0000313212-24-000158.txt : 20240226
0000313212-24-000158.hdr.sgml : 20240226
20240226093600
ACCESSION NUMBER: 0000313212-24-000158
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240226
DATE AS OF CHANGE: 20240226
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price International Funds, Inc.
CENTRAL INDEX KEY: 0000313212
ORGANIZATION NAME:
IRS NUMBER: 521175211
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02958
FILM NUMBER: 24673994
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
C000219340
C000151117
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
2023-12-31
N
4260169389.459999
305543739.030000
3954625650.429999
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
336946582.340000
KRW
AUD
EUR
JPY
INR
NZD
CZK
CAD
USD
GBP
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
ABBVIE INC
00287YCX5
8490000.000000
PA
USD
8377439.580000
0.2118390038
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.8
N
N
N
N
N
N
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
N/A
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
00774MAW5
13050000.000000
PA
USD
11867970.150000
0.3001035041
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.0
N
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
13054065.580000
0.3300961136
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
00774MBE4
7225000.000000
PA
USD
7578172.450000
0.1916280609
Long
DBT
CORP
IE
N
2
2030-09-30
Fixed
6.15
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC
02005NAV2
6960000.000000
PA
USD
6908134.080000
0.1746849055
Long
DBT
CORP
US
N
2
2024-09-30
Fixed
5.125
N
N
N
N
N
N
American Electric Power Co Inc
1B4S6S7G0TW5EE83BO58
AMERICAN ELECTRIC POWER CO INC
02557TAD1
8363000.000000
PA
USD
8418655.770000
0.2128812311
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.699
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
6664125.000000
0.1685146861
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
05401AAF8
4875000.000000
PA
USD
4808490.380000
0.1215915438
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95
N
N
N
N
N
N
Avolon Holdings Funding Ltd
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD
05401AAH4
8048000.000000
PA
USD
7769112.660000
0.1964563361
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.875
N
N
N
N
N
N
Avolon Holdings Funding Ltd
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD
05401AAS0
9735000.000000
PA
USD
9904204.040000
0.2504460577
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
6778735.840000
0.1714128324
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
5435815.010000
0.1374546036
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
7.558
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA
05964HAP0
8000000.000000
PA
USD
7833632.000000
0.1980878266
Long
DBT
CORP
ES
N
2
2025-03-24
Fixed
3.496
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP
06051GJG5
8238000.000000
PA
USD
7968048.980000
0.2014868077
Long
DBT
CORP
US
N
2
2025-09-25
Variable
0.981
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP
06051GJR1
8050000.000000
PA
USD
7924540.750000
0.2003866219
Long
DBT
CORP
US
N
2
2025-04-22
Variable
0.976
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP
06051GKG3
8050000.000000
PA
USD
8003326.100000
0.2023788547
Long
DBT
CORP
US
N
2
2025-02-04
Variable
1.843
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP
06051GKS7
8049000.000000
PA
USD
8018574.780000
0.2027644457
Long
DBT
CORP
US
N
2
2025-04-25
Variable
3.841
N
N
N
N
N
N
BANK 2020-BNK25
N/A
BANK 2020-BNK25
06539WBE5
8515000.000000
PA
USD
7131540.700000
0.1803341537
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
7713686.250000
0.1950547772
Long
DBT
CORP
GB
N
2
N/A
Variable
6.125
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC
06738EBZ7
8490000.000000
PA
USD
8432836.830000
0.2132398253
Long
DBT
CORP
GB
N
2
2026-08-09
Variable
5.304
N
N
N
N
N
N
Benchmark 2020-B16 Mortgage Trust
N/A
BENCHMARK 2020-B16 MORTGAGE TRUST
08161NAH0
5730000.000000
PA
USD
4843818.830000
0.1224848888
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
2.944
N
N
N
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE
097023CT0
9149000.000000
PA
USD
9103492.870000
0.2301985997
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.875
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
EUR/USD FWD 20240119 SCBLGB2L
000000000
1.000000
NC
USD
-41976.680000
-0.0010614577
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-10119313.670000
EUR
11139017.680000
USD
2024-01-19
-41976.680000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
PHP/USD FWD 20240308 SCBLGB2L
000000000
1.000000
NC
USD
-20597.740000
-0.0005208518
N/A
DFE
CORP
PH
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-1683178000.000000
PHP
30381725.960000
USD
2024-03-08
-20597.740000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
GBP/USD FWD 20240223 SBOSGB2X
000000000
1.000000
NC
USD
-2759949.380000
-0.0697904081
N/A
DFE
CORP
GB
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-92421519.330000
GBP
115079478.940000
USD
2024-02-23
-2759949.380000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
HUF/USD FWD 20240223 DEUTGB2L
000000000
1.000000
NC
USD
12316.120000
0.0003114358
N/A
DFE
CORP
HU
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-2991297.960000
USD
1049043200.000000
HUF
2024-02-23
12316.120000
N
N
N
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
TRS/JP/9984/TONACOMPOUND/19000102/103877518CA_C/MSLNGB2XXXX
000000000
1.000000
NC
-402939.020000
-0.0101890559
N/A
DE
CORP
JP
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
SoftBank Group Corp
SOFTBANK GROUP CORP
Y
Equity Performance Leg
2026-01-20
0.000000
USD
0.000000
USD
-1686984800.000000
JPY
-402939.020000
N
N
N
Braskem Netherlands Finance BV
2549000TLMHFQ74DS330
BRASKEM NETHERLANDS FINANCE BV
10554TAE5
17530000.000000
PA
USD
12167287.260000
0.3076722890
Long
DBT
CORP
NL
N
2
2050-01-31
Fixed
5.875
N
N
N
N
N
Braskem Netherlands Finance BV
2549000TLMHFQ74DS330
BRASKEM NETHERLANDS FINANCE BV
10554TAG0
13800000.000000
PA
USD
11635516.920000
0.2942254956
Long
DBT
CORP
NL
N
2
2033-02-13
Fixed
7.25
N
N
N
N
N
BRAVO Residential Funding Trust 2022-NQM2
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2022-NQM2
10568KAA6
4064413.550000
PA
USD
4074494.110000
0.1030310950
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
4.272
N
N
N
N
N
N
Brazilian Government International Bond
254900ZFY40OYEADAP90
BRAZILIAN GOVERNMENT INTERNATIONAL BOND
105756BV1
1765000.000000
PA
USD
1744205.860000
0.0441054606
Long
DBT
NUSS
BR
N
2
2025-01-07
Fixed
4.25
N
N
N
N
N
N
CEC Entertainment LLC
N/A
CEC ENTERTAINMENT LLC
125137AC3
11860000.000000
PA
USD
11548675.000000
0.2920295376
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
2343215.430000
0.0592525219
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
14040HBZ7
8612000.000000
PA
USD
8490992.790000
0.2147104060
Long
DBT
CORP
US
N
2
2025-04-30
Fixed
4.25
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP
14040HCM5
8861000.000000
PA
USD
8485355.630000
0.2145678600
Long
DBT
CORP
US
N
2
2026-03-03
Variable
2.636
N
N
N
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP
14040HCZ6
10620000.000000
PA
USD
10897585.560000
0.2755655408
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
10927162.260000
0.2763134422
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
4326108.710000
PA
USD
4318534.130000
0.1092020968
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
5.23
N
N
N
N
N
N
Carrier Global Corp
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP
14448CAN4
8049000.000000
PA
USD
7779455.090000
0.1967178635
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.242
N
N
N
N
N
N
Cedar Fair LP / Canada s Wonderland Co / Magnum Management Corp / Millennium Op
N/A
CEDAR FAIR LP / CANADA'S WONDERLAND CO / MAGNUM MANAGEMENT CORP / MILLENNIUM OP
150190AF3
13458000.000000
PA
USD
13373887.500000
0.3381834005
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.5
N
N
N
N
N
N
Celanese US Holdings LLC
CD30XVRLT4QO00B1C706
CELANESE US HOLDINGS LLC
15089QAL8
8281000.000000
PA
USD
8335464.140000
0.2107775774
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.05
N
N
N
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/JPY FWD 20240119 GSILGB2X
000000000
1.000000
NC
USD
2372791.750000
0.0600004137
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-42984388.020000
USD
6374339733.000000
JPY
2024-01-19
2372791.750000
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
161175AY0
8488000.000000
PA
USD
8406099.290000
0.2125637174
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.908
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
CHENIERE CORPUS CHRISTI HOLDINGS LLC
16412XAC9
8338000.000000
PA
USD
8361346.400000
0.2114320580
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.875
N
N
N
N
N
N
Cinemark USA Inc
54930008H2137JSCPQ09
CINEMARK USA INC
172441BC0
2858000.000000
PA
USD
2872290.000000
0.0726311478
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
8.75
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967JT9
17339000.000000
PA
USD
17139480.130000
0.4334033521
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.4
N
N
N
N
N
N
Clear Channel Outdoor Holdings Inc
N/A
CLEAR CHANNEL OUTDOOR HOLDINGS INC
18453HAE6
6190000.000000
PA
USD
6437600.000000
0.1627865838
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
9.0
N
N
N
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/EUR FWD 20240119 GSILGB2X
000000000
1.000000
NC
USD
399585.520000
0.0101042565
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-96650735.450000
USD
87835000.000000
EUR
2024-01-19
399585.520000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
CNH/USD FWD 20240315 CHASGB2L
000000000
1.000000
NC
USD
-249788.580000
-0.0063163647
N/A
DFE
CORP
CN
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-554165000.000000
CNY
77932277.710000
USD
2024-03-15
-249788.580000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
JPY/USD FWD 20240119 ROYCGB2L
000000000
1.000000
NC
USD
-449866.330000
-0.0113756995
N/A
DFE
CORP
JP
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-1379202692.000000
JPY
9363972.760000
USD
2024-01-19
-449866.330000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
MXN/USD FWD 20240112 BARCGB5G
000000000
1.000000
NC
USD
2269242.510000
0.0573819803
N/A
DFE
CORP
MX
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-81993792.090000
USD
1434383000.000000
MXN
2024-01-12
2269242.510000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JPY/USD FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
1978471.820000
0.0500293073
N/A
DFE
CORP
JP
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-119302363.480000
USD
17044385284.000000
JPY
2024-01-19
1978471.820000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/JPY FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
-2324052.710000
-0.0587679572
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-11686117766.000000
JPY
80829554.800000
USD
2024-01-19
-2324052.710000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
HUF/USD FWD 20240223 MRMDUS33
000000000
1.000000
NC
USD
-1304164.400000
-0.0329782011
N/A
DFE
CORP
HU
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-21639547892.000000
HUF
60654056.930000
USD
2024-02-23
-1304164.400000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/SEK FWD 20240223 GSILGB2X
000000000
1.000000
NC
USD
-1416183.220000
-0.0358108035
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-415776000.000000
SEK
39896941.350000
USD
2024-02-23
-1416183.220000
N
N
N
Connecticut Avenue Securities Trust 2022-R06
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2022-R06
20754NAB1
4913178.800000
PA
USD
5051073.060000
0.1277256941
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Floating
8.087
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
225401AQ1
2920000.000000
PA
USD
2783580.520000
0.0703879650
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
5101344.560000
0.1289969016
Long
DBT
CORP
CH
N
2
2027-02-02
Variable
1.305
N
N
N
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPERATING LP
23311VAG2
8044000.000000
PA
USD
8033945.000000
0.2031531101
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.375
N
N
N
N
N
N
DLLAD 2023-1 LLC
N/A
DLLAD 2023-1 LLC
233258AB8
6645604.880000
PA
USD
6623068.300000
0.1674764917
Long
ABS-O
CORP
US
N
2
2026-04-20
Fixed
5.19
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S
23636ABF7
8323000.000000
PA
USD
8383757.900000
0.2119987741
Long
DBT
CORP
DK
N
2
2026-01-09
Variable
6.466
N
N
N
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC
247361ZU5
17280000.000000
PA
USD
16826400.000000
0.4254865438
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.9
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
1567350.000000
0.0396333342
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
27069656.250000
0.6845061617
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
5326300.000000
0.1346853146
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
2329425.000000
PA
USD
2275361.380000
0.0575367072
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
4790400.000000
PA
USD
4509184.360000
0.1140230393
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
2315742.110000
PA
USD
2288341.320000
0.0578649289
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
6381762.400000
0.1613746272
Long
DBT
CORP
NL
N
2
2052-10-14
Fixed
7.75
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP
29278NAP8
8799000.000000
PA
USD
8528078.790000
0.2156481939
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.9
N
N
N
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
GBP/USD FWD 20240223 BARCGB5G
000000000
1.000000
NC
USD
-44722.000000
-0.0011308782
N/A
DFE
CORP
GB
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-130559439.380000
GBP
166421376.050000
USD
2024-02-23
-44722.000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK
298785JB3
30900000.000000
PA
USD
29816028.000000
0.7539532344
Long
DBT
CORP
N/A
N
2
2025-03-14
Fixed
1.625
N
N
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
NZD/USD FWD 20240119 ROYCGB2L
000000000
1.000000
NC
USD
1914238.330000
0.0484050451
N/A
DFE
CORP
NZ
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-33247175.200000
USD
55617000.000000
NZD
2024-01-19
1914238.330000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/NZD FWD 20240119 ROYCGB2L
000000000
1.000000
NC
USD
-186226.640000
-0.0047090839
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-3542099.000000
NZD
2053110.390000
USD
2024-01-19
-186226.640000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/HUF FWD 20240112 BNPAFRPP
000000000
1.000000
NC
USD
146808.520000
0.0037123241
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-38626856.260000
USD
13478996000.000000
HUF
2024-01-12
146808.520000
N
N
N
Constellation Energy Generation LLC
S2PEWKCZFFECR4533P43
CONSTELLATION ENERGY GENERATION LLC
30161MAS2
8695000.000000
PA
USD
8446270.830000
0.2135795288
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.25
N
N
N
N
N
N
Exeter Automobile Receivables Trust 2021-2
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2
30166RAG2
17480000.000000
PA
USD
16310797.760000
0.4124485906
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
2.21
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
GBP/USD FWD 20240223 MSLNGB2X
000000000
1.000000
NC
USD
314333.010000
0.0079484896
N/A
DFE
CORP
GB
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-60249123.070000
USD
47499947.230000
GBP
2024-02-23
314333.010000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/GBP FWD 20240223 MSLNGB2X
000000000
1.000000
NC
USD
-205715.710000
-0.0052019010
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-4183973.510000
GBP
5128940.660000
USD
2024-02-23
-205715.710000
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANCORP
316773CY4
12165000.000000
PA
USD
11767970.900000
0.2975748387
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
3108274.280000
0.0785984453
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
1089959.790000
0.0275616427
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
4133817.990000
0.1045312087
Long
DBT
CORP
US
N
2
2025-10-27
Variable
5.852
N
N
N
N
N
N
FOCUS Brands Funding LLC
N/A
FOCUS BRANDS FUNDING LLC
34417RAB2
18960000.000000
PA
USD
19024900.080000
0.4810796713
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
7111249.330000
PA
USD
7103187.310000
0.1796171860
Long
ABS-O
CORP
US
N
2
2025-06-15
Fixed
5.19
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC
345397A60
10901000.000000
PA
USD
10740777.100000
0.2716003498
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
5.125
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC
345397B85
8583000.000000
PA
USD
8251249.880000
0.2086480646
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.3
N
N
N
N
N
N
Freddie Mac STACR REMIC Trust 2022-DNA2
5493000ISA3AUOXQEF68
FREDDIE MAC STACR REMIC TRUST 2022-DNA2
35564KRE1
7571961.940000
PA
USD
7571989.960000
0.1914717252
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
6.637
N
N
N
N
N
N
GFL Environmental Inc
549300FYK4MBXWIVZU26
GFL ENVIRONMENTAL INC
36168QAJ3
3416000.000000
PA
USD
3351950.000000
0.0847602351
Long
DBT
CORP
CA
N
2
2025-06-01
Fixed
4.25
N
N
N
N
N
N
GTCR W-2 Merger Sub LLC
254900HJTH4LRJB6QF88
GTCR W-2 MERGER SUB LLC
36268NAA8
2690000.000000
PA
USD
2854762.500000
0.0721879326
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.5
N
N
N
N
N
N
General Motors Financial Co Inc
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC
37045XDZ6
8049000.000000
PA
USD
8145000.420000
0.2059613511
Long
DBT
CORP
US
N
2
2025-10-10
Fixed
6.05
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE
38141GXJ8
8050000.000000
PA
USD
7850295.600000
0.1985091964
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.5
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE
38141GZH0
16320000.000000
PA
USD
16259208.000000
0.4111440484
Long
DBT
CORP
US
N
2
2025-01-24
Variable
1.757
N
N
N
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
TWD/USD FWD 20240117 GSILGB2X
000000000
1.000000
NC
USD
-2225412.460000
-0.0562736566
N/A
DFE
CORP
TW
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-1397696999.000000
TWD
43607335.440000
USD
2024-01-17
-2225412.460000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
KRW/USD FWD 20240117 BNPAFRPP
000000000
1.000000
NC
USD
289506.150000
0.0073206967
N/A
DFE
CORP
KR
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-43765552.530000
USD
56864337000.000000
KRW
2024-01-17
289506.150000
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA INC
404119BR9
8405000.000000
PA
USD
8383987.500000
0.2120045800
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.375
N
N
N
N
N
N
Hardee s Funding LLC
N/A
HARDEE'S FUNDING LLC
411707AD4
10693338.140000
PA
USD
10240678.440000
0.2589544332
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
4437750.000000
PA
USD
3898212.790000
0.0985734968
Long
ABS-O
CORP
US
N
2
2050-12-20
Fixed
3.981
N
N
N
N
N
N
Hillenbrand Inc
U246OE781574J2BUD366
HILLENBRAND INC
431571AD0
2136000.000000
PA
USD
2122650.000000
0.0536751184
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
MXN/USD FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
-1973210.810000
-0.0498962730
N/A
DFE
CORP
MX
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-409008141.770000
MXN
22024648.930000
USD
2024-01-19
-1973210.810000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
THB/USD FWD 20240308 UBSWGB2L
000000000
1.000000
NC
USD
-4250593.320000
-0.1074840881
N/A
DFE
CORP
TH
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-4614576543.310000
THB
131756053.160000
USD
2024-03-08
-4250593.320000
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA
44891ACB1
7285000.000000
PA
USD
7306315.910000
0.1847536671
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
5.5
N
N
N
N
N
N
International Bank for Reconstruction & Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT
459058JB0
58636000.000000
PA
USD
55706545.440000
1.4086426975
Long
DBT
NUSS
N/A
N
2
2025-04-22
Fixed
0.625
N
N
N
N
N
N
Republic of Italy Government International Bond
815600DE60799F5A9309
REPUBLIC OF ITALY GOVERNMENT INTERNATIONAL BOND
465410BX5
75366000.000000
PA
USD
73676068.180000
1.8630352072
Long
DBT
NUSS
IT
N
2
2024-10-17
Fixed
2.375
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO
46647PBY1
8270000.000000
PA
USD
8221769.360000
0.2079025953
Long
DBT
CORP
US
N
2
2025-02-16
Variable
0.563
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO
46647PCH7
8049000.000000
PA
USD
7909575.220000
0.2000081909
Long
DBT
CORP
US
N
2
2025-06-01
Variable
0.824
N
N
N
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/TWD FWD 20240117 GSILGB2X
000000000
1.000000
NC
USD
5606231.900000
0.1417639088
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-126452964.380000
USD
4027224000.000000
TWD
2024-01-17
5606231.900000
N
N
N
Kilroy Realty LP
5493008CT3N3JR7P1552
KILROY REALTY LP
49427RAM4
8612000.000000
PA
USD
8398577.420000
0.2123735130
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.45
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
ZAR/USD FWD 20240112 CHASGB2L
000000000
1.000000
NC
USD
-179850.630000
-0.0045478547
N/A
DFE
CORP
ZA
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-118019945.040000
ZAR
6263933.970000
USD
2024-01-12
-179850.630000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
EUR/USD FWD 20240119 BNPAFRPP
000000000
1.000000
NC
USD
1037729.940000
0.0262409146
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-95808181.520000
USD
87650000.000000
EUR
2024-01-19
1037729.940000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/EUR FWD 20240119 BNPAFRPP
000000000
1.000000
NC
USD
-4566562.860000
-0.1154739605
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-228979000.000000
EUR
248436060.760000
USD
2024-01-19
-4566562.860000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
GBP/USD FWD 20240223 CHASGB2L
000000000
1.000000
NC
USD
2100780.130000
0.0531220984
N/A
DFE
CORP
GB
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-135262945.890000
USD
107734435.240000
GBP
2024-02-23
2100780.130000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/GBP FWD 20240223 CHASGB2L
000000000
1.000000
NC
USD
-1703454.710000
-0.0430749927
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-34932943.900000
GBP
42836801.380000
USD
2024-02-23
-1703454.710000
N
N
N
Kreditanstalt fuer Wiederaufbau
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU
500769GQ1
38874000.000000
PA
USD
37573198.210000
0.9501075837
Long
DBT
CORP
DE
N
2
2025-05-02
Fixed
2.0
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC
539439AV1
8745000.000000
PA
USD
8451071.810000
0.2137009304
Long
DBT
CORP
GB
N
2
2026-02-05
Variable
2.438
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC
53944YAF0
8537000.000000
PA
USD
8434504.780000
0.2132820025
Long
DBT
CORP
GB
N
2
2025-05-08
Fixed
4.45
N
N
N
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
TWD/USD FWD 20240117 DEUTGB2L
000000000
1.000000
NC
USD
-1508558.510000
-0.0381466830
N/A
DFE
CORP
TW
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-998563000.000000
TWD
31235939.240000
USD
2024-01-17
-1508558.510000
N
N
N
Warnermedia Holdings Inc
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC
55903VAZ6
8572000.000000
PA
USD
8385670.440000
0.2120471362
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.638
N
N
N
N
N
N
Mercedes-Benz Auto Receivables Trust 2023-1
N/A
MERCEDES-BENZ AUTO RECEIVABLES TRUST 2023-1
58770AAB9
7958816.830000
PA
USD
7945564.600000
0.2009182487
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
5.09
N
N
N
N
N
N
Stagwell Global LLC
984500904E015Z0C1F82
STAGWELL GLOBAL LLC
59565JAA9
17057000.000000
PA
USD
15649797.500000
0.3957339805
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.625
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
JPY/USD FWD 20240119 MSLNGB2X
000000000
1.000000
NC
USD
-1031749.640000
-0.0260896917
N/A
DFE
CORP
JP
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-3384116220.000000
JPY
23048229.490000
USD
2024-01-19
-1031749.640000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
MYR/USD FWD 20240308 DEUTGB2L
000000000
1.000000
NC
USD
643219.260000
0.0162649848
N/A
DFE
CORP
MY
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-31637438.790000
USD
147256458.850000
MYR
2024-03-08
643219.260000
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC
606822BW3
7960000.000000
PA
USD
7761788.040000
0.1962711196
Long
DBT
CORP
JP
N
2
2025-07-19
Variable
0.953
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC
606822CV4
8343000.000000
PA
USD
8383572.010000
0.2119940736
Long
DBT
CORP
JP
N
2
2026-02-20
Variable
5.719
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468R3
16520000.000000
PA
USD
15865345.440000
0.4011845075
Long
DBT
CORP
US
N
2
2025-10-21
Variable
0.864
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747YEG6
8048000.000000
PA
USD
7749885.980000
0.1959701541
Long
DBT
CORP
US
N
2
2025-10-21
Variable
1.164
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747YEQ4
8051000.000000
PA
USD
8006027.110000
0.2024471547
Long
DBT
CORP
US
N
2
2025-04-17
Variable
3.62
N
N
N
N
N
N
Motion Bondco DAC
635400KFD3IETNQLA755
MOTION BONDCO DAC
61978XAA5
2200000.000000
PA
USD
2035000.000000
0.0514587266
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
6738618.750000
0.1703983979
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.125
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/AUD FWD 20240119 SBOSGB2X
000000000
1.000000
NC
USD
3759533.160000
0.0950667267
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-123851333.070000
USD
187129278.000000
AUD
2024-01-19
3759533.160000
N
N
N
Natixis Commercial Mortgage Securities Trust 2019-MILE
N/A
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-MILE
63875FAA4
6366429.590000
PA
USD
5767572.660000
0.1458437073
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
6.941
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
NAVIENT CORP
63938CAH1
1706000.000000
PA
USD
1723060.000000
0.0435707486
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
6.75
N
N
N
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
AUD/USD FWD 20240119 ROYCGB2L
000000000
1.000000
NC
USD
-170666.390000
-0.0043156143
N/A
DFE
CORP
AU
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-3532397.440000
AUD
2238215.330000
USD
2024-01-19
-170666.390000
N
N
N
NextEra Energy Capital Holdings Inc
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC
65339KBP4
8047000.000000
PA
USD
8120959.980000
0.2053534442
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.051
N
N
N
N
N
N
Nissan Auto Lease Trust 2023-A
N/A
NISSAN AUTO LEASE TRUST 2023-A
65480VAB9
9509355.570000
PA
USD
9490853.220000
0.2399937202
Long
ABS-O
CORP
US
N
2
2025-03-17
Fixed
5.1
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP
674599EB7
8322000.000000
PA
USD
8361945.600000
0.2114472099
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.875
N
N
N
N
N
N
Octane Receivables Trust 2023-1
N/A
OCTANE RECEIVABLES TRUST 2023-1
67571BAA1
1071123.730000
PA
USD
1073195.070000
0.0271377158
Long
ABS-O
CORP
US
N
2
2029-05-21
Fixed
5.87
N
N
N
N
N
N
1011778 BC ULC / New Red Finance Inc
N/A
1011778 BC ULC / NEW RED FINANCE INC
68245XAK5
1611000.000000
PA
USD
1602945.000000
0.0405334194
Long
DBT
CORP
CA
N
2
2025-04-15
Fixed
5.75
N
N
N
N
N
N
Ovintiv Inc
2549003MEX7YMKLGI239
OVINTIV INC
69047QAA0
8322000.000000
PA
USD
8355878.860000
0.2112938012
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
5.65
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE
693475BQ7
8404000.000000
PA
USD
8452171.730000
0.2137287439
Long
DBT
CORP
US
N
2
2026-06-12
Variable
5.812
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/ZAR FWD 20240112 BNPAFRPP
000000000
1.000000
NC
USD
-1365268.710000
-0.0345233362
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-381581000.000000
ZAR
19468716.360000
USD
2024-01-12
-1365268.710000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
EUR/USD FWD 20240119 SOGEFRPP
000000000
1.000000
NC
USD
-139952.910000
-0.0035389673
N/A
DFE
CORP
US
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
-4164995.820000
EUR
4462018.750000
USD
2024-01-19
-139952.910000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/NZD FWD 20240119 MSLNGB2X
000000000
1.000000
NC
USD
-352530.970000
-0.0089143955
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-7386352.930000
NZD
4317167.320000
USD
2024-01-19
-352530.970000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
NZD/USD FWD 20240119 MSLNGB2X
000000000
1.000000
NC
USD
124915.150000
0.0031587099
N/A
DFE
CORP
NZ
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-2177330.210000
USD
3641605.020000
NZD
2024-01-19
124915.150000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS
71654QCP5
73650000.000000
PA
USD
65028803.510000
1.6443731786
Long
DBT
CORP
MX
N
2
2029-01-23
Fixed
6.5
N
N
N
N
N
N
Progress Residential 2022-SFR5 Trust
N/A
PROGRESS RESIDENTIAL 2022-SFR5 TRUST
74332YAG4
1095000.000000
PA
USD
1071388.730000
0.0270920392
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
74514L3F2
1144738.000000
PA
USD
1170020.340000
0.0295861213
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
1199614.990000
0.0303344765
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
1210348.090000
0.0306058828
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
1205715.360000
0.0304887356
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
1006369.940000
0.0254479192
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
893264.130000
0.0225878303
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
757037.530000
0.0191430896
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
988773.010000
0.0250029484
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
998637.140000
0.0252523811
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
164294.010000
0.0041544769
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
824621.360000
0.0208520713
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
4538216.030000
PA
USD
2473327.740000
0.0625426515
Long
DBT
MUN
PR
N
2
2043-11-01
None
0.0
N
N
N
N
N
N
T Rowe Price Government Reserve Investment Fund
5493002Y0IYARJVQ5N24
T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND
76105Y109
111649386.730000
NS
USD
111649386.730000
2.8232605713
Long
STIV
RF
US
N
1
N
N
N
T Rowe Price Government Reserve Investment Fund
5493002Y0IYARJVQ5N24
T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral
76105YYY8
12649732.500000
NS
USD
12649732.500000
0.3198718063
Long
STIV
RF
US
N
1
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC
761713BG0
8470000.000000
PA
USD
8373611.400000
0.2117422012
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45
N
N
N
N
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
14738062.500000
0.3726790802
Long
DBT
CORP
US
N
2
2026-10-15
Floating
11.493
N
N
N
N
N
N
Rogers Communications Inc
5493000M6Z4XFIP6PF03
ROGERS COMMUNICATIONS INC
775109CF6
8656000.000000
PA
USD
8410714.930000
0.2126804323
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
2.95
N
N
N
N
N
N
SBA Tower Trust
N/A
SBA TOWER TRUST
78403DAN0
7420000.000000
PA
USD
7169852.290000
0.1813029329
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.836
N
N
N
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
USD/NZD FWD 20240119 CITIGB2L
000000000
1.000000
NC
USD
216240.220000
0.0054680326
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-2543972.150000
USD
4366000.000000
NZD
2024-01-19
216240.220000
N
N
N
Santander Bank Auto Credit-Linked Notes Series 2022-A
N/A
SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-A
80290CAS3
6450264.900000
PA
USD
6395319.610000
0.1617174462
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
1099087.400000
PA
USD
1095418.100000
0.0276996661
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
2589928.730000
PA
USD
2588041.190000
0.0654433926
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
11261899.000000
0.2847778777
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
9059195.200000
0.2290784514
Long
DBT
CORP
US
N
2
2034-05-19
Variable
5.853
N
N
N
N
N
N
Sirius XM Radio Inc
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC
82967NBA5
6772000.000000
PA
USD
6534980.000000
0.1652490167
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
5.0
N
N
N
N
N
N
OneMain Finance Corp
5493008I795YYBFWFU90
ONEMAIN FINANCE CORP
85172FAM1
1280000.000000
PA
USD
1292800.000000
0.0326908313
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.875
N
N
N
N
N
N
Sprint LLC
549300ZTTY7CXOLJ6539
SPRINT LLC
85207UAJ4
41325000.000000
PA
USD
42060585.000000
1.0635794312
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.625
N
N
N
N
N
N
Sprint LLC
549300ZTTY7CXOLJ6539
SPRINT LLC
85207UAK1
8076000.000000
PA
USD
8399040.000000
0.2123852102
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
7.625
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC
853254BY5
8078000.000000
PA
USD
8067409.740000
0.2039993277
Long
DBT
CORP
GB
N
2
2025-01-12
Variable
0.991
N
N
N
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
KRW/USD FWD 20240117 GSILGB2X
000000000
1.000000
NC
USD
-1570071.520000
-0.0397021528
N/A
DFE
CORP
KR
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-55890074730.000000
KRW
41730187.510000
USD
2024-01-17
-1570071.520000
N
N
N
TRK 2022-INV1 Trust
N/A
TRK 2022-INV1 TRUST
872635AA5
13024925.140000
PA
USD
11582934.380000
0.2928958492
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Variable
2.577
N
N
N
N
N
N
Tobacco Settlement Financing Corp/VA
N/A
TOBACCO SETTLEMENT FINANCING CORP/VA
88880NAT6
11280000.000000
PA
USD
9690555.500000
0.2450435605
Long
DBT
MUN
US
N
2
2046-06-01
Fixed
6.706
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE
89117F8Z5
15285000.000000
PA
USD
15819883.290000
0.4000349132
Long
DBT
CORP
CA
N
2
2082-10-31
Variable
8.125
N
N
N
N
N
N
Towd Point Mortgage Trust 2018-3
N/A
TOWD POINT MORTGAGE TRUST 2018-3
89175MAA1
1884375.060000
PA
USD
1819569.520000
0.0460111697
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
781472.990000
PA
USD
758786.910000
0.0191873259
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
9653000.000000
0.2440939005
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.875
N
N
N
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
EUR/USD FWD 20240119 CITIGB2L
000000000
1.000000
NC
USD
-1459655.480000
-0.0369100797
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-75371000.000000
EUR
81818989.050000
USD
2024-01-19
-1459655.480000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
IDR/USD FWD 20240117 GSILGB2X
000000000
1.000000
NC
USD
-132195.920000
-0.0033428175
N/A
DFE
CORP
ID
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-208836134427.000000
IDR
13432827.190000
USD
2024-01-17
-132195.920000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/SEK FWD 20240223 UBSWGB2L
000000000
1.000000
NC
USD
-6420623.740000
-0.1623573078
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-915270000.000000
SEK
84524172.320000
USD
2024-02-23
-6420623.740000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
SEK/USD FWD 20240223 UBSWGB2L
000000000
1.000000
NC
USD
373241.020000
0.0094380873
N/A
DFE
CORP
SE
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-39760732.160000
USD
403909000.000000
SEK
2024-02-23
373241.020000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
ILS/USD FWD 20240118 UBSWGB2L
000000000
1.000000
NC
USD
860112.790000
0.0217495375
N/A
DFE
CORP
IL
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-7399790.790000
USD
29893137.270000
ILS
2024-01-18
860112.790000
N
N
N
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
MXN/USD FWD 20240119 SCBLGB2L
000000000
1.000000
NC
USD
-728385.310000
-0.0184185654
N/A
DFE
CORP
MX
N
2
STANDARD CHARTERED SECURITIES
5493003GCX71N8988W38
-146840000.000000
MXN
7887202.900000
USD
2024-01-19
-728385.310000
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
902613AX6
1830000.000000
PA
USD
1793687.310000
0.0453566903
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
5161751.880000
0.1305244121
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
4.55
N
N
N
N
N
N
United Airlines Holdings Inc
98450079DA0B78DD6764
UNITED AIRLINES HOLDINGS INC
910047AK5
4526000.000000
PA
USD
4469425.000000
0.1130176506
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.875
N
N
N
N
N
N
Venture Global LNG Inc
54930011XLBUWMQUC829
VENTURE GLOBAL LNG INC
92332YAB7
28855000.000000
PA
USD
28710725.000000
0.7260036104
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
15575699.340000
PA
USD
13944512.420000
0.3526127035
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
7184831.250000
0.1816817035
Long
DBT
CORP
US
N
2
N/A
Variable
7.0
N
N
N
N
N
N
Volkswagen Group of America Finance LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
928668BU5
8326000.000000
PA
USD
8391792.050000
0.2122019324
Long
DBT
CORP
US
N
2
2025-09-12
Fixed
5.8
N
N
N
N
N
N
Walgreens Boots Alliance Inc
549300RPTUOIXG4LIH86
WALGREENS BOOTS ALLIANCE INC
931427AH1
8527000.000000
PA
USD
8381913.100000
0.2119521250
Long
DBT
CORP
US
N
2
2024-11-18
Fixed
3.8
N
N
N
N
N
N
Western Midstream Operating LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP
958667AB3
8652000.000000
PA
USD
8424885.000000
0.2130387487
Long
DBT
CORP
US
N
2
2025-02-01
Variable
3.1
N
N
N
N
N
N
Williams Cos Inc/The
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE
96949LAB1
8051000.000000
PA
USD
7910107.500000
0.2000216506
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.0
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
ILS/USD FWD 20240118 MSLNGB2X
000000000
1.000000
NC
USD
636305.130000
0.0160901483
N/A
DFE
CORP
IL
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-5529882.490000
USD
22315840.770000
ILS
2024-01-18
636305.130000
N
N
N
ZF North America Capital Inc
529900JYGMS9CW9IQX78
ZF NORTH AMERICA CAPITAL INC
98877DAC9
7682000.000000
PA
USD
7585975.000000
0.1918253628
Long
DBT
CORP
US
N
2
2025-04-29
Fixed
4.75
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
AUD/USD FWD 20240119 SBOSGB2X
000000000
1.000000
NC
USD
-279221.240000
-0.0070606238
N/A
DFE
CORP
AU
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-5902859.770000
AUD
3746172.630000
USD
2024-01-19
-279221.240000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
AUD/USD FWD 20240119 ROYCGB2L
000000000
1.000000
NC
USD
-568883.400000
-0.0143852655
N/A
DFE
CORP
AU
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-12944287.570000
AUD
8258338.970000
USD
2024-01-19
-568883.400000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/AUD FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
-3784161.680000
-0.0956895043
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-73729067.640000
AUD
46494609.700000
USD
2024-01-19
-3784161.680000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
HUF/USD FWD 20240112 BOFAUS6N
000000000
1.000000
NC
USD
-370905.920000
-0.0093790400
N/A
DFE
CORP
HU
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-14508133000.000000
HUF
41363173.200000
USD
2024-01-12
-370905.920000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
JPY/USD FWD 20240119 CITIGB2L
000000000
1.000000
NC
USD
-4860098.320000
-0.1228965457
N/A
DFE
CORP
JP
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-11927490000.000000
JPY
80011014.730000
USD
2024-01-19
-4860098.320000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
NZD/USD FWD 20240119 SBOSGB2X
000000000
1.000000
NC
USD
-4382856.220000
-0.1108285994
N/A
DFE
CORP
NZ
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-148208595.900000
NZD
89315540.470000
USD
2024-01-19
-4382856.220000
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
EG1116375
250000000.000000
PA
13952947.410000
0.3528259978
Long
DBT
NUSS
MX
N
2
2027-06-03
Fixed
7.5
N
N
N
N
N
N
United Kingdom Gilt
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT
EG5064811
115781999.000000
PA
155831332.270000
3.9404825145
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.5
N
N
N
N
N
N
Philippine Government International Bond
529900RAHBALMYIJ3T08
PHILIPPINE GOVERNMENT INTERNATIONAL BOND
718286BM8
1679000000.000000
PA
28518549.520000
0.7211440991
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
6.25
N
N
N
N
N
N
Lloyds Bank PLC
H7FNTJ4851HG0EXQ1Z70
LLOYDS BANK PLC
EI2243323
4245000.000000
PA
5540967.030000
0.1401135662
Long
DBT
CORP
GB
N
2
2025-04-22
Fixed
7.625
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
EH6834517
2925392000.000000
PA
168687670.840000
4.2655787362
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.5
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
EI8047355
1444570000.000000
PA
79397330.690000
2.0077078770
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75
N
N
N
N
N
N
United Kingdom Inflation-Linked Gilt
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM INFLATION-LINKED GILT
EJ3889007
191527689.390000
PA
241730966.260000
6.1126131176
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
730601000.000000
PA
29463679.520000
0.7450434535
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
3645541202.400000
PA
101557130.620000
2.5680592703
Long
DBT
NUSS
TH
N
2
2028-03-12
Fixed
1.25
N
N
N
N
N
N
S&P 500 INDEX
N/A
SPX US 06/21/24 P4400
000000000
1330.000000
NC
USD
8339100.000000
0.2108695168
N/A
DE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
Put
Purchased
S&P 500 INDEX
S&P 500 INDEX
100.000000
4400
USD
2024-06-21
XXXX
-6711180.000000
N
N
N
COMERICA INC
N/A
CMA US 01/19/24 P20
000000000
15538.000000
NC
USD
77690.000000
0.0019645349
N/A
DE
CORP
US
N
2
OTC BARCLAYS BANK PLC
AC28XWWI3WIBK2824319
Put
Purchased
Comerica Inc
COMERICA INC
100.000000
20
USD
2024-01-19
XXXX
-2879657.540000
N
N
N
ZIONS BANCORP NA
N/A
ZION US 01/19/24 P15
000000000
22071.000000
NC
USD
55177.500000
0.0013952648
N/A
DE
CORP
US
N
2
OTC GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Put
Purchased
Zions Bancorp NA
ZIONS BANCORP NA
100.000000
15
USD
2024-01-19
XXXX
-3924168.090000
N
N
N
S&P 500 INDEX
N/A
SPX US 06/21/24 P4650
000000000
-443.000000
NC
USD
-4684725.000000
-0.1184619080
N/A
DE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
Put
Written
S&P 500 INDEX
S&P 500 INDEX
100.000000
4650
USD
2024-06-21
XXXX
3580769.000000
N
N
N
US 10YR FUT OPTN Mar24C 114
N/A
TYH4C 114 ELEC
000000000
885.000000
NC
USD
760546.880000
0.0192318299
N/A
DIR
CORP
US
N
1
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Purchased
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
US 10YR FUT OPTN Mar24C 114
N/A
TYH4 UST 10YR FUT MAR 24
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
Long
US 10YR FUT OPTN Mar24C 114
TYH4 UST 10YR FUT MAR 24
2024-03-19
N/A
USD
100000.000000
114
USD
2024-02-23
XXXX
-70313.260000
N
N
N
S&P 500 INDEX
N/A
SPXW US 03/15/24 P4550
000000000
336.000000
NC
USD
1270080.000000
0.0321163142
N/A
DE
CORP
US
N
2
OTC MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
S&P 500 INDEX
S&P 500 INDEX
100.000000
4550
USD
2024-03-15
XXXX
-535248.000000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
ILS/USD FWD 20240118 CITIGB2L
000000000
1.000000
NC
USD
-5485888.620000
-0.1387208071
N/A
DFE
CORP
IL
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-208722865.940000
ILS
52187239.890000
USD
2024-01-18
-5485888.620000
N
N
N
HDFC Bank Ltd
335800ZQ6I4E2JXENC50
HDFC BANK LTD
AR7752579
1200000000.000000
PA
14362202.060000
0.3631747561
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
26483132.150000
0.6696748186
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
54282779.680000
1.3726401556
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.875
N
N
N
N
N
N
Merlin Entertainments Ltd
549300ZTI0VEFO6WV007
MERLIN ENTERTAINMENTS LTD
AS4561989
1215000.000000
PA
USD
1199812.500000
0.0303394709
Long
DBT
CORP
GB
N
2
2026-06-15
Fixed
5.75
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC
AQ8258859
6282000.000000
PA
6730847.090000
0.1702018771
Long
DBT
CORP
GB
N
2
2026-01-24
Variable
1.375
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT BOND
AT4277287
67600000.000000
PA
16269081.040000
0.4113937065
Long
DBT
NUSS
MY
N
2
2048-07-06
Fixed
4.921
N
N
N
N
N
N
NatWest Group PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC
AR5040241
4460000.000000
PA
4792698.020000
0.1211922049
Long
DBT
CORP
GB
N
2
2026-03-02
Variable
1.75
N
N
N
N
N
N
Kreditanstalt fuer Wiederaufbau
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU
AW8240573
50619000.000000
PA
62435527.990000
1.5787974263
Long
DBT
CORP
DE
N
2
2024-12-09
Fixed
1.375
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA
AW7475154
5649000.000000
PA
6978290.490000
0.1764589397
Long
DBT
CORP
FR
N
2
2026-01-23
Fixed
3.375
N
N
N
N
N
N
Cyprus Government International Bond
213800IOEYYAHPDLUL60
CYPRUS GOVERNMENT INTERNATIONAL BOND
ZS3023307
20454000.000000
PA
18742463.650000
0.4739377455
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
14598350.630000
0.3691462080
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
476361.500000
0.0120456787
Long
DBT
CORP
KY
N
2
2022-10-22
Fixed
11.95
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC
ZS4373610
600000.000000
PA
725441.550000
0.0183441270
Long
DBT
CORP
GB
N
2
2026-05-08
Fixed
3.0
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UNICREDIT SPA
AZ2076455
7770000.000000
PA
8449798.120000
0.2136687228
Long
DBT
CORP
IT
N
2
2025-06-25
Variable
1.25
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
ZP3884209
6700000.000000
PA
8271481.720000
0.2091596639
Long
DBT
CORP
DE
N
2
2024-12-16
Fixed
2.625
N
N
N
N
N
N
LeasePlan Corp NV
724500C60L930FVHS484
LEASEPLAN CORP NV
ZS8242795
11373000.000000
PA
12585732.540000
0.3182534493
Long
DBT
CORP
NL
N
2
N/A
Variable
7.375
N
N
N
N
N
N
Indonesia Treasury Bond
529900FWX0GRR7WG5W79
INDONESIA TREASURY BOND
AZ8693857
579300000000.000000
PA
38459470.030000
0.9725186005
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.0
N
N
N
N
N
N
Mercedes-Benz International Finance BV
529900RUGCXMPEENHQ31
MERCEDES-BENZ INTERNATIONAL FINANCE BV
ZQ4375593
4500000.000000
PA
5563847.250000
0.1406921348
Long
DBT
CORP
NL
N
2
2024-11-11
Fixed
1.625
N
N
N
N
N
N
Volkswagen Financial Services NV
529900ZTQC8D1TW6BL41
VOLKSWAGEN FINANCIAL SERVICES NV
ZQ7826998
2600000.000000
PA
3199422.490000
0.0809032959
Long
DBT
CORP
NL
N
2
2024-12-03
Fixed
1.875
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
KAISA GROUP HOLDINGS LTD
ZS8035041
8854000.000000
PA
USD
300593.300000
0.0076010557
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
4532849.050000
0.1146214446
Long
DBT
CORP
KY
N
2
2032-01-13
Fixed
3.85
N
N
N
N
N
N
Ivory Coast Government International Bond
254900ICW11T82O6H590
IVORY COAST GOVERNMENT INTERNATIONAL BOND
ZQ0748892
9700000.000000
PA
9627042.890000
0.2434375271
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
474038.517000
PA
USD
475275.760000
0.0120182238
Long
LON
CORP
US
N
2
2026-10-19
Floating
7.97044
N
N
N
N
N
N
Clear Channel Outdoor Holdings Inc
N/A
CLEAR CHANNEL OUTDOOR HO
18452RAD7
7868437.500000
PA
USD
7776612.830000
0.1966459917
Long
LON
CORP
US
N
2
2026-08-21
Floating
9.14482
N
N
N
N
N
N
RealPage Inc
5493001RSFZX4122A604
REALPAGE INC
75605VAD4
2653912.500000
PA
USD
2629708.820000
0.0664970354
Long
LON
CORP
US
N
2
2028-04-24
Floating
8.47044
N
N
N
N
N
N
IRB Holding Corp
549300HVW4WNWYBXN830
IRB HOLDING CORP
44988LAH0
4597478.625000
PA
USD
4600742.840000
0.1163382643
Long
LON
CORP
US
N
2
2027-12-15
Floating
8.45592
N
N
N
N
N
N
Neptune Bidco US Inc
549300VG15T3VCYZ4531
NEPTUNE BIDCO US INC
64069JAC6
24378495.000000
PA
USD
22214903.570000
0.5617447904
Long
LON
CORP
US
N
2
2029-04-11
Floating
10.50674
N
N
N
N
N
N
Kaisa Group Holdings Ltd
254900N8L3L7NRJT0120
KAISA GROUP HOLDINGS LTD
BP2862657
2800000.000000
PA
USD
100940.000000
0.0025524540
Long
DBT
CORP
KY
N
2
2025-11-11
Fixed
11.7
Y
Y
N
N
N
N
Commerzbank AG
851WYGNLUQLFZBSYGB56
COMMERZBANK AG
ZP5131062
800000.000000
PA
977034.520000
0.0247061190
Long
DBT
CORP
DE
N
2
2025-01-22
Fixed
1.75
N
N
N
N
N
N
Australia Government Bond
213800J6B7JSBDETCB42
AUSTRALIA GOVERNMENT BOND
ZH5191288
85700000.000000
PA
62922197.520000
1.5911037626
Long
DBT
NUSS
AU
N
2
2054-06-21
Fixed
4.75
N
N
N
N
N
N
Japan Government Forty Year Bond
353800WZS8AXZXFUC241
JAPAN GOVERNMENT FORTY YEAR BOND
BW8435917
5624050000.000000
PA
31565279.780000
0.7981862904
Long
DBT
NUSS
JP
N
2
2062-03-20
Fixed
1.0
N
N
N
N
N
N
Southern Co/The
549300FC3G3YU2FBZD92
SOUTHERN CO/THE
BR3544508
7590000.000000
PA
7171066.670000
0.1813336408
Long
DBT
CORP
US
N
2
2081-09-15
Variable
1.875
N
N
N
N
N
N
Serbia Treasury Bonds
254900W94OCY91V32O78
SERBIA TREASURY BONDS
BG1390940
3322930000.000000
PA
27805800.180000
0.7031209181
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
730787.500000
0.0184793092
Long
DBT
CORP
KY
N
2
2031-01-11
Fixed
3.45
Y
Y
N
N
N
N
Republic of Austria Government Bond
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND
BK2273211
69765000.000000
PA
35458659.830000
0.8966375825
Long
DBT
NUSS
AT
N
2
2120-06-30
Fixed
0.85
N
N
N
N
N
N
Country Garden Holdings Co Ltd
549300MGHLPT1EFHGF84
COUNTRY GARDEN HOLDINGS CO LTD
BJ5935942
2135000.000000
PA
USD
177674.700000
0.0044928323
Long
DBT
CORP
KY
N
2
2025-05-27
Fixed
5.4
Y
Y
N
N
N
N
Commerzbank AG
851WYGNLUQLFZBSYGB56
COMMERZBANK AG
ZO5117403
8100000.000000
PA
8579665.360000
0.2169526554
Long
DBT
CORP
DE
N
2
2026-03-24
Variable
0.75
N
N
N
N
N
N
Hungary Government Bond
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND
BT4396433
22085120000.000000
PA
58848823.150000
1.4881009823
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
88289.400000
0.0022325602
Long
DBT
CORP
KY
N
2
2027-01-16
Fixed
5.2
Y
Y
N
N
N
N
New Zealand Government Bond
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT BOND
BR2219516
270969000.000000
PA
122224522.370000
3.0906723714
Long
DBT
NUSS
NZ
N
2
2051-05-15
Fixed
2.75
N
N
N
N
N
N
Country Garden Holdings Co Ltd
549300MGHLPT1EFHGF84
COUNTRY GARDEN HOLDINGS CO LTD
ZO9642570
10570000.000000
PA
USD
920329.900000
0.0232722382
Long
DBT
CORP
KY
N
2
2025-10-22
Fixed
3.125
Y
Y
N
N
N
N
Bonos de la Tesoreria de la Republica en pesos
549300FLZTJM5YJF8D34
BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS
ZK1811536
68415000000.000000
PA
81777060.410000
2.0678837301
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
1818771.980000
0.0459910025
Long
DBT
CORP
LU
N
2
2028-02-15
Fixed
4.0
N
N
N
N
N
N
BMW Finance NV
5299006ZHG3IXU0PNJ56
BMW FINANCE NV
ZJ6375654
6200000.000000
PA
6839288.190000
0.1729440102
Long
DBT
CORP
NL
N
2
2025-07-11
Floating
4.18
N
N
N
N
N
Credit Suisse AG/London
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG/LONDON
BP5458693
4339000.000000
PA
5125305.570000
0.1296027999
Long
DBT
CORP
CH
N
2
2025-12-15
Fixed
1.125
N
N
N
N
N
N
Country Garden Holdings Co Ltd
549300MGHLPT1EFHGF84
COUNTRY GARDEN HOLDINGS CO LTD
BN3275383
8854000.000000
PA
USD
752590.000000
0.0190306256
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
669180.000000
0.0169214499
Long
DBT
CORP
KY
N
2
2027-04-12
Fixed
4.375
Y
Y
N
N
N
N
Hungary Government Bond
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND
ZO9985268
4045270000.000000
PA
8866249.040000
0.2241994521
Long
DBT
NUSS
HU
N
2
2033-04-20
Fixed
2.25
N
N
N
N
N
N
Thailand Government Bond
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND
BW1413481
335600000.000000
PA
10265828.640000
0.2595904024
Long
DBT
NUSS
TH
N
2
2072-06-17
Fixed
4.0
N
N
N
N
N
N
CIFI Holdings Group Co Ltd
549300WGKSV867C0JF48
CIFI HOLDINGS GROUP CO LTD
BP4631027
10055000.000000
PA
USD
691281.250000
0.0174803208
Long
DBT
CORP
KY
N
2
2026-08-17
Fixed
4.45
Y
Y
N
N
N
N
Portugal Government International Bond
549300P6U1FJ3IMP7K42
PORTUGAL GOVERNMENT INTERNATIONAL BOND
EK3679090
25625000.000000
PA
USD
25573416.880000
0.6466709909
Long
DBT
NUSS
PT
N
2
2024-10-15
Fixed
5.125
N
N
N
N
N
N
QatarEnergy
254900QTESJKJ3P87J26
QATARENERGY
BQ3267144
8240000.000000
PA
USD
7025086.160000
0.1776422544
Long
DBT
CORP
QA
N
2
2031-07-12
Fixed
2.25
N
N
N
N
N
Toyota Motor Finance Netherlands BV
724500OPA8GZSQUNSR96
TOYOTA MOTOR FINANCE NETHERLANDS BV
ZN6807335
6735000.000000
PA
8600992.960000
0.2174919631
Long
DBT
CORP
NL
N
2
2026-06-08
Fixed
4.625
N
N
N
N
N
N
Kreditanstalt fuer Wiederaufbau
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU
BT3126369
10094000.000000
PA
12234194.940000
0.3093641730
Long
DBT
CORP
DE
N
2
2025-07-04
Fixed
1.125
N
N
N
N
N
N
Colombian TES
549300MHDRBVRF6B9117
COLOMBIAN TES
ZM3975335
426809500000.000000
PA
130809971.720000
3.3077712857
Long
DBT
NUSS
CO
N
2
2033-02-09
Fixed
13.25
N
N
N
N
N
N
BMW International Investment BV
724500J951RJJFEW5X49
BMW INTERNATIONAL INVESTMENT BV
ZK8296384
6600000.000000
PA
8582121.580000
0.2170147655
Long
DBT
CORP
NL
N
2
2026-06-06
Fixed
5.5
N
N
N
N
N
N
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC
ZK9888114
2050000.000000
PA
2705664.500000
0.0684177148
Long
DBT
CORP
GB
N
2
2026-06-22
Fixed
6.625
N
N
N
N
N
N
Mexican Bonos
254900EGTWEU67VP6075
MEXICAN BONOS
QJ1649335
1622900000.000000
PA
88359041.380000
2.2343212529
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
595875.000000
0.0150677979
Long
DBT
CORP
KY
N
2
2022-06-30
Fixed
8.5
N
N
N
N
N
United Kingdom Inflation-Linked Gilt
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM INFLATION-LINKED GILT
AF2173009
178197067.100000
PA
226087000.020000
5.7170265913
Long
DBT
NUSS
GB
N
2
2026-03-22
Fixed
0.125
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
QZ0926985
7000000.000000
PA
8574659.780000
0.2168260801
Long
DBT
CORP
CH
N
2
2025-08-08
Fixed
2.75
N
N
N
N
N
N
Malaysia Government Bond
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT BOND
JK3819022
67360000.000000
PA
15732670.790000
0.3978295844
Long
DBT
NUSS
MY
N
2
2046-03-15
Fixed
4.736
N
N
N
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
MXN/USD FWD 20240119 ROYCGB2L
000000000
1.000000
NC
USD
3098009.900000
0.0783388916
N/A
DFE
CORP
MX
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-43801030.190000
USD
799325000.000000
MXN
2024-01-19
3098009.900000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
USD/MXN FWD 20240119 ROYCGB2L
000000000
1.000000
NC
USD
-25216447.420000
-0.6376443600
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-6650650944.330000
MXN
364999228.600000
USD
2024-01-19
-25216447.420000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
GBP/USD FWD 20240223 DEUTGB2L
000000000
1.000000
NC
USD
-29181527.950000
-0.7379087309
N/A
DFE
CORP
GB
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-592860874.950000
GBP
726728860.510000
USD
2024-02-23
-29181527.950000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
NZD/USD FWD 20240119 GSILGB2X
000000000
1.000000
NC
USD
-214553.290000
-0.0054253755
N/A
DFE
CORP
NZ
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-4180107.060000
NZD
2428136.410000
USD
2024-01-19
-214553.290000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
USD/CAD FWD 20240119 CIBCCATT
000000000
1.000000
NC
USD
-2615736.980000
-0.0661437317
N/A
DFE
CORP
US
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
-156692000.000000
CAD
115672988.750000
USD
2024-01-19
-2615736.980000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CAD/USD FWD 20240119 CIBCCATT
000000000
1.000000
NC
USD
1749026.110000
0.0442273496
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
-41563314.980000
USD
57374000.000000
CAD
2024-01-19
1749026.110000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
IDR/USD FWD 20240117 MRMDUS33
000000000
1.000000
NC
USD
-68483.330000
-0.0017317272
N/A
DFE
CORP
ID
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-204434349777.000000
IDR
13210620.340000
USD
2024-01-17
-68483.330000
N
N
N
N/A
N/A
EURO-SCHATZ FUT MAR24
000000000
-5301.000000
NC
-3026068.618158
-0.0765197236
N/A
DIR
CORP
DE
N
1
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Short
Bundesschatzanweisungen
GERMANY
2024-03-07
-606064294.249242
USD
-3026068.618158
N
N
N
N/A
N/A
EURO-SCHATZ FUT MAR24
000000000
-4470.000000
NC
-2551693.401842
-0.0645242718
N/A
DIR
CORP
DE
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
Bundesschatzanweisungen
GERMANY
2024-03-07
-511055913.090758
USD
-2551693.401842
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
ILS/USD FWD 20240118 BNPAFRPP
000000000
1.000000
NC
USD
325169.250000
0.0082225039
N/A
DFE
CORP
IL
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-2655896.910000
USD
10788675.550000
ILS
2024-01-18
325169.250000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
CNH/USD FWD 20240315 BARCGB5G
000000000
1.000000
NC
USD
-69117.870000
-0.0017477728
N/A
DFE
CORP
CN
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-134074334.130000
CNY
18846202.440000
USD
2024-03-15
-69117.870000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
SEK/USD FWD 20240223 GSILGB2X
000000000
1.000000
NC
USD
3126014.370000
0.0790470362
N/A
DFE
CORP
SE
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-87818781.690000
USD
915270000.000000
SEK
2024-02-23
3126014.370000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
USD/EUR FWD 20240119 MRMDUS33
000000000
1.000000
NC
USD
-23362647.940000
-0.5907676227
N/A
DFE
CORP
US
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-505649181.500000
EUR
535337361.890000
USD
2024-01-19
-23362647.940000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
EUR/USD FWD 20240119 MRMDUS33
000000000
1.000000
NC
USD
185002.710000
0.0046781346
N/A
DFE
CORP
US
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-4256760.710000
USD
4020000.000000
EUR
2024-01-19
185002.710000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
KRW/USD FWD 20240117 BARCGB5G
000000000
1.000000
NC
USD
1137744.990000
0.0287699795
N/A
DFE
CORP
KR
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-43175071.900000
USD
57197040000.000000
KRW
2024-01-17
1137744.990000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
GBP/USD FWD 20240223 BNPAFRPP
000000000
1.000000
NC
USD
-141508.560000
-0.0035783048
N/A
DFE
CORP
GB
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-7464628.610000
GBP
9376053.740000
USD
2024-02-23
-141508.560000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) MAR24
000000000
26137.000000
NC
USD
70617730.710000
1.7856995062
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
United States Treasury Note/Bond
US TREASURY N/B
2024-03-28
2772393670.570000
USD
70617730.710000
N
N
N
N/A
N/A
LONG GILT FUTURE MAR24
000000000
-2159.000000
NC
821505.550000
0.0207732823
N/A
DIR
CORP
GB
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
United Kingdom Gilt
UNITED KINGDOM TREASURY
2024-03-26
-281266313.560000
USD
821505.550000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
AUD/USD FWD 20240119 BARCGB5G
000000000
1.000000
NC
USD
-1489554.540000
-0.0376661326
N/A
DFE
CORP
AU
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-30827866.330000
AUD
19533188.500000
USD
2024-01-19
-1489554.540000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
ZAR/USD FWD 20240112 SBOSGB2X
000000000
1.000000
NC
USD
-79896.010000
-0.0020203179
N/A
DFE
CORP
ZA
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-31269248.030000
ZAR
1627377.270000
USD
2024-01-12
-79896.010000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
IDR/USD FWD 20240117 UBSWGB2L
000000000
1.000000
NC
USD
-122901.230000
-0.0031077842
N/A
DFE
CORP
ID
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-200646482096.000000
IDR
12910160.190000
USD
2024-01-17
-122901.230000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
HUF/USD FWD 20240223 BNPAFRPP
000000000
1.000000
NC
USD
226554.980000
0.0057288603
N/A
DFE
CORP
HU
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-37865353.640000
USD
13303992000.000000
HUF
2024-02-23
226554.980000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
RSD/USD FWD 20240112 DEUTGB2L
000000000
1.000000
NC
USD
-97856.810000
-0.0024744898
N/A
DFE
CORP
RS
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-248771396.000000
RSD
2244621.460000
USD
2024-01-12
-97856.810000
N
N
N
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
CAD/USD FWD 20240119 ROYCGB2L
000000000
1.000000
NC
USD
3030882.360000
0.0766414480
N/A
DFE
CORP
CA
N
2
RBC DOMINION SECURITIES INC
549300QJJX6CVVUXLE15
-92088828.470000
USD
126001000.000000
CAD
2024-01-19
3030882.360000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/EUR FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
-1221.570000
-0.0000308896
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-277146.840000
EUR
305002.480000
USD
2024-01-19
-1221.570000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
EUR/USD FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
5855928.840000
0.1480779562
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-207135466.650000
USD
192767000.000000
EUR
2024-01-19
5855928.840000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/CHF FWD 20240119 UBSWGB2L
000000000
1.000000
NC
USD
-3988936.200000
-0.1008676055
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-74345000.000000
CHF
84605825.280000
USD
2024-01-19
-3988936.200000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
CHF/USD FWD 20240119 UBSWGB2L
000000000
1.000000
NC
USD
4389969.810000
0.1110084796
N/A
DFE
CORP
CH
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-84204791.670000
USD
74345000.000000
CHF
2024-01-19
4389969.810000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
JPY/USD FWD 20240119 BNPAFRPP
000000000
1.000000
NC
USD
891627.620000
0.0225464481
N/A
DFE
CORP
JP
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-79107954.170000
USD
11242862000.000000
JPY
2024-01-19
891627.620000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/JPY FWD 20240119 BNPAFRPP
000000000
1.000000
NC
USD
-1147411.320000
-0.0290144105
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-3577425054.000000
JPY
24308073.960000
USD
2024-01-19
-1147411.320000
N
N
N
N/A
N/A
JPN 10Y BOND(OSE) MAR24
000000000
-144.000000
NC
-490726.340000
-0.0124089202
N/A
DIR
CORP
JP
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Short
Japan Government Ten Year Bond
JAPAN
2024-03-13
-146214266.470000
USD
-490726.340000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
JPY/USD FWD 20240119 GSILGB2X
000000000
1.000000
NC
USD
-1395316.150000
-0.0352831411
N/A
DFE
CORP
JP
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-5917966847.000000
JPY
40714501.870000
USD
2024-01-19
-1395316.150000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
RSD/USD FWD 20240112 CITIGB2L
000000000
1.000000
NC
USD
-3360151.670000
-0.0849676295
N/A
DFE
CORP
RS
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-8779514497.000000
RSD
79309408.560000
USD
2024-01-12
-3360151.670000
N
N
N
N/A
N/A
KOREA 10YR BND FU MAR24
000000000
1206.000000
NC
2253770.030000
0.0569907301
N/A
DIR
CORP
KR
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Long
Korea Treasury Bond
KOREA TREASURY BOND
2024-03-19
104304904.570000
USD
2253770.030000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
COP/USD FWD 20240308 UBSWGB2L
000000000
1.000000
NC
USD
-4591150.100000
-0.1160956942
N/A
DFE
CORP
CO
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-326561156273.590027
COP
78523813.370000
USD
2024-03-08
-4591150.100000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
AUD/USD FWD 20240119 MSLNGB2X
000000000
1.000000
NC
USD
744.200000
0.0000188185
N/A
DFE
CORP
AU
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-1387354.890000
USD
2035516.160000
AUD
2024-01-19
744.200000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD/AUD FWD 20240119 MSLNGB2X
000000000
1.000000
NC
USD
-340986.340000
-0.0086224682
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-7064711.090000
AUD
4476719.960000
USD
2024-01-19
-340986.340000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
USD/NZD FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
-506434.780000
-0.0128061370
N/A
DFE
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-34036000.000000
NZD
21011336.240000
USD
2024-01-19
-506434.780000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
INR/USD FWD 20240117 BARCGB5G
000000000
1.000000
NC
USD
-137801.220000
-0.0034845579
N/A
DFE
CORP
IN
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-2731449826.140000
INR
32657411.900000
USD
2024-01-17
-137801.220000
N
N
N
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
MXN/USD FWD 20240119 DEUTGB2L
000000000
1.000000
NC
USD
338601.010000
0.0085621508
N/A
DFE
CORP
MX
N
2
DEUTSCHE BANK
7LTWFZYICNSX8D621K86
-12174944.040000
USD
213274928.030000
MXN
2024-01-19
338601.010000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
NZD/USD FWD 20240119 UBSWGB2L
000000000
1.000000
NC
USD
-1620325.570000
-0.0409729191
N/A
DFE
CORP
NZ
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-34947756.000000
NZD
20473863.270000
USD
2024-01-19
-1620325.570000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
SEK/USD FWD 20240223 BNPAFRPP
000000000
1.000000
NC
USD
466976.960000
0.0118083733
N/A
DFE
CORP
SE
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-40846147.610000
USD
415776000.000000
SEK
2024-02-23
466976.960000
N
N
N
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
CNH/USD FWD 20240315 MRMDUS33
000000000
1.000000
NC
USD
-81468.630000
-0.0020600845
N/A
DFE
CORP
CN
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
-307195959.640000
CNY
43257996.840000
USD
2024-03-15
-81468.630000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
CZK/USD FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
98592.350000
0.0024930893
N/A
DFE
CORP
CZ
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-3862591.900000
USD
88650763.950000
CZK
2024-01-19
98592.350000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
BAHRAIN CDS 6/20/2026
000000000
1.000000
NC
USD
138014.640000
0.0034899546
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Bahrain Government International Bond
BAHRAIN
Y
Default Event
2026-06-20
371835.360000
USD
0.000000
USD
-15413000.000000
USD
-233820.720000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
ARCELORMITTAL CDS 12/20/2025
000000000
1.000000
NC
1142318.410000
0.0288856269
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
ARCELORMITTAL
Y
Default Event
2025-12-20
1231181.170000
USD
0.000000
USD
12000000.000000
EUR
-88862.760000
N
N
N
Glencore Finance Europe Ltd
213800WHKNIC1JQQG433
ICE_GLENCORE INTERNATIONAL CDS 12/20/2026
000000000
1.000000
NC
-988249.470000
-0.0249897097
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
609967.810000
N
N
N
N/A
N/A
LCH - GBP SONIA IRS 9/27/51 PAY FIX
000000000
1.000000
NC
15929681.550000
0.4028113647
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
15931513.400000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
ARCELORMITTAL CDS 12/20/2025
000000000
1.000000
NC
1613524.750000
0.0408009479
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
ARCELORMITTAL
Y
Default Event
2025-12-20
1240432.320000
USD
0.000000
USD
16950000.000000
EUR
373092.430000
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
ICE_OCCIDENTAL PETROLEUM CDS 06/20/2027
000000000
1.000000
NC
USD
-118679.110000
-0.0030010201
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Occidental Petroleum Corp
OCCIDENTAL PETROLEUM COR
Y
Default Event
2027-06-21
1019029.290000
USD
0.000000
USD
-20025000.000000
USD
-1137708.400000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
MURPHY OIL CORP CDS 06/20/2027
000000000
1.000000
NC
USD
5268.060000
0.0001332126
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Murphy Oil Corp
MURPHY OIL CORPORATION
Y
Default Event
2027-06-21
182473.010000
USD
0.000000
USD
-2045000.000000
USD
-177204.950000
N
N
N
N/A
N/A
LCH - EUR ZCIS 8/15/27 REC CPI
000000000
1.000000
NC
-1002042.480000
-0.0253384914
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
-1002291.260000
N
N
N
N/A
N/A
LCH - EUR ZCIS 8/15/27 REC CPI
000000000
1.000000
NC
-924929.310000
-0.0233885427
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
-925178.090000
N
N
N
N/A
N/A
LCH - EUR ZCIS 8/15/27 REC CPI
000000000
1.000000
NC
-1385278.790000
-0.0350293280
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
-1385528.420000
N
N
N
N/A
N/A
LCH - EUR ZCIS 8/15/27 REC CPI
000000000
1.000000
NC
-998641.900000
-0.0252525015
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
-998839.240000
N
N
N
Murphy Oil Corp
QBKYQD0ODE7DC7PDIN91
ICE_MURPHY OIL CORP CDS 06/20/2027
000000000
1.000000
NC
USD
21072.210000
0.0005328497
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
-879477.790000
N
N
N
Republic of South Africa Government International Bond
378900AAFB4F17004C49
ICE_SOUTH AFRICA CDS 12/20/2027
000000000
1.000000
NC
USD
1632202.640000
0.0412732527
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
-4134431.840000
N
N
N
N/A
N/A
ICE_MACY'S INC CDS 12/20/2027
000000000
1.000000
NC
USD
1187460.750000
0.0300271342
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
2694037.410000
USD
0.000000
USD
-14966000.000000
USD
-1506576.660000
N
N
N
Xerox Corp
4KF48RN45X1OO8UBLY20
ICE_XEROX CORP CDS 12/20/2027
000000000
1.000000
NC
USD
1096314.310000
0.0277223284
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
-1673776.300000
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
ICE_APACHE CORP CDS 12/20/2027
000000000
1.000000
NC
USD
37396.780000
0.0009456465
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
-257931.140000
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
ICE_OCCIDENTAL PETROLEUM CDS 12/20/2027
000000000
1.000000
NC
USD
-16891.890000
-0.0004271426
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
-72092.530000
N
N
N
Sanofi SA
549300E9PC51EN656011
ICE_SANOFI CDS 12/20/2027
000000000
1.000000
NC
-439682.620000
-0.0111181856
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Sanofi SA
SANOFI
Y
Default Event
2027-12-20
0.000000
USD
-313875.420000
USD
-14200000.000000
EUR
-125807.200000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S33 V13 5Y PRC 12/20/2024
000000000
1.000000
NC
USD
-8495341.400000
-0.2148203686
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
-2862919.040000
USD
-235944000.000000
USD
-5632422.360000
N
N
N
N/A
N/A
LCH - GBP SONIA IRS 10/11/72 PAY FIX
000000000
1.000000
NC
-4143691.550000
-0.1047808798
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
-4145585.630000
N
N
N
Gap Inc/The
T2ZG1WRWZ4BUCMQL9224
ICE_GAP INC/THE CDS 12/20/2027
000000000
1.000000
NC
USD
785474.720000
0.0198621763
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
-2896712.780000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2315005.560000
-0.0585391833
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
-1372575.840000
USD
-21956000.000000
USD
-942429.720000
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
ICE_IRON MOUNTAIN INC CDS 12/20/2027
000000000
1.000000
NC
USD
-2647667.380000
-0.0669511507
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
-456737.200000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-151423.270000
-0.0038290165
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
-94346.900000
USD
-1083000.000000
USD
-57076.370000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2315427.310000
-0.0585498481
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
-1400321.950000
USD
-21960000.000000
USD
-915105.360000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-100948.840000
-0.0025526775
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
-75411.130000
USD
-722000.000000
USD
-25537.710000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064
000000000
1.000000
NC
USD
1991396.410000
0.0503561294
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
1951367.700000
USD
0.000000
USD
-10840000.000000
USD
40028.710000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-2737416.150000
-0.0692206138
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
-967346.750000
USD
-21965000.000000
USD
-1770069.400000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2381958.950000
-0.0602322232
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
-1490956.750000
USD
-22591000.000000
USD
-891002.200000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2382064.380000
-0.0602348892
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
-1509703.220000
USD
-22592000.000000
USD
-872361.160000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2381958.950000
-0.0602322232
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
-1527501.920000
USD
-22591000.000000
USD
-854457.030000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064
000000000
1.000000
NC
USD
2020789.700000
0.0510993929
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
1904283.930000
USD
0.000000
USD
-11000000.000000
USD
116505.770000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-271247.590000
-0.0068589954
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
-202732.010000
USD
-1940000.000000
USD
-68515.580000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
POST HOLDINGS INC CDS 12/20/2027
000000000
1.000000
NC
USD
-271247.590000
-0.0068589954
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
-213786.550000
USD
-1940000.000000
USD
-57461.040000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2719783.590000
-0.0687747420
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
-1714682.680000
USD
-25795000.000000
USD
-1005100.910000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
HYBB CDSI S39 5Y 12/20/2027
000000000
1.000000
NC
USD
-2719783.590000
-0.0687747420
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
-1804443.700000
USD
-25795000.000000
USD
-915339.890000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064
000000000
1.000000
NC
USD
1883008.590000
0.0476153436
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
1713788.710000
USD
0.000000
USD
-10250000.000000
USD
169219.880000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-1368396.510000
-0.0346024284
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
-661279.670000
USD
-10980000.000000
USD
-707116.840000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-2737416.150000
-0.0692206138
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
-1178302.940000
USD
-21965000.000000
USD
-1559113.210000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-2737416.150000
-0.0692206138
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
-1187824.090000
USD
-21965000.000000
USD
-1549592.060000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-1368645.760000
-0.0346087312
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
-598316.990000
USD
-10982000.000000
USD
-770328.770000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/25/33 REC CPI
000000000
1.000000
NC
USD
-5361.010000
-0.0001355630
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
-5611.010000
N
N
N
N/A
N/A
LCH - USD ZCIS 1/25/33 REC CPI
000000000
1.000000
NC
USD
2000.440000
0.0000505848
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
1750.440000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-1368770.390000
-0.0346118827
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
-713875.380000
USD
-10983000.000000
USD
-654895.010000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-2721339.360000
-0.0688140826
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
-1403127.410000
USD
-21836000.000000
USD
-1318211.950000
N
N
N
Carnival Corp
F1OF2ZSX47CR0BCWA982
ICE_CARNIVAL CORP CDS 12/20/2024
000000000
1.000000
NC
USD
-23190.620000
-0.0005864176
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
807684.380000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S39 5Y 25-35 12/20/2027
000000000
1.000000
NC
USD
-1909773.050000
-0.0482921323
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
-996196.560000
USD
-15324000.000000
USD
-913576.490000
N
N
N
N/A
N/A
LCH - NZD IRS 2/21/25 REC FIX
000000000
1.000000
NC
1606633.440000
0.0406266884
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
1606384.560000
N
N
N
N/A
N/A
LCH - NZD IRS 2/21/25 REC FIX
000000000
1.000000
NC
2342104.140000
0.0592244209
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
2341855.260000
N
N
N
N/A
N/A
LCH - NZD IRS 2/28/25 REC FIX
000000000
1.000000
NC
1942870.390000
0.0491290595
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
1942622.880000
N
N
N
N/A
N/A
LCH - NZD IRS 2/28/25 REC FIX
000000000
1.000000
NC
253798.040000
0.0064177513
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
253550.530000
N
N
N
N/A
N/A
LCH - NZD IRS 3/1/2025 REC FIX
000000000
1.000000
NC
2425035.630000
0.0613214965
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
2425035.630000
N
N
N
N/A
N/A
LCH - USD ZCIS 3/27/33 REC CPI
000000000
1.000000
NC
USD
-205951.030000
-0.0052078515
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
-205951.030000
N
N
N
N/A
N/A
LCH - USD ZCIS 3/27/33 REC CPI
000000000
1.000000
NC
USD
-233590.440000
-0.0059067649
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
-233590.440000
N
N
N
Carnival Corp
F1OF2ZSX47CR0BCWA982
ICE_CARNIVAL CORP CDS 06/20/2024 BOFA
000000000
1.000000
NC
USD
3058.190000
0.0000773320
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
368983.190000
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
ICE_BOMBARDIER INC CDS 06/20/2028 MSLN
000000000
1.000000
NC
USD
-2881393.280000
-0.0728613410
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
-1806777.690000
USD
-43520000.000000
USD
-1074615.590000
N
N
N
N/A
N/A
LCH - INR IRS 5/26/2028 REC FIX CHAS
000000000
1.000000
NC
-120543.770000
-0.0030481714
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
-120543.770000
N
N
N
N/A
N/A
LCH - NZD IRS 5/29/2025 REC FIX CITI
000000000
1.000000
NC
250515.700000
0.0063347513
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
250515.700000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064 MSLN
000000000
1.000000
NC
USD
4317141.650000
0.1091668854
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
6959573.530000
USD
0.000000
USD
-23500000.000000
USD
-2642431.880000
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
23384.930000
0.0005913311
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
178350000.000000
7.368
USD
2024-01-15
XXXX
-1465837.570000
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
17204.810000
0.0004350553
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
222950000.000000
1.2
USD
2024-01-31
XXXX
-2544490.690000
N
N
N
N/A
N/A
LCH - NZD IRS 7/4/25 REC FIX CITI
000000000
1.000000
NC
1047981.660000
0.0265001482
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_NZD-BBR-FRA
Y
2025-07-04
0.000000
USD
0.000000
USD
78000000.000000
NZD
1047981.660000
N
N
N
N/A
N/A
CME - CZK IRS 7/19/28 REC FIX GSIL
000000000
1.000000
NC
222832.690000
0.0056347354
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CZK-PRIBOR-PRBO
Y
2028-07-19
0.000000
USD
0.000000
USD
582550000.000000
CZK
222832.690000
N
N
N
N/A
N/A
CME - CZK IRS 7/19/28 REC FIX GSIL
000000000
1.000000
NC
210630.520000
0.0053261810
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CZK-PRIBOR-PRBO
Y
2028-07-19
0.000000
USD
0.000000
USD
582550000.000000
CZK
210630.520000
N
N
N
N/A
N/A
CME - CZK IRS 7/20/28 REC FIX GSIL
000000000
1.000000
NC
282920.290000
0.0071541611
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CZK-PRIBOR-PRBO
Y
2028-07-20
0.000000
USD
0.000000
USD
1165100000.000000
CZK
282920.290000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 7/21/2028 PAY FIX MSLN
000000000
1.000000
NC
310641.890000
0.0078551529
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2028-07-24
0.000000
USD
0.000000
USD
-12048640000.000000
JPY
310641.890000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 7/21/2028 PAY FIX MSLN
000000000
1.000000
NC
477056.960000
0.0120632647
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2028-07-24
0.000000
USD
0.000000
USD
-18503260000.000000
JPY
477056.960000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CMBX BBB- CDSI S15 11/18/2064 MSLN
000000000
1.000000
NC
USD
3973607.400000
0.1004799885
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
5561654.060000
USD
0.000000
USD
-21630000.000000
USD
-1588046.660000
N
N
N
N/A
N/A
LCH - GBP SONIA IRS 8/8/53 PAY FIX BOFA
000000000
1.000000
NC
-259442.730000
-0.0065604877
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_GBP-SONIA-COMPOUND
Y
2053-08-08
0.000000
USD
-86.080000
USD
-1993000.000000
GBP
-259356.650000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
FXO_USD_OTC_E_CALL_TWD_USD_K_32.5_EFF_2023-08-23_MAT_2024-05-22 GSIL
000000000
1.000000
NC
USD
202196.090000
0.0051129009
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Call
Purchased
GOLDMAN SACHS & CO
70GB_FXO_USD_OTC_E_CALL_TWD_USD_K_32.5_EFF_2023-08-23_MAT_2024-05-22 GSIL
106920000.000000
32.5
USD
2024-05-22
XXXX
-901218.310000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
FXO_USD_OTC_E_CALL_GBP_USD_K_1.2_EFF_2023-08-23_MAT_2024-01-31 CITI
000000000
1.000000
NC
USD
13173.510000
0.0003331165
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N A
70GB_FXO_USD_OTC_E_CALL_GBP_USD_K_1.2_EFF_2023-08-23_MAT_2024-01-31 CITI
170710000.000000
1.2
USD
2024-01-31
XXXX
-1095790.040000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
FXO_USD_OTC_E_CALL_GBP_USD_K_1.12_EFF_2023-08-23_MAT_2024-01-31 CITI
000000000
1.000000
NC
USD
-78.830000
-0.0000019934
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK N A
70GB_FXO_USD_OTC_E_CALL_GBP_USD_K_1.12_EFF_2023-08-23_MAT_2024-01-31 CITI
-341420000.000000
1.12
USD
2024-01-31
XXXX
434095.290000
N
N
N
N/A
N/A
LCH - EUR IRS 9/11/53 PAY FIX CITI
000000000
1.000000
NC
-6962944.730000
-0.1760708938
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_EUR-EURIBOR-Reuters
Y
2053-09-11
0.000000
USD
0.000000
USD
-59868000.000000
EUR
-6962944.730000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 9/13/2028 PAY FIX BARC
000000000
1.000000
NC
-327700.110000
-0.0082865014
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2028-09-13
0.000000
USD
0.000000
USD
-8735555000.000000
JPY
-327700.110000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 9/13/2028 PAY FIX MSLN
000000000
1.000000
NC
-496049.160000
-0.0125435175
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2028-09-14
0.000000
USD
0.000000
USD
-12739350000.000000
JPY
-496049.160000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 9/13/2028 PAY FIX GSIL
000000000
1.000000
NC
-512607.400000
-0.0129622231
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2028-09-14
0.000000
USD
0.000000
USD
-11320342000.000000
JPY
-512607.400000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
FXO_USD_OTC_E_CALL_EUR_USD_K_1.05_EFF_2023-09-13_MAT_2024-09-12 CITI
000000000
1.000000
NC
USD
1187425.710000
0.0300262481
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N A
70GB_FXO_USD_OTC_E_CALL_EUR_USD_K_1.05_EFF_2023-09-13_MAT_2024-09-12 CITI
211363000.000000
1.05
USD
2024-09-12
XXXX
-1919975.440000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
FXO_USD_OTC_E_CALL_EUR_USD_K_0.995_EFF_2023-09-13_MAT_2024-09-12 CITI
000000000
1.000000
NC
USD
-372463.230000
-0.0094184194
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK N A
70GB_FXO_USD_OTC_E_CALL_EUR_USD_K_0.995_EFF_2023-09-13_MAT_2024-09-12 CITI
-211363000.000000
0.995
USD
2024-09-12
XXXX
849579.890000
N
N
N
N/A
N/A
LCH - EUR IRS 9/27/53 PAY FIX NBIL
000000000
1.000000
NC
-17212847.160000
-0.4352585727
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_EUR-EURIBOR-Reuters
Y
2053-09-29
0.000000
USD
0.000000
USD
-103797000.000000
EUR
-17212847.160000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S41 5Y 12/20/2028 BNPA
000000000
1.000000
NC
USD
19774270.830000
0.5000288922
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
MARKIT CDX NA HY
Y
Default Event
2028-12-20
1224381.210000
USD
0.000000
USD
328812660.000000
USD
18549889.620000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
FXO_USD_OTC_E_CALL_EUR_USD_K_1.0425_EFF_2023-09-27_MAT_2024-01-24 CITI
000000000
1.000000
NC
USD
5259.280000
0.0001329906
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N A
70GB_FXO_USD_OTC_E_CALL_EUR_USD_K_1.0425_EFF_2023-09-27_MAT_2024-01-24 CITI
170380000.000000
1.0425
USD
2024-01-24
XXXX
-1856994.020000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
SWAPTION_IRS_USD_OTC_E_PAYER_K_4.75_EFF_2023-10-04_MAT_2024-01-04 CITI
000000000
1.000000
NC
USD
0.000000
0.0000000000
N/A
DIR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N A
E57ODZWZ7FF32TWEFA76
N/A
E57ODZWZ7FF32TWEFA76
USD SOFR IRS 01/08/2034 PAY FIX
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
N/A
USD SOFR IRS 01/08/2034 PAY FIX
2034-01-08
0.000000
USD
0.000000
USD
N/A
USD
632316000.0000000000
USD
4.75
USD
2024-01-04
XXXX
-7651023.600000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S41 5Y 25-35 12/20/2028 GSIL
000000000
1.000000
NC
USD
-2867709.930000
-0.0725153323
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA
Y
Default Event
2028-12-20
0.000000
USD
-940428.340000
USD
-24050000.000000
USD
-1927281.590000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S41 5Y 25-35 12/20/2028 GSIL
000000000
1.000000
NC
USD
-2867829.180000
-0.0725183477
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA
Y
Default Event
2028-12-20
0.000000
USD
-998337.910000
USD
-24051000.000000
USD
-1869491.270000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDX HY CDST S41 5Y 25-35 12/20/2028 MSLN
000000000
1.000000
NC
USD
-5735539.110000
-0.1450336800
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
MARKIT CDX NA HY
Y
Default Event
2028-12-20
0.000000
USD
-2019584.120000
USD
-48101000.000000
USD
-3715954.990000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
SWAPTION_IRS_USD_OTC_E_PAYER_K_4.75_EFF_2023-10-10_MAT_2024-04-10 GSIL
000000000
1.000000
NC
USD
220771.220000
0.0055826073
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
N/A
FOR8UP27PHTHYVLBNG30
USD SOFR IRS 04/12/2034 PAY FIX
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
N/A
USD SOFR IRS 04/12/2034 PAY FIX
2034-04-12
0.000000
USD
0.000000
USD
N/A
USD
316830000.0000000000
USD
4.75
USD
2024-04-10
XXXX
-4737618.280000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S41 5Y 25-35 12/20/2028 GSIL
000000000
1.000000
NC
USD
-2867709.930000
-0.0725153323
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA HY
Y
Default Event
2028-12-20
0.000000
USD
-1311562.180000
USD
-24050000.000000
USD
-1556147.750000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
CDX HY CDST S41 5Y 25-35 12/20/2028 GSIL
000000000
1.000000
NC
USD
-2867829.180000
-0.0725183477
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO
MARKIT CDX NA HY
Y
Default Event
2028-12-20
0.000000
USD
-1101100.590000
USD
-24051000.000000
USD
-1766728.590000
N
N
N
N/A
N/A
LCH - GBP IRS SONIA 10/19/2053 PAY FIX RBOS
000000000
1.000000
NC
-572676.360000
-0.0144811775
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_GBP-SONIA-COMPOUND
Y
2053-10-20
0.000000
USD
-59.390000
USD
-2314000.000000
GBP
-572616.970000
N
N
N
N/A
N/A
LCH - EUR IRS 10/23/53 PAY FIX BARC
000000000
1.000000
NC
-3586134.850000
-0.0906820308
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_EUR-EURIBOR-Reuters
Y
2053-10-23
0.000000
USD
0.000000
USD
-18820000.000000
EUR
-3586134.850000
N
N
N
N/A
N/A
LCH - NZD IRS 10/25/25 REC FIX UBSW
000000000
1.000000
NC
979831.680000
0.0247768504
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_NZD-BBR-FRA
Y
2025-10-27
0.000000
USD
0.000000
USD
144307000.000000
NZD
979831.680000
N
N
N
N/A
N/A
LCH - JPY IRS TONA 10/23/2028 PAY FIX BARC
000000000
1.000000
NC
-91759.880000
-0.0023203177
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_JPY-TONA-OIS-COMPOUND
Y
2028-10-24
0.000000
USD
0.000000
USD
-1263282000.000000
JPY
-91759.880000
N
N
N
N/A
N/A
CME - CZK IRS 10/24/28 REC FIX DRAH
000000000
1.000000
NC
226002.050000
0.0057148785
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CZK-PRIBOR-PRBO
Y
2028-10-24
0.000000
USD
0.000000
USD
124000000.000000
CZK
226002.050000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
CDX HY CDST S41 5Y 25-35 12/20/2028 BOFA
000000000
1.000000
NC
USD
-2560548.990000
-0.0647482016
N/A
DCR
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA
MARKIT CDX NA HY
Y
Default Event
2028-12-20
0.000000
USD
-786110.340000
USD
-21474000.000000
USD
-1774438.650000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
FXO_USD_OTC_E_CALL_MXN_USD_K_19.25_EFF_2023-10-30_MAT_2024-01-04 UBSW
000000000
1.000000
NC
USD
-105.790000
-0.0000026751
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
Call
Written
UBS SECURITIES LLC
70GB_FXO_USD_OTC_E_CALL_MXN_USD_K_19.25_EFF_2023-10-30_MAT_2024-01-04 UBSW
-208462000.000000
19.25
USD
2024-01-04
XXXX
1675928.690000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
FXO_USD_OTC_E_CALL_MXN_USD_K_18.5_EFF_2023-10-30_MAT_2024-01-04 UBSW
000000000
1.000000
NC
USD
1060.010000
0.0000268043
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
Call
Purchased
UBS SECURITIES LLC
70GB_FXO_USD_OTC_E_CALL_MXN_USD_K_18.5_EFF_2023-10-30_MAT_2024-01-04 UBSW
208462000.000000
18.5
USD
2024-01-04
XXXX
-3607417.210000
N
N
N
N/A
N/A
LCH - CAD IRS 11/1/2033 PAY FIX BOFM
000000000
1.000000
NC
-3122748.180000
-0.0789644446
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-01
0.000000
USD
0.000000
USD
-46185600.000000
CAD
-3122748.180000
N
N
N
N/A
N/A
LCH - CAD IRS 11/1/2033 PAY FIX BNPA
000000000
1.000000
NC
-3055535.160000
-0.0772648395
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-01
0.000000
USD
0.000000
USD
-45518100.000000
CAD
-3055535.160000
N
N
N
N/A
N/A
LCH - CAD IRS 11/1/2033 PAY FIX ROYC
000000000
1.000000
NC
-3136506.890000
-0.0793123589
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-01
0.000000
USD
0.000000
USD
-45518200.000000
CAD
-3136506.890000
N
N
N
N/A
N/A
LCH - CAD IRS 11/1/2033 PAY FIX CHAS
000000000
1.000000
NC
-3136499.990000
-0.0793121844
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-01
0.000000
USD
0.000000
USD
-45518100.000000
CAD
-3136499.990000
N
N
N
N/A
N/A
LCH - CAD IRS 11/2/2033 PAY FIX CHAS
000000000
1.000000
NC
-1411505.110000
-0.0356925088
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-02
0.000000
USD
0.000000
USD
-22759100.000000
CAD
-1411505.110000
N
N
N
N/A
N/A
LCH - CAD IRS 11/2/2033 PAY FIX CITI
000000000
1.000000
NC
-1446220.600000
-0.0365703540
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-02
0.000000
USD
0.000000
USD
-23090100.000000
CAD
-1446220.600000
N
N
N
N/A
N/A
LCH - CAD IRS 11/2/2033 PAY FIX BOFA
000000000
1.000000
NC
-1407083.020000
-0.0355806881
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-02
0.000000
USD
0.000000
USD
-22759000.000000
CAD
-1407083.020000
N
N
N
N/A
N/A
LCH - CAD IRS 11/2/2033 PAY FIX ROYC
000000000
1.000000
NC
-1436849.610000
-0.0363333912
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-02
0.000000
USD
0.000000
USD
-23095500.000000
CAD
-1436849.610000
N
N
N
N/A
N/A
LCH - CAD IRS 11/2/2033 PAY FIX MSLN
000000000
1.000000
NC
-1417392.980000
-0.0358413945
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-02
0.000000
USD
0.000000
USD
-22759100.000000
CAD
-1417392.980000
N
N
N
N/A
N/A
LCH - CAD IRS 11/2/2033 PAY FIX BOFM
000000000
1.000000
NC
-1424016.830000
-0.0360088907
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-02
0.000000
USD
0.000000
USD
-22759100.000000
CAD
-1424016.830000
N
N
N
N/A
N/A
LCH - CAD IRS 11/2/2033 PAY FIX GSIL
000000000
1.000000
NC
-1415914.780000
-0.0358040155
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-02
0.000000
USD
0.000000
USD
-22759000.000000
CAD
-1415914.780000
N
N
N
N/A
N/A
LCH - CAD IRS 11/2/2033 PAY FIX BNPA
000000000
1.000000
NC
-1421808.890000
-0.0359530589
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-02
0.000000
USD
0.000000
USD
-22759100.000000
CAD
-1421808.890000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
CDX HY CDST S41 5Y 25-35 12/20/2028 CHAS
000000000
1.000000
NC
USD
-4557691.350000
-0.1152496280
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
MARKIT CDX NA HY
Y
Default Event
2028-12-20
0.000000
USD
-1297979.690000
USD
-38223000.000000
USD
-3259711.660000
N
N
N
N/A
N/A
LCH - CAD IRS 11/9/2033 PAY FIX CITI
000000000
1.000000
NC
-2236962.350000
-0.0565657169
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-09
0.000000
USD
0.000000
USD
-46788000.000000
CAD
-2236962.350000
N
N
N
N/A
N/A
LCH - CAD IRS 11/9/2033 PAY FIX BNPA
000000000
1.000000
NC
-1991683.850000
-0.0503633979
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-09
0.000000
USD
0.000000
USD
-41157000.000000
CAD
-1991683.850000
N
N
N
N/A
N/A
LCH - CAD IRS 11/9/2033 PAY FIX CHAS
000000000
1.000000
NC
-1981090.650000
-0.0500955293
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-09
0.000000
USD
0.000000
USD
-41158000.000000
CAD
-1981090.650000
N
N
N
N/A
N/A
LCH - CAD IRS 11/9/2033 PAY FIX CHAS
000000000
1.000000
NC
-1950448.700000
-0.0493206911
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_CAD-CORRA-OIS-COMPOUND
Y
2033-11-09
0.000000
USD
0.000000
USD
-41157000.000000
CAD
-1950448.700000
N
N
N
N/A
N/A
ICE_CDX HY CDSI S41 V2 5Y 12/20/2028 CITI
000000000
1.000000
NC
USD
18421589.580000
0.4658238531
N/A
DCR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
MARKIT CDX NA HY
Y
Default Event
2028-12-20
14233702.540000
USD
0.000000
USD
306319860.000000
USD
4187887.040000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
SWAPTION_CDX_USD_2I65BRAB1_OTC_E_PAYER_K_5_EFF_2023-11-28_MAT_2024-02-21 GSIL
000000000
1.000000
NC
USD
163209.570000
0.0041270549
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
N/A
FOR8UP27PHTHYVLBNG30
CDX HY S41 V2 5Y CDS 12/20/2028
000000000
0.000000
NC
USD
0.000000
N/A
DCR
CORP
US
N/A
CDX HY S41 V2 5Y CDS 12/20/2028
Default Event
2028-12-20
0.000000
USD
0.000000
USD
N/A
USD
212000000.0000000000
USD
99
USD
2024-02-21
XXXX
-711290.430000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
SWAPTION_CDX_USD_2I65BRAB1_OTC_E_PAYER_K_5_EFF_2023-11-29_MAT_2024-02-21 GSIL
000000000
1.000000
NC
USD
163209.570000
0.0041270549
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
N/A
FOR8UP27PHTHYVLBNG30
CDX HY S41 V2 5Y CDS 12/20/2028
000000000
0.000000
NC
USD
0.000000
N/A
DCR
CORP
US
N/A
CDX HY S41 V2 5Y CDS 12/20/2028
Default Event
2028-12-20
0.000000
USD
0.000000
USD
N/A
USD
212000000.0000000000
USD
99
USD
2024-02-21
XXXX
-493990.430000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
FXO_USD_OTC_E_CALL_INR_USD_K_83.5775_EFF_2023-12-01_MAT_2024-03-01 BOFA
000000000
1.000000
NC
USD
499188.020000
0.0126228893
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA
70GB_FXO_USD_OTC_E_CALL_INR_USD_K_83.5775_EFF_2023-12-01_MAT_2024-03-01 BOFA
121310000.000000
83.5775
USD
2024-03-01
XXXX
-313588.980000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
SWAPTION_IRS_USD_OTC_E_RECEIVER_K_2.25_EFF_2023-12-07_MAT_2025-12-08 CITI
000000000
1.000000
NC
USD
4280393.520000
0.1082376411
N/A
DIR
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK N A
E57ODZWZ7FF32TWEFA76
N/A
E57ODZWZ7FF32TWEFA76
USD SOFR IRS 12/10/2030 REC FIX
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
N/A
USD SOFR IRS 12/10/2030 REC FIX
2030-12-10
0.000000
USD
0.000000
USD
N/A
USD
397120000.0000000000
USD
2.25
USD
2025-12-08
XXXX
428329.520000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
SWAPTION_IRS_USD_OTC_E_RECEIVER_K_2_EFF_2023-12-07_MAT_2025-12-08 GSIL
000000000
1.000000
NC
USD
3296990.230000
0.0833704760
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Call
Purchased
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
N/A
FOR8UP27PHTHYVLBNG30
USD SOFR IRS 12/10/2030 REC FIX
000000000
0.000000
NC
USD
0.000000
N/A
DIR
CORP
US
N/A
USD SOFR IRS 12/10/2030 REC FIX
2030-12-10
0.000000
USD
0.000000
USD
N/A
USD
397120000.0000000000
USD
2
USD
2025-12-08
XXXX
199454.230000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
FXO_USD_OTC_E_PUT_JPY_USD_K_140_EFF_2023-12-07_MAT_2024-02-16 CITI
000000000
1.000000
NC
USD
3953884.420000
0.0999812566
N/A
DFE
CORP
US
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK N A
70GB_FXO_USD_OTC_E_PUT_JPY_USD_K_140_EFF_2023-12-07_MAT_2024-02-16 CITI
258134000.000000
140
USD
2024-02-16
XXXX
705108.010000
N
N
N
BARCLAYS
AC28XWWI3WIBK2824319
FXO_USD_OTC_E_PUT_JPY_USD_K_137_EFF_2023-12-07_MAT_2024-01-18 BARC
000000000
1.000000
NC
USD
1208865.520000
0.0305683932
N/A
DFE
CORP
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
Put
Purchased
BARCLAYS
70GB_FXO_USD_OTC_E_PUT_JPY_USD_K_137_EFF_2023-12-07_MAT_2024-01-18 BARC
476400000.000000
137
USD
2024-01-18
XXXX
-777722.480000
N
N
N
N/A
N/A
LCH - USD ZCIS 12/12/33 REC CPI CHAS
000000000
1.000000
NC
USD
-32561.870000
-0.0008233869
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-12-12
0.000000
USD
0.000000
USD
-39274000.000000
USD
-32561.870000
N
N
N
N/A
N/A
LCH - USD ZCIS 12/12/33 REC CPI CHAS
000000000
1.000000
NC
USD
-40502.210000
-0.0010241730
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-12-12
0.000000
USD
0.000000
USD
-39273000.000000
USD
-40502.210000
N
N
N
N/A
N/A
LCH - USD ZCIS 12/12/33 REC CPI BOFA
000000000
1.000000
NC
USD
-48100.840000
-0.0012163184
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-12-12
0.000000
USD
0.000000
USD
-39274000.000000
USD
-48100.840000
N
N
N
N/A
N/A
LCH - USD ZCIS 12/12/33 REC CPI BARC
000000000
1.000000
NC
USD
-135578.810000
-0.0034283602
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-12-12
0.000000
USD
0.000000
USD
-39274000.000000
USD
-135578.810000
N
N
N
N/A
N/A
LCH - USD ZCIS 12/12/33 REC CPI BARC
000000000
1.000000
NC
USD
-119141.040000
-0.0030127008
N/A
DO
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USA-CPI-U
Y
2033-12-12
0.000000
USD
0.000000
USD
-42415000.000000
USD
-119141.040000
N
N
N
N/A
N/A
LCH - EUR IRS 12/13/25 PAY FIX BOFA
000000000
1.000000
NC
-3745537.820000
-0.0947128288
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_EUR-EURIBOR-Reuters
Y
2025-12-15
0.000000
USD
0.000000
USD
-653000000.000000
EUR
-3745537.820000
N
N
N
N/A
N/A
LCH - GBP IRS 12/13/25 REC FIX CITI
000000000
1.000000
NC
4107165.050000
0.1038572399
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_GBP-SONIA-COMPOUND
Y
2025-12-15
10154.210000
USD
0.000000
USD
421389000.000000
GBP
4097010.840000
N
N
N
N/A
N/A
CME - USD IRS 12/18/33 PAY FIX NBIL
000000000
1.000000
NC
USD
-850166.540000
-0.0214980283
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USD-SOFR-COMPOUND
Y
2033-12-19
0.000000
USD
0.000000
USD
-119953000.000000
USD
-850166.540000
N
N
N
N/A
N/A
CME - USD IRS 12/18/25 REC FIX NBIL
000000000
1.000000
NC
USD
145455.870000
0.0036781198
N/A
DIR
CORP
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
70GB_USD-SOFR-COMPOUND
Y
2025-12-18
0.000000
USD
0.000000
USD
520849000.000000
USD
145455.870000
N
N
N
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
USD/CLP FWD 20240209 BNPAFRPP
000000000
1.000000
NC
USD
-243776.780000
-0.0061643453
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP
RCNB6OTYUAMMP879YW96
-22093693884.000000
CLP
24767882.120000
USD
2024-02-09
-243776.780000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
COP/USD FWD 20240308 MSLNGB2X
000000000
1.000000
NC
USD
-1835558.780000
-0.0464154876
N/A
DFE
CORP
CO
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-205384040458.119995
COP
50437918.000000
USD
2024-03-08
-1835558.780000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/MXN FWD 20240119 GSILGB2X
000000000
1.000000
NC
USD
-98944.580000
-0.0025019961
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-28897972.010000
USD
490836967.200000
MXN
2024-01-19
-98944.580000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/HUF FWD 20240112 UBSWGB2L
000000000
1.000000
NC
USD
-981036.780000
-0.0248073235
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-14367715000.000000
HUF
40349116.080000
USD
2024-01-12
-981036.780000
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
ILS/USD FWD 20240118 MSLNGB2X
000000000
1.000000
NC
USD
265286.480000
0.0067082577
N/A
DFE
CORP
IL
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
-2305502.460000
USD
9303855.170000
ILS
2024-01-18
265286.480000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/JPY FWD 20240119 UBSWGB2L
000000000
1.000000
NC
USD
-3914018.940000
-0.0989731845
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-22709996387.000000
JPY
157680974.700000
USD
2024-01-19
-3914018.940000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
JPY/USD FWD 20240119 UBSWGB2L
000000000
1.000000
NC
USD
511301.800000
0.0129292086
N/A
DFE
CORP
JP
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-73919735.530000
USD
10460278198.000000
JPY
2024-01-19
511301.800000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
TWD/USD FWD 20240117 CITIGB2L
000000000
1.000000
NC
USD
-1323355.050000
-0.0334634721
N/A
DFE
CORP
TW
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-815645097.000000
TWD
25422968.460000
USD
2024-01-17
-1323355.050000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
KRW/USD FWD 20240117 GSILGB2X
000000000
1.000000
NC
USD
-1526874.430000
-0.0386098348
N/A
DFE
CORP
KR
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-58171302270.000000
KRW
43540742.110000
USD
2024-01-17
-1526874.430000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
ILS/USD FWD 20240118 SBOSGB2X
000000000
1.000000
NC
USD
656039.770000
0.0165891750
N/A
DFE
CORP
IL
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-5623071.660000
USD
22724519.500000
ILS
2024-01-18
656039.770000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
ILS/USD FWD 20240118 GSILGB2X
000000000
1.000000
NC
USD
1441665.060000
0.0364551588
N/A
DFE
CORP
IL
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-13364594.940000
USD
53584834.080000
ILS
2024-01-18
1441665.060000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
JPY/USD FWD 20240119 SBOSGB2X
000000000
1.000000
NC
USD
7869828.230000
0.1990031150
N/A
DFE
CORP
JP
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-161492033.950000
USD
23801524983.000000
JPY
2024-01-19
7869828.230000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/JPY FWD 20240119 SBOSGB2X
000000000
1.000000
NC
USD
-2319769.770000
-0.0586596552
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-7154957434.000000
JPY
48591964.490000
USD
2024-01-19
-2319769.770000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/BRL FWD 20240304 GSILGB2X
000000000
1.000000
NC
USD
334240.950000
0.0084518986
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-40240404.120000
USD
198353000.000000
BRL
2024-03-04
334240.950000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
TWD/USD FWD 20240117 CITIGB2L
000000000
1.000000
NC
USD
-1319657.040000
-0.0333699611
N/A
DFE
CORP
TW
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-815318904.000000
TWD
25415970.070000
USD
2024-01-17
-1319657.040000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
EUR/USD FWD 20240119 BOFAUS6N
000000000
1.000000
NC
USD
6876386.930000
0.1738821203
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-202192555.780000
USD
189217000.000000
EUR
2024-01-19
6876386.930000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
EUR/USD FWD 20240119 SBOSGB2X
000000000
1.000000
NC
USD
146070.390000
0.0036936591
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-13643383.460000
USD
12480089.370000
EUR
2024-01-19
146070.390000
N
N
N
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
USD/EUR FWD 20240119 SBOSGB2X
000000000
1.000000
NC
USD
-4050112.580000
-0.1024145630
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS LLC
549300FDEDF5ORXCMQ56
-120029350.650000
EUR
128572270.370000
USD
2024-01-19
-4050112.580000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
CNH/USD FWD 20240315 UBSWGB2L
000000000
1.000000
NC
USD
-71243.240000
-0.0018015167
N/A
DFE
CORP
CN
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-134611706.230000
CNY
18919889.980000
USD
2024-03-15
-71243.240000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC24
000000000
3958.000000
NC
USD
740659.970000
0.0187289528
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
2025-03-18
951850990.030000
USD
740659.970000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC24
000000000
3958.000000
NC
USD
740659.970000
0.0187289528
N/A
DIR
CORP
US
N
1
MERRILL LYNCH PIERCE FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Long
United States 90 Day Average SOFR Secured Overnight Financing Rate
US 90 DAY AVERAGE SOFR
2025-03-18
951850990.030000
USD
740659.970000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC25
000000000
-2463.000000
NC
USD
-1025755.840141
-0.0259381274
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
2026-03-17
-595851506.662970
USD
-1025755.840141
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC25
000000000
-3958.000000
NC
USD
-1648372.560000
-0.0416821390
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
2026-03-17
-957523452.445000
USD
-1648372.560000
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC25
000000000
-1495.000000
NC
USD
-622616.719859
-0.0157440116
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
2026-03-17
-361671945.782030
USD
-622616.719859
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/NZD FWD 20240119 BOFAUS6N
000000000
1.000000
NC
USD
-1599481.390000
-0.0404458356
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-34808244.000000
NZD
20406507.090000
USD
2024-01-19
-1599481.390000
N
N
N
N/A
N/A
BONA FIDE INVSTMNT HLDNG LLC A
TC1FCHS82
0.000000
NS
USD
1506577.460000
0.0380965885
Long
EC
CORP
US
Y
N/A
N
N
N
N/A
N/A
Fortenova STAK Stichting
000000000
597196.000000
NS
250524.320000
0.0063349693
Long
EC
CORP
NL
Y
2
N
N
N
N/A
N/A
Fortenova Group TopCo B.V.
000000000
2557406.039000
PA
1072834.390000
0.0271285953
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
4219560.660000
0.1066993701
Long
EC
CORP
US
Y
N/A
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
GBP/USD FWD 20240223 GSILGB2X
000000000
1.000000
NC
USD
806181.540000
0.0203857865
N/A
DFE
CORP
GB
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-59635187.630000
USD
47404194.410000
GBP
2024-02-23
806181.540000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
THB/USD FWD 20240308 GSILGB2X
000000000
1.000000
NC
USD
-15151.160000
-0.0003831250
N/A
DFE
CORP
TH
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-26823382.210000
THB
775421.550000
USD
2024-03-08
-15151.160000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
USD/CLP FWD 20240209 GSILGB2X
000000000
1.000000
NC
USD
-116286.240000
-0.0029405120
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-22428446823.000000
CLP
25274337.190000
USD
2024-02-09
-116286.240000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)MAR24
000000000
-713.000000
NC
USD
-1869305.992078
-0.0472688481
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
United States Treasury Note/Bond
US TREASURY N/B
2024-03-19
-78621713.197922
USD
-1869305.992078
N
N
N
N/A
N/A
US 10YR NOTE (CBT)MAR24
000000000
-2333.000000
NC
USD
-6116536.997922
-0.1546679139
N/A
DIR
CORP
US
N
1
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Short
United States Treasury Note/Bond
US TREASURY N/B
2024-03-19
-257257302.792078
USD
-6116536.997922
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
USD/MXN FWD 20240112 BOFAUS6N
000000000
1.000000
NC
USD
-1476695.180000
-0.0373409599
N/A
DFE
CORP
US
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-977772000.000000
MXN
55962660.880000
USD
2024-01-12
-1476695.180000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
AUD/USD FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
4084241.870000
0.1032775851
N/A
DFE
CORP
AU
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-81287095.540000
USD
125189000.000000
AUD
2024-01-19
4084241.870000
N
N
N
CITIBANK N A
E57ODZWZ7FF32TWEFA76
AUD/USD FWD 20240119 CITIGB2L
000000000
1.000000
NC
USD
-5547372.320000
-0.1402755358
N/A
DFE
CORP
AU
N
2
CITIBANK N A
E57ODZWZ7FF32TWEFA76
-197736000.000000
AUD
129296637.740000
USD
2024-01-19
-5547372.320000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/EUR FWD 20240119 UBSWGB2L
000000000
1.000000
NC
USD
18412661.450000
0.4655980889
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-447793885.920000
USD
421938347.840000
EUR
2024-01-19
18412661.450000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
AUD/USD FWD 20240119 CHASGB2L
000000000
1.000000
NC
USD
2825584.420000
0.0714501111
N/A
DFE
CORP
AU
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
-42177466.460000
USD
65992722.000000
AUD
2024-01-19
2825584.420000
N
N
N
N/A
N/A
US 10YR ULTRA FUT MAR24
000000000
-1100.000000
NC
USD
-4112999.000000
-0.1040047621
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
United States Treasury Note/Bond
US TREASURY N/B
2024-03-19
-125704194.000000
USD
-4112999.000000
N
N
N
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
ILS/USD FWD 20240118 BARCGB5G
000000000
1.000000
NC
USD
742654.760000
0.0187793947
N/A
DFE
CORP
IL
N
2
Barclays Bank PLC - Wholesale (SING)
G5GSEF7VJP5I7OUK5573
-6563326.530000
USD
26440829.430000
ILS
2024-01-18
742654.760000
N
N
N
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
AUD/USD FWD 20240119 GSILGB2X
000000000
1.000000
NC
USD
-702218.470000
-0.0177568886
N/A
DFE
CORP
AU
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
-15149161.380000
AUD
9628594.680000
USD
2024-01-19
-702218.470000
N
N
N
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
ILS/USD FWD 20240118 BOFAUS6N
000000000
1.000000
NC
USD
472698.020000
0.0119530409
N/A
DFE
CORP
IL
N
2
BANK OF AMERICA
B4TYDEB6GKMZO031MB27
-4282875.130000
USD
17210733.720000
ILS
2024-01-18
472698.020000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/CLP FWD 20240209 UBSWGB2L
000000000
1.000000
NC
USD
-304278.350000
-0.0076942390
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-22428446823.000000
CLP
25086345.080000
USD
2024-02-09
-304278.350000
N
N
N
N/A
N/A
US ULTRA BOND CBT MAR24
000000000
-7609.000000
NC
USD
-98333313.610000
-2.4865391140
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
United States Treasury Note/Bond
US TREASURY N/B
2024-03-19
-918181530.140000
USD
-98333313.610000
N
N
N
N/A
N/A
AUST 10Y BOND FUT MAR24
000000000
7468.000000
NC
17253105.400000
0.4362765765
N/A
DIR
CORP
AU
N
1
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Long
Australia Government Bond
AUSTRALIA
2024-03-15
555823572.220000
USD
17253105.400000
N
N
N
Times China Holdings Ltd
2549000KTINB9ZPZP710
TIMES CHINA HOLDINGS LTD
BK2863672
12750000.000000
PA
USD
306000.000000
0.0077377741
Long
DBT
CORP
KY
N
2
2025-07-08
Fixed
6.75
Y
Y
N
N
N
N
Times China Holdings Ltd
2549000KTINB9ZPZP710
TIMES CHINA HOLDINGS LTD
ZO4873378
3220000.000000
PA
USD
88550.000000
0.0022391500
Long
DBT
CORP
KY
N
2
2026-03-22
Fixed
6.2
Y
Y
N
N
N
N
Volkswagen Bank GmbH
529900GJD3OQLRZCKW37
VOLKSWAGEN BANK GMBH
ZK3696372
4300000.000000
PA
4801385.450000
0.1214118826
Long
DBT
CORP
DE
N
2
2026-01-07
Fixed
4.25
N
N
N
N
N
Albania Government International Bond
254900EDM43U3SGRND29
ALBANIA GOVERNMENT INTERNATIONAL BOND
ZK8858829
7210000.000000
PA
8154088.770000
0.2061911668
Long
DBT
NUSS
AL
N
2
2028-06-09
Fixed
5.9
N
N
N
N
N
N
Magyar Export-Import Bank Zrt
529900O4UGETQ9Q3AA63
MAGYAR EXPORT-IMPORT BANK ZRT
ZH9750469
3060000.000000
PA
3593575.170000
0.0908701730
Long
DBT
NUSS
HU
N
2
2029-05-16
Fixed
6.0
N
N
N
N
N
N
2024-02-02
T. ROWE PRICE INTERNATIONAL FUNDS, INC.
/s/ Alan Dupski
Alan Dupski
Treasurer & Vice President