N N N REPUBLIC OF UZBEKISTAN 213800L6VDKUM3TCM927 000000000 4180000000.00000000 PA 341338.80000000 0.013799672219 Long DBT NUSS UZ Y 2 2024-07-19 Fixed 14.00000000 N N N N N N Freddie Mac - STACR 5493000ITFTMJUMPDE35 35565XBD1 6260118.94000000 PA USD 6972766.50000000 0.281895559962 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 11.43500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount USD 98502.30000000 0.003982258837 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-11-29 0.00000000 USD 0.00000000 USD 1000000.00000000 USD 98502.30000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -65761.46000000 -0.00265860954 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 4010336.24000000 USD 50129203000.00000000 UZS 2023-12-18 -65761.46000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 649365037.00000000 OU Notional Amount -926626.05000000 -0.03746171182 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-01-19 0.00000000 ZAR -5669.04000000 ZAR 649365037.00000000 ZAR -926293.57000000 N N N INTL FINANCE CORP QKL54NQY28TCDAI75F60 000000000 25000000000.00000000 PA 2051880.90000000 0.082953604610 Long DBT NUSS XX N 2 2025-02-21 Fixed 16.00000000 N N N N N N Hellenic Telecommunications Organization SA ELPUFM0XZRZO4LFXW404 000000000 325212.00000000 NS 4558297.88000000 0.184283230100 Long EC CORP GR N 2 N N N Ryman Healthcare Ltd 529900UR74KKRFG56I57 000000000 -369100.00000000 NS -1223680.50000000 -0.04947105281 Short EC CORP NZ N 2 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 432839.75000000 0.017498879920 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 191761000000.00000000 IDR 12461723.42000000 USD 2023-12-20 432839.75000000 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 000000000 74022000.00000000 PA 1729210.51000000 0.069908660358 Long DBT NUSS UA N 2 2023-11-22 Fixed 11.67000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -303.00000000 NC USD 857024.70000000 0.034647862897 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes TYZ3 Comdty 2023-12-19 -33027102.83000000 USD 857024.70000000 N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 1427165000.00000000 PA 3404526.89000000 0.137638484533 Long DBT NUSS AM N 2 2050-10-29 Fixed 9.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 26300000.00000000 OU Notional Amount 346025.23000000 0.013989135585 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2053-06-15 0.00000000 EUR 0.00000000 EUR 26300000.00000000 EUR 346025.23000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 21091465.46000000 PA USD 21091465.46000000 0.852687447122 Long RA CORP US N 2 Repurchase N 5.15000000 2024-10-16 21091465.46000000 USD 21091465.46000000 USD N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 13713620000.00000000 OU Notional Amount 633291.91000000 0.025602775826 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-06-14 0.00000000 CLP 0.00000000 CLP 13713620000.00000000 CLP 633291.91000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -26363.02000000 -0.00106580627 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 1859532.61000000 USD 3146034.00000000 NZD 2023-12-20 -26363.02000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 2073000.00000000 PA USD 136297.68000000 0.005510253473 Long DBT NUSS LB Y 2 2028-11-03 None 0.00000000 Y N N N N N LIMAK ISKENDERUN 5299001DUZ9PI7TCRC47 000000000 6853143.89000000 PA USD 6017307.05000000 0.243268169144 Long DBT CORP TR Y 2 2036-07-10 Fixed 9.50000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -788.37000000 -0.00003187228 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 1808175000.00000000 KZT 3536772.62000000 USD 2024-09-16 -788.37000000 N N N COOF 9684105009 N/A 000000000 952423.35000000 PA USD 75040.02000000 0.003033723911 Long ABS-MBS CORP US N 2 2042-10-12 Fixed 3.13000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 36399000.00000000 PA 29406833.71000000 1.188861817672 Long DBT NUSS RO Y 2 2030-07-13 Fixed 1.75000000 N N N N N N Eurobank Ergasias Services and Holdings SA JEUVK5RWVJEN8W0C9M24 000000000 3074700.00000000 NS 5025670.01000000 0.203178187833 Long EC CORP GR N 2 N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 1543990000.00000000 PA 3677366.16000000 0.148668852292 Long DBT NUSS AM N 2 2052-10-29 Fixed 9.75000000 N N N N N N Republic of Albania 254900EDM43U3SGRND29 000000000 3150000.00000000 PA 3195445.67000000 0.129185732301 Long DBT NUSS AL Y 2 2025-10-09 Fixed 3.50000000 N N N N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 220720000.00000000 PA 8742484.70000000 0.353441868441 Long DBT NUSS ZM N 2 2026-01-25 Fixed 11.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 36000000.00000000 OU Notional Amount 7054.37000000 0.000285194632 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 36000000.00000000 JPY 7054.37000000 N N N REPUBLIC OF ALBANIA 254900EDM43U3SGRND29 000000000 39761000.00000000 PA 40740163.37000000 1.647046572710 Long DBT NUSS AL Y 2 2028-06-09 Fixed 5.90000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -3345.89000000 -0.00013526790 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1668970.56000000 USD 1494947000.00000000 CLP 2023-12-20 -3345.89000000 N N N HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -49444.49000000 -0.00199894578 N/A DFE US N 2 HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 146120000.00000000 EGP 3671356.78000000 USD 2024-03-25 -49444.49000000 N N N Hagar hf 635400TICHH43JJTNP54 000000000 1926423.00000000 NS 943080.01000000 0.038126913830 Long EC CORP IS N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 28753581000.00000000 OU Notional Amount -1419292.77000000 -0.05737928125 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 28753581000.00000000 KRW -1419292.77000000 N N N REPUBLIC OF EL SALVADOR 529900AKDMUSFSDOM949 000000000 7942000.00000000 PA USD 5346160.24000000 0.216134992402 Long DBT NUSS SV Y 2 2041-02-01 Fixed 7.62500000 N N N N N N ISLAMIC REP OF PAKISTAN 529900LOP29R5WKHOD86 000000000 -5736000.00000000 PA USD -3062450.40000000 -0.12380898892 Short DBT NUSS PK Y 2 2027-12-05 Fixed 6.87500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 860000.00000000 OU Notional Amount USD -2910.87000000 -0.00011768088 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.EM.S31 2I65BZDL3 Y buy protection 2024-06-20 16770.76000000 USD 0.00000000 USD 860000.00000000 USD -19681.63000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 1516156.25000000 PA USD 1516156.25000000 0.061295285749 Long RA CORP US N 2 Repurchase N 3.75000000 2024-08-21 1516156.25000000 USD 1516156.25000000 USD N N N Kiwi Property Group Ltd N/A 000000000 -714465.00000000 NS -322728.94000000 -0.01304731131 Short EC NZ N 2 N N N Republic of El Salvador 529900AKDMUSFSDOM949 000000000 12330000.00000000 PA USD 9737150.44000000 0.393654294277 Long DBT NUSS SV Y 2 2032-04-10 Fixed 8.25000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 100600000.00000000 OU Notional Amount USD 5501136.96000000 0.222400403594 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.EM.S40 2I65BZFE7 Y buy protection 2028-12-20 5558971.93000000 USD 0.00000000 USD 100600000.00000000 USD -57834.97000000 N N N COOF 1045897001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-10-30 Fixed 1.88000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 72979.56000000 0.002950423469 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 103928000.00000000 PEN 27114500.14000000 USD 2023-11-13 72979.56000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -10548.80000000 -0.00042646772 N/A DFE CO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1941279.69000000 USD 8032200000.00000000 COP 2023-12-20 -10548.80000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 6397728.75000000 PA USD 6397728.75000000 0.258647887960 Long RA CORP US N 2 Repurchase N 2.75000000 2024-10-11 6397728.75000000 USD 6397728.75000000 USD N N N Infratil Ltd N/A 000000000 -529800.00000000 NS -3033649.20000000 -0.12264461171 Short EC CORP NZ N 2 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -52108.17000000 -0.00210663325 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 1835586000.00000000 KZT 3536774.57000000 USD 2024-09-19 -52108.17000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -16773.47000000 -0.00067811918 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 804000000.00000000 INR 9624132.15000000 USD 2023-12-20 -16773.47000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5345000000.00000000 OU Notional Amount -249270.80000000 -0.01007753977 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 5345000000.00000000 KRW -249270.80000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 203113.88000000 0.008211504133 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 19603034.27000000 EUR 20991321.16000000 USD 2023-12-20 203113.88000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -24547.99000000 -0.00099242809 N/A DFE CZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 9513124.99000000 EUR 233920133.00000000 CZK 2023-12-20 -24547.99000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC N/A 158087.34000000 0.006391167584 N/A DFE HU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 11420858.88000000 EUR 4466064049.00000000 HUF 2023-12-20 158087.34000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6992000000.00000000 OU Notional Amount 1315598.48000000 0.053187120234 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 6992000000.00000000 JPY 1315598.48000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 23328.54000000 0.000943128074 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 784470.76000000 USD 725023570.00000000 CLP 2023-12-20 23328.54000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 807.31000000 0.000032637993 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2293439.20000000 EUR 2427591.63000000 USD 2023-11-03 807.31000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 2301.76000000 0.000093055736 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 867000000.00000000 PHP 15269326.62000000 USD 2023-12-20 2301.76000000 N N N Grupa Kety SA 2594007JKYYF3WGI0129 000000000 1428.00000000 NS 240880.06000000 0.009738318269 Long EC CORP PL N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 170000000.00000000 OU Notional Amount -2987.39000000 -0.00012077444 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 170000000.00000000 CNY -2987.39000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 19438000.00000000 OU Notional Amount USD 509752.61000000 0.020608319156 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Hungary Government International Bonds Hungary Government International Bonds Y buy protection 2028-12-20 510253.47000000 USD 0.00000000 USD 19438000.00000000 USD -500.86000000 N N N Bank Negara Indonesia Persero Tbk PT 549300HZ8J3MLVXQ8F85 000000000 1380000.00000000 NS 416465.49000000 0.016836900032 Long EC CORP ID N 2 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -50449.49000000 -0.00203957600 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 876000000.00000000 PHP 15375056.60000000 USD 2023-12-20 -50449.49000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC N/A 938268.25000000 0.037932383613 N/A DFE HU N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 9045390.70000000 EUR 3860572749.00000000 HUF 2024-01-30 938268.25000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 2112.66000000 0.000085410786 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 82556000.00000000 MXN 4545816.84000000 USD 2023-12-20 2112.66000000 N N N TESNIK CUATRO LTD N/A 000000000 584285.00000000 NS USD 818174.29000000 0.033077215424 Long EC CORP US N 3 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 57000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 57000000.00000000 JPY 0.00000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 101000000.00000000 OU Notional Amount 29961.45000000 0.001211283889 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 101000000.00000000 CNY 29961.45000000 N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 3499499.75000000 PA USD 3499499.75000000 0.141478054888 Long RA CORP US N 2 Repurchase N 4.75000000 2024-09-27 3499499.75000000 USD 3499499.75000000 USD UST N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -171437.10000000 -0.00693087274 N/A DFE MX N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3767334.58000000 USD 65335000.00000000 MXN 2023-12-20 -171437.10000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 40832380000.00000000 OU Notional Amount 1689602.82000000 0.068307397509 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-06-06 0.00000000 CLP -10196654.00000000 CLP 40832380000.00000000 CLP 1702399.89000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -983262.55000000 -0.03975141676 N/A DFE CA N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 74000252.35000000 USD 101170000.00000000 CAD 2023-12-20 -983262.55000000 N N N COOF 2351647010 N/A 000000000 2340912.85000000 PA USD 257473.87000000 0.010409174143 Long ABS-MBS CORP US N 2 2043-03-21 Fixed 3.63000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 14525000000.00000000 OU Notional Amount -19345.85000000 -0.00078211556 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 14525000000.00000000 COP -19345.85000000 N N N mBank SA 259400DZXF7UJKK2AY35 000000000 2154.00000000 NS 266284.61000000 0.010765375442 Long EC CORP PL N 2 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HV5 19589406.00000000 PA USD 5182906.66000000 0.209534963654 Long DBT NUSS AR N 2 2041-07-09 Variable 3.50000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 2563050.00000000 PA USD 2563050.00000000 0.103619189737 Long RA CORP US N 2 Repurchase N 4.75000000 2024-07-27 2563050.00000000 USD 2563050.00000000 USD CDS N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 14189521000.00000000 OU Notional Amount -611922.37000000 -0.02473884635 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 14189521000.00000000 KRW -611922.37000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -117936.77000000 -0.00476795714 N/A DFE MX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2739839.72000000 USD 47638185.00000000 MXN 2023-12-20 -117936.77000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -42109.12000000 -0.00170239086 N/A DFE US N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 2500499000.00000000 KZT 4951483.17000000 USD 2024-06-18 -42109.12000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714RCZ5 535040000.00000000 PA 9522855.11000000 0.384990745591 Long DBT NUSS DO N 2 2025-08-08 Fixed 12.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -647340.18000000 -0.02617072040 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 10530750.00000000 OMR 26650006.33000000 USD 2024-08-29 -647340.18000000 N N N ARAGVI FINANCE INTL 635400VKAYT1VT6VBF50 000000000 3454000.00000000 PA USD 2378942.50000000 0.096176077049 Long DBT CORP IE Y 2 2026-04-29 Fixed 8.45000000 N N N N N N REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 000000000 21135000.00000000 PA USD 15124100.33000000 0.611438333902 Long DBT NUSS NG Y 2 2038-02-23 Fixed 7.69600000 N N N N N N Europe Asia Investment Finance BV 724500NLUHSB0SRCRO66 000000000 331541810000.00000000 PA 25264873.29000000 1.021410311596 Long LON CORP NL N 3 2025-07-20 Fixed 18.70000000 N N N N N N Ideal Holdings SA 2138005HALN2BC9VUD41 000000000 10014.00000000 NS 61682.14000000 0.002493690473 Long EC CORP GR N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1123900000.00000000 OU Notional Amount 778337.92000000 0.031466707482 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 1123900000.00000000 JPY 778337.92000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 384641250.00000000 PA 1156810.18000000 0.046767614183 Long STIV NUSS LK N 2 2023-12-08 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -1094.00000000 NC USD 575334.59000000 0.023259672672 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 5 Year U.S. Treasury Notes FVZ3 Comdty 2023-12-29 -114872694.51000000 USD 575334.59000000 N N N PGE Polska Grupa Energetyczna SA 259400MP9VXR0E69MJ89 000000000 133371.00000000 NS 231627.56000000 0.009364257462 Long EC CORP PL N 2 N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 1216117.77000000 PA USD 1216117.77000000 0.049165306159 Long RA CORP US N 2 Repurchase N 4.85000000 2024-09-13 1216117.77000000 USD 1216117.77000000 USD UST N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 16880.24000000 0.000682435688 N/A DFE ZA N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 855343.36000000 USD 16323971.44000000 ZAR 2023-12-20 16880.24000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 -27049427.02000000 PA USD -27049427.02000000 -1.09355639206 Short RA CORP US N 2 Reverse repurchase N 5.65000000 2024-10-16 27049427.02000000 USD 27100370.11000000 USD N N N Alior Bank SA 259400QHDOZWMJ103294 000000000 12085.00000000 NS 190251.13000000 0.007691487851 Long EC CORP PL N 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -316.74000000 -0.00001280518 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 34000000.00000000 SAR 9048689.94000000 USD 2024-07-15 -316.74000000 N N N COOF 1035947010 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-11-03 Fixed 1.88000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 8764.81000000 0.000354344437 N/A DFE PE N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2247987.78000000 USD 8686000.00000000 PEN 2023-12-20 8764.81000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394W3D8 630480.48000000 PA USD 57727.86000000 0.002333826526 Long ABS-MBS USGSE US N 2 2034-03-15 Floating 1.66500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 40500000.00000000 OU Notional Amount 7408.67000000 0.000299518301 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 40500000.00000000 CNY 7408.67000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -268020.50000000 -0.01083555414 N/A DFE NG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1591111.25000000 USD 1393006751.00000000 NGN 2024-06-26 -268020.50000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 15771100000.00000000 OU Notional Amount 434758.19000000 0.017576438766 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 15771100000.00000000 COP 434758.19000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 160228.26000000 0.006477720869 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3889828.79000000 USD 3635045000.00000000 CLP 2023-12-20 160228.26000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 560353.64000000 0.022654021631 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 54081148.70000000 EUR 57911175.65000000 USD 2023-12-20 560353.64000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 87573000.00000000 OU Notional Amount USD 123486.69000000 0.004992329748 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 French Republic Government Bonds OAT French Republic Government Bonds OAT Y buy protection 2028-12-20 80009.15000000 USD 0.00000000 USD 87573000.00000000 USD 43477.54000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 50319.04000000 0.002034302160 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 3589826000.00000000 KZT 7073548.77000000 USD 2024-09-16 50319.04000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12965000000.00000000 OU Notional Amount -211932.71000000 -0.00856803249 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-06-21 0.00000000 KRW 0.00000000 KRW 12965000000.00000000 KRW -211932.71000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -31995.44000000 -0.00129351419 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3306650.44000000 USD 3087961.04000000 EUR 2023-12-20 -31995.44000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 719962.50000000 PA USD 719962.50000000 0.029106701348 Long RA CORP US N 2 Repurchase N 4.00000000 2024-09-11 719962.50000000 USD 719962.50000000 USD UST N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1158100000.00000000 OU Notional Amount -661105.30000000 -0.02672721777 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 1158100000.00000000 BRL -661105.30000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 1173012.50000000 PA USD 1173012.50000000 0.047422642867 Long RA CORP US N 2 Repurchase N 1.75000000 2024-10-11 1173012.50000000 USD 1173012.50000000 USD N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC 28684.33000000 0.001159652380 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 1934275.67000000 USD 24410559000.00000000 UZS 2024-01-22 28684.33000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC N/A 52997.82000000 0.002142600092 N/A DFE HU N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 3135158.28000000 EUR 1229481162.00000000 HUF 2023-12-20 52997.82000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2719424.00000000 OU Notional Amount -39096.41000000 -0.00158059278 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-10-27 0.00000000 EUR 0.00000000 EUR 2719424.00000000 EUR -39096.41000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 20631000.00000000 PA 16195975.71000000 0.654772197219 Long DBT NUSS RO Y 2 2049-04-03 Fixed 4.62500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 603658946.00000000 OU Notional Amount -113198.00000000 -0.00457637776 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-02-24 0.00000000 ZAR -13417.82000000 ZAR 603658946.00000000 ZAR -112468.45000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 85106600000.00000000 OU Notional Amount -2362469.06000000 -0.09551008750 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-08 0.00000000 COP 0.00000000 COP 85106600000.00000000 COP -2362469.06000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 480000000.00000000 OU Notional Amount 311429.19000000 0.012590484121 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-09-20 0.00000000 JPY 0.00000000 JPY 480000000.00000000 JPY 311429.19000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4900000.00000000 OU Notional Amount USD 46710.23000000 0.001888404902 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2033-04-03 0.00000000 USD 0.00000000 USD 4900000.00000000 USD 46710.23000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC N/A -242959.35000000 -0.00982237997 N/A DFE IS N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 23547908.37000000 EUR 3464132800.00000000 ISK 2023-12-20 -242959.35000000 N N N Republic of Azerbaijan 549300P74FF45UQVU281 000000000 -13828000.00000000 PA USD -10838109.84000000 -0.43816396867 Short DBT NUSS AZ Y 2 2032-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BQRM3 7070000.00000000 PA USD 6930778.97000000 0.280198084751 Long ABS-MBS USGSE US N 2 2053-11-25 Fixed 6.50000000 N N N N N N COOF 1746217010 N/A 000000000 1405370.70000000 PA USD 135138.21000000 0.005463378327 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.63000000 N N N N N N WOW AIR EHF 549300LW49V05P8Z2H93 000000000 5500000.00000000 PA 0.00000000 0.000000 Long DBT CORP IS N 3 2049-12-31 None 0.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -177469.30000000 -0.00717474300 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 146008013.00000000 ZAR 7624041.20000000 USD 2023-12-20 -177469.30000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 261625000.00000000 OU Notional Amount -550197.36000000 -0.02224342273 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 261625000.00000000 BRL -550197.36000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 15311744.00000000 OU Notional Amount 35760.36000000 0.001445722685 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-10-02 0.00000000 GBP 0.00000000 GBP 15311744.00000000 GBP 35760.36000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -271217.33000000 -0.01096479583 N/A DFE IL N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3934948.70000000 USD 14793479.00000000 ILS 2023-11-28 -271217.33000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3019000.00000000 OU Notional Amount 1334732.20000000 0.053960659792 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2052-03-18 0.00000000 EUR 0.00000000 EUR 3019000.00000000 EUR 1334626.62000000 N N N IHS NETHERLANDS HOLDCO 5493006Z6YQYCCN2XI74 000000000 618000.00000000 PA USD 505851.54000000 0.020450606387 Long DBT CORP NL Y 2 2027-09-18 Fixed 8.00000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 16515000.00000000 PA 18017879.15000000 0.728428254742 Long DBT NUSS RO Y 2 2029-09-27 Fixed 6.62500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 20755000000.00000000 OU Notional Amount -136025.12000000 -0.00549923439 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-20 0.00000000 KRW 0.00000000 KRW 20755000000.00000000 KRW -136025.12000000 N N N COOF 1141317002 N/A 000000000 803311.65000000 PA USD 57738.66000000 0.002334263149 Long ABS-MBS CORP US N 2 2042-11-30 Fixed 2.38000000 N N N N N N Government of The Republic of Kenya Acting through The National Treasury N/A 000000000 5262000.00000000 PA USD 5374648.90000000 0.217286734220 Long LON NUSS KE N 2 2025-06-29 Floating 12.20300000 N N N N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 424740000.00000000 PA 1026956.17000000 0.041517865914 Long DBT NUSS AM N 2 2026-04-29 Fixed 9.00000000 N N N N N N XTB SA 259400AVUPSABLEXNT19 000000000 6748.00000000 NS 52462.57000000 0.002120960962 Long EC CORP PL Y 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -41867.35000000 -0.00169261656 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2927000.00000000 BHD 7657092.03000000 USD 2025-06-13 -41867.35000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 583680.74000000 0.023597091490 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 247015275227.00000000 IDR 16078583.30000000 USD 2023-12-20 583680.74000000 N N N Hellenic Republic 2138003EKTMKZ5598902 000000000 218316500.00000000 PA 726451.16000000 0.029369025412 Long DBT NUSS GR N 2 2042-10-15 Variable 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7690000000.00000000 OU Notional Amount -288498.42000000 -0.01166343712 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 7690000000.00000000 KRW -288498.42000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 63463.09000000 0.002565690862 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 6124983.00000000 EUR 6558754.30000000 USD 2023-12-20 63463.09000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 2873587.50000000 PA USD 2873587.50000000 0.116173624545 Long RA CORP US N 2 Repurchase N 4.95000000 2024-10-11 2873587.50000000 USD 2873587.50000000 USD UST N N N Morgan Stanley & Co. LLC 549300BI6Y5SI6BYPB26 61747C707 230125366.16000000 NS USD 230125366.16000000 9.303526649738 Long STIV RF US N 1 N N N COOF 1666817002 N/A 000000000 516370.38000000 PA USD 48828.61000000 0.001974046937 Long ABS-MBS CORP US N 2 2042-12-19 Fixed 3.63000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325DQ5 -95747000.00000000 PA USD -61586329.81000000 -2.48981705149 Short DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -52298.46000000 -0.00211432631 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 43940503.00000000 ZAR 2295533.61000000 USD 2023-12-20 -52298.46000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -719918.10000000 -0.02910490634 N/A DFE IL N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 12365432.25000000 USD 47022462.00000000 ILS 2023-11-28 -719918.10000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7250000000.00000000 OU Notional Amount -239479.49000000 -0.00968169591 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 7250000000.00000000 KRW -239479.49000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1200079.00000000 OU Notional Amount -826.26000000 -0.00003340410 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-10-18 0.00000000 EUR 0.00000000 EUR 1200079.00000000 EUR -826.26000000 N N N IRSA Inversiones y Representaciones SA 549300QJINFBX83IZ837 000000000 383780.00000000 NS USD 146028.29000000 0.005903643350 Long EC CORP AR N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 61940900000.00000000 OU Notional Amount -1745078.01000000 -0.07055015291 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-05 0.00000000 COP 0.00000000 COP 61940900000.00000000 COP -1745078.01000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1551900000.00000000 OU Notional Amount -938973.76000000 -0.03796090602 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-07-01 0.00000000 BRL 0.00000000 BRL 1551900000.00000000 BRL -938973.76000000 N N N COOF 1264967009 N/A 000000000 1546577.72000000 PA USD 118301.70000000 0.004782710559 Long ABS-MBS CORP US N 2 2043-02-13 Fixed 2.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6917000.00000000 OU Notional Amount USD 1240723.04000000 0.050160049977 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-03-17 0.00000000 USD -333.36000000 USD 6917000.00000000 USD 1241056.40000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1383.77000000 0.000055943163 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1697232.41000000 EUR 1797296.65000000 USD 2023-11-03 1383.77000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 7891.22000000 0.000319026871 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 357470.01000000 USD 6837864.00000000 ZAR 2023-12-20 7891.22000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 48710000.00000000 OU Notional Amount -363176.62000000 -0.01468253334 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-21 0.00000000 PLN 0.00000000 PLN 48710000.00000000 PLN -363176.62000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -122143.36000000 -0.00493802149 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 118118287.00000000 ZAR 6189161.32000000 USD 2023-12-20 -122143.36000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B2XJ6 1335758.83000000 PA USD 268790.74000000 0.010866693465 Long ABS-MBS USGSE US N 2 2048-08-25 Fixed 4.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 3040.37000000 0.000122916320 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2209540.00000000 EGP 52039.09000000 USD 2024-09-11 3040.37000000 N N N Freddie Mac - STACR 5493000IRODEKU3J3Q16 35564KTJ8 5042700.00000000 PA USD 5320955.68000000 0.215116020441 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 10.57100000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC N/A -40671.46000000 -0.00164426902 N/A DFE XX N 2 Citibank NA E57ODZWZ7FF32TWEFA76 193813122.00000000 CZK 7824510.38000000 EUR 2023-12-20 -40671.46000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 54463.36000000 0.002201849060 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 348679825.00000000 AMD 874322.53000000 USD 2024-09-06 54463.36000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5823700.00000000 OU Notional Amount USD 618930.43000000 0.025022168767 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2048-06-08 0.00000000 USD 0.00000000 USD 5823700.00000000 USD 618930.43000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13625000.00000000 OU Notional Amount USD -220941.64000000 -0.00893224623 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-08-23 409.33000000 USD 0.00000000 USD 13625000.00000000 USD -221350.97000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 3514000.00000000 PA 2207151.47000000 0.089230895593 Long DBT NUSS RO Y 2 2050-01-28 Fixed 3.37500000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 872976.96000000 0.035292782136 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 383525000000.00000000 IDR 24930932.49000000 USD 2023-12-20 872976.96000000 N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 24292000.00000000 PA 20956936.06000000 0.847248681814 Long DBT NUSS MK Y 2 2028-03-10 Fixed 1.62500000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 1776500.00000000 PA USD 1776500.00000000 0.071820483630 Long RA CORP US N 2 Repurchase N 2.25000000 2024-10-11 1776500.00000000 USD 1776500.00000000 USD N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 25486000.00000000 OU Notional Amount USD -224248.77000000 -0.00906594715 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 SAUDI INTERNATIONAL BOND SAUDI INTERNATIONAL BOND Y buy protection 2031-06-20 358508.59000000 USD 0.00000000 USD 25486000.00000000 USD -582757.36000000 N N N LETRA TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 561300000.00000000 PA 109270402.70000000 4.417592551880 Long DBT NUSS BR N 2 2024-01-01 None 0.00000000 N N N N N N PANAMA BONOS DEL TESORO 549300SHS4T08CL0LP14 000000000 1515000.00000000 PA USD 1385149.35000000 0.055998928352 Long DBT NUSS PA Y 2 2033-07-25 Fixed 6.37500000 N N N N N N REPUBLIC OF ARMENIA 5299000H77JSW90G7935 000000000 -8028000.00000000 PA USD -5936962.90000000 -0.24002000944 Short DBT NUSS AM Y 2 2031-02-02 Fixed 3.60000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 155489471.00000000 OU Notional Amount -303319.82000000 -0.01226263786 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 CZK 0.00000000 CZK 155489471.00000000 CZK -303319.82000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B1TS3 8201768.46000000 PA USD 1458135.00000000 0.058949598029 Long ABS-MBS USGSE US N 2 2048-04-25 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 26500000.00000000 OU Notional Amount USD 71791.94000000 0.002902410273 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2028-07-31 0.00000000 USD 0.00000000 USD 26500000.00000000 USD 71791.94000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -2171.81000000 -0.00008780210 N/A DFE EG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 64988.57000000 USD 2209540.00000000 EGP 2024-01-22 -2171.81000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7565000000.00000000 OU Notional Amount -6024.61000000 -0.00024356341 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 395533.45000000 COP 0.00000000 COP 7565000000.00000000 COP -6112.84000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7900000.00000000 OU Notional Amount -129362.44000000 -0.00522987503 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2053-03-13 0.00000000 EUR 0.00000000 EUR 7900000.00000000 EUR -129362.44000000 N N N Bank for Foreign Trade of Vietnam JSC 2549004TS5QUBFGAWE51 000000000 438625.00000000 NS 1551158.87000000 0.062710374461 Long EC CORP VN N 2 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 36392000000.00000000 PA 2335067.42000000 0.094402291817 Long DBT NUSS ID N 2 2048-05-15 Fixed 7.37500000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 38333.36000000 0.001549744134 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 122000000.00000000 CNY 16710568.43000000 USD 2023-12-20 38333.36000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1175720.27000000 0.047532112809 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 125000000.00000000 NZD 74012250.00000000 USD 2023-12-20 1175720.27000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1800119.00000000 OU Notional Amount -9378.21000000 -0.00037914302 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-10-17 0.00000000 EUR 0.00000000 EUR 1800119.00000000 EUR -9378.21000000 N N N Orange Polska SA 259400TOMPUOLS65II22 000000000 92231.00000000 NS 171078.68000000 0.006916382514 Long EC CORP PL N 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -282656.02000000 -0.01142724011 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 650799554.00000000 PKR 2028993.15000000 USD 2023-11-27 -282656.02000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 130732.97000000 0.005285282933 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 22397381.50000000 ILS 5677635.71000000 USD 2023-11-28 130732.97000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -4240.73000000 -0.00017144457 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1669865.40000000 USD 1494947000.00000000 CLP 2023-12-20 -4240.73000000 N N N MBH BANK NYRT 3H0Q3U74FVFED2SHZT16 000000000 3382000.00000000 PA 3610325.88000000 0.145958542507 Long DBT CORP HU Y 2 2027-10-19 Fixed 8.62500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 76566300000.00000000 OU Notional Amount 1198800.19000000 0.048465189655 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 76566300000.00000000 COP 1198800.19000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 55790000.00000000 OU Notional Amount -642945.62000000 -0.02599305678 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-21 0.00000000 PLN 0.00000000 PLN 55790000.00000000 PLN -642945.62000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10491000000.00000000 OU Notional Amount -76515.82000000 -0.00309338767 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-20 0.00000000 KRW 0.00000000 KRW 10491000000.00000000 KRW -76515.82000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 432034.47000000 0.017466323996 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 191763000000.00000000 IDR 12461043.60000000 USD 2023-12-20 432034.47000000 N N N Republic of Colombia 549300MHDRBVRF6B9117 195325CU7 -6825000.00000000 PA USD -4395910.91000000 -0.17771823673 Short DBT NUSS CO N 2 2045-06-15 Fixed 5.00000000 N N N N N N REPUBLIC OF ALBANIA 254900EDM43U3SGRND29 000000000 304000.00000000 PA 300558.86000000 0.012151017553 Long DBT NUSS AL Y 2 2027-06-16 Fixed 3.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 245990.50000000 0.009944923545 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 43290749.00000000 ILS 10965513.06000000 USD 2023-11-24 245990.50000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3184000000.00000000 OU Notional Amount 245397.49000000 0.009920949289 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 JPY 0.00000000 JPY 3184000000.00000000 JPY 245397.49000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 71712.60000000 0.002899202710 N/A DFE KZ N 2 Citibank NA E57ODZWZ7FF32TWEFA76 3536773.58000000 USD 1844427424.00000000 KZT 2024-09-16 71712.60000000 N N N COOF 1372847005 N/A 000000000 774200.72000000 PA USD 85687.27000000 0.003464171782 Long ABS-MBS CORP US N 2 2042-12-11 Fixed 3.63000000 N N N N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 12476000.00000000 PA USD 6548743.35000000 0.264753118248 Long DBT NUSS LK Y 2 2023-04-18 Fixed 5.75000000 N Y N N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 166000000.00000000 PA 502192.39000000 0.020302673979 Long STIV NUSS LK N 2 2023-11-24 None 0.00000000 N N N N N N JPMorgan Securities PLC K6Q0W1PS1L1O4IQL9C32 000000000 19840000.00000000 OU Notional Amount USD -610708.93000000 -0.02468978931 N/A DCR GB N 2 JPMorgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Czech Republic International Bonds Czech Republic International Bonds Y buy protection 2028-12-20 0.00000000 USD -606982.62000000 USD 19840000.00000000 USD -3726.31000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 6351000000.00000000 OU Notional Amount 185242.44000000 0.007488996132 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 6351000000.00000000 COP 185242.44000000 N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 46.00000000 NC 30998.37000000 0.001253204573 N/A DE HK N 2 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Long HKG Hang Seng Index Futures HIX3 Index 2023-11-29 39224200.92000000 HKD 30998.37000000 N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 1399000.00000000 PA USD 604920.61000000 0.024455778648 Long DBT NUSS GH Y 2 2027-03-26 Fixed 7.87500000 N Y N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 887765000.00000000 OU Notional Amount -44699.56000000 -0.00180711737 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 887765000.00000000 KRW -44699.56000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 88400000.00000000 OU Notional Amount USD 770671.20000000 0.031156756714 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 770671.20000000 0.03000000 DFE US 645320000.00000000 CNY 88400000.00000000 USD 2024-01-18 1.00000000 7.30000000 USD 2024-01-18 XXXX -180273.44000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10000000.00000000 OU Notional Amount USD -962720.00000000 -0.03892092091 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-04-03 0.00000000 USD 0.00000000 USD 10000000.00000000 USD -962720.00000000 N N N Vingroup JSC 254900MJ9C15O3O1V757 000000000 458952.00000000 NS 756988.48000000 0.030603590619 Long EC CORP VN N 2 N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 13735000.00000000 PA 386886.93000000 0.015641095650 Long DBT NUSS ZM N 2 2031-01-25 Fixed 13.00000000 N N N N N N COOF 1617657006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-23 Fixed 2.63000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 15196.35000000 0.000614359249 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 6431135711.00000000 IDR 418611.97000000 USD 2023-12-20 15196.35000000 N N N CORURIPE NETHERLANDS BV 724500EL5MDC9RD0FW48 000000000 2847000.00000000 PA USD 2015335.64000000 0.081476149925 Long DBT CORP NL Y 2 2027-02-10 Fixed 10.00000000 N N N N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 6628520000.00000000 PA 15790027.50000000 0.638360490621 Long DBT NUSS AM N 2 2028-04-29 Fixed 9.25000000 N N N N N N National Stock Exchange Of India N/A 000000000 -733.00000000 NC USD 291323.52000000 0.011777650492 N/A DE IN N 1 National Stock Exchange Of India N/A Short IFSC NIFTY 50 Index Futures JGSX3 Index 2023-11-30 -28384281.52000000 USD 291323.52000000 N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BF8 1393331000.00000000 PA 34746812.82000000 1.404746918858 Long DBT NUSS UY N 2 2033-07-20 Fixed 9.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38384DTP2 19302562.00000000 PA USD 19247220.59000000 0.778128168486 Long ABS-MBS USGA US N 2 2053-10-20 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11410000.00000000 OU Notional Amount 1660677.33000000 0.067137995493 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 11410000.00000000 EUR 1660677.33000000 N N N COOF 1631537001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-27 Fixed 1.88000000 N N N N N N Mytilineos SA 213800KT8MEUJEJ2KW41 000000000 145257.00000000 NS 5380958.42000000 0.217541815997 Long EC CORP GR N 2 N N N Republic of El Salvador 529900AKDMUSFSDOM949 000000000 1623000.00000000 PA USD 1335122.79000000 0.053976450596 Long DBT NUSS SV Y 2 2027-01-18 Fixed 6.37500000 N N N N N N GRUPO KALTEX SA DE CV 4469000001BKEKA98385 40054FAC1 2068000.00000000 PA USD 1861200.00000000 0.075244741983 Long DBT CORP MX N 2 2025-09-30 Fixed 14.50000000 N N Y N N N Barclays Capital, Inc. AC28XWWI3WIBK2824319 000000000 6348000.00000000 OU Notional Amount USD -47307.39000000 -0.00191254693 N/A DCR US N 2 Barclays Capital, Inc. AC28XWWI3WIBK2824319 Emirate of Dubai Government International Bonds Emirate of Dubai Government International Bonds Y buy protection 2024-12-20 23974.23000000 USD 0.00000000 USD 6348000.00000000 USD -71281.62000000 N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 000000000 -40300000.00000000 PA USD -12168280.33000000 -0.49194020729 Short DBT NUSS EC Y 2 2030-07-31 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 64000000.00000000 OU Notional Amount USD 676236.80000000 0.027338955263 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2028-03-20 0.00000000 USD 0.00000000 USD 64000000.00000000 USD 676236.80000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 191919.92000000 0.007758953826 N/A DFE CL N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4079844.64000000 USD 3834034000.00000000 CLP 2023-12-20 191919.92000000 N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC N/A -181158.76000000 -0.00732390079 N/A DFE IS N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 6335959.88000000 EUR 915863000.00000000 ISK 2023-12-20 -181158.76000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 544200000.00000000 PA 24282989.41000000 0.981714631815 Long DBT NUSS MX N 2 2053-07-31 Fixed 8.00000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 3184283.17000000 PA USD 3184283.17000000 0.128734453862 Long RA CORP US N 2 Repurchase N 5.00000000 2024-10-13 3184283.17000000 USD 3184283.17000000 USD N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 26500000.00000000 OU Notional Amount USD -684495.00000000 -0.02767281843 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-07-31 0.00000000 USD 0.00000000 USD 26500000.00000000 USD -684495.00000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC N/A -16752.24000000 -0.00067726089 N/A DFE XX N 2 Bank of America NA B4TYDEB6GKMZO031MB27 77525248.00000000 CZK 3129348.04000000 EUR 2023-12-20 -16752.24000000 N N N COOF 2372867005 N/A 000000000 3385127.23000000 PA USD 363969.78000000 0.014714599283 Long ABS-MBS CORP US N 2 2043-03-28 Fixed 3.63000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 4458.52000000 0.000180249402 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3997029000.00000000 COP 965239.79000000 USD 2023-12-20 4458.52000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11410000.00000000 OU Notional Amount -2031524.97000000 -0.08213065344 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 11410000.00000000 EUR -2031524.97000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 28346000.00000000 PA 7278102.46000000 0.294239706495 Long DBT NUSS PE N 2 2028-08-12 Fixed 6.35000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -54.17000000 -0.00000218998 N/A DFE TH N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2876.14000000 USD 101000.00000000 THB 2023-12-20 -54.17000000 N N N RMOF SD 01/08/18 N/A 000000000 45199429.79000000 PA USD 3131288.80000000 0.126591993246 Long ABS-MBS CORP US N 2 2040-10-01 Fixed 2.80000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 19880000.00000000 OU Notional Amount USD 40058.40000000 0.001619484188 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 SOCIALIST REP OF VIETNAM SOCIALIST REP OF VIETNAM Y sell protection 2024-06-20 37737.19000000 USD 0.00000000 USD 19880000.00000000 USD 2321.21000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 14408.64000000 0.000582513646 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 651103833.00000000 TRY 16999395.96000000 USD 2024-09-20 14408.64000000 N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 10382000.00000000 PA USD 4402902.38000000 0.178000888437 Long DBT NUSS GH Y 2 2032-03-26 Fixed 8.12500000 N Y N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 20704100000.00000000 OU Notional Amount -2528659.62000000 -0.10222885271 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-07-19 0.00000000 KRW 0.00000000 KRW 20704100000.00000000 KRW -2528659.62000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11800000.00000000 OU Notional Amount USD -253704.72000000 -0.01025679464 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 USD 0.00000000 USD 11800000.00000000 USD -253704.72000000 N N N IVORY COAST 254900ICW11T82O6H590 000000000 17973000.00000000 PA 13822640.28000000 0.558822803242 Long DBT NUSS CI Y 2 2040-10-17 Fixed 6.87500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1699222.91000000 0.068696319275 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 269000000.00000000 BRL 54685355.91000000 USD 2024-01-03 1699222.91000000 N N N Siminn HF 254900X9GQZM6UGXYF10 000000000 3351976.00000000 NS 211681.20000000 0.008557864429 Long EC CORP IS N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 45000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 45000000.00000000 JPY 0.00000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC N/A -97821.03000000 -0.00395471639 N/A DFE IS N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 8983687.25000000 EUR 1320871536.00000000 ISK 2023-12-20 -97821.03000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 11270.12000000 0.000455629309 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4993000000.00000000 IDR 324473.62000000 USD 2023-12-20 11270.12000000 N N N Desa, LLC N/A 000000000 1125339.39000000 PA USD 397207.67000000 0.016058343349 Long LON CORP US N 3 2024-06-30 Floating 2.50000000 N N N N N N ALPHA HOLDING SA 549300R872G37EN6NT94 000000000 5542314.87000000 PA USD 103918.29000000 0.004201216912 Long DBT CORP MX Y 2 2025-02-10 None 0.00000000 Y N N N N N Hoa Phat Group JSC 549300ODJEFGL5CWKD32 000000000 1601821.00000000 NS 1503103.84000000 0.060767601877 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12965000000.00000000 OU Notional Amount -197558.94000000 -0.00798692857 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-06-21 0.00000000 KRW 0.00000000 KRW 12965000000.00000000 KRW -197558.94000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2841000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 JPY 0.00000000 JPY 2841000000.00000000 JPY 0.00000000 N N N Cenergy Holdings SA 549300P50MFNOHG4U221 000000000 18063.00000000 NS 121499.46000000 0.004911989855 Long EC CORP BE N 2 N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 000000000 -9219000.00000000 PA USD -4709746.58000000 -0.19040601021 Short DBT NUSS EC Y 2 2030-07-31 Variable 6.00000000 N N N N N N FPT Corp N/A 000000000 1352975.00000000 NS 4730937.92000000 0.191262735401 Long EC CORP VN N 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -770.20000000 -0.00003113770 N/A DFE TH N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 28710.47000000 USD 1000000.00000000 THB 2023-12-20 -770.20000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 5684000.00000000 PA USD 354187.09000000 0.014319103911 Long DBT NUSS LB Y 2 2022-10-04 None 0.00000000 Y N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1457.69000000 -0.00005893160 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2209540.00000000 EGP 61359.07000000 USD 2024-01-22 -1457.69000000 N N N Republic of Colombia 549300MHDRBVRF6B9117 195325BM6 -6824000.00000000 PA USD -5240602.99000000 -0.21186751548 Short DBT NUSS CO N 2 2041-01-18 Fixed 6.12500000 N N N N N N Tanzania N/A 000000000 81952941.18000000 PA USD 79997298.14000000 3.234137146945 Long LON CORP TZ N 2 2031-04-28 Floating 12.17400000 N N N N N N Eurohold Bulgaria AD 74780000J0W85Y204X80 000000000 11339190.00000000 NS 10427552.13000000 0.421565908842 Long EC CORP BG N 2 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 3610.98000000 0.000145984987 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 348504.66000000 EUR 373185.76000000 USD 2023-12-20 3610.98000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 6166.19000000 0.000249287220 N/A DFE ZA N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 308044.47000000 USD 5880563.00000000 ZAR 2023-12-20 6166.19000000 N N N VEDANTA RESOURCES 8945002DGA3BBXO3N634 000000000 2214000.00000000 PA USD 1973247.36000000 0.079774601586 Long DBT CORP GB Y 2 2024-01-21 Fixed 13.87500000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 9657.67000000 0.000390441052 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 85280000.00000000 MXN 4703284.93000000 USD 2023-12-20 9657.67000000 N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 3507000.00000000 PA USD 233916.90000000 0.009456811082 Long DBT NUSS LB N 2 2034-05-17 None 0.00000000 Y N N N N N TBC Bank Group PLC 213800T6NS9N2WQ3B328 000000000 69173.00000000 NS 2260642.26000000 0.091393425515 Long EC CORP GB N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 61000000.00000000 OU Notional Amount 7142.69000000 0.000288765240 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-12-20 0.00000000 CNY 0.00000000 CNY 61000000.00000000 CNY 7142.69000000 N N N Freightways Group Ltd N/A 000000000 -51108.00000000 NS -221950.45000000 -0.00897303048 Short EC CORP NZ N 2 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 85444000.00000000 OU Notional Amount USD -161213.18000000 -0.00651753929 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Bundesrepublik Deutschland Bundesanleihe Bundesrepublik Deutschland Bundesanleihe Y buy protection 2028-12-20 0.00000000 USD -215359.50000000 USD 85444000.00000000 USD 54146.32000000 N N N TIMES CHINA HLDG LTD 2549000KTINB9ZPZP710 000000000 4471000.00000000 PA USD 111775.00000000 0.004518848611 Long DBT CORP KY Y 2 2023-07-16 None 0.00000000 Y N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -1450407.88000000 -0.05863720540 N/A DFE IL N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 22659795.24000000 USD 85654026.00000000 ILS 2023-11-24 -1450407.88000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 41729700000.00000000 OU Notional Amount -1135327.66000000 -0.04589911715 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-09 0.00000000 COP 0.00000000 COP 41729700000.00000000 COP -1135327.66000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 2362000.00000000 PA 1859204.33000000 0.075164060877 Long DBT NUSS RO Y 2 2031-07-16 Fixed 2.12400000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 6102.43000000 0.000246709526 N/A DFE ZA N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 243387.51000000 USD 4669292.00000000 ZAR 2023-12-20 6102.43000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -39974.49000000 -0.00161609186 N/A DFE NZ N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 2516416.50000000 USD 4250000.00000000 NZD 2023-12-20 -39974.49000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 12199.90000000 0.000493218529 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 176998064.00000000 TRY 4616139.80000000 USD 2024-09-23 12199.90000000 N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 332000.00000000 PA USD 21358.22000000 0.000863471820 Long DBT NUSS LB Y 2 2020-04-14 None 0.00000000 Y N N N N N Asseco Poland SA 259400O79EWIK4XZPL40 000000000 7850.00000000 NS 143731.82000000 0.005810801477 Long EC CORP PL N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 510000000.00000000 OU Notional Amount 361094.46000000 0.014598355616 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 510000000.00000000 JPY 361094.46000000 N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 8500000.00000000 PA 266764.97000000 0.010784795474 Long DBT NUSS ZM N 2 2028-11-29 Fixed 12.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1888482000.00000000 OU Notional Amount 111812.09000000 0.004520348088 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-05 0.00000000 HUF 0.00000000 HUF 1888482000.00000000 HUF 111812.09000000 N N N DIG INTL FIN/DIG INTL N/A 000000000 1633000.00000000 PA USD 1499959.49000000 0.060640481845 Long DBT CORP XX Y 2 2024-05-25 Fixed 8.75000000 N N N N N N COOF 1758497010 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-28 Fixed 3.13000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 2626000.00000000 PA 2200235.34000000 0.088951289738 Long DBT NUSS RO Y 2 2034-02-07 Fixed 3.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10000000.00000000 OU Notional Amount USD 86239.70000000 0.003486505467 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2033-04-03 0.00000000 USD 0.00000000 USD 10000000.00000000 USD 86239.70000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 65000000.00000000 OU Notional Amount USD 778234.60000000 0.031462530453 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2028-06-05 0.00000000 USD 0.00000000 USD 65000000.00000000 USD 778234.60000000 N N N ARDSHININVESTBK (DILIJAN 549300DCGXFXAP2FEV07 000000000 1237000.00000000 PA USD 1221537.50000000 0.049384415436 Long DBT CORP NL Y 2 2025-01-28 Fixed 6.50000000 N N N N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 11568620000.00000000 PA 27497468.46000000 1.111669847121 Long DBT NUSS AM N 2 2033-10-29 Fixed 9.60000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 2197436.19000000 0.088838125478 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 250528000.00000000 PEN 67288354.10000000 USD 2023-12-20 2197436.19000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -793647.91000000 -0.03208566097 N/A DFE KR N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 44272874.77000000 USD 58668200000.00000000 KRW 2023-12-20 -793647.91000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 150401.44000000 0.006080441406 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 14515624.00000000 EUR 15543620.49000000 USD 2023-12-20 150401.44000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 18160000.00000000 OU Notional Amount USD -821182.31000000 -0.03319882389 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 18160000.00000000 USD -821182.31000000 N N N COOF 2153127006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-13 Fixed 2.88000000 N N N N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -24614.20000000 -0.00099510483 N/A DFE US N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 1736556000.00000000 KZT 3536773.93000000 USD 2024-03-14 -24614.20000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 6090.22000000 0.000246215899 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 308120.44000000 USD 5880563.00000000 ZAR 2023-12-20 6090.22000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5588000000.00000000 OU Notional Amount 363335.21000000 0.014688944836 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-01 0.00000000 JPY 0.00000000 JPY 5588000000.00000000 JPY 363335.21000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 769153.17000000 0.031095385677 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 74232920.29000000 EUR 79490095.70000000 USD 2023-12-20 769153.17000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13750000.00000000 OU Notional Amount USD 40214.07000000 0.001625777628 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2028-08-25 0.00000000 USD 0.00000000 USD 13750000.00000000 USD 40214.07000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2031000000.00000000 OU Notional Amount 107781.34000000 0.004357392606 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-20 0.00000000 JPY 0.00000000 JPY 2031000000.00000000 JPY 107781.34000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -678683.16000000 -0.02743785690 N/A DFE NG N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3153808.03000000 USD 2601891623.00000000 NGN 2024-06-21 -678683.16000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 11010000000.00000000 OU Notional Amount 1183010.36000000 0.047826837148 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-06-22 0.00000000 CLP 0.00000000 CLP 11010000000.00000000 CLP 1183010.36000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -246826.72000000 -0.00997873031 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 654000000.00000000 PKR 2076190.48000000 USD 2023-11-27 -246826.72000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1365455.85000000 -0.05520275796 N/A DFE JP N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 31598370.97000000 USD 4546457667.00000000 JPY 2023-12-20 -1365455.85000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 27035200000.00000000 OU Notional Amount -569412.15000000 -0.02302023979 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 27035200000.00000000 COP -569412.15000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 75000000.00000000 OU Notional Amount USD 811772.25000000 0.032818393241 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2028-03-16 0.00000000 USD 0.00000000 USD 75000000.00000000 USD 811772.25000000 N N N COOF 2061847002 N/A 000000000 2209339.29000000 PA USD 159218.65000000 0.006436904275 Long ABS-MBS CORP US N 2 2043-02-08 Fixed 2.38000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 7231.55000000 0.000292357679 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 697935.50000000 EUR 747363.29000000 USD 2023-12-20 7231.55000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 289560.10000000 0.011706358807 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 27946177.90000000 EUR 29925326.22000000 USD 2023-12-20 289560.10000000 N N N Refrigeration Electrical Engineering Corp N/A 000000000 576424.00000000 NS 1320537.11000000 0.053386779562 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5444100.00000000 OU Notional Amount -72582.81000000 -0.00293438362 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-10-10 0.00000000 EUR 0.00000000 EUR 5444100.00000000 EUR -72582.81000000 N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31397VD87 9251580.55000000 PA USD 1712160.41000000 0.069219357556 Long ABS-MBS USGSE US N 2 2048-02-25 Fixed 3.50000000 N N N N N N COOF 1077627006 N/A 000000000 688739.14000000 PA USD 47892.85000000 0.001936215958 Long ABS-MBS CORP US N 2 2042-10-27 Fixed 2.63000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -44231.78000000 -0.00178820592 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 42182883.00000000 ZAR 2209687.01000000 USD 2023-12-20 -44231.78000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 20326400000.00000000 OU Notional Amount 583963.25000000 0.023608512827 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 20326400000.00000000 COP 583963.25000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 332000000.00000000 PA 1007297.22000000 0.040723092316 Long STIV NUSS LK N 2 2023-11-17 None 0.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 165600000.00000000 OU Notional Amount USD -1353185.50000000 -0.05470669127 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 China Government International Bonds China Government International Bonds Y buy protection 2028-12-20 0.00000000 USD -1628896.07000000 USD 165600000.00000000 USD 275710.57000000 N N N URU MONETARY REG BILL 549300DTMS39GZYBX161 000000000 210400000.00000000 PA 4940833.23000000 0.199748399727 Long DBT NUSS UY N 2 2024-07-03 None 0.00000000 N N N N N N Eurocash SA 259400FVIQJS5VD8JO79 000000000 12263.00000000 NS 40795.43000000 0.001649280896 Long EC CORP PL N 2 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1323952.61000000 0.053524861668 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 506944000.00000000 EGP 12532608.16000000 USD 2024-09-17 1323952.61000000 N N N LPP SA 259400NUS7MKGPJL4752 000000000 163.00000000 NS 525097.94000000 0.021228701381 Long EC CORP PL N 2 N N N Allegro.eu SA 222100VRLXV3FPMG4982 000000000 69423.00000000 NS 497990.70000000 0.020132807721 Long EC CORP LU Y 2 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 22730.06000000 0.000918932677 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 9986000000.00000000 IDR 649137.06000000 USD 2023-12-20 22730.06000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -177347.14000000 -0.00716980431 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 13016439.77000000 USD 22034089.00000000 NZD 2023-12-20 -177347.14000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -8602.12000000 -0.00034776719 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 478000000.00000000 INR 5723180.08000000 USD 2023-12-20 -8602.12000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 86746200000.00000000 OU Notional Amount 2329911.04000000 0.094193829276 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-05-05 0.00000000 COP 0.00000000 COP 86746200000.00000000 COP 2329911.04000000 N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 2158000.00000000 PA USD 1085719.15000000 0.043893540354 Long DBT NUSS LK Y 2 2028-04-18 Fixed 6.75000000 N Y N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5211360000.00000000 OU Notional Amount -476130.24000000 -0.01924903130 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-10-09 0.00000000 MXN 0.00000000 MXN 5211360000.00000000 MXN -476130.24000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9992000000.00000000 OU Notional Amount 222705.18000000 0.009003542772 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-20 0.00000000 INR 0.00000000 INR 9992000000.00000000 INR 222705.18000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -111411.77000000 -0.00450416391 N/A DFE NG N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 582811.78000000 USD 495390017.00000000 NGN 2024-06-20 -111411.77000000 N N N EBOS Group Ltd 254900KJ40C7HBYTWC21 000000000 -32800.00000000 NS -669586.31000000 -0.02707008872 Short EC CORP NZ N 2 N N N Ivory Coast N/A 000000000 5089500.00000000 PA 5806194.91000000 0.234733310717 Long LON CORP TZ N 2 2028-01-06 Floating 9.63800000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 2320000.00000000 PA USD 2320000.00000000 0.093793144960 Long RA CORP US N 2 Repurchase N 4.00000000 2024-09-11 2320000.00000000 USD 2320000.00000000 USD N N N Republic of El Salvador 529900AKDMUSFSDOM949 000000000 534000.00000000 PA USD 376395.04000000 0.015216928685 Long DBT NUSS SV Y 2 2035-06-15 Fixed 7.65000000 N N N N N N COOF 1708087007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-18 Fixed 3.38000000 N N N N N N UZBEK ICB (DARYO FNC) N/A 000000000 316179530000.00000000 PA 25264988.74000000 1.021414979018 Long DBT CORP NL N 3 2025-06-15 Fixed 18.75000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 7430000.00000000 PA USD 3111386.80000000 0.125787393604 Long DBT NUSS GH Y 2 2061-03-11 Fixed 8.75000000 N Y N N N N CCC SA 259400NWPQ2HCSMZP970 000000000 6055.00000000 NS 57307.27000000 0.002316822880 Long EC CORP PL N 2 N N N ALPHA HOLDING SA 549300R872G37EN6NT94 020ESCAD1 5879000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP MX N 3 2025-02-10 None 0.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -639208.46000000 -0.02584197058 N/A DFE KR N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 36425629.50000000 USD 48288000000.00000000 KRW 2023-12-20 -639208.46000000 N N N COOF 1431467010 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-22 Fixed 3.63000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC N/A 107117.13000000 0.004330539871 N/A DFE HU N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1943832.64000000 EUR 792286108.02000000 HUF 2024-01-11 107117.13000000 N N N AmRest Holdings SE 259400T6ZDQIMDBGDN42 000000000 11113.00000000 NS 70486.87000000 0.002849648799 Long EC CORP ES N 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 43219.13000000 0.001747266433 N/A DFE OM N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 25940544.75000000 USD 10000000.00000000 OMR 2023-11-06 43219.13000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 402900000.00000000 PA 8231653.37000000 0.332789938706 Long DBT NUSS DO Y 2 2034-06-10 Fixed 13.00000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 4770886.58000000 PA USD 4770886.58000000 0.192877783012 Long RA CORP US N 2 Repurchase N 5.05000000 2024-10-11 4770886.58000000 USD 4770886.58000000 USD CDS N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4723600000.00000000 OU Notional Amount -229071.25000000 -0.00926091075 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 4723600000.00000000 KRW -229071.25000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 1239018.02000000 0.050091119292 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 147688000.00000000 PEN 39610567.25000000 USD 2023-12-20 1239018.02000000 N N N Enea SA 2594003JTXPYO8NOG018 000000000 39017.00000000 NS 67629.66000000 0.002734137286 Long EC CORP PL N 2 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -1402.82000000 -0.00005671331 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 916000000.00000000 PHP 16128464.27000000 USD 2023-12-20 -1402.82000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4881000000.00000000 OU Notional Amount -251799.68000000 -0.01017977753 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 4881000000.00000000 KRW -251799.68000000 N N N ORLEN SA 259400VVMM70CQREJT74 000000000 80522.00000000 NS 1273367.92000000 0.051479819788 Long EC CORP PL N 2 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 6096.10000000 0.000246453616 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 243393.84000000 USD 4669292.00000000 ZAR 2023-12-20 6096.10000000 N N N EDEN RE II LTD SERIES 2022 1 C N/A 000000000 812887.09000000 NS USD 613729.75000000 0.024811915262 Long STIV CORP US N 3 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC 28106.11000000 0.001136276055 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 3868551.50000000 USD 48492293000.00000000 UZS 2023-12-21 28106.11000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 21042000.00000000 OU Notional Amount USD 2559009.99000000 0.103455859891 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Turkey Government International Bonds Turkey Government International Bonds Y buy protection 2028-12-20 2627907.09000000 USD 0.00000000 USD 21042000.00000000 USD -68897.10000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1218600000.00000000 OU Notional Amount 859971.02000000 0.034766976957 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 1218600000.00000000 JPY 859971.02000000 N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 4452000.00000000 PA USD 1907820.01000000 0.077129499464 Long DBT NUSS GH Y 2 2029-05-16 Fixed 7.62500000 N Y N N N N Reitir fasteignafelag hf 967600GFEYNJK2W4G048 000000000 1754792.00000000 NS 969273.22000000 0.039185855012 Long EC CORP IS N 2 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 5374000.00000000 PA 1279706.65000000 0.051736082470 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15000000 N N N N N N Phu Nhuan Jewelry JSC N/A 000000000 477066.00000000 NS 1400398.65000000 0.056615428268 Long EC CORP VN N 2 N N N JUMBO SA 549300TGIVUUMY40MZ05 000000000 203438.00000000 NS 5352566.59000000 0.216393988831 Long EC CORP GR N 2 N N N Cyfrowy Polsat SA 259400EM1ITR201TTX36 000000000 37579.00000000 NS 117169.26000000 0.004736928184 Long EC CORP PL N 2 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 58700000.00000000 OU Notional Amount USD 5333516.05000000 0.215623812081 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y buy protection 2029-06-20 4829826.16000000 USD 0.00000000 USD 58700000.00000000 USD 503689.89000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 40662300000.00000000 OU Notional Amount -1154543.57000000 -0.04667597949 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-04 0.00000000 COP 0.00000000 COP 40662300000.00000000 COP -1154543.57000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 1070647.50000000 PA USD 1070647.50000000 0.043284222486 Long RA CORP US N 2 Repurchase N 4.00000000 2024-08-17 1070647.50000000 USD 1070647.50000000 USD N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 338.00000000 NC USD -4310614.01000000 -0.17426984685 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term U.S. Treasury Bond Futures WNZ3 Comdty 2023-12-19 42356739.01000000 USD -4310614.01000000 N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -131.00000000 NC 1900223.80000000 0.076822399280 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short TSE Japanese 10 Year Bond Futures JBZ3 Comdty 2023-12-13 -19119276423.00000000 JPY 1900223.80000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 6192100000.00000000 OU Notional Amount 174880.19000000 0.007070070263 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 6192100000.00000000 COP 174880.19000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 17300000.00000000 OU Notional Amount USD 960533.37000000 0.038832519660 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 17300000.00000000 USD 960533.37000000 N N N COOF 1622947004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-27 Fixed 3.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9489000.00000000 OU Notional Amount USD 191917.11000000 0.007758840223 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 9489000.00000000 USD 191917.11000000 N N N BARBADOS GOVT OF 529900UD1KUUS4SFD905 000000000 28446600.00000000 PA USD 26810920.50000000 1.083914031460 Long DBT NUSS BB Y 2 2029-10-01 Fixed 6.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 42459.82000000 0.001716568988 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 153422000.00000000 CNY 21008752.03000000 USD 2023-12-20 42459.82000000 N N N Alpha Services and Holdings SA 5299009N55YRQC69CN08 000000000 1820600.00000000 NS 2725315.43000000 0.110179269478 Long EC CORP GR N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 32400000.00000000 OU Notional Amount USD -901857.24000000 -0.03646035639 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 USD 0.00000000 USD 32400000.00000000 USD -901857.24000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -56803.06000000 -0.00229643863 N/A DFE ID N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4108853.41000000 USD 64596619897.00000000 IDR 2023-12-20 -56803.06000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3402510000.00000000 OU Notional Amount 56514.56000000 0.002284775137 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-20 0.00000000 INR 0.00000000 INR 3402510000.00000000 INR 56514.56000000 N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 6908000.00000000 PA USD 2957867.44000000 0.119580900678 Long DBT NUSS GH Y 2 2034-04-07 Fixed 8.62500000 N Y N N N N Powszechna Kasa Oszczednosci Bank Polski SA P4GTT6GF1W40CVIMFR43 000000000 123438.00000000 NS 1278665.00000000 0.051693970560 Long EC CORP PL N 2 N N N Air New Zealand Ltd 2549005EEIR2FNT5R792 000000000 -1306400.00000000 NS -509863.49000000 -0.02061280182 Short EC CORP NZ N 2 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 5669000.00000000 PA USD 364698.11000000 0.014744044266 Long DBT NUSS LB N 2 2020-03-09 None 0.00000000 Y N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 136689000.00000000 PA 34887319.63000000 1.410427339374 Long DBT NUSS PE Y 2 2033-08-12 Fixed 7.30000000 N N N N N N Public Power Corp SA 213800T9Y5XCOVRZ4Y57 000000000 186100.00000000 NS 1899532.22000000 0.076794440029 Long EC CORP GR N 2 N N N 2023-11-30 Global Macro Absolute Return Advantage Portfolio James Kirchner James Kirchner Treasurer