0000313212-23-000773.txt : 20230828
0000313212-23-000773.hdr.sgml : 20230828
20230828131008
ACCESSION NUMBER: 0000313212-23-000773
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: 231213458
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
S000063538
T. Rowe Price Dynamic Credit Fund
C000205922
T. Rowe Price Dynamic Credit Fund
RPIDX
C000205923
T. Rowe Price Dynamic Credit Fund-I Class
RPELX
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1
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Baltimore
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410-345-2000
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2023-06-30
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2038-09-15
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2038-09-15
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2034-10-15
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BX Trust 2021-VIEW
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CORP
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2036-06-15
Floating
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N
N
N
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Floating
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STANDARD CHARTERED SECURITIES
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Benteler International AG
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BENTELER INTERNATIONAL AG
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DBT
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AT
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2028-05-15
Fixed
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N
N
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Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
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BLACKBIRD CAPITAL AIRCRAFT LEASE SECURITIZATION LTD 2016-1
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USD
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ABS-O
CORP
KY
N
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2041-12-16
Variable
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CITIBANK N A
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Barclays Bank PLC - Wholesale (SING)
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MORGAN STANLEY & COMPANY LLC
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MORGAN STANLEY & COMPANY LLC
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MORGAN STANLEY & COMPANY LLC
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CORP
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CORP
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JP MORGAN CHASE BANK
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USD
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N
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JP MORGAN CHASE BANK
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N/A
HALLIBURTON CO
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2023-09-20
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USD
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JP MORGAN CHASE BANK
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CORP
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JP MORGAN CHASE BANK
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N/A
MPT OPER PARTNERSP/FINL
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2023-09-20
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USD
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USD
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USD
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JP MORGAN CHASE BANK
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USD
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CORP
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JP MORGAN CHASE BANK
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JP MORGAN CHASE BANK
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USD
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JP MORGAN CHASE BANK
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Fixed Income Performance Leg
2023-09-20
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N
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CAFL 2021-RTL1 Issuer LLC
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CAFL 2021-RTL1 ISSUER LLC
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PA
USD
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0.2314165577
Long
ABS-MBS
CORP
US
N
2
2029-03-28
Variable
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N
N
N
N
N
N
CAFL 2021-RTL1 Issuer LLC
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CAFL 2021-RTL1 ISSUER LLC
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USD
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1.3747322623
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ABS-MBS
CORP
US
N
2
2029-03-28
Variable
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N
N
N
N
N
N
Cantor Commercial Real Estate Lending 2019-CF1
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115000.000000
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USD
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0.2361269079
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
4.123
N
N
N
N
N
N
Cantor Commercial Real Estate Lending 2019-CF1
N/A
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PA
USD
48787.120000
0.1238363877
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
4.66
N
N
N
N
N
N
COMM 2014-CCRE19 Mortgage Trust
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COMM 2014-CCRE19 MORTGAGE TRUST
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165000.000000
PA
USD
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0.3345893490
Long
ABS-MBS
CORP
US
N
2
2047-08-10
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N
N
N
N
N
N
COMM 2014-CCRE19 Mortgage Trust
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USD
139151.960000
0.3532095371
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Fixed
4.08
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N
N
N
N
N
COMM 2017-PANW Mortgage Trust
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USD
272962.430000
0.6928607656
Long
ABS-MBS
CORP
US
N
2
2029-10-10
Variable
4.343
N
N
N
N
N
N
CSC Holdings LLC
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305000.000000
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USD
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0.6241840411
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.5
N
N
N
N
N
N
CSMC 2020-TMIC
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CSMC 2020-TMIC
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PA
USD
98890.380000
0.2510135347
Long
ABS-MBS
CORP
US
N
2
2035-12-15
Floating
12.443
N
N
N
N
N
N
Capstone Borrower Inc
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CAPSTONE BORROWER INC
140944AA7
325000.000000
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USD
320937.500000
0.8146359261
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
8.0
N
N
N
N
N
N
Carnival Corp
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143658BQ4
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USD
381087.500000
0.9673147217
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DBT
CORP
PA
N
2
2028-08-01
Fixed
4.0
N
N
N
N
N
N
Colorado Health Facilities Authority
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COLORADO HEALTH FACILITIES AUTHORITY
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235000.000000
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USD
195494.410000
0.4962236253
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DBT
MUN
US
N
2
2040-12-01
Fixed
4.48
N
N
N
N
N
N
Comstock Resources Inc
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COMSTOCK RESOURCES INC
205768AT1
205000.000000
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USD
177325.000000
0.4501041966
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.875
N
N
N
N
N
N
Connecticut Avenue Securities Trust 2022-R04
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R04
20753YCK6
45000.000000
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USD
45444.190000
0.1153510257
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ABS-MBS
CORP
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N
2
2042-03-25
Floating
8.167
N
N
N
N
N
N
Consorcio Transmantaro SA
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CONSORCIO TRANSMANTARO SA
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200000.000000
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USD
185882.940000
0.4718268229
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DBT
CORP
PE
N
2
2038-04-11
Fixed
5.2
N
N
N
N
N
N
DISH Network Corp
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DISH NETWORK CORP
25470MAG4
775000.000000
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USD
756593.750000
1.9204625518
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
11.75
N
N
N
N
N
N
Elara HGV Timeshare Issuer 2019-A LLC
N/A
ELARA HGV TIMESHARE ISSUER 2019-A LLC
28416TAC9
50367.560000
PA
USD
46128.710000
0.1170885434
Long
ABS-O
CORP
US
N
2
2034-01-25
Fixed
3.45
N
N
N
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA
28504KAA5
490000.000000
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USD
503475.000000
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DBT
CORP
FR
N
2
N/A
Variable
9.125
N
N
N
N
N
N
UBS SECURITIES LLC
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DFE
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N
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UBS SECURITIES LLC
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2023-10-06
-130.800000
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N
N
ExteNet LLC 2019-1
N/A
EXTENET LLC 2019-1
30227XAB7
240000.000000
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USD
228848.500000
0.5808863400
Long
ABS-O
CORP
US
N
2
2049-07-26
Fixed
4.14
N
N
N
N
N
N
Finance of America HECM Buyout 2022-HB1
N/A
FINANCE OF AMERICA HECM BUYOUT 2022-HB1
31735JAD7
390000.000000
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USD
338122.360000
0.8582562707
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ABS-MBS
CORP
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N
2
2032-02-25
Variable
5.084
N
N
N
N
N
N
CITIBANK N A
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USD
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DFE
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US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
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377355.390000
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2023-07-21
-2599.470000
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N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
AUD/USD FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
-10644.430000
-0.0270187656
N/A
DFE
CORP
AU
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-667233.090000
USD
985000.000000
AUD
2023-07-21
-10644.430000
N
N
N
FOCUS Brands Funding LLC
N/A
FOCUS BRANDS FUNDING LLC
34417QAA6
692375.000000
PA
USD
654198.830000
1.6605534403
Long
ABS-O
CORP
US
N
2
2048-10-30
Fixed
5.184
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2021-DNA7
5493000ISOMSKCX2AW62
FREDDIE MAC STACR REMIC TRUST 2021-DNA7
35564KMH9
295000.000000
PA
USD
284233.440000
0.7214699797
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
6.867
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2022-DNA2
5493000ISA3AUOXQEF68
FREDDIE MAC STACR REMIC TRUST 2022-DNA2
35564KRN1
560000.000000
PA
USD
563497.090000
1.4303251374
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
8.817
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2022-DNA3
5493000IS4M3TZMRB410
FREDDIE MAC STACR REMIC TRUST 2022-DNA3
35564KUX5
145000.000000
PA
USD
144773.800000
0.3674794583
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
7.967
N
N
N
N
N
N
Globo Comunicacao e Participacoes SA
52990054HEKS017PVR75
GLOBO COMUNICACAO E PARTICIPACOES SA
37959DAB0
620000.000000
PA
USD
494148.160000
1.2542966900
Long
DBT
CORP
BR
N
2
2030-01-22
Fixed
4.875
N
N
N
N
N
GrafTech Global Enterprises Inc
N/A
GRAFTECH GLOBAL ENTERPRISES INC
38431AAA4
420000.000000
PA
USD
416850.000000
1.0580907055
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
9.875
N
N
N
N
N
N
Aris Mining Corp
5493001GJ5TILX6L1F82
ARIS MINING CORP
38501DAR6
380000.000000
PA
USD
279573.600000
0.7096419040
Long
DBT
CORP
CA
N
2
2026-08-09
Fixed
6.875
N
N
N
N
N
N
Great Wolf Trust 2019-WOLF
N/A
GREAT WOLF TRUST 2019-WOLF
39152TAQ3
170000.000000
PA
USD
162406.130000
0.4122356163
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
8.392
N
N
N
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
NZD/USD FWD 20230721 CITIGB2L
000000000
1.000000
NC
USD
-1542.550000
-0.0039154560
N/A
DFE
CORP
NZ
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-610000.000000
NZD
372780.150000
USD
2023-07-21
-1542.550000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/NZD FWD 20230721 MSLNGB2X
000000000
1.000000
NC
USD
90.520000
0.0002297670
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-94410.620000
USD
154000.000000
NZD
2023-07-21
90.520000
N
N
N
WELLS FARGO SECURITIES, LLC.
VYVVCKR63DVZZN70PB21
CAD/USD FWD 20230721 WFBIUS6W
000000000
1.000000
NC
USD
-9927.250000
-0.0251983470
N/A
DFE
CORP
CA
N
2
WELLS FARGO SECURITIES, LLC.
VYVVCKR63DVZZN70PB21
-500000.000000
CAD
367628.140000
USD
2023-07-21
-9927.250000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
CHF/USD FWD 20230721 SBOSGB2X
000000000
1.000000
NC
USD
-2192.880000
-0.0055661891
N/A
DFE
CORP
CH
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-371726.690000
USD
330000.000000
CHF
2023-07-21
-2192.880000
N
N
N
HPS Loan Management 11-2017 Ltd
549300Z5U2GIJ32SH058
HPS LOAN MANAGEMENT 11-2017 LTD
40436VAJ0
640000.000000
PA
USD
607963.370000
1.5431939333
Long
ABS-CBDO
CORP
KY
N
2
2030-05-06
Floating
7.274
N
N
N
N
N
N
Hardee s Funding LLC
N/A
HARDEE'S FUNDING LLC
411707AD4
161925.000000
PA
USD
150900.170000
0.3830300284
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.959
N
N
N
N
N
N
Hightower Holding LLC
254900MKOSB7RTMA9K12
HIGHTOWER HOLDING LLC
43118DAA8
230000.000000
PA
USD
198375.000000
0.5035354293
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
6.75
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC
45174HBG1
470000.000000
PA
USD
352500.000000
0.8947510464
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
STATE OF ILLINOIS
452152GB1
150000.000000
PA
USD
161754.720000
0.4105821418
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.1
N
N
N
N
N
N
Imperial Fund Mortgage Trust 2023-NQM1
N/A
IMPERIAL FUND MORTGAGE TRUST 2023-NQM1
45290BAD1
450000.000000
PA
USD
451815.080000
1.1468425975
Long
ABS-MBS
CORP
US
N
2
2068-02-25
Variable
8.262
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP MORGAN MORTGAGE TRUST
465976AB4
90097.320000
PA
USD
74261.120000
0.1884970633
Long
ABS-MBS
CORP
US
N
2
2052-07-25
Variable
3.52
N
N
N
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CAD/USD FWD 20230721 BOFAUS6N
000000000
1.000000
NC
USD
2499.220000
0.0063437722
N/A
DFE
CORP
CA
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-790367.100000
USD
1050000.000000
CAD
2023-07-21
2499.220000
N
N
N
LCPR Senior Secured Financing DAC
549300LE5FM8IKMXSP90
LCPR SENIOR SECURED FINANCING DAC
50201DAD5
400000.000000
PA
USD
333000.000000
0.8452541800
Long
DBT
CORP
IE
N
2
2029-07-15
Fixed
5.125
N
N
N
N
N
N
Liberty Costa Rica Senior Secured Finance
549300W6O2PHTPCYQ751
LIBERTY COSTA RICA SENIOR SECURED FINANCE
530371AA1
515000.000000
PA
USD
510257.470000
1.2951869651
Long
DBT
CORP
KY
N
2
2031-01-15
Fixed
10.875
N
N
N
N
N
N
LSTAR Commercial Mortgage Trust 2017-5
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2017-5
54910TAS1
220000.000000
PA
USD
149080.140000
0.3784102447
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Variable
4.83
N
N
N
N
N
N
Michigan Tobacco Settlement Finance Authority
N/A
MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY
594751AL3
25000.000000
PA
USD
2577.130000
0.0065415312
Long
DBT
MUN
US
N
2
2046-06-01
None
0.0
N
N
N
N
N
N
Stagwell Global LLC
N/A
STAGWELL GLOBAL LLC
59565JAA9
395000.000000
PA
USD
339700.000000
0.8622607956
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.625
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/CNH FWD 20230714 UBSWGB2L
000000000
1.000000
NC
USD
-12569.200000
-0.0319044109
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-564799.150000
USD
4010000.000000
CNY
2023-07-14
-12569.200000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CLP/USD FWD 20230811 BOFAUS6N
000000000
1.000000
NC
USD
4171.150000
0.0105876336
N/A
DFE
CORP
CL
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-367670.140000
USD
299835000.000000
CLP
2023-08-11
4171.150000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
ILS/USD FWD 20230720 CITIGB2L
000000000
1.000000
NC
USD
-25367.800000
-0.0643911081
N/A
DFE
CORP
IL
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-613851.420000
USD
2180000.000000
ILS
2023-07-20
-25367.800000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/ILS FWD 20230720 CITIGB2L
000000000
1.000000
NC
USD
-3217.610000
-0.0081672622
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-2180000.000000
ILS
585266.010000
USD
2023-07-20
-3217.610000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
JPY/USD FWD 20230721 SCBLGB2L
000000000
1.000000
NC
USD
47615.210000
0.1208617276
N/A
DFE
CORP
JP
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-273530000.000000
JPY
1949642.720000
USD
2023-07-21
47615.210000
N
N
N
NVR Inc
529900RWXR4JI3JYTV70
NVR INC
62944T105
50.000000
NS
USD
317531.000000
0.8059892043
Long
EC
CORP
US
N
1
N
N
N
Neptune Bidco US Inc
549300VG15T3VCYZ4531
NEPTUNE BIDCO US INC
640695AA0
720000.000000
PA
USD
657900.000000
1.6699481232
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
9.29
N
N
N
N
N
N
Octane Receivables Trust 2023-1
N/A
OCTANE RECEIVABLES TRUST 2023-1
67571BAE3
255000.000000
PA
USD
235661.720000
0.5981803420
Long
ABS-O
CORP
US
N
2
2030-08-20
Fixed
9.25
N
N
N
N
N
N
Oceanview Mortgage Loan Trust 2020-1
N/A
OCEANVIEW MORTGAGE LOAN TRUST 2020-1
676477AD4
115000.000000
PA
USD
90113.680000
0.2287356297
Long
ABS-MBS
CORP
US
N
2
2050-05-28
Variable
3.285
N
N
N
N
N
N
Ovintiv Inc
2549003MEX7YMKLGI239
OVINTIV INC
69047QAC6
195000.000000
PA
USD
191768.460000
0.4867660433
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
6.25
N
N
N
N
N
N
Ovintiv Inc
2549003MEX7YMKLGI239
OVINTIV INC
69047QAD4
295000.000000
PA
USD
301510.360000
0.7653240003
Long
DBT
CORP
US
N
2
2053-07-15
Fixed
7.1
N
N
N
N
N
N
Pacific Gas and Electric Co
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO
694308KH9
795000.000000
PA
USD
782049.450000
1.9850767765
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
6.75
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS
71643VAB1
700000.000000
PA
USD
532864.150000
1.3525695200
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.7
N
N
N
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
JPY/USD FWD 20230721 BOFAUS6N
000000000
1.000000
NC
USD
-34556.750000
-0.0877154276
N/A
DFE
CORP
JP
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-979694.690000
USD
135920000.000000
JPY
2023-07-21
-34556.750000
N
N
N
PDD Holdings Inc
5493000573DS7005T657
PDD HOLDINGS INC
722304AC6
275000.000000
PA
USD
266717.550000
0.6770093814
Long
DBT
CORP
KY
N
2
2025-12-01
None
0.0
N
N
N
N
Y
PDD Holdings Inc
PDD Holdings Inc
USD
XXXX
N
N
Port Beaumont Navigation District
549300G8PKBXALUKJY33
PORT BEAUMONT NAVIGATION DISTRICT
73360DAA0
210000.000000
PA
USD
197177.020000
0.5004945957
Long
DBT
MUN
US
N
2
2025-01-01
Fixed
6.0
N
N
N
N
N
N
Progress Residential 2020-SFR3 Trust
N/A
PROGRESS RESIDENTIAL 2020-SFR3 TRUST
74333AAL4
130000.000000
PA
USD
116598.890000
0.2959630605
Long
ABS-O
CORP
US
N
2
2027-10-17
Fixed
2.796
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
COMMONWEALTH OF PUERTO RICO
74514L3E5
23414.000000
PA
USD
23414.000000
0.0594317759
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
46698.000000
PA
USD
47850.790000
0.1214597005
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
46276.000000
PA
USD
48726.600000
0.1236827698
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
45524.000000
PA
USD
48753.260000
0.1237504409
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
44217.000000
PA
USD
48294.410000
0.1225857415
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
41930.000000
PA
USD
39836.180000
0.1011162092
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
37689.000000
PA
USD
35029.550000
0.0889155362
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
32347.000000
PA
USD
29029.030000
0.0736844113
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
43980.000000
PA
USD
38187.000000
0.0969300942
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
45738.000000
PA
USD
38643.040000
0.0980876609
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
6837.000000
PA
USD
6548.980000
0.0166232814
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
53960.000000
PA
USD
32990.010000
0.0837385701
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
968890.980000
PA
USD
488078.830000
1.2388909046
Long
DBT
MUN
PR
N
2
2043-11-01
Variable
0.01
N
N
N
N
N
N
Puerto Rico Electric Power Authority
5493003BRB67HF8ST418
PUERTO RICO ELECTRIC POWER AUTHORITY
74526QZR6
40000.000000
PA
USD
15000.000000
0.0380745126
Long
DBT
MUN
PR
N
2
2030-07-01
Fixed
5.95
Y
Y
N
N
N
N
Puerto Rico Electric Power Authority
5493003BRB67HF8ST418
PUERTO RICO ELECTRIC POWER AUTHORITY
74526QZS4
150000.000000
PA
USD
56250.000000
0.1427794223
Long
DBT
MUN
PR
N
2
2032-07-01
Fixed
6.05
Y
Y
N
N
N
N
T Rowe Price Government Reserve Investment Fund
5493007QR86JJLYO6D96
T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND
76105Y109
1206132.880000
NS
USD
1206132.880000
3.0615281035
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
1368143.000000
NS
USD
1368143.000000
3.4727585273
Long
STIV
RF
US
N
1
N
N
Stonepeak 2021-1 ABS
N/A
STONEPEAK 2021-1 ABS
78433XAC4
240213.900000
PA
USD
202579.590000
0.5142079436
Long
ABS-O
CORP
US
N
2
2033-02-28
Fixed
3.821
N
N
N
N
N
N
Sabre GLBL Inc
F2TJC7HPPHLHU1AQMP98
SABRE GLBL INC
78573NAC6
2000.000000
PA
USD
1860.000000
0.0047212396
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
9.25
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes Series 2022-A
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-A
80290CAS3
170975.370000
PA
USD
168138.650000
0.4267864767
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
80290CAZ7
212430.140000
PA
USD
211542.140000
0.5369575918
Long
ABS-O
CORP
US
N
2
2032-08-16
Fixed
6.793
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes Series 2023-A
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-A
80290CBX1
250000.000000
PA
USD
249515.980000
0.6333466218
Long
ABS-O
CORP
US
N
2
2033-06-15
Fixed
10.068
N
N
N
N
N
N
Sierra Timeshare 2021-1 Receivables Funding LLC
N/A
SIERRA TIMESHARE 2021-1 RECEIVABLES FUNDING LLC
82652QAD3
223082.360000
PA
USD
203288.950000
0.5160085127
Long
ABS-O
CORP
US
N
2
2037-11-20
Fixed
3.17
N
N
N
N
N
N
Sierra Timeshare 2018-3 Receivables Funding LLC
N/A
SIERRA TIMESHARE 2018-3 RECEIVABLES FUNDING LLC
82653GAD4
107312.086000
PA
USD
101873.380000
0.2585852861
Long
ABS-O
CORP
US
N
2
2035-09-20
Fixed
5.2
N
N
N
N
N
N
Talen Energy Supply LLC
K5K33XN0PQAU1XF7NN66
TALEN ENERGY SUPPLY LLC
87422VAK4
310000.000000
PA
USD
320850.000000
0.8144138248
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
8.625
N
N
N
N
N
N
ALTERA INFRA/TEEKAY OFC
N/A
ALTERA INFRASTRUCTURE LP/TEEKAY OFFSHORE FINANCE CORP
000000000
155000.000000
PA
USD
0.000000
0.0000000000
Long
DBT
CORP
MH
Y
3
2023-10-15
Fixed
8.5
N
N
N
N
N
N
Tobacco Settlement Finance Authority
N/A
TOBACCO SETTLEMENT FINANCE AUTHORITY
88880LAB9
460000.000000
PA
USD
43392.720000
0.1101437777
Long
DBT
MUN
US
N
2
2047-06-01
None
0.0
N
N
N
N
N
N
Tobacco Settlement Finance Authority
N/A
TOBACCO SETTLEMENT FINANCE AUTHORITY
88880LAW3
105000.000000
PA
USD
95364.350000
0.2420634098
Long
DBT
MUN
US
N
2
2049-06-01
Fixed
4.875
N
N
N
N
N
N
Tobacco Settlement Financing Corp/VA
N/A
TOBACCO SETTLEMENT FINANCING CORP/VA
88880NAT6
255000.000000
PA
USD
241342.430000
0.6125996930
Long
DBT
MUN
US
N
2
2046-06-01
Fixed
6.706
N
N
N
N
N
N
Townsquare Media Inc
549300XBA8C68H0DR538
TOWNSQUARE MEDIA INC
892231AB7
520000.000000
PA
USD
497900.000000
1.2638199887
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.875
N
N
N
N
N
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
ZAR/USD FWD 20230714 IRVTGB2X
000000000
1.000000
NC
USD
-3332.040000
-0.0084577199
N/A
DFE
CORP
ZA
N
2
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
-7090000.000000
ZAR
372813.910000
USD
2023-07-14
-3332.040000
N
N
N
Vnet Group Inc
529900672GYJQ3T38I58
VNET GROUP INC
90138VAB3
280000.000000
PA
USD
215392.800000
0.5467317254
Long
DBT
CORP
KY
N
2
2026-02-01
None
0.0
N
N
N
N
N
Vnet Group Inc
Vnet Group Inc
USD
XXXX
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
UNITED STATES TREASURY BILL
912796XQ7
1575000.000000
PA
USD
1572788.430000
3.9922101943
Long
DBT
UST
US
N
2
2023-07-13
None
0.0
N
N
N
N
N
N
Venture Global Calcasieu Pass LLC
549300GKHS6RS20NLH85
VENTURE GLOBAL CALCASIEU PASS LLC
92328MAA1
165000.000000
PA
USD
143550.000000
0.3643730857
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.875
N
N
N
N
N
N
Venture Global Calcasieu Pass LLC
549300GKHS6RS20NLH85
VENTURE GLOBAL CALCASIEU PASS LLC
92328MAB9
135000.000000
PA
USD
115762.500000
0.2938400511
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.125
N
N
N
N
N
N
Venture Global LNG Inc
54930011XLBUWMQUC829
VENTURE GLOBAL LNG INC
92332YAB7
610000.000000
PA
USD
610762.500000
1.5502989673
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
8.375
N
N
N
N
N
N
Verus Securitization Trust 2021-2
N/A
VERUS SECURITIZATION TRUST 2021-2
92538FAD6
150000.000000
PA
USD
101969.720000
0.2588298260
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
2.187
N
N
N
N
N
N
Verus Securitization Trust 2021-6
N/A
VERUS SECURITIZATION TRUST 2021-6
92538MAA7
266958.600000
PA
USD
219025.650000
0.5559529916
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.63
N
N
N
N
N
N
Verus Securitization Trust 2022-4
N/A
VERUS SECURITIZATION TRUST 2022-4
92538NAB3
251966.680000
PA
USD
236227.680000
0.5996169188
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
4.713
N
N
N
N
N
N
Verus Securitization Trust 2023-1
N/A
VERUS SECURITIZATION TRUST 2023-1
92539BAC6
481023.370000
PA
USD
478674.050000
1.2150187436
Long
ABS-MBS
CORP
US
N
2
2067-12-25
Variable
6.9
N
N
N
N
N
N
Verus Securitization Trust 2023-INV1
N/A
VERUS SECURITIZATION TRUST 2023-INV1
92539FAD5
600000.000000
PA
USD
597695.100000
1.5171299749
Long
ABS-MBS
CORP
US
N
2
2068-02-25
Variable
7.632
N
N
N
N
N
N
Verus Securitization Trust 2021-3
N/A
VERUS SECURITIZATION TRUST 2021-3
92539LAA8
334617.820000
PA
USD
279071.030000
0.7083662301
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
1.046
N
N
N
N
N
N
Vistra Corp
549300KP43CPCUJOOG15
VISTRA CORP
92840MAB8
170000.000000
PA
USD
158312.500000
0.4018447519
Long
DBT
CORP
US
N
2
N/A
Variable
8.0
N
N
N
N
N
N
Vistra Corp
549300KP43CPCUJOOG15
VISTRA CORP
92840MAC6
100000.000000
PA
USD
87250.000000
0.2214667484
Long
DBT
CORP
US
N
2
N/A
Variable
7.0
N
N
N
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
GBP/USD FWD 20230825 MRMDUS33
000000000
1.000000
NC
USD
-12226.620000
-0.0310348398
N/A
DFE
CORP
GB
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-575000.000000
GBP
718204.560000
USD
2023-08-25
-12226.620000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
GBP/USD FWD 20230825 CHASGB2L
000000000
1.000000
NC
USD
5313.650000
0.0134876423
N/A
DFE
CORP
GB
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-485771.870000
USD
386585.600000
GBP
2023-08-25
5313.650000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/GBP FWD 20230825 CHASGB2L
000000000
1.000000
NC
USD
-74.580000
-0.0001893065
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-5118.920000
GBP
6428.060000
USD
2023-08-25
-74.580000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
GBP/USD FWD 20230825 ROYCGB2L
000000000
1.000000
NC
USD
-16662.930000
-0.0422955292
N/A
DFE
CORP
GB
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-630000.000000
GBP
783635.580000
USD
2023-08-25
-16662.930000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/CHF FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
352.310000
0.0008942688
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-160000.000000
CHF
179520.220000
USD
2023-07-21
352.310000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
NOK/USD FWD 20230721 CIBCCATT
000000000
1.000000
NC
USD
-8202.590000
-0.0208206411
N/A
DFE
CORP
NO
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
-6335000.000000
NOK
582479.290000
USD
2023-07-21
-8202.590000
N
N
N
Arcos Dorados Holdings Inc
54930023P2MIZN13DQ85
ARCOS DORADOS HOLDINGS INC
000000000
32223.000000
NS
USD
330285.750000
0.8383645969
Long
EC
CORP
VG
N
1
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
EJ1291206
21390000.000000
PA
1121728.490000
2.8472843694
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75
N
N
N
N
N
N
EURO STOXX 50 PRICE EUR
N/A
SX5E 09/15/23 P3850
000000000
114.000000
NC
17042.360000
0.0432586367
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
-70566.070000
N
N
N
S&P 500 INDEX
N/A
SPX US 08/18/23 P3950
000000000
12.000000
NC
USD
8400.000000
0.0213217271
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
-9658.200000
N
N
N
EURO STOXX 50 PRICE EUR
N/A
SX5E 09/15/23 P4375
000000000
-29.000000
NC
-25489.890000
-0.0647010092
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
37676.010000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/EUR FWD 20230825 SBOSGB2X
000000000
1.000000
NC
USD
74.220000
0.0001883927
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-27607.130000
EUR
30282.920000
USD
2023-08-25
74.220000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
EUR/USD FWD 20230825 SBOSGB2X
000000000
1.000000
NC
USD
5306.600000
0.0134697472
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-286008.660000
USD
266227.180000
EUR
2023-08-25
5306.600000
N
N
N
Suriname Government International Bond
254900SYU4G5JM13TN77
SURINAME GOVERNMENT INTERNATIONAL BOND
QZ9321253
285000.000000
PA
USD
242250.000000
0.6149033787
Long
DBT
NUSS
SR
N
2
2026-10-26
Fixed
9.25
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
KAISA GROUP HOLDINGS LTD
ZQ1490049
985000.000000
PA
USD
65657.740000
0.1666590966
Long
DBT
CORP
KY
N
2
2022-10-22
Fixed
11.95
N
N
N
N
N
N
N/A
N/A
10YR MINI JGB FUT SEP23
000000000
-50.000000
NC
-21623.330000
-0.0548865167
N/A
DIR
CORP
SG
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
Japan Government Ten Year Bond
JAPAN (10 YEAR ISSUE)
2023-09-11
-5319134.160000
USD
-21623.330000
N
N
N
Angolan Government International Bond
549300QHR2R3J8JSGK83
ANGOLAN GOVERNMENT INTERNATIONAL BOND
ZQ6807692
215000.000000
PA
USD
182744.630000
0.4638608480
Long
DBT
NUSS
AO
N
2
2029-11-26
Fixed
8.0
N
N
N
N
N
N
Ivory Coast Government International Bond
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND
ZQ0748892
295000.000000
PA
270380.050000
0.6863059083
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.875
N
N
N
N
N
N
Heartland Dental LLC
5493008FRC0GRKBN1075
HEARTLAND DENTAL LLC
42236WAH0
619206.120000
PA
USD
608883.950000
1.5455306423
Long
LON
CORP
US
N
2
2025-04-30
Floating
8.95188
N
N
N
N
N
N
William Morris Endeavor Entertainment LLC
5493008R7J9HEQ30DZ33
WILLIAM MORRIS ENDEAVOR EN
96925HAF9
747867.974000
PA
USD
745183.130000
1.8914989655
Long
LON
CORP
US
N
2
2025-05-18
Floating
7.95
N
N
N
N
N
N
Tacala Investment Corp
549300XTM341KBSTDI88
TACALA INVESTMENT CORP
873412AA8
347208.082000
PA
USD
340656.270000
0.8646880966
Long
LON
CORP
US
N
2
2027-02-05
Floating
12.65371
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
ASURION LLC
04649VAZ3
185904.200000
PA
USD
157670.930000
0.4002162542
Long
LON
CORP
US
N
2
2028-01-31
Floating
10.45249
N
N
N
N
N
N
Jones Deslauriers Insurance Management Inc
549300JQIWNFU00E5424
JONES DESLAURIERS INSURA
000000000
137208.105000
PA
99947.780000
0.2536975340
Long
LON
CORP
CA
N
3
2028-03-27
Floating
9.2925
N
N
N
N
N
N
Diamond BC BV
549300SWLHWJF3D4N658
DIAMOND BC BV
000000000
265950.000000
PA
USD
265521.820000
0.6739742590
Long
LON
CORP
NL
N
2
2028-09-29
Floating
8.05703
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
ASURION LLC
04649VBC3
560406.016000
PA
USD
532038.260000
1.3504731627
Long
LON
CORP
US
N
2
2028-08-19
Floating
9.45249
N
N
N
N
N
N
Ecuador Government International Bond
5299003Y2U5XK0A35H71
ECUADOR GOVERNMENT INTERNATIONAL BOND
ZO2094456
495000.000000
PA
USD
240485.200000
0.6104237854
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
5.5
N
N
N
N
N
N
Global-e Online Ltd
N/A
GLOBAL-E ONLINE LTD
000000000
5470.000000
NS
USD
223941.800000
0.5684316592
Long
EC
CORP
IL
N
1
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
NOK/USD FWD 20230721 CHASGB2L
000000000
1.000000
NC
USD
3542.450000
0.0089918038
N/A
DFE
CORP
NO
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-587139.430000
USD
6335000.000000
NOK
2023-07-21
3542.450000
N
N
N
Sri Lanka Government International Bond
254900HXCCIOHM74FA02
SRI LANKA GOVERNMENT INTERNATIONAL BOND
QJ4365756
410000.000000
PA
USD
195375.110000
0.4959208060
Long
DBT
NUSS
LK
N
2
2025-11-03
Fixed
6.85
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA
UV9578161
200000.000000
PA
USD
188250.000000
0.4778351333
Long
DBT
CORP
FR
N
2
N/A
Variable
8.0
N
N
N
N
N
N
Cologix Canadian Issuer LP
N/A
COLOGIX CANADIAN ISSUER LP
19521DAD3
250000.000000
PA
170820.910000
0.4335948595
Long
ABS-O
CORP
CA
N
2
2052-01-25
Fixed
4.94
N
N
N
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/GBP FWD 20230825 BOFAUS6N
000000000
1.000000
NC
USD
7000.570000
0.0177695527
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-524710.980000
USD
418566.660000
GBP
2023-08-25
7000.570000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
EUR/USD FWD 20230825 UBSWGB2L
000000000
1.000000
NC
USD
-2893.160000
-0.0073437105
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-275000.000000
EUR
298021.630000
USD
2023-08-25
-2893.160000
N
N
N
N/A
N/A
S&P500 EMINI FUT SEP23
000000000
-4.000000
NC
USD
-24284.090000
-0.0616403261
N/A
DE
CORP
US
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
S&P 500 INDEX
S&P 500 INDEX
2023-09-15
-873365.920000
USD
-24284.090000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/CNH FWD 20230714 ROYCGB2L
000000000
1.000000
NC
USD
12845.880000
0.0326067080
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-2745000.000000
CNY
390868.630000
USD
2023-07-14
12845.880000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) SEP23
000000000
28.000000
NC
USD
-57172.640000
-0.1451213602
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
3055797.640000
USD
-57172.640000
N
N
N
STATE STREET BANK & TRUST
571474TGEMMWANRLN572
USD/CNH FWD 20230714 997
000000000
1.000000
NC
USD
29615.990000
0.0751742923
N/A
DFE
CORP
US
N
2
STATE STREET BANK & TRUST
571474TGEMMWANRLN572
-5465000.000000
CNY
782218.660000
USD
2023-07-14
29615.990000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
INR/USD FWD 20230707 BNPAFRPP
000000000
1.000000
NC
USD
-649.800000
-0.0016493879
N/A
DFE
CORP
IN
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-6125000.000000
INR
73987.100000
USD
2023-07-07
-649.800000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
JPY/USD FWD 20230721 BARCGB5G
000000000
1.000000
NC
USD
-37781.800000
-0.0959015747
N/A
DFE
CORP
JP
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-994671.380000
USD
137610000.000000
JPY
2023-07-21
-37781.800000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
MXN/USD FWD 20230714 ROYCGB2L
000000000
1.000000
NC
USD
-388.820000
-0.0009869421
N/A
DFE
CORP
MX
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-219161.720000
USD
3755445.710000
MXN
2023-07-14
-388.820000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
CAD/USD FWD 20230721 ROYCGB2L
000000000
1.000000
NC
USD
-2890.860000
-0.0073378724
N/A
DFE
CORP
CA
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-368811.280000
CAD
275602.510000
USD
2023-07-21
-2890.860000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/PLN FWD 20230818 BNPAFRPP
000000000
1.000000
NC
USD
-10761.690000
-0.0273164068
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-1545000.000000
PLN
368278.910000
USD
2023-08-18
-10761.690000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
MXN/USD FWD 20230714 BNPAFRPP
000000000
1.000000
NC
USD
54536.800000
0.1384308053
N/A
DFE
CORP
MX
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-804589.410000
USD
14747721.670000
MXN
2023-07-14
54536.800000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/MXN FWD 20231013 ROYCGB2L
000000000
1.000000
NC
USD
277.770000
0.0007050638
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-3755445.710000
MXN
215403.120000
USD
2023-10-13
277.770000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
MXN/USD FWD 20230714 BOFAUS6N
000000000
1.000000
NC
USD
-57371.230000
-0.1456254413
N/A
DFE
CORP
MX
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-14747721.670000
MXN
801754.980000
USD
2023-07-14
-57371.230000
N
N
N
N/A
N/A
KOREA 10YR BND FU SEP23
000000000
28.000000
NC
-4855.610000
-0.0123249989
N/A
DIR
CORP
KR
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
Korea Treasury Bond
KOREA
2023-09-19
2417722.990000
USD
-4855.610000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
CAD/USD FWD 20230721 BNPAFRPP
000000000
1.000000
NC
USD
-7399.520000
-0.0187822078
N/A
DFE
CORP
CA
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-475000.000000
CAD
351278.100000
USD
2023-07-21
-7399.520000
N
N
N
Tesla Inc
54930043XZGB27CTOV49
ICE - TESLA INC CDS 06/20/2026
000000000
1.000000
NC
USD
-145.690000
-0.0003698050
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Tesla Inc
TESLA INC CB 2
Y
Default Event
2026-06-20
25228.940000
USD
0.000000
USD
-640000.000000
USD
-25374.630000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
JAGUAR LAND ROVER AUTOMO CDS 6/20/2025
000000000
1.000000
NC
10261.660000
0.0260471802
N/A
DCR
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
BARCLAYS
JAGUAR LAND ROVER AUTOMO
Y
Default Event
2025-06-20
0.000000
USD
-14700.710000
USD
210000.000000
EUR
24962.370000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S37 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-159773.640000
-0.4055535648
N/A
DCR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA
MARKIT CDX NA HY
Y
Default Event
2026-12-21
0.000000
USD
-129670.090000
USD
-1350000.000000
USD
-30103.550000
N
N
N
Marriott International Inc/MD
225YDZ14ZO8E1TXUSU86
ICE_MARRIOTT INTERNATIONAL CDS 12/20/2026
000000000
1.000000
NC
USD
-28140.210000
-0.0714283187
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Marriott International Inc/MD
MARRIOTT INTERNATIONAL
Y
Default Event
2026-12-20
0.000000
USD
-1216.870000
USD
-1650000.000000
USD
-26923.340000
N
N
N
N/A
N/A
ICE_MACY'S INC CDS 06/20/2027
000000000
1.000000
NC
USD
-112223.430000
-0.2848568267
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Macy s Retail Holdings LLC
MACY S RETAIL HLDGS LLC
Y
Default Event
2027-06-21
0.000000
USD
-162939.190000
USD
1585000.000000
USD
50715.760000
N
N
N
FedEx Corp
549300E707U7WNPZN687
ICE_FEDEX CORP CDS 06/20/2027
000000000
1.000000
NC
USD
4829.100000
0.0122577086
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
FedEx Corp
FEDEX CORP
Y
Default Event
2027-06-21
2997.490000
USD
0.000000
USD
240000.000000
USD
1831.610000
N
N
N
Goodyear Tire & Rubber Co/The
5493002BI0S2ZQUY3437
ICE_GOODYEAR TIRE & RUBBER CDS 06/20/2027
000000000
1.000000
NC
USD
64765.430000
0.1643941454
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Goodyear Tire & Rubber Co/The
GOODYEAR TIRE & RUBBER
Y
Default Event
2027-06-21
33653.880000
USD
0.000000
USD
925000.000000
USD
31111.550000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S37 V3 5Y PRC 12/20/2026
000000000
1.000000
NC
USD
359505.490000
0.9125330876
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
MARKIT CDX NA HY
Y
Default Event
2026-12-20
0.000000
USD
-106695.030000
USD
7129500.000000
USD
466200.520000
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
ICE_APACHE CORP CDS 06/20/2027
000000000
1.000000
NC
USD
12872.730000
0.0326748614
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Apache Corp
APACHE CORP
Y
Default Event
2027-06-20
35271.880000
USD
0.000000
USD
-700000.000000
USD
-22399.150000
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ICE_CONOCOPHILLIPS CDS 06/20/2027
000000000
1.000000
NC
USD
-14322.320000
-0.0363543569
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
ConocoPhillips
CONOCOPHILLIPS
Y
Default Event
2027-06-20
0.000000
USD
-10437.180000
USD
-635000.000000
USD
-3885.140000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
SWAPTION_IRS_USD_OTC_E_PAYER_K_2.66_EFF_2022-07-06_MAT_2023-07-06
000000000
1.000000
NC
USD
62725.330000
0.1592157579
N/A
DIR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
N/A
B4TYDEB6GKMZO031MB27
USD SOFR IRS 07/10/2053 PAY FIX
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
N/A
USD SOFR IRS 07/10/2053 PAY FIX
2053-07-10
0.000000
USD
0.000000
USD
N/A
USD
640000
2.66
USD
2023-07-06
XXXX
20549.330000
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
ICE_DELTA AIR LINES INC CDS 06/20/2027
000000000
1.000000
NC
USD
-42821.230000
-0.1086931641
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Delta Air Lines Inc
DELTA AIR LINES INC
Y
Default Event
2027-06-21
0.000000
USD
-6244.420000
USD
-335000.000000
USD
-36576.810000
N
N
N
N/A
N/A
ICE_CDX IG CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
12169.880000
0.0308908166
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
MARKIT CDX NA
Y
Default Event
2027-12-20
4668.800000
USD
0.000000
USD
814000.000000
USD
7501.080000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S39 V2 5Y PRC 12/20/2027
000000000
1.000000
NC
USD
88995.580000
0.2258975555
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
MARKIT CDX NA HY
Y
Default Event
2027-12-20
0.000000
USD
-5230.350000
USD
2645280.000000
USD
94225.930000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S37 V2 5Y 25-35 12/20/2026
000000000
1.000000
NC
USD
-574001.600000
-1.4569887439
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
-93514.150000
USD
-4850000.000000
USD
-480487.450000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
AVIS BUDGET CAR RENTAL CDS 12/20/2027
000000000
1.000000
NC
USD
-58269.470000
-0.1479054447
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
CITIBANK N A
AVIS BUDGET CAR/FINANCE
Y
Default Event
2027-12-20
19279.320000
USD
0.000000
USD
-750000.000000
USD
-77548.790000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
AVIS BUDGET GROUP INC CDS 12/20/2027
000000000
1.000000
NC
USD
-25984.420000
-0.0659562751
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Avis Budget Car Rental LLC / Avis Budget Finance Inc
AVIS BUDGET CAR/FINANCE 144A
Y
Default Event
2027-12-20
0.000000
USD
-13102.310000
USD
-325000.000000
USD
-12882.110000
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
ICE_IRON MOUNTAIN INC CDS 12/20/2027
000000000
1.000000
NC
USD
-36502.777732
-0.0926550314
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Iron Mountain Inc
IRON MOUNTAIN INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-34131.151918
USD
-282000.000000
USD
-2371.625814
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
ICE_IRON MOUNTAIN INC CDS 12/20/2027
000000000
1.000000
NC
USD
-26276.822268
-0.0666984801
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Iron Mountain Inc
IRON MOUNTAIN INC 144A
Y
Default Event
2027-12-20
0.000000
USD
-24569.588082
USD
-203000.000000
USD
-1707.234186
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-4727.830000
-0.0120006549
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
-3041.900000
USD
-31000.000000
USD
-1685.930000
N
N
N
American Axle & Manufacturing Inc
RY5TAKFOBLDUGX31MS24
ICE_AMERICAN AXLE & MANUFAC CDS 12/20/2027
000000000
1.000000
NC
USD
-16562.150000
-0.0420397193
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
American Axle & Manufacturing Inc
AMERICAN AXLE & MFG INC
Y
Default Event
2027-12-20
0.000000
USD
-3746.580000
USD
-1050000.000000
USD
-12815.570000
N
N
N
Murphy Oil Corp
QBKYQD0ODE7DC7PDIN91
ICE_MURPHY OIL CORP CDS 12/20/2027
000000000
1.000000
NC
USD
29916.910000
0.0759381178
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Murphy Oil Corp
MURPHY OIL CORPORATION
Y
Default Event
2027-12-20
48674.990000
USD
0.000000
USD
-745000.000000
USD
-18758.080000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-3050.220000
-0.0077423760
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
-2352.960000
USD
-20000.000000
USD
-697.260000
N
N
N
Altice Finco SA
549300IGQP5SEZB5Z419
ICE_ALTICE FINCO SA CDS 12/20/2027
000000000
1.000000
NC
141265.740000
0.3585749466
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Altice Finco SA
ALTICE FINCO SA
Y
Default Event
2027-12-20
89802.350000
USD
0.000000
USD
-740000.000000
EUR
51463.390000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
EGYPT CDS 12/20/2024
000000000
1.000000
NC
USD
49774.520000
0.1263427060
N/A
DCR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Egypt Government International Bond
EGYPT
Y
Default Event
2024-12-20
25377.960000
USD
0.000000
USD
-290000.000000
USD
24396.560000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-8388.100000
-0.0212915213
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
-6473.950000
USD
-55000.000000
USD
-1914.150000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-8388.100000
-0.0212915213
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
-6826.960000
USD
-55000.000000
USD
-1561.140000
N
N
N
N/A
N/A
CME - USD SOFR IRS 2/8/33 PAY FIX
000000000
1.000000
NC
USD
16770.990000
0.0425698180
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2033-02-08
250.000000
USD
0.000000
USD
-705000.000000
USD
16520.990000
N
N
N
N/A
N/A
CME - USD SOFR IRS 3/3/53 PAY FIX
000000000
1.000000
NC
USD
-6961.140000
-0.0176694675
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2053-03-03
0.000000
USD
0.000000
USD
-474000.000000
USD
-6961.140000
N
N
N
N/A
N/A
CME - USD SOFR IRS 3/3/33 PAY FIX
000000000
1.000000
NC
USD
-2154.690000
-0.0054692514
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2033-03-03
0.000000
USD
0.000000
USD
-219000.000000
USD
-2154.690000
N
N
N
N/A
N/A
ICE_DISH DBS CORP CDS 06/20/2026
000000000
1.000000
NC
USD
-74760.740000
-0.1897652492
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
DISH DBS Corp
DISH DBS CORP
Y
Default Event
2026-06-20
0.000000
USD
-40850.000000
USD
215000.000000
USD
-33910.740000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
ICE_CITIGROUP INC CDS 12/20/2027
000000000
1.000000
NC
USD
-8080.720000
-0.0205112984
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Citigroup Inc
CITIGROUP INC
Y
Default Event
2027-12-20
605.640000
USD
0.000000
USD
-720000.000000
USD
-8686.360000
N
N
N
N/A
N/A
ICE_ITRX EUR SUBFIN CDSI S39 5Y 06/20/2028 BOFA
000000000
1.000000
NC
50726.830000
0.1287599552
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
MARKIT ITRX SUBFIN
Y
Default Event
2028-06-20
92669.630000
USD
0.000000
USD
-1775000.000000
EUR
-41942.800000
N
N
N
N/A
N/A
ICE_ITRX XOVER CDSI S39 5Y 06/20/2028
000000000
1.000000
NC
83456.540000
0.2118378057
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
ITRAXX EUROPE XOVER
Y
Default Event
2028-06-20
54798.370000
USD
0.000000
USD
1847000.000000
EUR
28658.170000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
CARNIVAL CORP CDS 06/20/2029
000000000
1.000000
NC
USD
-197809.450000
-0.5020998933
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Carnival Corp
CARNIVAL CORP
Y
Default Event
2029-06-20
0.000000
USD
-375500.330000
USD
1100000.000000
USD
177690.880000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S40 5Y 06/20/2028
000000000
1.000000
NC
USD
52929.900000
0.1343520097
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
MARKIT CDX NA HY
Y
Default Event
2028-06-20
11668.440000
USD
0.000000
USD
1780000.000000
USD
41261.460000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CARNIVAL CORP CDS 06/20/2029
000000000
1.000000
NC
USD
-197809.450000
-0.5020998933
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Carnival Corp
CARNIVAL CORP
Y
Default Event
2029-06-20
0.000000
USD
-382028.980000
USD
1100000.000000
USD
184219.530000
N
N
N
N/A
N/A
CME - USD SOFR IRS 4/6/53 PAY FIX TDOM
000000000
1.000000
NC
USD
18702.040000
0.0474714039
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2053-04-07
0.000000
USD
0.000000
USD
-426000.000000
USD
18702.040000
N
N
N
N/A
N/A
CME - USD SOFR IRS 4/6/28 REC FIX TDOM
000000000
1.000000
NC
USD
-47561.560000
-0.1207255477
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_USD-SOFR-COMPOUND
Y
2028-04-06
0.000000
USD
0.000000
USD
1575000.000000
USD
-47561.560000
N
N
N
N/A
N/A
LCH - NZD IRS 4/11/25 REC FIX UBSW
000000000
1.000000
NC
-58338.040000
-0.1480794960
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_NZD-BBR-FRA
Y
2025-04-11
0.000000
USD
0.000000
USD
11250000.000000
NZD
-58338.040000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
FXO_USD_OTC_E_PUT_JPY_USD_K_127_EFF_2023-04-06_MAT_2023-07-06 BOFA
000000000
1.000000
NC
USD
0.010000
0.0000000254
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA
70LD_FXO_USD_OTC_E_PUT_JPY_USD_K_127_EFF_2023-04-06_MAT_2023-07-06 BOFA
1775000.000
127
USD
2023-07-06
XXXX
-26269.990000
N
N
N
Colombian TES
549300MHDRBVRF6B9117
ICE_COLOMBIA CDS 06/20/2028 GSIL
000000000
1.000000
NC
USD
23855.760000
0.0605530957
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Colombia Government International Bond
COLOMBIA
Y
Default Event
2028-06-20
37149.650000
USD
0.000000
USD
-417000.000000
USD
-13293.890000
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
ICE_METLIFE INC CDS 06/20/2028 BARC
000000000
1.000000
NC
USD
-474.520000
-0.0012044745
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MetLife Inc
METLIFE INC
Y
Default Event
2028-06-20
0.000000
USD
-2740.710000
USD
165000.000000
USD
2266.190000
N
N
N
N/A
N/A
LCH - NZD IRS 5/9/25 REC FIX UBSW
000000000
1.000000
NC
-97092.190000
-0.2464491875
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_NZD-BBR-FRA
Y
2025-05-09
0.000000
USD
0.000000
USD
15490000.000000
NZD
-97092.190000
N
N
N
N/A
N/A
CME - MXN IRS 4/15/2043 PAY FIX MSLN
000000000
1.000000
NC
-21725.950000
-0.0551469972
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_MXN-TIIE-BANXICO
Y
2043-04-15
0.000000
USD
0.000000
USD
-17475000.000000
MXN
-21725.950000
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
ICE_BOMBARDIER INC CDS 06/20/2028 MSLN
000000000
1.000000
NC
USD
-68904.070000
-0.1748992588
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Bombardier Inc
BOMBARDIER INC
Y
Default Event
2028-06-20
0.000000
USD
-58505.610000
USD
-1515000.000000
USD
-10398.460000
N
N
N
N/A
N/A
LCH - NZD IRS 6/1/25 REC FIX UBSW
000000000
1.000000
NC
-52667.570000
-0.1336861372
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_NZD-BBR-FRA
Y
2025-06-02
0.000000
USD
0.000000
USD
14000000.000000
NZD
-52667.570000
N
N
N
N/A
N/A
LCH - NZD IRS 6/2/25 REC FIX UBSW
000000000
1.000000
NC
-30991.780000
-0.0786664612
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
N/A
70LD_NZD-BBR-FRA
Y
2025-06-02
0.000000
USD
0.000000
USD
8000000.000000
NZD
-30991.780000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION_CDX_USD_2I65BYEC5_OTC_E_PAYER_K_1_EFF_2023-06-20_MAT_2023-08-16 CHAS
000000000
1.000000
NC
USD
6748.900000
0.0171307385
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
19724000.0000
82.5
USD
2023-08-16
XXXX
-10016.500000
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
3818.170000
0.0096916641
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
39500000.00
80
USD
2023-07-19
XXXX
-12771.830000
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
4314.740000
0.0109521082
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
1970000.00
99.5
USD
2023-08-16
XXXX
-9672.260000
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
19441.050000
0.0493472336
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
Call
Purchased
UBS SECURITIES LLC
70LD_FXO_USD_OTC_E_CALL_GBP_USD_K_1.2_EFF_2023-06-28_MAT_2024-01-31 UBSW
1970000.00
1.2
USD
2024-01-31
XXXX
-3194.250000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
CLP/USD FWD 20230811 BARCGB5G
000000000
1.000000
NC
USD
-6932.020000
-0.0175955522
N/A
DFE
CORP
CL
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-299835000.000000
CLP
364909.270000
USD
2023-08-11
-6932.020000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
GBP/USD FWD 20230825 SBOSGB2X
000000000
1.000000
NC
USD
6111.950000
0.0155139678
N/A
DFE
CORP
GB
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-525599.600000
USD
418566.660000
GBP
2023-08-25
6111.950000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/CHF FWD 20230721 MSLNGB2X
000000000
1.000000
NC
USD
730.580000
0.0018544318
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-170000.000000
CHF
191096.480000
USD
2023-07-21
730.580000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/MXN FWD 20230714 BNPAFRPP
000000000
1.000000
NC
USD
-40114.620000
-0.1018229737
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-19615300.640000
MXN
1102571.630000
USD
2023-07-14
-40114.620000
N
N
N
N/A
N/A
NASDAQ 100 E-MINI SEP23
000000000
-3.000000
NC
USD
-32103.280000
-0.0814877826
N/A
DE
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
NASDAQ 100 Stock Index
NASDAQ 100 STOCK INDX
2023-09-15
-888116.720000
USD
-32103.280000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/NZD FWD 20230721 BOFAUS6N
000000000
1.000000
NC
USD
-8373.470000
-0.0212543859
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-394969.050000
USD
630000.000000
NZD
2023-07-21
-8373.470000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
INR/USD FWD 20230707 BOFAUS6N
000000000
1.000000
NC
USD
-9635.340000
-0.0244573916
N/A
DFE
CORP
IN
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-103215000.000000
INR
1248103.020000
USD
2023-07-07
-9635.340000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/INR FWD 20230707 CHASGB2L
000000000
1.000000
NC
USD
-297.500000
-0.0007551445
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-6885000.000000
INR
83600.470000
USD
2023-07-07
-297.500000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
GBP/USD FWD 20230825 SCBLGB2L
000000000
1.000000
NC
USD
-8539.600000
-0.0216760739
N/A
DFE
CORP
GB
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-330000.000000
GBP
410664.380000
USD
2023-08-25
-8539.600000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
GBP/USD FWD 20230825 BARCGB5G
000000000
1.000000
NC
USD
10401.710000
0.0264026692
N/A
DFE
CORP
GB
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-594776.400000
USD
476400.000000
GBP
2023-08-25
10401.710000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
GBP/USD FWD 20230825 BNPAFRPP
000000000
1.000000
NC
USD
8102.230000
0.0205658972
N/A
DFE
CORP
GB
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-588945.870000
USD
470000.000000
GBP
2023-08-25
8102.230000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/GBP FWD 20230825 BNPAFRPP
000000000
1.000000
NC
USD
-13525.340000
-0.0343313819
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-630000.000000
GBP
786773.170000
USD
2023-08-25
-13525.340000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
EUR/USD FWD 20230825 BARCGB5G
000000000
1.000000
NC
USD
-213.590000
-0.0005421557
N/A
DFE
CORP
US
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-20000.000000
EUR
21671.120000
USD
2023-08-25
-213.590000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
NZD/USD FWD 20230721 SCBLGB2L
000000000
1.000000
NC
USD
-1093.870000
-0.0027765711
N/A
DFE
CORP
NZ
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-135000.000000
NZD
81748.040000
USD
2023-07-21
-1093.870000
N
N
N
N/A
N/A
EURO-BUND FUTURE SEP23
000000000
8.000000
NC
1300.540000
0.0033011618
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Long
Bundesrepublik Deutschland Bundesanleihe
GERMANY
2023-09-07
1163684.660000
USD
1300.540000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/AUD FWD 20230721 ROYCGB2L
000000000
1.000000
NC
USD
-8684.450000
-0.0220437467
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-641942.550000
USD
950000.000000
AUD
2023-07-21
-8684.450000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC23
000000000
78.000000
NC
USD
-55619.304000
-0.1411785261
N/A
DIR
CORP
US
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Long
United States 90 Day Average SOFR Secured Overnight Financing Rate
US 90 DAY AVERAGE SOFR
2024-03-19
18510419.304000
USD
-55619.304000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC23
000000000
78.000000
NC
USD
-55619.304000
-0.1411785261
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
United States 90 Day Average SOFR Secured Overnight Financing Rate
US 90 DAY AVERAGE SOFR
2024-03-19
18510419.304000
USD
-55619.304000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC23
000000000
79.000000
NC
USD
-56332.372000
-0.1429885072
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Long
United States 90 Day Average SOFR Secured Overnight Financing Rate
US 90 DAY AVERAGE SOFR
2024-03-19
18747732.372000
USD
-56332.372000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC24
000000000
-78.000000
NC
USD
89437.979745
0.2270204992
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
United States 90 Day Average SOFR Secured Overnight Financing Rate
US 90 DAY AVERAGE SOFR
2025-03-18
-18804562.979745
USD
89437.979745
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC24
000000000
-79.000000
NC
USD
90584.620511
0.2299310184
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
2025-03-18
-19045647.120511
USD
90584.620511
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC24
000000000
-78.000000
NC
USD
89437.979745
0.2270204992
N/A
DIR
CORP
US
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Short
United States 90 Day Average SOFR Secured Overnight Financing Rate
US 90 DAY AVERAGE SOFR
2025-03-18
-18804562.979745
USD
89437.979745
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
INR/USD FWD 20230707 UBSWGB2L
000000000
1.000000
NC
USD
276.630000
0.0007021702
N/A
DFE
CORP
IN
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-1415996.590000
USD
116225000.000000
INR
2023-07-07
276.630000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
EUR/USD FWD 20230825 BNPAFRPP
000000000
1.000000
NC
USD
251.880000
0.0006393472
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-1010000.000000
EUR
1105429.850000
USD
2023-08-25
251.880000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
AUD/USD FWD 20230721 CIBCCATT
000000000
1.000000
NC
USD
-3423.930000
-0.0086909644
N/A
DFE
CORP
AU
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
-1365000.000000
AUD
906467.970000
USD
2023-07-21
-3423.930000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
MXN/USD FWD 20230714 CHASGB2L
000000000
1.000000
NC
USD
-140.510000
-0.0003566567
N/A
DFE
CORP
MX
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-48962.270000
USD
838072.080000
MXN
2023-07-14
-140.510000
N
N
N
N/A
N/A
BONA FIDE INVSTMNT HLDNG LLC A
TC1FCHS82
0.000000
NS
USD
6942.690000
0.0176226359
Long
EC
CORP
US
Y
N/A
N
N
N
N/A
N/A
BONA FIDE INVSTMNT HLDNG LLC A 6/2023 PP
000000000
0.000000
NS
USD
15610.310000
0.0396236630
Long
EC
CORP
US
Y
N/A
N
N
N
Altera Infrastructure LP/Teekay Offshore Finance Corp
N/A
TEEKAY OFFSHORE PARTNERS Dummy
000000000
639.000000
NS
USD
16454.700000
0.0417669788
Long
EC
CORP
US
Y
3
N
N
N
N/A
N/A
US 10YR NOTE (CBT)SEP23
000000000
38.000000
NC
USD
-65530.350000
-0.1663357425
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
4331624.290000
USD
-65530.350000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
CAD/USD FWD 20230721 ROYCGB2L
000000000
1.000000
NC
USD
4479.270000
0.0113697348
N/A
DFE
CORP
CA
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-724202.630000
USD
965000.000000
CAD
2023-07-21
4479.270000
N
N
N
Kosmos Energy Ltd
213800YDFJ3OT9B5P157
KOSMOS ENERGY LTD
AX6867490
305000.000000
PA
USD
268503.700000
0.6815431675
Long
DBT
CORP
US
N
2
2026-04-04
Fixed
7.125
N
N
N
N
N
N
N/A
N/A
US 10YR ULTRA FUT SEP23
000000000
34.000000
NC
USD
-19477.098652
-0.0494387359
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
4046352.098652
USD
-19477.098652
N
N
N
N/A
N/A
US 10YR ULTRA FUT SEP23
000000000
14.000000
NC
USD
-8019.981798
-0.0203571265
N/A
DIR
CORP
US
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-20
1666144.981798
USD
-8019.981798
N
N
N
N/A
N/A
US 10YR ULTRA FUT SEP23
000000000
41.000000
NC
USD
-23487.089551
-0.0596172992
N/A
DIR
CORP
US
N
1
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Long
United States Treasury Note/Bond
US TREASURY N/B
2023-09-20
4879424.589551
USD
-23487.089551
N
N
N
N/A
N/A
US ULTRA BOND CBT SEP23
000000000
-1.000000
NC
USD
1342.330000
0.0034072374
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
-137561.080000
USD
1342.330000
N
N
N
Benteler International AG
529900ZAFSOBVFCKF263
BENTELER INTERNATIONAL AG
ZK3495981
260000.000000
PA
286725.020000
0.7277943594
Long
DBT
CORP
AT
N
2
2028-05-15
Fixed
9.375
N
N
N
N
N
N
IPD 3 BV
724500RBP2J59JMQB629
IPD 3 BV
ZK9020064
275000.000000
PA
305997.580000
0.7767139146
Long
DBT
CORP
NL
N
2
2028-06-15
Fixed
8.0
N
N
N
N
N
N
2023-06-30
T. ROWE PRICE INTERNATIONAL FUNDS, INC.
/s/ Alan Dupski
Alan Dupski
Treasurer & Vice President