0001752724-23-241021.txt : 20231027
0001752724-23-241021.hdr.sgml : 20231027
20231027143407
ACCESSION NUMBER: 0001752724-23-241021
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230831
FILED AS OF DATE: 20231027
DATE AS OF CHANGE: 20231027
PERIOD START: 20240229
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: 231355011
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
NPORT-P
false
0000772129
XXXXXXXX
S000004917
C000013295
C000013294
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
53 State Street, 33rd Floor
BOSTON
02109
617-346-7646
GMO Multi-Sector Fixed Income Fund
S000004917
BC8D6LTQTCM32RRYZ044
2024-02-29
2023-08-31
N
142541127.48
25144556.10
117396571.38
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
6737179.69000000
0.00000000
0.00000000
257522.26000000
AUD
CAD
CHF
EUR
GBP
JPY
NZD
SEK
USD
N
BBG U.S. Aggregate Index
LBUSTRUU
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-19289.90000000
-0.01643139980
N/A
DFE
SE
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
623135.31000000
USD
6600000.00000000
SEK
2023-10-10
-19289.90000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
150000.00000000
PA
USD
133294.12000000
0.113541748650
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8H8
150000.00000000
PA
USD
137714.67000000
0.117307233406
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
3.85000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
300000.00000000
PA
USD
225460.98000000
0.192050736533
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.19000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.022100 20-SEP-2033 3M
000000000
12000000.00000000
OU
Notional Amount
14426.50000000
0.012288689380
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
SEK
-3561.91000000
SEK
12000000.00000000
SEK
14774.38000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.549200 20-SEP-2025_
000000000
179859000.00000000
OU
Notional Amount
-121098.95000000
-0.10315373658
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
SEK
-50377.49000000
SEK
179859000.00000000
SEK
-116484.95000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-362.74000000
-0.00030898687
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
5000000.00000000
INR
59964.84000000
USD
2023-11-15
-362.74000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-198704.09000000
-0.16925885284
N/A
DFE
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
5900158.80000000
USD
4500000.00000000
GBP
2023-10-18
-198704.09000000
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAF9
150000.00000000
PA
USD
145082.06000000
0.123582876650
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.55000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
353817.11000000
0.301386237980
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
1920000000.00000000
JPY
13592294.87000000
USD
2023-09-25
353817.11000000
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAG2
200000.00000000
PA
USD
198002.96000000
0.168661620754
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.38000000
N
N
N
N
N
N
VERISK ANALYTICS INC
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345YAH9
150000.00000000
PA
USD
153217.82000000
0.130513027935
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.75000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-PRM
29429JAA8
15310000.00000000
PA
USD
15184387.57000000
12.93426834489
Long
ABS-MBS
CORP
US
N
2
2036-05-10
Fixed
3.34000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.919000 20-SEP-2033 SAR_
000000000
1400000.00000000
OU
Notional Amount
-32043.59000000
-0.02729516682
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
1400000.00000000
CHF
-32043.59000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
2260.61000000
0.001925618417
N/A
DFE
TH
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
194480.34000000
USD
6877700.00000000
THB
2023-09-22
2260.61000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
57.83000000
0.000049260382
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2700000.00000000
THB
77293.03000000
USD
2023-09-22
57.83000000
N
N
N
MEAD JOHNSON NUTRITION C
E4BJRFT3MF4GJDY1SC50
Mead Johnson Nutrition Co
582839AH9
250000.00000000
PA
USD
243367.32000000
0.207303601067
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.13000000
N
N
N
N
N
N
ELI LILLY & CO
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457BU1
150000.00000000
PA
USD
126957.23000000
0.108143899355
Long
DBT
CORP
US
N
2
2059-03-15
Fixed
4.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.264600 20-SEP-2025_
000000000
31544000.00000000
OU
Notional Amount
-68082.76000000
-0.05799382315
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
AUD
-813.92000000
AUD
31544000.00000000
AUD
-67541.46000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
469.93000000
0.000400292780
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
450000.00000000
EUR
489739.95000000
USD
2023-10-31
469.93000000
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BH2
250000.00000000
PA
USD
245804.63000000
0.209379734953
Long
DBT
US
N
2
2026-01-15
Fixed
5.25000000
N
N
N
N
N
N
Booking Holdings Inc
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
741503AZ9
150000.00000000
PA
USD
144309.21000000
0.122924552483
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.60000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
2557.60000000
0.002178598548
N/A
DFE
GB
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
390209.28000000
USD
310000.00000000
GBP
2023-10-18
2557.60000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
914.93000000
0.000779349847
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
836203.00000000
ILS
221599.87000000
USD
2023-11-29
914.93000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.921500 20-SEP-2025 SAR_
000000000
3500000.00000000
OU
Notional Amount
13425.95000000
0.011436407249
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
CHF
0.00000000
CHF
3500000.00000000
CHF
13425.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.987500 20-SEP-2033 SOF
000000000
600000.00000000
OU
Notional Amount
USD
-9352.24000000
-0.00796636553
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
USD
0.00000000
USD
600000.00000000
USD
-9352.24000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.398500 20-SEP-2033 CAD_
000000000
700000.00000000
OU
Notional Amount
-14408.70000000
-0.01227352709
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CAD
0.00000000
CAD
700000.00000000
CAD
-14408.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.110000 20-SEP-2033_
000000000
969000.00000000
OU
Notional Amount
18279.78000000
0.015570965817
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
-2590.73000000
GBP
969000.00000000
GBP
21505.37000000
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BT5
150000.00000000
PA
USD
119533.64000000
0.101820384185
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.30000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-433.43000000
-0.00036920158
N/A
DFE
JP
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3658662.55000000
USD
530902084.00000000
JPY
2023-09-21
-433.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.383800 20-SEP-2033_
000000000
2568000.00000000
OU
Notional Amount
55147.23000000
0.046975162350
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CAD
-3334.44000000
CAD
2568000.00000000
CAD
57599.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.371000 20-SEP-2025 EST
000000000
3000000.00000000
OU
Notional Amount
-1639.10000000
-0.00139620772
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
EUR
0.00000000
EUR
3000000.00000000
EUR
-1639.10000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-353.37000000
-0.00030100538
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
950000.00000000
AUD
616624.10000000
USD
2023-11-08
-353.37000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.871000 20-SEP-2025 SAR
000000000
4500000.00000000
OU
Notional Amount
12166.99000000
0.010364007957
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
CHF
0.00000000
CHF
4500000.00000000
CHF
12166.99000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-57063.48000000
-0.04860745022
N/A
DFE
SE
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
853041.53000000
USD
8700000.00000000
SEK
2023-10-10
-57063.48000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 5.129500 20-SEP-2025_
000000000
2500000.00000000
OU
Notional Amount
-20241.57000000
-0.01724204528
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
GBP
0.00000000
GBP
2500000.00000000
GBP
-20241.57000000
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YAT6
250000.00000000
PA
USD
233598.63000000
0.198982497745
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
342973.62000000
0.292149605366
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
233467.20000000
0.198870543880
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
135124.30000000
0.115100720925
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.93000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-6014.95000000
-0.00512361641
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
205413.24000000
USD
170000000.00000000
CLP
2023-09-05
-6014.95000000
N
N
N
DICK'S SPORTING GOODS
529900SSBV5I4LWSK313
Dick's Sporting Goods Inc
253393AF9
50000.00000000
PA
USD
39856.79000000
0.033950557100
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.15000000
N
N
N
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBG0
200000.00000000
PA
USD
167649.63000000
0.142806240445
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
4.55000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCT5
200000.00000000
PA
USD
199361.32000000
0.169818690321
Long
DBT
CORP
JP
N
2
2026-01-13
Fixed
5.46000000
N
N
N
N
N
N
Enstar Group Ltd
213800AMAL5QFXVUCN04
Enstar Group Ltd
29359UAB5
200000.00000000
PA
USD
187381.01000000
0.159613698932
Long
DBT
CORP
BM
N
2
2029-06-01
Fixed
4.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.490000 20-SEP-2033 3M_
000000000
4100000.00000000
OU
Notional Amount
-42188.93000000
-0.03593710574
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
NZD
0.00000000
NZD
4100000.00000000
NZD
-42188.93000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
12.03000000
0.000010247318
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3300000.00000000
THB
94410.61000000
USD
2023-09-22
12.03000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AQ2
250000.00000000
PA
USD
214442.43000000
0.182664985424
Long
DBT
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
GMO Opportunistic Income Fund
5493000NQRD0885G4P95
GMO Opportunistic Income Fund
362013112
974867.37000000
NS
USD
23903747.94000000
20.36153838141
Long
EC
RF
US
N
1
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAF0
50000.00000000
PA
USD
48492.43000000
0.041306512984
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.05000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-1061.94000000
-0.00090457496
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3600000.00000000
THB
101918.33000000
USD
2023-09-22
-1061.94000000
N
N
N
Cardinal Health Inc
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBH0
200000.00000000
PA
USD
195620.06000000
0.166631834048
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.08000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BC9
150000.00000000
PA
USD
141051.37000000
0.120149479956
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
1211.13000000
0.001031657045
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2705959000.00000000
IDR
178732.67000000
USD
2023-11-02
1211.13000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-14492.51000000
-0.01234491759
N/A
DFE
KR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
382254.60000000
USD
485778325.00000000
KRW
2023-11-02
-14492.51000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-2579.11000000
-0.00219692105
N/A
DFE
KR
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
116137.72000000
USD
150000000.00000000
KRW
2023-11-02
-2579.11000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.756000 20-SEP-2025 SOF
000000000
2500000.00000000
OU
Notional Amount
USD
1513.63000000
0.001289330669
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
USD
0.00000000
USD
2500000.00000000
USD
1513.63000000
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
250000.00000000
PA
USD
243586.89000000
0.207490633786
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAJ0
150000.00000000
PA
USD
133150.82000000
0.113419683756
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
Willis North America Inc
5493004KVU1HWZCP0C66
Willis North America Inc
970648AG6
150000.00000000
PA
USD
142969.43000000
0.121783309614
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.50000000
N
N
N
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAL4
300000.00000000
PA
USD
233027.50000000
0.198496001425
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.15000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
NOMURA REPO
000000000
10000000.00000000
PA
USD
10000000.00000000
8.518136332645
Long
RA
CORP
US
N
2
Repurchase
N
5.27000000
2023-09-01
10232000.00000000
USD
10185636.25000000
USD
UST
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.728000 20-SEP-2033 CAD
000000000
1900000.00000000
OU
Notional Amount
-1166.86000000
-0.00099394725
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CAD
0.00000000
CAD
1900000.00000000
CAD
-1166.86000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.330000 20-SEP-2033 SON_
000000000
1300000.00000000
OU
Notional Amount
-3992.04000000
-0.00340047409
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
0.00000000
GBP
1300000.00000000
GBP
-3992.04000000
N
N
N
ATHENE HOLDING LTD
549300H316CT32FQXI76
Athene Holding Ltd
04686JAB7
200000.00000000
PA
USD
201958.95000000
0.172031386969
Long
DBT
CORP
BM
N
2
2030-04-03
Fixed
6.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.809000 20-SEP-2033_
000000000
1000000.00000000
OU
Notional Amount
2673.80000000
0.002277579292
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
EUR
0.00000000
EUR
1000000.00000000
EUR
2673.80000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-295.18000000
-0.00025143834
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
120000.00000000
SGD
88812.04000000
USD
2023-11-22
-295.18000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
371.33000000
0.000316303956
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1773658000.00000000
COP
433975.53000000
USD
2023-09-05
371.33000000
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAH0
200000.00000000
PA
USD
189513.67000000
0.161430327796
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.06000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HH3
150000.00000000
PA
USD
114692.15000000
0.097696336998
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
250000.00000000
PA
USD
231522.69000000
0.197214183752
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.42000000
N
N
N
N
N
N
DOW CHEMICAL CO/THE
ZQUIP1CSZO8LXRBSOU78
Dow Chemical Co/The
260543DH3
100000.00000000
PA
USD
111319.25000000
0.094823254794
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
6.90000000
N
N
N
N
N
N
ARCH CAPITAL GRP US INC
549300B4QKQFLY1XST28
Arch Capital Group US Inc
03938JAA7
150000.00000000
PA
USD
133383.28000000
0.113617696353
Long
DBT
CORP
US
N
2
2043-11-01
Fixed
5.14000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172BL2
150000.00000000
PA
USD
121698.58000000
0.103664509592
Long
DBT
CORP
US
N
2
2044-11-10
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-200.43000000
-0.00017072900
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
60000000.00000000
CLP
70175.44000000
USD
2023-09-05
-200.43000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
3075.28000000
0.002619565430
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1200000.00000000
PLN
292901.15000000
USD
2023-11-22
3075.28000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.832400 20-SEP-2033_
000000000
7448000.00000000
OU
Notional Amount
102988.63000000
0.087727119105
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
-24349.11000000
CHF
7448000.00000000
CHF
129778.28000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
150000.00000000
PA
USD
145764.69000000
0.124164350190
Long
DBT
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
Booking Holdings Inc
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
741503AW6
250000.00000000
PA
USD
243643.99000000
0.207539272344
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.65000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.838500 20-SEP-2033 SOF
000000000
800000.00000000
OU
Notional Amount
USD
-2691.75000000
-0.00229286934
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
USD
0.00000000
USD
800000.00000000
USD
-2691.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.304000 20-SEP-2025 AUD_
000000000
7000000.00000000
OU
Notional Amount
-18526.82000000
-0.01578139785
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
AUD
0.00000000
AUD
7000000.00000000
AUD
-18526.82000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BG5
200000.00000000
PA
USD
190599.67000000
0.162355397401
Long
DBT
CORP
GB
N
2
2029-05-18
Fixed
4.89000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-483.53000000
-0.00041187744
N/A
DFE
CZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
99438.82000000
USD
2200000.00000000
CZK
2023-10-17
-483.53000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
1312.99000000
0.001118422782
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
291338.59000000
USD
250271500.00000000
CLP
2023-10-02
1312.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.501000 20-SEP-2033_
000000000
7982000.00000000
OU
Notional Amount
77981.34000000
0.066425568552
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
NZD
-2586.18000000
NZD
7982000.00000000
NZD
79542.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.793500 20-SEP-2033 SAR
000000000
1000000.00000000
OU
Notional Amount
-9757.75000000
-0.00831178447
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
1000000.00000000
CHF
-9757.75000000
N
N
N
MARVELL TECHNOLOGY INC
N/A
Marvell Technology Inc
573874AF1
150000.00000000
PA
USD
131552.07000000
0.112057846710
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
2.45000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-702.61000000
-0.00059849277
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3300000.00000000
THB
93695.97000000
USD
2023-09-22
-702.61000000
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BN9
150000.00000000
PA
USD
111955.22000000
0.095364982711
Long
DBT
US
N
2
2033-04-15
Fixed
3.25000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-835.75000000
-0.00071190324
N/A
DFE
CO
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
430395.05000000
USD
1773658000.00000000
COP
2023-10-02
-835.75000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
8922.86000000
0.007600613795
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
860000.00000000
AUD
567449.84000000
USD
2023-11-08
8922.86000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-975.44000000
-0.00083089309
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
140000000.00000000
KRW
105012.60000000
USD
2023-11-02
-975.44000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.305300 20-SEP-2033 3M
000000000
114000000.00000000
OU
Notional Amount
-112218.93000000
-0.09558961448
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
140267.57000000
SEK
0.00000000
SEK
114000000.00000000
SEK
-125132.65000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052698
3000000.00000000
PA
USD
2962031.25000000
2.523098600905
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
BAKER HUGHES LLC/CO-OBL
N/A
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc
05723KAG5
250000.00000000
PA
USD
222450.98000000
0.189486777497
Long
DBT
CORP
US
N
2
2029-11-07
Fixed
3.14000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.286000 20-SEP-2033 AUD_
000000000
1600000.00000000
OU
Notional Amount
-6845.64000000
-0.00583120948
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
AUD
0.00000000
AUD
1600000.00000000
AUD
-6845.64000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED RON / SOLD USD
000000000
1.00000000
NC
-114.07000000
-0.00009716638
N/A
DFE
RO
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
87861.88000000
USD
400000.00000000
RON
2023-09-27
-114.07000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-8662.25000000
-0.00737862264
N/A
DFE
CA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
563947.94000000
USD
750000.00000000
CAD
2023-09-29
-8662.25000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.057000 20-SEP-2033 EST_
000000000
1300000.00000000
OU
Notional Amount
26833.09000000
0.022856791884
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
EUR
0.00000000
EUR
1300000.00000000
EUR
26833.09000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-16662.79000000
-0.01419359169
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
333672.64000000
USD
270271500.00000000
CLP
2023-09-05
-16662.79000000
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8G0
200000.00000000
PA
USD
190608.53000000
0.162362944470
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.50000000
N
N
N
N
N
N
VERISIGN INC
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAM4
150000.00000000
PA
USD
122806.43000000
0.104608191326
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.70000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AD6
250000.00000000
PA
USD
240082.59000000
0.204505623271
Long
DBT
CORP
JP
N
2
2026-03-01
Fixed
3.85000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDH6
150000.00000000
PA
USD
144261.27000000
0.122883716538
Long
DBT
CORP
US
N
2
2033-07-25
Fixed
4.91000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED RON / SOLD USD
000000000
1.00000000
NC
-2519.05000000
-0.00214576113
N/A
DFE
RO
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
123172.29000000
USD
550000.00000000
RON
2023-09-27
-2519.05000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-184.99000000
-0.00015757700
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
70000.00000000
SGD
51794.22000000
USD
2023-11-22
-184.99000000
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAG9
250000.00000000
PA
USD
208100.48000000
0.177262825952
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
EAGLE MATERIALS
529900KRXRGXL61SG039
Eagle Materials Inc
26969PAB4
250000.00000000
PA
USD
201846.39000000
0.171935506827
Long
DBT
CORP
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.846500 20-SEP-2033 SAR
000000000
1100000.00000000
OU
Notional Amount
-16833.21000000
-0.01433875776
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
1100000.00000000
CHF
-16833.21000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.115500 20-SEP-2033_
000000000
500000.00000000
OU
Notional Amount
9158.10000000
0.007800994434
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
0.00000000
GBP
500000.00000000
GBP
9158.10000000
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAJ6
250000.00000000
PA
USD
234412.01000000
0.199675345918
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.825000 20-SEP-2033 SAR
000000000
1300000.00000000
OU
Notional Amount
-16969.49000000
-0.01445484293
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
1300000.00000000
CHF
-16969.49000000
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
150000.00000000
PA
USD
149027.41000000
0.126943579568
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.38000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
200000.00000000
PA
USD
194436.91000000
0.165624010747
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.71000000
N
N
N
N
N
N
LINDE INC/CT
ZU69GUVJQGZ6Z1UOOO79
Linde Inc/CT
53522KAB9
150000.00000000
PA
USD
148786.88000000
0.126738692834
Long
DBT
CORP
US
N
2
2025-12-05
Fixed
4.70000000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBD0
150000.00000000
PA
USD
138646.50000000
0.118100978904
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
198347.84000000
0.168955394240
Long
DBT
CORP
ES
N
2
2026-09-14
Fixed
5.86000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.445000 20-SEP-2033_
000000000
2296000.00000000
OU
Notional Amount
USD
-66386.33000000
-0.05654878095
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
14333.77000000
USD
0.00000000
USD
2296000.00000000
USD
-80720.10000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup COmmercial Mortgage Trust 2019-SMRT
29429MAA1
14655000.00000000
PA
USD
14605464.63000000
12.44113389199
Long
ABS-MBS
CORP
US
N
2
2036-01-10
Fixed
4.15000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACX1
250000.00000000
PA
USD
243011.02000000
0.207000099869
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
189792.71000000
0.161668017872
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661ES2
250000.00000000
PA
USD
244484.67000000
0.208255375030
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
5.85000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
961.18000000
0.000818746228
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1600000.00000000
ZAR
85506.11000000
USD
2023-09-29
961.18000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CEL1
3900000.00000000
PA
USD
3898895.29000000
3.321132162692
Long
DBT
UST
US
N
1
2024-04-30
Floating
5.34000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
250000.00000000
PA
USD
222754.35000000
0.189745192198
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
331.91000000
0.000282725463
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
400000.00000000
PLN
96940.53000000
USD
2023-11-22
331.91000000
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
500000.00000000
PA
USD
450103.65000000
0.383404425452
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
200854.78000000
0.171090839910
Long
DBT
CORP
ES
N
2
2028-09-14
Fixed
6.14000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.261000 20-SEP-2033 SON_
000000000
700000.00000000
OU
Notional Amount
2666.25000000
0.002271148099
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
0.00000000
GBP
700000.00000000
GBP
2666.25000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-119.31000000
-0.00010162988
N/A
DFE
CZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
108070.54000000
USD
2400000.00000000
CZK
2023-10-17
-119.31000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.188000 20-SEP-2033 SON
000000000
1100000.00000000
OU
Notional Amount
12196.24000000
0.010388923506
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
0.00000000
GBP
1100000.00000000
GBP
12196.24000000
N
N
N
AMCOR FINANCE USA INC
549300ZMT7FVT8R77U18
Amcor Finance USA Inc
02343UAG0
150000.00000000
PA
USD
142187.27000000
0.121117055062
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
3.63000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-699.65000000
-0.00059597140
N/A
DFE
JP
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
710430.52000000
USD
103000000.00000000
JPY
2023-09-21
-699.65000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1041.04000000
-0.00088677206
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
110000000.00000000
CLP
127981.38000000
USD
2023-09-05
-1041.04000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
200000.00000000
PA
USD
169369.40000000
0.144271163977
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.38000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020695
300000.00000000
PA
USD
238863.28000000
0.203466998390
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
30722.05000000
0.026169461031
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
4800000.00000000
AUD
3148081.92000000
USD
2023-11-08
30722.05000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.812500 20-SEP-2025 3M
000000000
45000000.00000000
OU
Notional Amount
9786.82000000
0.008336546702
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
SEK
0.00000000
SEK
45000000.00000000
SEK
9786.82000000
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFC3
150000.00000000
PA
USD
129512.53000000
0.110320538732
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
4.45000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-666.31000000
-0.00056757194
N/A
DFE
MX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
909726.89000000
USD
15619101.00000000
MXN
2023-10-18
-666.31000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-52.31000000
-0.00004455837
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
140000000.00000000
KRW
105935.73000000
USD
2023-11-02
-52.31000000
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AW9
200000.00000000
PA
USD
158873.29000000
0.135330434383
Long
DBT
CORP
US
N
2
2043-03-04
Fixed
4.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.729000 20-SEP-2033 SAR_
000000000
1100000.00000000
OU
Notional Amount
-3310.33000000
-0.00281978422
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
1100000.00000000
CHF
-3310.33000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC23
000000000
58.00000000
NC
USD
93656.54000000
0.079777917616
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT U.S. Long Bond Futures
USZ3 Comdty
2023-12-19
6964218.46000000
USD
93656.54000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.193300 20-SEP-2025_
000000000
10014000.00000000
OU
Notional Amount
31756.80000000
0.027050875188
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
EUR
-2041.53000000
EUR
10014000.00000000
EUR
33942.87000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAF3
150000.00000000
PA
USD
139983.38000000
0.119239751514
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.54000000
N
N
N
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
782388.38000000
NS
USD
782388.38000000
0.666449088591
Long
STIV
RF
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-1130.80000000
-0.00096323085
N/A
DFE
HU
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
397830.81000000
USD
139769900.00000000
HUF
2023-09-14
-1130.80000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
303.21000000
0.000258278411
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
250000.00000000
PLN
60683.60000000
USD
2023-11-22
303.21000000
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCZ6
250000.00000000
PA
USD
249863.17000000
0.212836854656
Long
DBT
CORP
US
N
2
2029-06-08
Fixed
6.31000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CFD8
450000.00000000
PA
USD
450108.52000000
0.383408573784
Long
DBT
UST
US
N
1
2024-07-31
Floating
5.45000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAF1
250000.00000000
PA
USD
224373.47000000
0.191124380688
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAK2
150000.00000000
PA
USD
183968.79000000
0.156707123417
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FS2
350000.00000000
PA
USD
257039.99000000
0.218950167776
Long
DBT
CORP
US
N
2
2071-04-06
Fixed
3.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.340000 20-SEP-2033 3M
000000000
6000000.00000000
OU
Notional Amount
-7513.77000000
-0.00640033172
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
SEK
0.00000000
SEK
6000000.00000000
SEK
-7513.77000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
2342.77000000
0.001995603425
N/A
DFE
NO
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
760491.97000000
USD
8100000.00000000
NOK
2023-10-17
2342.77000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBP7
350000.00000000
PA
USD
236829.25000000
0.201734383905
Long
DBT
CORP
US
N
2
2061-02-04
Fixed
4.00000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAG4
150000.00000000
PA
USD
156943.72000000
0.133686800351
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
7.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC23
000000000
135.00000000
NC
USD
98647.74000000
0.084029489822
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVZ3 Comdty
2023-12-29
14335805.39000000
USD
98647.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.577500 20-SEP-2033 CAD_
000000000
1100000.00000000
OU
Notional Amount
10708.90000000
0.009121987017
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CAD
0.00000000
CAD
1100000.00000000
CAD
10708.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.793500 20-SEP-2033 EST
000000000
700000.00000000
OU
Notional Amount
-2891.68000000
-0.00246317244
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
517.34000000
EUR
0.00000000
EUR
700000.00000000
EUR
-3473.30000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030690
2200000.00000000
PA
USD
1934195.32000000
1.647573942972
Long
ABS-MBS
USGA
US
N
2
2053-09-20
Fixed
3.00000000
N
N
N
N
N
N
CI FINANCIAL CORP
549300M9W7JJQSVCEM78
CI Financial Corp
125491AP5
350000.00000000
PA
USD
211791.79000000
0.180407134135
Long
DBT
CORP
CA
N
2
2051-06-15
Fixed
4.10000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332AZ5
150000.00000000
PA
USD
138794.82000000
0.118227319902
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
200213.39000000
0.170544495164
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.63000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc/Ontario
775109CJ8
150000.00000000
PA
USD
121280.32000000
0.103308230022
Long
DBT
CORP
CA
N
2
2042-03-15
Fixed
4.50000000
N
N
N
N
N
N
Enel Chile SA
549300YM5CWCAUVOPB53
Enel Chile SA
29278DAA3
200000.00000000
PA
USD
190200.00000000
0.162014953046
Long
DBT
CORP
CL
N
2
2028-06-12
Fixed
4.88000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
35165.93000000
0.029954818600
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
6100000.00000000
NOK
609646.41000000
USD
2023-10-17
35165.93000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-493.97000000
-0.00042077038
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
90000000.00000000
KRW
67641.20000000
USD
2023-11-02
-493.97000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.674500 20-SEP-2025 SOF
000000000
3500000.00000000
OU
Notional Amount
USD
-3264.15000000
-0.00278044747
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
USD
0.00000000
USD
3500000.00000000
USD
-3264.15000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
501.39000000
0.000427090837
N/A
DFE
ID
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
104464.89000000
USD
1600000000.00000000
IDR
2023-11-02
501.39000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KG1
250000.00000000
PA
USD
239299.14000000
0.203838269880
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
5.90000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAR9
200000.00000000
PA
USD
195557.73000000
0.166578740504
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
4.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.230500 20-SEP-2033 SON_
000000000
800000.00000000
OU
Notional Amount
5479.98000000
0.004667921674
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
0.00000000
GBP
800000.00000000
GBP
5479.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.882500 20-SEP-2033 EST_
000000000
700000.00000000
OU
Notional Amount
2965.19000000
0.002525789267
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
EUR
0.00000000
EUR
700000.00000000
EUR
2965.19000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC23
000000000
58.00000000
NC
USD
68659.94000000
0.058485472951
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYZ3 Comdty
2023-12-19
6371152.56000000
USD
68659.94000000
N
N
N
FedEx Corp
549300E707U7WNPZN687
FedEx Corp
31428XBE5
150000.00000000
PA
USD
129328.07000000
0.110163413189
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
4.75000000
N
N
N
N
N
N
CI FINANCIAL CORP
549300M9W7JJQSVCEM78
CI Financial Corp
125491AN0
300000.00000000
PA
USD
231412.94000000
0.197120697205
Long
DBT
CORP
CA
N
2
2030-12-17
Fixed
3.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.116000 20-SEP-2025_
000000000
10026000.00000000
OU
Notional Amount
USD
115024.41000000
0.097979360596
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
USD
-17106.00000000
USD
10026000.00000000
USD
132130.41000000
N
N
N
UTAH ACQUISITION SUB
254900JOFV74IJ7H9933
Utah Acquisition Sub Inc
62854AAP9
300000.00000000
PA
USD
237040.95000000
0.201914712851
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
5.25000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-578.85000000
-0.00049307232
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
30000000.00000000
HUF
84568.24000000
USD
2023-09-14
-578.85000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-13518.14000000
-0.01151493594
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
5803976.00000000
CHF
6583158.66000000
USD
2023-10-12
-13518.14000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-811.73000000
-0.00069144268
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
90000000.00000000
KRW
67323.44000000
USD
2023-11-02
-811.73000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.523500 20-SEP-2025 CAD_
000000000
3000000.00000000
OU
Notional Amount
11245.66000000
0.009579206503
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
CAD
0.00000000
CAD
3000000.00000000
CAD
11245.66000000
N
N
N
HEICO CORP
529900O1DTDLCJ7L0I14
HEICO Corp
422806AB5
150000.00000000
PA
USD
148659.72000000
0.126630376213
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.35000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-121.32000000
-0.00010334202
N/A
DFE
CA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
170408.93000000
USD
230000.00000000
CAD
2023-09-29
-121.32000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050692
9100000.00000000
PA
USD
8823623.08000000
7.516082434331
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 5.087200 20-SEP-2025_
000000000
4463000.00000000
OU
Notional Amount
-40551.24000000
-0.03454209907
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
194.34000000
GBP
0.00000000
GBP
4463000.00000000
GBP
-40793.20000000
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BV0
150000.00000000
PA
USD
136562.05000000
0.116325415976
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCK9
200000.00000000
PA
USD
217818.30000000
0.185540597514
Long
DBT
CORP
US
N
2
2052-11-09
Fixed
6.90000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
11648.55000000
0.009922393697
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
780000.00000000
CAD
589145.67000000
USD
2023-09-29
11648.55000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
43985.79000000
0.037467695591
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
9000000.00000000
SEK
867411.36000000
USD
2023-10-10
43985.79000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
444.44000000
0.000378580051
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
200000000.00000000
KRW
151855.93000000
USD
2023-11-02
444.44000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
7.97000000
0.000006788954
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
7000000.00000000
INR
84466.59000000
USD
2023-11-15
7.97000000
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BM1
200000.00000000
PA
USD
161541.88000000
0.137603575727
Long
DBT
US
N
2
2031-02-01
Fixed
3.38000000
N
N
N
N
N
N
DICK'S SPORTING GOODS
529900SSBV5I4LWSK313
Dick's Sporting Goods Inc
253393AG7
200000.00000000
PA
USD
129897.92000000
0.110648819188
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
4.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.770000 20-SEP-2033_
000000000
2116000.00000000
OU
Notional Amount
-13415.90000000
-0.01142784652
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
5627.84000000
EUR
0.00000000
EUR
2116000.00000000
EUR
-19442.19000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-823.25000000
-0.00070125557
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
70000000.00000000
CLP
81281.93000000
USD
2023-09-05
-823.25000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030694
4000000.00000000
PA
USD
3446093.76000000
2.935429646275
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC23
000000000
30.00000000
NC
USD
15478.02000000
0.013184388451
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUZ3 Comdty
2023-12-29
6098662.62000000
USD
15478.02000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.035500 20-SEP-2033 EST
000000000
1400000.00000000
OU
Notional Amount
-26067.46000000
-0.02220461781
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
EUR
0.00000000
EUR
1400000.00000000
EUR
-26067.46000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAJ5
150000.00000000
PA
USD
172332.62000000
0.146795275172
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
8.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.765300 20-SEP-2033_
000000000
5044000.00000000
OU
Notional Amount
34208.77000000
0.029139496663
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
EUR
-11304.19000000
EUR
5044000.00000000
EUR
46313.30000000
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BE9
200000.00000000
PA
USD
198834.25000000
0.169369724909
Long
DBT
CORP
US
N
2
2030-03-24
Fixed
4.80000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBK6
300000.00000000
PA
USD
248587.89000000
0.211750553766
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
3.42000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-631.42000000
-0.00053785216
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2100000.00000000
THB
59440.41000000
USD
2023-09-22
-631.42000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.610000 20-SEP-2033 CAD
000000000
1900000.00000000
OU
Notional Amount
14754.76000000
0.012568305723
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CAD
0.00000000
CAD
1900000.00000000
CAD
14754.76000000
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EN3
250000.00000000
PA
USD
241663.05000000
0.205851880646
Long
DBT
CORP
US
N
2
2062-09-15
Fixed
5.80000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT DEC23
000000000
31.00000000
NC
USD
43837.79000000
0.037341627174
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year U.S. Treasury Notes Futures
UXYZ3 Comdty
2023-12-19
3555552.84000000
USD
43837.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.881000 20-SEP-2033 SAR_
000000000
1400000.00000000
OU
Notional Amount
-26477.50000000
-0.02255389547
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
1400000.00000000
CHF
-26477.50000000
N
N
N
FAIRFAX FINL HLDGS LTD
GLS7OQD0WOEDI8YAP031
Fairfax Financial Holdings Ltd
303901BL5
150000.00000000
PA
USD
144771.59000000
0.123318414071
Long
DBT
CORP
CA
N
2
2032-08-16
Fixed
5.63000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-3690.96000000
-0.00314401004
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
750000.00000000
NZD
443613.00000000
USD
2023-11-29
-3690.96000000
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAJ0
200000.00000000
PA
USD
182454.31000000
0.155417068705
Long
DBT
CORP
ES
N
2
2025-09-18
Fixed
1.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.933300 20-SEP-2033_
000000000
41547000.00000000
OU
Notional Amount
78433.80000000
0.066810980148
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
47790.15000000
SEK
0.00000000
SEK
41547000.00000000
SEK
74056.77000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-5668.00000000
-0.00482807967
N/A
DFE
CL
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
99502.49000000
USD
80000000.00000000
CLP
2023-09-05
-5668.00000000
N
N
N
BAKER HUGHES LLC/CO-OBL
N/A
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc
05723KAE0
200000.00000000
PA
USD
185469.59000000
0.157985525317
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.34000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-1898.70000000
-0.00161733854
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
820686.00000000
SGD
607510.01000000
USD
2023-11-22
-1898.70000000
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8K1
250000.00000000
PA
USD
212663.53000000
0.181149694152
Long
DBT
CORP
US
N
2
2062-08-15
Fixed
4.65000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBF1
300000.00000000
PA
USD
231889.87000000
0.197526952681
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.13000000
N
N
N
N
N
N
CBRE SERVICES INC
549300CTE3HOMEUMM603
CBRE Services Inc
12505BAG5
200000.00000000
PA
USD
197825.90000000
0.168510798632
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
5.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 2.877000 20-SEP-2033 EST
000000000
700000.00000000
OU
Notional Amount
2603.25000000
0.002217483840
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
EUR
0.00000000
EUR
700000.00000000
EUR
2603.25000000
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAZ9
250000.00000000
PA
USD
228909.02000000
0.194987824013
Long
DBT
CORP
US
N
2
2026-10-05
Fixed
3.24000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.031000 20-SEP-2025_
000000000
3500000.00000000
OU
Notional Amount
USD
45768.55000000
0.038986274864
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
USD
0.00000000
USD
3500000.00000000
USD
45768.55000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1921.90000000
-0.00163710062
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
70000000.00000000
CLP
80183.28000000
USD
2023-09-05
-1921.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.235500 20-SEP-2033 SON_
000000000
1600000.00000000
OU
Notional Amount
10162.31000000
0.008656394203
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
0.00000000
GBP
1600000.00000000
GBP
10162.31000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
1339.16000000
0.001140714745
N/A
DFE
CA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
302217.02000000
USD
410000.00000000
CAD
2023-09-29
1339.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.056000 20-SEP-2033 3M
000000000
10000000.00000000
OU
Notional Amount
-9404.67000000
-0.00801102612
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
SEK
0.00000000
SEK
10000000.00000000
SEK
-9404.67000000
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CT9
200000.00000000
PA
USD
198385.51000000
0.168987482060
Long
DBT
CORP
JP
N
2
2031-02-22
Fixed
5.48000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AZ0
150000.00000000
PA
USD
136017.11000000
0.115861228655
Long
DBT
CORP
US
N
2
2029-11-19
Fixed
3.90000000
N
N
N
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR Capital Corp
302635AK3
300000.00000000
PA
USD
245031.86000000
0.208721478932
Long
DBT
CORP
US
N
2
2028-10-12
Fixed
3.13000000
N
N
N
N
N
N
Cardinal Health Inc
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBM9
300000.00000000
PA
USD
240238.11000000
0.204638097327
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
4.37000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.840000 20-SEP-2033_
000000000
1309000.00000000
OU
Notional Amount
-19141.31000000
-0.01630482881
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
3367.70000000
CHF
0.00000000
CHF
1309000.00000000
CHF
-22846.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.917600 20-SEP-2025 3M
000000000
60000000.00000000
OU
Notional Amount
-2132.39000000
-0.00181639887
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
24933.84000000
SEK
0.00000000
SEK
60000000.00000000
SEK
-4567.62000000
N
N
N
Aircastle Ltd
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAQ4
250000.00000000
PA
USD
245673.89000000
0.209268368839
Long
DBT
CORP
BM
N
2
2024-05-01
Fixed
4.13000000
N
N
N
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR Capital Corp
302635AG2
150000.00000000
PA
USD
137544.40000000
0.117162195099
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.40000000
N
N
N
N
N
N
TRANE TECHNOLOGIES LUX
549300GHBOWCVY92IS29
Trane Technologies Luxembourg Finance SA
456873AD0
150000.00000000
PA
USD
139982.81000000
0.119239265980
Long
DBT
CORP
LU
N
2
2029-03-21
Fixed
3.80000000
N
N
N
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAJ9
250000.00000000
PA
USD
220047.23000000
0.187439230476
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2685.98000000
-0.00228795438
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
830000.00000000
EUR
899745.40000000
USD
2023-10-31
-2685.98000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
29153.25000000
0.024833135803
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
5700000.00000000
SEK
550656.11000000
USD
2023-10-10
29153.25000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.600500 20-SEP-2033 AUD
000000000
2400000.00000000
OU
Notional Amount
29274.24000000
0.024936196735
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
AUD
0.00000000
AUD
2400000.00000000
AUD
29274.24000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1430.51000000
-0.00121852792
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
250271500.00000000
CLP
292120.71000000
USD
2023-09-05
-1430.51000000
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BT5
200000.00000000
PA
USD
188816.20000000
0.160836213341
Long
DBT
CORP
GB
N
2
2029-06-19
Fixed
4.58000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-10262.07000000
-0.00874137113
N/A
DFE
SE
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
467720.72000000
USD
5000000.00000000
SEK
2023-10-10
-10262.07000000
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BW8
150000.00000000
PA
USD
148058.61000000
0.126118342520
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.60000000
N
N
N
N
N
N
CENCORA INC
AI8GXW8LG5WK7E9UD086
Cencora Inc
03073EAM7
250000.00000000
PA
USD
241832.83000000
0.205996501564
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.182200 20-SEP-2025_
000000000
11690000.00000000
OU
Notional Amount
-99458.90000000
-0.08472044696
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
CAD
-13474.77000000
CAD
11690000.00000000
CAD
-89548.07000000
N
N
N
JAPAN TREASURY DISC BILL
353800WZS8AXZXFUC241
Japan Treasury Discount Bill
000000000
1920000000.00000000
PA
13197314.48000000
11.24165239654
Long
STIV
NUSS
JP
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JK4
250000.00000000
PA
USD
224825.87000000
0.191509741176
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.338500 20-SEP-2033 SON_
000000000
1100000.00000000
OU
Notional Amount
-4310.13000000
-0.00367142749
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
0.00000000
GBP
1100000.00000000
GBP
-4310.13000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.354000 20-SEP-2033_
000000000
800000.00000000
OU
Notional Amount
USD
-29102.87000000
-0.02479022143
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
USD
0.00000000
USD
800000.00000000
USD
-29102.87000000
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBD7
150000.00000000
PA
USD
147039.97000000
0.125250651080
Long
DBT
CORP
US
N
2
2025-06-09
Fixed
4.26000000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAL1
200000.00000000
PA
USD
191227.64000000
0.162890310809
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
4.70000000
N
N
N
N
N
N
TRITON CONTAINER/TAL INT
N/A
Triton Container International Ltd / TAL International Container Corp
89681LAA0
200000.00000000
PA
USD
155402.56000000
0.132374019252
Long
DBT
CORP
BM
N
2
2032-03-15
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD RON
000000000
1.00000000
NC
-130.68000000
-0.00011131500
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3081041.00000000
RON
675755.80000000
USD
2023-09-27
-130.68000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-21428.05000000
-0.01825270512
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
5590000.00000000
NZD
3312477.48000000
USD
2023-11-29
-21428.05000000
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEZ3
150000.00000000
PA
USD
143321.18000000
0.122082935059
Long
DBT
CORP
US
N
2
2035-12-09
Fixed
4.70000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4787.62000000
0.004078159986
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
620000.00000000
EUR
678892.99000000
USD
2023-10-31
4787.62000000
N
N
N
VONTIER CORP
549300VVSQLG4P5K4639
Vontier Corp
928881AF8
300000.00000000
PA
USD
237747.45000000
0.202516519183
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.95000000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BP4
200000.00000000
PA
USD
202816.81000000
0.172762123813
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.25000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
100000.00000000
PA
USD
92610.98000000
0.078887295353
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
3391.64000000
0.002889045191
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1080000.00000000
CHF
1230896.88000000
USD
2023-10-12
3391.64000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.449500 20-SEP-2033 SON
000000000
1200000.00000000
OU
Notional Amount
17982.85000000
0.015318036794
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
GBP
0.00000000
GBP
1200000.00000000
GBP
17982.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 5.871000 20-SEP-2025 SON_
000000000
3000000.00000000
OU
Notional Amount
27744.86000000
0.023633450001
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
GBP
0.00000000
GBP
3000000.00000000
GBP
27744.86000000
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HDA0
250000.00000000
PA
USD
246943.97000000
0.210350240298
Long
DBT
CORP
US
N
2
2034-06-08
Fixed
6.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.101500 20-SEP-2033_
000000000
2907000.00000000
OU
Notional Amount
-57303.04000000
-0.04881151069
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
5743.45000000
GBP
0.00000000
GBP
2907000.00000000
GBP
-64453.92000000
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AY3
150000.00000000
PA
USD
140883.62000000
0.120006588219
Long
DBT
CORP
US
N
2
2026-11-19
Fixed
3.55000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
150000.00000000
PA
USD
139666.91000000
0.118970178053
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022691
1600000.00000000
PA
USD
1325374.99000000
1.128972485669
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
2.50000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ER5
350000.00000000
PA
USD
277717.84000000
0.236563842312
Long
DBT
CORP
US
N
2
2067-09-15
Fixed
4.10000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-5899.01000000
-0.00502485714
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
170109.36000000
USD
140000000.00000000
CLP
2023-09-05
-5899.01000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.415600 20-SEP-2033_
000000000
7011000.00000000
OU
Notional Amount
17604.61000000
0.014995846806
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
AUD
-9050.10000000
AUD
7011000.00000000
AUD
23623.38000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
3933.84000000
0.003350898543
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
100000000.00000000
HUF
287757.48000000
USD
2023-09-14
3933.84000000
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BU2
150000.00000000
PA
USD
121674.77000000
0.103644227910
Long
DBT
CORP
US
N
2
2031-05-24
Fixed
2.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 5.856500 20-SEP-2025 SON_
000000000
3500000.00000000
OU
Notional Amount
31181.87000000
0.026561141976
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
GBP
0.00000000
GBP
3500000.00000000
GBP
31181.87000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-36.52000000
-0.00003110823
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
120000.00000000
PEN
32270.64000000
USD
2023-11-28
-36.52000000
N
N
N
DENTSPLY SIRONA INC
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA Inc
24906PAA7
250000.00000000
PA
USD
214766.89000000
0.182941364875
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
FORTUNE BRANDS INNOVATIO
54930032LHW54PQUJD44
Fortune Brands Innovations Inc
34964CAH9
200000.00000000
PA
USD
199205.04000000
0.169685568887
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.010500 20-SEP-2033 3M
000000000
11000000.00000000
OU
Notional Amount
-14209.49000000
-0.01210383730
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
SEK
0.00000000
SEK
11000000.00000000
SEK
-14209.49000000
N
N
N
GMO Emerging Country Debt
KCRGSH2QB4OQ3874HQ90
GMO Emerging Country Debt
36262F103
247730.95000000
NS
USD
4592931.74000000
3.912321872785
Long
EC
RF
US
N
1
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
250000.00000000
PA
USD
241319.33000000
0.205559095264
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
184215.12000000
0.156916950669
Long
DBT
CORP
JP
N
2
2033-04-19
Fixed
4.32000000
N
N
N
N
N
N
KIRBY CORPORATION
I7NO6FZO5GUCG585T325
Kirby Corp
497266AC0
150000.00000000
PA
USD
140796.53000000
0.119932403770
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.20000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
1690.08000000
0.001439633185
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1200000.00000000
PLN
291515.95000000
USD
2023-11-22
1690.08000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
9799.72000000
0.008347535098
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
5242868.00000000
CZK
245622.23000000
USD
2023-10-17
9799.72000000
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YCT4
200000.00000000
PA
USD
198927.22000000
0.169448918023
Long
DBT
CORP
JP
N
2
2034-05-27
Fixed
5.75000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc/Ontario
775109CK5
150000.00000000
PA
USD
116227.83000000
0.099004450158
Long
DBT
CORP
CA
N
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172BD0
250000.00000000
PA
USD
219779.68000000
0.187211327738
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
202863.02000000
0.172801486121
Long
DBT
CORP
JP
N
2
2033-01-13
Fixed
5.77000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-6860.92000000
-0.00584422519
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
710000.00000000
AUD
454248.56000000
USD
2023-11-08
-6860.92000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-PRM
29429JAG5
3380000.00000000
PA
USD
3356901.42000000
2.859454395081
Long
ABS-MBS
CORP
US
N
2
2036-05-10
Fixed
3.90000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
5778.83000000
0.004922486178
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
8400000.00000000
ZAR
449639.69000000
USD
2023-09-29
5778.83000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-111561.40000000
-0.09502952146
N/A
DFE
CA
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
5373583.39000000
USD
7107182.00000000
CAD
2023-09-29
-111561.40000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-427.54000000
-0.00036418440
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
600000.00000000
PLN
144485.39000000
USD
2023-11-22
-427.54000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.768000 20-SEP-2033 SAR
000000000
500000.00000000
OU
Notional Amount
-3544.89000000
-0.00301958563
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
500000.00000000
CHF
-3544.89000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
10407.35000000
0.008865122616
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
640000.00000000
EUR
706258.05000000
USD
2023-10-31
10407.35000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
2444.25000000
0.002082045473
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
7897350.00000000
SEK
724986.46000000
USD
2023-10-10
2444.25000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.816000 20-SEP-2033 SAR
000000000
900000.00000000
OU
Notional Amount
-10900.65000000
-0.00928532228
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
900000.00000000
CHF
-10900.65000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 4.553900 20-SEP-2033 AUD
000000000
20220000.00000000
OU
Notional Amount
197272.47000000
0.168039379413
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
AUD
-15755.51000000
AUD
20220000.00000000
AUD
207447.38000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD RON
000000000
1.00000000
NC
251.38000000
0.000214128911
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
200000.00000000
RON
44125.28000000
USD
2023-09-27
251.38000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-289460.89000000
-0.24656673239
N/A
DFE
NO
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
5034615.90000000
USD
50385429.00000000
NOK
2023-10-17
-289460.89000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.797600 20-SEP-2025_
000000000
6030000.00000000
OU
Notional Amount
6380.60000000
0.005435082068
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
CHF
-6325.16000000
CHF
6030000.00000000
CHF
13339.74000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022493
5300000.00000000
PA
USD
4766066.39000000
4.059800328046
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
2.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
566.95000000
0.000482935739
N/A
DFE
CZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
89392.41000000
USD
2000000.00000000
CZK
2023-10-17
566.95000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
50000.00000000
PA
USD
48644.29000000
0.041435869402
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.81000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.430500 20-SEP-2033 SOF_
000000000
600000.00000000
OU
Notional Amount
USD
-18062.00000000
-0.01538545784
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
USD
0.00000000
USD
600000.00000000
USD
-18062.00000000
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAH7
200000.00000000
PA
USD
157498.41000000
0.134159292855
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
1269.83000000
0.001081658505
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
280000000.00000000
COP
69721.12000000
USD
2023-09-05
1269.83000000
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc/Ontario
775109BB6
150000.00000000
PA
USD
127799.10000000
0.108861015698
Long
DBT
CORP
CA
N
2
2044-03-15
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NZD 4.410000 20-SEP-2033_
000000000
1500000.00000000
OU
Notional Amount
-21111.35000000
-0.01798293574
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
NZD
0.00000000
NZD
1500000.00000000
NZD
-21111.35000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-1323.48000000
-0.00112735830
N/A
DFE
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
647488.35000000
USD
510000.00000000
GBP
2023-10-18
-1323.48000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
796.52000000
0.000678486595
N/A
DFE
CO
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
501258.97000000
USD
2053658000.00000000
COP
2023-09-05
796.52000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-61.75000000
-0.00005259949
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
7500000.00000000
PHP
132440.98000000
USD
2023-09-22
-61.75000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-817.68000000
-0.00069651097
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
30000000.00000000
HUF
84329.41000000
USD
2023-09-14
-817.68000000
N
N
N
FORTUNE BRANDS INNOVATIO
54930032LHW54PQUJD44
Fortune Brands Innovations Inc
34964CAE6
250000.00000000
PA
USD
220480.03000000
0.187807895416
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.25000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
672.08000000
0.000572486906
N/A
DFE
SE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
173162.21000000
USD
1900000.00000000
SEK
2023-10-10
672.08000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
101.55000000
0.000086501674
N/A
DFE
IN
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
246283.01000000
USD
20420556.00000000
INR
2023-11-15
101.55000000
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBY0
300000.00000000
PA
USD
203887.30000000
0.173673981789
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.85000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YAR0
200000.00000000
PA
USD
188494.93000000
0.160562551175
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
233510.57000000
0.198907487037
Long
DBT
CORP
BM
N
2
2028-01-12
Fixed
4.13000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDU7
150000.00000000
PA
USD
149143.17000000
0.127042185514
Long
DBT
CORP
US
N
2
2029-07-24
Fixed
5.30000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-38461.23000000
-0.03276180006
N/A
DFE
BR
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1006138.20000000
USD
4813667.00000000
BRL
2023-10-03
-38461.23000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.824000 20-SEP-2025 3M
000000000
50000000.00000000
OU
Notional Amount
9878.82000000
0.008414913556
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
SEK
0.00000000
SEK
50000000.00000000
SEK
9878.82000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.718500 20-SEP-2033 SAR_
000000000
800000.00000000
OU
Notional Amount
-1528.65000000
-0.00130212491
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
CHF
0.00000000
CHF
800000.00000000
CHF
-1528.65000000
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBK1
200000.00000000
PA
USD
182378.61000000
0.155352586413
Long
DBT
US
N
2
2025-09-15
Fixed
1.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
127.57000000
0.000108665865
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
950000.00000000
EUR
1033030.95000000
USD
2023-10-31
127.57000000
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAK7
150000.00000000
PA
USD
147467.11000000
0.125614494756
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 3.442200 20-SEP-2025 EST
000000000
2500000.00000000
OU
Notional Amount
-5089.80000000
-0.00433556103
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
EUR
-110.27000000
EUR
2500000.00000000
EUR
-4965.83000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
25867.26000000
0.022034084723
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1410000.00000000
EUR
1558913.34000000
USD
2023-10-31
25867.26000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-2398.22000000
-0.00204283649
N/A
DFE
NO
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
237841.04000000
USD
2500000.00000000
NOK
2023-10-17
-2398.22000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 2.985500 20-SEP-2033_
000000000
13000000.00000000
OU
Notional Amount
-19302.37000000
-0.01644202192
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
SEK
0.00000000
SEK
13000000.00000000
SEK
-19302.37000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
200000.00000000
PA
USD
174556.59000000
0.148689683138
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 CLP
000000000
1.00000000
NC
-1216.50000000
-0.00103623128
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
100000000.00000000
CLP
116076.61000000
USD
2023-09-05
-1216.50000000
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BB8
200000.00000000
PA
USD
188176.29000000
0.160291129279
Long
DBT
CORP
NL
N
2
2028-03-28
Fixed
4.02000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-1387.56000000
-0.00118194252
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
190000000.00000000
KRW
142453.35000000
USD
2023-11-02
-1387.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 4.465000 20-SEP-2025 SOF_
000000000
2500000.00000000
OU
Notional Amount
USD
12215.73000000
0.010405525354
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
USD
0.00000000
USD
2500000.00000000
USD
12215.73000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC23
000000000
44.00000000
NC
USD
108904.09000000
0.092765988580
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNZ3 Comdty
2023-12-19
5587720.91000000
USD
108904.09000000
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAJ4
200000.00000000
PA
USD
195596.00000000
0.166611339412
Long
DBT
CORP
US
N
2
2045-04-23
Fixed
5.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 3.591000 20-SEP-2025_
000000000
60000000.00000000
OU
Notional Amount
36056.21000000
0.030713171241
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
SEK
0.00000000
SEK
60000000.00000000
SEK
36056.21000000
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBF2
150000.00000000
PA
USD
149140.68000000
0.127040064498
Long
DBT
CORP
US
N
2
2029-03-09
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS 1.851000 20-SEP-2025 SAR
000000000
2000000.00000000
OU
Notional Amount
4510.75000000
0.003842318346
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-22
0.00000000
CHF
0.00000000
CHF
2000000.00000000
CHF
4510.75000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
655.62000000
0.000558466054
N/A
DFE
ID
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
78069.09000000
USD
1200000000.00000000
IDR
2023-11-02
655.62000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
5143.54000000
0.004381337495
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
29745600.00000000
TWD
944304.76000000
USD
2023-11-28
5143.54000000
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EU3
300000.00000000
PA
USD
214117.66000000
0.182388341910
Long
DBT
CORP
US
N
2
2041-09-22
Fixed
2.50000000
N
N
N
N
N
N
2023-09-22
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer