0000313212-23-000769.txt : 20230828
0000313212-23-000769.hdr.sgml : 20230828
20230828130950
ACCESSION NUMBER: 0000313212-23-000769
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230630
FILED AS OF DATE: 20230828
DATE AS OF CHANGE: 20230828
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price International Funds, Inc.
CENTRAL INDEX KEY: 0000313212
IRS NUMBER: 521175211
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02958
FILM NUMBER: 231213450
BUSINESS ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
BUSINESS PHONE: 410-345-2000
MAIL ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE INTERNATIONAL FUNDS INC
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE INTERNATIONAL TRUST
DATE OF NAME CHANGE: 19900301
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE INTERNATIONAL FUND INC
DATE OF NAME CHANGE: 19890914
0000313212
S000047983
T. Rowe Price Dynamic Global Bond Fund
C000151117
T. Rowe Price Dynamic Global Bond Fund
RPIEX
C000151118
T. Rowe Price Dynamic Global Bond Fund-Advisor Class
PAIEX
C000159134
T. Rowe Price Dynamic Global Bond Fund-I Class
RPEIX
C000219340
T. Rowe Price Dynamic Global Bond Fund-Z Class
TRDZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000313212
XXXXXXXX
S000047983
C000151118
C000159134
C000151117
C000219340
T. ROWE PRICE INTERNATIONAL FUNDS, INC.
811-02958
0000313212
549300O4BT3AMY6OUC26
100 East Pratt Street
Baltimore
21202
410-345-2000
T. Rowe Price Dynamic Global Bond Fund
S000047983
549300RBL73KV0WZZF27
2023-12-31
2023-06-30
N
4653166967.540002
270576688.940000
4382590278.600002
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
326588447.250000
HUF
GBP
JPY
INR
PLN
USD
NZD
EUR
KRW
AUD
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
00774MAW5
13050000.000000
PA
USD
11272107.150000
0.2572019384
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.0
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
00774MAX3
15025000.000000
PA
USD
12254510.200000
0.2796179752
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.3
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
00774MBA2
6390000.000000
PA
USD
6382012.500000
0.1456219289
Long
DBT
CORP
IE
N
2
2023-09-29
Floating
5.74071
N
N
N
N
N
N
Applebee s Funding LLC / IHOP Funding LLC
N/A
APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC
03789XAF5
6500000.000000
PA
USD
6394992.500000
0.1459181008
Long
ABS-O
CORP
US
N
2
2053-03-05
Fixed
7.824
N
N
N
N
N
N
Avolon Holdings Funding Ltd
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD
05401AAS0
9735000.000000
PA
USD
9608347.650000
0.2192390125
Long
DBT
CORP
KY
N
2
2028-05-04
Fixed
6.375
N
N
N
N
N
N
BBCMS Mortgage Trust 2020-C6
N/A
BBCMS MORTGAGE TRUST 2020-C6
05492TAG5
7995000.000000
PA
USD
6588056.690000
0.1503233538
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.84
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-IMC
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC
05608BAN0
5535000.000000
PA
USD
5377712.460000
0.1227062563
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
7.343
N
N
N
N
N
N
BANK 2020-BNK25
N/A
BANK 2020-BNK25
06539WBE5
8515000.000000
PA
USD
6997800.710000
0.1596727110
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Fixed
2.841
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC
06738EBN4
8109000.000000
PA
USD
7075102.500000
0.1614365489
Long
DBT
CORP
GB
N
2
N/A
Variable
6.125
N
N
N
N
N
N
Benchmark 2020-B16 Mortgage Trust
N/A
BENCHMARK 2020-B16 MORTGAGE TRUST
08161NAH0
5730000.000000
PA
USD
4704831.950000
0.1073527674
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
2.944
N
N
N
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/PLN FWD 20230818 CITIGB2L
000000000
1.000000
NC
USD
-2329576.570000
-0.0531552443
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-384833000.000000
PLN
92082934.530000
USD
2023-08-18
-2329576.570000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
NOK/USD FWD 20230721 BOFAUS6N
000000000
1.000000
NC
USD
85713.340000
0.0019557690
N/A
DFE
CORP
NO
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-42251771.480000
USD
454065000.000000
NOK
2023-07-21
85713.340000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
TRS/JP/9984/TONACOMPOUND/100608941
000000000
1.000000
NC
-542415.020000
-0.0123765852
N/A
DE
CORP
JP
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
SoftBank Group Corp
SOFTBANK GROUP CORP
Y
Equity Performance Leg
2024-01-17
0.000000
USD
0.000000
USD
-1798933199.620000
JPY
-542415.020000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
TRS/CRWD/SOFRCOMPOUND/100989372
000000000
1.000000
NC
USD
1107567.320000
0.0252719796
N/A
DE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
CROWDSTRIKE HOLDINGS INC
Y
Equity Performance Leg
2024-01-18
0.000000
USD
0.000000
USD
-13280211.000000
USD
1107567.320000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
TRS/OKTA/SOFRCOMPOUND/100989380
000000000
1.000000
NC
USD
486709.680000
0.0111055255
N/A
DE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Okta Inc
OKTA INC
Y
Equity Performance Leg
2024-01-18
0.000000
USD
0.000000
USD
-5286892.000000
USD
486709.680000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
TRS/OKTA/SOFRCOMPOUND/100997540
000000000
1.000000
NC
USD
486709.680000
0.0111055255
N/A
DE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Okta Inc
OKTA INC
Y
Equity Performance Leg
2024-01-18
0.000000
USD
0.000000
USD
-5286892.000000
USD
486709.680000
N
N
N
Braskem Netherlands Finance BV
2549000TLMHFQ74DS330
BRASKEM NETHERLANDS FINANCE BV
10554TAE5
17530000.000000
PA
USD
14182099.560000
0.3236008538
Long
DBT
CORP
NL
N
2
2050-01-31
Fixed
5.875
N
N
N
N
N
N
Braskem Netherlands Finance BV
2549000TLMHFQ74DS330
BRASKEM NETHERLANDS FINANCE BV
10554TAG0
13800000.000000
PA
USD
13570639.860000
0.3096488377
Long
DBT
CORP
NL
N
2
2033-02-13
Fixed
7.25
N
N
N
N
N
N
BRAVO Residential Funding Trust 2022-NQM2
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2022-NQM2
10568KAA6
4230449.960000
PA
USD
4066676.130000
0.0927916112
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
4.272
N
N
N
N
N
N
CEC Entertainment LLC
N/A
CEC ENTERTAINMENT LLC
125137AC3
11860000.000000
PA
USD
11311475.000000
0.2581002166
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.75
N
N
N
N
N
N
Cantor Commercial Real Estate Lending 2019-CF1
N/A
CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF1
12529MDH8
4517000.000000
PA
USD
3148162.900000
0.0718333839
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
4.66
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP
14040HCZ6
10620000.000000
PA
USD
10556938.440000
0.2408835362
Long
DBT
CORP
US
N
2
2029-06-08
Variable
6.312
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP
14040HDA0
10620000.000000
PA
USD
10517559.480000
0.2399850046
Long
DBT
CORP
US
N
2
2034-06-08
Variable
6.377
N
N
N
N
N
N
CarMax Auto Owner Trust 2023-1
N/A
CARMAX AUTO OWNER TRUST 2023-1
14318DAB5
6835000.000000
PA
USD
6809828.060000
0.1553836345
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
5.23
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
JPY/USD FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
4832504.840000
0.1102659508
N/A
DFE
CORP
JP
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-29609850000.000000
JPY
210728565.150000
USD
2023-07-21
4832504.840000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
ZAR/USD FWD 20230818 CITIGB2L
000000000
1.000000
NC
USD
-263970.580000
-0.0060231635
N/A
DFE
CORP
ZA
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-371888000.000000
ZAR
19396847.580000
USD
2023-08-18
-263970.580000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
MYR/USD FWD 20230908 MRMDUS33
000000000
1.000000
NC
USD
108667.670000
0.0024795307
N/A
DFE
CORP
MY
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-42483156.000000
MYR
9291825.640000
USD
2023-09-08
108667.670000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/THB FWD 20230908 BOFAUS6N
000000000
1.000000
NC
USD
112777.620000
0.0025733097
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-227810815.120000
THB
6582225.230000
USD
2023-09-08
112777.620000
N
N
N
Connecticut Avenue Securities Trust 2022-R06
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R06
20754NAB1
5579993.760000
PA
USD
5688601.080000
0.1297999749
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Floating
7.817
N
N
N
N
N
N
CoreLogic Inc
54930086CD8K2UIL0516
CORELOGIC INC
21871DAD5
11695000.000000
PA
USD
9429093.750000
0.2151488766
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.5
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
225401AQ1
2920000.000000
PA
USD
2671201.400000
0.0609502881
Long
DBT
CORP
CH
N
2
2026-06-05
Variable
2.193
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
225401AT5
5590000.000000
PA
USD
4866307.420000
0.1110372431
Long
DBT
CORP
CH
N
2
2027-02-02
Variable
1.305
N
N
N
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
ZAR/USD FWD 20230818 DEUTGB2L
000000000
1.000000
NC
USD
1039237.740000
0.0237128655
N/A
DFE
CORP
ZA
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-34020147.530000
USD
663154735.760000
ZAR
2023-08-18
1039237.740000
N
N
N
DLLAD 2023-1 LLC
N/A
DLLAD 2023-1 LLC
233258AB8
7960000.000000
PA
USD
7883925.480000
0.1798919127
Long
ABS-O
CORP
US
N
2
2026-04-20
Fixed
5.19
N
N
N
N
N
N
Diamond Sports Group LLC / Diamond Sports Finance Co
N/A
DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO
25277LAF3
34830000.000000
PA
USD
1175512.500000
0.0268223225
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.375
Y
Y
N
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH NETWORK CORP
25470MAG4
25935000.000000
PA
USD
25319043.750000
0.5777187038
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
11.75
N
N
N
N
N
N
Dominican Republic International Bond
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC INTERNATIONAL BOND
25714PEP9
5435000.000000
PA
USD
5098967.320000
0.1163459734
Long
DBT
NUSS
DO
N
2
2029-02-22
Fixed
5.5
N
N
N
N
N
N
DRIVEN BRANDS FUNDING LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAC2
2341750.000000
PA
USD
2237209.600000
0.0510476558
Long
ABS-O
CORP
US
N
2
2048-04-20
Fixed
4.739
N
N
N
N
N
N
DRIVEN BRANDS FUNDING LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAE8
4815350.000000
PA
USD
4367541.710000
0.0996566284
Long
ABS-O
CORP
US
N
2
2049-10-20
Fixed
3.981
N
N
N
N
N
N
Drive Auto Receivables Trust 2020-2
N/A
DRIVE AUTO RECEIVABLES TRUST 2020-2
26208VAG1
2975000.000000
PA
USD
2909955.790000
0.0663980798
Long
ABS-O
CORP
US
N
2
2028-05-15
Fixed
3.05
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTERNATIONAL NV
29278GBB3
5200000.000000
PA
USD
6074400.800000
0.1386029817
Long
DBT
CORP
NL
N
2
2052-10-14
Fixed
7.75
N
N
N
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
ZAR/USD FWD 20230818 BOFAUS6N
000000000
1.000000
NC
USD
1397056.680000
0.0318774193
N/A
DFE
CORP
ZA
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-35888935.370000
USD
705271413.430000
ZAR
2023-08-18
1397056.680000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/ZAR FWD 20230818 BOFAUS6N
000000000
1.000000
NC
USD
-65068.000000
-0.0014846927
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-150640035.000000
ZAR
7898905.930000
USD
2023-08-18
-65068.000000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
EUR/USD FWD 20230721 BOFAUS6N
000000000
1.000000
NC
USD
-188885.840000
-0.0043099133
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-129352580.800000
USD
118239000.000000
EUR
2023-07-21
-188885.840000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
ZAR/USD FWD 20230818 BARCGB5G
000000000
1.000000
NC
USD
-1078942.350000
-0.0246188277
N/A
DFE
CORP
ZA
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-873739608.000000
ZAR
45113555.250000
USD
2023-08-18
-1078942.350000
N
N
N
Exeter Automobile Receivables Trust 2021-2
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2
30166RAG2
17480000.000000
PA
USD
15889832.160000
0.3625671384
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
2.21
N
N
N
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANCORP
316773CY4
3470000.000000
PA
USD
3259554.910000
0.0743750774
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
2.375
N
N
N
N
N
N
Fifth Third Bank NA
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK NA
31677AAB0
3244000.000000
PA
USD
2960840.970000
0.0675591552
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.85
N
N
N
N
N
N
Fifth Third Bank NA
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK NA
31677QBM0
1113000.000000
PA
USD
1054898.060000
0.0240701958
Long
DBT
CORP
US
N
2
2025-07-28
Fixed
3.95
N
N
N
N
N
N
Fifth Third Bank NA
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK NA
31677QBT5
4148000.000000
PA
USD
4046141.710000
0.0923230659
Long
DBT
CORP
US
N
2
2025-10-27
Variable
5.852
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
PLN/USD FWD 20230818 UBSWGB2L
000000000
1.000000
NC
USD
99451.460000
0.0022692393
N/A
DFE
CORP
PL
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-8512743.410000
USD
35104000.000000
PLN
2023-08-18
99451.460000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
AUD/USD FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
-337341.720000
-0.0076973137
N/A
DFE
CORP
AU
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-22930621.090000
USD
33893945.180000
AUD
2023-07-21
-337341.720000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/AUD FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
-532947.240000
-0.0121605536
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-129382000.000000
AUD
85711473.590000
USD
2023-07-21
-532947.240000
N
N
N
FOCUS Brands Funding LLC
N/A
FOCUS BRANDS FUNDING LLC
34417RAB2
19056000.000000
PA
USD
19077304.610000
0.4352974702
Long
ABS-O
CORP
US
N
2
2052-07-30
Fixed
7.206
N
N
N
N
N
N
Ford Credit Auto Lease Trust 2023-A
N/A
FORD CREDIT AUTO LEASE TRUST 2023-A
345287AB2
12430000.000000
PA
USD
12389152.530000
0.2826901842
Long
ABS-O
CORP
US
N
2
2025-06-15
Fixed
5.19
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2022-DNA2
5493000ISA3AUOXQEF68
FREDDIE MAC STACR REMIC TRUST 2022-DNA2
35564KRE1
9061480.180000
PA
USD
9009541.590000
0.2055757216
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
6.367
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
HUF/USD FWD 20230818 BNPAFRPP
000000000
1.000000
NC
USD
237078.770000
0.0054095582
N/A
DFE
CORP
HU
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-12351976.300000
USD
4353355232.000000
HUF
2023-08-18
237078.770000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/NZD FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
364438.760000
0.0083156019
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-68811000.000000
NZD
42589880.340000
USD
2023-07-21
364438.760000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
INR/USD FWD 20230707 DEUTGB2L
000000000
1.000000
NC
USD
225291.730000
0.0051406067
N/A
DFE
CORP
IN
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-42464601.240000
USD
3503302000.000000
INR
2023-07-07
225291.730000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
NZD/USD FWD 20230721 MSLNGB2X
000000000
1.000000
NC
USD
-31867.730000
-0.0007271437
N/A
DFE
CORP
NZ
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-2359214.480000
NZD
1415849.540000
USD
2023-07-21
-31867.730000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
MXN/USD FWD 20230721 BNPAFRPP
000000000
1.000000
NC
USD
304627.150000
0.0069508471
N/A
DFE
CORP
MX
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-24348944.090000
USD
423805546.300000
MXN
2023-07-21
304627.150000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
USD/AUD FWD 20230721 DEUTGB2L
000000000
1.000000
NC
USD
1036165.050000
0.0236427543
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-69297000.000000
AUD
47228677.380000
USD
2023-07-21
1036165.050000
N
N
N
Hardee s Funding LLC
N/A
HARDEE'S FUNDING LLC
411707AD4
10749767.360000
PA
USD
10017858.700000
0.2285830539
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.959
N
N
N
N
N
N
Hardee s Funding LLC
N/A
HARDEE'S FUNDING LLC
411707AH5
4460625.000000
PA
USD
3796379.950000
0.0866241129
Long
ABS-O
CORP
US
N
2
2050-12-20
Fixed
3.981
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA
44891ACB1
7285000.000000
PA
USD
7219114.460000
0.1647225499
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
5.5
N
N
N
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/MXN FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
-3329.490000
-0.0000759708
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-3881340.430000
USD
66664684.410000
MXN
2023-07-21
-3329.490000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/GBP FWD 20230811 MSLNGB2X
000000000
1.000000
NC
USD
-24182.720000
-0.0005517906
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-4009239.230000
USD
3137078.170000
GBP
2023-08-11
-24182.720000
N
N
N
Mercedes-Benz Auto Receivables Trust 2023-1
N/A
MERCEDES-BENZ AUTO RECEIVABLES TRUST 2023-1
58770AAB9
13260000.000000
PA
USD
13208401.360000
0.3013834404
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
5.09
N
N
N
N
N
N
Stagwell Global LLC
N/A
STAGWELL GLOBAL LLC
59565JAA9
17057000.000000
PA
USD
14669020.000000
0.3347111883
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.625
N
N
N
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CLP/USD FWD 20230811 BOFAUS6N
000000000
1.000000
NC
USD
246657.530000
0.0056281221
N/A
DFE
CORP
CL
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-21741901.900000
USD
17730521000.000000
CLP
2023-08-11
246657.530000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/ILS FWD 20230720 CITIGB2L
000000000
1.000000
NC
USD
2581609.190000
0.0589060128
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-433794862.330000
ILS
119683064.640000
USD
2023-07-20
2581609.190000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/TWD FWD 20231006 CITIGB2L
000000000
1.000000
NC
USD
20019.180000
0.0004567888
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-232972000.000000
TWD
7529799.610000
USD
2023-10-06
20019.180000
N
N
N
Motion Bondco DAC
635400KFD3IETNQLA755
MOTION BONDCO DAC
61978XAA5
2200000.000000
PA
USD
2024000.000000
0.0461827338
Long
DBT
CORP
IE
N
2
2027-11-15
Fixed
6.625
N
N
N
N
N
NGL Energy Partners LP / NGL Energy Finance Corp
N/A
NGL ENERGY PARTNERS LP / NGL ENERGY FINANCE CORP
62913TAM4
6781000.000000
PA
USD
6509760.000000
0.1485368147
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.125
N
N
N
N
N
N
Natixis Commercial Mortgage Securities Trust 2019-MILE
N/A
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE
63875FAA4
7500000.000000
PA
USD
7051017.750000
0.1608869938
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
6.726
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/JPY FWD 20230721 UBSWGB2L
000000000
1.000000
NC
USD
-13793121.180000
-0.3147253177
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-218972609.500000
USD
29506800000.000000
JPY
2023-07-21
-13793121.180000
N
N
N
Nissan Auto Lease Trust 2023-A
N/A
NISSAN AUTO LEASE TRUST 2023-A
65480VAB9
13095000.000000
PA
USD
13039821.600000
0.2975368622
Long
ABS-O
CORP
US
N
2
2025-03-17
Fixed
5.1
N
N
N
N
N
N
Octane Receivables Trust 2023-1
N/A
OCTANE RECEIVABLES TRUST 2023-1
67571BAA1
1413610.990000
PA
USD
1405607.550000
0.0320725293
Long
ABS-O
CORP
US
N
2
2029-05-21
Fixed
5.87
N
N
N
N
N
N
Ovintiv Inc
2549003MEX7YMKLGI239
OVINTIV INC
69047QAC6
5400000.000000
PA
USD
5310511.200000
0.1211728878
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
6.25
N
N
N
N
N
N
Ovintiv Inc
2549003MEX7YMKLGI239
OVINTIV INC
69047QAD4
8170000.000000
PA
USD
8350303.730000
0.1905335247
Long
DBT
CORP
US
N
2
2053-07-15
Fixed
7.1
N
N
N
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
MXN/USD FWD 20230721 GSILGB2X
000000000
1.000000
NC
USD
-6049288.700000
-0.1380299849
N/A
DFE
CORP
MX
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-1594342286.860000
MXN
86696621.520000
USD
2023-07-21
-6049288.700000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
TWD/USD FWD 20230707 MRMDUS33
000000000
1.000000
NC
USD
-60680.030000
-0.0013845700
N/A
DFE
CORP
TW
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-31222566.270000
USD
970584695.000000
TWD
2023-07-07
-60680.030000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS
71654QCP5
73650000.000000
PA
USD
61114202.900000
1.3944767595
Long
DBT
CORP
MX
N
2
2029-01-23
Fixed
6.5
N
N
N
N
N
Progress Residential 2022-SFR5 Trust
N/A
PROGRESS RESIDENTIAL 2022-SFR5 TRUST
74332YAG4
1095000.000000
PA
USD
1045243.860000
0.0238499105
Long
ABS-O
CORP
US
N
2
2039-06-17
Fixed
5.734
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3E5
573961.000000
PA
USD
573961.000000
0.0130963874
Long
DBT
MUN
PR
N
2
2023-07-01
Fixed
5.25
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3F2
1144738.000000
PA
USD
1172997.000000
0.0267649250
Long
DBT
MUN
PR
N
2
2025-07-01
Fixed
5.375
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3G0
1134370.000000
PA
USD
1194441.920000
0.0272542456
Long
DBT
MUN
PR
N
2
2027-07-01
Fixed
5.625
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3H8
1115968.000000
PA
USD
1195129.640000
0.0272699377
Long
DBT
MUN
PR
N
2
2029-07-01
Fixed
5.625
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3J4
1083929.000000
PA
USD
1183882.000000
0.0270132941
Long
DBT
MUN
PR
N
2
2031-07-01
Fixed
5.75
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3K1
1027849.000000
PA
USD
976522.130000
0.0222818486
Long
DBT
MUN
PR
N
2
2033-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3L9
923898.000000
PA
USD
858704.890000
0.0195935471
Long
DBT
MUN
PR
N
2
2035-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3M7
792950.000000
PA
USD
711613.710000
0.0162372858
Long
DBT
MUN
PR
N
2
2037-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3N5
1078109.000000
PA
USD
936101.670000
0.0213595525
Long
DBT
MUN
PR
N
2
2041-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3P0
1121218.000000
PA
USD
947292.650000
0.0216149033
Long
DBT
MUN
PR
N
2
2046-07-01
Fixed
4.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3Q8
167584.000000
PA
USD
160524.310000
0.0036627725
Long
DBT
MUN
PR
N
2
2024-07-01
None
0.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3R6
1322744.000000
PA
USD
808697.900000
0.0184525098
Long
DBT
MUN
PR
N
2
2033-07-01
None
0.0
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3T2
4847591.720000
PA
USD
2441974.330000
0.0557198865
Long
DBT
MUN
PR
N
2
2043-11-01
Variable
0.01
N
N
N
N
N
N
T Rowe Price Government Reserve Investment Fund
5493007QR86JJLYO6D96
T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND
76105Y109
358216948.560000
NS
USD
358216948.560000
8.1736353569
Long
STIV
RF
US
N
1
N
N
N
T Rowe Price Government Reserve Investment Fund
5493007QR86JJLYO6D96
T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral
76105YYY8
33615365.000000
NS
USD
33615365.000000
0.7670204802
Long
STIV
RF
US
N
1
N
N
Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC
N/A
RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC
76954LAA7
14775000.000000
PA
USD
14239406.250000
0.3249084524
Long
DBT
CORP
US
N
2
2026-10-15
Floating
10.931
N
N
N
N
N
SBA Tower Trust
N/A
SBA TOWER TRUST
78403DAN0
7420000.000000
PA
USD
6995303.170000
0.1596157232
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.836
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
EUR/USD FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
-928615.440000
-0.0211887350
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-175747867.940000
USD
160033000.000000
EUR
2023-07-21
-928615.440000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/EUR FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
-1988069.790000
-0.0453628942
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-331508970.000000
EUR
360150678.670000
USD
2023-07-21
-1988069.790000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/BRL FWD 20230905 BNPAFRPP
000000000
1.000000
NC
USD
-1156021.030000
-0.0263775748
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-112278500.000000
BRL
22011939.300000
USD
2023-09-05
-1156021.030000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
HUF/USD FWD 20230818 DEUTGB2L
000000000
1.000000
NC
USD
171190.350000
0.0039061454
N/A
DFE
CORP
HU
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-17324747.800000
USD
6050178783.000000
HUF
2023-08-18
171190.350000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
USD/HUF FWD 20230818 DEUTGB2L
000000000
1.000000
NC
USD
-58574.840000
-0.0013365347
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-3093049050.000000
HUF
8885920.330000
USD
2023-08-18
-58574.840000
N
N
N
Santander Bank Auto Credit-Linked Notes Series 2022-A
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-A
80290CAS3
9671591.620000
PA
USD
9511126.370000
0.2170206605
Long
ABS-O
CORP
US
N
2
2032-05-15
Fixed
5.281
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes Series 2022-B
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-B
80290CAY0
1787953.640000
PA
USD
1776687.740000
0.0405396724
Long
ABS-O
CORP
US
N
2
2032-08-16
Fixed
5.916
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes Series 2022-B
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-B
80290CAZ7
4213197.690000
PA
USD
4195585.680000
0.0957330121
Long
ABS-O
CORP
US
N
2
2032-08-16
Fixed
6.793
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE
808513CD5
11000000.000000
PA
USD
10990166.000000
0.2507687304
Long
DBT
CORP
US
N
2
2029-05-19
Variable
5.643
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE
808513CE3
8800000.000000
PA
USD
8898604.000000
0.2030443969
Long
DBT
CORP
US
N
2
2034-05-19
Variable
5.853
N
N
N
N
N
N
TRK 2022-INV1 Trust
N/A
TRK 2022-INV1 TRUST
872635AA5
13920043.130000
PA
USD
12104025.950000
0.2761842924
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Variable
2.577
N
N
N
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
USD/JPY FWD 20230721 DEUTGB2L
000000000
1.000000
NC
USD
-247049.080000
-0.0056370563
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-4623221.300000
USD
629336000.000000
JPY
2023-07-21
-247049.080000
N
N
N
Tobacco Settlement Financing Corp/VA
N/A
TOBACCO SETTLEMENT FINANCING CORP/VA
88880NAT6
11280000.000000
PA
USD
10675853.350000
0.2435968838
Long
DBT
MUN
US
N
2
2046-06-01
Fixed
6.706
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MXN/USD FWD 20230721 MSLNGB2X
000000000
1.000000
NC
USD
-11920912.390000
-0.2720060885
N/A
DFE
CORP
MX
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-3297703266.650000
MXN
179912731.880000
USD
2023-07-21
-11920912.390000
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE
89117F8Z5
15285000.000000
PA
USD
15606076.710000
0.3560925325
Long
DBT
CORP
CA
N
2
2082-10-31
Variable
8.125
N
N
N
N
N
N
Towd Point Mortgage Trust 2017-6
N/A
TOWD POINT MORTGAGE TRUST 2017-6
89175JAA8
1209189.670000
PA
USD
1142699.470000
0.0260736094
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
2.75
N
N
N
N
N
N
Towd Point Mortgage Trust 2018-3
N/A
TOWD POINT MORTGAGE TRUST 2018-3
89175MAA1
2116887.920000
PA
USD
1994614.780000
0.0455122348
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
3.75
N
N
N
N
N
N
Towd Point Mortgage Trust 2018-1
N/A
TOWD POINT MORTGAGE TRUST 2018-1
89176EAA8
965956.470000
PA
USD
924635.070000
0.0210979127
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.0
N
N
N
N
N
N
Townsquare Media Inc
549300XBA8C68H0DR538
TOWNSQUARE MEDIA INC
892231AB7
9850000.000000
PA
USD
9431375.000000
0.2152009291
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.875
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
USD/CAD FWD 20230721 CIBCCATT
000000000
1.000000
NC
USD
-1106824.540000
-0.0252550311
N/A
DFE
CORP
US
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
-88213000.000000
CAD
65503762.570000
USD
2023-07-21
-1106824.540000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CAD/USD FWD 20230721 CIBCCATT
000000000
1.000000
NC
USD
-158454.730000
-0.0036155497
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
-41964407.870000
USD
55364000.000000
CAD
2023-07-21
-158454.730000
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
902613AX6
1830000.000000
PA
USD
1747882.410000
0.0398824051
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
3.75
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
902613BB3
5235000.000000
PA
USD
5020637.220000
0.1145586719
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
4.55
N
N
N
N
N
N
Venture Global LNG Inc
54930011XLBUWMQUC829
VENTURE GLOBAL LNG INC
92332YAB7
28855000.000000
PA
USD
28891068.750000
0.6592235850
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
8.375
N
N
N
N
N
N
Verus Securitization Trust 2022-1
N/A
VERUS SECURITIZATION TRUST 2022-1
92538WAA5
16333776.690000
PA
USD
14192581.900000
0.3238400352
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
2.724
N
N
N
N
N
N
Vistra Corp
549300KP43CPCUJOOG15
VISTRA CORP
92840MAC6
7285000.000000
PA
USD
6356162.500000
0.1450320951
Long
DBT
CORP
US
N
2
N/A
Variable
7.0
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FWD 20230721 MSLNGB2X
000000000
1.000000
NC
USD
-58954.240000
-0.0013451917
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-23028803.390000
EUR
25097595.940000
USD
2023-07-21
-58954.240000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
USD/THB FWD 20230908 BARCGB5G
000000000
1.000000
NC
USD
63616.420000
0.0014515712
N/A
DFE
CORP
US
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-101084010.780000
THB
2934233.920000
USD
2023-09-08
63616.420000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
ZAR/USD FWD 20230818 MRMDUS33
000000000
1.000000
NC
USD
648528.330000
0.0147978316
N/A
DFE
CORP
ZA
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-22619729.300000
USD
440123382.770000
ZAR
2023-08-18
648528.330000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
USD/BRL FWD 20230905 DEUTGB2L
000000000
1.000000
NC
USD
-1132044.530000
-0.0258304897
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-112278500.000000
BRL
22035915.800000
USD
2023-09-05
-1132044.530000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
EUR/USD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
-332276.400000
-0.0075817354
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-106073929.700000
USD
96798000.000000
EUR
2023-07-21
-332276.400000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/EUR FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
-121172.410000
-0.0027648583
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-6907000.000000
EUR
7424000.000000
USD
2023-07-21
-121172.410000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/GBP FWD 20230811 CITIGB2L
000000000
1.000000
NC
USD
155562.200000
0.0035495492
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-31048000.000000
GBP
39596095.000000
USD
2023-08-11
155562.200000
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
EG1116375
7248200000.000000
PA
403082408.130000
9.1973555023
Long
DBT
NUSS
MX
N
2
2027-06-03
Fixed
7.5
N
N
N
N
N
N
Philippine Government International Bond
529900RAHBALMYIJ3T08
PHILIPPINE GOVERNMENT INTERNATIONAL BOND
718286BM8
1679000000.000000
PA
29302060.570000
0.6686014139
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
6.25
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
EH6834517
1714774000.000000
PA
99284983.830000
2.2654406987
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.5
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
EI8047355
1396570000.000000
PA
77215626.700000
1.7618719020
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75
N
N
N
N
N
N
Romania Government Bond
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND
EJ0387625
64950000.000000
PA
13872540.030000
0.3165374618
Long
DBT
NUSS
RO
N
2
2027-07-26
Fixed
5.8
N
N
N
N
N
N
United Kingdom Inflation-Linked Gilt
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM INFLATION-LINKED GILT
EJ3889007
330625188.500000
PA
411085747.210000
9.3799721415
Long
DBT
NUSS
GB
N
2
2024-03-22
Fixed
0.125
N
N
N
N
N
N
Republic of South Africa Government Bond
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA GOVERNMENT BOND
EJ2359143
1490134000.000000
PA
57475607.480000
1.3114529040
Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75
N
N
N
N
N
N
Thailand Government Bond
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND
EJ5804210
3279830948.800000
PA
88009765.360000
2.0081677676
Long
DBT
NUSS
TH
N
2
2028-03-12
Fixed
1.25
N
N
N
N
N
N
EURO STOXX 50 PRICE EUR
N/A
SX5E 09/15/23 P3850
000000000
13920.000000
NC
2080962.050000
0.0474824685
N/A
DE
CORP
N/A
N
2
OTC MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
EURO STOXX 50 Price EUR
EURO STOXX 50 PR
10
3850
EUR
2023-09-15
XXXX
-8616488.350000
N
N
N
S&P 500 INDEX
N/A
SPX US 08/18/23 P3950
000000000
1446.000000
NC
USD
1012200.000000
0.0230959304
N/A
DE
CORP
US
N
2
OTC BARCLAYS BANK PLC
AC28XWWI3WIBK2824319
Put
Purchased
S&P 500 INDEX
S&P 500 INDEX
100
3950
USD
2023-08-18
XXXX
-1163813.100000
N
N
N
NASDAQ 100 STOCK INDEX
N/A
NDX US 08/18/23 P13800
000000000
31.000000
NC
USD
199950.000000
0.0045623704
N/A
DE
CORP
US
N
2
OTC GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Put
Purchased
NASDAQ 100 Stock Index
NASDAQ 100 STOCK INDX
100
13800
USD
2023-08-18
XXXX
-1170057.180000
N
N
N
EURO STOXX 50 PRICE EUR
N/A
SX5E 09/15/23 P4375
000000000
-3130.000000
NC
-2751149.810000
-0.0627745154
N/A
DE
CORP
N/A
N
2
OTC MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
EURO STOXX 50 Price EUR
EURO STOXX 50 PR
10
4375
EUR
2023-09-15
XXXX
4066410.860000
N
N
N
M&T BANK CORP
N/A
MTB US 12/15/23 P70
000000000
11261.000000
NC
USD
1210557.500000
0.0276219638
N/A
DE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
Put
Purchased
M&T BANK CORP
M&T BANK CORP
100
70
USD
2023-12-15
XXXX
-2133026.950000
N
N
N
COMERICA INC
N/A
CMA US 01/19/24 P20
000000000
15538.000000
NC
USD
1281885.000000
0.0292494830
N/A
DE
CORP
US
N
2
OTC BARCLAYS BANK PLC
AC28XWWI3WIBK2824319
Put
Purchased
Comerica Inc
COMERICA INC
100
20
USD
2024-01-19
XXXX
-1675462.540000
N
N
N
ZIONS BANCORP NA
N/A
ZION US 01/19/24 P15
000000000
22071.000000
NC
USD
2979585.000000
0.0679868482
N/A
DE
CORP
US
N
2
OTC GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Put
Purchased
Zions Bancorp NA
ZIONS BANCORP NA
100
15
USD
2024-01-19
XXXX
-999760.590000
N
N
N
Israel Government Bond - Fixed
213800T8ZHTFZIBYPE21
ISRAEL GOVERNMENT BOND - FIXED
AM6641311
308651000.000000
PA
79371164.770000
1.8110560131
Long
DBT
NUSS
IL
N
2
2047-03-31
Fixed
3.75
N
N
N
N
N
N
HDFC Bank Ltd
335800ZQ6I4E2JXENC50
HDFC BANK LTD
AR7752579
1200000000.000000
PA
14539867.240000
0.3317642379
Long
DBT
CORP
IN
N
2
2025-03-22
Fixed
8.1
N
N
N
N
N
N
Thailand Government Bond
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND
AP5381383
952465000.000000
PA
26569425.550000
0.6062493608
Long
DBT
NUSS
TH
N
2
2067-06-17
Fixed
3.6
N
N
N
N
N
N
Serbia Treasury Bonds
254900W94OCY91V32O78
SERBIA TREASURY BONDS
AR1346840
5669670000.000000
PA
54470936.960000
1.2428936656
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.875
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
AM7523740
440834000.000000
PA
23549606.220000
0.5373444635
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.0
N
N
N
N
N
N
Merlin Entertainments Ltd
549300ZTI0VEFO6WV007
MERLIN ENTERTAINMENTS LTD
AS4561989
1215000.000000
PA
USD
1164881.250000
0.0265797434
Long
DBT
CORP
GB
N
2
2026-06-15
Fixed
5.75
N
N
N
N
N
N
Romania Government Bond
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND
AU3524892
313590000.000000
PA
63714329.060000
1.4538052843
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
5.0
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT BOND
AT4277287
55100000.000000
PA
13123893.540000
0.2994551785
Long
DBT
NUSS
MY
N
2
2048-07-06
Fixed
4.921
N
N
N
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/INR FWD 20231006 GSILGB2X
000000000
1.000000
NC
USD
-1417.890000
-0.0000323528
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-2089572.190000
USD
171930000.000000
INR
2023-10-06
-1417.890000
N
N
N
Republic of South Africa Government Bond
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA GOVERNMENT BOND
EJ7500048
920000000.000000
PA
43198512.320000
0.9856844828
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.0
N
N
N
N
N
N
Cyprus Government International Bond
213800IOEYYAHPDLUL60
CYPRUS GOVERNMENT INTERNATIONAL BOND
ZS3023307
20454000.000000
PA
18360388.780000
0.4189392029
Long
DBT
NUSS
CY
N
2
2049-05-03
Fixed
2.75
N
N
N
N
N
N
India Government Bond
335800IV7VCDQGIOI391
INDIA GOVERNMENT BOND
ZR8860481
1253000000.000000
PA
14807886.760000
0.3378797884
Long
DBT
NUSS
IN
N
2
2029-10-07
Fixed
6.45
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
KAISA GROUP HOLDINGS LTD
ZQ1490049
13051000.000000
PA
USD
869948.340000
0.0198500951
Long
DBT
CORP
KY
N
2
2022-10-22
Fixed
11.95
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
CLP/USD FWD 20230811 UBSWGB2L
000000000
1.000000
NC
USD
-88340.500000
-0.0020157143
N/A
DFE
CORP
CL
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-14807186501.000000
CLP
18274836.780000
USD
2023-08-11
-88340.500000
N
N
N
N/A
N/A
10YR MINI JGB FUT SEP23
000000000
-1396.000000
NC
-539972.370000
-0.0123208499
N/A
DIR
CORP
SG
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Short
Japan Government Ten Year Bond
JAPAN (10 YEAR ISSUE)
2023-09-11
-148259197.920000
USD
-539972.370000
N
N
N
Indonesia Treasury Bond
529900FWX0GRR7WG5W79
INDONESIA TREASURY BOND
AZ8693857
579300000000.000000
PA
40227052.190000
0.9178830243
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.0
N
N
N
N
N
N
Brazil Notas do Tesouro Nacional Serie F
254900ZFY40OYEADAP90
BRAZIL NOTAS DO TESOURO NACIONAL SERIE F
ZP2084801
210429000.000000
PA
42750399.580000
0.9754596451
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.0
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
KAISA GROUP HOLDINGS LTD
ZS8035041
8854000.000000
PA
USD
592214.130000
0.0135128792
Long
DBT
CORP
KY
N
2
2023-01-30
Fixed
11.5
N
N
N
N
N
N
Longfor Group Holdings Ltd
254900UJX27B2F1JYR13
LONGFOR GROUP HOLDINGS LTD
ZP2926464
11115000.000000
PA
USD
7761036.630000
0.1770878895
Long
DBT
CORP
KY
N
2
2032-01-13
Fixed
3.85
N
N
N
N
N
Ivory Coast Government International Bond
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND
ZQ0748892
9700000.000000
PA
8890462.520000
0.2028586282
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.875
N
N
N
N
N
N
Nascar Holdings LLC
254900HRWKQR5V0WN013
NASCAR HOLDINGS LLC
63108EAB4
746597.986000
PA
USD
746844.360000
0.0170411632
Long
LON
CORP
US
N
2
2026-10-19
Floating
7.71697
N
N
N
N
N
N
Clear Channel Outdoor Holdings Inc
N/A
CLEAR CHANNEL OUTDOOR HO
18452RAD7
7868437.500000
PA
USD
7500273.310000
0.1711379078
Long
LON
CORP
US
N
2
2026-08-21
Floating
8.80703
N
N
N
N
N
N
RealPage Inc
5493001RSFZX4122A604
REALPAGE INC
75605VAD4
2667487.500000
PA
USD
2606802.160000
0.0594808548
Long
LON
CORP
US
N
2
2028-04-24
Floating
8.21697
N
N
N
N
N
N
CoreLogic Inc
54930086CD8K2UIL0516
CORELOGIC INC
3185229A9
5600000.000000
PA
USD
4494000.000000
0.1025420976
Long
LON
CORP
US
N
2
2029-06-04
Floating
7.0
N
N
N
N
N
N
IRB Holding Corp
549300HVW4WNWYBXN830
IRB HOLDING CORP
44988LAH0
4609148.250000
PA
USD
4573150.800000
0.1043481254
Long
LON
CORP
US
N
2
2027-12-15
Floating
8.20249
N
N
N
N
N
N
Neptune Bidco US Inc
549300VG15T3VCYZ4531
NEPTUNE BIDCO US INC
64069JAC6
24501000.000000
PA
USD
21511878.000000
0.4908484853
Long
LON
CORP
US
N
2
2029-04-11
Floating
9.99486
N
N
N
N
N
N
Life Time Inc
549300PALKE96VYH4X17
LIFE TIME INC
50218KAJ7
2496425.730000
PA
USD
2495651.840000
0.0569446761
Long
LON
CORP
US
N
2
2026-01-15
Floating
9.80034
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
KAISA GROUP HOLDINGS LTD
BP2862657
2800000.000000
PA
USD
187282.540000
0.0042733299
Long
DBT
CORP
KY
N
2
2025-11-11
Fixed
11.7
Y
Y
N
N
N
N
Southern Co/The
549300FC3G3YU2FBZD92
SOUTHERN CO/THE
BR3544508
7590000.000000
PA
6470475.000000
0.1476404270
Long
DBT
CORP
US
N
2
2081-09-15
Variable
1.875
N
N
N
N
N
N
Canadian Government Bond
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT BOND
135087M68
45979000.000000
PA
25557694.830000
0.5831641382
Long
DBT
NUSS
CA
N
2
2053-12-01
Fixed
1.75
N
N
N
N
N
N
Serbia Treasury Bonds
254900W94OCY91V32O78
SERBIA TREASURY BONDS
BG1390940
4596480000.000000
PA
38119315.630000
0.8697896268
Long
DBT
NUSS
RS
N
2
2032-08-20
Fixed
4.5
N
N
N
N
N
N
Shimao Group Holdings Ltd
254900WTJ6B5CU69ZD26
SHIMAO GROUP HOLDINGS LTD
BN2966586
17195000.000000
PA
USD
1315203.940000
0.0300097398
Long
DBT
CORP
KY
N
2
2031-01-11
Fixed
3.45
N
N
N
N
N
N
Czech Republic Government Bond
3157007EFDLQABN47912
CZECH REPUBLIC GOVERNMENT BOND
BO7153865
1550000000.000000
PA
57985417.010000
1.3230855116
Long
DBT
NUSS
CZ
N
2
2032-06-23
Fixed
1.75
N
N
N
N
N
N
Republic of Austria Government Bond
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND
BK2273211
53475000.000000
PA
23702549.900000
0.5408342645
Long
DBT
NUSS
AT
N
2
2120-06-30
Fixed
0.85
N
N
N
N
N
N
United Kingdom Gilt
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT
BJ4579378
96560000.000000
PA
38812774.800000
0.8856126704
Long
DBT
NUSS
GB
N
2
2061-10-22
Fixed
0.5
N
N
N
N
N
N
Hungary Government Bond
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND
BT4396433
22085120000.000000
PA
54975017.520000
1.2543955521
Long
DBT
NUSS
HU
N
2
2032-11-24
Fixed
4.75
N
N
N
N
N
N
Shimao Group Holdings Ltd
254900WTJ6B5CU69ZD26
SHIMAO GROUP HOLDINGS LTD
BR4151782
2220000.000000
PA
USD
190341.930000
0.0043431377
Long
DBT
CORP
KY
N
2
2027-01-16
Fixed
5.2
N
N
N
N
N
N
New Zealand Government Bond
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT BOND
BR2219516
222229000.000000
PA
94086210.780000
2.1468174025
Long
DBT
NUSS
NZ
N
2
2051-05-15
Fixed
2.75
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
COP/USD FWD 20230908 BNPAFRPP
000000000
1.000000
NC
USD
-1657700.500000
-0.0378246743
N/A
DFE
CORP
CO
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-101999812050.449997
COP
22324758.430000
USD
2023-09-08
-1657700.500000
N
N
N
Bonos de la Tesoreria de la Republica en pesos
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS
ZK1811536
52940000000.000000
PA
70002529.220000
1.5972866449
Long
DBT
NUSS
CL
N
2
2033-04-01
Fixed
6.0
N
N
N
N
N
N
Altice France Holding SA
5299000JVHXKJPOE6H40
ALTICE FRANCE HOLDING SA
BH5192878
3780000.000000
PA
2005199.160000
0.0457537445
Long
DBT
CORP
LU
N
2
2028-02-15
Fixed
4.0
N
N
N
N
N
N
Australia Government Bond
213800J6B7JSBDETCB42
AUSTRALIA GOVERNMENT BOND
BK4676346
188813000.000000
PA
73391334.600000
1.6746109021
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75
N
N
N
N
N
N
Country Garden Holdings Co Ltd
549300MGHLPT1EFHGF84
COUNTRY GARDEN HOLDINGS CO LTD
BN3275383
22424000.000000
PA
USD
6154085.390000
0.1404211893
Long
DBT
CORP
KY
N
2
2031-01-12
Fixed
3.3
N
N
N
N
N
N
CIFI Holdings Group Co Ltd
549300WGKSV867C0JF48
CIFI HOLDINGS GROUP CO LTD
BN3253588
11400000.000000
PA
USD
1323156.050000
0.0301911875
Long
DBT
CORP
KY
N
2
2027-04-12
Fixed
4.375
N
N
N
N
N
N
Hungary Government Bond
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND
ZO9985268
16628100000.000000
PA
33466589.950000
0.7636257971
Long
DBT
NUSS
HU
N
2
2033-04-20
Fixed
2.25
N
N
N
N
N
N
CIFI Holdings Group Co Ltd
549300WGKSV867C0JF48
CIFI HOLDINGS GROUP CO LTD
BP4631027
10055000.000000
PA
USD
1140499.740000
0.0260234169
Long
DBT
CORP
KY
N
2
2026-08-17
Fixed
4.45
N
N
N
N
N
N
QatarEnergy
N/A
QATARENERGY
BQ3267144
8240000.000000
PA
USD
6921229.200000
0.1579255363
Long
DBT
CORP
QA
N
2
2031-07-12
Fixed
2.25
N
N
N
N
N
N
Israel Government Bond - Fixed
213800T8ZHTFZIBYPE21
ISRAEL GOVERNMENT BOND - FIXED
BT9749750
129700000.000000
PA
26985702.880000
0.6157477922
Long
DBT
NUSS
IL
N
2
2052-11-29
Fixed
2.8
N
N
N
N
N
N
Canadian Government Bond
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT BOND
135087P32
186960000.000000
PA
132159797.700000
3.0155636119
Long
DBT
NUSS
CA
N
2
2032-12-01
Fixed
2.5
N
N
N
N
N
N
Colombian TES
549300MHDRBVRF6B9117
COLOMBIAN TES
ZM3975335
397809500000.000000
PA
111958077.190000
2.5546097187
Long
DBT
NUSS
CO
N
2
2033-02-09
Fixed
13.25
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
COP/USD FWD 20230908 UBSWGB2L
000000000
1.000000
NC
USD
-1366352.360000
-0.0311768218
N/A
DFE
CORP
CO
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-92337637037.830002
COP
20344311.050000
USD
2023-09-08
-1366352.360000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/CAD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
64336.500000
0.0014680017
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-2509836.140000
USD
3409000.000000
CAD
2023-07-21
64336.500000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/BRL FWD 20230905 MSLNGB2X
000000000
1.000000
NC
USD
-6539531.370000
-0.1492161246
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-743251256.190000
BRL
146825677.610000
USD
2023-09-05
-6539531.370000
N
N
N
Deutsche Bundesrepublik Inflation Linked Bond
529900AQBND3S6YJLY83
DEUTSCHE BUNDESREPUBLIK INFLATION LINKED BOND
EK7815401
281427607.400000
PA
299972299.850000
6.8446348114
Long
DBT
NUSS
DE
N
2
2026-04-15
Fixed
0.1
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
QJ1649335
1622900000.000000
PA
86753983.030000
1.9795138837
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
KAISA GROUP HOLDINGS LTD
AO0808615
15890000.000000
PA
USD
1062384.580000
0.0242410199
Long
DBT
CORP
KY
N
2
2022-06-30
Fixed
8.5
N
N
N
N
N
N
Brazil Notas do Tesouro Nacional Serie F
254900ZFY40OYEADAP90
BRAZIL NOTAS DO TESOURO NACIONAL SERIE F
JV5341526
1134928000.000000
PA
235700807.440000
5.3781164210
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.0
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT BOND
JK3819022
67360000.000000
PA
15541560.990000
0.3546204414
Long
DBT
NUSS
MY
N
2
2046-03-15
Fixed
4.736
N
N
N
N
N
N
Castellum AB
549300GU5OHTR1T5IY68
CASTELLUM AB
AV6454640
12220000.000000
PA
13105511.250000
0.2990357395
Long
DBT
CORP
SE
N
2
2023-11-20
Fixed
2.125
N
N
N
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
CLP/USD FWD 20230811 CITIGB2L
000000000
1.000000
NC
USD
-14386.070000
-0.0003282550
N/A
DFE
CORP
CL
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-17730521000.000000
CLP
21974173.360000
USD
2023-08-11
-14386.070000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
BRL/USD FWD 20230905 SBOSGB2X
000000000
1.000000
NC
USD
807968.400000
0.0184358644
N/A
DFE
CORP
BR
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-44942512.310000
USD
221719792.150000
BRL
2023-09-05
807968.400000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/BRL FWD 20230905 SBOSGB2X
000000000
1.000000
NC
USD
-6135117.880000
-0.1399883970
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-708239256.190000
BRL
140005585.720000
USD
2023-09-05
-6135117.880000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
GBP/USD FWD 20230811 UBSWGB2L
000000000
1.000000
NC
USD
-441465.570000
-0.0100731655
N/A
DFE
CORP
GB
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-13700187.670000
GBP
16961996.850000
USD
2023-08-11
-441465.570000
N
N
N
N/A
N/A
CAN 10YR BOND FUT SEP23
000000000
61.000000
NC
-8148.530000
-0.0001859295
N/A
DIR
CORP
CA
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
Canadian Government Bond
CANADA
2023-09-20
5492258.690000
USD
-8148.530000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
GBP/USD FWD 20230811 BNPAFRPP
000000000
1.000000
NC
USD
53442.420000
0.0012194254
N/A
DFE
CORP
GB
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-98842601.110000
USD
77852000.000000
GBP
2023-08-11
53442.420000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/TWD FWD 20231006 GSILGB2X
000000000
1.000000
NC
USD
7658.070000
0.0001747384
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-1852352552.000000
TWD
59717670.160000
USD
2023-10-06
7658.070000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/JPY FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
-8209.680000
-0.0001873248
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-90973174.450000
USD
13081644000.000000
JPY
2023-07-21
-8209.680000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/CZK FWD 20230818 CHASGB2L
000000000
1.000000
NC
USD
267843.700000
0.0061115387
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-284803383.720000
CZK
13312488.430000
USD
2023-08-18
267843.700000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
USD/INR FWD 20231006 BARCGB5G
000000000
1.000000
NC
USD
-10291.560000
-0.0002348282
N/A
DFE
CORP
US
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-9124243.690000
USD
750405173.860000
INR
2023-10-06
-10291.560000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
BRL/USD FWD 20230905 UBSWGB2L
000000000
1.000000
NC
USD
456496.700000
0.0104161391
N/A
DFE
CORP
BR
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-8930817.570000
USD
45493584.710000
BRL
2023-09-05
456496.700000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
EUR/USD FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
-106652.260000
-0.0024335439
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-71557030.000000
EUR
78061891.080000
USD
2023-07-21
-106652.260000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/PHP FWD 20230908 UBSWGB2L
000000000
1.000000
NC
USD
-501398.930000
-0.0114406983
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-1683178000.000000
PHP
29894518.850000
USD
2023-09-08
-501398.930000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/KRW FWD 20230707 BOFAUS6N
000000000
1.000000
NC
USD
779221.560000
0.0177799317
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-57197040000.000000
KRW
44201731.070000
USD
2023-07-07
779221.560000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
KRW/USD FWD 20230707 BOFAUS6N
000000000
1.000000
NC
USD
-965486.490000
-0.0220300422
N/A
DFE
CORP
KR
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-44387996.000000
USD
57197040000.000000
KRW
2023-07-07
-965486.490000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
CAD/USD FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
24649.180000
0.0005624341
N/A
DFE
CORP
CA
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-1971441.800000
USD
2643441.250000
CAD
2023-07-21
24649.180000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/ILS FWD 20230720 BNPAFRPP
000000000
1.000000
NC
USD
-65177.360000
-0.0014871881
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-3189876.400000
USD
11575248.030000
ILS
2023-07-20
-65177.360000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
HUF/USD FWD 20230818 MRMDUS33
000000000
1.000000
NC
USD
183212.460000
0.0041804606
N/A
DFE
CORP
HU
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-7189112.430000
USD
2549385077.000000
HUF
2023-08-18
183212.460000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/CNH FWD 20230915 CHASGB2L
000000000
1.000000
NC
USD
1423417.020000
0.0324788979
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-588454782.060000
CNY
82887922.490000
USD
2023-09-15
1423417.020000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
ZAR/USD FWD 20230818 MSLNGB2X
000000000
1.000000
NC
USD
402323.140000
0.0091800309
N/A
DFE
CORP
ZA
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-11175544.370000
USD
218997498.440000
ZAR
2023-08-18
402323.140000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) SEP23
000000000
2414.000000
NC
USD
-4476659.362754
-0.1021464266
N/A
DIR
CORP
US
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-29
263000971.862754
USD
-4476659.362754
N
N
N
N/A
N/A
US 5YR NOTE (CBT) SEP23
000000000
1958.000000
NC
USD
-3631026.939632
-0.0828511613
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-29
213320589.439632
USD
-3631026.939632
N
N
N
N/A
N/A
US 5YR NOTE (CBT) SEP23
000000000
22588.000000
NC
USD
-41888476.257614
-0.9557926613
N/A
DIR
CORP
US
N
1
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-29
2460922101.257614
USD
-41888476.257614
N
N
N
N/A
N/A
LONG GILT FUTURE SEP23
000000000
-1435.000000
NC
-352010.267102
-0.0080320141
N/A
DIR
CORP
GB
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
United Kingdom Gilt
UNITED KINGDOM
2023-09-27
-171207672.081948
USD
-352010.267102
N
N
N
N/A
N/A
LONG GILT FUTURE SEP23
000000000
-1512.000000
NC
-370898.622898
-0.0084630002
N/A
DIR
CORP
GB
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
United Kingdom Gilt
UNITED KINGDOM
2023-09-27
-180394425.218052
USD
-370898.622898
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
GBP/USD FWD 20230811 BARCGB5G
000000000
1.000000
NC
USD
20723.800000
0.0004728665
N/A
DFE
CORP
GB
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-6892294.090000
USD
5442000.000000
GBP
2023-08-11
20723.800000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
USD/GBP FWD 20230811 BARCGB5G
000000000
1.000000
NC
USD
28691.210000
0.0006546633
N/A
DFE
CORP
US
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-4626961.070000
GBP
5906358.370000
USD
2023-08-11
28691.210000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
NZD/USD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
39603.220000
0.0009036487
N/A
DFE
CORP
NZ
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-3442211.540000
USD
5674000.000000
NZD
2023-07-21
39603.220000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/NZD FWD 20230721 GSILGB2X
000000000
1.000000
NC
USD
-107242.310000
-0.0024470074
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-22013000.000000
NZD
13400898.040000
USD
2023-07-21
-107242.310000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
NZD/USD FWD 20230721 GSILGB2X
000000000
1.000000
NC
USD
-30542.330000
-0.0006969013
N/A
DFE
CORP
NZ
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-1795962.780000
USD
2876946.750000
NZD
2023-07-21
-30542.330000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
CNH/USD FWD 20230915 MRMDUS33
000000000
1.000000
NC
USD
2423711.700000
0.0553031779
N/A
DFE
CORP
CN
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-831498681.080000
CNY
117534729.440000
USD
2023-09-15
2423711.700000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
NOK/USD FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
701031.450000
0.0159958245
N/A
DFE
CORP
NO
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-42932690.060000
USD
467967000.000000
NOK
2023-07-21
701031.450000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/EUR FWD 20230721 GSILGB2X
000000000
1.000000
NC
USD
-239960.150000
-0.0054753042
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-105981613.450000
USD
96798000.000000
EUR
2023-07-21
-239960.150000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
COP/USD FWD 20230908 MSLNGB2X
000000000
1.000000
NC
USD
-2096407.700000
-0.0478349005
N/A
DFE
CORP
CO
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-135999749400.600006
COP
29880204.200000
USD
2023-09-08
-2096407.700000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/ILS FWD 20230720 GSILGB2X
000000000
1.000000
NC
USD
-5633.090000
-0.0001285333
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-2391097.350000
USD
8836800.000000
ILS
2023-07-20
-5633.090000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
CAD/USD FWD 20230721 ROYCGB2L
000000000
1.000000
NC
USD
-3444996.970000
-0.0786064120
N/A
DFE
CORP
CA
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-303864033.590000
CAD
226006010.000000
USD
2023-07-21
-3444996.970000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/TWD FWD 20230707 GSILGB2X
000000000
1.000000
NC
USD
5180187.250000
0.1181992137
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-4032753000.000000
TWD
134656976.720000
USD
2023-07-07
5180187.250000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
TWD/USD FWD 20230707 GSILGB2X
000000000
1.000000
NC
USD
50495.450000
0.0011521828
N/A
DFE
CORP
TW
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-59421696.720000
USD
1852352552.000000
TWD
2023-07-07
50495.450000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
INR/USD FWD 20230707 BARCGB5G
000000000
1.000000
NC
USD
10705.920000
0.0002442829
N/A
DFE
CORP
IN
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-750405173.860000
INR
9154855.230000
USD
2023-07-07
10705.920000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/BRL FWD 20230905 BNPAFRPP
000000000
1.000000
NC
USD
70699.400000
0.0016131875
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-3542608.720000
USD
17511114.920000
BRL
2023-09-05
70699.400000
N
N
N
N/A
N/A
JPN 10Y BOND(OSE) SEP23
000000000
-172.000000
NC
-589234.070000
-0.0134448815
N/A
DIR
CORP
JP
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Short
Japan Government Ten Year Bond
JAPAN (10 YEAR ISSUE)
2023-09-12
-181747864.690000
USD
-589234.070000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/PLN FWD 20230818 BNPAFRPP
000000000
1.000000
NC
USD
-4826.300000
-0.0001101244
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-11962000.000000
PLN
2929855.650000
USD
2023-08-18
-4826.300000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
PLN/USD FWD 20230818 BNPAFRPP
000000000
1.000000
NC
USD
91209.540000
0.0020811788
N/A
DFE
CORP
PL
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-4064498.330000
USD
16939000.000000
PLN
2023-08-18
91209.540000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/EUR FWD 20230721 BNPAFRPP
000000000
1.000000
NC
USD
238811.060000
0.0054490848
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-56100057.970000
USD
51573714.560000
EUR
2023-07-21
238811.060000
N
N
N
N/A
N/A
KOREA 10YR BND FU SEP23
000000000
2269.000000
NC
-107680.000000
-0.0024569945
N/A
DIR
CORP
KR
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Long
Korea Treasury Bond
KOREA
2023-09-19
197085833.800000
USD
-107680.000000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/KRW FWD 20231006 BOFAUS6N
000000000
1.000000
NC
USD
-788053.440000
-0.0179814537
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-44433858.490000
USD
57197040000.000000
KRW
2023-10-06
-788053.440000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
HUF/USD FWD 20230818 CITIGB2L
000000000
1.000000
NC
USD
-1282244.300000
-0.0292576814
N/A
DFE
CORP
HU
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-14647078000.000000
HUF
41074251.260000
USD
2023-08-18
-1282244.300000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
MXN/USD FWD 20230721 BOFAUS6N
000000000
1.000000
NC
USD
-12487101.610000
-0.2849251428
N/A
DFE
CORP
MX
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-3188684573.730000
MXN
173004718.830000
USD
2023-07-21
-12487101.610000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
HUF/USD FWD 20230818 UBSWGB2L
000000000
1.000000
NC
USD
-542766.320000
-0.0123846010
N/A
DFE
CORP
HU
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-27172375411.000000
HUF
78034448.780000
USD
2023-08-18
-542766.320000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/THB FWD 20230908 CHASGB2L
000000000
1.000000
NC
USD
870729.970000
0.0198679300
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-1232624073.310000
THB
35875200.060000
USD
2023-09-08
870729.970000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
RON/USD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
-50755.590000
-0.0011581185
N/A
DFE
CORP
RO
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-13144000.000000
RON
2840303.850000
USD
2023-07-21
-50755.590000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
NZD/USD FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
754791.730000
0.0172225027
N/A
DFE
CORP
NZ
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-131857271.460000
NZD
81668185.120000
USD
2023-07-21
754791.730000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/GBP FWD 20230811 ROYCGB2L
000000000
1.000000
NC
USD
-119276.610000
-0.0027216008
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-6139000.000000
GBP
7679146.180000
USD
2023-08-11
-119276.610000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
GBP/USD FWD 20230811 ROYCGB2L
000000000
1.000000
NC
USD
4437.320000
0.0001012488
N/A
DFE
CORP
GB
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-5301640.540000
USD
4177000.000000
GBP
2023-08-11
4437.320000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
IDR/USD FWD 20231006 GSILGB2X
000000000
1.000000
NC
USD
-5075.960000
-0.0001158210
N/A
DFE
CORP
ID
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-728017.000000
USD
10890137910.000000
IDR
2023-10-06
-5075.960000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/COP FWD 20230908 SBOSGB2X
000000000
1.000000
NC
USD
902.090000
0.0000205835
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-36204540000.000000
COP
8513406.930000
USD
2023-09-08
902.090000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/CNH FWD 20230915 CHASGB2L
000000000
1.000000
NC
USD
734195.530000
0.0167525478
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-294236217.940000
CNY
41467670.250000
USD
2023-09-15
734195.530000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
USD/TWD FWD 20230707 DEUTGB2L
000000000
1.000000
NC
USD
-85734.590000
-0.0019562538
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-5169735.550000
USD
158349000.000000
TWD
2023-07-07
-85734.590000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
BAHRAIN CDS 6/20/2026
000000000
1.000000
NC
USD
432851.270000
0.0098766082
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Bahrain Government International Bond
BAHRAIN
Y
Default Event
2026-06-20
447441.890000
USD
0.000000
USD
-15413000.000000
USD
-14590.620000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
ARCELORMITTAL CDS 12/20/2025
000000000
1.000000
NC
1211793.540000
0.0276501672
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
ARCELORMITTAL
Y
Default Event
2025-12-20
1489650.450000
USD
0.000000
USD
12000000.000000
EUR
-277856.910000
N
N
N
Glencore Finance Europe Ltd
213800WHKNIC1JQQG433
ICE_GLENCORE INTERNATIONAL CDS 12/20/2026
000000000
1.000000
NC
-983459.380000
-0.0224401397
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Glencore Finance Europe Ltd
GLENCORE FINANCE EUROPE
Y
Default Event
2026-12-20
0.000000
USD
-1598217.280000
USD
-7215000.000000
EUR
614757.900000
N
N
N
N/A
N/A
LCH - GBP SONIA IRS 9/27/51 PAY FIX
000000000
1.000000
NC
17980839.350000
0.4102788125
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_GBP-SONIA-COMPOUND
Y
2051-09-27
0.000000
USD
-1831.850000
USD
-27725000.000000
GBP
17982671.200000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
ARCELORMITTAL CDS 12/20/2025
000000000
1.000000
NC
1711658.370000
0.0390558611
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
ARCELORMITTAL
Y
Default Event
2025-12-20
1503825.990000
USD
0.000000
USD
16950000.000000
EUR
207832.380000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
BAHRAIN CDS 12/20/2023
000000000
1.000000
NC
USD
2168.660000
0.0000494835
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
Bahrain Government International Bond
BAHRAIN
Y
Default Event
2023-12-20
33373.000000
USD
0.000000
USD
-4213158.000000
USD
-31204.340000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
BAHRAIN CDS 12/20/2023
000000000
1.000000
NC
USD
2168.660000
0.0000494835
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
Bahrain Government International Bond
BAHRAIN
Y
Default Event
2023-12-20
33373.000000
USD
0.000000
USD
-4213158.000000
USD
-31204.340000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-2439210.940000
-0.0556568327
N/A
DCR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-1734857.720000
USD
-20610000.000000
USD
-704353.220000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-2929183.450000
-0.0668368080
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-2154507.630000
USD
-24750000.000000
USD
-774675.820000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-2745739.640000
-0.0626510686
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-1519200.050000
USD
-23200000.000000
USD
-1226539.590000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-2745739.640000
-0.0626510686
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-1603600.030000
USD
-23200000.000000
USD
-1142139.610000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-5491479.270000
-0.1253021369
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-3094104.000000
USD
-46400000.000000
USD
-2397375.270000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-2745739.640000
-0.0626510686
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-1773419.190000
USD
-23200000.000000
USD
-972320.450000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-2745739.640000
-0.0626510686
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-1692348.710000
USD
-23200000.000000
USD
-1053390.930000
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
ICE_APACHE CORP CDS 06/20/2027
000000000
1.000000
NC
USD
225640.530000
0.0051485655
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Apache Corp
APACHE CORP
Y
Default Event
2027-06-20
725311.230000
USD
0.000000
USD
-12270000.000000
USD
-499670.700000
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
ICE_OCCIDENTAL PETROLEUM CDS 06/20/2027
000000000
1.000000
NC
USD
4530.720000
0.0001033800
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Occidental Petroleum Corp
OCCIDENTAL PETROLEUM COR
Y
Default Event
2027-06-21
1460572.780000
USD
0.000000
USD
-30945000.000000
USD
-1456042.060000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
MURPHY OIL CORP CDS 06/20/2027
000000000
1.000000
NC
USD
61856.860000
0.0014114224
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Murphy Oil Corp
MURPHY OIL CORPORATION
Y
Default Event
2027-06-21
208849.440000
USD
0.000000
USD
-2045000.000000
USD
-146992.580000
N
N
N
N/A
N/A
LCH - EUR ZCIS 8/15/27 REC CPI
000000000
1.000000
NC
420063.620000
0.0095848253
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_EUR-EXT-CPI
Y
2027-08-16
248.780000
USD
0.000000
USD
-73849000.000000
EUR
419814.840000
N
N
N
N/A
N/A
LCH - EUR ZCIS 8/15/27 REC CPI
000000000
1.000000
NC
504496.670000
0.0115113811
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_EUR-EXT-CPI
Y
2027-08-16
248.780000
USD
0.000000
USD
-74483000.000000
EUR
504247.890000
N
N
N
N/A
N/A
LCH - EUR ZCIS 8/15/27 REC CPI
000000000
1.000000
NC
58667.710000
0.0013386538
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_EUR-EXT-CPI
Y
2027-08-16
249.630000
USD
0.000000
USD
-73848000.000000
EUR
58418.080000
N
N
N
N/A
N/A
LCH - EUR ZCIS 8/15/27 REC CPI
000000000
1.000000
NC
34775.790000
0.0007934985
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_EUR-EXT-CPI
Y
2027-08-16
197.340000
USD
0.000000
USD
-52830000.000000
EUR
34578.450000
N
N
N
Murphy Oil Corp
QBKYQD0ODE7DC7PDIN91
ICE_MURPHY OIL CORP CDS 06/20/2027
000000000
1.000000
NC
USD
247427.440000
0.0056456895
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Murphy Oil Corp
MURPHY OIL CORPORATION
Y
Default Event
2027-06-21
900550.000000
USD
0.000000
USD
-8180000.000000
USD
-653122.560000
N
N
N
Republic of South Africa Government International Bond
378900AAFB4F17004C49
ICE_SOUTH AFRICA CDS 12/20/2027
000000000
1.000000
NC
USD
4042730.660000
0.0922452341
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Republic of South Africa Government International Bond
SOUTH AFRICA
Y
Default Event
2027-12-20
5766634.480000
USD
0.000000
USD
-69750000.000000
USD
-1723903.820000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
MURPHY OIL CORP CDS 12/20/2023
000000000
1.000000
NC
USD
34668.160000
0.0007910427
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
BARCLAYS
MURPHY OIL CORP
Y
Default Event
2023-12-20
0.000000
USD
-125318.150000
USD
16500000.000000
USD
159986.310000
N
N
N
N/A
N/A
ICE_MACY'S INC CDS 12/20/2027
000000000
1.000000
NC
USD
2235646.900000
0.0510119988
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Macy s Retail Holdings LLC
MACY S RETAIL HLDGS LLC
Y
Default Event
2027-12-20
4278850.010000
USD
0.000000
USD
-23770000.000000
USD
-2043203.110000
N
N
N
Xerox Corp
4KF48RN45X1OO8UBLY20
ICE_XEROX CORP CDS 12/20/2027
000000000
1.000000
NC
USD
1726915.910000
0.0394040008
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Xerox Corp
XEROX CORPORATION
Y
Default Event
2027-12-20
2770090.610000
USD
0.000000
USD
-18860000.000000
USD
-1043174.700000
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
ICE_APACHE CORP CDS 12/20/2027
000000000
1.000000
NC
USD
231540.270000
0.0052831831
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Apache Corp
APACHE CORP
Y
Default Event
2027-12-20
295327.920000
USD
0.000000
USD
-8470000.000000
USD
-63787.650000
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
ICE_OCCIDENTAL PETROLEUM CDS 12/20/2027
000000000
1.000000
NC
USD
20070.980000
0.0004579707
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Occidental Petroleum Corp
OCCIDENTAL PETROLEUM COR
Y
Default Event
2027-12-20
55200.640000
USD
0.000000
USD
-4250000.000000
USD
-35129.660000
N
N
N
Sanofi
549300E9PC51EN656011
ICE_SANOFI CDS 12/20/2027
000000000
1.000000
NC
-418035.340000
-0.0095385449
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Sanofi
SANOFI
Y
Default Event
2027-12-20
0.000000
USD
-313875.420000
USD
-14200000.000000
EUR
-104159.920000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S33 V13 5Y PRC 12/20/2024
000000000
1.000000
NC
USD
-7936370.050000
-0.1810885697
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
MARKIT CDX NA HY
Y
Default Event
2024-12-20
0.000000
USD
-2887310.220000
USD
-238656000.000000
USD
-5049059.830000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
CCO HOLDINGS LLC CDS 12/20/2023
000000000
1.000000
NC
USD
157165.150000
0.0035861246
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
CCO Holdings LLC / CCO Holdings Capital Corp
CCO HLDGS LLC/CAP CORP 144A
Y
Default Event
2023-12-20
112694.670000
USD
0.000000
USD
7450000.000000
USD
44470.480000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
ROYAL CARIBBEAN CRUISES CDS 12/20/2023
000000000
1.000000
NC
USD
43239.700000
0.0009866243
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
Royal Caribbean Cruises Ltd
ROYAL CARIBBEAN CRUISES
Y
Default Event
2023-12-20
0.000000
USD
-33923.070000
USD
2205000.000000
USD
77162.770000
N
N
N
N/A
N/A
LCH - GBP SONIA IRS 10/11/72 PAY FIX
000000000
1.000000
NC
-2281409.070000
-0.0520561797
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_GBP-SONIA-COMPOUND
Y
2072-10-11
1894.080000
USD
0.000000
USD
-14144000.000000
GBP
-2283303.150000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
ROYAL CARIBBEAN CRUISES CDS 12/20/2023
000000000
1.000000
NC
USD
43239.700000
0.0009866243
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
Royal Caribbean Cruises Ltd
ROYAL CARIBBEAN CRUISES
Y
Default Event
2023-12-20
0.000000
USD
-43185.480000
USD
2205000.000000
USD
86425.180000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
AMERICAN AIRLINES GROUP CDS 12/20/2023
000000000
1.000000
NC
USD
86780.580000
0.0019801208
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
American Airlines Group Inc
AMERICAN AIRLINES GROUP 144A
Y
Default Event
2023-12-20
0.000000
USD
-69853.830000
USD
5060000.000000
USD
156634.410000
N
N
N
Gap Inc/The
T2ZG1WRWZ4BUCMQL9224
ICE_GAP INC/THE CDS 12/20/2027
000000000
1.000000
NC
USD
2944755.900000
0.0671921333
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Gap Inc/The
GAP INC/THE 144A
Y
Default Event
2027-12-20
3682187.500000
USD
0.000000
USD
-21620000.000000
USD
-737431.600000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2040686.880000
-0.0465634876
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-1546043.650000
USD
-21956000.000000
USD
-494643.230000
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
ICE_IRON MOUNTAIN INC CDS 12/20/2027
000000000
1.000000
NC
USD
-2259030.260000
-0.0515455499
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Iron Mountain Inc
IRON MOUNTAIN INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-2190930.180000
USD
-17452000.000000
USD
-68100.080000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-165169.260000
-0.0037687589
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Post Holdings Inc
POST HOLDINGS INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-106270.580000
USD
-1083000.000000
USD
-58898.680000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2041058.660000
-0.0465719707
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-1577296.340000
USD
-21960000.000000
USD
-463762.320000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-110112.840000
-0.0025125059
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Post Holdings Inc
POST HOLDINGS INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-84941.670000
USD
-722000.000000
USD
-25171.170000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064
000000000
1.000000
NC
USD
3104510.420000
0.0708373410
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
Markit CMBX NA AAA
Y
Default Event
2064-11-18
2013244.480000
USD
0.000000
USD
-10750000.000000
USD
1091265.940000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064
000000000
1.000000
NC
USD
3130501.670000
0.0714303978
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
Markit CMBX NA AAA
Y
Default Event
2064-11-18
1975284.400000
USD
0.000000
USD
-10840000.000000
USD
1155217.270000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-2031809.720000
-0.0463609325
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA HY
Y
Default Event
2027-12-20
0.000000
USD
-1089601.210000
USD
-21965000.000000
USD
-942208.510000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2099706.570000
-0.0479101727
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-1679385.680000
USD
-22591000.000000
USD
-420320.890000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2099799.510000
-0.0479122933
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-1700501.350000
USD
-22592000.000000
USD
-399298.160000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2099706.570000
-0.0479101727
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-1720549.470000
USD
-22591000.000000
USD
-379157.100000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064
000000000
1.000000
NC
USD
3176708.330000
0.0724847209
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
Markit CMBX NA AAA
Y
Default Event
2064-11-18
1927623.570000
USD
0.000000
USD
-11000000.000000
USD
1249084.760000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-295871.070000
-0.0067510548
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Post Holdings Inc
POST HOLDINGS INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-228353.530000
USD
-1940000.000000
USD
-67517.540000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-295871.070000
-0.0067510548
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Post Holdings Inc
POST HOLDINGS INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-240805.150000
USD
-1940000.000000
USD
-55065.920000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2397500.370000
-0.0547050994
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-1931386.360000
USD
-25795000.000000
USD
-466114.010000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2397500.370000
-0.0547050994
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-2032491.490000
USD
-25795000.000000
USD
-365008.880000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064
000000000
1.000000
NC
USD
2960114.580000
0.0675425808
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
Markit CMBX NA AAA
Y
Default Event
2064-11-18
1734793.570000
USD
0.000000
USD
-10250000.000000
USD
1225321.010000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-1015673.600000
-0.0231751895
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-744853.000000
USD
-10980000.000000
USD
-270820.600000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-2031809.720000
-0.0463609325
N/A
DCR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-1327218.300000
USD
-21965000.000000
USD
-704591.420000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-2031809.720000
-0.0463609325
N/A
DCR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA
MARKIT CDX NA HY
Y
Default Event
2027-12-20
0.000000
USD
-1337942.750000
USD
-21965000.000000
USD
-693866.970000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-1015858.600000
-0.0231794107
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-673933.010000
USD
-10982000.000000
USD
-341925.590000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/25/33 REC CPI
000000000
1.000000
NC
USD
385346.290000
0.0087926606
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-01-25
250.000000
USD
0.000000
USD
-67722000.000000
USD
385096.290000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/25/33 REC CPI
000000000
1.000000
NC
USD
136892.170000
0.0031235448
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-01-25
250.000000
USD
0.000000
USD
-21526000.000000
USD
136642.170000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/25/33 REC CPI
000000000
1.000000
NC
USD
144091.940000
0.0032878259
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-01-25
250.000000
USD
0.000000
USD
-21526000.000000
USD
143841.940000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/25/33 REC CPI
000000000
1.000000
NC
USD
136892.170000
0.0031235448
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-01-25
250.000000
USD
0.000000
USD
-21526000.000000
USD
136642.170000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-1015951.110000
-0.0231815216
N/A
DCR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA
MARKIT CDX NA
Y
Default Event
2027-12-20
0.000000
USD
-804095.810000
USD
-10983000.000000
USD
-211855.300000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-2019876.940000
-0.0460886556
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA HY
Y
Default Event
2027-12-20
0.000000
USD
-1580456.360000
USD
-21836000.000000
USD
-439420.580000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/31/28 REC CPI
000000000
1.000000
NC
USD
141317.530000
0.0032245207
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2028-01-31
250.000000
USD
0.000000
USD
-42864000.000000
USD
141067.530000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/31/28 REC CPI
000000000
1.000000
NC
USD
84938.730000
0.0019380942
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2028-01-31
148.810000
USD
0.000000
USD
-25514000.000000
USD
84789.920000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/31/28 REC CPI
000000000
1.000000
NC
USD
166957.120000
0.0038095535
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2028-01-31
250.000000
USD
0.000000
USD
-42863000.000000
USD
166707.120000
N
N
N
Carnival Corp
F1OF2ZSX47CR0BCWA982
ICE_CARNIVAL CORP CDS 12/20/2024
000000000
1.000000
NC
USD
-246825.070000
-0.0056319449
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Carnival Corp
CARNIVAL CORP
Y
Default Event
2024-12-20
0.000000
USD
-830875.000000
USD
10900000.000000
USD
584049.930000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-1417502.940000
-0.0323439530
N/A
DCR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA
MARKIT CDX NA HY
Y
Default Event
2027-12-20
0.000000
USD
-1122097.090000
USD
-15324000.000000
USD
-295405.850000
N
N
N
N/A
N/A
LCH - NZD IRS 2/21/25 REC FIX
000000000
1.000000
NC
420490.790000
0.0095945722
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_NZD-BBR-FRA
Y
2025-02-21
248.880000
USD
0.000000
USD
227776000.000000
NZD
420241.910000
N
N
N
N/A
N/A
LCH - NZD IRS 2/21/25 REC FIX
000000000
1.000000
NC
628413.890000
0.0143388693
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_NZD-BBR-FRA
Y
2025-02-21
248.880000
USD
0.000000
USD
329869000.000000
NZD
628165.010000
N
N
N
N/A
N/A
LCH - NZD IRS 2/28/25 REC FIX
000000000
1.000000
NC
1150115.600000
0.0262428273
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_NZD-BBR-FRA
Y
2025-02-28
247.510000
USD
0.000000
USD
199068000.000000
NZD
1149868.090000
N
N
N
N/A
N/A
LCH - NZD IRS 2/28/25 REC FIX
000000000
1.000000
NC
151986.950000
0.0034679708
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_NZD-BBR-FRA
Y
2025-02-28
247.510000
USD
0.000000
USD
25742000.000000
NZD
151739.440000
N
N
N
N/A
N/A
LCH - NZD IRS 3/1/2025 REC FIX
000000000
1.000000
NC
1528149.390000
0.0348686346
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_NZD-BBR-FRA
Y
2025-02-28
0.000000
USD
0.000000
USD
235220000.000000
NZD
1528149.390000
N
N
N
N/A
N/A
ICE_CDX IG CDSI S40 5Y 06/20/2028
000000000
1.000000
NC
USD
-27393142.700000
-0.6250445732
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
MARKIT CDX NA IG
Y
Default Event
2028-06-20
0.000000
USD
-18235529.410000
USD
-1787850000.000000
USD
-9157613.290000
N
N
N
N/A
N/A
ICE_ITRX XOVER CDSI S39 5Y 06/20/2028
000000000
1.000000
NC
-12547399.200000
-0.2863009865
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
ITRAXX EUROPE XOVER
Y
Default Event
2028-06-20
0.000000
USD
-8059119.410000
USD
-277690000.000000
EUR
-4488279.790000
N
N
N
N/A
N/A
LCH - USD ZCIS 3/27/33 REC CPI
000000000
1.000000
NC
USD
90932.930000
0.0020748672
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-03-28
0.000000
USD
0.000000
USD
-43164000.000000
USD
90932.930000
N
N
N
N/A
N/A
LCH - USD ZCIS 3/27/33 REC CPI
000000000
1.000000
NC
USD
78509.470000
0.0017913942
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-03-28
0.000000
USD
0.000000
USD
-45322000.000000
USD
78509.470000
N
N
N
N/A
N/A
LCH - USD ZCIS 3/27/33 REC CPI
000000000
1.000000
NC
USD
117855.820000
0.0026891818
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-03-28
0.000000
USD
0.000000
USD
-43164000.000000
USD
117855.820000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S40 5Y 06/20/2028
000000000
1.000000
NC
USD
-5963237.310000
-0.1360665025
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
MARKIT CDX NA HY
Y
Default Event
2028-06-20
0.000000
USD
-654373.170000
USD
-200540000.000000
USD
-5308864.140000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 5/1/2033 PAY FIX CITI
000000000
1.000000
NC
-459420.950000
-0.0104828633
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2033-05-02
0.000000
USD
0.000000
USD
-6062147000.000000
JPY
-459420.950000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 5/1/2033 PAY FIX GSIL
000000000
1.000000
NC
-465093.290000
-0.0106122923
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2033-05-02
0.000000
USD
0.000000
USD
-6062146000.000000
JPY
-465093.290000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 5/1/2033 PAY FIX GSIL
000000000
1.000000
NC
-233835.830000
-0.0053355622
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2033-05-02
0.000000
USD
0.000000
USD
-3031073000.000000
JPY
-233835.830000
N
N
N
Carnival Corp
F1OF2ZSX47CR0BCWA982
ICE_CARNIVAL CORP CDS 06/20/2024 BOFA
000000000
1.000000
NC
USD
-50664.520000
-0.0011560405
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Carnival Corp
CARNIVAL CORP
Y
Default Event
2024-06-20
0.000000
USD
-365925.000000
USD
8610000.000000
USD
315260.480000
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
ICE_BOMBARDIER INC CDS 06/20/2028 MSLN
000000000
1.000000
NC
USD
-1812063.260000
-0.0413468553
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Bombardier Inc
BOMBARDIER INC
Y
Default Event
2028-06-20
0.000000
USD
-1649803.570000
USD
-39842000.000000
USD
-162259.690000
N
N
N
N/A
N/A
LCH - INR IRS 5/26/2028 REC FIX CHAS
000000000
1.000000
NC
-312937.310000
-0.0071404647
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_INR-FBIL-MIBOR-OIS-COMPOUND
Y
2028-05-26
0.000000
USD
0.000000
USD
2500000000.000000
INR
-312937.310000
N
N
N
N/A
N/A
LCH - NZD IRS 5/29/2025 REC FIX CITI
000000000
1.000000
NC
-442911.670000
-0.0101061619
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_NZD-BBR-FRA
Y
2025-05-29
0.000000
USD
0.000000
USD
130998000.000000
NZD
-442911.670000
N
N
N
N/A
N/A
CME - PLN IRS 5/30/28 PAY FIX MRMD
000000000
1.000000
NC
-641004.750000
-0.0146261619
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-05-30
0.000000
USD
0.000000
USD
-108741000.000000
PLN
-641004.750000
N
N
N
N/A
N/A
CME - PLN IRS 5/30/28 PAY FIX MRMD
000000000
1.000000
NC
-641004.750000
-0.0146261619
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-05-30
0.000000
USD
0.000000
USD
-108741000.000000
PLN
-641004.750000
N
N
N
N/A
N/A
CME - PLN IRS 5/30/28 PAY FIX MRMD
000000000
1.000000
NC
-635277.570000
-0.0144954817
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-05-30
0.000000
USD
0.000000
USD
-108741000.000000
PLN
-635277.570000
N
N
N
N/A
N/A
CME - PLN IRS 5/30/28 PAY FIX MRMD
000000000
1.000000
NC
-635277.570000
-0.0144954817
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-05-30
0.000000
USD
0.000000
USD
-108741000.000000
PLN
-635277.570000
N
N
N
N/A
N/A
CME - PLN IRS 5/30/28 PAY FIX MRMD
000000000
1.000000
NC
-635277.570000
-0.0144954817
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-05-30
0.000000
USD
0.000000
USD
-108741000.000000
PLN
-635277.570000
N
N
N
N/A
N/A
CME - PLN IRS 5/30/28 PAY FIX MRMD
000000000
1.000000
NC
-635277.570000
-0.0144954817
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-05-30
0.000000
USD
0.000000
USD
-108741000.000000
PLN
-635277.570000
N
N
N
N/A
N/A
CME - PLN IRS 6/1/28 PAY FIX MRMD
000000000
1.000000
NC
-378615.120000
-0.0086390718
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-06-01
0.000000
USD
0.000000
USD
-78741000.000000
PLN
-378615.120000
N
N
N
N/A
N/A
CME - PLN IRS 6/1/28 PAY FIX MRMD
000000000
1.000000
NC
-511414.780000
-0.0116692355
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-06-01
0.000000
USD
0.000000
USD
-108741000.000000
PLN
-511414.780000
N
N
N
N/A
N/A
CME - PLN IRS 6/2/28 PAY FIX MRMD
000000000
1.000000
NC
-502139.570000
-0.0114575979
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-06-02
0.000000
USD
0.000000
USD
-108741000.000000
PLN
-502139.570000
N
N
N
N/A
N/A
CME - PLN IRS 6/2/28 PAY FIX MRMD
000000000
1.000000
NC
-1055083.760000
-0.0240744330
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_PLN-WIBOR-WIBO
Y
2028-06-02
0.000000
USD
0.000000
USD
-231279000.000000
PLN
-1055083.760000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
SWAPTION_CDX_USD_2I65BRZI4_OTC_E_RECEIVER_K_5_EFF_2023-06-13_MAT_2023-07-19 CITI
000000000
1.000000
NC
USD
374635.920000
0.0085482762
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N A
E57ODZWZ7FF32TWEFA76
N/A
E57ODZWZ7FF32TWEFA76
CDX HY CDSI S40 5Y CDS 06/20/2028
000000000
0.000000
NC
USD
0.000000
N/A
DCR
CORP
US
N/A
CDX HY CDSI S40 5Y CDS 06/20/2028
Default Event
2028-06-20
0.000000
USD
0.000000
USD
N/A
USD
172000000.00
103
USD
2023-07-19
XXXX
-89764.080000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
SWAPTION_CDX_USD_2I65BRZI4_OTC_E_RECEIVER_K_103_EFF_2023-06-16_MAT_2023-07-19 CITI
000000000
1.000000
NC
USD
93658.980000
0.0021370690
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N A
E57ODZWZ7FF32TWEFA76
N/A
E57ODZWZ7FF32TWEFA76
CDX HY CDSI S40 5Y CDS 06/20/2028
000000000
0.000000
NC
USD
0.000000
N/A
DCR
CORP
US
N/A
CDX HY CDSI S40 5Y CDS 06/20/2028
Default Event
2028-06-20
0.000000
USD
0.000000
USD
N/A
USD
43000000.0
103
USD
2023-07-19
XXXX
-56841.020000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION_CDX_USD_2I65BYEC5_OTC_E_PAYER_K_1_EFF_2023-06-20_MAT_2023-07-19 CHAS
000000000
1.000000
NC
USD
42724.870000
0.0009748771
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
7H6GLXDRUGQFU57RNE97
CDX IG CDSI S40 5Y CDS 06/20/2028
000000000
0.000000
NC
USD
0.000000
N/A
DCR
CORP
US
N/A
CDX IG CDSI S40 5Y CDS 06/20/2028
Default Event
2028-06-20
0.000000
USD
0.000000
USD
N/A
USD
442000000.00
80
USD
2023-07-19
XXXX
-142915.130000
N
N
N
N/A
N/A
LCH - GBP SONIA IRS 6/21/28 PAY FIX CITI
000000000
1.000000
NC
1237933.400000
0.0282466149
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_GBP-SONIA-COMPOUND
Y
2028-06-21
3705.380000
USD
0.000000
USD
-191615000.000000
GBP
1234228.020000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064 MSLN
000000000
1.000000
NC
USD
6786604.170000
0.1548537221
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
Morgan Stanley & Co LLC
Y
Default Event
2064-11-18
7044872.720000
USD
0.000000
USD
-23500000.000000
USD
-258268.550000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
SWAPTION_CDX_USD_2I65BRZI4_OTC_E_PAYER_K_5_EFF_2023-06-26_MAT_2023-08-16 GSIL
000000000
1.000000
NC
USD
464765.290000
0.0106048081
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
N/A
FOR8UP27PHTHYVLBNG30
CDX HY CDSI S40 5Y CDS 06/20/2028
000000000
0.000000
NC
USD
0.000000
N/A
DCR
CORP
US
N/A
CDX HY CDSI S40 5Y CDS 06/20/2028
Default Event
2028-06-20
0.000000
USD
0.000000
USD
N/A
USD
212200000.000
99.5
USD
2023-08-16
XXXX
-1041854.710000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
FXO_USD_OTC_E_CALL_CNH_USD_K_7.368_EFF_2023-06-28_MAT_2024-01-15 CITI
000000000
1.000000
NC
USD
1435173.180000
0.0327471447
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N A
70GB_FXO_USD_OTC_E_CALL_CNH_USD_K_7.368_EFF_2023-06-28_MAT_2024-01-15 CITI
178350000.0000
7.368
USD
2024-01-15
XXXX
-54049.320000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
FXO_USD_OTC_E_CALL_GBP_USD_K_1.2_EFF_2023-06-28_MAT_2024-01-31 UBSW
000000000
1.000000
NC
USD
2200193.490000
0.0502030386
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
Call
Purchased
UBS SECURITIES LLC
70GB_FXO_USD_OTC_E_CALL_GBP_USD_K_1.2_EFF_2023-06-28_MAT_2024-01-31 UBSW
222950000.0000
1.2
USD
2024-01-31
XXXX
-361502.010000
N
N
N
N/A
N/A
LCH - GBP SONIA IRS 6/29/28 PAY FIX CITI
000000000
1.000000
NC
43508.740000
0.0009927631
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_GBP-SONIA-COMPOUND
Y
2028-06-29
68.450000
USD
0.000000
USD
-16500000.000000
GBP
43440.290000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
USD/MYR FWD 20230908 SCBLGB2L
000000000
1.000000
NC
USD
-91521.520000
-0.0020882974
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-8605050.720000
USD
39385317.150000
MYR
2023-09-08
-91521.520000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/CNH FWD 20230915 CITIGB2L
000000000
1.000000
NC
USD
-74270.260000
-0.0016946658
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-71679805.010000
USD
517239000.000000
CNY
2023-09-15
-74270.260000
N
N
N
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
USD/EUR FWD 20230721 IRVTGB2X
000000000
1.000000
NC
USD
1312220.630000
0.0299416680
N/A
DFE
CORP
US
N
2
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
-123532435.430000
EUR
136258438.100000
USD
2023-07-21
1312220.630000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/NZD FWD 20230721 ROYCGB2L
000000000
1.000000
NC
USD
1208458.400000
0.0275740675
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-238673497.880000
NZD
147668963.850000
USD
2023-07-21
1208458.400000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
IDR/USD FWD 20230707 MRMDUS33
000000000
1.000000
NC
USD
-250723.410000
-0.0057208955
N/A
DFE
CORP
ID
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-589902611300.000000
IDR
39062040.840000
USD
2023-07-07
-250723.410000
N
N
N
N/A
N/A
EURO-OAT FUTURE SEP23
000000000
-911.000000
NC
205700.020000
0.0046935718
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
French Republic Government Bond OAT
FRANCE
2023-09-07
-125496906.690000
USD
205700.020000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
INR/USD FWD 20230707 BOFAUS6N
000000000
1.000000
NC
USD
-256988.550000
-0.0058638507
N/A
DFE
CORP
IN
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-2752896826.140000
INR
33288755.120000
USD
2023-07-07
-256988.550000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
THB/USD FWD 20230908 UBSWGB2L
000000000
1.000000
NC
USD
694485.250000
0.0158464562
N/A
DFE
CORP
TH
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-1106648651.660000
THB
32121463.240000
USD
2023-09-08
694485.250000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
GBP/USD FWD 20230811 MRMDUS33
000000000
1.000000
NC
USD
-3960816.540000
-0.0903761540
N/A
DFE
CORP
GB
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-550318053.950000
GBP
695112787.440000
USD
2023-08-11
-3960816.540000
N
N
N
N/A
N/A
EURO-BOBL FUTURE SEP23
000000000
-1831.000000
NC
2135073.402687
0.0487171574
N/A
DIR
CORP
DE
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
Bundesobligation
GERMANY
2023-09-07
-229188719.032038
USD
2135073.402687
N
N
N
N/A
N/A
EURO-BOBL FUTURE SEP23
000000000
-78.000000
NC
90953.427313
0.0020753349
N/A
DIR
CORP
DE
N
1
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Short
Bundesobligation
GERMANY
2023-09-07
-9763364.327962
USD
90953.427313
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/JPY FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
244425.330000
0.0055771887
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-530034000.000000
JPY
3930087.780000
USD
2023-07-21
244425.330000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/IDR FWD 20230707 CITIGB2L
000000000
1.000000
NC
USD
463.910000
0.0000105853
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-12471285790.000000
IDR
831585.370000
USD
2023-07-07
463.910000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/IDR FWD 20230707 GSILGB2X
000000000
1.000000
NC
USD
2999.010000
0.0000684301
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-10890137910.000000
IDR
728748.340000
USD
2023-07-07
2999.010000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
IDR/USD FWD 20230707 GSILGB2X
000000000
1.000000
NC
USD
-439846.230000
-0.0100362161
N/A
DFE
CORP
ID
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-41309481.260000
USD
613264035000.000000
IDR
2023-07-07
-439846.230000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
MYR/USD FWD 20230908 DEUTGB2L
000000000
1.000000
NC
USD
113552.270000
0.0025909853
N/A
DFE
CORP
MY
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-42484855.370000
MYR
9297077.570000
USD
2023-09-08
113552.270000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
ZAR/USD FWD 20230818 SBOSGB2X
000000000
1.000000
NC
USD
-814947.750000
-0.0185951161
N/A
DFE
CORP
ZA
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-425422000.000000
ZAR
21676083.370000
USD
2023-08-18
-814947.750000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/ZAR FWD 20230818 UBSWGB2L
000000000
1.000000
NC
USD
-95924.310000
-0.0021887583
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-225960052.500000
ZAR
11850036.580000
USD
2023-08-18
-95924.310000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
ZAR/USD FWD 20230818 UBSWGB2L
000000000
1.000000
NC
USD
1256113.230000
0.0286614342
N/A
DFE
CORP
ZA
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-33567516.400000
USD
658695374.370000
ZAR
2023-08-18
1256113.230000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/COP FWD 20230908 BNPAFRPP
000000000
1.000000
NC
USD
302416.740000
0.0069004110
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-4483136.340000
USD
20353438983.099998
COP
2023-09-08
302416.740000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/GBP FWD 20230811 CHASGB2L
000000000
1.000000
NC
USD
8203.020000
0.0001871729
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-5506571.260000
GBP
7003246.320000
USD
2023-08-11
8203.020000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
GBP/USD FWD 20230811 CHASGB2L
000000000
1.000000
NC
USD
168246.230000
0.0038389678
N/A
DFE
CORP
GB
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-6171862.610000
USD
4991000.000000
GBP
2023-08-11
168246.230000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/NOK FWD 20230721 GSILGB2X
000000000
1.000000
NC
USD
-274646.190000
-0.0062667549
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-922032000.000000
NOK
85696560.130000
USD
2023-07-21
-274646.190000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/EUR FWD 20230721 ROYCGB2L
000000000
1.000000
NC
USD
3617.420000
0.0000825407
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-22332709.770000
EUR
24399758.390000
USD
2023-07-21
3617.420000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
RSD/USD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
6214.270000
0.0001417945
N/A
DFE
CORP
RS
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-2473588.310000
USD
266541508.150000
RSD
2023-07-21
6214.270000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/THB FWD 20230908 GSILGB2X
000000000
1.000000
NC
USD
833929.840000
0.0190282410
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-1432324321.450000
THB
41509554.270000
USD
2023-09-08
833929.840000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
IDR/USD FWD 20231006 CITIGB2L
000000000
1.000000
NC
USD
-2572.410000
-0.0000586961
N/A
DFE
CORP
ID
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-830477.840000
USD
12471285790.000000
IDR
2023-10-06
-2572.410000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
MXN/USD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
117646.930000
0.0026844154
N/A
DFE
CORP
MX
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-2537900.020000
USD
45650000.000000
MXN
2023-07-21
117646.930000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/ZAR FWD 20230818 GSILGB2X
000000000
1.000000
NC
USD
3981923.970000
0.0908577740
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-3858229000.310000
ZAR
207957149.800000
USD
2023-08-18
3981923.970000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
AUD/USD FWD 20230721 BOFAUS6N
000000000
1.000000
NC
USD
-450007.970000
-0.0102680821
N/A
DFE
CORP
AU
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-89930080.000000
AUD
59496257.080000
USD
2023-07-21
-450007.970000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/MYR FWD 20230908 BNPAFRPP
000000000
1.000000
NC
USD
196865.570000
0.0044919912
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-83787733.670000
MYR
18308420.040000
USD
2023-09-08
196865.570000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/RSD FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
44738.410000
0.0010208212
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-3496126937.630000
RSD
32571396.850000
USD
2023-07-21
44738.410000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
RSD/USD FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
-11233.480000
-0.0002563206
N/A
DFE
CORP
RS
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-2489696.830000
USD
266397561.060000
RSD
2023-07-21
-11233.480000
N
N
N
WELLS FARGO SECURITIES, LLC.
VYVVCKR63DVZZN70PB21
GBP/USD FWD 20230811 WFBIUS6W
000000000
1.000000
NC
USD
1617490.780000
0.0369071868
N/A
DFE
CORP
GB
N
2
WELLS FARGO SECURITIES, LLC.
VYVVCKR63DVZZN70PB21
-112804467.310000
USD
90074162.360000
GBP
2023-08-11
1617490.780000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/MXN FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
-7167027.810000
-0.1635340599
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-1953005000.000000
MXN
106442971.680000
USD
2023-07-21
-7167027.810000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
MXN/USD FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
1361517.850000
0.0310665101
N/A
DFE
CORP
MX
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-28523727.830000
USD
513740291.440000
MXN
2023-07-21
1361517.850000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/AUD FWD 20230721 ROYCGB2L
000000000
1.000000
NC
USD
-65732.480000
-0.0014998546
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-18714000.000000
AUD
12408785.550000
USD
2023-07-21
-65732.480000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC23
000000000
-1786.000000
NC
USD
2365646.452650
0.0539782709
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
United States 90 Day Average SOFR Secured Overnight Financing Rate
US 90 DAY AVERAGE SOFR
2024-03-19
-424933246.452650
USD
2365646.452650
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC23
000000000
-2426.000000
NC
USD
3213358.507350
0.0733209883
N/A
DIR
CORP
US
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
United States 90 Day Average SOFR Secured Overnight Financing Rate
US 90 DAY AVERAGE SOFR
2024-03-19
-577204958.507350
USD
3213358.507350
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
AUD/USD FWD 20230721 UBSWGB2L
000000000
1.000000
NC
USD
-236904.970000
-0.0054055925
N/A
DFE
CORP
AU
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-44293920.000000
AUD
29288867.370000
USD
2023-07-21
-236904.970000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
COP/USD FWD 20230908 CITIGB2L
000000000
1.000000
NC
USD
-3180066.940000
-0.0725613561
N/A
DFE
CORP
CO
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-229499577113.519989
COP
50780465.650000
USD
2023-09-08
-3180066.940000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/RON FWD 20230721 BOFAUS6N
000000000
1.000000
NC
USD
238408.030000
0.0054398886
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-144152400.000000
RON
31945130.190000
USD
2023-07-21
238408.030000
N
N
N
N/A
N/A
BONA FIDE INVSTMNT HLDNG LLC A
TC1FCHS82
0.000000
NS
USD
1517671.660000
0.0346295584
Long
EC
CORP
US
Y
N/A
N
N
N
N/A
N/A
Fortenova STAK Stichting
000000000
597196.000000
NS
247630.900000
0.0056503320
Long
EC
CORP
NL
Y
2
N
N
N
N/A
N/A
Fortenova Group TopCo B.V.
000000000
2557406.039000
PA
1060443.760000
0.0241967351
Long
DBT
CORP
NL
Y
2
2024-04-01
None
0.0
N
N
Y
N
N
FORTENOVA GROUP STAK STICHTING
FORTENOVA GROUP STAK STICHTING
EUR
XXXX
N
N
N
N/A
N/A
BONA FIDE INVSTMNT HLDNG LLC A 6/2023 PP
000000000
0.000000
NS
USD
3412414.310000
0.0778629553
Long
EC
CORP
US
Y
N/A
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/CLP FWD 20230811 GSILGB2X
000000000
1.000000
NC
USD
8507.180000
0.0001941131
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-13749530324.000000
CLP
17060028.940000
USD
2023-08-11
8507.180000
N
N
N
N/A
N/A
US 2YR NOTE (CBT) SEP23
000000000
6405.000000
NC
USD
-15295530.065233
-0.3490066169
N/A
DIR
CORP
US
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-29
1317712248.815233
USD
-15295530.065233
N
N
N
N/A
N/A
US 2YR NOTE (CBT) SEP23
000000000
583.000000
NC
USD
-1392239.504767
-0.0317675031
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-29
119941645.754767
USD
-1392239.504767
N
N
N
N/A
N/A
US 10YR NOTE (CBT)SEP23
000000000
6548.000000
NC
USD
-12215273.850000
-0.2787226976
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-20
747330619.090000
USD
-12215273.850000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
AUD/USD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
97930.400000
0.0022345324
N/A
DFE
CORP
AU
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-6111025.200000
USD
9314539.840000
AUD
2023-07-21
97930.400000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/AUD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
-97759.640000
-0.0022306361
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-7866094.800000
AUD
5145680.640000
USD
2023-07-21
-97759.640000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
NZD/USD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
-19154.390000
-0.0004370564
N/A
DFE
CORP
NZ
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-3487834.040000
NZD
2121133.250000
USD
2023-07-21
-19154.390000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/SEK FWD 20230825 BOFAUS6N
000000000
1.000000
NC
USD
-229964.210000
-0.0052472213
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-1441383000.000000
SEK
133764559.590000
USD
2023-08-25
-229964.210000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
CLP/USD FWD 20230811 BNPAFRPP
000000000
1.000000
NC
USD
-108331.470000
-0.0024718594
N/A
DFE
CORP
CL
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-27851612705.000000
CLP
34431930.550000
USD
2023-08-11
-108331.470000
N
N
N
N/A
N/A
EURO-BUXL 30Y BND SEP23
000000000
-724.000000
NC
-2730136.220000
-0.0622950366
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
Bundesrepublik Deutschland Bundesanleihe
GERMANY
2023-09-07
-105581586.990000
USD
-2730136.220000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
CAD/USD FWD 20230721 ROYCGB2L
000000000
1.000000
NC
USD
723546.400000
0.0165095606
N/A
DFE
CORP
CA
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-134126401.760000
USD
178583000.000000
CAD
2023-07-21
723546.400000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/GBP FWD 20230811 SBOSGB2X
000000000
1.000000
NC
USD
74365.610000
0.0016968415
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-19520185.940000
GBP
24871020.270000
USD
2023-08-11
74365.610000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
GBP/USD FWD 20230811 SBOSGB2X
000000000
1.000000
NC
USD
-75589.960000
-0.0017247782
N/A
DFE
CORP
GB
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-97394687.640000
USD
76610611.730000
GBP
2023-08-11
-75589.960000
N
N
N
N/A
N/A
US 10YR ULTRA FUT SEP23
000000000
280.000000
NC
USD
-382438.451032
-0.0087263109
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-20
33544938.451032
USD
-382438.451032
N
N
N
N/A
N/A
US 10YR ULTRA FUT SEP23
000000000
4854.000000
NC
USD
-6629843.718968
-0.1512768317
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-20
581525468.718968
USD
-6629843.718968
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/CNH FWD 20230915 GSILGB2X
000000000
1.000000
NC
USD
209189.180000
0.0047731859
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-81273318.920000
CNY
11460505.230000
USD
2023-09-15
209189.180000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
ILS/USD FWD 20230720 CHASGB2L
000000000
1.000000
NC
USD
1893.250000
0.0000431993
N/A
DFE
CORP
IL
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-3033656.460000
USD
11245000.000000
ILS
2023-07-20
1893.250000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
USD/EUR FWD 20230721 DEUTGB2L
000000000
1.000000
NC
USD
-1960400.660000
-0.0447315522
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-174317394.780000
USD
157779000.000000
EUR
2023-07-21
-1960400.660000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
MXN/USD FWD 20230721 SCBLGB2L
000000000
1.000000
NC
USD
-11473848.670000
-0.2618051869
N/A
DFE
CORP
MX
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-3009120365.710000
MXN
163572381.730000
USD
2023-07-21
-11473848.670000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
EUR/USD FWD 20230721 UBSWGB2L
000000000
1.000000
NC
USD
-552400.760000
-0.0126044354
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-98625000.000000
EUR
107185058.250000
USD
2023-07-21
-552400.760000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
USD/TWD FWD 20231006 MRMDUS33
000000000
1.000000
NC
USD
66175.190000
0.0015099561
N/A
DFE
CORP
US
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-970584695.000000
TWD
31352672.900000
USD
2023-10-06
66175.190000
N
N
N
N/A
N/A
US ULTRA BOND CBT SEP23
000000000
-395.000000
NC
USD
-601232.678218
-0.0137186604
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
United States Treasury Note/Bond
US TREASURY N/B
2023-09-20
-53205173.571782
USD
-601232.678218
N
N
N
N/A
N/A
US ULTRA BOND CBT SEP23
000000000
-357.000000
NC
USD
-543392.572465
-0.0123988906
N/A
DIR
CORP
US
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
United States Treasury Note/Bond
US TREASURY N/B
2023-09-20
-48086701.177535
USD
-543392.572465
N
N
N
N/A
N/A
US ULTRA BOND CBT SEP23
000000000
-4842.000000
NC
USD
-7370047.159317
-0.1681664653
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
United States Treasury Note/Bond
US TREASURY N/B
2023-09-20
-652201140.340683
USD
-7370047.159317
N
N
N
N/A
N/A
AUST 10Y BOND FUT SEP23
000000000
2203.000000
NC
-733079.940000
-0.0167270927
N/A
DIR
CORP
AU
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Long
Australia Government Bond
AUSTRALIA
2023-09-15
174405382.100000
USD
-733079.940000
N
N
N
Times China Holdings Ltd
2549000KTINB9ZPZP710
TIMES CHINA HOLDINGS LTD
BK2863672
12750000.000000
PA
USD
968904.890000
0.0221080418
Long
DBT
CORP
KY
N
2
2025-07-08
Fixed
6.75
N
N
N
N
N
N
Times China Holdings Ltd
2549000KTINB9ZPZP710
TIMES CHINA HOLDINGS LTD
ZO4873378
3220000.000000
PA
USD
245742.350000
0.0056072399
Long
DBT
CORP
KY
N
2
2026-03-22
Fixed
6.2
N
N
N
N
N
N
Albania Government International Bond
254900EDM43U3SGRND29
ALBANIA GOVERNMENT INTERNATIONAL BOND
ZK8858829
7210000.000000
PA
7713151.290000
0.1759952631
Long
DBT
NUSS
AL
N
2
2028-06-09
Fixed
5.9
N
N
N
N
N
N
2023-06-30
T. ROWE PRICE INTERNATIONAL FUNDS, INC.
/s/ Alan Dupski
Alan Dupski
Treasurer & Vice President