0001752724-21-087102.txt : 20210428
0001752724-21-087102.hdr.sgml : 20210428
20210428120541
ACCESSION NUMBER: 0001752724-21-087102
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210228
FILED AS OF DATE: 20210428
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: 21862718
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
2021-02-28
N
192599888.24
27141376.90
165458511.34
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1799343.75000000
0.00000000
0.00000000
3758589.79000000
AUD
CAD
CHF
EUR
GBP
JPY
NZD
SEK
USD
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-6450.80000000
-0.00389874171
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
580000.00000000
GBP
801799.54000000
USD
2021-04-13
-6450.80000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.4825 %
000000000
4400000.00000000
OU
Notional Amount
-17281.93000000
-0.01044487216
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
SEK
0.00000000
SEK
4400000.00000000
SEK
-17281.93000000
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913Q3A5
400000.00000000
PA
USD
409828.26000000
0.247692461802
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
1.90000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-2379.15000000
-0.00143791333
N/A
DFE
IN
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
503929.42000000
USD
37341170.00000000
INR
2021-04-19
-2379.15000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.097 %
000000000
1900000.00000000
OU
Notional Amount
-9422.27000000
-0.00569464207
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-15
0.00000000
GBP
0.00000000
GBP
1900000.00000000
GBP
-9422.27000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
-569.71000000
-0.00034432196
N/A
DFE
TH
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
162564.06000000
USD
4882449.00000000
THB
2021-04-16
-569.71000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
938.10000000
0.000566969926
N/A
DFE
NZ
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
173461.18000000
USD
241384.82000000
NZD
2021-05-05
938.10000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.72 %
000000000
1770000.00000000
OU
Notional Amount
4823.99000000
0.002915528467
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
230.66000000
CHF
0.00000000
CHF
1770000.00000000
CHF
4564.69000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.8825 %
000000000
630000.00000000
OU
Notional Amount
-2019.60000000
-0.00122060810
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
AUD
0.00000000
AUD
630000.00000000
AUD
-2019.60000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BP0
450000.00000000
PA
USD
451118.64000000
0.272647587813
Long
DBT
CORP
US
N
2
2023-06-03
Fixed
0.40000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAM7
400000.00000000
PA
USD
452040.97000000
0.273205026649
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.703 %
000000000
2370000.00000000
OU
Notional Amount
-4869.56000000
-0.00294307011
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
0.00000000
CHF
0.00000000
CHF
2370000.00000000
CHF
-4869.56000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
10337.89000000
0.006248025511
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
269074539.00000000
HUF
905459.65000000
USD
2021-04-13
10337.89000000
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AQ1
200000.00000000
PA
USD
204809.14000000
0.123782776927
Long
DBT
CORP
GB
N
2
2022-06-12
Fixed
2.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP 0.0875 %
000000000
720000.00000000
OU
Notional Amount
106.52000000
0.000064378676
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CHF
0.00000000
CHF
720000.00000000
CHF
106.52000000
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BH5
250000.00000000
PA
USD
286310.56000000
0.173040696233
Long
DBT
CORP
US
N
2
2044-03-11
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.5 %
000000000
18230000.00000000
OU
Notional Amount
-514925.54000000
-0.31121127334
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
2458.48000000
CAD
0.00000000
CAD
18230000.00000000
CAD
-516817.77000000
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBK5
350000.00000000
PA
USD
408968.57000000
0.247172881399
Long
DBT
CORP
US
N
2
2079-05-01
Fixed
5.65000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHS1
300000.00000000
PA
USD
357695.32000000
0.216184297261
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
4.33000000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BJ9
400000.00000000
PA
USD
461722.54000000
0.279056384746
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
4.85000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-578.96000000
-0.00034991249
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
530000.00000000
USD
4467320.07000000
SEK
2021-05-05
-578.96000000
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CD9
450000.00000000
PA
USD
475650.25000000
0.287474029681
Long
DBT
CORP
DE
N
2
2031-09-18
Fixed
3.55000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.819 %
000000000
6900000.00000000
OU
Notional Amount
362.05000000
0.000218816183
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
SEK
0.00000000
SEK
6900000.00000000
SEK
362.05000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-510.06000000
-0.00030827063
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
315244.86000000
CAD
247226.57000000
USD
2021-05-03
-510.06000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
2231.52000000
0.001348688551
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
8768040.00000000
INR
120000.00000000
USD
2021-04-19
2231.52000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-8312.82000000
-0.00502411144
N/A
DFE
AU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
323854.74000000
USD
410000.00000000
AUD
2021-05-10
-8312.82000000
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XAU0
400000.00000000
PA
USD
447625.54000000
0.270536424131
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.75 %
000000000
18850000.00000000
OU
Notional Amount
-185494.62000000
-0.11210944574
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CAD
-29154.79000000
CAD
18850000.00000000
CAD
-162390.74000000
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAP8
150000.00000000
PA
USD
178099.32000000
0.107639866065
Long
DBT
CORP
US
N
2
2029-03-19
Fixed
5.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.9875 %
000000000
1030000.00000000
OU
Notional Amount
-63742.83000000
-0.03852496283
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
AUD
0.00000000
AUD
1030000.00000000
AUD
-63742.83000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-4014.73000000
-0.00242642700
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
190000.00000000
USD
55907367.00000000
HUF
2021-04-13
-4014.73000000
N
N
N
FORTIVE CORPORATION
549300MU9YQJYHDQEF63
Fortive Corp
34959JAH1
350000.00000000
PA
USD
410814.57000000
0.248288568942
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
4.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.117 %
000000000
2390000.00000000
OU
Notional Amount
56739.23000000
0.034292119239
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
864.04000000
CHF
0.00000000
CHF
2390000.00000000
CHF
55768.78000000
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAP0
450000.00000000
PA
USD
482705.74000000
0.291738234612
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BK6
300000.00000000
PA
USD
349606.30000000
0.211295446313
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
5.00000000
N
N
N
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAJ4
400000.00000000
PA
USD
425895.06000000
0.257402932342
Long
DBT
CORP
LU
N
2
2039-11-15
Fixed
3.25000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BM8
300000.00000000
PA
USD
426961.80000000
0.258047649856
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
6.60000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN21 XCBT 20210621
000000000
38.00000000
NC
USD
-41313.90000000
-0.02496934105
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYM1 Comdty
2021-06-21
5640376.40000000
USD
-41313.90000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1832.78000000
-0.00110769762
N/A
DFE
CH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
190000.00000000
USD
170964.76000000
CHF
2021-04-13
-1832.78000000
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAK1
400000.00000000
PA
USD
425116.89000000
0.256932621088
Long
DBT
CORP
LU
N
2
2049-11-15
Fixed
3.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.15 %
000000000
22990000.00000000
OU
Notional Amount
230103.01000000
0.139069914346
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
210052.07000000
NZD
0.00000000
NZD
22990000.00000000
NZD
75242.12000000
N
N
N
GMO Emerging Country Debt
KCRGSH2QB4OQ3874HQ90
GMO Emerging Country Debt
362008781
336654.96700000
NS
USD
8584701.66000000
5.188431583528
Long
EC
RF
US
N
1
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AQ2
400000.00000000
PA
USD
425836.00000000
0.257367237594
Long
DBT
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAN4
400000.00000000
PA
USD
481711.94000000
0.291137600658
Long
DBT
CORP
US
N
2
2044-03-04
Fixed
5.40000000
N
N
N
N
N
N
GMO Opportunistic Income Fund
5493000NQRD0885G4P95
GMO Opportunistic Income Fund
362013112
1069718.86200000
NS
USD
27641535.39000000
16.70602205117
Long
EC
RF
US
N
1
N
N
N
Arrow Electronics Inc
549300YNNLBXT8N8R512
Arrow Electronics Inc
042735BF6
400000.00000000
PA
USD
444670.24000000
0.268750296614
Long
DBT
CORP
US
N
2
2028-01-12
Fixed
3.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN21 XCBT 20210630
000000000
-9.00000000
NC
USD
1328.75000000
0.000803071410
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUM1 Comdty
2021-06-30
-1988219.38000000
USD
1328.75000000
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XAW6
350000.00000000
PA
USD
438029.17000000
0.264736559305
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
5.10000000
N
N
N
N
N
N
Diamondback Energy Inc
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAH2
350000.00000000
PA
USD
362040.84000000
0.218810647495
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
5.38000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-16015.49000000
-0.00967945974
N/A
DFE
CH
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
690000.00000000
USD
612368.10000000
CHF
2021-04-13
-16015.49000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.41 %
000000000
42210000.00000000
OU
Notional Amount
197130.46000000
0.119141927727
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
SEK
-16638.58000000
SEK
42210000.00000000
SEK
199080.80000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 1.4 %
000000000
25350000.00000000
OU
Notional Amount
-1027715.97000000
-0.62113212652
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
48324.32000000
NZD
0.00000000
NZD
25350000.00000000
NZD
-1062313.76000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 1.45 %
000000000
6480000.00000000
OU
Notional Amount
USD
-50357.96000000
-0.03043540014
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
USD
-2530.09000000
USD
6480000.00000000
USD
-47827.87000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.27 %
000000000
350000.00000000
OU
Notional Amount
-13990.05000000
-0.00845532205
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
680.87000000
CHF
0.00000000
CHF
350000.00000000
CHF
-14755.46000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-20.58000000
-0.00001243816
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
852235.00000000
TWD
30774.38000000
USD
2021-05-03
-20.58000000
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
350000.00000000
PA
USD
403271.43000000
0.243729637559
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.88000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BF9
250000.00000000
PA
USD
263406.52000000
0.159197926940
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 0.49 %
000000000
51430000.00000000
OU
Notional Amount
121416.36000000
0.073381755351
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-13
0.00000000
CAD
-16712.69000000
CAD
51430000.00000000
CAD
134475.91000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 0.385 %
000000000
42710000.00000000
OU
Notional Amount
87487.81000000
0.052875980384
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
15573.20000000
NZD
0.00000000
NZD
42710000.00000000
NZD
76233.06000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 1.7 %
000000000
5350000.00000000
OU
Notional Amount
-108717.92000000
-0.06570705799
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
NZD
-25714.35000000
NZD
5350000.00000000
NZD
-89879.58000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CU7
350000.00000000
PA
USD
403386.66000000
0.243799280395
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.04000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-42230.46000000
-0.02552329261
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1300000.00000000
GBP
1769365.13000000
USD
2021-04-13
-42230.46000000
N
N
N
CORNING INC
549300X2937PB0CJ7I56
Corning Inc
219350BQ7
350000.00000000
PA
USD
454354.32000000
0.274603171707
Long
DBT
CORP
US
N
2
2079-11-15
Fixed
5.45000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
11801.01000000
0.007132307612
N/A
DFE
NZ
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3173400.56000000
