0001775697-24-000571.txt : 20240621
0001775697-24-000571.hdr.sgml : 20240621
20240621114708
ACCESSION NUMBER: 0001775697-24-000571
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240430
FILED AS OF DATE: 20240621
DATE AS OF CHANGE: 20240621
PERIOD START: 20241031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BNY Mellon Investment Funds III
CENTRAL INDEX KEY: 0000053808
ORGANIZATION NAME:
IRS NUMBER: 042694144
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-00524
FILM NUMBER: 241058978
BUSINESS ADDRESS:
STREET 1: C/O BNY MELLON INVESTMENT ADVISER, INC.
STREET 2: 240 GREENWICH STREET
CITY: NEW YORK
STATE: NY
ZIP: 10286
BUSINESS PHONE: 2129226400
MAIL ADDRESS:
STREET 1: C/O BNY MELLON INVESTMENT ADVISER, INC.
STREET 2: 240 GREENWICH STREET
CITY: NEW YORK
STATE: NY
ZIP: 10286
FORMER COMPANY:
FORMER CONFORMED NAME: DREYFUS/LAUREL FUNDS TRUST
DATE OF NAME CHANGE: 20181030
FORMER COMPANY:
FORMER CONFORMED NAME: DREYFUS LAUREL FUNDS TRUST
DATE OF NAME CHANGE: 19941122
FORMER COMPANY:
FORMER CONFORMED NAME: LAUREL FUNDS TRUST
DATE OF NAME CHANGE: 19940202
0000053808
S000005159
BNY Mellon International Bond Fund
C000014125
Class A
DIBAX
C000014126
Class C
DIBCX
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Class I
DIBRX
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Class Y
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NPORT-P
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212 495 1784
BNY Mellon International Bond Fund
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2024-10-31
2024-04-30
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Bloomberg Global Aggregate EX USD Index (unhedged)
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0.247217684556
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ABS-MBS
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Fixed
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CORP
NL
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2
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N
N
N
N
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DIR
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MORGAN STANLEY & COMPANY LLC
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BM
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CYRUSONE DATA CENTERS ISSUER I LLC
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Other Units
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0.0739116967552
Long
ABS-MBS
CORP
US
Y
2
2048-04-20
Fixed
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N
N
N
N
N
COLT FUNDING LLC
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COLT 2023-2 MORTGAGE LOAN TRUST
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OU
Other Units
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0.2012694016706
Long
ABS-CBDO
CORP
US
Y
2
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N
N
N
N
RETAINED VANTAGE DATA CENTERS
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RETAINED VANTAGE DATA CENTERS ISSUER LLC
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OU
Other Units
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0.3413286705248
Long
ABS-MBS
CORP
US
Y
2
2048-09-15
Fixed
5.00
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N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
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PUBLIC SERVICE ENTERPRISE GROUP INC
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230000.00
PA
USD
223770.06
0.1548972471541
Long
DBT
CORP
US
N
2
2034-04-01
Fixed
5.45
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO
95000U3D3
360000.00
PA
USD
347067.57
0.2402457735832
Long
DBT
CORP
US
N
2
2034-04-24
Variable
5.389
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N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC
05377RGY4
383000.00
OU
Other Units
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379911.07
0.2629805743734
Long
ABS-MBS
CORP
US
Y
2
2029-06-20
Fixed
5.49
N
N
N
N
N
N
BRASS PLC
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BRASS NO 10 PLC
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86782.50
OU
Other Units
USD
84792.06
0.0586944324657
Long
ABS-CBDO
CORP
GB
Y
2
2069-04-16
Variable
0.669
N
N
N
N
N
N
MULTIFAMILY STRUCTURED CREDIT
N/A
FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK
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OU
Other Units
USD
133473.77
0.0923926978447
Long
ABS-MBS
USGA
US
Y
2
2051-01-25
Variable
7.33002
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA TOWER TRUST
78403DAX8
695000.00
PA
USD
551849.88
0.3819993937273
Long
DBT
CORP
US
Y
2
2031-10-15
Fixed
2.593
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABL
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4
80285VAE9
370065.81
OU
Other Units
USD
365666.10
0.2531199762273
Long
ABS-MBS
CORP
US
N
2
2027-02-16
Fixed
1.26
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES
N/A
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-1
30165XAE5
84365.69
OU
Other Units
USD
84012.66
0.0581549192063
Long
ABS-MBS
CORP
US
N
2
2026-06-15
Fixed
0.98
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N
N
N
N
N
WEA FINANCE LLC
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WEA FINANCE LLC
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PA
USD
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0.1784100504303
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.875
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N
N
N
N
N
WEA FINANCE LLC/WESTFIEL
N/A
WEA FINANCE LLC / WESTFIELD UK & EUROPE FINANCE PLC
92890HAD4
856000.00
PA
USD
622268.88
0.4307445620816
Long
DBT
CORP
US
Y
2
2044-09-17
Fixed
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N
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N
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N
WEA FINANCE LLC
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WEA FINANCE LLC
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PA
USD
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0.0530209736059
Long
DBT
CORP
US
Y
2
2048-09-20
Fixed
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N
N
N
N
N
STACK INFRASTRUCTURE ISSUER LL
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STACK INFRASTRUCTURE ISSUER LLC
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OU
Other Units
USD
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0.1022480974476
Long
ABS-MBS
CORP
US
Y
2
2048-03-25
Fixed
5.90
N
N
N
N
N
N
VANTAGE DATA CENTERS LLC
N/A
VANTAGE DATA CENTERS ISSUER LLC
92212KAE6
583000.00
OU
Other Units
USD
579001.09
0.4007938995066
Long
ABS-MBS
CORP
US
Y
2
2048-03-16
Fixed
6.316
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T INC
00206RCP5
140000.00
PA
USD
125747.94
0.0870447536247
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
4.50
N
N
N
N
N
N
MOSAIC SOLAR LOANS LLC
N/A
MOSAIC SOLAR LOAN TRUST 2023-2
61945WAA7
252744.90
OU
Other Units
USD
242624.84
0.167948830184
Long
ABS-MBS
CORP
US
Y
2
2053-09-22
Fixed
5.36
N
N
N
N
N
N
OCTAGON 61 LTD
N/A
OCT61 2023-2A A
675947AA3
539672.00
OU
Other Units
USD
542357.41
0.375428552786
Long
ABS-CBDO
CORP
KY
Y
2
2036-04-20
Variable
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N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HJN1
583000.00
PA
USD
576501.01
0.3990633037796
Long
DBT
CORP
US
N
2
2034-06-12
Variable
5.836
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP
89788MAP7
826000.00
PA
USD
810820.99
0.5612633758322
Long
DBT
CORP
US
N
2
2034-06-08
Variable
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N
N
N
N
N
N
REGATTA XXV FUNDING LTD.
N/A
REGATTA XXV FUNDING LTD
758978AA8
600000.00
OU
Other Units
USD
604826.40
0.418670595906
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Variable
7.22856
N
N
N
N
N
N
INVESCO CLO LTD
213800YAVR2FVYDIRM63
INVESCO US CLO 2023-3 LTD
46091RAA1
575000.00
OU
Other Units
USD
578885.28
0.4007137339554
Long
ABS-CBDO
CORP
JE
Y
2
2036-07-15
Variable
7.12856
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP
89788MAM4
304000.00
PA
USD
283388.90
0.196166370443
Long
DBT
CORP
US
N
2
2034-01-26
Variable
5.122
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
PFIZER INVESTMENT ENTERPRISES PTE LTD
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300000.00
PA
USD
275421.52
0.1906512214145
Long
DBT
CORP
SG
N
2
2063-05-19
Fixed
5.34
N
N
N
N
N
N
WEA FINANCE LLC
3CYEJKBUJZO3UW777J80
WEA FINANCE LLC
92928QAE8
93000.00
PA
USD
84878.71
0.0587544129942
Long
DBT
CORP
US
Y
2
2028-09-20
Fixed
4.125
N
N
N
N
N
N
BALLYROCK LTD
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BALLYROCK CLO 24 LTD
05875AAA6
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OU
Other Units
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546766.89
0.3784808660104
Long
ABS-CBDO
CORP
JE
Y
2
2036-07-15
Variable
7.09856
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO
95000U3F8
630000.00
PA
USD
614366.68
0.425274531701
Long
DBT
CORP
US
N
2
2034-07-25
Variable
5.557
N
N
N
N
N
N
COLUMBIA PIPELINES OPCO
N/A
COLUMBIA PIPELINES OPERATING CO LLC
19828TAA4
910000.00
PA
USD
911935.79
0.631256672373
Long
DBT
CORP
US
Y
2
2030-08-15
Fixed
5.927
N
N
N
N
N
N
COLUMBIA PIPELINES OPCO
N/A
COLUMBIA PIPELINES OPERATING CO LLC
19828TAB2
341000.00
PA
USD
342244.72
0.236907318973
Long
DBT
CORP
US
Y
2
2033-11-15
Fixed
6.036
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC
05377RHM9
261000.00
OU
Other Units
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0.1828746091791
Long
ABS-MBS
CORP
US
Y
2
2030-02-20
Fixed
6.02
N
N
N
N
N
N
JBS USA HOLD/FOOD/LUX CO
N/A
JBS USA HOLDING LUX SARL/ JBS USA FOOD CO/ JBS LUX CO SARL
46590XAU0
639000.00
PA
USD
532571.16
0.368654352587
Long
DBT
CORP
LU
N
2
2032-01-15
Fixed
3.625
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE
693475BS3
480000.00
PA
USD
479085.12
0.3316304524407
Long
DBT
CORP
US
N
2
2034-08-18
Variable
5.939
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP
29273VAU4
284000.00
PA
USD
296088.46
0.2049572108444
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
6.55
N
N
N
N
N
N
SUNNOVA HESTIA I ISSUER, LLC
N/A
HELIOS ISSUER LLC
86746BAA1
97126.63
OU
Other Units
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96618.84
0.0668811204645
Long
ABS-MBS
CORP
US
Y
2
2050-12-20
Fixed
5.75
N
N
N
N
N
N
ALIGNED DATA CENTERS ISSUERS L
N/A
ALIGNED DATA CENTERS ISSUER LLC
01627AAD0
379000.00
OU
Other Units
USD
372806.72
0.25806282864
Long
ABS-MBS
CORP
US
Y
2
2048-08-17
Fixed
6.00
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP
89788MAK8
72000.00
PA
USD
71937.77
0.049796485461
Long
DBT
CORP
US
N
2
2033-10-28
Variable
6.123
N
N
N
N
N
N
ENT AUTO RECEIVABLES TRUST
N/A
ENT AUTO RECEIVABLES TRUST 2023-1
293601AE0
192000.00
OU
Other Units
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193324.86
0.1338225883322
Long
ABS-MBS
CORP
US
Y
2
2029-01-16
Fixed
6.24
N
N
N
N
N
N
CYRUSONE DATA CENTERS ISSUER I
N/A
CYRUSONE DATA CENTERS ISSUER I LLC
23284BAE4
394000.00
OU
Other Units
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383466.02
0.2654413681398
Long
ABS-MBS
CORP
US
Y
2
2048-11-20
Fixed
5.56
N
N
N
N
N
N
9M4FWJU_1071500_S
N/A
LCH IRS PAY FIXED/RECEIVE INFLATION 2.53 CPURNSA - MS
N/A
-4957000.00
NC
USD
52294.33
0.0361989792502
Short
DIR
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Y
2053-07-28
88827.54
USD
0.00
USD
-4957000.00
USD
-36533.21
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP
29273VAT7
270000.00
PA
USD
278274.15
0.1926258579416
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
6.40
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC
29379VCF8
1279000.00
PA
USD
1219957.28
0.8444741191812
Long
DBT
CORP
US
N
2
2034-01-31
Fixed
4.85
N
N
N
N
N
N
BIMBO BAKERIES USA INC
549300HOXXHHT7926W92
BIMBO BAKERIES USA INC
09031WAE3
200000.00
PA
USD
191362.06
0.1324639064928
Long
DBT
CORP
US
Y
2
2036-01-09
Fixed
5.375
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
DUKE ENERGY CAROLINAS LLC
26442CBM5
1240000.00
PA
USD
1178684.50
0.8159044347274
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.85
N
N
N
N
N
N
CONSUMERS ENERGY CO
7NKTFWJ1G6MELP9TU740
CONSUMERS ENERGY CO
210518DW3
438000.00
PA
USD
424442.32
0.2938058243524
Long
DBT
CORP
US
N
2
2029-05-30
Fixed
4.60
N
N
N
N
N
N
9M5DG0U_1071500_S
N/A
Buy Protection UNITED AIRLINES HOLDINGS 4.875% 01/15/2025 20281220 - GS - CON
N/A
-210000.00
NC
USD
-15348.19
-0.0106242648359
Short
DCR
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
999C5HAD6
UNITED AIRLINES HOLDINGS INC. 500(20-DEC-2028) GOL
Y
2028-12-20
791.18
USD
0.00
USD
-210000.00
USD
-16139.37
N
N
N
5ON3AIU80J0RDOGI_1071500_S
N/A
KRW/USD FWD 20240514 2467
N/A
-7810888000.00
NC
-5655538.65
-3.9148551332502
Short
DFE
KR
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
7810888000.00
KRW
5655538.65
USD
2024-05-14
224802.26
N
N
N
9M5DJ5U_1071500_S
N/A
Buy Protection SOUTHWEST AIRLINES CO 5.125% 06/15/2027 20281220 - CITI - CON
N/A
-660000.00
NC
USD
-189.95
-0.0001314864557
Short
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
8C8BB5AE0
SOUTHWEST AIRLINES CO
Y
2028-12-20
0.00
USD
1323.91
USD
-660000.00
USD
1133.96
N
N
N
V36NGFIBLBV4PLSH_1071500_S
N/A
MYR/USD FWD 20240514 GOLDUS33
N/A
-5506000.00
NC
-1154768.26
-0.7993492273941
Short
DFE
MY
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
5506000.00
MYR
1154768.26
USD
2024-05-14
21476.13
N
N
N
D9C9TNEL1EJGST3U_1071500_S
N/A
CNY/USD FWD 20240514 816
N/A
-1720000.00
NC
-237857.09
-0.1646485166831
Short
DFE
CN
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
1720000.00
CNY
237857.09
USD
2024-05-14
4499.92
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
ISRAEL GOVERNMENT INTERNATIONAL BOND
46514BRL3
842000.00
PA
USD
800952.50
0.5544322477779
Long
DBT
USGSE
IL
N
2
2034-03-12
Fixed
5.50
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL ENVIRONMENTAL INC
36168QAQ7
400000.00
PA
USD
403733.50
0.2794708449106
Long
DBT
CORP
CA
Y
2
2031-01-15
Fixed
6.75
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747YFL4
571000.00
PA
USD
555728.95
0.384684548589
Long
DBT
CORP
US
N
2
2035-01-18
Variable
5.466
N
N
N
N
N
N
LOO1T73FAQ48J032_1071500_L
N/A
COP/USD FWD 20240514 229
N/A
1457480000.00
NC
370663.22
0.2565790633442
Long
DFE
CO
N
2
BARCLAYS
AC28XWWI3WIBK2824319
370663.22
USD
1457480000.00
COP
2024-05-14
5335.15
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND
731011AZ5
848000.00
PA
USD
799341.76
0.5533172675528
Long
DBT
USGSE
PL
N
2
2054-03-18
Fixed
5.50
N
N
N
N
N
N
9M6HBAU_1071500_S
N/A
TRS SOFRRATE INDEX/IBOXIG INDEX 2024/06/20 - JPM
N/A
-4336.37
NC
USD
40770.55
0.0282220327418
Short
DE
US
N
N/A
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
TRS IBOXX EURO CORPORATES OVERALL TOTAL RETURN INDEX
IBOXIG
Y
2024-06-20
0.00
USD
0.00
USD
0.00
USD
40770.55
N
N
N
94SI5VVK06NF05QT_1071500_L
N/A
CNY/USD FWD 20240514 8409
N/A
32360000.00
NC
4475032.18
3.0976895014824
Long
DFE
CN
N
2
BNP PARIBAS SA
RCNB6OTYUAMMP879YW96
4475032.18
USD
32360000.00
CNY
2024-05-14
-79205.62
N
N
N
FS6L35NHVI3IFUE1_1071500_L
N/A
CLP/USD FWD 20240514 908
N/A
175322000.00
NC
182578.98
0.1263841167589
Long
DFE
CL
N
2
CITIBANK N A
MBNUM2BPBDO7JBLYG310
182578.98
USD
175322000.00
CLP
2024-05-14
4558.18
N
N
N
V36NGFIBLBV4PLSH_1071500_L
N/A
MYR/USD FWD 20240514 GOLDUS33
N/A
5535000.00
NC
1160850.40
0.8035593828672
Long
DFE
MY
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
1160850.40
USD
5535000.00
MYR
2024-05-14
205.38
N
N
N
FA7F55KCMHJM6U79_1071500_L
N/A
PEN/USD FWD 20240514 GOLDUS33
N/A
700000.00
NC
185909.60
0.1286896256788
Long
DFE
PE
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
185909.60
USD
700000.00
PEN
2024-05-14
1776.60
N
N
N
METRONET INFRASTRUCTURE ISSUER
5493000BIROCAEATAQ61
METRONET INFRASTRUCTURE ISSUER LLC
59170JAG3
123114.00
OU
Other Units
USD
121839.29
0.0843391230096
Long
ABS-MBS
CORP
US
Y
2
2054-04-20
Fixed
6.23
N
N
N
N
N
N
N8598O04H7TEBH0E_1071500_L
N/A
IDR/USD FWD 20240514 816
N/A
5520670000.00
NC
339408.71
0.2349441870781
Long
DFE
ID
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
339408.71
USD
5520670000.00
IDR
2024-05-14
-13673.73
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE EQUITIES INC
015271BC2
343000.00
PA
USD
322746.31
0.223410204869
Long
DBT
CORP
US
N
2
2036-05-15
Fixed
5.25
N
N
N
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE SYSTEMS PLC
05523RAL1
388000.00
PA
USD
376893.62
0.2608918467821
Long
DBT
CORP
GB
Y
2
2034-03-26
Fixed
5.30
N
N
N
N
N
N
338D4CMMHT2BTSOM_1071500_L
N/A
JPY/USD FWD 20240514 2467
N/A
1028688000.00
NC
6536410.66
4.5246089557415
Long
DFE
JP
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
6536410.66
USD
1028688000.00
JPY
2024-05-14
-282591.58
N
N
N
ROMANIA
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND
77586RAU4
170000.00
PA
USD
166555.80
0.1152926129507
Long
DBT
USGSE
RO
Y
2
2034-01-30
Fixed
6.375
N
N
N
N
N
N
BO07PHE7VCNUL5SR_1071500_S
N/A
JPY/USD FWD 20240514 8409
N/A
-17370000.00
NC
-110371.13
-0.0764006775628
Short
DFE
JP
N
2
BNP PARIBAS SA
RCNB6OTYUAMMP879YW96
17370000.00
JPY
110371.13
USD
2024-05-14
3481.81
N
N
N
IG3LQMKEEVVAIMCS_1071500_S
N/A
MXN/USD FWD 20240514 2467
N/A
-1530000.00
NC
-89114.56
-0.0616865367303
Short
DFE
MX
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
1530000.00
MXN
89114.56
USD
2024-05-14
3808.82
N
N
N
9TEV62VMJTDNMITS_1071500_S
N/A
PLN/USD FWD 20240514 2467
N/A
-320000.00
NC
-78874.79
-0.0545984026677
Short
DFE
PL
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
320000.00
PLN
78874.79
USD
2024-05-14
2367.76
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP
14448CBC7
165000.00
PA
USD
168663.88
0.1167518599509
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.90
N
N
N
N
N
N
4BATQAU263359TGM_1071500_L
N/A
AUD/USD FWD 20240514 050
N/A
255000.00
NC
165260.25
0.1143958123307
Long
DFE
AU
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
165260.25
USD
255000.00
AUD
2024-05-14
-3189.69
N
N
N
9M6U45U_1071500_L
N/A
ICE Sell Protection CDX.NA.HY.42 20290620 - MS - CON
N/A
230000.00
NC
USD
13514.24
0.0093547750462
Long
DCR
US
N
2
BNP PARIBAS SA
RCNB6OTYUAMMP879YW96
CDX.NA.HY.42-V1
2I65BRAB2
Y
2029-06-20
15851.81
USD
0.00
USD
230000.00
USD
-2337.57
N
N
N
4BATQAU263359TGM_1071500_S
N/A
AUD/USD FWD 20240514 050
N/A
-744000.00
NC
-482171.09
-0.3337666106819
Short
DFE
AU
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
744000.00
AUD
482171.09
USD
2024-05-14
8670.35
N
N
N
9VHFBU6L3H3O6UAE_1071500_S
N/A
AUD/USD FWD 20240514 229
N/A
-830000.00
NC
-537905.92
-0.3723471595614
Short
DFE
AU
N
2
BARCLAYS
AC28XWWI3WIBK2824319
830000.00
AUD
537905.92
USD
2024-05-14
10904.44
N
N
N
FUI9852UCFV8JL0L_1071500_L
N/A
THB/USD FWD 20240514 908
N/A
34802263.57
NC
940126.26
0.6507705706978
Long
DFE
TH
N
2
CITIBANK N A
MBNUM2BPBDO7JBLYG310
940126.26
USD
34802263.57
THB
2024-05-14
-10010.21
N
N
N
FNVMDKFP5P5SG2F3_1071500_L
N/A
GBP/USD FWD 20240514 908
N/A
15000.00
NC
18744.56
0.0129752869669
Long
DFE
GB
N
2
CITIBANK N A
MBNUM2BPBDO7JBLYG310
18744.56
USD
15000.00
GBP
2024-05-14
123.95
N
N
N
3GL3FTC507T56HU0_1071500_S
N/A
EUR/USD FWD 20240514 908
N/A
-830000.00
NC
-886265.74
-0.6134874494514
Short
DFE
XX
N
2
CITIBANK N A
MBNUM2BPBDO7JBLYG310
830000.00
EUR
886265.74
USD
2024-05-14
-911.71
N
N
N
PMRM4O6UCJBDBED4_1071500_L
N/A
CNH/USD FWD 20240514 050
N/A
4100000.00
NC
565595.58
0.3915143891213
Long
DFE
CN
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
565595.58
USD
4100000.00
CNY
2024-05-14
213.48
N
N
N
MIINJDLI9L9RBAL4_1071500_L
N/A
NZD/USD FWD 20240514 816
N/A
113000.00
NC
66584.94
0.046091170141
Long
DFE
NZ
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
66584.94
USD
113000.00
NZD
2024-05-14
103.42
N
N
N
9M7EHAU
N/A
SWOCDX42 5Y 0.55 20-06-2024 PUT - CITI
N/A
15300000.00
NC
USD
23228.95
0.0160794541024
Long
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
Put
Purchased
CDX.NA.IG.42-V1
2I65BYEE1
1.00
0.55
USD
2024-06-20
XXXX
-3546.05
N
N
N
PKTAM8CAF21A0PU5_1071500_L
N/A
GBP/USD FWD 20240514 GOLDUS33
N/A
245000.00
NC
306161.20
0.2119297240453
Long
DFE
GB
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
306161.20
USD
245000.00
GBP
2024-05-14
-2088.49
N
N
N
9M6QAFU
N/A
SWOITX41 5Y 0.65 15-05-2024 PUT - CITI
N/A
-26300000.00
NC
-3805.23
-0.0026340416219
Short
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
Put
Written
iTraxx Europe Series 41 Version 1
2I666VDJ1
1.00
0.65
EUR
2024-05-15
XXXX
14178.76
N
N
N
JQMPJI3AD2MV63E0_1071500_L
N/A
DKK/USD FWD 20240514 816
N/A
2298000.00
NC
329089.62
0.2278011464312
Long
DFE
DK
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
329089.62
USD
2298000.00
DKK
2024-05-14
-5446.67
N
N
N
TSNFFEKG1S3IOU67_1071500_L
N/A
NOK/USD FWD 20240514 816
N/A
3182000.00
NC
286550.86
0.1983551301887
Long
DFE
NO
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
286550.86
USD
3182000.00
NOK
2024-05-14
-10271.51
N
N
N
HQFRC8U1BO0FVOOL_1071500_L
N/A
SEK/USD FWD 20240514 050
N/A
7445000.00
NC
675975.48
0.4679211374197
Long
DFE
SE
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
675975.48
USD
7445000.00
SEK
2024-05-14
-24601.10
N
N
N
RITCV70CPEOER7GO_1071500_S
N/A
NZD/USD FWD 20240514 GOLDUS33
N/A
-120000.00
NC
-70709.67
-0.0489463748196
Short
DFE
NZ
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
120000.00
NZD
70709.67
USD
2024-05-14
-28.35
N
N
N
9M7EGZU
N/A
SWOCDX42 5Y 0.625 20-06-2024 PUT - CITI
N/A
-30600000.00
NC
USD
-20947.13
-0.0144999414701
Short
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
Put
Written
CDX.NA.IG.42-V1
2I65BYEE1
1.00
0.625
USD
2024-06-20
XXXX
4297.87
N
N
N
VKB59A6K0FEQLJRV_1071500_S
N/A
CNY/USD FWD 20240514 050
N/A
-3580000.00
NC
-495074.64
-0.3426986562537
Short
DFE
CN
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
3580000.00
CNY
495074.64
USD
2024-05-14
7223.73
N
N
N
O68FCSDQ5VRBLE23_1071500_L
N/A
GBP/USD FWD 20240514 050
N/A
47000.00
NC
58732.96
0.0406559028549
Long
DFE
GB
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
58732.96
USD
47000.00
GBP
2024-05-14
161.70
N
N
N
2S91JQUIJ4AB2B9Q_1071500_S
N/A
CHF/USD FWD 20240514 050
N/A
-402000.00
NC
-437997.66
-0.303189049482
Short
DFE
CH
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
402000.00
CHF
437997.66
USD
2024-05-14
8427.93
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA
268317AZ7
920000.00
PA
USD
914670.45
0.6331496481621
Long
DBT
CORP
FR
Y
2
2034-04-22
Fixed
5.95
N
N
N
N
N
N
NA3962O57LL6428N_1071500_S
N/A
GBP/USD FWD 20240514 235
N/A
-95000.00
NC
-118715.57
-0.0821768336091
Short
DFE
GB
N
2
RBC CAPITAL MARKETS LLC
549300LCO2FLSSVFFR64
95000.00
GBP
118715.57
USD
2024-05-14
-462.80
N
N
N
9M7AJAU
N/A
SWOITX41 5Y 0.6 19-06-2024 PUT - CITI
N/A
-11450000.00
NC
-16525.77
-0.0114394047179
Short
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
Put
Written
iTraxx Europe Series 41 Version 1
2I666VDJ1
1.00
0.60
EUR
2024-06-19
XXXX
20075.87
N
N
N
2677JGU41TSLHGUA_1071500_L
N/A
CHF/USD FWD 20240514 0642
N/A
394000.00
NC
429281.29
0.2971554374868
Long
DFE
CH
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
429281.29
USD
394000.00
CHF
2024-05-14
-7503.53
N
N
N
EQPSTISLJONBG66C_1071500_S
N/A
CAD/USD FWD 20240514 235
N/A
-250000.00
NC
-181641.47
-0.1257351572056
Short
DFE
CA
N
2
RBC CAPITAL MARKETS LLC
549300LCO2FLSSVFFR64
250000.00
CAD
181641.47
USD
2024-05-14
328.51
N
N
N
34675JEI2F7DU5PO_1071500_L
N/A
CAD/USD FWD 20240514 816
N/A
5825000.00
NC
4232246.30
2.9296291968112
Long
DFE
CA
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
4232246.30
USD
5825000.00
CAD
2024-05-14
-84990.32
N
N
N
H00J5GT7ESLCP2SF_1071500_L
N/A
MXN/USD FWD 20240514 GOLDUS33
N/A
3686000.00
NC
214690.36
0.1486121322688
Long
DFE
MX
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
214690.36
USD
3686000.00
MXN
2024-05-14
-7139.25
N
N
N
HI538MOOLO80I8N9_1071500_S
N/A
GBP/USD FWD 20240514 050
N/A
-1175000.00
NC
-1468324.11
-1.0163976475182
Short
DFE
GB
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
1175000.00
GBP
1468324.11
USD
2024-05-14
17706.61
N
N
N
6C7P9RQSGKS05G87_1071500_S
N/A
GBP/USD FWD 20240514 229
N/A
-360000.00
NC
-449869.51
-0.3114069356623
Short
DFE
GB
N
2
BARCLAYS
AC28XWWI3WIBK2824319
360000.00
GBP
449869.51
USD
2024-05-14
-1291.04
N
N
N
DPA5GV44QC43GVKU_1071500_S
N/A
MYR/USD FWD 20240514 050
N/A
-725000.00
NC
-152053.58
-0.1052539422026
Short
DFE
MY
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
725000.00
MYR
152053.58
USD
2024-05-14
363.33
N
N
N
VO73EJ7GUCNSV5S0_1071500_S
N/A
CNY/USD FWD 20240514 2467
N/A
-5120000.00
NC
-708039.70
-0.4901165080164
Short
DFE
CN
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
5120000.00
CNY
708039.70
USD
2024-05-14
10758.56
N
N
N
9M7CPAU_1071500_S
N/A
ICE Buy Protection CDX.NA.IG.42 20290620 - MS - CON
N/A
-48385000.00
NC
USD
-1017891.77
-0.7046011118459
Short
DCR
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDX.NA.IG.42-V1
2I65BYEE1
Y
2029-06-20
0.00
USD
933184.53
USD
-48385000.00
USD
-84707.24
N
N
N
OOC1TMDSV6OCC78H_1071500_L
N/A
RON/USD FWD 20240514 GOLDUS33
N/A
1540000.00
NC
330176.73
0.228553661519
Long
DFE
RO
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
330176.73
USD
1540000.00
RON
2024-05-14
-5130.20
N
N
N
9M6VGTU_1071500_L
N/A
Sell Protection WHIRLPOOL CORP 4.75% 02/26/2029 20290620 - CITI - CON
N/A
400000.00
NC
USD
-9400.16
-0.0065069424694
Long
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
9F9652AH9
WHIRLPOOL CORP CDS
Y
2029-06-20
0.00
USD
5120.96
USD
400000.00
USD
-4279.20
N
N
N
FOT2VHLRPMLID24G_1071500_S
N/A
HUF/USD FWD 20240514 GOLDUS33
N/A
-67866000.00
NC
-184885.44
-0.1279806855969
Short
DFE
HU
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
67866000.00
HUF
184885.44
USD
2024-05-14
1734.24
N
N
N
C737BNV8NCPBK9M1_1071500_L
N/A
JPY/USD FWD 20240514 816
N/A
2807165000.00
NC
17837073.28
12.3471100126543
Long
DFE
JP
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
17837073.28
USD
2807165000.00
JPY
2024-05-14
-778645.86
N
N
N
V5NTIP99PKQE0CGI_1071500_S
N/A
NZD/USD FWD 20240514 235
N/A
-9807000.00
NC
-5778748.19
-4.0001427654255
Short
DFE
NZ
N
2
RBC CAPITAL MARKETS LLC
549300LCO2FLSSVFFR64
9807000.00
NZD
5778748.19
USD
2024-05-14
148926.24
N
N
N
SEM1R9AP6M1LAQ4M_1071500_L
N/A
AUD/USD FWD 20240514 GOLDUS33
N/A
225000.00
NC
145817.87
0.100937483097
Long
DFE
AU
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
145817.87
USD
225000.00
AUD
2024-05-14
-1007.01
N
N
N
9TEV62VMJTDNMITS_1071500_L
N/A
PLN/USD FWD 20240514 2467
N/A
285000.00
NC
70247.86
0.048626702484
Long
DFE
PL
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
70247.86
USD
285000.00
PLN
2024-05-14
-1240.36
N
N
N
L0MHQQN0JA42UVES_1071500_S
N/A
JPY/USD FWD 20240514 050
N/A
-48870000.00
NC
-310526.02
-0.2149511228969
Short
DFE
JP
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
48870000.00
JPY
310526.02
USD
2024-05-14
6056.98
N
N
N
ACE7SDHA3LKM508F_1071500_S
N/A
ZAR/USD FWD 20240514 050
N/A
-968000.00
NC
-51373.01
-0.0355612266762
Short
DFE
ZA
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
968000.00
ZAR
51373.01
USD
2024-05-14
373.59
N
N
N
6JIV10EA157PE5PD_1071500_S
N/A
CAD/USD FWD 20240514 050
N/A
-100000.00
NC
-72656.59
-0.0502940642667
Short
DFE
CA
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
100000.00
CAD
72656.59
USD
2024-05-14
582.18
N
N
N
O6C3FUMMU0BP7DPN_1071500_L
N/A
KRW/USD FWD 20240514 2467
N/A
2051050000.00
NC
1485079.87
1.0279962550262
Long
DFE
KR
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
1485079.87
USD
2051050000.00
KRW
2024-05-14
7354.48
N
N
N
9HQQV8G8J42SERA6_1071500_L
N/A
EUR/USD FWD 20240514 050
N/A
14753000.00
NC
15753106.55
10.9045546071735
Long
DFE
XX
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
15753106.55
USD
14753000.00
EUR
2024-05-14
-226063.30
N
N
N
RMGDU3PNIKQKEC8U_1071500_S
N/A
CNY/USD FWD 20240514 229
N/A
-27285000.00
NC
-3773215.48
-2.6118806545044
Short
DFE
CN
N
2
BARCLAYS
AC28XWWI3WIBK2824319
27285000.00
CNY
3773215.48
USD
2024-05-14
64592.30
N
N
N
OU176AQUIV13IQ4M_1071500_L
N/A
CNH/USD FWD 20240514 816
N/A
112744383.61
NC
15553103.66
10.7661093786927
Long
DFE
CN
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
15553103.66
USD
112744383.61
CNY
2024-05-14
-5867.48
N
N
N
5OVS7ICJKGT0CI8R_1071500_S
N/A
THB/USD FWD 20240514 816
N/A
-3300000.00
NC
-89144.11
-0.0617069917173
Short
DFE
TH
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
3300000.00
THB
89144.11
USD
2024-05-14
909.84
N
N
N
RITCV70CPEOER7GO_1071500_L
N/A
NZD/USD FWD 20240514 GOLDUS33
N/A
1244000.00
NC
733023.63
0.5074107876
Long
DFE
NZ
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
733023.63
USD
1244000.00
NZD
2024-05-14
-16862.06
N
N
N
4SP69QU2FJRM3E4A_1071500_L
N/A
EUR/USD FWD 20240514 8409
N/A
100000.00
NC
106779.00
0.0739141472003
Long
DFE
XX
N
2
BNP PARIBAS SA
RCNB6OTYUAMMP879YW96
106779.00
USD
100000.00
EUR
2024-05-14
332.19
N
N
N
HI538MOOLO80I8N9_1071500_L
N/A
GBP/USD FWD 20240514 050
N/A
777000.00
NC
970968.37
0.6721199770278
Long
DFE
GB
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
970968.37
USD
777000.00
GBP
2024-05-14
-12793.66
N
N
N
6JIV10EA157PE5PD_1071500_L
N/A
CAD/USD FWD 20240514 050
N/A
1759000.00
NC
1278029.40
0.8846725779223
Long
DFE
CA
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
1278029.40
USD
1759000.00
CAD
2024-05-14
-9293.07
N
N
N
CONSTELLATION EN GEN LLC
S2PEWKCZFFECR4533P43
CONSTELLATION ENERGY GENERATION LLC
210385AF7
320000.00
PA
USD
301361.74
0.2086074603705
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
5.75
N
N
N
N
N
N
2B7HJU3T9JE2FKRV_1071500_S
N/A
EUR/USD FWD 20240514 235
N/A
-147000.00
NC
-156965.14
-0.1086538033066
Short
DFE
XX
N
2
RBC CAPITAL MARKETS LLC
549300LCO2FLSSVFFR64
147000.00
EUR
156965.14
USD
2024-05-14
3035.25
N
N
N
U3EHUF0M99SAOFKQ_1071500_S
N/A
CAD/USD FWD 20240514 2467
N/A
-1200000.00
NC
-871879.07
-0.6035287642783
Short
DFE
CA
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
1200000.00
CAD
871879.07
USD
2024-05-14
12647.66
N
N
N
1SRCS4B7KT6AN43G_1071500_S
N/A
JPY/USD FWD 20240514 GOLDUS33
N/A
-549645000.00
NC
-3492512.25
-2.4175733481817
Short
DFE
JP
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
549645000.00
JPY
3492512.25
USD
2024-05-14
146291.86
N
N
N
9HQQV8G8J42SERA6_1071500_S
N/A
EUR/USD FWD 20240514 050
N/A
-80000.00
NC
-85423.20
-0.0591313177602
Short
DFE
XX
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
80000.00
EUR
85423.20
USD
2024-05-14
32.72
N
N
N
KBOL903D2N4U10VE_1071500_S
N/A
IDR/USD FWD 20240514 050
N/A
-2610420000.00
NC
-160487.64
-0.1110921346593
Short
DFE
ID
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
2610420000.00
IDR
160487.64
USD
2024-05-14
3633.98
N
N
N
HJAPBB8RJ2QU1BGP_1071500_S
N/A
NOK/USD FWD 20240514 8409
N/A
-815000.00
NC
-73393.76
-0.0508043452385
Short
DFE
NO
N
2
BNP PARIBAS SA
RCNB6OTYUAMMP879YW96
815000.00
NOK
73393.76
USD
2024-05-14
3090.37
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA
268317BB9
420000.00
PA
USD
384816.63
0.2663762821805
Long
DBT
CORP
FR
Y
2
2064-04-22
Fixed
6.00
N
N
N
N
N
N
A3F9SLSBMGTOCIS7_1071500_S
N/A
GBP/USD FWD 20240514 229
N/A
-74000.00
NC
-92473.18
-0.0640114277021
Short
DFE
GB
N
2
BARCLAYS
AC28XWWI3WIBK2824319
74000.00
GBP
92473.18
USD
2024-05-14
-461.65
N
N
N
9M7AJBU
N/A
SWOITX41 5Y 0.6 19-06-2024 CALL - CITI
N/A
-11450000.00
NC
-30365.96
-0.0210198076149
Short
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
Call
Written
iTraxx Europe Series 41 Version 1
2I666VDJ1
1.00
0.60
EUR
2024-06-19
XXXX
-12065.14
N
N
N
R1LRPEI7MTRVUEEA_1071500_S
N/A
SGD/USD FWD 20240514 2467
N/A
-90000.00
NC
-65974.55
-0.0456686483313
Short
DFE
SG
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
90000.00
SGD
65974.55
USD
2024-05-14
896.11
N
N
N
H0B9CEUVHO4CN0J7_1071500_L
N/A
EUR/USD FWD 20240514 816
N/A
3349000.00
NC
3576028.87
2.475384900494
Long
DFE
XX
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
3576028.87
USD
3349000.00
EUR
2024-05-14
-28227.68
N
N
N
IKIJIJA46COKQ78S_1071500_L
N/A
NZD/USD FWD 20240514 908
N/A
135000.00
NC
79548.38
0.0550646725373
Long
DFE
NZ
N
2
CITIBANK N A
MBNUM2BPBDO7JBLYG310
79548.38
USD
135000.00
NZD
2024-05-14
-942.18
N
N
N
A5SI8S4SOMHVAQLQ_1071500_L
N/A
ILS/USD FWD 20240515 816
N/A
1501000.00
NC
401422.94
0.2778714379864
Long
DFE
IL
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
401422.94
USD
1501000.00
ILS
2024-05-15
634.71
N
N
N
KBOL903D2N4U10VE_1071500_L
N/A
IDR/USD FWD 20240514 050
N/A
5114765000.00
NC
314453.82
0.2176700094512
Long
DFE
ID
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
314453.82
USD
5114765000.00
IDR
2024-05-14
-407.52
N
N
N
FA7F55KCMHJM6U79_1071500_S
N/A
PEN/USD FWD 20240514 GOLDUS33
N/A
-4892000.00
NC
-1299242.53
-0.8993566488856
Short
DFE
PE
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
4892000.00
PEN
1299242.53
USD
2024-05-14
16341.71
N
N
N
9M6QHVU
N/A
SWOCDX42 5Y 0.625 15-05-2024 PUT - CITI
N/A
-34700000.00
NC
USD
-3614.10
-0.0025017383511
Short
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
Put
Written
CDX.NA.IG.42-V1
2I65BYEE1
1.00
0.625
USD
2024-05-15
XXXX
15470.90
N
N
N
9M6QADU
N/A
SWOITX41 5Y 0.575 15-05-2024 PUT - CITI
N/A
13150000.00
NC
9876.53
0.006836693472
Long
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
Put
Purchased
iTraxx Europe Series 41 Version 1
2I666VDJ1
1.00
0.575
EUR
2024-05-15
XXXX
-10676.60
N
N
N
87JRM3DBNIEG9KNC_1071500_L
N/A
EUR/USD FWD 20240514 2467
N/A
4049000.00
NC
4323481.90
2.9927839516629
Long
DFE
XX
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
4323481.90
USD
4049000.00
EUR
2024-05-14
-37217.93
N
N
N
NA3962O57LL6428N_1071500_L
N/A
GBP/USD FWD 20240514 235
N/A
260000.00
NC
324905.76
0.2249050110122
Long
DFE
GB
N
2
RBC CAPITAL MARKETS LLC
549300LCO2FLSSVFFR64
324905.76
USD
260000.00
GBP
2024-05-14
-3951.34
N
N
N
ULQM01A96ATCLH0K_1071500_L
N/A
PLN/USD FWD 20240514 908
N/A
1123000.00
NC
276801.21
0.1916062651005
Long
DFE
PL
N
2
CITIBANK N A
MBNUM2BPBDO7JBLYG310
276801.21
USD
1123000.00
PLN
2024-05-14
-6199.92
N
N
N
9M6QGTU
N/A
SWOCDX42 5Y 0.55 15-05-2024 PUT - CITI
N/A
17350000.00
NC
USD
10262.28
0.0071037158479
Long
DCR
US
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
Put
Purchased
CDX.NA.IG.42-V1
2I65BYEE1
1.00
0.55
USD
2024-05-15
XXXX
-12292.72
N
N
N
H0B9CEUVHO4CN0J7_1071500_S
N/A
EUR/USD FWD 20240514 816
N/A
-7225000.00
NC
-7714783.09
-5.3402973705782
Short
DFE
XX
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
7225000.00
EUR
7714783.09
USD
2024-05-14
-5505.79
N
N
N
HQFRC8U1BO0FVOOL_1071500_S
N/A
SEK/USD FWD 20240514 050
N/A
-1170000.00
NC
-106231.20
-0.0735349511989
Short
DFE
SE
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
1170000.00
SEK
106231.20
USD
2024-05-14
4799.75
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL
3140XNJ47
1907798.39
OU
Other Units
USD
1914349.18
1.3251433997637
Long
ABS-MBS
USGA
US
N
2
2053-12-01
Fixed
6.00
N
N
N
N
N
N
VVEP628E9MFH7M5K_1071500_S
N/A
JPY/USD FWD 20240514 908
N/A
-15910000.00
NC
-101094.11
-0.0699789745888
Short
DFE
JP
N
2
CITIBANK N A
MBNUM2BPBDO7JBLYG310
15910000.00
JPY
101094.11
USD
2024-05-14
2163.72
N
N
N
7A07UA4KI53BATKM_1071500_S
N/A
EUR/USD FWD 20240514 GOLDUS33
N/A
-7675000.00
NC
-8195288.61
-5.6729110468241
Short
DFE
XX
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
7675000.00
EUR
8195288.61
USD
2024-05-14
138809.69
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL
3132DSYT3
3094000.00
OU
Other Units
USD
3027209.23
2.0954830878024
Long
ABS-MBS
USGA
US
N
2
2054-04-01
Fixed
5.50
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC
25278XAZ2
140000.00
PA
USD
136098.17
0.0942093498822
Long
DBT
CORP
US
N
2
2034-04-18
Fixed
5.40
N
N
N
N
N
N
9M72UMU_1071500_S
N/A
TRS SOFRRATE INDEX/IBOXIG INDEX 2024/06/20 - JPM
N/A
-8148.37
NC
USD
39861.83
0.0275930020911
Short
DE
US
N
N/A
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
TRS IBOXX EURO CORPORATES OVERALL TOTAL RETURN INDEX
IBOXIG
Y
2024-06-20
0.00
USD
0.00
USD
0.00
USD
39861.83
N
N
N
UQE5V0PVD2E29JVB_1071500_L
N/A
GBP/USD FWD 20240514 816
N/A
44000.00
NC
54984.05
0.038060846846
Long
DFE
GB
N
2
HSBC SECURITIES INC
CYYGQCGNHMHPSMRL3R97
54984.05
USD
44000.00
GBP
2024-05-14
-696.38
N
N
N
V8FNFBO7Q920JRI6_1071500_L
N/A
CZK/USD FWD 20240514 050
N/A
10534000.00
NC
446931.51
0.3093732046433
Long
DFE
CZ
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
446931.51
USD
10534000.00
CZK
2024-05-14
-2977.75
N
N
N
VERUS SECURITIZATION TRUST
984500BADC7CFE3B0756
VERUS SECURITIZATION TRUST 2023-5
924934AA0
294813.92
OU
Other Units
USD
294777.42
0.2040496877964
Long
ABS-CBDO
CORP
US
Y
2
2068-06-01
Variable
6.476
N
N
N
N
N
N
WEA FINANCE LLC
3CYEJKBUJZO3UW777J80
WEA FINANCE LLC
92928QAH1
380000.00
PA
USD
346078.61
0.2395611995095
Long
DBT
CORP
US
Y
2
2027-01-15
Fixed
2.875
N
N
N
N
N
N
AMSR TRUST
N/A
AMSR 2019-SFR1 TRUST
00178XAB9
525000.00
OU
Other Units
USD
491247.07
0.3400491505232
Long
ABS-MBS
CORP
US
Y
2
2039-01-03
Fixed
3.023
N
N
N
N
N
N
FARM 2021-1 MORTGAGE TRUST
N/A
FARM 21-1 MORTGAGE TRUST
30768WAA6
608068.73
OU
Other Units
USD
485739.90
0.3362369985641
Long
ABS-CBDO
CORP
US
Y
2
2051-01-01
Variable
2.18
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
2138008DC17PCNG48R87
VERUS SECURITIZATION TRUST 2023-4
92539TAA1
273289.07
OU
Other Units
USD
271040.56
0.1876186501943
Long
ABS-CBDO
CORP
US
Y
2
2068-05-01
Variable
5.811
N
N
N
N
N
N
A&D MORTGAGE TRUST
N/A
A&D MORTGAGE TRUST 2023-NQM2
00002DAA7
466758.28
OU
Other Units
USD
464398.72
0.321464289324
Long
ABS-CBDO
CORP
US
Y
2
2068-05-01
Variable
6.132
N
N
N
N
N
N
COLT FUNDING LLC
213800EHDFO4A3F7P416
COLT 2023-4 MORTGAGE LOAN TRUST
12598WAA0
526205.00
OU
Other Units
USD
530385.86
0.3671416526566
Long
ABS-CBDO
CORP
US
Y
2
2068-10-01
Variable
7.163
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE
097023DM4
192000.00
PA
USD
192884.83
0.1335179924641
Long
DBT
CORP
US
Y
2
2054-05-01
Fixed
6.858
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO/THE
097023DL6
270000.00
PA
USD
272235.76
0.1884459869247
Long
DBT
CORP
US
Y
2
2034-05-01
Fixed
6.528
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND
91282CJZ5
686000.00
PA
USD
649663.44
0.4497075186585
Long
DBT
UST
US
N
2
2034-02-15
Fixed
4.00
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND
91282CKB6
411000.00
PA
USD
407869.33
0.2823337331884
Long
DBT
UST
US
N
2
2026-02-28
Fixed
4.625
N
N
N
N
N
N
NEW S WALES TREASURY CRP
TC7LRO17HPNPLTAV0H77
NEW SOUTH WALES TREASURY CORP
BR0514587
4126000.00
PA
1968995.88
1.362970727495
Long
DBT
USGSE
AU
N
2
2034-03-20
Fixed
1.75
N
N
N
N
N
N
SUEZ
5493007LKZ37MXEN5D79
SUEZ SACA
BZ9781957
100000.00
PA
114112.39
0.0789904381183
Long
DBT
CORP
FR
N
2
2032-11-03
Fixed
5.00
N
N
N
N
N
N
FORD AUTO SECURITIZATION TRUST
N/A
FORD AUTO SECURITIZATION TRUST II SERIES 2022-A ASSET-BACKED NOTES
345214AE0
1107000.00
OU
Other Units
807969.68
0.5592896530304
Long
ABS-MBS
CORP
CA
Y
2
2028-09-15
Fixed
5.399
N
N
N
N
N
N
REPUBLIC OF AUSTRIA
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND
ZF4061056
1275000.00
PA
1342629.22
0.9293896159597
Long
DBT
USGSE
AT
Y
2
2034-02-20
Fixed
2.90
N
N
N
N
N
N
THAMES WATER UTIL FIN
213800ESMPQ4RQ7G8351
THAMES WATER UTILITIES FINANCE PLC
ZM3534272
314000.00
PA
291495.66
0.2017780005572
Long
DBT
CORP
GB
N
2
2031-01-18
Fixed
4.375
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND
ZL0747895
900000.00
PA
921804.54
0.6380879804034
Long
DBT
USGSE
BE
Y
2
2054-06-22
Fixed
3.30
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT BOND
135087Q49
400000.00
PA
283180.18
0.1960218910903
Long
DBT
USGSE
CA
N
2
2028-09-01
Fixed
3.25
N
N
N
N
N
N
9M72RGU_1071500_L
N/A
LCH RPI RECEIVE FIXED/PAY INFLATION 3.708 UKRPI INDEX 2034/04/05 - MS
N/A
7080000.00
NC
-71878.64
-0.0497555547206
Long
DIR
US
N
2
BANK OF AMERICA
8NAV47T0Y26Q87Y0QP81
Y
2034-04-05
0.00
USD
0.00
USD
8846814.00
USD
-71878.64
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT
ZN9056328
3475000.00
PA
4012180.10
2.7772958213289
Long
DBT
USGSE
GB
N
2
2033-01-31
Fixed
3.25
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT
ZF2680865
2350000.00
PA
2740288.14
1.8968716784322
Long
DBT
USGSE
GB
N
2
2054-07-31
Fixed
4.375
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND
BJ5968158
151000.00
PA
148072.36
0.1024980774622
Long
DBT
USGSE
RO
N
2
2030-05-26
Fixed
3.624
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
PERU GOVERNMENT BOND
ZK8655423
4710000.00
PA
1260987.13
0.872875643568
Long
DBT
USGSE
PE
Y
2
2033-08-12
Fixed
7.30
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
SPAIN GOVERNMENT BOND
ZF2464195
75000.00
PA
79346.53
0.0549249487095
Long
DBT
USGSE
ES
Y
2
2034-04-30
Fixed
3.25
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
KOREA TREASURY BOND
BZ4107240
7979700000.00
PA
6049779.56
4.1877550541535
Long
DBT
USGSE
KR
N
2
2032-12-10
Fixed
4.25
N
N
N
N
N
N
LEG IMMOBILIEN SE
391200SO40AKONBO0Z96
LEG IMMOBILIEN SE
BT4285727
100000.00
PA
91755.61
0.0635147141666
Long
DBT
CORP
DE
N
2
2029-01-17
Fixed
0.875
N
N
N
N
N
N
NEW S WALES TREASURY CRP
TC7LRO17HPNPLTAV0H77
NEW SOUTH WALES TREASURY CORP
ZK3909205
294000.00
PA
172299.88
0.1192687578355
Long
DBT
USGSE
AU
N
2
2036-02-20
Fixed
4.25
N
N
N
N
N
N
EUROGRID GMBH
967600Q53854Z2NBCC81
EUROGRID GMBH
BJ3265474
200000.00
PA
174491.90
0.1207861094584
Long
DBT
CORP
DE
N
2
2032-05-15
Fixed
1.113
N
N
N
N
N
N
FLUVIUS SYSTEM OP
549300WSQWO0M3PK2J78
FLUVIUS SYSTEM OPERATOR CV
ZK4653356
800000.00
PA
857465.32
0.5935513338921
Long
DBT
CORP
BE
N
2
2033-05-09
Fixed
3.875
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP
14448CBG8
339000.00
PA
374507.16
0.2592399006529
Long
DBT
CORP
US
N
2
2032-11-29
Fixed
4.50
N
N
N
N
N
N
SELP FINANCE SARL
549300Y4VYEJE1MH6D45
SELP FINANCE SARL
BY1921141
130000.00
PA
136879.99
0.0947505383047
Long
DBT
CORP
LU
N
2
2027-08-10
Fixed
3.75
N
N
N
N
N
N
AUTOSTRADE PER L'ITALIA
815600149448CEB9B230
AUTOSTRADE PER L'ITALIA SPA
ZD2047821
596000.00
PA
628197.24
0.4348482685566
Long
DBT
CORP
IT
N
2
2036-02-28
Fixed
4.625
N
N
N
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT BOND
AS4638860
5100000.00
PA
1123323.50
0.7775826570075
Long
DBT
USGSE
MY
N
2
2033-11-07
Fixed
4.642
N
N
N
N
N
N
IRELAND GOVERNMENT BOND
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND
ZF2761889
525000.00
PA
542263.08
0.3753632560375
Long
DBT
USGSE
IE
N
2
2034-10-18
Fixed
2.60
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
BS1695607
656000.00
PA
561851.77
0.3889228634146
Long
DBT
CORP
CH
N
2
2031-11-03
Fixed
0.875
N
N
N
N
N
N
BANCO DE CREDITO SOCIAL
95980020140005881190
BANCO DE CREDITO SOCIAL COOPERATIVO SA
BP5486488
900000.00
PA
927458.70
0.6420018812129
Long
DBT
CORP
ES
N
2
2031-11-27
Variable
5.25
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
JAPAN GOVERNMENT THIRTY YEAR BOND
BH6206925
194300000.00
PA
868548.03
0.6012229646277
Long
DBT
USGSE
JP
N
2
2050-03-20
Fixed
0.40
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
JAPAN GOVERNMENT THIRTY YEAR BOND
BN4176556
177050000.00
PA
850012.71
0.5883925169659
Long
DBT
USGSE
JP
N
2
2050-12-20
Fixed
0.70
N
N
N
N
N
N
LINDE PLC
5299003QR1WT0EF88V51
LINDE PLC
BV5138474
600000.00
PA
530435.33
0.367175896589
Long
DBT
CORP
IE
N
2
2035-03-31
Fixed
1.625
N
N
N
N
N
N
9M6WM4U_1071500_L
N/A
Sell Protection ELECTROLUX AB 2.5% 05/18/2030 REGS 20290620 - GS - CON
N/A
290000.00
NC
-9388.94
-0.0064991758043
Long
DCR
XX
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
0B11AHAG9
AB ELECTROLUX 100(20-JUN-2028) MORGAN STANLEY CO I
Y
2029-06-20
0.00
USD
9864.69
USD
309488.00
USD
475.75
N
N
N
CELLNEX TELECOM SA
5493008T4YG3AQUI7P67
CELLNEX TELECOM SA
BK0950067
500000.00
PA
481258.64
0.3331349980651
Long
DBT
CORP
ES
N
2
2029-06-26
Fixed
1.875
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
VONOVIA SE
BR1517753
700000.00
PA
563819.24
0.3902847779033
Long
DBT
CORP
DE
N
2
2032-09-01
Fixed
0.75
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
SPAIN GOVERNMENT BOND
BT4353020
4975000.00
PA
4392506.62
3.0405639768977
Long
DBT
USGSE
ES
Y
2
2032-04-30
Fixed
0.70
N
N
N
N
N
N
LA BANQUE POSTALE
96950066U5XAAIRCPA78
LA BANQUE POSTALE SA
ZN6599486
200000.00
PA
222344.29
0.1539103061483
Long
DBT
CORP
FR
N
2
2034-03-05
Variable
5.50
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP
ZJ0869348
114000.00
PA
129583.47
0.0896997693957
Long
DBT
CORP
US
N
2
2034-07-06
Fixed
5.125
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
INDONESIA TREASURY BOND
ZQ4375866
10580000000.00
PA
668099.78
0.4624694507668
Long
DBT
USGSE
ID
N
2
2040-04-15
Fixed
7.50
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
VONOVIA SE
BV4086070
700000.00
PA
657500.41
0.4551323957803
Long
DBT
CORP
DE
N
2
2032-03-25
Fixed
2.375
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT BOND
QJ1094474
6455000.00
PA
3432591.74
2.3760954040498
Long
DBT
USGSE
NZ
N
2
2033-04-14
Fixed
3.50
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
HELLENIC REPUBLIC GOVERNMENT BOND
ZJ7218432
247000.00
PA
278229.96
0.1925952689104
Long
DBT
USGSE
GR
Y
2
2038-07-18
Fixed
4.375
N
N
N
N
N
N
9M6FZMU_1071500_L
N/A
TRS QW5A INDEX/EUR003M INDEX 2024/06/20 - GS
N/A
19642.85
NC
-14749.46
-0.0102098142665
Long
DE
XX
N
N/A
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
TRS MARKIT IBOXX USD LIQUID INVESTMENT GRADE INDEX
QW5A
Y
2024-06-20
0.00
USD
0.00
USD
0.00
USD
-14749.46
N
N
N
UNILEVER CAPITAL CORP
MYF1DAS6G5WY7PRWCU78
UNILEVER CAPITAL CORP
ZK8576843
1200000.00
PA
1275341.01
0.882811630974
Long
DBT
CORP
US
N
2
2033-06-06
Fixed
3.40
N
N
N
N
N
N
GEMGARTO
635400KLHB2FIID9TE45
GEMGARTO 2021-1 PLC
BCC2QHUW7
253482.59
OU
Other Units
316906.41
0.2193677318337
Long
ABS-CBDO
CORP
GB
Y
2
2067-12-16
Variable
5.81946
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT
ZK2178539
325000.00
PA
344221.70
0.2382758164372
Long
DBT
USGSE
FR
Y
2
2029-02-25
Fixed
2.75
N
N
N
N
N
N
SW (FINANCE) I PLC
549300BHN1HB5BNG2R96
SW FINANCE I PLC
ZG5108524
529000.00
PA
638901.46
0.4422579024054
Long
DBT
CORP
GB
N
2
2041-12-12
Fixed
7.375
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT
ZK9815877
2350000.00
PA
2950155.69
2.0421453837794
Long
DBT
USGSE
GB
N
2
2028-06-07
Fixed
4.50
N
N
N
N
N
N
DIAGEO FINANCE PLC
BPF79TJMIH3DK8XCKI50
DIAGEO FINANCE PLC
BH2918259
500000.00
PA
498973.10
0.3453972331864
Long
DBT
CORP
GB
N
2
2032-03-27
Fixed
2.50
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT
ZD3129685
950000.00
PA
965268.95
0.6681747465158
Long
DBT
USGSE
FR
Y
2
2055-05-25
Fixed
3.25
N
N
N
N
N
N
SEVERN TRENT WATER UTIL
213800KY9PT6WBH33232
SEVERN TRENT UTILITIES FINANCE PLC
ZD2443418
217000.00
PA
228463.93
0.1581464197266
Long
DBT
CORP
GB
N
2
2034-03-05
Fixed
4.00
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTERNATIONAL NV
ZL0397758
110000.00
PA
117919.79
0.0816259818493
Long
DBT
CORP
NL
N
2
2043-02-20
Fixed
4.50
N
N
N
N
N
N
CELLNEX FINANCE CO SA
549300OUROMFTRFA7T23
CELLNEX FINANCE CO SA
BR3179453
700000.00
PA
634121.92
0.4389494276762
Long
DBT
CORP
ES
N
2
2032-09-15
Fixed
2.00
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
JAPAN GOVERNMENT TWENTY YEAR BOND
ZM5412592
262400000.00
PA
1619992.78
1.1213851488065
Long
DBT
USGSE
JP
N
2
2042-12-20
Fixed
1.40
N
N
N
N
N
N
LOGICOR FINANCING SARL
254900IS16Q1A2TQFN22
LOGICOR FINANCING SARL
BN4542633
185000.00
PA
154187.68
0.1067312006667
Long
DBT
CORP
LU
N
2
2031-01-14
Fixed
0.875
N
N
N
N
N
N
SUEZ
5493007LKZ37MXEN5D79
SUEZ SACA
BW4875892
900000.00
PA
882125.00
0.6106211623924
Long
DBT
CORP
FR
N
2
2030-05-24
Fixed
2.375
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO
ZP5131328
2010000.00
PA
1542843.04
1.0679808535909
Long
DBT
USGSE
IT
Y
2
2050-09-01
Fixed
2.45
N
N
N
N
N
N
PIRAEUS BANK SA
213800OYHR1MPQ5VJL60
PIRAEUS BANK SA
ZG3808083
200000.00
PA
228903.30
0.158450558732
Long
DBT
CORP
GR
N
2
2029-12-05
Variable
6.75
N
N
N
N
N
N
KERING
549300VGEJKB7SVUZR78
KERING SA
ZI6395233
500000.00
PA
531012.57
0.3675754714336
Long
DBT
CORP
FR
N
2
2031-09-05
Fixed
3.625
N
N
N
N
N
N
9M5QAAU_1071500_S
N/A
Buy Protection DEUTSCHE LUFTHANSA AG 0.25% 09/06/2024 20281220 - CITI - CON
N/A
-270000.00
NC
2676.60
0.00185278572
Short
DCR
XX
N
2
CITIBANK
MBNUM2BPBDO7JBLYG310
2H66B7AF1
DEUTSCHE LUFTHANSA AG
Y
2028-12-20
4407.94
USD
0.00
USD
-288144.00
USD
-1731.34
N
N
N
BANCO DE CREDITO SOCIAL
95980020140005881190
BANCO DE CREDITO SOCIAL COOPERATIVO SA
ZI7302089
200000.00
PA
234920.17
0.1626155332575
Long
DBT
CORP
ES
N
2
2029-09-14
Variable
7.50
N
N
N
N
N
N
EUROGRID GMBH
967600Q53854Z2NBCC81
EUROGRID GMBH
BP0496250
200000.00
PA
164850.38
0.1141120937014
Long
DBT
CORP
DE
N
2
2033-04-21
Fixed
0.741
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
ZO3452687
13600000.00
PA
2284149.42
1.5811250944236
Long
DBT
USGSE
CN
N
2
2050-09-14
Fixed
3.81
N
N
N
N
N
N
CNH CAPITAL CANADA RECEIVABLES
984500F690CEB062EF31
CNH CAPITAL CANADA RECEIVABLES TRUST
12614ADF4
338313.09
OU
Other Units
238442.35
0.1650536431011
Long
ABS-MBS
CORP
CA
Y
2
2026-11-16
Fixed
1.001
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG
BV3327780
1395000.00
PA
1377990.08
0.9538669739717
Long
DBT
CORP
CH
N
2
2032-04-02
Variable
2.875
N
N
N
N
N
N
DEUTSCHE BAHN FIN GMBH
52990002BAIDUAIIYU29
DEUTSCHE BAHN FINANCE GMBH
BW6393159
495000.00
PA
492304.01
0.34078078145
Long
DBT
CORP
DE
N
2
2030-05-24
Fixed
1.875
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
ALIMENTATION COUCHE-TARD INC
ZF8249707
471000.00
PA
496404.25
0.3436190337554
Long
DBT
CORP
CA
Y
2
2031-05-12
Fixed
3.647
N
N
N
N
N
N
NASDAQ INC
549300L8X1Q78ERXFD06
NASDAQ INC
ZJ0719808
1110000.00
PA
1235289.01
0.8550869901395
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
4.50
N
N
N
N
N
N
9M6F18U_1071500_S
N/A
TRS EUR003M INDEX/IBOXXMJA INDEX 2024/06/20 - JPM
N/A
-1373.62
NC
220.18
0.0001524121496
Short
DE
XX
N
N/A
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
TRS MARKIT IBOXX EUR LIQUID HIGH YIELD INDEX
IBOXXMJA
Y
2024-06-20
0.00
USD
0.00
USD
0.00
USD
220.18
N
N
N
BUNDESOBLIGATION
529900AQBND3S6YJLY83
BUNDESOBLIGATION
ZF2687175
2800000.00
PA
2917176.26
2.0193164900494
Long
DBT
USGSE
DE
N
2
2029-04-12
Fixed
2.10
N
N
N
N
N
N
CELLNEX TELECOM SA
5493008T4YG3AQUI7P67
CELLNEX TELECOM SA
ZO9508185
500000.00
PA
462950.29
0.3204616627005
Long
DBT
CORP
ES
N
2
2030-10-23
Fixed
1.75
N
N
N
N
N
N
NATIONAL GRID NA INC
5Q3U0WRKWZZGRMPYFT08
NATIONAL GRID NORTH AMERICA INC
BT5129841
1001000.00
PA
886817.74
0.6138695527607
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.054
N
N
N
N
N
N
9M5SGWU_1071500_S
N/A
Buy Protection DEUTSCHE LUFTHANSA AG 0.25% 09/06/2024 20281220 - BARC - CON
N/A
-250000.00
NC
2478.34
0.0017155469481
Short
DCR
XX
N
2
BARCLAYS BANK PLC
AC28XWWI3WIBK2824319
2H66B7AF1
DEUTSCHE LUFTHANSA AG
Y
2028-12-20
3868.49
USD
0.00
USD
-266800.00
USD
-1390.15
N
N
N
9M6FT7U_1071500_L
N/A
TRS QW5A INDEX/EUR003M INDEX 2024/06/20 - JPM
N/A
34712.9503
NC
-51997.30
-0.0359933702902
Long
DE
XX
N
N/A
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
TRS MARKIT IBOXX USD LIQUID INVESTMENT GRADE INDEX
QW5A
Y
2024-06-20
0.00
USD
0.00
USD
0.00
USD
-51997.30
N
N
N
BNI FINANCE BV
636700OS71V1HAQHB380
BNI FINANCE BV
ZG3158562
667000.00
PA
720939.42
0.4990459024003
Long
DBT
CORP
NL
N
2
2030-12-01
Fixed
3.875
N
N
N
N
N
N
TREASURY CORP VICTORIA
549300ZJM7BQW1P9UV75
TREASURY CORP OF VICTORIA
BZ6602487
2791000.00
PA
1696498.28
1.1743434906961
Long
DBT
USGSE
AU
N
2
2036-09-15
Fixed
4.75
N
N
N
N
N
N
JAPAN (40 YEAR ISSUE)
353800WZS8AXZXFUC241
JAPAN GOVERNMENT FORTY YEAR BOND
BW8435917
122100000.00
PA
565294.30
0.3913058382426
Long
DBT
USGSE
JP
N
2
2062-03-20
Fixed
1.00
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
HONEYWELL INTERNATIONAL INC
ZD3100975
647000.00
PA
681119.66
0.4714820218421
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.375
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA
ZM5481001
200000.00
PA
216570.67
0.1499137131988
Long
DBT
CORP
FR
N
2
2043-01-25
Fixed
4.625
N
N
N
N
N
N
PERMANENT TSB GROUP
635400DTNHVYGZODKQ93
PERMANENT TSB GROUP HOLDINGS PLC
BP4709138
473000.00
PA
479861.81
0.3321680897944
Long
DBT
CORP
IE
N
2
2031-08-19
Variable
3.00
N
N
N
N
N
N
AMPRION GMBH
529900ZIV0ETYHYZM863
AMPRION GMBH
BR4166590
200000.00
PA
160593.11
0.1111651426956
Long
DBT
CORP
DE
N
2
2033-09-23
Fixed
0.625
N
N
N
N
N
N
DEUTSCHE BAHN FIN GMBH
52990002BAIDUAIIYU29
DEUTSCHE BAHN FINANCE GMBH
EK1178467
550000.00
PA
577218.22
0.3995597681173
Long
DBT
CORP
DE
N
2
2029-03-19
Fixed
2.75
N
N
N
N
N
N
LOGICOR FINANCING SARL
254900IS16Q1A2TQFN22
LOGICOR FINANCING SARL
BT4005679
134000.00
PA
109877.89
0.076059248874
Long
DBT
CORP
LU
N
2
2034-01-17
Fixed
2.00
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
KOREA TREASURY BOND
BY0249312
1645000000.00
PA
1117743.48
0.7737200771026
Long
DBT
USGSE
KR
N
2
2052-09-10
Fixed
3.125
N
N
N
N
N
N
UNITED UTILITIES WAT FIN
213800313INX42GDLR44
UNITED UTILITIES WATER FINANCE PLC
ZD0409056
583000.00
PA
602361.87
0.4169646084628
Long
DBT
CORP
GB
N
2
2034-05-23
Fixed
3.75
N
N
N
N
N
N
THAMES WATER UTIL FIN
213800ESMPQ4RQ7G8351
THAMES WATER UTILITIES FINANCE PLC
BT5684597
441000.00
PA
344080.00
0.2381777294102
Long
DBT
CORP
GB
N
2
2032-01-31
Fixed
1.25
N
N
N
N
N
N
SARTORIUS FINANCE BV
529900JCAKTMRXK9EA58
SARTORIUS FINANCE BV
ZI6854254
500000.00
PA
550678.12
0.3811882825432
Long
DBT
CORP
NL
N
2
2032-09-14
Fixed
4.50
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP
756109BU7
694000.00
PA
770542.23
0.5333817680658
Long
DBT
CORP
US
N
2
2030-07-06
Fixed
4.875
N
N
N
N
N
N
FORD AUTO SECURITIZATION TRUST
549300UXPSVB9J11GQ87
FORD AUTO SECURITIZATION TRUST
BCC2PUF55
438913.90
OU
Other Units
314166.26
0.217470955778
Long
ABS-MBS
CORP
CA
Y
2
2025-11-15
Fixed
1.153
N
N
N
N
N
N
9M4FWHU_1071500_L
N/A
LCH IRS RECEIVE FIXED/PAY INFLATION 2.8 CPTFEMU - MS
N/A
3327000.00
NC
264457.28
0.183061597525
Long
DIR
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Y
2053-07-28
229382.50
USD
0.00
USD
3550574.40
USD
35074.78
N
N
N
RAIFFEISEN BANK INTL
9ZHRYM6F437SQJ6OUG95
RAIFFEISEN BANK INTERNATIONAL AG
ZD0684112
100000.00
PA
105310.66
0.0728977385535
Long
DBT
CORP
AT
N
2
2029-08-21
Variable
4.625
N
N
N
N
N
N
HUNGARY GOVERNMENT BOND
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND
BT4396433
158220000.00
PA
366960.74
0.2540161469306
Long
DBT
USGSE
HU
N
2
2032-11-24
Fixed
4.75
N
N
N
N
N
N
KERING
549300VGEJKB7SVUZR78
KERING SA
ZI6395258
400000.00
PA
426545.75
0.2952618525476
Long
DBT
CORP
FR
N
2
2035-09-05
Fixed
3.875
N
N
N
N
N
N
ORANO SA
969500161UMNDC85C891
ORANO SA
ZN2141820
600000.00
PA
661148.43
0.4576576141029
Long
DBT
CORP
FR
N
2
2027-05-15
Fixed
5.375
N
N
N
N
N
N
MOTABILITY OPERATIONS GR
AZ3NL8JCZDCNUXFWI720
MOTABILITY OPERATIONS GROUP PLC
ZM3224023
1310000.00
PA
1381983.99
0.956631622935
Long
DBT
CORP
GB
N
2
2031-07-17
Fixed
3.50
N
N
N
N
N
N
NATIONAL GRID PLC
8R95QZMKZLJX5Q2XR704
NATIONAL GRID PLC
BR1735579
770000.00
PA
615260.54
0.4258932760198
Long
DBT
CORP
GB
N
2
2033-09-01
Fixed
0.75
N
N
N
N
N
N
9M54BUU_1071500_S
N/A
LCH OIS PAY FIXED/RECEIVE FLOAT 3.45 SONIO/N INDEX 2028/12/21 - MS
N/A
-8880000.00
NC
381039.83
0.2637619202634
Short
DIR
US
N
2
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
Y
2028-12-21
8324.72
USD
0.00
USD
-11096004.00
USD
372715.11
N
N
N
STELLANTIS NV
549300LKT9PW7ZIBDF31
STELLANTIS NV
ZK9551555
190000.00
PA
207774.34
0.1438247516011
Long
DBT
CORP
NL
N
2
2031-06-16
Fixed
4.25
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT
ZM8883088
250000.00
PA
243150.85
0.1683129427957
Long
DBT
USGSE
FR
Y
2
2054-05-25
Fixed
3.00
N
N
N
N
N
N
SWITZERLAND
5067006OA1BJ88912Q83
SWISS CONFEDERATION GOVERNMENT BOND
AT0621702
1375000.00
PA
1471816.15
1.0188148939673
Long
DBT
USGSE
CH
N
2
2032-06-27
Fixed
0.50
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
BJ5416745
16950000.00
PA
2995204.48
2.0733288832995
Long
DBT
USGSE
CN
N
2
2070-05-25
Fixed
3.73
N
N
N
N
N
N
TOWER BRIDGE FUNDING
63540046RPZ8IOOPGL28
TOWER BRIDGE FUNDING 2021-2 PLC
BCC3195P3
267636.41
OU
Other Units
334977.21
0.2318766312542
Long
ABS-CBDO
CORP
GB
N
2
2063-11-20
Floating
5.9974
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
HONEYWELL INTERNATIONAL INC
ZN0385817
614000.00
PA
671558.47
0.4648636118077
Long
DBT
CORP
US
N
2
2034-11-02
Fixed
4.125
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
JAPAN GOVERNMENT TWENTY YEAR BOND
ZK3059001
442200000.00
PA
2586408.86
1.7903539572229
Long
DBT
USGSE
JP
N
2
2043-03-20
Fixed
1.10
N
N
N
N
N
N
ESB FINANCE DAC
635400VCPRSU89DLMZ57
ESB FINANCE DAC
ZM5208354
450000.00
PA
455401.99
0.3152366076118
Long
DBT
CORP
IE
N
2
2043-01-25
Fixed
3.75
N
N
N
N
N
N
SWEDISH GOVERNMENT
ERE94C0BSULG2RM19605
SWEDEN GOVERNMENT BOND
ZF4117072
5025000.00
PA
445394.00
0.3083089154061
Long
DBT
USGSE
SE
N
2
2035-05-11
Fixed
2.25
N
N
N
N
N
N
ATHORA NETHERLANDS
724500MKKXKEVWMN9E13
ATHORA NETHERLANDS NV
BW7617713
1032000.00
PA
1080500.43
0.7479398367942
Long
DBT
CORP
NL
N
2
2032-08-31
Variable
5.375
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO
BZ9605404
2375000.00
PA
2658927.20
1.8405523226083
Long
DBT
USGSE
IT
N
2
2033-05-01
Fixed
4.40
N
N
N
N
N
N
9M6QQAU_1071500_S
N/A
ICE Buy Protection ITRAXX EUROPE SENIOR FINANCIALS SERIES 41 20290620 - MS - CON
N/A
-11940000.00
NC
-216829.91
-0.1500931633109
Short
DCR
XX
N
2
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
iTraxx Europe Senior Financials Series 41 Version
2I667DCP7
Y
2029-06-20
0.00
USD
213509.07
USD
-12742368.00
USD
-3320.84
N
N
N
RAIFFEISEN BANK INTL
9ZHRYM6F437SQJ6OUG95
RAIFFEISEN BANK INTERNATIONAL AG
BJ9481323
900000.00
PA
861894.35
0.5966171799421
Long
DBT
CORP
AT
N
2
2032-06-18
Variable
2.875
N
N
N
N
N
N
AMPRION GMBH
529900ZIV0ETYHYZM863
AMPRION GMBH
BY9995865
1100000.00
PA
1187523.38
0.8220228501219
Long
DBT
CORP
DE
N
2
2032-09-22
Fixed
3.971
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT BOND
BP9145262
4040000.00
PA
1936322.29
1.3403535411491
Long
DBT
USGSE
NZ
N
2
2032-05-15
Fixed
2.00
N
N
N
N
N
N
9M6XVRU_1071500_L
N/A
ICE Sell Protection ITRAXX EUROPE SERIES 41 20290620 - MS - CON
N/A
8210000.00
NC
181826.73
0.1258633971677
Long
DCR
XX
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
iTraxx Europe Series 41 Version 1
2I666VDJ1
Y
2029-06-20
183681.92
USD
0.00
USD
8761712.00
USD
-1855.19
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT
ZL9844081
3025000.00
PA
3223605.45
2.231431721098
Long
DBT
USGSE
FR
Y
2
2033-05-25
Fixed
3.00
N
N
N
N
N
N
JDE PEET'S NV
724500EHG519SE5ZRT89
JDE PEET'S NV
ZG3790836
404000.00
PA
436380.36
0.302069528319
Long
DBT
CORP
NL
N
2
2034-01-23
Fixed
4.50
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
MEXICAN BONOS
ZN7935812
14600000.00
PA
727334.53
0.5034727007586
Long
DBT
USGSE
MX
N
2
2033-05-26
Fixed
7.50
N
N
N
N
N
N
FINNISH GOVERNMENT
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND
ZK3729587
500000.00
PA
532779.32
0.3687984442987
Long
DBT
USGSE
FI
Y
2
2033-09-15
Fixed
3.00
N
N
N
N
N
N
TREASURY CORP VICTORIA
549300ZJM7BQW1P9UV75
TREASURY CORP OF VICTORIA
BR4617469
635000.00
PA
293645.97
0.2032664798449
Long
DBT
USGSE
AU
N
2
2035-09-17
Fixed
2.00
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
BY6368488
37700000.00
PA
5288595.72
3.660851314689
Long
DBT
USGSE
CN
N
2
2032-09-01
Fixed
2.60
N
N
N
N
N
N
KINGDOM OF DENMARK
549300PTO6LS1PTM6607
DENMARK GOVERNMENT BOND
EH6131138
1500000.00
PA
261827.97
0.1812415467062
Long
DBT
USGSE
DK
N
2
2039-11-15
Fixed
4.50
N
N
N
N
N
N
DEUTSCHE BAHN FIN GMBH
52990002BAIDUAIIYU29
DEUTSCHE BAHN FINANCE GMBH
ZK6015190
384000.00
PA
412639.01
0.2856353826664
Long
DBT
CORP
DE
N
2
2033-05-19
Fixed
3.25
N
N
N
N
N
N
9M4WFJU_1071500_L
N/A
LCH RPI RECEIVE FIXED/PAY INFLATION 2.5 CPTFEMU INDEX 2053/12/07 - MS
N/A
2757000.00
NC
-48082.85
-0.0332837248214
Long
DIR
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Y
2053-12-07
64861.62
USD
0.00
USD
2942270.40
USD
-112944.47
N
N
N
SINGAPORE GOVERNMENT
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT BOND
EJ8015756
875000.00
PA
638316.36
0.441852886742
Long
DBT
USGSE
SG
N
2
2033-09-01
Fixed
3.375
N
N
N
N
N
N
9M6FV3U_1071500_S
N/A
TRS EUR003M INDEX/IBOXXMJA INDEX 2024/06/20 - GS
N/A
-18957.951
NC
11131.60
0.0077054731826
Short
DE
XX
N
N/A
GOLDMAN SACHS & CO
FOR8UP27PHTHYVLBNG30
TRS MARKIT IBOXX EUR LIQUID HIGH YIELD INDEX
IBOXXMJA
Y
2024-06-20
0.00
USD
0.00
USD
0.00
USD
11131.60
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
ALIMENTATION COUCHE-TARD INC
ZF8249715
497000.00
PA
522860.38
0.3619323939402
Long
DBT
CORP
CA
Y
2
2036-02-12
Fixed
4.011
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT
EF6625018
735000.00
PA
851068.46
0.5891233241555
Long
DBT
USGSE
FR
Y
2
2038-10-25
Fixed
4.00
N
N
N
N
N
N
PERMANENT TSB GROUP
635400DTNHVYGZODKQ93
PERMANENT TSB GROUP HOLDINGS PLC
ZK2436515
112000.00
PA
126188.92
0.0873500070981
Long
DBT
CORP
IE
N
2
2028-04-25
Variable
6.625
N
N
N
N
N
N
POLAND GOVERNMENT BOND
259400R9L8QEP0TPXS31
REPUBLIC OF POLAND GOVERNMENT BOND
ZN9554595
1375000.00
PA
345753.76
0.2393363330965
Long
DBT
USGSE
PL
N
2
2033-10-25
Fixed
6.00
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT BOND
135087M68
2375000.00
PA
1127868.38
0.7807286962973
Long
DBT
USGSE
CA
N
2
2053-12-01
Fixed
1.75
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP
89788MAQ5
212000.00
PA
USD
222047.15
0.1537046210445
Long
DBT
CORP
US
N
2
2029-10-30
Variable
7.161
N
N
N
N
N
N
EURO-BTP ITALIAN BOND FUTURES
N/A
EURO-BTP FUTURE JUN24
N/A
41.00
NC
5118920.85
3.5433996311428
Long
DIR
DE
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
IKM4 COMDTY_REF
EURO-BTP FUTURE JUN24
2024-06-06
4796590.00
EUR
-27383.01
N
N
N
EUREX 30 YEAR EURO BUXL FUTURE
N/A
EURO-BUXL 30Y BND JUN24
N/A
-11.00
NC
-1513417.66
-1.0476121306327
Short
DIR
DE
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
UBM4 COMDTY_REF
EURO-BUXL 30Y BND JUN24
2024-06-06
-1418120.00
EUR
37340.85
N
N
N
CNM4 COMDTY
N/A
CAN 10YR BOND FUT JUN24
N/A
-149.00
NC
-12662267.10
-8.7650256541029
Short
DIR
CA
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
CNM4 COMDTY_REF
CAN 10YR BOND FUT JUN24
2024-06-19
-17431510.00
CAD
284686.84
N
N
N
EUREX 2 YEAR EURO SCHATZ FUTURE
N/A
EURO-SCHATZ FUT JUN24
N/A
48.00
NC
5384322.82
3.727115158333
Long
DIR
DE
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
DUM4 COMDTY_REF
EURO-SCHATZ FUT JUN24
2024-06-06
5045280.00
EUR
-27916.78
N
N
N
USM4 COMDTY
N/A
US LONG BOND(CBT) JUN24
N/A
5.00
NC
USD
569062.50
0.3939142471009
Long
DIR
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
USM4 COMDTY_REF
US LONG BOND(CBT) JUN24
2024-06-18
569062.50
USD
-19227.95
N
N
N
TYM4 COMDTY
N/A
US 10YR NOTE (CBT)JUN24
N/A
55.00
NC
USD
5909062.50
4.0903484340649
Long
DIR
US
N
1
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
Long
TYM4 COMDTY_REF
US 10YR NOTE (CBT)JUN24
2024-06-18
5909062.50
USD
-161128.63
N
N
N
TSE JAPANESE 10 YEAR BOND FUTURES
N/A
JPN 10Y BOND(OSE) JUN24
N/A
-5.00
NC
-4581048.09
-3.1710754254685
Short
DIR
JP
N
1
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
Short
JBM4 COMDTY_REF
JPN 10Y BOND(OSE) JUN24
2024-06-13
-722500000.00
JPY
24442.64
N
N
N
TUM4 COMDTY
N/A
US 2YR NOTE (CBT) JUN24
N/A
171.00
NC
USD
34654218.75
23.9882095337134
Long
DIR
US
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Long
TUM4 COMDTY_REF
US 2YR NOTE (CBT) JUN24
2024-06-28
34654218.75
USD
-104479.97
N
N
N
XMM4 COMDTY
N/A
AUST 10Y BOND FUT JUN24
N/A
-31.00
NC
-2259814.19
-1.5642798554498
Short
DIR
AU
N
1
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
Short
XMM4 COMDTY_REF
AUST 10Y BOND FUT JUN24
2024-06-17
-3488444.26
AUD
49385.56
N
N
N
EUREX 5 YEAR EURO BOBL FUTURE
N/A
EURO-BOBL FUTURE JUN24
N/A
60.00
NC
7455245.76
5.1606414418506
Long
DIR
DE
N
1
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Long
OEM4 COMDTY_REF
EURO-BOBL FUTURE JUN24
2024-06-06
6985800.00
EUR
-45838.87
N
N
N
EUREX 10 YEAR EURO BUND FUTURE
N/A
EURO-BUND FUTURE JUN24
N/A
-94.00
NC
-13049209.34
-9.0328733178326
Short
DIR
DE
N
1
BOFA SECURITIES INC
8NAV47T0Y26Q87Y0QP81
Short
RXM4 COMDTY_REF
EURO-BUND FUTURE JUN24
2024-06-06
-12227520.00
EUR
205590.04
N
N
N
WNM4 COMDTY
N/A
US ULTRA BOND CBT JUN24
N/A
-52.00
NC
USD
-6217250.00
-4.3036807956745
Short
DIR
US
N
1
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
Short
WNM4 COMDTY_REF
US ULTRA BOND CBT JUN24
2024-06-18
-6217250.00
USD
312073.78
N
N
N
FVM4 COMDTY
N/A
US 5YR NOTE (CBT) JUN24
N/A
24.00
NC
USD
2513812.56
1.7401016266673
Long
DIR
US
N
1
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
Long
FVM4 COMDTY_REF
US 5YR NOTE (CBT) JUN24
2024-06-28
2513812.56
USD
-8288.88
N
N
N
UXYM4 COMDTY
N/A
US 10YR ULTRA FUT JUN24
N/A
14.00
NC
USD
1543062.50
1.0681327673449
Long
DIR
US
N
1
JP MORGAN CHASE BANK
ZBUT11V806EZRVTWT807
Long
UXYM4 COMDTY_REF
US 10YR ULTRA FUT JUN24
2024-06-18
1543062.50
USD
-5962.35
N
N
N
DREYFUS INSTITUTIONAL PREFERRE
549300RBWL04JG8SIX57
Dreyfus Institutional Preferred Government Plus Money Market Fund
26200T208
13857.69
OU
Other Units
USD
13857.69
0.0095925166794
Long
STIV
RF
US
N
1
2099-12-01
Variable
5.416726
N
N
N
N
N
N
X9X9USD05574
N/A
DREYFUS INSTITUTIONAL PREFERRED PL
N/A
232300.03
OU
Other Units
USD
232300.03
0.1608018300608
Long
RF
US
N
1
N
N
2024-06-18
BNY Mellon Advantage Funds, Inc.
James Windels
James Windels
Fund Treasurer