0001752724-20-218367.txt : 20201028
0001752724-20-218367.hdr.sgml : 20201028
20201028135147
ACCESSION NUMBER: 0001752724-20-218367
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200831
FILED AS OF DATE: 20201028
PERIOD START: 20210228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GMO TRUST
CENTRAL INDEX KEY: 0000772129
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04347
FILM NUMBER: 201267609
BUSINESS ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
FORMER COMPANY:
FORMER CONFORMED NAME: GMO CORE TRUST
DATE OF NAME CHANGE: 19900927
0000772129
S000004917
GMO Multi-Sector Fixed Income Fund
C000013294
Class III
GUGAX
C000013295
Class IV
GPBFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000772129
XXXXXXXX
S000004917
C000013295
C000013294
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
40 ROWES WHARF
BOSTON
02110
617-346-7646
GMO Multi-Sector Fixed Income Fund
S000004917
BC8D6LTQTCM32RRYZ044
2021-02-28
2020-08-31
N
419202164.58
55515129.97
363687034.61
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
12184359.38000000
0.00000000
0.00000000
1143331.73000000
GBP
AUD
CAD
SEK
USD
EUR
JPY
CHF
NZD
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
18498.84000000
0.005086472224
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
290000.00000000
USD
1136082.54000000
PLN
2020-09-15
18498.84000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
228685.78000000
0.062879827499
N/A
DFE
CA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
4567657.31000000
USD
6256069.00000000
CAD
2020-09-03
228685.78000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1363.13000000
-0.00037480852
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
340155000.00000000
CLP
436140.89000000
USD
2020-09-01
-1363.13000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
39972.65000000
0.010990947214
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
500000.00000000
USD
1988511.50000000
PLN
2020-09-15
39972.65000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-9020.37000000
-0.00248025613
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
9589066.63000000
SEK
1100000.00000000
USD
2020-10-05
-9020.37000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-4214.10000000
-0.00115871603
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
10403217.00000000
THB
330000.00000000
USD
2020-10-15
-4214.10000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-55323.12000000
-0.01521173831
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
16818742.60000000
NOK
1870000.00000000
USD
2020-09-04
-55323.12000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED RON / SOLD USD
000000000
1.00000000
NC
2172.11000000
0.000597247026
N/A
DFE
RO
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
210000.00000000
USD
861710.01000000
RON
2020-09-30
2172.11000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032696
1000000.00000000
PA
USD
1052500.00000000
0.289397173899
Long
ABS-MBS
USGA
US
N
2
2050-09-21
Fixed
3.50000000
N
N
N
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
3300000000.00000000
PA
31159020.00000000
8.567536655084
Long
STIV
NUSS
JP
N
2
2020-09-28
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
27982.88000000
0.007694219847
N/A
DFE
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1140000.00000000
USD
1523448.46000000
CAD
2020-09-03
27982.88000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-278968.18000000
-0.07670556094
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
13400000.00000000
CAD
9995293.26000000
USD
2020-10-01
-278968.18000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
1706.73000000
0.000469285357
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
11382540.00000000
TWD
390000.00000000
USD
2020-10-06
1706.73000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
2896.69000000
0.000796478764
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
11640800.00000000
TWD
400000.00000000
USD
2020-10-06
2896.69000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-12526.51000000
-0.00344431030
N/A
DFE
TW
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1473031.48000000
USD
42813660.00000000
TWD
2020-10-06
-12526.51000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-111047.30000000
-0.03053375276
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3523087.90000000
CAD
2590000.00000000
USD
2020-09-03
-111047.30000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
4119.97000000
0.001132833895
N/A
DFE
ID
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
300000.00000000
USD
4440660000.00000000
IDR
2020-09-21
4119.97000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-139.35000000
-0.00003831591
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
27306500.00000000
PHP
563055.45000000
USD
2020-09-01
-139.35000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-5488.44000000
-0.00150911071
N/A
DFE
HU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
240000.00000000
USD
69888240.00000000
HUF
2020-10-14
-5488.44000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-4267.31000000
-0.00117334674
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
432608760.00000000
KRW
360000.00000000
USD
2020-09-29
-4267.31000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-2025.30000000
-0.00055687990
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
524955200.00000000
KRW
440000.00000000
USD
2020-09-29
-2025.30000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
152339.23000000
0.041887451435
N/A
DFE
XX
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
2413415.85000000
USD
2150000.00000000
EUR
2020-09-03
152339.23000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
40366.19000000
0.011099155636
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1420000.00000000
USD
1904816.12000000
CAD
2020-09-03
40366.19000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
8086.01000000
0.002223342937
N/A
DFE
CH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1670000.00000000
USD
1515016.65000000
CHF
2020-10-14
8086.01000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022493
10600000.00000000
PA
USD
11121304.71000000
3.057932687076
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP -0.015 %
000000000
55050000.00000000
OU
Notional Amount
-673.96000000
-0.00018531317
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
SEK
0.00000000
SEK
55050000.00000000
SEK
-673.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.338 %
000000000
23000000.00000000
OU
Notional Amount
21669.56000000
0.005958298739
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
14488.51000000
SEK
0.00000000
SEK
23000000.00000000
SEK
20013.60000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2044.03000000
0.000562029933
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
272755.62000000
USD
230000.00000000
EUR
2020-10-27
2044.03000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
2804.15000000
0.000771033810
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
220000.00000000
USD
173228000.00000000
CLP
2020-09-01
2804.15000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-49055.31000000
-0.01348833071
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2230000.00000000
GBP
2932704.44000000
USD
2020-10-14
-49055.31000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.83 %
000000000
12290000.00000000
OU
Notional Amount
-61502.37000000
-0.01691079531
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
AUD
-5974.18000000
AUD
12290000.00000000
AUD
-57218.49000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
2211.35000000
0.000608036523
N/A
DFE
CL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
330000.00000000
USD
258291000.00000000
CLP
2020-09-01
2211.35000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
13556.39000000
0.003727487842
N/A
DFE
IN
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
710000.00000000
USD
53347270.00000000
INR
2020-10-26
13556.39000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
1862.56000000
0.000512132636
N/A
DFE
CL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
262815.96000000
USD
205784900.00000000
CLP
2020-09-01
1862.56000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-76403.93000000
-0.02100815336
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
17086550.00000000
NOK
1879576.40000000
USD
2020-09-04
-76403.93000000
N
N
N
CANADA T-BILL
4BFD7AQU0A75QLAHK410
Canadian Treasury Bill
1350Z76R0
13400000.00000000
PA
10272083.41000000
2.824429367138
Long
STIV
NUSS
CA
N
2
2020-10-01
None
0.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
484.34000000
0.000133174942
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
415089500.00000000
KRW
350000.00000000
USD
2020-09-29
484.34000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-56775.24000000
-0.01561101568
N/A
DFE
ZA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2471210.75000000
USD
41180503.00000000
ZAR
2020-10-30
-56775.24000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-1306.57000000
-0.00035925668
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
27306500.00000000
PHP
561250.08000000
USD
2020-10-01
-1306.57000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-14364.04000000
-0.00394956064
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
236640000.00000000
CLP
290000.00000000
USD
2020-09-01
-14364.04000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
547325.62000000
0.150493574946
N/A
DFE
JP
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
16111064.21000000
USD
1764251753.00000000
JPY
2020-09-09
547325.62000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-CPT
61763QAN1
250000.00000000
PA
USD
253913.28000000
0.069816423418
Long
ABS-MBS
CORP
US
N
2
2029-07-13
Variable
3.56000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
1736.40000000
0.000477443470
N/A
DFE
TH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
216548.24000000
USD
6794634.00000000
THB
2020-10-15
1736.40000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
509473.60000000
0.140085719730
N/A
DFE
NO
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5638704.12000000
USD
53707670.00000000
NOK
2020-09-04
509473.60000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.3225 %
000000000
720000.00000000
OU
Notional Amount
8032.47000000
0.002208621489
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CHF
0.00000000
CHF
720000.00000000
CHF
8032.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.4055 %
000000000
2770000.00000000
OU
Notional Amount
-21611.77000000
-0.00594240870
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
GBP
-5558.52000000
GBP
2770000.00000000
GBP
-14305.10000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
49773.61000000
0.013685835694
N/A
DFE
GB
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3627284.38000000
USD
2750000.00000000
GBP
2020-10-14
49773.61000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.287 %
000000000
89950000.00000000
OU
Notional Amount
-124369.52000000
-0.03419685283
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
0.00000000
SEK
89950000.00000000
SEK
-124369.52000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
1937.26000000
0.000532672274
N/A
DFE
PL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
240000.00000000
USD
890961.84000000
PLN
2020-09-15
1937.26000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-12495.98000000
-0.00343591572
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
450000.00000000
USD
340155000.00000000
CLP
2020-09-01
-12495.98000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-10793.91000000
-0.00296791168
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5115427.00000000
TRY
682967.56000000
USD
2020-09-17
-10793.91000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-54904.74000000
-0.01509669984
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1636824.24000000
CAD
1200000.00000000
USD
2020-09-03
-54904.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.195 %
000000000
670000.00000000
OU
Notional Amount
5231.03000000
0.001438332825
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
155.20000000
EUR
0.00000000
EUR
670000.00000000
EUR
5045.82000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
1305.77000000
0.000359036719
N/A
DFE
NZ
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
119936.27000000
USD
180000.00000000
NZD
2020-10-05
1305.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.8195 %
000000000
4140000.00000000
OU
Notional Amount
36973.99000000
0.010166430606
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
9130.91000000
AUD
0.00000000
AUD
4140000.00000000
AUD
30407.49000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1 %
000000000
19160000.00000000
OU
Notional Amount
-164764.26000000
-0.04530385862
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
72640.95000000
CAD
0.00000000
CAD
19160000.00000000
CAD
-219052.93000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-89274.37000000
-0.02454703123
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6930000.00000000
AUD
5022547.30000000
USD
2020-10-06
-89274.37000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
14375.47000000
0.003952703459
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2243760.75000000
USD
1890000.00000000
EUR
2020-10-27
14375.47000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-436391.33000000
-0.11999089559
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
3750000000.00000000
JPY
34974459.32000000
USD
2020-09-14
-436391.33000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT DEC20 XMOD 20201218
000000000
-6.00000000
NC
2014.38000000
0.000553877319
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
Canadian Government Bond
CNZ0 Comdty
2020-12-18
-908267.46000000
CAD
2014.38000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.325 %
000000000
5250000.00000000
OU
Notional Amount
-60059.64000000
-0.01651409983
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CHF
0.00000000
CHF
5250000.00000000
CHF
-60059.64000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-6789.29000000
-0.00186679462
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
580000.00000000
USD
170826066.00000000
HUF
2020-10-14
-6789.29000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.2125 %
000000000
24350000.00000000
OU
Notional Amount
-47212.00000000
-0.01298149109
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
NZD
0.00000000
NZD
24350000.00000000
NZD
-47212.00000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-131219.56000000
-0.03608035137
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2150000.00000000
EUR
2434535.52000000
USD
2020-09-03
-131219.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.14 %
000000000
31480000.00000000
OU
Notional Amount
56466.25000000
0.015526055269
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
2231.00000000
CAD
0.00000000
CAD
31480000.00000000
CAD
55120.56000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-47729.29000000
-0.01312372602
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
1900000000.00000000
JPY
17903584.49000000
USD
2020-10-26
-47729.29000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-2871.79000000
-0.00078963221
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
561588900.00000000
KRW
470000.00000000
USD
2020-09-29
-2871.79000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SJ8
8170000.00000000
PA
USD
9664854.69000000
2.657464734854
Long
DBT
UST
US
N
1
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
40464.71000000
0.011126244861
N/A
DFE
NZ
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1468325.15000000
USD
2240000.00000000
NZD
2020-10-05
40464.71000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-3148.91000000
-0.00086582960
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
383776000.00000000
KRW
320000.00000000
USD
2020-09-29
-3148.91000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.44 %
000000000
3350000.00000000
OU
Notional Amount
-638.03000000
-0.00017543380
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-21
0.00000000
EUR
-361.18000000
EUR
3350000.00000000
EUR
-207.02000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-5615.76000000
-0.00154411883
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
380000.00000000
USD
291080000.00000000
CLP
2020-09-01
-5615.76000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-950.56000000
-0.00026136757
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
6566343.00000000
THB
210000.00000000
USD
2020-10-15
-950.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.194 %
000000000
11940000.00000000
OU
Notional Amount
40916.84000000
0.011250563288
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CHF
0.00000000
CHF
11940000.00000000
CHF
40916.84000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-6942.35000000
-0.00190888025
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
9063900.00000000
PHP
180000.00000000
USD
2020-09-01
-6942.35000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-694.19000000
-0.00019087565
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
173228000.00000000
CLP
222109.96000000
USD
2020-09-01
-694.19000000
N
N
N
CGRBS Commercial Mortgage Trust
N/A
CGRBS Commercial Mortgage Trust 2013-VN05
125354AG5
5100000.00000000
PA
USD
5388645.21000000
1.481670969045
Long
ABS-MBS
CORP
US
N
2
2035-03-13
Variable
3.70000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-123930.96000000
-0.03407626563
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2021698500.00000000
CLP
2476357.79000000
USD
2020-09-01
-123930.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.1 %
000000000
42190000.00000000
OU
Notional Amount
-12554.10000000
-0.00345189649
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-21
3760.00000000
GBP
0.00000000
GBP
42190000.00000000
GBP
-17344.72000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC20 XCBT 20201231
000000000
451.00000000
NC
USD
78848.47000000
0.021680308203
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVZ0 Comdty
2020-12-31
56761245.28000000
USD
78848.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP -0.035 %
000000000
218800000.00000000
OU
Notional Amount
7452.60000000
0.002049179456
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
SEK
0.00000000
SEK
218800000.00000000
SEK
7452.60000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-1734.75000000
-0.00047698978
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
451327.80000000
SGD
330000.00000000
USD
2020-10-19
-1734.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.6475 %
000000000
3650000.00000000
OU
Notional Amount
-745.35000000
-0.00020494269
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
CHF
0.00000000
CHF
3650000.00000000
CHF
-745.35000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
15028.14000000
0.004132162703
N/A
DFE
PH
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
285740.96000000
USD
14582790.00000000
PHP
2020-09-01
15028.14000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-68326.73000000
-0.01878723283
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
19802377.40000000
NOK
2198547.55000000
USD
2020-09-04
-68326.73000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1647.70000000
-0.00045305436
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
411164000.00000000
CLP
527187.40000000
USD
2020-09-01
-1647.70000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
12693.19000000
0.003490140915
N/A
DFE
ID
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
860740.77000000
USD
12753596000.00000000
IDR
2020-09-21
12693.19000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-824.66000000
-0.00022674990
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
205784900.00000000
CLP
263853.86000000
USD
2020-09-01
-824.66000000
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
3165755.93000000
NS
USD
3165755.93000000
0.870461586125
Long
STIV
RF
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
404.74000000
0.000111287992
N/A
DFE
TH
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
420000.00000000
USD
13086108.00000000
THB
2020-10-15
404.74000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
759.56000000
0.000208849897
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2102055.12000000
USD
1760000.00000000
EUR
2020-10-27
759.56000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-96170.22000000
-0.02644312577
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
580996591.00000000
HUF
1853376.90000000
USD
2020-10-14
-96170.22000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.628 %
000000000
3850000.00000000
OU
Notional Amount
USD
-30257.74000000
-0.00831971918
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
USD
0.00000000
USD
3850000.00000000
USD
-30257.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.074 %
000000000
6520000.00000000
OU
Notional Amount
-20250.40000000
-0.00556808411
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CAD
-2799.90000000
CAD
6520000.00000000
CAD
-18133.98000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
43184.43000000
0.011874063656
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2597281.73000000
USD
2210000.00000000
EUR
2020-10-27
43184.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.675 %
000000000
26550000.00000000
OU
Notional Amount
21760.25000000
0.005983235015
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
CHF
0.00000000
CHF
26550000.00000000
CHF
21760.25000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
24824.43000000
0.006825767112
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
410000.00000000
USD
1601291.08000000
PLN
2020-09-15
24824.43000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-8905.02000000
-0.00244853930
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
14007560.00000000
PHP
280000.00000000
USD
2020-09-01
-8905.02000000
N
N
N
COMM Mortgage Trust
549300CJNWCNIHR7IT87
COMM 2013-WWP Mortgage Trust
12625CAJ2
2210000.00000000
PA
USD
2353555.63000000
0.647137622743
Long
ABS-MBS
CORP
US
N
2
2031-03-10
Fixed
3.73000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC20 XCBT 20201221
000000000
71.00000000
NC
USD
23206.70000000
0.006380953344
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYZ0 Comdty
2020-12-21
9863543.30000000
USD
23206.70000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-4619.17000000
-0.00127009476
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
11349648.00000000
THB
360000.00000000
USD
2020-10-15
-4619.17000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-1226.74000000
-0.00033730649
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9359361500.00000000
COP
2490616.04000000
USD
2020-11-03
-1226.74000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-10561.25000000
-0.00290393910
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
16203720.00000000
THB
510000.00000000
USD
2020-10-15
-10561.25000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-167797.20000000
-0.04613780091
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9686455.00000000
PLN
2462522.40000000
USD
2020-09-15
-167797.20000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-26479.09000000
-0.00728073521
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
235801280.00000000
JPY
2200000.00000000
USD
2020-09-09
-26479.09000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-35646.55000000
-0.00980143546
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2300000.00000000
NZD
1513557.32000000
USD
2020-10-05
-35646.55000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.081 %
000000000
1500000.00000000
OU
Notional Amount
-3879.35000000
-0.00106667261
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CAD
0.00000000
CAD
1500000.00000000
CAD
-3879.35000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.06 %
000000000
4110000.00000000
OU
Notional Amount
-17036.77000000
-0.00468445899
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CAD
0.00000000
CAD
4110000.00000000
CAD
-17036.77000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
96.03000000
0.000026404570
N/A
DFE
PH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
388020.50000000
USD
18817830.00000000
PHP
2020-09-01
96.03000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
8101.73000000
0.002227665335
N/A
DFE
CL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2592187.02000000
USD
2021698500.00000000
CLP
2020-09-01
8101.73000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
7407000.00000000
PA
USD
10928218.32000000
3.004841327851
Long
DBT
UST
US
N
1
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.211 %
000000000
21650000.00000000
OU
Notional Amount
32422.84000000
0.008915038732
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CHF
-5970.70000000
CHF
21650000.00000000
CHF
38702.83000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-53897.06000000
-0.01481962645
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1909421.58000000
CAD
1410000.00000000
USD
2020-09-03
-53897.06000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.7 %
000000000
1450000.00000000
OU
Notional Amount
USD
1193.27000000
0.000328103530
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
44.76000000
USD
0.00000000
USD
1450000.00000000
USD
1148.51000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
121642.50000000
0.033447026818
N/A
DFE
NZ
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5213007.36000000
USD
7920000.00000000
NZD
2020-10-05
121642.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.323 %
000000000
11270000.00000000
OU
Notional Amount
195728.95000000
0.053817961976
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
GBP
-5861.11000000
GBP
11270000.00000000
GBP
203676.84000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
3613.10000000
0.000993464065
N/A
DFE
JP
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1450000.00000000
USD
153948820.00000000
JPY
2020-09-09
3613.10000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-165394.76000000
-0.04547722196
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
14730189.00000000
CHF
16150283.42000000
USD
2020-10-14
-165394.76000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.2 %
000000000
32940000.00000000
OU
Notional Amount
201234.41000000
0.055331752537
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
EUR
-25297.67000000
EUR
32940000.00000000
EUR
230191.41000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
23879.29000000
0.006565889824
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
811272.68000000
USD
699000.00000000
EUR
2020-10-27
23879.29000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.45 %
000000000
1620000.00000000
OU
Notional Amount
-3048.68000000
-0.00083827019
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
527.69000000
GBP
0.00000000
GBP
1620000.00000000
GBP
-3742.33000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-18116.53000000
-0.00498135162
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
18817830.00000000
PHP
370000.00000000
USD
2020-09-01
-18116.53000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.517 %
000000000
12460000.00000000
OU
Notional Amount
26564.74000000
0.007304285683
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
NZD
-41992.55000000
NZD
12460000.00000000
NZD
54011.41000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
145049.68000000
0.039883104481
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3580000.00000000
USD
4858736.62000000
CAD
2020-09-03
145049.68000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-CPT
61763QAA9
1000000.00000000
PA
USD
1015155.50000000
0.279128867238
Long
ABS-MBS
CORP
US
N
2
2029-07-13
Fixed
3.35000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
6979.21000000
0.001919015344
N/A
DFE
PL
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
360000.00000000
USD
1351443.24000000
PLN
2020-09-15
6979.21000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.606 %
000000000
1740000.00000000
OU
Notional Amount
1072.72000000
0.000294956899
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
NZD
0.00000000
NZD
1740000.00000000
NZD
1072.72000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040693
11500000.00000000
PA
USD
12255586.00000000
3.369816582310
Long
ABS-MBS
USGSE
US
N
2
2050-09-15
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP -0.026 %
000000000
220000000.00000000
OU
Notional Amount
2909.38000000
0.000799968028
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
SEK
0.00000000
SEK
220000000.00000000
SEK
2909.38000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
19876.20000000
0.005465193451
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1079322.38000000
USD
920000.00000000
EUR
2020-10-27
19876.20000000
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
483362.00000000
NS
USD
65543887.20000000
18.02205769317
Long
EC
RF
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
19844.01000000
0.005456342434
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
610856.57000000
USD
2322627.56000000
PLN
2020-09-15
19844.01000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.276 %
000000000
1050000.00000000
OU
Notional Amount
-26282.01000000
-0.00722654576
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
GBP
0.00000000
GBP
1050000.00000000
GBP
-26282.01000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.903 %
000000000
3390000.00000000
OU
Notional Amount
816.43000000
0.000224486968
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
AUD
0.00000000
AUD
3390000.00000000
AUD
816.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.36 %
000000000
21700000.00000000
OU
Notional Amount
6927.74000000
0.001904863066
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
-21546.73000000
SEK
21700000.00000000
SEK
9388.23000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
4083.45000000
0.001122792294
N/A
DFE
JP
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
160000.00000000
USD
17377701.00000000
JPY
2020-09-09
4083.45000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-20641.16000000
-0.00567552814
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
70412348.00000000
INR
934371.24000000
USD
2020-10-26
-20641.16000000
N
N
N
GMO US Treasury Fund
0NIBQB0NDRTFX04R2J69
GMO US Treasury Fund
362013369
2257034.23000000
NS
USD
11375452.52000000
3.127813597259
Long
STIV
RF
US
N
1
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-MP
61764JAG1
5000000.00000000
PA
USD
5100219.50000000
1.402364949707
Long
ABS-MBS
CORP
US
N
2
2033-08-11
Variable
3.82000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.74 %
000000000
4375000.00000000
OU
Notional Amount
36305.25000000
0.009982552729
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
59848.21000000
NZD
0.00000000
NZD
4375000.00000000
NZD
-2955.18000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
16296.96000000
0.004481039588
N/A
DFE
KR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1366210.95000000
USD
1641885000.00000000
KRW
2020-09-29
16296.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 0.556 %
000000000
45600000.00000000
OU
Notional Amount
-17128.83000000
-0.00470977196
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-19
0.00000000
CAD
-5871.72000000
CAD
45600000.00000000
CAD
-12738.57000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED RON / SOLD USD
000000000
1.00000000
NC
14545.71000000
0.003999512937
N/A
DFE
RO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
211530.07000000
USD
918178.00000000
RON
2020-09-30
14545.71000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.32 %
000000000
11900000.00000000
OU
Notional Amount
-11952.95000000
-0.00328660327
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
0.00000000
SEK
11900000.00000000
SEK
-11952.95000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
93979.39000000
0.025840731468
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
176898180.00000000
RUB
2465490.17000000
USD
2020-10-15
93979.39000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT DEC20 XCBT 20201221
000000000
105.00000000
NC
USD
35960.40000000
0.009887732192
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYZ0 Comdty
2020-12-21
16704977.10000000
USD
35960.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.64 %
000000000
2570000.00000000
OU
Notional Amount
4228.85000000
0.001162771723
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
NZD
0.00000000
NZD
2570000.00000000
NZD
4228.85000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
8835.10000000
0.002429313986
N/A
DFE
CL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
520000.00000000
USD
411164000.00000000
CLP
2020-09-01
8835.10000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.61 %
000000000
26350000.00000000
OU
Notional Amount
USD
396859.55000000
0.109121170741
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
71506.59000000
USD
0.00000000
USD
26350000.00000000
USD
325352.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.365 %
000000000
11200000.00000000
OU
Notional Amount
-5473.68000000
-0.00150505227
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
0.00000000
SEK
11200000.00000000
SEK
-5473.68000000
N
N
N
COMM Mortgage Trust
549300CJNWCNIHR7IT87
COMM 2013-WWP Mortgage Trust
12625CAL7
6461000.00000000
PA
USD
6854584.09000000
1.884747994206
Long
ABS-MBS
CORP
US
N
2
2031-03-10
Fixed
3.54000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC20 XCBT 20201221
000000000
25.00000000
NC
USD
-8852.33000000
-0.00243405157
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNZ0 Comdty
2020-12-21
5531508.58000000
USD
-8852.33000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-5315.05000000
-0.00146143510
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
240000.00000000
USD
69939912.00000000
HUF
2020-10-14
-5315.05000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.8055 %
000000000
5690000.00000000
OU
Notional Amount
-38490.58000000
-0.01058343474
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
AUD
0.00000000
AUD
5690000.00000000
AUD
-38490.58000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.3205 %
000000000
3950000.00000000
OU
Notional Amount
75485.68000000
0.020755669797
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
GBP
0.00000000
GBP
3950000.00000000
GBP
75485.68000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
9589.65000000
0.002636786326
N/A
DFE
PL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
450000.00000000
USD
1692491.85000000
PLN
2020-09-15
9589.65000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
30218.93000000
0.008309047924
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3520000.00000000
USD
4630697.63000000
CAD
2020-09-03
30218.93000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-12677.10000000
-0.00348571678
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
12773818.65000000
NOK
1450000.00000000
USD
2020-10-20
-12677.10000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-74.42000000
-0.00002046264
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
14582790.00000000
PHP
300694.68000000
USD
2020-09-01
-74.42000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.7065 %
000000000
5000000.00000000
OU
Notional Amount
30348.16000000
0.008344581222
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
NZD
0.00000000
NZD
5000000.00000000
NZD
30348.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.245 %
000000000
990000.00000000
OU
Notional Amount
1930.08000000
0.000530698049
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CHF
-184.85000000
CHF
990000.00000000
CHF
2133.72000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
4658.88000000
0.001281013496
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1900395.00000000
PEN
540822.16000000
USD
2020-11-03
4658.88000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-3329.89000000
-0.00091559216
N/A
DFE
RU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
510000.00000000
USD
37794060.00000000
RUB
2020-10-15
-3329.89000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.248 %
000000000
960000.00000000
OU
Notional Amount
-13198.71000000
-0.00362913954
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
EUR
0.00000000
EUR
960000.00000000
EUR
-13198.71000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.51 %
000000000
127520000.00000000
OU
Notional Amount
149590.41000000
0.041131631255
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
-101727.13000000
SEK
127520000.00000000
SEK
160646.87000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.276 %
000000000
44200000.00000000
OU
Notional Amount
-66685.38000000
-0.01833592447
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
0.00000000
SEK
44200000.00000000
SEK
-66685.38000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
2822.64000000
0.000776117851
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
290000.00000000
USD
1078353.11000000
PLN
2020-09-15
2822.64000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.585 %
000000000
5620000.00000000
OU
Notional Amount
13578.96000000
0.003733693727
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
1708.80000000
NZD
0.00000000
NZD
5620000.00000000
NZD
12447.73000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
2451.54000000
0.000674079570
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
709656600.00000000
KRW
600000.00000000
USD
2020-09-29
2451.54000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
10879.63000000
0.002991481401
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
280000.00000000
USD
226156000.00000000
CLP
2020-09-01
10879.63000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
8907.15000000
0.002449124976
N/A
DFE
IN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
410000.00000000
USD
30885710.00000000
INR
2020-10-26
8907.15000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-1360.30000000
-0.00037403038
N/A
DFE
PL
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
360000.00000000
USD
1320732.00000000
PLN
2020-09-15
-1360.30000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
46.25000000
0.000012716977
N/A
DFE
PH
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
186896.10000000
USD
9063900.00000000
PHP
2020-09-01
46.25000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-79457.80000000
-0.02184785060
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2449000.00000000
GBP
3195129.48000000
USD
2020-10-14
-79457.80000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-242.30000000
-0.00006662321
N/A
DFE
TW
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
220000.00000000
USD
6442040.00000000
TWD
2020-10-06
-242.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.491 %
000000000
95500000.00000000
OU
Notional Amount
91233.23000000
0.025085642686
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
0.00000000
SEK
95500000.00000000
SEK
91233.23000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.21 %
000000000
61990000.00000000
OU
Notional Amount
USD
-4174.32000000
-0.00114777806
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-21
5769.97000000
USD
0.00000000
USD
61990000.00000000
USD
-9944.29000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
1024.22000000
0.000281621257
N/A
DFE
PL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
29143.43000000
USD
111095.83000000
PLN
2020-09-15
1024.22000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.63 %
000000000
4950000.00000000
OU
Notional Amount
927.66000000
0.000255070957
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
321.19000000
CHF
0.00000000
CHF
4950000.00000000
CHF
573.83000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
35430.87000000
0.009742131730
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2270000.00000000
USD
3007069.00000000
CAD
2020-09-03
35430.87000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-356552.75000000
-0.09803834507
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
14096000.00000000
AUD
10041172.83000000
USD
2020-10-06
-356552.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.187 %
000000000
22700000.00000000
OU
Notional Amount
134767.44000000
0.037055882441
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
EUR
-3184.71000000
EUR
22700000.00000000
EUR
138598.34000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
96471.46000000
0.026525955236
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
15010417.03000000
USD
130620649.00000000
SEK
2020-10-05
96471.46000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-37259.30000000
-0.01024487992
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1480000.00000000
AUD
1054442.87000000
USD
2020-10-06
-37259.30000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-3896.82000000
-0.00107147619
N/A
DFE
HU
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
200000.00000000
USD
58441920.00000000
HUF
2020-10-14
-3896.82000000
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2012-PARK
05524UAA7
1250000.00000000
PA
USD
1307443.25000000
0.359496799604
Long
ABS-MBS
CORP
US
N
2
2030-12-10
Fixed
2.96000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
640.02000000
0.000175980977
N/A
DFE
CZ
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
260000.00000000
USD
5735618.20000000
CZK
2020-10-19
640.02000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
61094.22000000
0.016798569700
N/A
DFE
CA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1630000.00000000
USD
2205764.25000000
CAD
2020-09-03
61094.22000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP -0.0255 %
000000000
444700000.00000000
OU
Notional Amount
-2231.27000000
-0.00061351375
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
SEK
-33693.90000000
SEK
444700000.00000000
SEK
1567.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.09 %
000000000
8550000.00000000
OU
Notional Amount
2471.74000000
0.000679633796
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
NZD
0.00000000
NZD
8550000.00000000
NZD
2471.74000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-6644.20000000
-0.00182690043
N/A
DFE
CL
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
460000.00000000
USD
352479600.00000000
CLP
2020-09-01
-6644.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 0.975 %
000000000
7990000.00000000
OU
Notional Amount
-83537.84000000
-0.02296970528
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CAD
-8590.00000000
CAD
7990000.00000000
CAD
-77154.78000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-906.30000000
-0.00024919777
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
226156000.00000000
CLP
289973.33000000
USD
2020-09-01
-906.30000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
735.87000000
0.000202336055
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
7307000.00000000
TWD
250000.00000000
USD
2020-10-06
735.87000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.308 %
000000000
1720000.00000000
OU
Notional Amount
-35730.02000000
-0.00982438651
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
GBP
0.00000000
GBP
1720000.00000000
GBP
-35730.02000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032690
15200000.00000000
PA
USD
16031250.00000000
4.407979519311
Long
ABS-MBS
USGSE
US
N
2
2050-09-15
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.3 %
000000000
12010000.00000000
OU
Notional Amount
208008.57000000
0.057194386987
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
GBP
-20975.99000000
GBP
12010000.00000000
GBP
235138.92000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-4407.34000000
-0.00121184963
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
280000.00000000
USD
20557292.00000000
RUB
2020-10-15
-4407.34000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 0.926 %
000000000
4940000.00000000
OU
Notional Amount
69618.85000000
0.019142516332
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CAD
0.00000000
CAD
4940000.00000000
CAD
69618.85000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-6350.13000000
-0.00174604244
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
10158432.00000000
THB
320000.00000000
USD
2020-10-15
-6350.13000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
109.77000000
0.000030182544
N/A
DFE
CZ
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
360000.00000000
USD
7924539.60000000
CZK
2020-10-19
109.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.104 %
000000000
32870000.00000000
OU
Notional Amount
-6241.34000000
-0.00171612936
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-21
0.00000000
GBP
-3341.45000000
GBP
32870000.00000000
GBP
-1891.42000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.32 %
000000000
22000000.00000000
OU
Notional Amount
22097.90000000
0.006076075828
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
0.00000000
SEK
22000000.00000000
SEK
22097.90000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1166.47000000
-0.00032073455
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
291080000.00000000
CLP
373217.77000000
USD
2020-09-01
-1166.47000000
N
N
N
Four Times Square Trust
N/A
Four Times Square Trust Commercial Mortgage Pass-Through Certificates Series 200
350910AN5
3986998.81000000
PA
USD
3991925.15000000
1.097626467295
Long
ABS-MBS
CORP
US
N
2
2028-12-13
Fixed
5.40000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
1903.32000000
0.000523340075
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
112678930.00000000
HUF
380000.00000000
USD
2020-10-14
1903.32000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
11061.41000000
0.003041463936
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
238179914.00000000
JPY
2260000.00000000
USD
2020-09-09
11061.41000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-29528.74000000
-0.00811927211
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3040000.00000000
NZD
2018114.64000000
USD
2020-10-05
-29528.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.015 %
000000000
108200000.00000000
OU
Notional Amount
8839.81000000
0.002430609056
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
SEK
0.00000000
SEK
108200000.00000000
SEK
8839.81000000
N
N
N
COMM Mortgage Trust
549300CJNWCNIHR7IT87
COMM 2013-WWP Mortgage Trust
12625CAN3
6310000.00000000
PA
USD
6744124.21000000
1.854375759430
Long
ABS-MBS
CORP
US
N
2
2031-03-10
Fixed
3.90000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-MP
61764JAA4
375000.00000000
PA
USD
381827.96000000
0.104988059420
Long
ABS-MBS
CORP
US
N
2
2033-08-11
Fixed
3.47000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-96397.25000000
-0.02650555032
N/A
DFE
BR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1512411.71000000
USD
7772435.00000000
BRL
2020-11-04
-96397.25000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-4045.34000000
-0.00111231350
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
349212200.00000000
KRW
290000.00000000
USD
2020-09-29
-4045.34000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-2908.79000000
-0.00079980580
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
442871500.00000000
KRW
370000.00000000
USD
2020-09-29
-2908.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.6 %
000000000
11260000.00000000
OU
Notional Amount
USD
153982.39000000
0.042339257478
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
17203.61000000
USD
0.00000000
USD
11260000.00000000
USD
136778.78000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-421127.17000000
-0.11579383643
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3300000000.00000000
JPY
30746978.27000000
USD
2020-09-28
-421127.17000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1035.08000000
-0.00028460734
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
258291000.00000000
CLP
331176.27000000
USD
2020-09-01
-1035.08000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.5285 %
000000000
1300000.00000000
OU
Notional Amount
USD
-22968.55000000
-0.00631547121
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
USD
0.00000000
USD
1300000.00000000
USD
-22968.55000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
98199.62000000
0.027001133022
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2580000.00000000
USD
3493286.72000000
CAD
2020-09-03
98199.62000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.835 %
000000000
8970000.00000000
OU
Notional Amount
78107.96000000
0.021476696325
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
25516.63000000
AUD
0.00000000
AUD
8970000.00000000
AUD
59886.84000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.64 %
000000000
3840000.00000000
OU
Notional Amount
-6318.60000000
-0.00173737290
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
NZD
0.00000000
NZD
3840000.00000000
NZD
-6318.60000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030694
10800000.00000000
PA
USD
11389781.20000000
3.131753435261
Long
ABS-MBS
USGSE
US
N
2
2050-09-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.6845 %
000000000
1500000.00000000
OU
Notional Amount
USD
-3433.85000000
-0.00094417718
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
40.85000000
USD
0.00000000
USD
1500000.00000000
USD
-3474.70000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC20 XCBT 20201231
000000000
74.00000000
NC
USD
8775.73000000
0.002412989511
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUZ0 Comdty
2020-12-31
16341177.36000000
USD
8775.73000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.828 %
000000000
7830000.00000000
OU
Notional Amount
-40308.54000000
-0.01108330409
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
3008.24000000
AUD
0.00000000
AUD
7830000.00000000
AUD
-42479.59000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1412.52000000
-0.00038838887
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
352479600.00000000
CLP
451943.28000000
USD
2020-09-01
-1412.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.3045 %
000000000
1990000.00000000
OU
Notional Amount
-42265.42000000
-0.01162137111
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-18
0.00000000
GBP
0.00000000
GBP
1990000.00000000
GBP
-42265.42000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
1020.34000000
0.000280554406
N/A
DFE
PH
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
562174.46000000
USD
27306500.00000000
PHP
2020-09-01
1020.34000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
7520.44000000
0.002067832857
N/A
DFE
IL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1462056.13000000
USD
4925594.00000000
ILS
2020-10-30
7520.44000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.2815 %
000000000
44350000.00000000
OU
Notional Amount
-64116.14000000
-0.01762948191
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
SEK
0.00000000
SEK
44350000.00000000
SEK
-64116.14000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC20 XCBT 20201221
000000000
24.00000000
NC
USD
-4498.20000000
-0.00123683265
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USZ0 Comdty
2020-12-21
4221748.20000000
USD
-4498.20000000
N
N
N
GMO Emerging Country Debt
KCRGSH2QB4OQ3874HQ90
GMO Emerging Country Debt
362008781
703695.89000000
NS
USD
18873123.77000000
5.189385920847
Long
EC
RF
US
N
1
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
3750000000.00000000
PA
35407026.63000000
9.735575717723
Long
STIV
NUSS
JP
N
2
2020-09-14
None
0.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-CPT
61763QAG6
490000.00000000
PA
USD
497670.02000000
0.136840187479
Long
ABS-MBS
CORP
US
N
2
2029-07-13
Variable
3.56000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
3891.71000000
0.001070071140
N/A
DFE
MX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
359881.80000000
USD
8007702.00000000
MXN
2020-10-21
3891.71000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
71.48000000
0.000019654261
N/A
DFE
PH
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
288833.54000000
USD
14007560.00000000
PHP
2020-09-01
71.48000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
623.35000000
0.000171397366
N/A
DFE
RU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
580000.00000000
USD
43310456.00000000
RUB
2020-10-15
623.35000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.185 %
000000000
20020000.00000000
OU
Notional Amount
9365.81000000
0.002575238902
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
3316.54000000
AUD
0.00000000
AUD
20020000.00000000
AUD
6980.72000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.185 %
000000000
12500000.00000000
OU
Notional Amount
-19606.61000000
-0.00539106653
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-16
0.00000000
NZD
0.00000000
NZD
12500000.00000000
NZD
-19606.61000000
N
N
N
GMO Opportunistic Income Fund
5493000NQRD0885G4P95
GMO Opportunistic Income Fund
362013112
2829708.36400000
NS
USD
73261149.54000000
20.14400915296
Long
EC
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.185 %
000000000
2080000.00000000
OU
Notional Amount
-9252.37000000
-0.00254404724
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-16
0.00000000
CHF
0.00000000
CHF
2080000.00000000
CHF
-9252.37000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-MP
61764JAE6
100000.00000000
PA
USD
102004.39000000
0.028047298994
Long
ABS-MBS
CORP
US
N
2
2033-08-11
Variable
3.82000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.12 %
000000000
7980000.00000000
OU
Notional Amount
-1215.31000000
-0.00033416368
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-21
268.79000000
GBP
0.00000000
GBP
7980000.00000000
GBP
-1568.63000000
N
N
N
COMM Mortgage Trust
549300CJNWCNIHR7IT87
COMM 2013-WWP Mortgage Trust
12625CAC7
31520000.00000000
PA
USD
33355945.44000000
9.171606976797
Long
ABS-MBS
CORP
US
N
2
2031-03-10
Fixed
3.42000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-632.55000000
-0.00017392701
N/A
DFE
TW
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
220000.00000000
USD
6430600.00000000
TWD
2020-10-06
-632.55000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-25238.20000000
-0.00693953800
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
270619401.00000000
JPY
2530000.00000000
USD
2020-09-09
-25238.20000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RG5
4750000.00000000
PA
USD
6659462.90000000
1.831097142943
Long
DBT
UST
US
N
1
2044-05-15
Fixed
3.38000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
2327.43000000
0.000639954075
N/A
DFE
PL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
280000.00000000
USD
1039703.28000000
PLN
2020-09-15
2327.43000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
4701.87000000
0.001292834099
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
370000.00000000
USD
1379882.81000000
PLN
2020-09-15
4701.87000000
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
1900000000.00000000
PA
17941583.31000000
4.933247985933
Long
STIV
NUSS
JP
N
2
2020-10-26
None
0.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-CPT
61763QAU5
300000.00000000
PA
USD
304695.93000000
0.083779706451
Long
ABS-MBS
CORP
US
N
2
2029-07-13
Variable
3.56000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-865.67000000
-0.00023802608
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
450145.41000000
SGD
330000.00000000
USD
2020-10-19
-865.67000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
948.31000000
0.000260748915
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
303415.73000000
USD
236640000.00000000
CLP
2020-09-01
948.31000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED RON / SOLD USD
000000000
1.00000000
NC
1441.35000000
0.000396316025
N/A
DFE
RO
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
180000.00000000
USD
736900.92000000
RON
2020-09-30
1441.35000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
7287.51000000
0.002003786032
N/A
DFE
PL
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
510000.00000000
USD
1904970.87000000
PLN
2020-09-15
7287.51000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1813.36000000
-0.00049860452
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
205784900.00000000
CLP
262950.29000000
USD
2020-11-02
-1813.36000000
N
N
N
2020-09-29
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer