0001752724-23-090066.txt : 20230427
0001752724-23-090066.hdr.sgml : 20230427
20230427134327
ACCESSION NUMBER: 0001752724-23-090066
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230228
FILED AS OF DATE: 20230427
DATE AS OF CHANGE: 20230427
PERIOD START: 20230228
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: 23854821
BUSINESS ADDRESS:
STREET 1: 53 STATE STREET
STREET 2: FLOOR 33
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 53 STATE STREET
STREET 2: FLOOR 33
CITY: BOSTON
STATE: MA
ZIP: 02109
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
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02110
617-346-7646
GMO Multi-Sector Fixed Income Fund
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2023-02-28
2023-02-28
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17073317.03
103880455.01
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LBUSTRUU
LCH Limited
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000000000
2000000.00000000
OU
Notional Amount
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-0.02521729424
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
USD
0.00000000
USD
2000000.00000000
USD
-26195.84000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN23
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24.00000000
NC
USD
-1533.36000000
-0.00147608132
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT U.S. Long Bond Futures
USM3 Comdty
2023-06-21
3006783.36000000
USD
-1533.36000000
N
N
N
MORGAN STANLEY
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Morgan Stanley
6174468P7
150000.00000000
PA
USD
132820.67000000
0.127859153088
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.472500 15-MAR-2033_
000000000
1400000.00000000
OU
Notional Amount
15249.15000000
0.014679517911
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
NZD
0.00000000
NZD
1400000.00000000
NZD
15249.15000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.352000 15-MAR-2033_
000000000
1700000.00000000
OU
Notional Amount
11502.50000000
0.011072824044
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
1700000.00000000
AUD
11502.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.171000 15-MAR-2025_
000000000
3000000.00000000
OU
Notional Amount
27873.50000000
0.026832285242
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
GBP
0.00000000
GBP
3000000.00000000
GBP
27873.50000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-8468.30000000
-0.00815196660
N/A
DFE
BR
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
455050.15000000
USD
2363667.00000000
BRL
2023-05-03
-8468.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.073000 15-MAR-2033_
000000000
1900000.00000000
OU
Notional Amount
USD
-89138.90000000
-0.08580911586
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
1900000.00000000
USD
-89138.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 3.700500 15-MAR-2025_
000000000
14859000.00000000
OU
Notional Amount
87611.79000000
0.084339051067
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
AUD
-4214.88000000
AUD
14859000.00000000
AUD
90447.77000000
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BJ1
150000.00000000
PA
USD
132077.58000000
0.127143821219
Long
DBT
CORP
US
N
2
2036-09-01
Fixed
4.00000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
200000.00000000
PA
USD
172329.66000000
0.165892284533
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.192500 15-MAR-2033_
000000000
1100000.00000000
OU
Notional Amount
-16936.54000000
-0.01630387544
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
1100000.00000000
AUD
-16936.54000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.159000 15-MAR-2033_
000000000
1100000.00000000
OU
Notional Amount
USD
-43805.10000000
-0.04216876023
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
-43805.10000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-11126.85000000
-0.01071120645
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1081259.24000000
USD
1010000.00000000
EUR
2023-03-31
-11126.85000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
806.43000000
0.000776305802
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
350000.00000000
ILS
96950.95000000
USD
2023-05-31
806.43000000
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAG2
200000.00000000
PA
USD
197533.22000000
0.190154365401
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.588500 15-MAR-2033_
000000000
6000000.00000000
OU
Notional Amount
-33521.29000000
-0.03226910201
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
0.00000000
SEK
6000000.00000000
SEK
-33521.29000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.048000 15-MAR-2033_
000000000
800000.00000000
OU
Notional Amount
18572.70000000
0.017878916681
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
800000.00000000
AUD
18572.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.540000 15-MAR-2025_
000000000
3000000.00000000
OU
Notional Amount
USD
-19690.06000000
-0.01895453769
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
-19690.06000000
N
N
N
MEAD JOHNSON NUTRITION C
E4BJRFT3MF4GJDY1SC50
Mead Johnson Nutrition Co
582839AH9
250000.00000000
PA
USD
242809.86000000
0.233739696246
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-148591.08000000
-0.14304045932
N/A
DFE
NO
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3255217.65000000
USD
32185429.00000000
NOK
2023-04-17
-148591.08000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-907.47000000
-0.00087357145
N/A
DFE
KR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
12886.58000000
USD
15778325.00000000
KRW
2023-05-08
-907.47000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBY0
200000.00000000
PA
USD
195988.17000000
0.188667030752
Long
DBT
CORP
GB
N
2
2028-08-09
Fixed
5.50000000
N
N
N
N
N
N
ELI LILLY & CO
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457BU1
150000.00000000
PA
USD
131283.50000000
0.126379404082
Long
DBT
CORP
US
N
2
2059-03-15
Fixed
4.15000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CD9
200000.00000000
PA
USD
166916.18000000
0.160681025110
Long
DBT
CORP
DE
N
2
2031-09-18
Fixed
3.55000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
11.65000000
0.000011214814
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
550000.00000000
PLN
122977.57000000
USD
2023-05-22
11.65000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
-1249.51000000
-0.00120283454
N/A
DFE
PH
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
136224.93000000
USD
7500000.00000000
PHP
2023-04-28
-1249.51000000
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BT8
150000.00000000
PA
USD
145477.85000000
0.140043524054
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.15000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-3511.40000000
-0.00338023163
N/A
DFE
ID
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
179938.62000000
USD
2694041000.00000000
IDR
2023-05-08
-3511.40000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
80743.55000000
0.077727374213
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1920000000.00000000
JPY
14231586.61000000
USD
2023-03-27
80743.55000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 3.626500 15-MAR-2025_
000000000
3500000.00000000
OU
Notional Amount
-25308.33000000
-0.02436293718
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
AUD
0.00000000
AUD
3500000.00000000
AUD
-25308.33000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.587500 15-MAR-2033_
000000000
2200000.00000000
OU
Notional Amount
-11539.88000000
-0.01110880771
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
NZD
0.00000000
NZD
2200000.00000000
NZD
-11539.88000000
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351AN9
150000.00000000
PA
USD
137332.65000000
0.132202588048
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.90000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
588.85000000
0.000566853504
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
160000000.00000000
KRW
122062.91000000
USD
2023-05-08
588.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.270000 15-MAR-2033_
000000000
1000000.00000000
OU
Notional Amount
20835.60000000
0.020057286039
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
NZD
0.00000000
NZD
1000000.00000000
NZD
20835.60000000
N
N
N
Marathon Oil Corp
1FRVQX2CRLGC1XLP5727
Marathon Oil Corp
565849AM8
100000.00000000
PA
USD
84251.80000000
0.081104573513
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.822500 15-MAR-2033_
000000000
300000.00000000
OU
Notional Amount
-1255.97000000
-0.00120905323
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
300000.00000000
CAD
-1255.97000000
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523BK5
250000.00000000
PA
USD
191045.16000000
0.183908666920
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
3.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.614500 21-JUN-2025_
000000000
1500000.00000000
OU
Notional Amount
747.33000000
0.000719413483
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-23
0.00000000
EUR
0.00000000
EUR
1500000.00000000
EUR
747.33000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.555000 15-MAR-2033_
000000000
800000.00000000
OU
Notional Amount
-9774.76000000
-0.00940962378
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
800000.00000000
CAD
-9774.76000000
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BT5
150000.00000000
PA
USD
117331.88000000
0.112948946930
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.628000 15-MAR-2033_
000000000
5000000.00000000
OU
Notional Amount
-26350.09000000
-0.02536578223
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
0.00000000
SEK
5000000.00000000
SEK
-26350.09000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.237000 15-MAR-2033_
000000000
1600000.00000000
OU
Notional Amount
-20782.27000000
-0.02000594818
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
1600000.00000000
AUD
-20782.27000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.461000 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
USD
10441.89000000
0.010051833137
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
700000.00000000
USD
10441.89000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-2499.67000000
-0.00240629481
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
87520.88000000
USD
450000.00000000
BRL
2023-05-03
-2499.67000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.999000 15-MAR-2025_
000000000
2500000.00000000
OU
Notional Amount
-23801.01000000
-0.02291192313
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
CAD
0.00000000
CAD
2500000.00000000
CAD
-23801.01000000
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KB6
150000.00000000
PA
USD
127198.80000000
0.122447288075
Long
DBT
CORP
US
N
2
2039-05-15
Fixed
4.15000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
337.87000000
0.000325248864
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
400000.00000000
BRL
75912.28000000
USD
2023-05-03
337.87000000
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YAT6
250000.00000000
PA
USD
233219.01000000
0.224507112504
Long
DBT
CORP
JP
N
2
2029-09-11
Fixed
4.25000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAQ7
400000.00000000
PA
USD
337543.37000000
0.324934435421
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72000000
N
N
N
N
N
N
Mylan Inc
30ZMPDNA1RHIBH89C294
Mylan Inc
628530BJ5
300000.00000000
PA
USD
229119.43000000
0.220560672340
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
5.20000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBV2
150000.00000000
PA
USD
130474.33000000
0.125600460632
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.93000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
7805.39000000
0.007513819610
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
570000.00000000
CAD
425659.34000000
USD
2023-04-03
7805.39000000
N
N
N
DICK'S SPORTING GOODS
529900SSBV5I4LWSK313
Dick's Sporting Goods Inc
253393AF9
200000.00000000
PA
USD
157967.13000000
0.152066266926
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.512500 21-JUN-2033_
000000000
1100000.00000000
OU
Notional Amount
337.74000000
0.000325123720
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-06-21
0.00000000
AUD
0.00000000
AUD
1100000.00000000
AUD
337.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.562500 15-MAR-2033_
000000000
500000.00000000
OU
Notional Amount
-8929.74000000
-0.00859616950
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
500000.00000000
GBP
-8929.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.284500 15-MAR-2033_
000000000
14000000.00000000
OU
Notional Amount
-51.17000000
-0.00004925854
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
0.00000000
SEK
14000000.00000000
SEK
-51.17000000
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCT5
200000.00000000
PA
USD
199560.90000000
0.192106301402
Long
DBT
CORP
JP
N
2
2026-01-13
Fixed
5.46000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-37650.71000000
-0.03624426750
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
4773781.20000000
USD
4470000.00000000
EUR
2023-03-31
-37650.71000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AQ2
250000.00000000
PA
USD
214375.31000000
0.206367319029
Long
DBT
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523AK6
150000.00000000
PA
USD
134909.84000000
0.129870282130
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
N
N
N
N
N
N
GMO Opportunistic Income Fund
5493000NQRD0885G4P95
GMO Opportunistic Income Fund
362013112
974867.37100000
NS
USD
23494303.64000000
22.61667378886
Long
EC
RF
US
N
1
N
N
N
Cardinal Health Inc
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBH0
200000.00000000
PA
USD
193673.47000000
0.186438796385
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.08000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.164500 15-MAR-2033_
000000000
600000.00000000
OU
Notional Amount
34079.63000000
0.032806585220
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
600000.00000000
GBP
34079.63000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.227000 15-MAR-2033_
000000000
600000.00000000
OU
Notional Amount
19400.23000000
0.018675534293
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
600000.00000000
CAD
19400.23000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.304000 15-MAR-2033_
000000000
1100000.00000000
OU
Notional Amount
-30372.69000000
-0.02923811798
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
1100000.00000000
CAD
-30372.69000000
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
250000.00000000
PA
USD
230394.72000000
0.221788323874
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
Willis North America Inc
5493004KVU1HWZCP0C66
Willis North America Inc
970648AG6
150000.00000000
PA
USD
142241.26000000
0.136927836893
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.50000000
N
N
N
N
N
N
BLOCK FINANCIAL LLC
N/A
Block Financial LLC
093662AH7
250000.00000000
PA
USD
219036.69000000
0.210854573152
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.221500 15-MAR-2033_
000000000
1200000.00000000
OU
Notional Amount
USD
41602.16000000
0.040048111067
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
1200000.00000000
USD
41602.16000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1462.25000000
0.001407627642
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1260000.00000000
GBP
1517567.94000000
USD
2023-03-21
1462.25000000
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CD1
150000.00000000
PA
USD
119631.54000000
0.115162703117
Long
DBT
CORP
CA
N
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAR0
300000.00000000
PA
USD
278459.35000000
0.268057499337
Long
DBT
CORP
US
N
2
2035-05-14
Fixed
4.50000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AE7
350000.00000000
PA
USD
320217.12000000
0.308255407592
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.50000000
N
N
N
N
N
N
ATHENE HOLDING LTD
549300H316CT32FQXI76
Athene Holding Ltd
04686JAB7
200000.00000000
PA
USD
201907.30000000
0.194365051616
Long
DBT
CORP
BM
N
2
2030-04-03
Fixed
6.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.725500 15-MAR-2033_
000000000
1000000.00000000
OU
Notional Amount
-21950.78000000
-0.02113080848
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
0.00000000
CHF
1000000.00000000
CHF
-21950.78000000
N
N
N
CORNING INC
549300X2937PB0CJ7I56
Corning Inc
219350BQ7
350000.00000000
PA
USD
310126.68000000
0.298541896038
Long
DBT
CORP
US
N
2
2079-11-15
Fixed
5.45000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HH3
150000.00000000
PA
USD
117463.92000000
0.113076054575
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCG8
150000.00000000
PA
USD
119150.27000000
0.114699410960
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.45000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.322000 15-MAR-2033_
000000000
1700000.00000000
OU
Notional Amount
-45063.00000000
-0.04337967136
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
1700000.00000000
CAD
-45063.00000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BJ9
200000.00000000
PA
USD
198921.12000000
0.191490420388
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.52000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
250000.00000000
PA
USD
243807.50000000
0.234700069398
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
ARCH CAPITAL GRP US INC
549300B4QKQFLY1XST28
Arch Capital Group US Inc
03938JAA7
150000.00000000
PA
USD
136355.46000000
0.131261900986
Long
DBT
CORP
US
N
2
2043-11-01
Fixed
5.14000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.819000 15-MAR-2033_
000000000
900000.00000000
OU
Notional Amount
15001.59000000
0.014441205517
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
900000.00000000
EUR
15001.59000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.437000 15-MAR-2033_
000000000
600000.00000000
OU
Notional Amount
USD
10137.76000000
0.009759063915
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
600000.00000000
USD
10137.76000000
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172BL2
150000.00000000
PA
USD
119655.14000000
0.115185421539
Long
DBT
CORP
US
N
2
2044-11-10
Fixed
4.25000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN23
000000000
133.00000000
NC
USD
-14704.35000000
-0.01415506891
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVM3 Comdty
2023-06-30
14252977.85000000
USD
-14704.35000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACA1
150000.00000000
PA
USD
128738.06000000
0.123929049008
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.175200 15-MAR-2033_
000000000
2844000.00000000
OU
Notional Amount
-100991.75000000
-0.09721920258
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
-7774.91000000
CAD
2844000.00000000
CAD
-95295.85000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
150000.00000000
PA
USD
146696.41000000
0.141216564738
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.052000 15-MAR-2033_
000000000
1230000.00000000
OU
Notional Amount
USD
-59835.90000000
-0.05760072960
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
1230000.00000000
USD
-59835.90000000
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109BZ3
150000.00000000
PA
USD
122970.35000000
0.118376791849
Long
DBT
CORP
CA
N
2
2042-03-15
Fixed
4.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BG5
200000.00000000
PA
USD
191176.63000000
0.184035225858
Long
DBT
CORP
GB
N
2
2029-05-18
Fixed
4.89000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.161200 15-MAR-2033_
000000000
1304000.00000000
OU
Notional Amount
USD
46901.41000000
0.045149407552
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
-2395.48000000
USD
1304000.00000000
USD
49296.89000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
200000.00000000
PA
USD
160047.57000000
0.154068992078
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.231000 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
USD
23719.50000000
0.022833457937
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
700000.00000000
USD
23719.50000000
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BN9
150000.00000000
PA
USD
107220.68000000
0.103215450865
Long
DBT
US
N
2
2033-04-15
Fixed
3.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.172000 15-MAR-2033_
000000000
1700000.00000000
OU
Notional Amount
60701.40000000
0.058433898844
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
1700000.00000000
CAD
60701.40000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
20962.07000000
0.020179031751
N/A
DFE
MX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
824805.77000000
USD
15619101.00000000
MXN
2023-04-20
20962.07000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
5211.75000000
0.005017065047
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1820000.00000000
NZD
1130483.90000000
USD
2023-05-31
5211.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.440500 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
-20857.07000000
-0.02007795402
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
700000.00000000
GBP
-20857.07000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-1787.78000000
-0.00172099746
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
146038.70000000
USD
120000000.00000000
CLP
2023-04-10
-1787.78000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.970000 15-MAR-2025_
000000000
25000000.00000000
OU
Notional Amount
41479.52000000
0.039930052285
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
SEK
0.00000000
SEK
25000000.00000000
SEK
41479.52000000
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AW6
250000.00000000
PA
USD
246836.37000000
0.237615795941
Long
DBT
CORP
JP
N
2
2028-11-26
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.362000 15-MAR-2033_
000000000
900000.00000000
OU
Notional Amount
33728.56000000
0.032468629442
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
900000.00000000
GBP
33728.56000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
2215.71000000
0.002132942139
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
520000000.00000000
COP
108378.49000000
USD
2023-04-11
2215.71000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-1158.18000000
-0.00111491617
N/A
DFE
CZ
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
117889.13000000
USD
2600000.00000000
CZK
2023-04-17
-1158.18000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.808000 15-MAR-2033_
000000000
400000.00000000
OU
Notional Amount
5574.24000000
0.005366014231
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
0.00000000
CHF
400000.00000000
CHF
5574.24000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.770000 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
-1709.49000000
-0.00164563199
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
700000.00000000
GBP
-1709.49000000
N
N
N
VERISIGN INC
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAM4
150000.00000000
PA
USD
121112.33000000
0.116588178198
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.70000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022436
6200000.00000000
PA
USD
5653625.00000000
5.442433804757
Long
ABS-MBS
USGSE
US
N
2
2038-03-15
Fixed
2.50000000
N
N
N
N
N
N
RELX Capital Inc
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAC6
150000.00000000
PA
USD
138872.39000000
0.133684811051
Long
DBT
CORP
US
N
2
2029-03-18
Fixed
4.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-20351.54000000
-0.01959130810
N/A
DFE
NO
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
416094.87000000
USD
4100000.00000000
NOK
2023-04-17
-20351.54000000
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
902200000.00000000
PA
6628210.04000000
6.380613214836
Long
STIV
NUSS
JP
N
2
2023-05-15
None
0.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
425354.69000000
0.409465563044
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
902200000.00000000
JPY
7121934.19000000
USD
2023-05-15
425354.69000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
-288.66000000
-0.00027787710
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
15642868.00000000
CZK
702021.67000000
USD
2023-04-17
-288.66000000
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAJ6
250000.00000000
PA
USD
234369.00000000
0.225614144621
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.591000 15-MAR-2033_
000000000
2000000.00000000
OU
Notional Amount
USD
8391.88000000
0.008078401273
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
2000000.00000000
USD
8391.88000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
200000.00000000
PA
USD
190403.77000000
0.183291236047
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.71000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
6001.81000000
0.005777612352
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
210700.93000000
USD
180271500.00000000
CLP
2023-04-10
6001.81000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
21321.71000000
0.020525237397
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
23445600.00000000
TWD
785468.29000000
USD
2023-03-08
21321.71000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.965500 15-MAR-2025_
000000000
5500000.00000000
OU
Notional Amount
-68791.37000000
-0.06622166796
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
EUR
0.00000000
EUR
5500000.00000000
EUR
-68791.37000000
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBD0
150000.00000000
PA
USD
136456.35000000
0.131359022240
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.25000000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAK7
200000.00000000
PA
USD
198556.98000000
0.191139882840
Long
DBT
CORP
ES
N
2
2026-09-14
Fixed
5.86000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.131500 15-MAR-2025_
000000000
20000000.00000000
OU
Notional Amount
-27329.90000000
-0.02630899142
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
SEK
0.00000000
SEK
20000000.00000000
SEK
-27329.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.988800 15-MAR-2025_
000000000
12828000.00000000
OU
Notional Amount
111955.75000000
0.107773642297
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
CAD
-8183.93000000
CAD
12828000.00000000
CAD
117951.30000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACX1
250000.00000000
PA
USD
245124.52000000
0.235967892108
Long
DBT
CORP
US
N
2
2062-09-15
Fixed
5.80000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAS0
200000.00000000
PA
USD
189840.08000000
0.182748602691
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CEL1
3900000.00000000
PA
USD
3894092.67000000
3.748628815329
Long
DBT
UST
US
N
1
2024-04-30
Floating
4.73000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN23
000000000
28.00000000
NC
USD
-11383.45000000
-0.01095822115
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUM3 Comdty
2023-06-30
5715727.19000000
USD
-11383.45000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.447000 15-MAR-2033_
000000000
400000.00000000
OU
Notional Amount
20183.73000000
0.019429766646
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
400000.00000000
EUR
20183.73000000
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAZ9
150000.00000000
PA
USD
124687.77000000
0.120030057615
Long
DBT
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351AP4
250000.00000000
PA
USD
213750.62000000
0.205765964328
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.15000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
500000.00000000
PA
USD
447996.76000000
0.431261838386
Long
DBT
CORP
GB
N
2
2030-05-22
Fixed
3.97000000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAL5
200000.00000000
PA
USD
202617.51000000
0.195048731718
Long
DBT
CORP
ES
N
2
2028-09-14
Fixed
6.14000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-871.01000000
-0.00083847341
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
280000.00000000
PEN
72557.66000000
USD
2023-05-10
-871.01000000
N
N
N
AMCOR FINANCE USA INC
549300ZMT7FVT8R77U18
Amcor Finance USA Inc
02343UAG0
150000.00000000
PA
USD
141576.93000000
0.136288322944
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
3.63000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
12081.23000000
0.011629935582
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1536203.00000000
ILS
432940.56000000
USD
2023-03-31
12081.23000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
5625.53000000
0.005415388293
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
870686.00000000
SGD
652756.66000000
USD
2023-05-22
5625.53000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
200000.00000000
PA
USD
167320.24000000
0.161069991447
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.38000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-207.41000000
-0.00019966219
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
360000000.00000000
COP
73289.90000000
USD
2023-04-11
-207.41000000
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAY2
200000.00000000
PA
USD
170210.00000000
0.163851804445
Long
DBT
US
N
2
2029-12-15
Fixed
3.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.128800 15-MAR-2033_
000000000
1109000.00000000
OU
Notional Amount
USD
-46925.56000000
-0.04517265542
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
-5044.34000000
USD
1109000.00000000
USD
-41881.22000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.395000 15-MAR-2033_
000000000
900000.00000000
OU
Notional Amount
USD
18323.99000000
0.017639497245
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
900000.00000000
USD
18323.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.895000 15-MAR-2033_
000000000
900000.00000000
OU
Notional Amount
8788.42000000
0.008460128519
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
900000.00000000
EUR
8788.42000000
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFC3
150000.00000000
PA
USD
129523.16000000
0.124684821593
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
4.45000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.933000 15-MAR-2025_
000000000
1500000.00000000
OU
Notional Amount
-19755.37000000
-0.01901740803
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
EUR
0.00000000
EUR
1500000.00000000
EUR
-19755.37000000
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAD5
150000.00000000
PA
USD
146376.91000000
0.140908999663
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.25000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AW9
200000.00000000
PA
USD
157940.84000000
0.152040958989
Long
DBT
CORP
US
N
2
2043-03-04
Fixed
4.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.618000 15-MAR-2033_
000000000
800000.00000000
OU
Notional Amount
6683.88000000
0.006434203623
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
800000.00000000
CAD
6683.88000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAS2
250000.00000000
PA
USD
231345.65000000
0.222703731878
Long
DBT
CORP
GB
N
2
2028-03-18
Fixed
3.75000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DG2
250000.00000000
PA
USD
200173.26000000
0.192695786691
Long
DBT
CORP
US
N
2
2062-02-22
Fixed
4.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.320500 15-MAR-2033_
000000000
900000.00000000
OU
Notional Amount
7623.60000000
0.007338820377
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
900000.00000000
AUD
7623.60000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-61173.32000000
-0.05888819027
N/A
DFE
CA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3504569.87000000
USD
4697182.00000000
CAD
2023-04-03
-61173.32000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-62.95000000
-0.00006059850
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
108251.14000000
USD
90000000.00000000
CLP
2023-04-10
-62.95000000
N
N
N
ELI LILLY & CO
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457BV9
100000.00000000
PA
USD
92825.56000000
0.089358060658
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.38000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BK/NY
549300E2IPL06NDXMZ63
National Australia Bank Ltd/New York
63254AAS7
250000.00000000
PA
USD
229760.84000000
0.221178122465
Long
DBT
CORP
AU
N
2
2026-07-12
Fixed
2.50000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AT6
200000.00000000
PA
USD
189442.64000000
0.182366009064
Long
DBT
CORP
GB
N
2
2028-08-16
Fixed
4.55000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.137600 15-MAR-2025_
000000000
4958000.00000000
OU
Notional Amount
USD
62859.35000000
0.060511238609
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
USD
-3653.44000000
USD
4958000.00000000
USD
66512.79000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CFD8
450000.00000000
PA
USD
449845.90000000
0.433041903750
Long
DBT
UST
US
N
1
2024-07-31
Floating
4.84000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.303500 15-MAR-2033_
000000000
1100000.00000000
OU
Notional Amount
USD
30696.55000000
0.029549880193
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
30696.55000000
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAH6
150000.00000000
PA
USD
121441.68000000
0.116905225326
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.883000 15-MAR-2033_
000000000
1400000.00000000
OU
Notional Amount
15196.91000000
0.014629229337
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
1400000.00000000
EUR
15196.91000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.223700 15-MAR-2033_
000000000
1214000.00000000
OU
Notional Amount
56057.50000000
0.053963471756
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
-2401.48000000
GBP
1214000.00000000
GBP
58990.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.591500 15-MAR-2033_
000000000
1200000.00000000
OU
Notional Amount
44800.27000000
0.043126755649
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
1200000.00000000
EUR
44800.27000000
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FS2
350000.00000000
PA
USD
255973.24000000
0.246411358109
Long
DBT
CORP
US
N
2
2071-04-06
Fixed
3.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 3.918500 15-MAR-2025_
000000000
4000000.00000000
OU
Notional Amount
-13881.50000000
-0.01336295648
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
AUD
0.00000000
AUD
4000000.00000000
AUD
-13881.50000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBP7
350000.00000000
PA
USD
231369.57000000
0.222726758347
Long
DBT
CORP
US
N
2
2061-02-04
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
21096.88000000
0.020308805923
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1410000.00000000
AUD
972138.60000000
USD
2023-05-09
21096.88000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.811000 15-MAR-2033_
000000000
8000000.00000000
OU
Notional Amount
-30416.12000000
-0.02927992565
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
0.00000000
SEK
8000000.00000000
SEK
-30416.12000000
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BR0
150000.00000000
PA
USD
143049.58000000
0.137705962094
Long
DBT
CORP
US
N
2
2030-03-30
Fixed
4.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.693000 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
19679.61000000
0.018944478052
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
700000.00000000
EUR
19679.61000000
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332AZ5
150000.00000000
PA
USD
137842.97000000
0.132693845042
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.00000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAJ6
200000.00000000
PA
USD
197992.66000000
0.190596643017
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.987000 15-MAR-2033_
000000000
500000.00000000
OU
Notional Amount
-1727.46000000
-0.00166293072
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
0.00000000
CHF
500000.00000000
CHF
-1727.46000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.182900 15-MAR-2025_
000000000
7988000.00000000
OU
Notional Amount
104769.41000000
0.100855748071
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
CHF
-853.13000000
CHF
7988000.00000000
CHF
105676.61000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD RON
000000000
1.00000000
NC
4173.95000000
0.004018032073
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2981041.00000000
RON
642855.19000000
USD
2023-04-27
4173.95000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KG1
250000.00000000
PA
USD
241606.04000000
0.232580844949
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
5.90000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.065000 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
-15607.19000000
-0.01502418332
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
700000.00000000
AUD
-15607.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.338500 15-MAR-2033_
000000000
1100000.00000000
OU
Notional Amount
-43752.94000000
-0.04211854866
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
1100000.00000000
GBP
-43752.94000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.172500 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
11535.34000000
0.011104437306
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
700000.00000000
AUD
11535.34000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.440000 15-MAR-2033_
000000000
800000.00000000
OU
Notional Amount
-15416.85000000
-0.01484095347
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
800000.00000000
CAD
-15416.85000000
N
N
N
UTAH ACQUISITION SUB
254900JOFV74IJ7H9933
Utah Acquisition Sub Inc
62854AAP9
300000.00000000
PA
USD
233430.45000000
0.224710654162
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.566000 15-MAR-2025_
000000000
1500000.00000000
OU
Notional Amount
-7930.31000000
-0.00763407322
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
CHF
0.00000000
CHF
1500000.00000000
CHF
-7930.31000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.191000 15-MAR-2025_
000000000
2500000.00000000
OU
Notional Amount
19773.15000000
0.019034523865
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
EUR
0.00000000
EUR
2500000.00000000
EUR
19773.15000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.049500 15-MAR-2025_
000000000
2000000.00000000
OU
Notional Amount
24059.12000000
0.023160391430
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
GBP
0.00000000
GBP
2000000.00000000
GBP
24059.12000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
159979.75000000
0.154003705494
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
5293976.00000000
CHF
5825910.78000000
USD
2023-05-16
159979.75000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
1467.66000000
0.001412835552
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2200000000.00000000
IDR
145541.15000000
USD
2023-05-08
1467.66000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 3.660000 15-MAR-2025_
000000000
4500000.00000000
OU
Notional Amount
30597.81000000
0.029454828626
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
AUD
0.00000000
AUD
4500000.00000000
AUD
30597.81000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
952.01000000
0.000916447660
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
350000.00000000
BRL
67079.62000000
USD
2023-05-03
952.01000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
451.90000000
0.000435019272
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
112909.72000000
USD
600000.00000000
BRL
2023-05-03
451.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.576500 15-MAR-2033_
000000000
500000.00000000
OU
Notional Amount
18213.35000000
0.017532990203
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
0.00000000
CHF
500000.00000000
CHF
18213.35000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAB1
250000.00000000
PA
USD
226423.23000000
0.217965188907
Long
DBT
CORP
IE
N
2
2027-07-21
Fixed
3.65000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-11061.21000000
-0.01064801843
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
12397350.00000000
SEK
1177459.18000000
USD
2023-05-08
-11061.21000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.135000 15-MAR-2033_
000000000
1700000.00000000
OU
Notional Amount
46689.65000000
0.044945557848
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
NZD
0.00000000
NZD
1700000.00000000
NZD
46689.65000000
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BM1
200000.00000000
PA
USD
157603.31000000
0.151716037424
Long
DBT
US
N
2
2031-02-01
Fixed
3.38000000
N
N
N
N
N
N
ALBEMARLE CORP
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp
012653AE1
250000.00000000
PA
USD
237626.18000000
0.228749652643
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.05000000
N
N
N
N
N
N
DICK'S SPORTING GOODS
529900SSBV5I4LWSK313
Dick's Sporting Goods Inc
253393AG7
200000.00000000
PA
USD
132782.45000000
0.127822360796
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
4.10000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEL2
50000.00000000
PA
USD
47059.40000000
0.045301495835
Long
DBT
CORP
US
N
2
2062-05-15
Fixed
4.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.032500 15-MAR-2033_
000000000
1200000.00000000
OU
Notional Amount
-28865.51000000
-0.02778723870
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
1200000.00000000
AUD
-28865.51000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BP5
250000.00000000
PA
USD
225562.22000000
0.217136341940
Long
DBT
CORP
GB
N
2
2028-05-22
Fixed
3.07000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.871200 15-MAR-2025_
000000000
2500000.00000000
OU
Notional Amount
10633.55000000
0.010236333676
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
NZD
-3095.13000000
NZD
2500000.00000000
NZD
12641.36000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.600000 15-MAR-2033_
000000000
6479000.00000000
OU
Notional Amount
-221216.30000000
-0.21295276380
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
0.00000000
CHF
6479000.00000000
CHF
-221216.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.192000 15-MAR-2033_
000000000
800000.00000000
OU
Notional Amount
USD
-29681.06000000
-0.02857232382
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
800000.00000000
USD
-29681.06000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBK6
300000.00000000
PA
USD
241529.23000000
0.232506904187
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
3.42000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.551000 15-MAR-2033_
000000000
900000.00000000
OU
Notional Amount
-35013.71000000
-0.03370577265
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
0.00000000
CHF
900000.00000000
CHF
-35013.71000000
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EN3
250000.00000000
PA
USD
241518.61000000
0.232496680898
Long
DBT
CORP
US
N
2
2062-09-15
Fixed
5.80000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CE2
300000.00000000
PA
USD
284744.81000000
0.274108165941
Long
DBT
CORP
JP
N
2
2028-04-19
Fixed
4.08000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.038500 21-JUN-2033_
000000000
300000.00000000
OU
Notional Amount
-992.37000000
-0.00095530001
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-06-21
0.00000000
EUR
0.00000000
EUR
300000.00000000
EUR
-992.37000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-1521.84000000
-0.00146499165
N/A
DFE
NZ
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
329210.98000000
USD
530000.00000000
NZD
2023-05-31
-1521.84000000
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAJ0
200000.00000000
PA
USD
179095.31000000
0.172405203637
Long
DBT
CORP
ES
N
2
2025-09-18
Fixed
1.13000000
N
N
N
N
N
N
CF Industries Inc
5FVKT86LAD2F40NPC183
CF Industries Inc
12527GAE3
300000.00000000
PA
USD
264645.84000000
0.254759993084
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.621000 15-MAR-2033_
000000000
4000000.00000000
OU
Notional Amount
21304.69000000
0.020508853179
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
0.00000000
SEK
4000000.00000000
SEK
21304.69000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
9949.36000000
0.009577701598
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
540000.00000000
AUD
374178.10000000
USD
2023-05-09
9949.36000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-2702.27000000
-0.00260132668
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
86848.64000000
USD
70000000.00000000
CLP
2023-04-10
-2702.27000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
7110.21000000
0.006844608063
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
600000.00000000
CAD
446956.47000000
USD
2023-04-03
7110.21000000
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCE3
250000.00000000
PA
USD
221241.01000000
0.212976550765
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.38000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
2538.33000000
0.002443510667
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
7500000.00000000
PHP
137513.75000000
USD
2023-04-28
2538.33000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
250000.00000000
PA
USD
238337.07000000
0.229433987343
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.541000 15-MAR-2033_
000000000
600000.00000000
OU
Notional Amount
11977.81000000
0.011530378836
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
600000.00000000
GBP
11977.81000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
831.74000000
0.000800670347
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4000000.00000000
PHP
72818.63000000
USD
2023-04-28
831.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.447000 15-MAR-2025_
000000000
2000000.00000000
OU
Notional Amount
6141.21000000
0.005911805064
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
GBP
0.00000000
GBP
2000000.00000000
GBP
6141.21000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
6664.21000000
0.006415268396
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
810000.00000000
CAD
600456.66000000
USD
2023-04-03
6664.21000000
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752AJ2
500000.00000000
PA
USD
473342.40000000
0.455660691854
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030633
3000000.00000000
PA
USD
2677792.98000000
2.577764007427
Long
ABS-MBS
USGA
US
N
2
2053-03-21
Fixed
3.00000000
N
N
N
N
N
N
Cardinal Health Inc
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBM9
300000.00000000
PA
USD
239530.30000000
0.230582644229
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
4.37000000
N
N
N
N
N
N
Aircastle Ltd
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAQ4
250000.00000000
PA
USD
244159.52000000
0.235038939689
Long
DBT
CORP
BM
N
2
2024-05-01
Fixed
4.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.867500 15-MAR-2033_
000000000
1100000.00000000
OU
Notional Amount
13489.18000000
0.012985291601
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
1100000.00000000
EUR
13489.18000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN23
000000000
57.00000000
NC
USD
6216.02000000
0.005983820536
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYM3 Comdty
2023-06-21
6358190.23000000
USD
6216.02000000
N
N
N
TRANE TECHNOLOGIES LUX
549300GHBOWCVY92IS29
Trane Technologies Luxembourg Finance SA
456873AD0
150000.00000000
PA
USD
138124.58000000
0.132964935498
Long
DBT
CORP
LU
N
2
2029-03-21
Fixed
3.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.540000 15-MAR-2033_
000000000
11000000.00000000
OU
Notional Amount
-65735.38000000
-0.06327983449
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
0.00000000
SEK
11000000.00000000
SEK
-65735.38000000
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BT5
200000.00000000
PA
USD
187926.82000000
0.180906812529
Long
DBT
CORP
GB
N
2
2029-06-19
Fixed
4.58000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
511.65000000
0.000492537311
N/A
DFE
IN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
197068.74000000
USD
16420556.00000000
INR
2023-05-22
511.65000000
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BW8
150000.00000000
PA
USD
146830.53000000
0.141345674685
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.60000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
55.33000000
0.000053263147
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
4000000.00000000
PHP
72042.22000000
USD
2023-04-28
55.33000000
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
200000.00000000
PA
USD
190457.75000000
0.183343199624
Long
DBT
CORP
GB
N
2
2029-05-16
Fixed
4.97000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JK4
250000.00000000
PA
USD
224659.13000000
0.216266986872
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
3.75000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CB3
400000.00000000
PA
USD
383680.61000000
0.369348218548
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
3.96000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 3.731500 15-MAR-2025_
000000000
3000000.00000000
OU
Notional Amount
-17636.07000000
-0.01697727450
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
AUD
0.00000000
AUD
3000000.00000000
AUD
-17636.07000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.327000 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
USD
18177.55000000
0.017498527512
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
700000.00000000
USD
18177.55000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
11229.03000000
0.010809569518
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
16222300.00000000
THB
473920.54000000
USD
2023-05-22
11229.03000000
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAL1
200000.00000000
PA
USD
190568.15000000
0.183449475632
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
4.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 4.749500 15-MAR-2025_
000000000
1500000.00000000
OU
Notional Amount
1370.60000000
0.001319401228
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
CAD
0.00000000
CAD
1500000.00000000
CAD
1370.60000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-1013.26000000
-0.00097540966
N/A
DFE
CZ
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
108764.91000000
USD
2400000.00000000
CZK
2023-04-17
-1013.26000000
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEZ3
150000.00000000
PA
USD
141981.86000000
0.136678126781
Long
DBT
CORP
US
N
2
2035-12-09
Fixed
4.70000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
11500000.00000000
PA
USD
7242753.94000000
6.972200823824
Long
DBT
UST
US
N
1
2040-08-15
Fixed
1.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.220000 15-MAR-2033_
000000000
600000.00000000
OU
Notional Amount
-13974.45000000
-0.01345243433
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
NZD
-583.32000000
NZD
600000.00000000
NZD
-13596.05000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.632000 15-MAR-2033_
000000000
600000.00000000
OU
Notional Amount
USD
488.81000000
0.000470550499
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
600000.00000000
USD
488.81000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
100000.00000000
PA
USD
94050.70000000
0.090537435546
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
1323.19000000
0.001273762229
N/A
DFE
PE
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
72105.48000000
USD
280000.00000000
PEN
2023-05-10
1323.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.422500 15-MAR-2033_
000000000
800000.00000000
OU
Notional Amount
16275.43000000
0.015667461216
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
800000.00000000
CAD
16275.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.286000 15-MAR-2033_
000000000
1000000.00000000
OU
Notional Amount
USD
29349.18000000
0.028252841207
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
29349.18000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN23
000000000
36.00000000
NC
USD
-10096.56000000
-0.00971940294
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Ultra 10-Year U.S. Treasury Notes Futures
UXYM3 Comdty
2023-06-21
4228846.56000000
USD
-10096.56000000
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
150000.00000000
PA
USD
134312.43000000
0.129295188384
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ER5
350000.00000000
PA
USD
274502.20000000
0.264248168698
Long
DBT
CORP
US
N
2
2067-09-15
Fixed
4.10000000
N
N
N
N
N
N
Nomura Securities International Inc
OXTKY6Q8X53C9ILVV871
NOMURA REPO
000000000
3499594.70000000
PA
USD
3499594.70000000
3.368867319326
Long
RA
CORP
US
N
2
Repurchase
N
4.51000000
2023-03-01
3598000.00000000
USD
3571015.00000000
USD
UST
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BU2
150000.00000000
PA
USD
119222.86000000
0.114769289361
Long
DBT
CORP
US
N
2
2031-05-24
Fixed
2.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.969000 15-MAR-2033_
000000000
1200000.00000000
OU
Notional Amount
-2047.40000000
-0.00197091936
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
0.00000000
CHF
1200000.00000000
CHF
-2047.40000000
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AZ9
250000.00000000
PA
USD
229165.70000000
0.220605213923
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
6.15000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
2027.48000000
0.001951743472
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
94139.80000000
USD
80000000.00000000
CLP
2023-04-10
2027.48000000
N
N
N
GMO Emerging Country Debt
KCRGSH2QB4OQ3874HQ90
GMO Emerging Country Debt
36262F103
247730.94600000
NS
USD
4374928.51000000
4.211503029688
Long
EC
RF
US
N
1
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
250000.00000000
PA
USD
233454.73000000
0.224734027183
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CG7
200000.00000000
PA
USD
181858.06000000
0.175064751095
Long
DBT
CORP
JP
N
2
2033-04-19
Fixed
4.32000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CS6
200000.00000000
PA
USD
202118.36000000
0.194568227469
Long
DBT
CORP
DE
N
2
2029-01-18
Fixed
6.72000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 3.993000 15-MAR-2033_
000000000
3406000.00000000
OU
Notional Amount
-89209.84000000
-0.08587740590
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
-1606.69000000
AUD
3406000.00000000
AUD
-88128.78000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.220500 15-MAR-2033_
000000000
500000.00000000
OU
Notional Amount
USD
17375.47000000
0.016726409215
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
500000.00000000
USD
17375.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.356500 15-MAR-2025_
000000000
2500000.00000000
OU
Notional Amount
-24230.99000000
-0.02332584122
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
CHF
0.00000000
CHF
2500000.00000000
CHF
-24230.99000000
N
N
N
KIRBY CORPORATION
I7NO6FZO5GUCG585T325
Kirby Corp
497266AC0
150000.00000000
PA
USD
140030.64000000
0.134799794616
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.501900 15-MAR-2033_
000000000
1707000.00000000
OU
Notional Amount
-74552.16000000
-0.07176726362
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
-1145.62000000
CHF
1707000.00000000
CHF
-73333.93000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
236.52000000
0.000227684794
N/A
DFE
CL
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
144014.40000000
USD
120000000.00000000
CLP
2023-04-10
236.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.000000 15-MAR-2033_
000000000
91793000.00000000
OU
Notional Amount
211238.83000000
0.203348002258
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
7356.78000000
SEK
0.00000000
SEK
91793000.00000000
SEK
210533.28000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CX5
200000.00000000
PA
USD
175927.98000000
0.169356189268
Long
DBT
CORP
GB
N
2
2027-11-22
Fixed
2.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.454500 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
-12867.27000000
-0.01238661305
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
700000.00000000
CAD
-12867.27000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
-2912.42000000
-0.00280362653
N/A
DFE
TH
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
131261.16000000
USD
4500000.00000000
THB
2023-05-22
-2912.42000000
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAF3
350000.00000000
PA
USD
225755.91000000
0.217322796649
Long
DBT
CORP
US
N
2
2050-06-22
Fixed
4.00000000
N
N
N
N
N
N
CONSTELLATION EN GEN LLC
S2PEWKCZFFECR4533P43
Constellation Energy Generation LLC
30161MAN3
100000.00000000
PA
USD
96219.93000000
0.092625633946
Long
DBT
CORP
US
N
2
2042-06-15
Fixed
5.60000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172BD0
250000.00000000
PA
USD
217671.07000000
0.209539965895
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
4.88000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCS7
200000.00000000
PA
USD
201625.87000000
0.194094134436
Long
DBT
CORP
JP
N
2
2033-01-13
Fixed
5.77000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.103000 15-MAR-2025_
000000000
163396000.00000000
OU
Notional Amount
-231719.29000000
-0.22306341455
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
17400.81000000
SEK
0.00000000
SEK
163396000.00000000
SEK
-233395.93000000
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AUBG8
10000000.00000000
PA
USD
9999941.40000000
9.626393529983
Long
DBT
USGSE
US
N
1
2023-06-05
Floating
4.59000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-99848.00000000
-0.09611817737
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
5037539.91000000
USD
670902084.00000000
JPY
2023-03-17
-99848.00000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-PRM
29429JAG5
3380000.00000000
PA
USD
3338035.27000000
3.213342942788
Long
ABS-MBS
CORP
US
N
2
2036-05-10
Fixed
3.90000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.263300 15-MAR-2033_
000000000
1100000.00000000
OU
Notional Amount
-23281.05000000
-0.02241138623
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
NZD
-353.87000000
NZD
1100000.00000000
NZD
-23054.01000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAC9
200000.00000000
PA
USD
175803.37000000
0.169236234076
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.224500 15-MAR-2033_
000000000
1200000.00000000
OU
Notional Amount
16398.37000000
0.015785808791
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
1200000.00000000
AUD
16398.37000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020638
400000.00000000
PA
USD
325742.19000000
0.313574088570
Long
ABS-MBS
USGSE
US
N
2
2053-03-15
Fixed
2.00000000
N
N
N
N
N
N
Baxalta Inc
5493000JW8DCO3T45R55
Baxalta Inc
07177MAN3
100000.00000000
PA
USD
94720.26000000
0.091181984128
Long
DBT
CORP
US
N
2
2045-06-23
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.044000 15-MAR-2033_
000000000
2600000.00000000
OU
Notional Amount
-60924.01000000
-0.05864819324
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
2600000.00000000
AUD
-60924.01000000
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BA3
300000.00000000
PA
USD
272780.98000000
0.262591244882
Long
DBT
CORP
US
N
2
2035-08-15
Fixed
5.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.826000 15-MAR-2025_
000000000
5000000.00000000
OU
Notional Amount
59628.02000000
0.057400614960
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
CAD
0.00000000
CAD
5000000.00000000
CAD
59628.02000000
N
N
N
AMERICAN FINANCIAL GROUP
549300AFOM7IVKIU1G39
American Financial Group Inc/OH
025932AL8
200000.00000000
PA
USD
165201.75000000
0.159030637653
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.593000 15-MAR-2033_
000000000
2000000.00000000
OU
Notional Amount
74394.61000000
0.071615598904
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
2000000.00000000
EUR
74394.61000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
9322.87000000
0.008974614136
N/A
DFE
CO
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
605943.10000000
USD
3013658000.00000000
COP
2023-04-11
9322.87000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
18407.39000000
0.017719781837
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
940000.00000000
AUD
652435.20000000
USD
2023-05-09
18407.39000000
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
282879.65000000
NS
USD
282879.65000000
0.272312679004
Long
STIV
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.913000 15-MAR-2033_
000000000
1000000.00000000
OU
Notional Amount
3734.45000000
0.003594949598
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CHF
0.00000000
CHF
1000000.00000000
CHF
3734.45000000
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
250000.00000000
PA
USD
226877.50000000
0.218402489648
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
150000.00000000
PA
USD
112251.44000000
0.108058286796
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-2484.98000000
-0.00239215355
N/A
DFE
HU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
602604.61000000
USD
219769900.00000000
HUF
2023-05-16
-2484.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.031500 15-MAR-2033_
000000000
1000000.00000000
OU
Notional Amount
-24108.70000000
-0.02320811936
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
0.00000000
AUD
1000000.00000000
AUD
-24108.70000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
200000.00000000
PA
USD
190245.26000000
0.183138647189
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.81000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.240500 21-JUN-2025_
000000000
5000000.00000000
OU
Notional Amount
-1299.51000000
-0.00125096679
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-23
0.00000000
AUD
0.00000000
AUD
5000000.00000000
AUD
-1299.51000000
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBD6
300000.00000000
PA
USD
232865.21000000
0.224166528706
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 3.846500 15-MAR-2025_
000000000
5000000.00000000
OU
Notional Amount
-21988.21000000
-0.02116684028
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
AUD
0.00000000
AUD
5000000.00000000
AUD
-21988.21000000
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477CA9
150000.00000000
PA
USD
144610.51000000
0.139208583545
Long
DBT
CORP
US
N
2
2034-01-26
Fixed
4.82000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-43.70000000
-0.00004206758
N/A
DFE
CZ
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
71878.13000000
USD
1600000.00000000
CZK
2023-04-17
-43.70000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-171.09000000
-0.00016469893
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
320000000.00000000
COP
65159.85000000
USD
2023-04-11
-171.09000000
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AB9
200000.00000000
PA
USD
196911.51000000
0.189555879381
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.60000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-435.24000000
-0.00041898160
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
300000.00000000
PLN
66637.08000000
USD
2023-05-22
-435.24000000
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
1920000000.00000000
PA
14103003.62000000
13.57618583653
Long
STIV
NUSS
JP
N
2
2023-03-27
None
0.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022634
2100000.00000000
PA
USD
1778683.58000000
1.712240844371
Long
ABS-MBS
USGSE
US
N
2
2053-03-15
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-2591.43000000
-0.00249462711
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
600000000.00000000
COP
119904.08000000
USD
2023-04-11
-2591.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.476000 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
18425.77000000
0.017737475252
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
700000.00000000
GBP
18425.77000000
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
400000.00000000
PA
USD
394641.98000000
0.379900126507
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.513400 15-MAR-2033_
000000000
35729000.00000000
OU
Notional Amount
216680.04000000
0.208585955826
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
-23135.46000000
SEK
35729000.00000000
SEK
218909.23000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-4207.37000000
-0.00405020366
N/A
DFE
KR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
64944.40000000
USD
80000000.00000000
KRW
2023-05-08
-4207.37000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.408500 15-MAR-2033_
000000000
700000.00000000
OU
Notional Amount
-23048.66000000
-0.02218767716
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
700000.00000000
GBP
-23048.66000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.471000 15-MAR-2033_
000000000
7000000.00000000
OU
Notional Amount
-45706.17000000
-0.04399881574
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
0.00000000
SEK
7000000.00000000
SEK
-45706.17000000
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YAR0
200000.00000000
PA
USD
188288.08000000
0.181254577660
Long
DBT
CORP
JP
N
2
2028-03-05
Fixed
4.02000000
N
N
N
N
N
N
Athene Holding Ltd
549300H316CT32FQXI76
Athene Holding Ltd
04686JAA9
250000.00000000
PA
USD
233754.24000000
0.225022348985
Long
DBT
CORP
BM
N
2
2028-01-12
Fixed
4.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.482500 15-MAR-2033_
000000000
1600000.00000000
OU
Notional Amount
-41098.54000000
-0.03956330379
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
1600000.00000000
GBP
-41098.54000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-2172.94000000
-0.00209176981
N/A
DFE
BR
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
96640.95000000
USD
500000.00000000
BRL
2023-05-03
-2172.94000000
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
12594KAA0
200000.00000000
PA
USD
198963.25000000
0.191530976621
Long
DBT
CORP
NL
N
2
2023-08-15
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.239100 15-MAR-2033_
000000000
1128000.00000000
OU
Notional Amount
40116.73000000
0.038618169314
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
3058.51000000
CAD
0.00000000
CAD
1128000.00000000
CAD
37876.06000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.612500 21-JUN-2033_
000000000
800000.00000000
OU
Notional Amount
USD
-1481.35000000
-0.00142601416
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-06-21
0.00000000
USD
0.00000000
USD
800000.00000000
USD
-1481.35000000
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AW3
350000.00000000
PA
USD
282344.34000000
0.271797365512
Long
DBT
CORP
NL
N
2
2032-04-01
Fixed
2.73000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
200000.00000000
PA
USD
172500.40000000
0.166056646539
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
872.37000000
0.000839782613
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1400000.00000000
ZAR
76536.31000000
USD
2023-05-31
872.37000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 3.561500 15-MAR-2025_
000000000
3000000.00000000
OU
Notional Amount
24204.20000000
0.023300051966
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
AUD
0.00000000
AUD
3000000.00000000
AUD
24204.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 3.278500 15-MAR-2033_
000000000
1100000.00000000
OU
Notional Amount
-32092.91000000
-0.03089407915
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
CAD
0.00000000
CAD
1100000.00000000
CAD
-32092.91000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.217500 15-MAR-2033_
000000000
9000000.00000000
OU
Notional Amount
-4870.09000000
-0.00468816775
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
SEK
0.00000000
SEK
9000000.00000000
SEK
-4870.09000000
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KP5
150000.00000000
PA
USD
105157.65000000
0.101229485363
Long
DBT
CORP
US
N
2
2052-02-09
Fixed
3.43000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.386000 15-MAR-2033_
000000000
500000.00000000
OU
Notional Amount
-17564.03000000
-0.01690792555
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
500000.00000000
GBP
-17564.03000000
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BB8
200000.00000000
PA
USD
187821.56000000
0.180805484517
Long
DBT
CORP
NL
N
2
2028-03-28
Fixed
4.02000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBV6
300000.00000000
PA
USD
232929.00000000
0.224227935830
Long
DBT
CORP
GB
N
2
2032-11-24
Fixed
2.89000000
N
N
N
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAJ4
200000.00000000
PA
USD
201162.50000000
0.193648073625
Long
DBT
CORP
US
N
2
2045-04-23
Fixed
5.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.467500 15-MAR-2033_
000000000
600000.00000000
OU
Notional Amount
USD
8628.56000000
0.008306240090
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
USD
0.00000000
USD
600000.00000000
USD
8628.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.274200 15-MAR-2025_
000000000
5436000.00000000
OU
Notional Amount
-37862.92000000
-0.03644855039
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
GBP
-2207.36000000
GBP
5436000.00000000
GBP
-35167.29000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.683500 15-MAR-2033_
000000000
600000.00000000
OU
Notional Amount
-17386.00000000
-0.01673654586
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
EUR
0.00000000
EUR
600000.00000000
EUR
-17386.00000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030637
5800000.00000000
PA
USD
5100941.43000000
4.910395732776
Long
ABS-MBS
USGSE
US
N
2
2053-03-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.215200 15-MAR-2033_
000000000
1900000.00000000
OU
Notional Amount
38449.44000000
0.037013160941
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
NZD
-4817.95000000
NZD
1900000.00000000
NZD
41574.84000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
4791.71000000
0.004612715644
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
950000.00000000
NZD
592159.04000000
USD
2023-05-31
4791.71000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-3944.75000000
-0.00379739384
N/A
DFE
ZA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
274173.10000000
USD
5000000.00000000
ZAR
2023-05-31
-3944.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.196000 15-MAR-2025_
000000000
20000000.00000000
OU
Notional Amount
24992.04000000
0.024058462198
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-17
0.00000000
SEK
0.00000000
SEK
20000000.00000000
SEK
24992.04000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.445100 15-MAR-2033_
000000000
12158000.00000000
OU
Notional Amount
-21014.55000000
-0.02022955136
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-15
0.00000000
AUD
-6038.76000000
AUD
12158000.00000000
AUD
-16900.04000000
N
N
N
2023-03-24
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer