0001752724-22-043909.txt : 20220224
0001752724-22-043909.hdr.sgml : 20220224
20220224151928
ACCESSION NUMBER: 0001752724-22-043909
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220224
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price International Funds, Inc.
CENTRAL INDEX KEY: 0000313212
IRS NUMBER: 521175211
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02958
FILM NUMBER: 22670241
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
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C000219340
C000151118
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
2021-12-31
2021-12-31
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AUD
BRL
CAD
CLP
CNY
EUR
GBP
IDR
ILS
INR
JPY
KRW
MXN
NZD
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PLN
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RSD
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USD
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CHICAGO MERCANTILE EXCHANGE INC.
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DIR
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CHICAGO MERCANTILE EXCHANGE INC.
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USD
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Towd Point Mortgage Trust
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Towd Point Mortgage Trust 2017-6
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PA
USD
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0.045315204167
Long
ABS-MBS
CORP
US
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2
2057-10-25
Variable
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N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
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AerCap Ireland Capital DAC / AerCap Global Aviation Trust
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USD
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0.112972590389
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DBT
CORP
IE
N
2
2022-05-26
Fixed
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N
N
N
N
N
PUERTO RICO CMWLTH
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USD
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DBT
MUN
US
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2
2037-07-01
Fixed
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Y
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Default Event
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USD
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USD
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EUR
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N
N
N
BNP PARIBAS SECURITIES CORP.
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USD/ZAR FORWARD
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USD
254574.36000000
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DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
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35463975.54000000
USD
2022-02-18
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N
CHICAGO MERCANTILE EXCHANGE INC.
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IRS CAD
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N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
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2049-10-03
399.19000000
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0.00000000
USD
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CAD
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N
CHINA GOVERNMENT BOND
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China Government Bond
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PA
74973276.38000000
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Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
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USD/ZAR FORWARD
000000000
1.00000000
NC
USD
110787.30000000
0.002444837106
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
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-226921303.07000000
ZAR
14253223.98000000
USD
2022-02-18
110787.30000000
N
N
N
Drive Auto Receivables Trust
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Drive Auto Receivables Trust 2020-2
26208VAG1
2975000.00000000
PA
USD
3053914.85000000
0.067393323476
Long
ABS-O
CORP
US
N
2
2028-05-15
Fixed
3.05000000
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N
N
N
N
N
MORGAN STANLEY & CO. LLC
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NASDAQ 100 INDEX
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USD
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DE
CORP
US
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2
MORGAN STANLEY & CO. LLC
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Put
Purchased
NASDAQ
NASDAQ 100 INDEX
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USD
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XXXX
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N
N
KAISA GROUP HOLDINGS LTD
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Kaisa Group Holdings Ltd
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2800000.00000000
PA
USD
732200.00000000
0.016158077049
Long
DBT
CORP
KY
N
2
2025-11-11
Fixed
11.70000000
Y
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
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DIR
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US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
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2026-11-16
249.24000000
USD
0.00000000
USD
1516780000.00000000
MXN
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HSBC SECURITIES (USA) INC.
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USD/MYR FORWARD
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NC
USD
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DFE
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HSBC SECURITIES (USA) INC.
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MYR
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AVOLON HOLDINGS FNDG LTD
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Avolon Holdings Funding Ltd
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PA
USD
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Long
DBT
CORP
KY
N
2
2028-02-21
Fixed
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N
N
UK CLEARING HOUSE LIMITED
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ZCS IFS USD
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NC
USD
2137847.58000000
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N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-29
250.00000000
USD
0.00000000
USD
-57626000.00000000
USD
2137597.58000000
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
11200000.00000000
PA
USD
10306800.00000000
0.227448878087
Long
DBT
CORP
KY
N
2
2027-04-12
Fixed
4.37500000
N
N
N
N
N
REALPAGE INC
5493001RSFZX4122A604
RealPage Inc
75605VAD4
2715000.00000000
PA
USD
2705253.15000000
0.059699110675
Long
LON
CORP
US
N
2
2028-04-22
Floating
3.75000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
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CZK/USD FORWARD
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1.00000000
NC
USD
3394651.89000000
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DFE
CORP
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DEUTSCHE BANK AKTIENGESELLSCHAFT
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CZK
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3394651.89000000
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N
N
CHICAGO MERCANTILE EXCHANGE INC.
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IRS PLN
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DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
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2029-05-02
400.07000000
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PLN
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GOLDMAN SACHS INTERNATIONAL
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CDS BARRICK GOLD CORP
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USD
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DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BARRICK GOLD CORP
BARRICK GOLD CORP
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Default Event
2026-06-20
0.00000000
USD
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USD
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USD
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N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
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N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
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2031-07-15
247.82000000
USD
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PLN
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N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
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PA
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Long
DBT
NUSS
ZA
N
2
2048-02-28
Fixed
8.75000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
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PA
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Long
DBT
NUSS
TH
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2
2028-03-12
Fixed
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N
N
N
N
N
GOLDMAN SACHS & CO. LLC
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USD/EUR FORWARD
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USD
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2
GOLDMAN SACHS & CO. LLC
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EUR
2022-01-21
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CORELOGIC INC
54930086CD8K2UIL0516
CoreLogic Inc
21871DAD5
11695000.00000000
PA
USD
11578050.00000000
0.255502627676
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.50000000
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N
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N
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KOREA TREASURY BOND
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Korea Treasury Bond
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Long
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KR
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2
2031-06-10
Fixed
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HSBC SECURITIES (USA) INC.
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INR/USD FORWARD
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HSBC SECURITIES (USA) INC.
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EUR/USD FORWARD
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USD
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DFE
CORP
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HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
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40731677.61000000
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2022-01-21
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HSBC SECURITIES (USA) INC.
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IRS CAD
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-121305.64000000
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DIR
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
Y
2048-09-25
399.26000000
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0.00000000
USD
-850000.00000000
CAD
-121704.90000000
N
N
N
1MDB GLOBAL INVESTMENTS
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1MDB Global Investments Ltd
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USD
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0.363207178049
Long
DBT
NUSS
VG
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NZD/USD FORWARD
000000000
1.00000000
NC
USD
-22183.70000000
-0.00048954648
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-967848.00000000
USD
1381105.00000000
NZD
2022-01-21
-22183.70000000
N
N
N
Hardee's Funding LLC and Carls
N/A
Hardee's Funding LLC
411707AH5
4529250.00000000
PA
USD
4740883.74000000
0.104621093628
Long
ABS-O
CORP
US
N
2
2050-12-20
Fixed
3.98100000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/KRW FORWARD
000000000
1.00000000
NC
USD
-320480.10000000
-0.00707230558
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-20300302.17000000
USD
23770638823.00000000
KRW
2022-01-21
-320480.10000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
216485000.00000000
PA
12542134.49000000
0.276777896007
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IDR/USD FORWARD
000000000
1.00000000
NC
USD
18464.94000000
0.000407481457
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2583297.22000000
USD
37039315500.00000000
IDR
2022-01-21
18464.94000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
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157717.73000000
0.003480490622
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-03-19
396.60000000
USD
0.00000000
USD
-38257756.00000000
PLN
157321.13000000
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
5669670000.00000000
PA
60865140.20000000
1.343162558032
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
N
N
N
SHIMAO GROUP HOLDINGS LT
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
18390000.00000000
PA
USD
11015610.00000000
0.243090788212
Long
DBT
CORP
KY
N
2
2031-01-11
Fixed
3.45000000
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
KRW/USD FORWARD
000000000
1.00000000
NC
USD
805904.67000000
0.017784580377
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-60761360000.00000000
KRW
51877361.79000000
USD
2022-01-21
805904.67000000
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
7490000.00000000
PA
USD
2052260.00000000
0.045288958216
Long
DBT
CORP
KY
N
2
2022-10-22
Fixed
11.95000000
N
N
N
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514LH26
2655000.00000000
PA
USD
2625131.25000000
0.057930992902
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
5.12500000
Y
Y
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
192228.23000000
0.004242063031
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-09-17
402.98000000
USD
0.00000000
USD
-29420000.00000000
PLN
191825.25000000
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AD4
10919055.04000000
PA
USD
11454951.34000000
0.252786105370
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/CAD FORWARD
000000000
1.00000000
NC
USD
121140.23000000
0.002673303974
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-38282086.12000000
CAD
30384206.82000000
USD
2022-01-21
121140.23000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS CDX.EM.36.5Y
000000000
1.00000000
NC
USD
420372.35000000
0.009276712402
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDX.EM.36.V1
CDX.EM.36.V1
Y
Default Event
2026-12-20
562530.66000000
USD
0.00000000
USD
-10515000.00000000
USD
-142158.31000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS DELL INC
000000000
1.00000000
NC
USD
-15517.38000000
-0.00034243515
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
DELL INC
Dell Inc
Y
Default Event
2025-06-20
28708.55000000
USD
0.00000000
USD
-900000.00000000
USD
-44225.93000000
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2020-3
30166NAE6
1305000.00000000
PA
USD
1310787.28000000
0.028926252207
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
1.32000000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAE8
4890200.00000000
PA
USD
5101437.08000000
0.112577729312
Long
ABS-O
CORP
US
N
2
2049-10-20
Fixed
3.98100000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YA2
6240000.00000000
PA
USD
6259319.04000000
0.138129690421
Long
DBT
CORP
CH
N
2
2022-04-21
Fixed
1.75000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/NZD FORWARD
000000000
1.00000000
NC
USD
1342779.63000000
0.029632254469
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-71049779.02000000
NZD
49991680.11000000
USD
2022-01-21
1342779.63000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
EUR/USD FORWARD
000000000
1.00000000
NC
USD
888131.56000000
0.019599150746
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-119146653.40000000
USD
105388072.89000000
EUR
2022-01-21
888131.56000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS BAHRAIN
000000000
1.00000000
NC
USD
88523.95000000
0.001953532921
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
KINGDOM OF BAHRAIN
Bahrain Government International Bond
Y
Default Event
2023-12-20
140559.22000000
USD
0.00000000
USD
-4213158.00000000
USD
-52035.27000000
N
N
N
CORELOGIC INC
54930086CD8K2UIL0516
CoreLogic Inc
000000000
5850000.00000000
PA
USD
5890248.00000000
0.129985087442
Long
LON
CORP
US
N
2
2029-06-04
Floating
7.00000000
N
N
N
N
N
N
Fortenova Group TopCo B.V.
N/A
Fortenova Group TopCo B.V.
000000000
2510295.01900000
PA
1157478.21000000
0.025543051216
Long
DBT
CORP
NL
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
FORTENOVA GROUP STAK STICHTING
FORTENOVA GROUP STAK STICHTING
EUR
XXXX
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QBA5
7281557.63000000
PA
USD
7199734.04000000
0.158882624085
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.61000000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
Altice France Holding SA
000000000
3780000.00000000
PA
4104448.70000000
0.090576342995
Long
DBT
CORP
LU
N
2
2028-02-15
Fixed
4.00000000
N
N
N
N
N
Santander Consumer Auto Receiv
N/A
Santander Consumer Auto Receivables Trust 2020-A
80281MAC7
5035000.00000000
PA
USD
5204982.10000000
0.114862744897
Long
ABS-O
CORP
US
N
2
2026-02-17
Fixed
3.71000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD/TRY FORWARD
000000000
1.00000000
NC
USD
11869221.12000000
0.261928147195
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-425770840.24000000
TRY
43661554.07000000
USD
2022-01-14
11869221.12000000
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-3
92537JAA5
4374027.35000000
PA
USD
4388850.93000000
0.096852487689
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.78400000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2J2
24760000.00000000
PA
USD
23564587.20000000
0.520019688092
Long
DBT
NUSS
BH
N
2
2034-05-18
Fixed
5.62500000
N
N
N
N
N
N
PG&E CORP
8YQ2GSDWYZXO2EDN3511
PG&E Corp
69331CAH1
5475000.00000000
PA
USD
5755593.75000000
0.127013558152
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS BAHRAIN
000000000
1.00000000
NC
USD
33700.77000000
0.000743703412
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
KINGDOM OF BAHRAIN
Bahrain Government International Bond
Y
Default Event
2023-12-20
40183.70000000
USD
0.00000000
USD
-1603935.00000000
USD
-6482.93000000
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAC2
2378725.00000000
PA
USD
2470512.86000000
0.054518898038
Long
ABS-O
CORP
US
N
2
2048-04-20
Fixed
4.73900000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS BAHRAIN
000000000
1.00000000
NC
USD
123933.53000000
0.002734946089
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
KINGDOM OF BAHRAIN
Bahrain Government International Bond
Y
Default Event
2023-12-20
196696.37000000
USD
0.00000000
USD
-5898421.00000000
USD
-72762.84000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NASDAQ 100 INDEX
000000000
-28.00000000
NC
USD
-2686460.00000000
-0.05928438633
N/A
DE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
NASDAQ
NASDAQ 100 INDEX
100.00000000
16200.00000000
USD
2022-06-17
XXXX
494340.00000000
N
N
N
MISTAKE
N/A
DUMMY SET-UP FOR TICKER DUMMY US
000000000
13490000.00000000
PA
15345003.22000000
0.338631172297
Long
LON
CORP
US
N
2
2028-11-18
Floating
0.00000000
N
N
N
N
N
N
TRANSOCEAN PHOENIX 2 LTD
N/A
Transocean Phoenix 2 Ltd
893828AA1
2879995.13000000
PA
USD
2908795.08000000
0.064190842699
Long
DBT
CORP
KY
N
2
2024-10-15
Fixed
7.75000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
4407480.00000000
PA
USD
4456050.43000000
0.098335435926
Long
ABS-O
CORP
US
N
2
2049-06-05
Fixed
4.19400000
N
N
N
N
N
N
SOLARIS MIDSTREAM HOLDIN
5493007AWQW8ZKCHVV46
Solaris Midstream Holdings LLC
83419MAA0
4475000.00000000
PA
USD
4709937.50000000
0.103938176760
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
7.62500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-1
89176EAA8
1799245.72000000
PA
USD
1821950.22000000
0.040206517393
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
63233.94000000
0.001395436867
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-06
395.91000000
USD
0.00000000
USD
-9750000.00000000
PLN
62838.03000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.IG.37.5Y
000000000
1.00000000
NC
USD
-23030281.40000000
-0.50822870982
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.37.V1
Y
Default Event
2026-12-20
0.00000000
USD
-21429294.70000000
USD
-928000000.00000000
USD
-1600986.70000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
997692000000.00000000
PA
78171174.08000000
1.725069453494
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
JAPAN (5 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Five Year Bond
000000000
10700000000.00000000
PA
93381987.31000000
2.060739341719
Long
DBT
NUSS
JP
N
2
2026-09-20
Fixed
0.00500000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/TWD FORWARD
000000000
1.00000000
NC
USD
16118.53000000
0.000355701242
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-4956084.73000000
USD
137571000.00000000
TWD
2022-01-21
16118.53000000
N
N
N
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
USD/EUR FORWARD
000000000
1.00000000
NC
USD
1266999.64000000
0.027959953298
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
-40110607.48000000
EUR
46952132.80000000
USD
2022-01-21
1266999.64000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
RSD/USD FORWARD
000000000
1.00000000
NC
USD
1329373.00000000
0.029336399019
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-3514565984.58000000
RSD
35356383.89000000
USD
2022-01-21
1329373.00000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS QUEST DIAGNOSTICS INC
000000000
1.00000000
NC
USD
-528744.55000000
-0.01166825345
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
QUEST DIAGNOSTICS INC
Quest Diagnostics Inc
Y
Default Event
2026-06-20
0.00000000
USD
-438436.49000000
USD
-17000000.00000000
USD
-90308.06000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-727795.55000000
-0.01606088032
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-447548274.52000000
BRL
78427029.42000000
USD
2022-03-03
-727795.55000000
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BT7
11180000.00000000
PA
USD
11543350.00000000
0.254736873410
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
7.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
1776106.36000000
0.039194842137
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-02-25
249.97000000
USD
0.00000000
USD
-50749000.00000000
PLN
1775856.39000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
HUF/USD FORWARD
000000000
1.00000000
NC
USD
-383749.66000000
-0.00846852850
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-45801393.72000000
USD
14755377000.00000000
HUF
2022-01-14
-383749.66000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS GLENCORE FINANCE EUROPE
000000000
1.00000000
NC
-663451.93000000
-0.01464095520
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
GLENCORE FINANCE EUROPE LTD
GLENCORE FINANCE EUROPE LTD
Y
Default Event
2023-06-20
0.00000000
USD
-438558.94000000
USD
-8413793.00000000
EUR
-224892.99000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B16 Mortgage Trust
08161NAH0
5730000.00000000
PA
USD
5922817.94000000
0.130703835872
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
2.94400000
N
N
N
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
11964000.00000000
PA
17741506.95000000
0.391516848232
Long
DBT
NUSS
CY
N
2
2049-05-03
Fixed
2.75000000
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/TWD FORWARD
000000000
1.00000000
NC
USD
22027.52000000
0.000486099925
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1979455500.00000000
TWD
71565122.29000000
USD
2022-01-21
22027.52000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828TY6
195055000.00000000
PA
USD
197127459.38000000
4.350178472097
Long
DBT
UST
US
N
2
2022-11-15
Fixed
1.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
-332828.07000000
-0.00734479868
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-04-15
250.12000000
USD
0.00000000
USD
-5200000.00000000
CAD
-333078.19000000
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CDS SANOFI
000000000
1.00000000
NC
-432135.87000000
-0.00953630795
N/A
DCR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
SANOFI
SANOFI
Y
Default Event
2026-06-20
0.00000000
USD
-408232.84000000
USD
-10300000.00000000
EUR
-23903.03000000
N
N
N
TRANSOCEAN PONTUS LTD
N/A
Transocean Pontus Ltd
89382PAA3
1236150.00000000
PA
USD
1205246.25000000
0.026597188980
Long
DBT
CORP
KY
N
2
2025-08-01
Fixed
6.12500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TWD/USD FORWARD
000000000
1.00000000
NC
USD
-77447.43000000
-0.00170909798
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-1979455500.00000000
TWD
71465647.34000000
USD
2022-01-21
-77447.43000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/CLP FORWARD
000000000
1.00000000
NC
USD
2240272.14000000
0.049437981221
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-39945180152.00000000
CLP
48679202.70000000
USD
2022-03-03
2240272.14000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/THB FORWARD
000000000
1.00000000
NC
USD
10669.07000000
0.000235443396
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-333214736.79000000
THB
9982855.44000000
USD
2022-03-11
10669.07000000
N
N
N
RBC DOMINION SECURITIES INC.
549300QJJX6CVVUXLE15
USD/EUR FORWARD
000000000
1.00000000
NC
USD
536159.27000000
0.011831880354
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC.
549300QJJX6CVVUXLE15
-24549236.76000000
EUR
28497220.47000000
USD
2022-01-21
536159.27000000
N
N
N
Fortenova STAK Stichting
N/A
Fortenova STAK Stichting
000000000
597196.00000000
NS
275362.60000000
0.006076659529
Long
EC
CORP
NL
N
2
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18452RAD7
7991062.50000000
PA
USD
7874552.81000000
0.173774420972
Long
LON
CORP
US
N
2
2026-08-21
Floating
3.62863000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/RSD FORWARD
000000000
1.00000000
NC
USD
-93045.10000000
-0.00205330496
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-6308800.15000000
USD
642010000.00000000
RSD
2022-01-21
-93045.10000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK/USD FORWARD
000000000
1.00000000
NC
USD
-1985452.36000000
-0.04381465748
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-47893683.54000000
USD
404443000.00000000
NOK
2022-01-21
-1985452.36000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/IDR FORWARD
000000000
1.00000000
NC
USD
163474.19000000
0.003607523296
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-21398488.05000000
USD
306961311073.00000000
IDR
2022-01-21
163474.19000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EGP/USD FORWARD
000000000
1.00000000
NC
USD
757714.52000000
0.016721127555
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-45435780.38000000
USD
736514000.00000000
EGP
2022-03-03
757714.52000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
1.00000000
NC
USD
1297856.07000000
0.028640888252
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2027-11-17
0.00000000
USD
0.00000000
USD
0.00000000
USD
201545000.00000000
USD
2.00000000
USD
2022-11-15
XXXX
-785306.68000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/EUR FORWARD
000000000
1.00000000
NC
USD
4476002.27000000
0.098775730064
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-178089136.30000000
EUR
207315760.07000000
USD
2022-01-21
4476002.27000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS GOVERNMENT OF BAHRAIN
000000000
1.00000000
NC
USD
1160427.03000000
0.025608125322
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
KINGDOM OF BAHRAIN
Bahrain Government International Bond
Y
Default Event
2026-06-20
673022.03000000
USD
0.00000000
USD
-15413000.00000000
USD
487405.00000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FORWARD
000000000
1.00000000
NC
USD
2363507.05000000
0.052157510272
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-97256268.19000000
EUR
113136338.53000000
USD
2022-01-21
2363507.05000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.EM.36.5Y
000000000
1.00000000
NC
USD
7981877.49000000
0.176142845512
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDX.EM.36.V1
CDX.EM.36.V1
Y
Default Event
2026-12-20
8972793.50000000
USD
0.00000000
USD
-199655000.00000000
USD
-990916.01000000
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0UD9
6560856.27000000
PA
USD
6634932.27000000
0.146418665443
Long
ABS-MBS
CORP
US
N
2
2030-09-25
Floating
2.40275000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BX4
1425000000.00000000
PA
27911624.86000000
0.615949446967
Long
DBT
NUSS
PH
N
2
2022-11-26
Fixed
3.90000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAC9
11431000.00000000
PA
USD
11935941.56000000
0.263400523609
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
RBC DOMINION SECURITIES INC.
549300QJJX6CVVUXLE15
USD/JPY FORWARD
000000000
1.00000000
NC
USD
4699050.28000000
0.103697919263
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC.
549300QJJX6CVVUXLE15
-30978959491.00000000
JPY
274192547.44000000
USD
2022-03-18
4699050.28000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
6177977.54000000
0.136334658703
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-11-20
251.42000000
USD
0.00000000
USD
-134837000.00000000
PLN
6177726.12000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS INTERNATIONAL PAPER CO
000000000
1.00000000
NC
USD
-402227.16000000
-0.00887628713
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
INTERNATIONAL PAPER CO
INTERNATIONAL PAPER CO
Y
Default Event
2026-06-20
0.00000000
USD
-332360.40000000
USD
-17000000.00000000
USD
-69866.76000000
N
N
N
DEUTSCHLAND I/L BOND
529900AQBND3S6YJLY83
Deutsche Bundesrepublik Inflation Linked Bond
000000000
316676549.97000000
PA
399250634.90000000
8.810601640054
Long
DBT
NUSS
DE
N
2
2026-04-15
Fixed
0.10000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
-118591.53000000
-0.00261705965
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2049-04-16
0.00000000
USD
0.00000000
USD
-1600000.00000000
CAD
-118591.53000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HKD
000000000
1.00000000
NC
-492229.89000000
-0.01086245354
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-05-06
400.02000000
USD
0.00000000
USD
439051000.00000000
HKD
-492629.91000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NASDAQ 100 INDEX
000000000
-27.00000000
NC
USD
-2292435.00000000
-0.05058910319
N/A
DE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
NASDAQ
NASDAQ 100 INDEX
100.00000000
15900.00000000
USD
2022-06-17
XXXX
797715.00000000
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
952465000.00000000
PA
32496397.32000000
0.717125500865
Long
DBT
NUSS
TH
N
2
2067-06-17
Fixed
3.60000000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
12750000.00000000
PA
USD
8810250.00000000
0.194423242730
Long
DBT
CORP
KY
N
2
2025-07-08
Fixed
6.75000000
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
-16126.47000000
-0.00035587646
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-12
395.67000000
USD
0.00000000
USD
-45517385.00000000
PLN
-16522.14000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
1.00000000
NC
USD
1304560.34000000
0.028788837052
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2027-11-18
0.00000000
USD
0.00000000
USD
0.00000000
USD
201877000.00000000
USD
2.00000000
USD
2022-11-16
XXXX
-777809.13000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
3724010.97000000
0.082180901648
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-11-23
248.89000000
USD
0.00000000
USD
-81909000.00000000
PLN
3723762.08000000
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
1324000000.00000000
PA
61007496.44000000
1.346304053654
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAN0
5535000.00000000
PA
USD
5458633.61000000
0.120460287430
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
2.26000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-747667.97000000
-0.01649942183
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-515715000.00000000
MXN
24350414.80000000
USD
2022-01-21
-747667.97000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
47445.08000000
0.001047010732
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-09-06
396.83000000
USD
0.00000000
USD
-5800000.00000000
PLN
47048.25000000
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
000000000
1205000.00000000
PA
USD
1201481.40000000
0.026514106849
Long
LON
CORP
LU
N
2
2023-11-27
Floating
8.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
7760000000.00000000
PA
99789329.29000000
2.202135579628
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
UNITED KINGDOM I/L GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Inflation-Linked Gilt
000000000
256760566.56000000
PA
379942732.68000000
8.384517821782
Long
DBT
NUSS
GB
N
2
2024-03-22
Fixed
0.12500000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CDS PACKAGING CORP OF AMERICA
000000000
1.00000000
NC
USD
-379618.49000000
-0.00837736248
N/A
DCR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
PACKAGING CORP OF AMERIC
PACKAGING CORP OF AMERIC
Y
Default Event
2026-06-20
0.00000000
USD
-336564.49000000
USD
-13050000.00000000
USD
-43054.00000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-3
89175MAA1
3057645.17000000
PA
USD
3161535.70000000
0.069768283851
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
3.75000000
N
N
N
N
N
N
ISRAEL FIXED BOND
213800T8ZHTFZIBYPE21
Israel Government Bond - Fixed
000000000
165895000.00000000
PA
68789161.22000000
1.518028635858
Long
DBT
NUSS
IL
N
2
2047-03-31
Fixed
3.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HKD
000000000
1.00000000
NC
-255794.87000000
-0.00564484187
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-05-04
399.98000000
USD
0.00000000
USD
216249000.00000000
HKD
-256194.85000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS BAHRAIN
000000000
1.00000000
NC
USD
35409.58000000
0.000781413168
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
KINGDOM OF BAHRAIN
Bahrain Government International Bond
Y
Default Event
2023-12-20
56226.81000000
USD
0.00000000
USD
-1685263.00000000
USD
-20817.23000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/SEK FORWARD
000000000
1.00000000
NC
USD
1956385.19000000
0.043173207646
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-391430299.37000000
SEK
45281372.84000000
USD
2022-01-21
1956385.19000000
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS GLENCORE FINANCE EUROPE
000000000
1.00000000
NC
-260214.56000000
-0.00574237491
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
GLENCORE FINANCE EUROPE LTD
GLENCORE FINANCE EUROPE LTD
Y
Default Event
2023-06-20
0.00000000
USD
-168182.57000000
USD
-3300000.00000000
EUR
-92031.99000000
N
N
N
INDIA GOVERNMENT BOND
N/A
India Government Bond
000000000
5260750000.00000000
PA
75320740.79000000
1.662166529805
Long
DBT
NUSS
IN
N
2
2026-01-11
Fixed
7.59000000
N
N
N
N
N
N
NASCAR HOLDINGS LLC
254900HRWKQR5V0WN013
Nascar Holdings LLC
63108EAB4
1112705.55000000
PA
USD
1110101.82000000
0.024497556324
Long
LON
CORP
US
N
2
2026-10-18
Floating
2.60425000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
2753791.78000000
0.060770253701
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-01-27
250.00000000
USD
0.00000000
USD
-20872000.00000000
USD
2753541.78000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
SWOP IRS USD
000000000
1.00000000
NC
USD
2736672.07000000
0.060392458572
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2052-11-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
100739000.00000000
USD
2.20000000
USD
2022-11-14
XXXX
-1275258.61000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
6773438.84000000
0.149475207140
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-04-19
250.27000000
USD
0.00000000
USD
-216000000.00000000
PLN
6773188.57000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
1704464.85000000
0.037613868307
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-22
250.00000000
USD
0.00000000
USD
-50657000.00000000
USD
1704214.85000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-754496.59000000
-0.01665011477
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-447548274.53000000
BRL
78400328.38000000
USD
2022-03-03
-754496.59000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
334021.40000000
0.007371132911
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-11-13
397.01000000
USD
0.00000000
USD
-40000000.00000000
PLN
333624.39000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/CLP FORWARD
000000000
1.00000000
NC
USD
2513496.11000000
0.055467445792
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-39945180151.00000000
CLP
48952426.66000000
USD
2022-03-03
2513496.11000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-1580422.86000000
-0.03487652873
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-62273679.83000000
USD
76775580.00000000
CAD
2022-01-21
-1580422.86000000
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2017-3
80284YAH7
1800000.00000000
PA
USD
1802899.62000000
0.039786111680
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
4.97000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS SOUTH AFRICA
000000000
1.00000000
NC
USD
686241.24000000
0.015143866198
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2025-06-20
2381627.14000000
USD
0.00000000
USD
-39680000.00000000
USD
-1695385.90000000
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
000000000
1020000.00000000
PA
USD
1017286.80000000
0.022449328729
Long
LON
CORP
LU
N
2
2024-01-02
Floating
8.75000000
N
N
N
N
N
N
HDFC BANK LTD
335800ZQ6I4E2JXENC50
HDFC Bank Ltd
000000000
1200000000.00000000
PA
16718573.12000000
0.368942901712
Long
DBT
CORP
IN
N
2
2025-03-22
Fixed
8.10000000
N
N
N
N
N
N
SANTAN CONSUMER FINANCE
5493000LM0MZ4JPMGM90
Santander Consumer Finance SA
000000000
10000000.00000000
PA
11393197.20000000
0.251423324501
Long
DBT
CORP
ES
N
2
2022-01-24
Fixed
0.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-73627.31000000
-0.00162479615
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-11
247.83000000
USD
0.00000000
USD
935155000.00000000
MXN
-73875.14000000
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAE5
17530000.00000000
PA
USD
20227954.65000000
0.446387393870
Long
DBT
CORP
NL
N
2
2050-01-31
Fixed
5.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-294727.69000000
-0.00650400535
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-12
251.67000000
USD
0.00000000
USD
1533500000.00000000
MXN
-294979.36000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
105668.21000000
0.002331869815
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-06-08
404.60000000
USD
0.00000000
USD
-17812198.00000000
PLN
105263.61000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
32017.60000000
0.000706559475
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2049-10-23
399.83000000
USD
0.00000000
USD
-2000000.00000000
CAD
31617.77000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS DELL INC
000000000
1.00000000
NC
USD
-38879.65000000
-0.00085799013
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
DELL INC
Dell Inc
Y
Default Event
2025-06-20
69131.38000000
USD
0.00000000
USD
-2255000.00000000
USD
-108011.03000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-2615443.18000000
-0.05771719806
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-09-27
0.00000000
USD
-5693.78000000
USD
-86175000.00000000
GBP
-2609749.40000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS ARCELORMITTAL
000000000
1.00000000
NC
2147059.15000000
0.047380971286
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
ARCELORMITTAL SA
ARCELORMITTAL
Y
Default Event
2025-12-20
2246603.44000000
USD
0.00000000
USD
12000000.00000000
EUR
-99544.29000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS PRUDENTIAL FINANCIAL INC
000000000
1.00000000
NC
USD
-244812.86000000
-0.00540249256
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
PRUDENTIAL FINANCIAL INC
Prudential Financial Inc
Y
Default Event
2026-12-20
0.00000000
USD
-261361.27000000
USD
-11670000.00000000
USD
16548.41000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-783012.44000000
-0.01727939816
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-31357811.07000000
USD
38676420.00000000
CAD
2022-01-21
-783012.44000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS ARCELORMITTAL
000000000
1.00000000
NC
3032721.05000000
0.066925621955
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
ARCELORMITTAL SA
ARCELORMITTAL
Y
Default Event
2025-12-20
2275201.28000000
USD
0.00000000
USD
16950000.00000000
EUR
757519.77000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
SWOP IRS USD
000000000
1.00000000
NC
USD
1818217.99000000
0.040124155115
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2052-11-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
66930000.00000000
USD
2.20000000
USD
2022-11-14
XXXX
-1043039.51000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BAUSCH HEALTH COS INC
000000000
1.00000000
NC
USD
-301328.24000000
-0.00664966528
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
BAUSCH HEALTH COS INC
Bausch Health Cos Inc
Y
Default Event
2026-06-20
0.00000000
USD
-1022516.46000000
USD
-20725000.00000000
USD
721188.22000000
N
N
N
TOBACCO SETTLEMENT FING CORP V
N/A
Tobacco Settlement Financing Corp/VA
88880NAT6
11890000.00000000
PA
USD
12491012.15000000
0.275649736066
Long
DBT
MUN
US
N
2
2046-06-01
Fixed
6.70600000
N
N
N
N
N
N
LIFE TIME INC
549300PALKE96VYH4X17
Life Time Inc
50218KAG3
2496425.73000000
PA
USD
2507360.07000000
0.055332036605
Long
LON
CORP
US
N
2
2024-12-15
Floating
5.75000000
N
N
N
N
N
N
IRB HOLDING CORP
549300HVW4WNWYBXN830
IRB Holding Corp
44988LAG2
4667850.00000000
PA
USD
4663462.22000000
0.102912567425
Long
LON
CORP
US
N
2
2027-12-15
Floating
4.25000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
294600000.00000000
PA
46168161.56000000
1.018831892554
Long
DBT
NUSS
CN
N
2
2030-06-18
Fixed
3.09000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
9775000.00000000
PA
USD
9050340.15000000
0.199721515254
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.HY.37.5Y
000000000
1.00000000
NC
USD
-26106910.64000000
-0.57612329097
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.37.V1
Y
Default Event
2026-12-20
0.00000000
USD
-24223909.99000000
USD
-277800000.00000000
USD
-1883000.65000000
N
N
N
ROMANIA GOVERNMENT BOND
315700IASY927EDWBK92
Romania Government Bond
000000000
313590000.00000000
PA
72264035.27000000
1.594711622252
Long
DBT
NUSS
RO
N
2
2029-02-12
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
5448.80000000
0.000120243280
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-23
396.08000000
USD
0.00000000
USD
-15000000.00000000
PLN
5052.72000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-379393.45000000
-0.00837239633
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2071-09-27
6672.13000000
USD
0.00000000
USD
-8815000.00000000
GBP
-386065.58000000
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
SFE 10 YEAR AUSTRALIAN BOND
000000000
-829.00000000
NC
166877.63000000
0.003682629887
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Short
AUSTRALIAN GOVERNMENT
Australia Government Bond
2022-03-15
-82797845.25000000
USD
166877.63000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS IBOXHY
000000000
1.00000000
NC
USD
-473600.40000000
-0.01045134082
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IHS MARKIT LTD
IBOXX USD LIQUID HIGH YIELD INDEX
Y
Fixed Income - Performance Leg
2022-06-20
0.00000000
USD
0.00000000
USD
-54505000.00000000
USD
-473600.40000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS DELL INC
000000000
1.00000000
NC
USD
-15517.38000000
-0.00034243515
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
DELL INC
Dell Inc
Y
Default Event
2025-06-20
23376.35000000
USD
0.00000000
USD
-900000.00000000
USD
-38893.73000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
2250000.00000000
PA
USD
2079112.50000000
0.045881535058
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
1939560.88000000
0.042801931359
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-02-25
249.97000000
USD
0.00000000
USD
-55251000.00000000
PLN
1939310.91000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
663677.17000000
0.014645925770
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-05-18
250.00000000
USD
0.00000000
USD
-12723000.00000000
USD
663427.17000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NASDAQ 100 INDEX
000000000
127.00000000
NC
USD
2502535.00000000
0.055225557702
N/A
DE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
NASDAQ
NASDAQ 100 INDEX
100.00000000
12400.00000000
USD
2022-06-17
XXXX
-765302.00000000
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
20170000000.00000000
PA
175591045.81000000
3.874916207910
Long
DBT
NUSS
JP
N
2
2022-10-01
Fixed
0.10000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
48882.05000000
0.001078721565
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-28
400.77000000
USD
0.00000000
USD
-34000000.00000000
PLN
48481.28000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/PLN FORWARD
000000000
1.00000000
NC
USD
140674.47000000
0.003104382580
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-19523284.58000000
USD
79696000.00000000
PLN
2022-03-18
140674.47000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
-342993.75000000
-0.00756913335
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-11-09
397.08000000
USD
0.00000000
USD
-2200000.00000000
CAD
-343390.83000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
TRY/USD FORWARD
000000000
1.00000000
NC
USD
-110790.94000000
-0.00244491743
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-3636625.91000000
USD
47218860.00000000
TRY
2022-01-14
-110790.94000000
N
N
N
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
CNH/USD FORWARD
000000000
1.00000000
NC
USD
-413723.16000000
-0.00912997909
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
-1267851192.61000000
CNY
198015117.23000000
USD
2022-03-18
-413723.16000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
1190290000.00000000
PA
209585036.58000000
4.625090370827
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
SHIMAO GROUP HOLDINGS LT
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
2220000.00000000
PA
USD
1359750.00000000
0.030006753985
Long
DBT
CORP
KY
N
2
2027-01-16
Fixed
5.20000000
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
IDR/USD FORWARD
000000000
1.00000000
NC
USD
38497.44000000
0.000849555588
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-4654110.03000000
USD
66805095316.00000000
IDR
2022-01-21
38497.44000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/IDR FORWARD
000000000
1.00000000
NC
USD
110892.11000000
0.002447150037
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-13986202.18000000
USD
200689644880.00000000
IDR
2022-01-21
110892.11000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-152980.67000000
-0.00337595391
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-13
249.15000000
USD
0.00000000
USD
574565000.00000000
MXN
-153229.82000000
N
N
N
World Omni Auto Receivables Tr
N/A
World Omni Auto Receivables Trust 2018-D
98162WAG2
3535000.00000000
PA
USD
3615593.40000000
0.079788359379
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
3.87000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
252861.59000000
0.005580110699
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-12-09
250.00000000
USD
0.00000000
USD
-43412000.00000000
USD
252611.59000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
721738.67000000
0.015927218027
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-11-07
397.00000000
USD
0.00000000
USD
-25624812.00000000
PLN
721341.67000000
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
50920000.00000000
PA
13332180.21000000
0.294212503514
Long
DBT
NUSS
MY
N
2
2048-07-06
Fixed
4.92100000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587602
352254.00000000
NS
USD
18801337.09000000
0.414905016849
Long
EP
CORP
US
N
2
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS RAYTHEON TECHNOLOGIES CORP
000000000
1.00000000
NC
USD
-383130.10000000
-0.00845485615
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
RAYTHEON TECH CORP
Raytheon Technologies Corp
Y
Default Event
2026-12-20
0.00000000
USD
-374470.78000000
USD
-11770000.00000000
USD
-8659.32000000
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
5187930000.00000000
PA
51798865.11000000
1.143089392970
Long
DBT
NUSS
RS
N
2
2032-08-20
Fixed
4.50000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
RUB/USD FORWARD
000000000
1.00000000
NC
USD
-1842317.77000000
-0.04065598535
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-106878731.29000000
USD
7900796332.63000000
RUB
2022-01-21
-1842317.77000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
481321.32000000
0.010621724903
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-09-22
248.87000000
USD
0.00000000
USD
-17942000.00000000
PLN
481072.45000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-2178719.39000000
-0.04807964459
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-154190000.00000000
AUD
110009630.92000000
USD
2022-01-21
-2178719.39000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/EUR FORWARD
000000000
1.00000000
NC
USD
222595.25000000
0.004912197760
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-93406021.28000000
USD
82204000.00000000
EUR
2022-01-21
222595.25000000
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514LW86
5345000.00000000
PA
USD
5258143.75000000
0.116035908018
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
5.50000000
Y
Y
N
N
N
N
DEUTSCHLAND I/L BOND
529900AQBND3S6YJLY83
Deutsche Bundesrepublik Inflation Linked Bond
000000000
153825547.50000000
PA
216660805.52000000
4.781237352141
Long
DBT
NUSS
DE
N
2
2030-04-15
Fixed
0.50000000
N
N
N
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
67360000.00000000
PA
17096222.82000000
0.377276817241
Long
DBT
NUSS
MY
N
2
2046-03-15
Fixed
4.73600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HKD
000000000
1.00000000
NC
-136860.06000000
-0.00302020676
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-07-03
400.03000000
USD
0.00000000
USD
90000000.00000000
HKD
-137260.09000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HKD
000000000
1.00000000
NC
-173211.12000000
-0.00382239637
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-02-25
249.97000000
USD
0.00000000
USD
71000000.00000000
HKD
-173461.09000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
SWOP IRS USD
000000000
1.00000000
NC
USD
1183046.43000000
0.026107286764
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2032-04-21
0.00000000
USD
0.00000000
USD
0.00000000
USD
230000000.00000000
USD
2.00000000
USD
2022-04-19
XXXX
-4221953.57000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
-10463.56000000
-0.00023090823
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-12
395.67000000
USD
0.00000000
USD
-29533679.00000000
PLN
-10859.23000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME ULTRA LONG TERM US TREASURY BOND
000000000
-1016.00000000
NC
USD
434223.90000000
0.009582386278
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-200713223.90000000
USD
434223.90000000
N
N
N
MONTREAL EXCHANGE
N/A
MONTREAL EXCHANGE 10 YEAR CANADIAN BOND
000000000
-508.00000000
NC
-1287409.60000000
-0.02841035715
N/A
DIR
CORP
CA
N
1
MONTREAL EXCHANGE
N/A
Short
CANADIAN GOVERNMENT
Canadian Government Bond
2022-03-22
-56012694.73000000
USD
-1287409.60000000
N
N
N
CAPITAL ONE BANK USA NA
LKE37K2B8CFZUR7F9816
Capital One Bank USA NA
14042TCS4
7895000.00000000
PA
USD
7894186.82000000
0.174207701286
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
2.01400000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
1377911.79000000
0.030407545575
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-08
250.00000000
USD
0.00000000
USD
402350000.00000000
CNY
1377661.79000000
N
N
N
Jack in the Box Funding, LLC
N/A
Jack in the Box Funding LLC
466365AA1
21264312.50000000
PA
USD
21367699.59000000
0.471539110010
Long
ABS-O
CORP
US
N
2
2049-08-25
Fixed
3.98200000
N
N
N
N
N
N
INDIA GOVERNMENT BOND
N/A
India Government Bond
000000000
1253000000.00000000
PA
16906544.84000000
0.373091032735
Long
DBT
NUSS
IN
N
2
2029-10-07
Fixed
6.45000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-2884346.43000000
-0.06365131364
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-93576538.61000000
USD
124646000.00000000
AUD
2022-01-21
-2884346.43000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
751368.63000000
0.016581087430
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-30
250.00000000
USD
0.00000000
USD
-25939000.00000000
USD
751118.63000000
N
N
N
ROMANIA GOVERNMENT BOND
315700IASY927EDWBK92
Romania Government Bond
000000000
64950000.00000000
PA
15643958.53000000
0.345228472124
Long
DBT
NUSS
RO
N
2
2027-07-26
Fixed
5.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-606395.48000000
-0.01338184224
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-49295077.22000000
USD
66917000.00000000
AUD
2022-01-21
-606395.48000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-2750576.82000000
-0.06069930645
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-835981000.00000000
MXN
37933755.29000000
USD
2022-01-21
-2750576.82000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-954500.49000000
-0.02106377009
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-2705329172.72000000
MXN
130704604.84000000
USD
2022-01-21
-954500.49000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
5120000.00000000
PA
5622477.70000000
0.124075973622
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.87500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JN8
6233000.00000000
PA
USD
6803288.34000000
0.150133921317
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
9340000.00000000
PA
USD
9482547.08000000
0.209259391349
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IDR/USD FORWARD
000000000
1.00000000
NC
USD
-466419.79000000
-0.01029288022
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-594663895442.00000000
IDR
41304709.00000000
USD
2022-01-21
-466419.79000000
N
N
N
VANKE REAL ESTATE HK
25490078APAXS5NZGF08
Vanke Real Estate Hong Kong Co Ltd
000000000
11200000.00000000
PA
USD
11540283.66000000
0.254669205891
Long
DBT
CORP
HK
N
2
2029-11-12
Fixed
3.50000000
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS DELL INC
000000000
1.00000000
NC
USD
-38879.65000000
-0.00085799013
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
DELL INC
Dell Inc
Y
Default Event
2025-06-20
57151.61000000
USD
0.00000000
USD
-2255000.00000000
USD
-96031.26000000
N
N
N
Cologix Data Centers Issuer LL
N/A
Cologix Data Centers US Issuer LLC
19521UAA1
11085000.00000000
PA
USD
11084387.00000000
0.244608548476
Long
ABS-O
CORP
US
N
2
2051-12-26
Fixed
3.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
772838.61000000
0.017054883648
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-10-01
250.00000000
USD
0.00000000
USD
-25940000.00000000
USD
772588.61000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
75438.77000000
0.001664771180
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-12-14
250.00000000
USD
0.00000000
USD
-21706000.00000000
USD
75188.77000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
495500000.00000000
PA
76611999.15000000
1.690661820808
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
SWOP IRS USD
000000000
1.00000000
NC
USD
1659582.60000000
0.036623413713
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2052-11-17
0.00000000
USD
0.00000000
USD
0.00000000
USD
60931000.00000000
USD
2.20000000
USD
2022-11-15
XXXX
-1076219.30000000
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2021-2
30166RAG2
17480000.00000000
PA
USD
17191074.83000000
0.379369996817
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
2.21000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
-377.00000000
NC
USD
-99485.04000000
-0.00219542057
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-60385452.46000000
USD
-99485.04000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
1888891.50000000
0.041683767270
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-504670846.55000000
ZAR
33496157.62000000
USD
2022-01-14
1888891.50000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GLENCORE FINANCE EUROPE LTD
000000000
1.00000000
NC
-4206850.47000000
-0.09283612951
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
GLENCORE FINANCE EUROPE
GLENCORE FINANCE EUROPE
Y
Default Event
2026-12-20
0.00000000
USD
-4345549.83000000
USD
-19570000.00000000
EUR
138699.36000000
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-MILE
63875FAA4
7500000.00000000
PA
USD
7499996.25000000
0.165508764381
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
1.61000000
N
N
N
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAE1
10275000.00000000
PA
USD
10403437.50000000
0.229581459582
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
USD/EUR FORWARD
000000000
1.00000000
NC
USD
20016188.60000000
0.441714173230
N/A
DFE
CORP
US
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
-426637397.61000000
EUR
505947156.64000000
USD
2022-01-21
20016188.60000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
RUB/USD FORWARD
000000000
1.00000000
NC
USD
645476.46000000
0.014244275299
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-3424365000.00000000
RUB
46170383.45000000
USD
2022-01-21
645476.46000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
1378706.66000000
0.030425086644
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-01-28
250.00000000
USD
0.00000000
USD
-10262000.00000000
USD
1378456.66000000
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
100444000.00000000
PA
67055464.49000000
1.479769682916
Long
DBT
NUSS
NZ
N
2
2051-05-15
Fixed
2.75000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS ITRAX.XO.EU.36.5Y
000000000
1.00000000
NC
-11262495.74000000
-0.24853902477
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
ITRAXX.EU.XO.36.V1
Y
Default Event
2026-12-20
0.00000000
USD
-9982726.09000000
USD
-82100000.00000000
EUR
-1279769.65000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
965304.45000000
0.021302190220
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-29
250.00000000
USD
0.00000000
USD
-29012000.00000000
USD
965054.45000000
N
N
N
NGL ENRGY PART LP/FIN CO
N/A
NGL Energy Partners LP / NGL Energy Finance Corp
62913TAJ1
6000000.00000000
PA
USD
5910000.00000000
0.130420971542
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
7.50000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
RUB/USD FORWARD
000000000
1.00000000
NC
USD
-178008.27000000
-0.00392825913
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-5822388.68000000
USD
424568000.00000000
RUB
2022-01-21
-178008.27000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BAUSCH HEALTH COS INC
000000000
1.00000000
NC
USD
-5721.60000000
-0.00012626338
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
BAUSCH HEALTH COS INC
Bausch Health Cos Inc
Y
Default Event
2026-12-20
0.00000000
USD
-94461.64000000
USD
-2910000.00000000
USD
88740.04000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
739024.47000000
0.016308678404
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-11-05
401.72000000
USD
0.00000000
USD
-26015037.00000000
PLN
738622.75000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
-87797.90000000
-0.00193751056
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-11-26
250.00000000
USD
0.00000000
USD
-42507000.00000000
USD
-88047.90000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS GLENCORE FINANCE EUROPE
000000000
1.00000000
NC
-779556.04000000
-0.01720312286
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
GLENCORE FINANCE EUROPE LTD
GLENCORE FINANCE EUROPE LTD
Y
Default Event
2023-06-20
0.00000000
USD
-487835.23000000
USD
-9886207.00000000
EUR
-291720.81000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/KRW FORWARD
000000000
1.00000000
NC
USD
393039.27000000
0.008673530194
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-129448072509.00000000
KRW
109197412.38000000
USD
2022-01-21
393039.27000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
678988.61000000
0.014983816274
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-22
250.00000000
USD
0.00000000
USD
-19854000.00000000
USD
678738.61000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
3076136.60000000
0.067883709639
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-11-20
251.42000000
USD
0.00000000
USD
-67418000.00000000
PLN
3075885.18000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BM8
1679000000.00000000
PA
36821304.85000000
0.812566895433
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
6.25000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2020-1
36259KAH0
2315000.00000000
PA
USD
2338236.35000000
0.051599840349
Long
ABS-O
CORP
US
N
2
2024-06-20
Fixed
2.28000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/RON FORWARD
000000000
1.00000000
NC
USD
437236.57000000
0.009648869416
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-54151242.41000000
RON
12873536.14000000
USD
2022-01-21
437236.57000000
N
N
N
RBC DOMINION SECURITIES INC.
549300QJJX6CVVUXLE15
MXN/USD FORWARD
000000000
1.00000000
NC
USD
1843047.05000000
0.040672078994
N/A
DFE
CORP
US
N
2
RBC DOMINION SECURITIES INC.
549300QJJX6CVVUXLE15
-2411641769.75000000
MXN
119209392.33000000
USD
2022-01-21
1843047.05000000
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
14090000.00000000
PA
USD
12051004.54000000
0.265939715765
Long
DBT
CORP
KY
N
2
2031-01-12
Fixed
3.30000000
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN/USD FORWARD
000000000
1.00000000
NC
USD
563431.71000000
0.012433724368
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-21926197.00000000
USD
462116527.92000000
MXN
2022-01-21
563431.71000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/AUD FORWARD
000000000
1.00000000
NC
USD
1098728.93000000
0.024246581135
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-65838113.04000000
USD
91997000.00000000
AUD
2022-01-21
1098728.93000000
N
N
N
BANK OF AMERICA CALIFORNIA, NATIONAL ASSOCIATION
549300H041M8GSCMYP92
CDS DELL INC
000000000
1.00000000
NC
USD
-15517.38000000
-0.00034243515
N/A
DCR
CORP
US
N
2
BANK OF AMERICA CALIFORNIA, NATIONAL ASSOCIATION
549300H041M8GSCMYP92
DELL INC
Dell Inc
Y
Default Event
2025-06-20
28962.93000000
USD
0.00000000
USD
-900000.00000000
USD
-44480.31000000
N
N
N
TRANSOCEAN PROTEUS LTD
5493000CTMQ2LH21VM89
Transocean Proteus Ltd
893829AA9
6399000.00000000
PA
USD
6303015.00000000
0.139093966150
Long
DBT
CORP
KY
N
2
2024-12-01
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
9887000.00000000
PA
12685117.94000000
0.279933232803
Long
DBT
NUSS
CY
N
2
2028-09-25
Fixed
2.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
1645096.19000000
0.036303729844
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-48570122.64000000
EUR
56965438.11000000
USD
2022-01-21
1645096.19000000
N
N
N
Cantor Commercial Real Estate
N/A
Cantor Commercial Real Estate Lending 2019-CF1
12529MDH8
4517000.00000000
PA
USD
4033460.57000000
0.089009787854
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
4.66020000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
486206.20000000
0.010729523684
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-09-22
248.87000000
USD
0.00000000
USD
-17942000.00000000
PLN
485957.33000000
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514L2G1
5550000.00000000
PA
USD
4925625.00000000
0.108697935356
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
8.00000000
Y
Y
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
-28156.98000000
-0.00062136390
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-14
403.18000000
USD
0.00000000
USD
-90465802.00000000
PLN
-28560.16000000
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust 2020-C6
05492TAG5
7995000.00000000
PA
USD
8238983.42000000
0.181816619655
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.84000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
730078.79000000
0.016111266513
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-11-05
401.72000000
USD
0.00000000
USD
-26015038.00000000
PLN
729677.07000000
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
4392000.00000000
PA
5809539.26000000
0.128204019374
Long
DBT
NUSS
CY
N
2
2025-11-04
Fixed
4.25000000
N
N
N
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
CDS DELL INC
000000000
1.00000000
NC
USD
-38793.44000000
-0.00085608767
N/A
DCR
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
DELL INC
Dell Inc
Y
Default Event
2025-06-20
72384.56000000
USD
0.00000000
USD
-2250000.00000000
USD
-111178.00000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 30 YEAR EURO BUXL
000000000
-1215.00000000
NC
14357132.97000000
0.316831003471
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-03-08
-297647073.97000000
USD
14357132.97000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-190607.73000000
-0.00420630208
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-49524693.56000000
USD
1013716000.00000000
MXN
2022-01-21
-190607.73000000
N
N
N
T. ROWE PRICE GOVERNMENT RESERVE FUND
5493002Y0IYARJVQ5N24
T. ROWE PRICE GOVERNMENT RESERVE FUND
000000000
144592344.55000000
NS
USD
144592344.55000000
3.190841633478
Long
STIV
RF
US
N
1
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NZD/USD FORWARD
000000000
1.00000000
NC
USD
69259.98000000
0.001528418592
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-17678147.13000000
NZD
12173765.19000000
USD
2022-01-21
69259.98000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
171368.77000000
0.003781739674
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-11-05
397.20000000
USD
0.00000000
USD
-20430000.00000000
PLN
170971.57000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
ILS/USD FORWARD
000000000
1.00000000
NC
USD
377749.53000000
0.008336118562
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-88935525.67000000
USD
277648000.00000000
ILS
2022-01-21
377749.53000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
168340.56000000
0.003714913601
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-12-09
250.00000000
USD
0.00000000
USD
-31806000.00000000
USD
168090.56000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/EUR FORWARD
000000000
1.00000000
NC
USD
1967127.55000000
0.043410268395
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-40495739.81000000
EUR
48090918.29000000
USD
2022-01-21
1967127.55000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS GLENCORE FINANCE EUROPE
000000000
1.00000000
NC
-253117.80000000
-0.00558576470
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
GLENCORE FINANCE EUROPE LTD
GLENCORE FINANCE EUROPE LTD
Y
Default Event
2023-06-20
0.00000000
USD
-202607.18000000
USD
-3210000.00000000
EUR
-50510.62000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-606879.86000000
-0.01339253146
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-73321570.00000000
CAD
57355884.99000000
USD
2022-01-21
-606879.86000000
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/EUR FORWARD
000000000
1.00000000
NC
USD
2601337.79000000
0.057405922484
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-72249976.48000000
EUR
84892532.16000000
USD
2022-01-21
2601337.79000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
SWOP IRS USD
000000000
1.00000000
NC
USD
1183046.43000000
0.026107286764
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2032-04-21
0.00000000
USD
0.00000000
USD
0.00000000
USD
230000000.00000000
USD
2.00000000
USD
2022-04-19
XXXX
-4256453.57000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
2415654000.00000000
PA
167816870.47000000
3.703356901516
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
214414.65000000
0.004731669537
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-03-08
314.29000000
USD
0.00000000
USD
-141438515.00000000
PLN
214100.36000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
-1660.00000000
NC
-945427.32000000
-0.02086354477
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UNITED KINGDOM GILT
United Kingdom Gilt
2022-03-29
-275445148.44000000
USD
-945427.32000000
N
N
N
MOTION FINCO LLC
N/A
Motion Finco LLC
000000000
5188510.10000000
PA
USD
5063415.12000000
0.111738666543
Long
LON
CORP
US
N
2
2026-11-04
Floating
3.47375000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS COMMUNITY HEALTH SYSTEMS
000000000
1.00000000
NC
USD
469409.36000000
0.010358853601
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CHS/Community Health Systems Inc
CHS/COMMUNITY HEALTH SYS
Y
Default Event
2026-06-20
499597.55000000
USD
0.00000000
USD
-18220000.00000000
USD
-30188.19000000
N
N
N
KOREA EXCHANGE
N/A
TEN YEAR TREASURY BOND
000000000
1646.00000000
NC
-1143890.28000000
-0.02524319486
N/A
DIR
CORP
KR
N
1
KOREA EXCHANGE
N/A
Long
KOREA TREASURY BOND
Korea Treasury Bond
2022-03-15
174372056.04000000
USD
-1143890.28000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HKD
000000000
1.00000000
NC
-168908.73000000
-0.00372745188
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-04-19
249.89000000
USD
0.00000000
USD
80000000.00000000
HKD
-169158.62000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
THB/USD FORWARD
000000000
1.00000000
NC
USD
-133036.74000000
-0.00293583432
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-375802245.87000000
THB
11113674.82000000
USD
2022-03-11
-133036.74000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
-2967300.26000000
-0.06548192601
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-78256865.97000000
USD
1202142846.55000000
ZAR
2022-01-14
-2967300.26000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
1697471.52000000
0.037459540576
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-22
250.00000000
USD
0.00000000
USD
-49635000.00000000
USD
1697221.52000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
137872.88000000
0.003042557522
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-06-11
399.23000000
USD
0.00000000
USD
-28187802.00000000
PLN
137473.65000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS SOUTH AFRICA
000000000
1.00000000
NC
USD
390005.70000000
0.008606585837
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2025-06-20
1381142.46000000
USD
0.00000000
USD
-22551000.00000000
USD
-991136.76000000
N
N
N
YANLORD LAND HK CO LTD
549300O56H3950RDWG19
Yanlord Land HK Co Ltd
000000000
13035000.00000000
PA
USD
12653379.00000000
0.279232822754
Long
DBT
CORP
HK
N
2
2026-05-20
Fixed
5.12500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
TRS IBOXHY
000000000
1.00000000
NC
USD
-388161.54000000
-0.00856588919
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IHS MARKIT LTD
IBOXX USD LIQUID HIGH YIELD INDEX
Y
Fixed Income - Performance Leg
2022-06-20
0.00000000
USD
0.00000000
USD
-48445000.00000000
USD
-388161.54000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
-79179.36000000
-0.00174731794
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-11-26
250.00000000
USD
0.00000000
USD
-42468000.00000000
USD
-79429.36000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-297542.65000000
-0.00656612546
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-36936430.00000000
CAD
28901744.91000000
USD
2022-01-21
-297542.65000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS BAHRAIN
000000000
1.00000000
NC
USD
88523.95000000
0.001953532921
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
KINGDOM OF BAHRAIN
Bahrain Government International Bond
Y
Default Event
2023-12-20
140559.22000000
USD
0.00000000
USD
-4213158.00000000
USD
-52035.27000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/KRW FORWARD
000000000
1.00000000
NC
USD
-2547527.79000000
-0.05621845167
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-153280862.08000000
USD
179332310165.00000000
KRW
2022-01-21
-2547527.79000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
-214658.94000000
-0.00473706049
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-8119163.36000000
USD
126831074.73000000
ZAR
2022-02-18
-214658.94000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
709499.59000000
0.015657127891
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-03-25
347.53000000
USD
0.00000000
USD
-48910000.00000000
PLN
709152.06000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
-1903332.45000000
-0.04200244793
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-07-05
400.59000000
USD
0.00000000
USD
-20750000.00000000
CAD
-1903733.04000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
759899.68000000
0.016769349330
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-11-06
398.48000000
USD
0.00000000
USD
-26015037.00000000
PLN
759501.20000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS VERIZON COMMUNICATIONS INC
000000000
1.00000000
NC
USD
91131.28000000
0.002011071078
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
VERIZON COMMUNICATIONS
Verizon Communications Inc
Y
Default Event
2022-06-20
30850.19000000
USD
0.00000000
USD
22400000.00000000
USD
60281.09000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/MXN FORWARD
000000000
1.00000000
NC
USD
366241.92000000
0.008082170393
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-19987279.48000000
USD
418223829.48000000
MXN
2022-01-21
366241.92000000
N
N
N
BANCO DE SABADELL SA
SI5RG2M0WQQLZCXKRM20
Banco de Sabadell SA
000000000
800000.00000000
PA
894232.55000000
0.019733786456
Long
DBT
CORP
ES
N
2
2030-01-17
Fixed
2.00000000
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-2580334.45000000
-0.05694242400
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
-129285770.36000000
GBP
172354092.62000000
USD
2022-03-18
-2580334.45000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGB4
13185000.00000000
PA
USD
14128874.60000000
0.311793832849
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
3.55000000
N
N
N
N
N
N
PRAIRIE ECI ACQUIROR LP
549300EXIECHUG4F3335
Prairie ECI Acquiror LP
73955HAB0
11215000.00000000
PA
USD
10842774.15000000
0.239276673242
Long
LON
CORP
US
N
2
2026-03-11
Floating
4.85425000
N
N
N
N
N
N
RIVIAN HLD/AUTO LLC
N/A
Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC
76954LAA7
14775000.00000000
PA
USD
15402937.50000000
0.339909657083
Long
DBT
CORP
US
Y
3
2026-10-15
Floating
6.62500000
N
N
N
N
N
N
VNET GROUP INC
529900672GYJQ3T38I58
Vnet Group Inc
90138VAA5
6000000.00000000
PA
USD
4741230.00000000
0.104628734840
Long
DBT
CORP
KY
N
2
2026-02-01
None
0.00000000
N
N
N
N
N
21Vianet Group Inc
21Vianet Group Inc
USD
XXXX
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAN0
7420000.00000000
PA
USD
7633578.54000000
0.168456637823
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.83600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
73967.43000000
0.001632301875
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-12-10
250.00000000
USD
0.00000000
USD
-21706000.00000000
USD
73717.43000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-554138.31000000
-0.01222863904
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-76814000.00000000
EUR
86935382.27000000
USD
2022-01-21
-554138.31000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IDR/USD FORWARD
000000000
1.00000000
NC
USD
-990146.98000000
-0.02185041135
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1179235672956.00000000
IDR
81843207.38000000
USD
2022-01-21
-990146.98000000
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBC3
6915000.00000000
PA
USD
7014465.36000000
0.154794143334
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
4.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
678988.61000000
0.014983816274
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-22
250.00000000
USD
0.00000000
USD
-19854000.00000000
USD
678738.61000000
N
N
N
MOTION BONDCO DAC
635400KFD3IETNQLA755
Motion Bondco DAC
61978XAA5
2200000.00000000
PA
USD
2227500.00000000
0.049156127599
Long
DBT
CORP
IE
N
2
2027-11-15
Fixed
6.62500000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
3220000.00000000
PA
USD
2206505.00000000
0.048692813166
Long
DBT
CORP
KY
N
2
2026-03-22
Fixed
6.20000000
N
N
N
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
121010000000.00000000
PA
137343509.39000000
3.030875453423
Long
DBT
NUSS
CL
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
4485000.00000000
PA
4754663.59000000
0.104925185239
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
15701000.00000000
PA
USD
17950984.70000000
0.396139571019
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/PHP FORWARD
000000000
1.00000000
NC
USD
1192476.89000000
0.026315396706
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-3451272000.00000000
PHP
67963844.75000000
USD
2022-03-11
1192476.89000000
N
N
N
PUERTO RICO CMWLTH
549300X44HXPLJU48U63
Commonwealth of Puerto Rico
74514LU39
6340000.00000000
PA
USD
6221125.00000000
0.137286830218
Long
DBT
MUN
US
N
2
2039-07-01
Fixed
6.00000000
Y
Y
N
N
N
N
Bank
N/A
BANK 2020-BNK25
06539WBE5
8515000.00000000
PA
USD
8788007.08000000
0.193932389390
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Fixed
2.84100000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
144759.78000000
0.003194536573
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-340169448.63000000
ZAR
21345170.78000000
USD
2022-02-18
144759.78000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
-22004.69000000
-0.00048559611
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-13
398.91000000
USD
0.00000000
USD
-119483134.00000000
PLN
-22403.60000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
3088965.86000000
0.068166823777
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-11-20
251.42000000
USD
0.00000000
USD
-67418000.00000000
PLN
3088714.44000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS REPUBLIC OF SOUTH AFRICA
000000000
1.00000000
NC
USD
534651.85000000
0.011798614841
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2026-06-20
692082.31000000
USD
0.00000000
USD
-14615000.00000000
USD
-157430.46000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
813090.47000000
0.017943155507
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-30
250.00000000
USD
0.00000000
USD
-29012000.00000000
USD
812840.47000000
N
N
N
LONGFOR HOLDINGS LTD
254900UJX27B2F1JYR13
Longfor Group Holdings Ltd
000000000
11100000.00000000
PA
USD
11252374.47000000
0.248315670142
Long
DBT
CORP
KY
N
2
2032-01-13
Fixed
3.85000000
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087WV2
22151109.15000000
PA
25574597.70000000
0.564376290837
Long
DBT
NUSS
CA
N
2
2031-12-01
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
1553036.33000000
0.034272167005
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-11-25
400.13000000
USD
0.00000000
USD
-53000000.00000000
PLN
1552636.20000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
KRW/USD FORWARD
000000000
1.00000000
NC
USD
253027.98000000
0.005583782568
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-129448072509.00000000
KRW
109057401.09000000
USD
2022-01-21
253027.98000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
491439.45000000
0.010845010240
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-09-22
248.87000000
USD
0.00000000
USD
-17941000.00000000
PLN
491190.58000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
1071390.99000000
0.023643291678
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-335143000.00000000
ZAR
22061218.44000000
USD
2022-01-14
1071390.99000000
N
N
N
MERLIN ENTERTAINMENTS
549300ZTI0VEFO6WV007
Merlin Entertainments Ltd
000000000
1215000.00000000
PA
USD
1268156.25000000
0.027985477190
Long
DBT
CORP
GB
N
2
2026-06-15
Fixed
5.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
-350364.20000000
-0.00773178330
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-02-23
640.87000000
USD
0.00000000
USD
-9800000.00000000
CAD
-351005.07000000
N
N
N
SWEDISH GOVERNMENT
ERE94C0BSULG2RM19605
Sweden Government Bond
000000000
270000000.00000000
PA
44393937.72000000
0.979678593578
Long
DBT
NUSS
SE
N
2
2039-03-30
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/RON FORWARD
000000000
1.00000000
NC
USD
-129251.52000000
-0.00285230267
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-12565551.09000000
USD
54151242.41000000
RON
2022-01-21
-129251.52000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
THB/USD FORWARD
000000000
1.00000000
NC
USD
-490640.74000000
-0.01082738443
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2062309590.53000000
THB
61228525.06000000
USD
2022-03-11
-490640.74000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
THB/USD FORWARD
000000000
1.00000000
NC
USD
-107396.00000000
-0.00236999841
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-560820794.77000000
THB
16676403.96000000
USD
2022-03-11
-107396.00000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
KRW/USD FORWARD
000000000
1.00000000
NC
USD
-10159.77000000
-0.00022420424
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1384224.38000000
USD
1634768996.00000000
KRW
2022-01-21
-10159.77000000
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2019-2
14316LAF0
6340000.00000000
PA
USD
6496369.76000000
0.143360889272
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.16000000
N
N
N
N
N
N
MOZART BORROWER LP
N/A
Mozart Borrower LP
58503UAD5
10324000.00000000
PA
11761278.94000000
0.259546095759
Long
LON
CORP
US
N
2
2028-10-21
Floating
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MXN FORWARD
000000000
1.00000000
NC
USD
686015.45000000
0.015138883499
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-134041313.73000000
USD
2768374986.97000000
MXN
2022-01-21
686015.45000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
RUB/USD FORWARD
000000000
1.00000000
NC
USD
608762.17000000
0.013434069991
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-4900999332.63000000
RUB
65764649.11000000
USD
2022-01-21
608762.17000000
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
CDS DELL INC
000000000
1.00000000
NC
USD
-62155.71000000
-0.00137164265
N/A
DCR
CORP
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
DELL INC
Dell Inc
Y
Default Event
2025-06-20
115976.15000000
USD
0.00000000
USD
-3605000.00000000
USD
-178131.86000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/MXN FORWARD
000000000
1.00000000
NC
USD
7728.54000000
0.000170552232
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-531220.64000000
USD
11074319.02000000
MXN
2022-01-21
7728.54000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
737906.28000000
0.016284002359
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-11-05
401.72000000
USD
0.00000000
USD
-26015038.00000000
PLN
737504.56000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/THB FORWARD
000000000
1.00000000
NC
USD
4346.38000000
0.000095915245
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-510142.43000000
USD
17191340.81000000
THB
2022-03-11
4346.38000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS SOUTH AFRICA
000000000
1.00000000
NC
USD
296408.48000000
0.006541096774
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2025-06-20
1054746.96000000
USD
0.00000000
USD
-17139000.00000000
USD
-758338.48000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
3299684.21000000
0.072816923934
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2050-10-08
401.85000000
USD
0.00000000
USD
-33670000.00000000
CAD
3299282.36000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
310802.97000000
0.006858752166
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-09
123.93000000
USD
0.00000000
USD
92650000.00000000
CNY
310679.04000000
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
000000000
22590000.00000000
PA
USD
22434106.41000000
0.495072411791
Long
DBT
CORP
QA
N
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-2
26208VAF3
2395000.00000000
PA
USD
2426544.78000000
0.053548617208
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
2.28000000
N
N
N
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
7261100.00000000
NS
USD
160470310.00000000
3.541234134343
Long
EC
RF
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
506338.23000000
0.011173794227
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-30
250.00000000
USD
0.00000000
USD
-17547000.00000000
USD
506088.23000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
SWOP IRS USD
000000000
1.00000000
NC
USD
1300000.43000000
0.028688209659
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2027-11-17
0.00000000
USD
0.00000000
USD
0.00000000
USD
201878000.00000000
USD
2.00000000
USD
2022-11-15
XXXX
-861930.35000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-1922623.09000000
-0.04242815081
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-90070404.73000000
USD
121149000.00000000
AUD
2022-01-21
-1922623.09000000
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2020-3
30166NAF3
1235000.00000000
PA
USD
1244563.96000000
0.027464846160
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
1.73000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
3066514.65000000
0.067671373926
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-11-20
251.42000000
USD
0.00000000
USD
-67418000.00000000
PLN
3066263.23000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BTP ITALIAN BOND
000000000
-1893.00000000
NC
6903857.35000000
0.152353262771
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2022-03-08
-320520030.23000000
USD
6903857.35000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/KRW FORWARD
000000000
1.00000000
NC
USD
-288291.96000000
-0.00636198265
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-45536177.47000000
USD
53832869000.00000000
KRW
2022-01-21
-288291.96000000
N
N
N
TURKEY GOVERNMENT BOND
5493000PCHOG3B6S3Q85
Turkey Government Bond
000000000
807160000.00000000
PA
35266345.15000000
0.778252283794
Long
DBT
NUSS
TR
N
2
2030-11-13
Fixed
11.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
1691.00000000
NC
USD
-451649.19000000
-0.00996692489
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
205023012.15000000
USD
-451649.19000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HKD
000000000
1.00000000
NC
-274306.50000000
-0.00605335367
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-07-07
400.00000000
USD
0.00000000
USD
180000000.00000000
HKD
-274706.50000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
1587.00000000
NC
USD
-1424300.76000000
-0.03143125023
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
208478207.01000000
USD
-1424300.76000000
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
551012461.18900000
PA
28744001.87000000
0.634318214875
Long
DBT
NUSS
MX
N
2
2028-11-30
Fixed
4.00000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
SEK/USD FORWARD
000000000
1.00000000
NC
USD
3739395.02000000
0.082520394499
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-1221080000.00000000
SEK
138893152.92000000
USD
2022-01-21
3739395.02000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
13050000.00000000
PA
USD
13169681.55000000
0.290626508064
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
10289044.04000000
0.227057042291
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-2780243037.07000000
ZAR
183562379.70000000
USD
2022-02-18
10289044.04000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
INR/USD FORWARD
000000000
1.00000000
NC
USD
-415937.09000000
-0.00917883576
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-4198861572.12000000
INR
55860066.81000000
USD
2022-01-21
-415937.09000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-1296789.77000000
-0.02861735730
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-63678065.99000000
GBP
84864942.96000000
USD
2022-03-18
-1296789.77000000
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/RUB FORWARD
000000000
1.00000000
NC
USD
1481876.39000000
0.032701820387
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-7604752332.63000000
RUB
100939107.15000000
USD
2022-04-07
1481876.39000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/EUR FORWARD
000000000
1.00000000
NC
USD
725120.37000000
0.016001844863
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-200419578.54000000
USD
176600909.45000000
EUR
2022-01-21
725120.37000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS PLN
000000000
1.00000000
NC
739024.49000000
0.016308678845
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-11-05
401.72000000
USD
0.00000000
USD
-26015038.00000000
PLN
738622.77000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/ILS FORWARD
000000000
1.00000000
NC
USD
-6541308.67000000
-0.14435259423
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-491117203.80000000
ILS
151440329.88000000
USD
2022-01-21
-6541308.67000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
855201.75000000
0.018872460761
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-362329000.00000000
ZAR
23547673.89000000
USD
2022-01-14
855201.75000000
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2019-3
14315PAG0
4665000.00000000
PA
USD
4764759.16000000
0.105147972726
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
2.60000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS COMMUNITY HEALTH SYSTEMS
000000000
1.00000000
NC
USD
119936.70000000
0.002646744659
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CHS/COMMUNITY HEALTH SYS
CHS/Community Health Systems Inc
Y
Default Event
2026-12-20
184576.17000000
USD
0.00000000
USD
-3100000.00000000
USD
-64639.47000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MBA2
6390000.00000000
PA
USD
6390447.30000000
0.141023408707
Long
DBT
CORP
IE
N
2
2023-09-29
Floating
0.73000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
-433926.19000000
-0.00957581645
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-03-22
249.67000000
USD
0.00000000
USD
-5100000.00000000
CAD
-434175.86000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
617952.49000000
0.013636880560
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-05-18
250.00000000
USD
0.00000000
USD
-12722000.00000000
USD
617702.49000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
ZCS IFS USD
000000000
1.00000000
NC
USD
1415400.39000000
0.031234838237
N/A
DO
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-01-28
250.00000000
USD
0.00000000
USD
-10261000.00000000
USD
1415150.39000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
-1345948.13000000
-0.02970217644
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-35206518.92000000
USD
543307000.00000000
ZAR
2022-02-18
-1345948.13000000
N
N
N
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
USD/NZD FORWARD
000000000
1.00000000
NC
USD
356596.48000000
0.007869316306
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
-11044916.27000000
NZD
7919224.26000000
USD
2022-01-21
356596.48000000
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
7275000.00000000
PA
10066325.54000000
0.222142124668
Long
DBT
NUSS
CY
N
2
2034-02-26
Fixed
2.75000000
N
N
N
N
N
N
2022-02-23
T. ROWE PRICE INTERNATIONAL FUNDS, INC.
Alan S. Dupski
Alan S. Dupski
Treasurer & Vice President