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