USD
4408615.18000000
NZD
2021-05-05
11801.01000000
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244BA6
400000.00000000
PA
USD
417526.96000000
0.252345410712
Long
DBT
CORP
US
N
2
2050-11-15
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.21 %
000000000
15040000.00000000
OU
Notional Amount
USD
15329.02000000
0.009264570239
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-15
1682.84000000
USD
0.00000000
USD
15040000.00000000
USD
13646.18000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-2939.88000000
-0.00177680796
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
910000.00000000
USD
7653885.15000000
SEK
2021-05-05
-2939.88000000
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
350000.00000000
PA
USD
398760.26000000
0.241003171593
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.2625 %
000000000
4010000.00000000
OU
Notional Amount
-167962.53000000
-0.10151338159
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
1810.06000000
AUD
0.00000000
AUD
4010000.00000000
AUD
-169362.88000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
5633.02000000
0.003404490923
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13822000.00000000
PHP
286585.11000000
USD
2021-04-21
5633.02000000
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FV3
400000.00000000
PA
USD
412299.41000000
0.249185978201
Long
DBT
CORP
US
N
2
2026-01-13
Fixed
1.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-817.19000000
-0.00049389420
N/A
DFE
IN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
110000.00000000
USD
8128824.00000000
INR
2021-04-19
-817.19000000
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAR6
250000.00000000
PA
USD
256323.05000000
0.154916811425
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.25000000
N
N
N
N
N
N
Tapestry Inc
549300LJNVY5SW3VTN33
Tapestry Inc
189754AA2
300000.00000000
PA
USD
325675.16000000
0.196831917175
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.25000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
8446.56000000
0.005104941372
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
2977133.70000000
MXN
150000.00000000
USD
2021-04-21
8446.56000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
228227BD5
400000.00000000
PA
USD
433907.49000000
0.262245493740
Long
DBT
US
N
2
2023-01-15
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.1 %
000000000
2300000.00000000
OU
Notional Amount
-3794.61000000
-0.00229339063
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
0.00000000
AUD
-366.30000000
AUD
2300000.00000000
AUD
-3522.38000000
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MAM2
400000.00000000
PA
USD
408758.88000000
0.247046148723
Long
DBT
CORP
JP
N
2
2022-01-11
Fixed
2.85000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
1878.00000000
0.001135027738
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
64538000.00000000
CLP
91125.76000000
USD
2021-05-24
1878.00000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN21 XCBT 20210621
000000000
-5.00000000
NC
USD
-8798.91000000
-0.00531789505
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNM1 Comdty
2021-06-21
-936513.59000000
USD
-8798.91000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
139.12000000
0.000084081501
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2763600.00000000
TWD
100000.00000000
USD
2021-05-03
139.12000000
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XCA2
300000.00000000
PA
USD
386372.88000000
0.233516473024
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-13048.24000000
-0.00788610987
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
490000.00000000
GBP
669783.94000000
USD
2021-04-13
-13048.24000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.208 %
000000000
470000.00000000
OU
Notional Amount
15540.59000000
0.009392439152
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CHF
0.00000000
CHF
470000.00000000
CHF
15540.59000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.085 %
000000000
4920000.00000000
OU
Notional Amount
9251.56000000
0.005591468172
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
0.00000000
AUD
0.00000000
AUD
4920000.00000000
AUD
9251.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 1.523 %
000000000
970000.00000000
OU
Notional Amount
USD
784.82000000
0.000474330388
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
USD
0.00000000
USD
970000.00000000
USD
784.82000000
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAF9
350000.00000000
PA
USD
472988.70000000
0.285865439117
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913R2F3
450000.00000000
PA
USD
450648.41000000
0.272363389680
Long
DBT
CORP
US
N
2
2023-09-14
Fixed
0.45000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022436
4100000.00000000
PA
USD
4286959.47000000
2.590957355581
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.51 %
000000000
9830000.00000000
OU
Notional Amount
-270421.66000000
-0.16343774509
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CAD
-11473.80000000
CAD
9830000.00000000
CAD
-261386.46000000
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAH8
400000.00000000
PA
USD
417955.88000000
0.252604641861
Long
DBT
CORP
LU
N
2
2029-11-15
Fixed
2.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
9127965G0
6000000.00000000
PA
USD
5996860.50000000
3.624389251077
Long
STIV
UST
US
N
1
2021-12-02
None
0.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.92 %
000000000
14090000.00000000
OU
Notional Amount
122760.15000000
0.074193916653
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
GBP
-17890.45000000
GBP
14090000.00000000
GBP
147917.71000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
200000.00000000
PA
USD
251992.62000000
0.152299581302
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.71000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
2156.31000000
0.001303233047
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
68490050.90000000
HUF
230000.00000000
USD
2021-04-13
2156.31000000
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BF9
300000.00000000
PA
USD
331058.64000000
0.200085590834
Long
DBT
CORP
US
N
2
2042-10-09
Fixed
4.13000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-51.00000000
-0.00003082343
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1399814.90000000
CAD
1100000.00000000
USD
2021-05-03
-51.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.255 %
000000000
2180000.00000000
OU
Notional Amount
-92500.41000000
-0.05590550117
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
1764.00000000
AUD
0.00000000
AUD
2180000.00000000
AUD
-93862.31000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-8063.41000000
-0.00487337274
N/A
DFE
CA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
930000.00000000
USD
1173164.31000000
CAD
2021-05-03
-8063.41000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.65 %
000000000
11950000.00000000
OU
Notional Amount
-163758.59000000
-0.09897259964
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
AUD
-24990.06000000
AUD
11950000.00000000
AUD
-143982.70000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-1244.10000000
-0.00075191054
N/A
DFE
IN
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
130000.00000000
USD
9586070.00000000
INR
2021-04-19
-1244.10000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.05 %
000000000
490000.00000000
OU
Notional Amount
28556.95000000
0.017259281356
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
309.47000000
AUD
0.00000000
AUD
490000.00000000
AUD
28326.95000000
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718DY2
400000.00000000
PA
USD
407823.52000000
0.246480834800
Long
DBT
CORP
US
N
2
2022-02-06
Fixed
2.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.099 %
000000000
48020000.00000000
OU
Notional Amount
-235469.76000000
-0.14231347670
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-15
1886.94000000
GBP
0.00000000
GBP
48020000.00000000
GBP
-237952.13000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN21 XCBT 20210621
000000000
62.00000000
NC
USD
137477.56000000
0.083088841357
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNM1 Comdty
2021-06-21
11584397.44000000
USD
137477.56000000
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AU3
350000.00000000
PA
USD
423655.96000000
0.256049662582
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.45000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-1796.16000000
-0.00108556518
N/A
DFE
SG
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
210000.00000000
USD
277656.33000000
SGD
2021-04-15
-1796.16000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BQ8
450000.00000000
PA
USD
449301.56000000
0.271549378971
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
0.80000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FX9
400000.00000000
PA
USD
419216.13000000
0.253366313165
Long
DBT
CORP
US
N
2
2031-01-13
Fixed
2.65000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VES9
350000.00000000
PA
USD
398976.62000000
0.241133935491
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.88000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BR9
1250000.00000000
PA
USD
1325420.14000000
0.801058905501
Long
DBT
CORP
DE
N
2
2023-02-27
Fixed
3.95000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AH4
400000.00000000
PA
USD
420036.00000000
0.253861827111
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040636
1300000.00000000
PA
USD
1396789.07000000
0.844192939177
Long
ABS-MBS
USGSE
US
N
2
2051-03-15
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
8047.68000000
0.004863865832
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
56700000.00000000
JPY
540000.00000000
USD
2021-03-09
8047.68000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032633
6000000.00000000
PA
USD
6361804.86000000
3.844954731236
Long
ABS-MBS
USGSE
US
N
2
2051-03-15
Fixed
3.50000000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAD5
300000.00000000
PA
USD
329377.61000000
0.199069608044
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.61 %
000000000
1740000.00000000
OU
Notional Amount
-35056.89000000
-0.02118772235
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CAD
0.00000000
CAD
1740000.00000000
CAD
-35056.89000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
ETF: GOLD IVV US SHORT
000000000
29934120.00000000
OU
Notional Amount
USD
921916.57000000
0.557188966909
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
iShares Core S&P 500 ETF
iShares Core S&P 500 ETF
Y
equity-performance leg
2021-03-18
0.00000000
USD
0.00000000
USD
29934120.00000000
USD
921916.57000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.49 %
000000000
10790000.00000000
OU
Notional Amount
-41448.04000000
-0.02505041273
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
21615.05000000
SEK
0.00000000
SEK
10790000.00000000
SEK
-44068.60000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
12455.70000000
0.007527989886
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1704778.00000000
BRL
316297.08000000
USD
2021-04-05
12455.70000000
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
350000.00000000
PA
USD
407031.20000000
0.246001971553
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.63000000
N
N
N
N
N
N
UNITED PARCEL SERVICE
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312BV7
300000.00000000
PA
USD
398838.21000000
0.241050283101
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
5.20000000
N
N
N
N
N
N
ENABLE MIDSTREAM PARTNER
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AL4
450000.00000000
PA
USD
504804.41000000
0.305094253484
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
CATERPILLAR INC
WRJR7GS4GTRECRRTVX92
Caterpillar Inc
149123CF6
400000.00000000
PA
USD
427644.96000000
0.258460538860
Long
DBT
CORP
US
N
2
2049-09-19
Fixed
3.25000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BK0
350000.00000000
PA
USD
411180.26000000
0.248509585073
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
126410.54000000
0.076400143441
N/A
DFE
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3749010.48000000
USD
2781000.00000000
GBP
2021-04-13
126410.54000000
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BE2
400000.00000000
PA
USD
455551.97000000
0.275327008753
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.63000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN21 XCBT 20210630
000000000
82.00000000
NC
USD
-10469.27000000
-0.00632742910
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUM1 Comdty
2021-06-30
18113250.60000000
USD
-10469.27000000
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FW1
400000.00000000
PA
USD
414747.87000000
0.250665781192
Long
DBT
CORP
US
N
2
2028-01-13
Fixed
2.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.1175 %
000000000
5740000.00000000
OU
Notional Amount
7926.02000000
0.004790336825
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
0.00000000
AUD
0.00000000
AUD
5740000.00000000
AUD
7926.02000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN21 XCBT 20210630
000000000
230.00000000
NC
USD
-215307.60000000
-0.13012784791
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVM1 Comdty
2021-06-30
28728120.10000000
USD
-215307.60000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
2510.43000000
0.001517256489
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
365830.48000000
CAD
290000.00000000
USD
2021-05-03
2510.43000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
2160.70000000
0.001305886280
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4813400.00000000
PHP
100000.00000000
USD
2021-04-21
2160.70000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-33109.87000000
-0.02001098023
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
696433.67000000
USD
5098382.00000000
TRY
2021-05-17
-33109.87000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-6353.49000000
-0.00383992938
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
618180.86000000
USD
2291411.00000000
PLN
2021-05-17
-6353.49000000
N
N
N
Enel Americas SA
549300LKH11TFCJLZK20
Enel Americas SA
29274FAF1
400000.00000000
PA
USD
441568.00000000
0.266875361336
Long
DBT
CORP
CL
N
2
2026-10-25
Fixed
4.00000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BN6
300000.00000000
PA
USD
444240.10000000
0.268490328120
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
6.60000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AM8
400000.00000000
PA
USD
407328.48000000
0.246181641972
Long
DBT
CORP
US
N
2
2021-12-05
Fixed
3.30000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468N2
300000.00000000
PA
USD
434688.51000000
0.262717527481
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
5.60000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-4521.35000000
-0.00273261856
N/A
DFE
CO
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
180000.00000000
USD
641250000.00000000
COP
2021-04-30
-4521.35000000
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159YM2
450000.00000000
PA
USD
451891.36000000
0.273114605190
Long
DBT
CORP
CA
N
2
2023-09-15
Fixed
0.55000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-9182.85000000
-0.00554994114
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
4650000.00000000
NZD
3350418.00000000
USD
2021-05-05
-9182.85000000
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
300000.00000000
PA
USD
315735.00000000
0.190824272165
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 1.46 %
000000000
15800000.00000000
OU
Notional Amount
USD
125673.72000000
0.075954823346
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
8978.10000000
USD
0.00000000
USD
15800000.00000000
USD
116695.62000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD RON
000000000
1.00000000
NC
3620.59000000
0.002188216230
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2588388.00000000
RON
641628.72000000
USD
2021-05-28
3620.59000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 1.5775 %
000000000
1420000.00000000
OU
Notional Amount
40580.18000000
0.024525894540
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
NZD
0.00000000
NZD
1420000.00000000
NZD
40580.18000000
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CG5
350000.00000000
PA
USD
416528.04000000
0.251741682326
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
4.50000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CV8
350000.00000000
PA
USD
414699.25000000
0.250636396182
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
4.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.481 %
000000000
9130000.00000000
OU
Notional Amount
655666.61000000
0.396272518524
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
227.41000000
GBP
0.00000000
GBP
9130000.00000000
GBP
655476.80000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.253 %
000000000
6880000.00000000
OU
Notional Amount
-261975.69000000
-0.15833316030
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CHF
-2946.00000000
CHF
6880000.00000000
CHF
-258657.19000000
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NAY6
400000.00000000
PA
USD
413537.40000000
0.249934195981
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.13000000
N
N
N
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887CD2
350000.00000000
PA
USD
445033.63000000
0.268969922668
Long
DBT
CORP
US
N
2
2038-11-01
Fixed
5.30000000
N
N
N
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422ETL3
400000.00000000
PA
USD
408146.58000000
0.246676086164
Long
DBT
CORP
US
N
2
2022-01-06
Fixed
2.65000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AF8
300000.00000000
PA
USD
385369.66000000
0.232910145799
Long
DBT
CORP
CH
N
2
2045-05-15
Fixed
4.88000000
N
N
N
N
N
N
UNITED PARCEL SERVICE
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312BC9
400000.00000000
PA
USD
409580.49000000
0.247542714293
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.35000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-4809.77000000
-0.00290693416
N/A
DFE
KR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
246034.12000000
USD
271835720.00000000
KRW
2021-04-19
-4809.77000000
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAQ6
400000.00000000
PA
USD
412048.99000000
0.249034629081
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
2.85000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833AY6
400000.00000000
PA
USD
407290.66000000
0.246158784278
Long
DBT
CORP
US
N
2
2022-02-09
Fixed
2.15000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
2425.68000000
0.001466035189
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
487985.48000000
ILS
150000.00000000
USD
2021-04-30
2425.68000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-971.69000000
-0.00058727108
N/A
DFE
SG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
140000.00000000
USD
185405.28000000
SGD
2021-04-15
-971.69000000
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAJ6
450000.00000000
PA
USD
437431.24000000
0.264375181704
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.80000000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAN3
400000.00000000
PA
USD
439029.57000000
0.265341182175
Long
DBT
CORP
US
N
2
2024-03-19
Fixed
4.38000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN21 XCBT 20210621
000000000
23.00000000
NC
USD
-855.28000000
-0.00051691508
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USM1 Comdty
2021-06-21
3662886.53000000
USD
-855.28000000
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DV9
450000.00000000
PA
USD
454076.98000000
0.274435552648
Long
DBT
CORP
US
N
2
2023-05-11
Fixed
0.75000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-4172.22000000
-0.00252161098
N/A
DFE
CO
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
160000.00000000
USD
569440000.00000000
COP
2021-04-30
-4172.22000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
4067.41000000
0.002458265801
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
112760000.00000000
CLP
160000.00000000
USD
2021-05-24
4067.41000000
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AD7
400000.00000000
PA
USD
449820.14000000
0.271862798931
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
5671.70000000
0.003427868384
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
809790.00000000
BRL
150000.00000000
USD
2021-04-05
5671.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.23 %
000000000
12010000.00000000
OU
Notional Amount
USD
3860.49000000
0.002333207260
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-15
0.00000000
USD
-453.55000000
USD
12010000.00000000
USD
4314.04000000
N
N
N
Bunge Ltd Finance Corp
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568BA7
400000.00000000
PA
USD
440944.65000000
0.266498620366
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.35000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.539 %
000000000
13500000.00000000
OU
Notional Amount
45081.46000000
0.027246383177
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
3502.22000000
SEK
0.00000000
SEK
13500000.00000000
SEK
44660.74000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
350000.00000000
PA
USD
438262.23000000
0.264877416368
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EG9
350000.00000000
PA
USD
428002.91000000
0.258676877081
Long
DBT
CORP
US
N
2
2065-11-15
Fixed
4.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 0.071 %
000000000
10400000.00000000
OU
Notional Amount
21516.35000000
0.013004075659
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
0.00000000
AUD
-179.93000000
AUD
10400000.00000000
AUD
21655.26000000
N
N
N
Caterpillar Inc
WRJR7GS4GTRECRRTVX92
Caterpillar Inc
149123CE9
300000.00000000
PA
USD
413758.47000000
0.250067806514
Long
DBT
CORP
US
N
2
2064-05-15
Fixed
4.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
84.56000000
0.000051106467
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4882449.00000000
THB
162078.91000000
USD
2021-04-16
84.56000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-38137.21000000
-0.02304940960
N/A
DFE
MX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
692435.10000000
USD
13761109.00000000
MXN
2021-04-21
-38137.21000000
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CN8
400000.00000000
PA
USD
433582.12000000
0.262048846256
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
2.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP -0.03 %
000000000
256890000.00000000
OU
Notional Amount
-32878.31000000
-0.01987102974
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
49814.41000000
SEK
0.00000000
SEK
256890000.00000000
SEK
-38751.32000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
3128.65000000
0.001890896983
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6241690.00000000
PHP
130000.00000000
USD
2021-04-21
3128.65000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-15087.17000000
-0.00911840066
N/A
DFE
ID
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
501820.62000000
USD
7080689000.00000000
IDR
2021-05-11
-15087.17000000
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
2725000000.00000000
PA
25566526.98000000
15.45192614930
Long
STIV
NUSS
JP
N
2
2021-04-05
None
0.00000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAQ4
200000.00000000
PA
USD
211001.61000000
0.127525388867
Long
DBT
CORP
US
N
2
2024-09-12
Fixed
2.45000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
400000.00000000
PA
USD
436653.90000000
0.263905372086
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.38000000
N
N
N
N
N
N
MOSAIC CO
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945CAE3
350000.00000000
PA
USD
451564.26000000
0.272916912126
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.25 %
000000000
2040000.00000000
OU
Notional Amount
73169.40000000
0.044222203746
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
EUR
-1140.25000000
EUR
2040000.00000000
EUR
74550.30000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-13411.44000000
-0.00810562109
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1020000.00000000
USD
8493718.40000000
SEK
2021-05-05
-13411.44000000
N
N
N
ESTEE LAUDER CO INC
549300VFZ8XJ9NUPU221
Estee Lauder Cos Inc/The
29736RAQ3
400000.00000000
PA
USD
423826.37000000
0.256152655168
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.60000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KAV2
400000.00000000
PA
USD
432000.00000000
0.261092642802
Long
DBT
CORP
US
N
2
2077-12-01
Fixed
4.80000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-10070.87000000
-0.00608664366
N/A
DFE
RU
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
814352.49000000
USD
60545072.00000000
RUB
2021-05-12
-10070.87000000
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EUQ0
400000.00000000
PA
USD
409980.51000000
0.247784478827
Long
DBT
CORP
US
N
2
2022-01-10
Fixed
3.20000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
269264.94000000
0.162738645367
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
10684287.00000000
CHF
12028603.76000000
USD
2021-04-13
269264.94000000
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CB3
400000.00000000
PA
USD
436674.42000000
0.263917773986
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
3.96000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
350000.00000000
PA
USD
407280.98000000
0.246152933869
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.33000000
N
N
N
N
N
N
International Paper Co
824LMFJDH41EY779Q875
International Paper Co
460146CK7
350000.00000000
PA
USD
434336.53000000
0.262504797415
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.80000000
N
N
N
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
1707994.66000000
NS
USD
1707994.66000000
1.032279721464
Long
STIV
RF
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
461.15000000
0.000278710352
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
17897442.00000000
HUF
60000.00000000
USD
2021-04-13
461.15000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032639
1700000.00000000
PA
USD
1800917.63000000
1.088440609923
Long
ABS-MBS
USGA
US
N
2
2051-03-18
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
7249.49000000
0.004381454868
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
65312158.00000000
JPY
620000.00000000
USD
2021-03-09
7249.49000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.95 %
000000000
15000000.00000000
OU
Notional Amount
121723.28000000
0.073567252004
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
130014.17000000
AUD
0.00000000
AUD
15000000.00000000
AUD
19408.65000000
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ER5
350000.00000000
PA
USD
402555.65000000
0.243297033642
Long
DBT
CORP
US
N
2
2067-09-15
Fixed
4.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.69 %
000000000
410000.00000000
OU
Notional Amount
17624.66000000
0.010652011708
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
GBP
-69.24000000
GBP
410000.00000000
GBP
17719.81000000
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718EB1
400000.00000000
PA
USD
428842.92000000
0.259184563264
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
3.10000000
N
N
N
N
N
N
Bunge Ltd Finance Corp
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AX8
350000.00000000
PA
USD
378781.64000000
0.228928470909
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.23 %
000000000
1730000.00000000
OU
Notional Amount
61442.30000000
0.037134565941
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CHF
0.00000000
CHF
1730000.00000000
CHF
61442.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 1.1 %
000000000
9000000.00000000
OU
Notional Amount
-546849.20000000
-0.33050533065
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
NZD
-36734.22000000
NZD
9000000.00000000
NZD
-520283.01000000
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAH0
450000.00000000
PA
USD
443606.99000000
0.268107688391
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.45000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.02 %
000000000
31420000.00000000
OU
Notional Amount
147275.10000000
0.089010289532
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
7837.65000000
EUR
0.00000000
EUR
31420000.00000000
EUR
137750.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.543 %
000000000
920000.00000000
OU
Notional Amount
51695.21000000
0.031243608794
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
GBP
-2418.31000000
GBP
920000.00000000
GBP
54998.38000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-601.46000000
-0.00036351106
N/A
DFE
SG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
140000.00000000
USD
185899.00000000
SGD
2021-04-15
-601.46000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
927541.38000000
0.560588495864
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2725000000.00000000
JPY
26501878.47000000
USD
2021-04-05
927541.38000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AC5
400000.00000000
PA
USD
438336.80000000
0.264922485068
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
3.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN21 XCBT 20210621
000000000
37.00000000
NC
USD
-49500.60000000
-0.02991722794
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYM1 Comdty
2021-06-21
4960094.35000000
USD
-49500.60000000
N
N
N
UNITED PARCEL SERVICE
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312BX3
400000.00000000
PA
USD
445818.55000000
0.269444313495
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.90000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAE0
350000.00000000
PA
USD
452284.12000000
0.273351981918
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.32000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
188.54000000
0.000113950015
N/A
DFE
CO
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
102691.26000000
USD
375952700.00000000
COP
2021-04-30
188.54000000
N
N
N
Bunge Ltd Finance Corp
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568AZ3
400000.00000000
PA
USD
447267.03000000
0.270319747456
Long
DBT
CORP
US
N
2
2027-09-25
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
3649.57000000
0.002205731195
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
730245.00000000
SGD
551232.31000000
USD
2021-04-15
3649.57000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAC9
400000.00000000
PA
USD
474257.74000000
0.286632422931
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.10000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CF7
400000.00000000
PA
USD
447598.88000000
0.270520311330
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
4.13000000
N
N
N
N
N
N
MOSAIC CO
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945CAD5
350000.00000000
PA
USD
433385.46000000
0.261929988666
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
5.45000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 1.519 %
000000000
970000.00000000
OU
Notional Amount
USD
1154.86000000
0.000697975577
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
USD
0.00000000
USD
970000.00000000
USD
1154.86000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-7586.04000000
-0.00458485933
N/A
DFE
CZ
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
386201.31000000
USD
8211026.00000000
CZK
2021-05-17
-7586.04000000
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BA7
400000.00000000
PA
USD
409274.78000000
0.247357948941
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
2.55000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-42426.36000000
-0.02564169087
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
8106482.63000000
USD
6679000.00000000
EUR
2021-03-31
-42426.36000000
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAD7
350000.00000000
PA
USD
406102.42000000
0.245440634459
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.0545 %
000000000
570000.00000000
OU
Notional Amount
-87.51000000
-0.00005288939
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
EUR
0.00000000
EUR
570000.00000000
EUR
-87.51000000
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AW5
350000.00000000
PA
USD
457336.83000000
0.276405744434
Long
DBT
CORP
CA
N
2
2041-07-15
Fixed
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 0.207 %
000000000
4800000.00000000
OU
Notional Amount
USD
7902.92000000
0.004776375621
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-15
1898.97000000
USD
0.00000000
USD
4800000.00000000
USD
6003.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP 1.5115 %
000000000
850000.00000000
OU
Notional Amount
USD
1620.00000000
0.000979097410
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
USD
0.00000000
USD
850000.00000000
USD
1620.00000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
12823.33000000
0.007750178516
N/A
DFE
ZA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
993736.13000000
USD
15342789.00000000
ZAR
2021-04-30
12823.33000000
N
N
N
iShares Core S&P 500 ETF
5493007M4YMN8XL48C14
iShares Core S&P 500 ETF
464287200
76000.00000000
NS
USD
29014520.00000000
17.53582802420
Long
EC
RF
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
5173.00000000
0.003126463521
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
367817.27000000
CHF
410000.00000000
USD
2021-04-13
5173.00000000
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
Ares Capital Corp
04010LBA0
350000.00000000
PA
USD
345694.85000000
0.208931439791
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
2.15000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BD4
400000.00000000
PA
USD
461866.90000000
0.279143633204
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833CM0
400000.00000000
PA
USD
408028.48000000
0.246604708754
Long
DBT
CORP
US
N
2
2022-02-09
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.245 %
000000000
690000.00000000
OU
Notional Amount
25658.82000000
0.015507706307
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CHF
0.00000000
CHF
690000.00000000
CHF
25658.82000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-19652.81000000
-0.01187778727
N/A
DFE
SE
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
5227472.28000000
USD
43944223.00000000
SEK
2021-05-05
-19652.81000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.55 %
000000000
10260000.00000000
OU
Notional Amount
-22623.49000000
-0.01367321017
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-15
0.00000000
EUR
-2099.34000000
EUR
10260000.00000000
EUR
-20082.34000000
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26614NAA0
450000.00000000
PA
USD
452216.69000000
0.273311228499
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
2.17000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
85677.29000000
0.051781736283
N/A
DFE
CA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
10013258.66000000
USD
12850896.00000000
CAD
2021-05-03
85677.29000000
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAH5
400000.00000000
PA
USD
453183.08000000
0.273895296367
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
17854.80000000
0.010791103978
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
7649210.07000000
NOK
900000.00000000
USD
2021-04-19
17854.80000000
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
400000.00000000
PA
USD
466961.48000000
0.282222701158
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.13000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAS8
300000.00000000
PA
USD
339674.18000000
0.205292660528
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
5.38000000
N
N
N
N
N
N
Synchrony Bank
549300UATVPGSLE43Z27
Synchrony Bank
87166FAA1
150000.00000000
PA
USD
154454.04000000
0.093349105312
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP -0.19 %
000000000
690000.00000000
OU
Notional Amount
21431.39000000
0.012952727439
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
CHF
0.00000000
CHF
690000.00000000
CHF
21431.39000000
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
12594KAA0
350000.00000000
PA
USD
382267.91000000
0.231035506668
Long
DBT
CORP
NL
N
2
2023-08-15
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
6190.55000000
0.003741451527
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2563581.61000000
SEK
310000.00000000
USD
2021-05-05
6190.55000000
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAF7
300000.00000000
PA
USD
400170.49000000
0.241855487976
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
5.42000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP 0.18 %
000000000
2010000.00000000
OU
Notional Amount
-5337.14000000
-0.00322566663
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-15
25.97000000
GBP
0.00000000
GBP
2010000.00000000
GBP
-5372.83000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJM2
400000.00000000
PA
USD
381801.45000000
0.230753587052
Long
DBT
CORP
US
N
2
2051-10-24
Fixed
2.83000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617482V92
300000.00000000
PA
USD
455139.39000000
0.275077653191
Long
DBT
CORP
US
N
2
2042-07-24
Fixed
6.38000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BB5
400000.00000000
PA
USD
431028.04000000
0.260505208531
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
2.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 0.52 %
000000000
3100000.00000000
OU
Notional Amount
-7441.40000000
-0.00449744164
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-13
0.00000000
CAD
0.00000000
CAD
3100000.00000000
CAD
-7441.40000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-9302.80000000
-0.00562243666
N/A
DFE
NO
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
560000.00000000
USD
4775176.00000000
NOK
2021-04-19
-9302.80000000
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AM5
350000.00000000
PA
USD
383165.47000000
0.231577974984
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.38000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-2619.04000000
-0.00158289832
N/A
DFE
ID
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
110000.00000000
USD
1562110000.00000000
IDR
2021-05-11
-2619.04000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-85371.61000000
-0.05159698906
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
11491000.00000000
AUD
8758267.84000000
USD
2021-05-10
-85371.61000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-98185.84000000
-0.05934166771
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
8927307.26000000
USD
941082808.00000000
JPY
2021-03-09
-98185.84000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
4820.48000000
0.002913407089
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
702351.00000000
BRL
130000.00000000
USD
2021-04-05
4820.48000000
N
N
N
GMO US Treasury Fund
0NIBQB0NDRTFX04R2J69
GMO US Treasury Fund
362013369
3298700.89800000
NS
USD
16625452.52000000
10.04810957463
Long
STIV
RF
US
N
1
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030637
10900000.00000000
PA
USD
11407531.25000000
6.894496485924
Long
ABS-MBS
USGSE
US
N
2
2051-03-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.031 %
000000000
670000.00000000
OU
Notional Amount
6928.37000000
0.004187376003
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
EUR
0.00000000
EUR
670000.00000000
EUR
6928.37000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-4904.82000000
-0.00296438059
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
130000.00000000
USD
701877.80000000
BRL
2021-04-05
-4904.82000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.013 %
000000000
1200000.00000000
OU
Notional Amount
-72038.00000000
-0.04353840694
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
AUD
0.00000000
AUD
1200000.00000000
AUD
-72038.00000000
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BL0
350000.00000000
PA
USD
448412.20000000
0.271011866581
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
5.95000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
297.63000000
0.000179881952
N/A
DFE
PE
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
285391.67000000
USD
1042336.00000000
PEN
2021-05-24
297.63000000
N
N
N
2021-03-25
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer