0001752724-24-128465.txt : 20240530
0001752724-24-128465.hdr.sgml : 20240530
20240530140546
ACCESSION NUMBER: 0001752724-24-128465
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240331
FILED AS OF DATE: 20240530
DATE AS OF CHANGE: 20240530
PERIOD START: 20240930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL MANAGED TRUST
CENTRAL INDEX KEY: 0000804239
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04878
FILM NUMBER: 241003859
BUSINESS ADDRESS:
STREET 1: 2 OLIVER ST
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 8003455734
MAIL ADDRESS:
STREET 1: SEI INVESTMENTS
STREET 2: 1 FREEDOM VALLEY DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
FORMER COMPANY:
FORMER CONFORMED NAME: TRUSTFUNDS INSTITUTIONAL MANAGED TRUST
DATE OF NAME CHANGE: 19890509
0000804239
S000035782
SIMT MULTI-ASSET CAPITAL STABILITY FUND
C000109627
Class F
SCLAX
C000147406
Class Y
SMLYX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000804239
XXXXXXXX
S000035782
C000147406
C000109627
SEI INSTITUTIONAL MANAGED TRUST
811-04878
0000804239
9FTE3UO0Y1HGMNV0D371
2 OLIVER STREET
BOSTON
02109
8003455734
SIMT Multi-Asset Capital Stability Fund
S000035782
C7C50PC2E3ID1LW1C681
2024-09-30
2024-03-31
N
547979327.39
5004702.47
542974624.92
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
6073443.07000000
JPY
USD
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PHP SETTLE 2024-04-25
N/A
1.00000000
NC
USD
181.71000000
0.000033465652
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
49166000.00000000
PHP
875151.30000000
USD
2024-04-25
181.71000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SEK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
7948.88000000
0.001463950548
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
5793000.00000000
SEK
550579.15000000
USD
2024-04-30
7948.88000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/TWD SETTLE 2024-05-24
N/A
1.00000000
NC
USD
6757.71000000
0.001244571972
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
15395169.00000000
TWD
489523.98000000
USD
2024-05-24
6757.71000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: CLP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-11209.71000000
-0.00206449979
N/A
DFE
CL
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
555712.57000000
USD
534723310.00000000
CLP
2024-05-16
-11209.71000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
1271.75000000
0.000234219048
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
235000.00000000
AUD
154642.69000000
USD
2024-04-18
1271.75000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-8439.62000000
-0.00155433046
N/A
DFE
CH
N
2
SWISS FRANC
N/A
421214.17000000
USD
370000.00000000
CHF
2024-05-08
-8439.62000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/COP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
-3067.22000000
-0.00056489195
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
788041000.00000000
COP
199326.93000000
USD
2024-05-16
-3067.22000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
228.00000000
NC
USD
24399562.50000000
4.493683752458
N/A
DIR
US
N
1
US 5YR NOTE (CBT) JUN24
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2024
2024-07-01
24368153.84000000
USD
31408.66000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/BRL SETTLE 2024-04-02
N/A
1.00000000
NC
USD
7490.32000000
0.001379497246
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
7799866.00000000
BRL
1564981.14000000
USD
2024-04-02
7490.32000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: INR/USD SETTLE 2024-06-14
N/A
1.00000000
NC
-3352.86000000
-0.00061749846
N/A
DFE
IN
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
586521.56000000
USD
48720000.00000000
INR
2024-06-14
-3352.86000000
N
N
N
GOLDMAN SACHS & CO. LLC
KD3XUN7C6T14HNAYLU02
Credit Default Swap
CD1416329
-600000.00000000
NC
USD
13762.62000000
0.002534670934
N/A
DCR
US
N
2
GOLDMAN SACHS & CO. LLC
KD3XUN7C6T14HNAYLU02
Y
2028-06-20
7887.88000000
USD
0.00000000
USD
-600000.00000000
USD
5874.74000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
778.45000000
0.000143367657
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
184000.00000000
AUD
120864.63000000
USD
2024-04-18
778.45000000
N
N
N
N/A
N/A
MSCI EAFE JUN24 PHYSICAL INDEX FUTURE.
N/A
140.00000000
NC
USD
16499700.00000000
3.038760789683
N/A
DE
US
N
1
MSCI EAFE JUN24
N/A
Long
NYL - MSCI EAFE MINI INDEX Jun 2024
N/A
N/A
2024-06-24
16448889.80000000
USD
50810.20000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-2502.76000000
-0.00046093498
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
103176.33000000
USD
1091000.00000000
NOK
2024-04-30
-2502.76000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-20330.50000000
-0.00374428178
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
759445.54000000
USD
23570000.00000000
TWD
2024-05-24
-20330.50000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-06-13
N/A
1.00000000
NC
-10524.84000000
-0.00193836682
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
2311575.90000000
USD
3110000.00000000
CAD
2024-06-13
-10524.84000000
N
N
N
N/A
N/A
AMERICAN HONDA FINANCE CP COMMERCIAL PAPER (ISITC)
02665J999
3300000.00000000
PA
USD
3268237.50000000
0.601913487298
Long
ABS-APCP
US
N
2
2024-05-10
None
0.00000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/KRW SETTLE 2024-04-18
N/A
1.00000000
NC
USD
8520.12000000
0.001569156201
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
544396000.00000000
KRW
412802.74000000
USD
2024-04-18
8520.12000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: CLP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-6992.87000000
-0.00128788154
N/A
DFE
CL
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
214941.74000000
USD
204214000.00000000
CLP
2024-05-16
-6992.87000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SEK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
13440.34000000
0.002475316411
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
4368139.00000000
SEK
422603.89000000
USD
2024-04-30
13440.34000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-890.42000000
-0.00016398924
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
95183.05000000
USD
376000.00000000
PLN
2024-04-19
-890.42000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/EUR SETTLE 2024-04-19
N/A
1.00000000
NC
1057.88000000
0.000194830467
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
220227.03000000
EUR
953417.00000000
PLN
2024-04-19
1057.88000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
808.36000000
0.000148876202
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
286885.54000000
USD
16166000.00000000
PHP
2024-04-25
808.36000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-2955.53000000
-0.00054432193
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
352537.15000000
USD
276740.00000000
GBP
2024-04-19
-2955.53000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 05/02/2024
912797HH3
44600000.00000000
PA
USD
44397237.70000000
8.176668975376
Long
DBT
UST
US
N
2
2024-05-02
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRK: MORGAN STANLEY & CO. LLC PAY: 6-MONTH AUD - BBSW
N/A
540000.00000000
NC
7838.82000000
0.001443680724
N/A
DIR
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2033-07-31
0.00000000
AUD
0.00000000
AUD
-540000.00000000
AUD
7838.82000000
N
N
N
N/A
N/A
E-MINI RUSS 2000 JUN24 PHYSICAL INDEX FUTURE.
N/A
39.00000000
NC
USD
4184505.00000000
0.770663085888
N/A
DE
US
N
1
E-MINI RUSS 2000 JUN24
N/A
Long
Russell 2000 E-mini Composite Index Futures Jun 2024
N/A
N/A
2024-06-24
4087119.23000000
USD
97385.77000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-7433.77000000
-0.00136908239
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
910038.06000000
USD
1383000.00000000
AUD
2024-04-18
-7433.77000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
4748.27000000
0.000874492063
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
326627.86000000
USD
6285000.00000000
ZAR
2024-04-19
4748.27000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-469.66000000
-0.00008649759
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
32530.65000000
USD
342276.00000000
SEK
2024-04-30
-469.66000000
N
N
N
ROGERS COMMUNICATIONS INC
5493000M6Z4XFIP6PF03
ROGERS COMMUNICATIONS INC COMMERCIAL PAPER (ISITC)
77511LE25
5000000.00000000
PA
USD
4972947.90000000
0.915871142363
Long
ABS-APCP
US
N
2
2024-05-02
None
0.00000000
N
N
N
N
N
N
THE FEDERAL HOME LOAN BANKS
N/A
FEDERAL HOME LOAN BANK 4.500000% 03/10/2028
3130ATS57
7260000.00000000
PA
USD
7291051.60000000
1.342797851939
Long
DBT
USGA
US
N
2
2028-03-10
Fixed
4.50000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/MYR SETTLE 2024-08-21
N/A
1.00000000
NC
USD
1407.30000000
0.000259183382
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1010628.00000000
MYR
215348.88000000
USD
2024-08-21
1407.30000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-15548.32000000
-0.00286354449
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
766534.29000000
USD
1256000.00000000
NZD
2024-05-23
-15548.32000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Credit Default Swap
N/A
-1381313.80000000
NC
144136.61000000
0.026545735911
N/A
DCR
XX
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Y
2028-06-20
90214.49000000
EUR
0.00000000
EUR
-1381313.80000000
EUR
53922.12000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-3/8% 01/15/27
912810PS1
372000.00000000
PA
USD
573127.09000000
0.105553199670
Long
DBT
USGA
US
N
2
2027-01-15
Fixed
2.37500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-491.82000000
-0.00009057881
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
91443.17000000
USD
72000.00000000
GBP
2024-04-19
-491.82000000
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC COMMERCIAL PAPER (ISITC)
0020A2D41
9300000.00000000
PA
USD
9290180.78000000
1.710978810725
Long
ABS-APCP
US
N
2
2024-04-04
None
0.00000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/ZAR SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-603.66000000
-0.00011117646
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1402000.00000000
ZAR
73316.68000000
USD
2024-04-19
-603.66000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
51575.02000000
0.009498605944
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1786000.00000000
CHF
2044048.91000000
USD
2024-05-08
51575.02000000
N
N
N
N/A
N/A
FTSE 100 IDX FUT JUN24 PHYSICAL INDEX FUTURE.
N/A
-24.00000000
NC
-2421798.61000000
-0.44602427053
N/A
DE
GB
N
1
FTSE 100 IDX FUT JUN24
N/A
Short
FTSE 100 IDX FUT Jun 2024
N/A
N/A
2024-06-24
-2404296.54000000
GBP
-17502.07000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: BRL/USD SETTLE 2024-04-02
N/A
1.00000000
NC
-7273.41000000
-0.00133954878
N/A
DFE
BR
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1519662.92000000
USD
7574000.00000000
BRL
2024-04-02
-7273.41000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-43127.07000000
-0.00794274134
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
1760627.25000000
USD
18612559.00000000
NOK
2024-04-30
-43127.07000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PHP SETTLE 2024-04-25
N/A
1.00000000
NC
USD
4619.17000000
0.000850715629
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
19144000.00000000
PHP
345310.25000000
USD
2024-04-25
4619.17000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 10/15/2025
91282CAQ4
573600.00000000
PA
USD
661379.55000000
0.121806714281
Long
DBT
USGA
US
N
2
2025-10-15
Fixed
0.12500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-06-13
N/A
1.00000000
NC
-7122.24000000
-0.00131170770
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
1899662.75000000
USD
2557875.00000000
CAD
2024-06-13
-7122.24000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
248.92000000
0.000045843762
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
137908.05000000
USD
2194117000.00000000
IDR
2024-04-25
248.92000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-57065.07000000
-0.01050971212
N/A
DFE
CH
N
2
SWISS FRANC
N/A
2793474.32000000
USD
2452843.65000000
CHF
2024-05-08
-57065.07000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-7318.62000000
-0.00134787514
N/A
DFE
KR
N
2
KOREAN WON
N/A
418957.25000000
USD
554301394.00000000
KRW
2024-04-18
-7318.62000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CLP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
3413.05000000
0.000628583702
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
160738000.00000000
CLP
167090.79000000
USD
2024-05-16
3413.05000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Credit Default Swap
CD1414646
-663300.00000000
NC
USD
48741.12000000
0.008976684685
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Y
2028-06-20
17443.22000000
USD
0.00000000
USD
-663300.00000000
USD
31297.90000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CNY SETTLE 2024-05-23
N/A
1.00000000
NC
USD
26507.83000000
0.004881964788
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
20651327.00000000
CNY
2878073.28000000
USD
2024-05-23
26507.83000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-13904.94000000
-0.00256088210
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
581545.10000000
USD
6060000.00000000
SEK
2024-04-30
-13904.94000000
N
N
N
N/A
N/A
S&P/TSX 60 IX FUT JUN24 PHYSICAL INDEX FUTURE.
N/A
2.00000000
NC
396497.32000000
0.073023176738
N/A
DE
CA
N
1
S&P/TSX 60 IX FUT JUN24
N/A
Long
S&P/TSE 60 IX FUT Jun 2024
N/A
N/A
2024-06-23
391469.10000000
CAD
5028.22000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-33961.39000000
-0.00625469192
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
1386445.99000000
USD
14656883.10000000
NOK
2024-04-30
-33961.39000000
N
N
N
N/A
N/A
MSCI EMGMKT JUN24 PHYSICAL INDEX FUTURE.
N/A
258.00000000
NC
USD
13532100.00000000
2.492215911930
N/A
DE
US
N
1
MSCI EMGMKT JUN24
N/A
Long
US MSCI Emerging Markets Equity Index Future Jun 2024
N/A
N/A
2024-06-24
13608977.01000000
USD
-76877.01000000
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE NORTH AMER IN COMMERCIAL PAPER (ISITC)
83369BD11
10500000.00000000
PA
USD
10493806.68000000
1.932651398128
Long
ABS-APCP
US
N
2
2024-04-01
None
0.00000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-1028.08000000
-0.00018934218
N/A
DFE
KR
N
2
KOREAN WON
N/A
78645.12000000
USD
104517000.00000000
KRW
2024-04-18
-1028.08000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/IDR SETTLE 2024-04-25
N/A
1.00000000
NC
USD
5014.94000000
0.000923604855
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
10792884081.00000000
IDR
684610.47000000
USD
2024-04-25
5014.94000000
N
N
N
UBS Group AG
BFM8T61CT2L1QCEMIK50
BRK: UBS AG REC: 3 MONTH AUD - BBSW
N/A
1560000.00000000
NC
1005.98000000
0.000185272009
N/A
DIR
AU
N
2
UBS Group AG
BFM8T61CT2L1QCEMIK50
Y
2034-03-11
0.00000000
AUD
0.00000000
AUD
-1560000.00000000
AUD
1005.98000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-2241.78000000
-0.00041287012
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
379806.66000000
USD
21216000.00000000
PHP
2024-04-25
-2241.78000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 01/15/26
912828N71
2132700.00000000
PA
USD
2687188.22000000
0.494901252594
Long
DBT
USGA
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
PLAINS ALL AMERICAN PIPELINE, L.P.
5521FA2ITF25TVH63740
PLAINS ALL AMERN PIPELINE L P COMMERCIAL PAPER (ISITC)
72650WD32
2000000.00000000
PA
USD
1998190.48000000
0.368008077779
Long
ABS-APCP
US
N
2
2024-04-03
None
0.00000000
N
N
N
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
101.00000000
NC
8981592.47000000
1.654145895183
N/A
DIR
CA
N
1
CAN 10YR BOND FUT JUN24
N/A
Long
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2024
2024-06-22
8966593.26000000
CAD
14999.21000000
N
N
N
N/A
N/A
SPI 200 FUTURES JUN24 PHYSICAL INDEX FUTURE.
N/A
-16.00000000
NC
-2074895.62000000
-0.38213491474
N/A
DE
AU
N
1
SPI 200 FUTURES JUN24
N/A
Short
SPI 200 Future Jun 2024
N/A
N/A
2024-06-23
-2025766.90000000
AUD
-49128.72000000
N
N
N
Vanguard Mortgage-Backed Secs Idx Fund
N/A
VANGUARD MORTGAGE-BACKED SEC MUTUAL FUND
92206C771
32040.00000000
NS
USD
1461344.40000000
0.269136775998
Long
EC
RF
US
N
1
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-1710.58000000
-0.00031503866
N/A
DFE
KR
N
2
KOREAN WON
N/A
117865.46000000
USD
156411000.00000000
KRW
2024-04-18
-1710.58000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33
91282CHP9
2744400.00000000
PA
USD
2673169.90000000
0.492319489219
Long
DBT
USGA
US
N
2
2033-07-15
Fixed
1.37500000
N
N
N
N
N
N
UBS Group AG
BFM8T61CT2L1QCEMIK50
BRK: UBS AG PAY: 6-MONTH AUD - BBSW
N/A
1390000.00000000
NC
47198.05000000
0.008692496450
N/A
DIR
AU
N
2
UBS Group AG
BFM8T61CT2L1QCEMIK50
Y
2033-11-10
0.00000000
AUD
0.00000000
AUD
-1390000.00000000
AUD
47198.05000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-20783.61000000
-0.00382773136
N/A
DFE
CH
N
2
SWISS FRANC
N/A
715806.70000000
USD
623000.00000000
CHF
2024-05-08
-20783.61000000
N
N
N
Corporacion Andina de Fomento
UKZ46SXGNYCZK0UOZE76
CORPORACION ANDINA DE FOMENTO COMMERCIAL PAPER (ISITC)
2198X2D30
6900000.00000000
PA
USD
6893885.29000000
1.269651466864
Long
ABS-APCP
US
N
2
2024-04-03
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-3/8% 04/15/32
912810FQ6
264800.00000000
PA
USD
509330.51000000
0.093803740842
Long
DBT
USGA
US
N
2
2032-04-15
Fixed
3.37500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/IDR SETTLE 2024-04-25
N/A
1.00000000
NC
USD
3303.98000000
0.000608496207
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
6239828000.00000000
IDR
396207.23000000
USD
2024-04-25
3303.98000000
N
N
N
Brookfield Infrastructure Holdings (Canada) Inc.
549300GV8LYH0T7DZO77
BROOKFIELD INFRASTRUCTURE HLDG COMMERCIAL PAPER (ISITC)
11275MDA1
10000000.00000000
PA
USD
9980161.50000000
1.838053021625
Long
ABS-APCP
US
N
2
2024-04-10
None
0.00000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-4974.28000000
-0.00091611647
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
324648.80000000
USD
5076858000.00000000
IDR
2024-04-25
-4974.28000000
N
N
N
VW CREDIT, INC.
549300UUPJ2NXDB68M19
VW CREDIT INC 0% CP 05/17/2024 COMMERCIAL PAPER (ISITC)
91842JEH8
10500000.00000000
PA
USD
10418625.00000000
1.918805137815
Long
ABS-APCP
US
N
2
2024-05-17
None
0.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-19
N/A
1.00000000
NC
53.59000000
0.000009869706
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
81198.57000000
USD
324000.00000000
PLN
2024-04-19
53.59000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/THB SETTLE 2024-05-08
N/A
1.00000000
NC
USD
10846.06000000
0.001997526127
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
22339000.00000000
THB
625269.40000000
USD
2024-05-08
10846.06000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/JPY SETTLE 2024-05-16
N/A
1.00000000
NC
USD
3173.60000000
0.000584484035
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
84756537.00000000
JPY
567629.85000000
USD
2024-05-16
3173.60000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
425.81000000
0.000078421712
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
305455.84000000
USD
17188000.00000000
PHP
2024-04-25
425.81000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/COP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
-2458.26000000
-0.00045273938
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
759055000.00000000
COP
192491.35000000
USD
2024-05-16
-2458.26000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2024-04-19
N/A
1.00000000
NC
116.81000000
0.000021512975
N/A
DFE
CZ
N
2
CZECH REPUBLIC KORUNA
N/A
675484.35000000
USD
15816000.00000000
CZK
2024-04-19
116.81000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/JPY SETTLE 2024-05-16
N/A
1.00000000
NC
USD
-806.89000000
-0.00014860547
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
49948323.00000000
JPY
331835.80000000
USD
2024-05-16
-806.89000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-656.84000000
-0.00012097066
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
92975.66000000
USD
2944000.00000000
TWD
2024-05-24
-656.84000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/IDR SETTLE 2024-04-25
N/A
1.00000000
NC
USD
2237.74000000
0.000412126073
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
5337872236.00000000
IDR
338347.54000000
USD
2024-04-25
2237.74000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-570.78000000
-0.00010512093
N/A
DFE
CH
N
2
SWISS FRANC
N/A
144484.07000000
USD
129000.00000000
CHF
2024-05-08
-570.78000000
N
N
N
DEUTSCHE BANK SECURITIES, INC.
9J6MBOOO7BECTDTUZW19
FX Forward Contract: COP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
3413.19000000
0.000628609486
N/A
DFE
CO
N
2
DEUTSCHE BANK SECURITIES, INC.
9J6MBOOO7BECTDTUZW19
233297.10000000
USD
921654175.00000000
COP
2024-05-16
3413.19000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-19
N/A
1.00000000
NC
224.43000000
0.000041333423
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
340081.67000000
USD
1357000.00000000
PLN
2024-04-19
224.43000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 10/15/2025
91282CAQ4
596600.00000000
PA
USD
687899.30000000
0.126690874385
Long
DBT
USGA
US
N
2
2025-10-15
Fixed
0.12500000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-2507.61000000
-0.00046182821
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
157448.95000000
USD
4941000.00000000
TWD
2024-05-24
-2507.61000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
2936.80000000
0.000540872421
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
786336.00000000
GBP
996246.82000000
USD
2024-04-19
2936.80000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-7223.71000000
-0.00133039550
N/A
DFE
CH
N
2
SWISS FRANC
N/A
292819.07000000
USD
256000.00000000
CHF
2024-05-08
-7223.71000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-13526.87000000
-0.00249125269
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
765110.76000000
USD
1257000.00000000
NZD
2024-05-23
-13526.87000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
4812.48000000
0.000886317661
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
425000.00000000
GBP
541678.10000000
USD
2024-04-19
4812.48000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/25/2024
912797HG5
97016000.00000000
PA
USD
96675999.67000000
17.80488354943
Long
DBT
UST
US
N
2
2024-04-25
None
0.00000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-690.58000000
-0.00012718458
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
316342.36000000
USD
17737000.00000000
PHP
2024-04-25
-690.58000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-669.36000000
-0.00012327647
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
253312.00000000
USD
200000.00000000
GBP
2024-04-19
-669.36000000
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FIN CORP COMMERCIAL PAPER (ISITC)
02665JE63
7100000.00000000
PA
USD
7057295.84000000
1.299746897203
Long
ABS-APCP
US
N
2
2024-05-06
None
0.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN24 FINANCIAL COMMODITY FUTURE.
N/A
19.00000000
NC
2786603.74000000
0.513210675436
N/A
DIR
DE
N
1
EURO-BUXL 30Y BND JUN24
N/A
Long
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2024
2024-06-09
2724353.67000000
EUR
62250.07000000
N
N
N
N/A
N/A
S&P500 EMINI FUT JUN24 PHYSICAL INDEX FUTURE.
N/A
49.00000000
NC
USD
13005825.00000000
2.395291493026
N/A
DE
US
N
1
S&P500 EMINI FUT JUN24
N/A
Long
S&P 500 Future (e-Mini) Jun 2024
N/A
N/A
2024-06-24
12715255.07000000
USD
290569.93000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 04/15/2026
91282CCA7
1421600.00000000
PA
USD
1600301.51000000
0.294728599929
Long
DBT
USGA
US
N
2
2026-04-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
BROWN BROTHERS HARRIMAN SWEEP (ACCRUAL ONLY)
N/A
10308615.18000000
PA
USD
0.01000000
0.000000001841
Long
STIV
US
N
2
N
N
N
N/A
N/A
FTSE 100 IDX FUT JUN24 PHYSICAL INDEX FUTURE.
N/A
67.00000000
NC
6760854.46000000
1.245151089886
N/A
DE
GB
N
1
FTSE 100 IDX FUT JUN24
N/A
Long
FTSE 100 IDX FUT Jun 2024
N/A
N/A
2024-06-24
6671020.11000000
GBP
89834.35000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-22999.78000000
-0.00423588487
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1173002.05000000
USD
1923342.00000000
NZD
2024-05-23
-22999.78000000
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAP GRP COMMERCIAL PAPER (ISITC)
05369BDC0
10350000.00000000
PA
USD
10326225.22000000
1.901787808504
Long
ABS-APCP
US
N
2
2024-04-12
None
0.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-21286.67000000
-0.00392038025
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
682816.27000000
USD
7169000.00000000
NOK
2024-04-30
-21286.67000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
USD
1548000.00000000
0.285096195835
N/A
DIR
US
N
1
US ULTRA BOND CBT JUN24
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2024
2024-06-21
1513841.70000000
USD
34158.30000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SGD SETTLE 2024-05-17
N/A
1.00000000
NC
USD
4339.05000000
0.000799125741
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
456461.00000000
SGD
343432.54000000
USD
2024-05-17
4339.05000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: INR/USD SETTLE 2024-06-14
N/A
1.00000000
NC
-42.49000000
-0.00000782541
N/A
DFE
IN
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
79641.67000000
USD
6650000.00000000
INR
2024-06-14
-42.49000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-17098.92000000
-0.00314911953
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
596687.07000000
USD
6281000.00000000
NOK
2024-04-30
-17098.92000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
33816.85000000
0.006228071892
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
14594504.20000000
NOK
1380545.35000000
USD
2024-04-30
33816.85000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-2546.44000000
-0.00046897955
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
335148.62000000
USD
509624.00000000
AUD
2024-04-18
-2546.44000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-5193.83000000
-0.00095655114
N/A
DFE
CH
N
2
SWISS FRANC
N/A
201540.64000000
USD
176000.00000000
CHF
2024-05-08
-5193.83000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-37811.22000000
-0.00696371768
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
1527356.32000000
USD
15902052.00000000
SEK
2024-04-30
-37811.22000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/MYR SETTLE 2024-08-21
N/A
1.00000000
NC
USD
3444.85000000
0.000634440329
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2901000.00000000
MYR
617562.53000000
USD
2024-08-21
3444.85000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
6084.14000000
0.001120520134
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2282000.00000000
NOK
216658.91000000
USD
2024-04-30
6084.14000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TSY INFL IX N/B 0.125000% 04/15/2025
912828ZJ2
636500.00000000
PA
USD
740778.11000000
0.136429600206
Long
DBT
USGA
US
N
2
2025-04-15
Fixed
0.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: PEN/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-2386.52000000
-0.00043952698
N/A
DFE
PE
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
272222.79000000
USD
1004121.00000000
PEN
2024-05-16
-2386.52000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
45184.39000000
0.008321639341
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1942173.00000000
CHF
2211885.95000000
USD
2024-05-08
45184.39000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: BRL/USD SETTLE 2024-05-03
N/A
1.00000000
NC
-7123.32000000
-0.00131190661
N/A
DFE
BR
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1560035.60000000
USD
7799866.00000000
BRL
2024-05-03
-7123.32000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 01/15/2027
912828V49
674000.00000000
PA
USD
820359.51000000
0.151086159895
Long
DBT
USGA
US
N
2
2027-01-15
Fixed
0.37500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-5489.02000000
-0.00101091648
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
318924.01000000
USD
4977766000.00000000
IDR
2024-04-25
-5489.02000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-3371.97000000
-0.00062101797
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
506054.27000000
USD
16030281.00000000
TWD
2024-05-24
-3371.97000000
N
N
N
United States of America
N/A
US LONG BOND(CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
2.00000000
NC
USD
240875.00000000
0.044362109930
N/A
DIR
US
N
1
US LONG BOND(CBT) JUN24
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Jun 2024
2024-06-21
238330.60000000
USD
2544.40000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PHP SETTLE 2024-04-25
N/A
1.00000000
NC
USD
2383.52000000
0.000438974473
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
27569000.00000000
PHP
493007.87000000
USD
2024-04-25
2383.52000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: PEN/USD SETTLE 2024-05-16
N/A
1.00000000
NC
116.33000000
0.000021424573
N/A
DFE
PE
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
140697.58000000
USD
524000.00000000
PEN
2024-05-16
116.33000000
N
N
N
MICROSOFT CORPORATION
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP COMMON STOCK
594918104
1148.00000000
NS
USD
482986.56000000
0.088951957942
Long
EC
US
N
1
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-5/8% 10/15/27
91282CFR7
1601900.00000000
PA
USD
1650864.02000000
0.304040731229
Long
DBT
USGA
US
N
2
2027-10-15
Fixed
1.62500000
N
N
N
N
N
N
N/A
N/A
IBEX 35 INDX FUTR APR24 PHYSICAL INDEX FUTURE.
N/A
20.00000000
NC
2390483.07000000
0.440256866580
N/A
DE
ES
N
1
IBEX 35 INDX FUTR APR24
N/A
Long
IBEX 35 INDX FUTR Apr 2024
N/A
N/A
2024-04-22
2265274.43000000
EUR
125208.64000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-6878.39000000
-0.00126679768
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
476428.36000000
USD
5012811.00000000
SEK
2024-04-30
-6878.39000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
693.14000000
0.000127656057
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
180000.00000000
GBP
228071.52000000
USD
2024-04-19
693.14000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
4.00000000
NC
504996.15000000
0.093005478860
N/A
DIR
GB
N
1
LONG GILT FUTURE JUN24
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2024
2024-06-29
503180.76000000
GBP
1815.39000000
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES, INC.
RLUFFFFW4GRYU77BTS24
HARLEY-DAVIDSON FDG CORP COMMERCIAL PAPER (ISITC)
41282JE31
3050000.00000000
PA
USD
3032541.80000000
0.558505252514
Long
ABS-APCP
US
N
2
2024-05-03
None
0.00000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
12368.19000000
0.002277857828
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
7149000.00000000
NOK
672052.27000000
USD
2024-04-30
12368.19000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2025
912828XL9
2626300.00000000
PA
USD
3339274.49000000
0.614996417280
Long
DBT
USGA
US
N
2
2025-07-15
Fixed
0.37500000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-992.97000000
-0.00018287594
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
232051.18000000
USD
354035.00000000
AUD
2024-04-18
-992.97000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-05-23
N/A
1.00000000
NC
16873.24000000
0.003107555901
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1706114.57000000
USD
28890369.00000000
MXN
2024-05-23
16873.24000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/IDR SETTLE 2024-04-25
N/A
1.00000000
NC
USD
455.22000000
0.000083838172
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1325729000.00000000
IDR
83932.40000000
USD
2024-04-25
455.22000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PHP SETTLE 2024-04-25
N/A
1.00000000
NC
USD
708.59000000
0.000130501494
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
12275893.00000000
PHP
219173.24000000
USD
2024-04-25
708.59000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-2765.51000000
-0.00050932582
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
247546.28000000
USD
409388.00000000
NZD
2024-05-23
-2765.51000000
N
N
N
N/A
N/A
AMSTERDAM IDX FUT APR24 PHYSICAL INDEX FUTURE.
N/A
5.00000000
NC
953938.20000000
0.175687436616
N/A
DE
NL
N
1
AMSTERDAM IDX FUT APR24
N/A
Long
AMSTERDAM IDX FUT Apr 2024
N/A
N/A
2024-04-22
946959.43000000
EUR
6978.77000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
1858.76000000
0.000342329072
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
200000.00000000
GBP
254501.40000000
USD
2024-04-19
1858.76000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-3130.67000000
-0.00057657758
N/A
DFE
CH
N
2
SWISS FRANC
N/A
118038.18000000
USD
103000.00000000
CHF
2024-05-08
-3130.67000000
N
N
N
ANZ Banking Group
JHE42UYNWWTJB8YTTU19
BRK: ANZ BANKING GROUP, MELBOURNE PAY: BKBM- 3 MONTH NZD
N/A
1770000.00000000
NC
41887.59000000
0.007714465479
N/A
DIR
NZ
N
2
ANZ Banking Group
JHE42UYNWWTJB8YTTU19
Y
2033-11-20
0.00000000
NZD
0.00000000
NZD
-1770000.00000000
NZD
41887.59000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/HUF SETTLE 2024-04-19
N/A
1.00000000
NC
USD
4957.05000000
0.000912943215
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
144882000.00000000
HUF
401557.76000000
USD
2024-04-19
4957.05000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-55210.59000000
-0.01016817130
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
1810398.92000000
USD
18738000.00000000
SEK
2024-04-30
-55210.59000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/11/2024
912797HF7
36730000.00000000
PA
USD
36676547.57000000
6.754744307876
Long
DBT
UST
US
N
2
2024-04-11
None
0.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-5813.91000000
-0.00107075169
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
158346.82000000
USD
1653000.00000000
NOK
2024-04-30
-5813.91000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: PEN/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-2507.65000000
-0.00046183557
N/A
DFE
PE
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
197604.79000000
USD
726000.00000000
PEN
2024-05-16
-2507.65000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/ZAR SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-5796.77000000
-0.00106759500
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
9309604.00000000
ZAR
485051.37000000
USD
2024-04-19
-5796.77000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2027
9128282L3
1518500.00000000
PA
USD
1820727.71000000
0.335324640680
Long
DBT
USGA
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SEK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
15106.56000000
0.002782185263
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
3135000.00000000
SEK
308761.99000000
USD
2024-04-30
15106.56000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 07/15/2032
91282CEZ0
2948500.00000000
PA
USD
2836485.23000000
0.522397382827
Long
DBT
USGA
US
N
2
2032-07-15
Fixed
0.62500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/HUF SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-17.17000000
-0.00000316221
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
34807000.00000000
HUF
95263.69000000
USD
2024-04-19
-17.17000000
N
N
N
N/A
N/A
EURO STOXX 50 JUN24 PHYSICAL INDEX FUTURE.
N/A
64.00000000
NC
3487088.66000000
0.642219451878
N/A
DE
DE
N
1
EURO STOXX 50 JUN24
N/A
Long
DJ EURO STOXX 50 FUTR Jun 2024
N/A
N/A
2024-06-24
3440824.43000000
EUR
46264.23000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/BRL SETTLE 2024-05-03
N/A
1.00000000
NC
USD
790.20000000
0.000145531662
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1263000.00000000
BRL
252246.85000000
USD
2024-05-03
790.20000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-167.84000000
-0.00003091120
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
608297.08000000
USD
11534000.00000000
ZAR
2024-04-19
-167.84000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-2599.41000000
-0.00047873507
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
881795.81000000
USD
696000.00000000
GBP
2024-04-19
-2599.41000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-1638.11000000
-0.00030169181
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
131513.93000000
USD
199000.00000000
AUD
2024-04-18
-1638.11000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 2.375% 10/15/2028
91282CJH5
1945800.00000000
PA
USD
2003619.48000000
0.369007940342
Long
DBT
USGA
US
N
2
2028-10-15
Fixed
2.37500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
-3856.71000000
-0.00071029286
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
3937613.00000000
NOK
3837857.51000000
SEK
2024-04-30
-3856.71000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/THB SETTLE 2024-05-08
N/A
1.00000000
NC
USD
169.05000000
0.000031134051
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
29134000.00000000
THB
801485.56000000
USD
2024-05-08
169.05000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
5840.29000000
0.001075610117
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
645000.00000000
AUD
426794.57000000
USD
2024-04-18
5840.29000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-1383.66000000
-0.00025482958
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
461249.00000000
CHF
513188.90000000
USD
2024-05-08
-1383.66000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN24 FINANCIAL COMMODITY FUTURE.
N/A
163.00000000
NC
USD
18059890.63000000
3.326102142003
N/A
DIR
US
N
1
US 10YR NOTE (CBT)JUN24
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2024
2024-06-21
18047789.09000000
USD
12101.54000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-5/8% 04/15/28
912810FD5
974400.00000000
PA
USD
1974167.73000000
0.363583791837
Long
DBT
USGA
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 07/15/2028
912828Y38
2191700.00000000
PA
USD
2571137.85000000
0.473528178297
Long
DBT
USGA
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
899.58000000
0.000165676250
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
78504.15000000
USD
1506000.00000000
ZAR
2024-04-19
899.58000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES .875% 01/15/2029
9128285W6
700600.00000000
PA
USD
815264.71000000
0.150147847170
Long
DBT
USGA
US
N
2
2029-01-15
Fixed
0.87500000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-1055.97000000
-0.00019447870
N/A
DFE
KR
N
2
KOREAN WON
N/A
80368.43000000
USD
106800000.00000000
KRW
2024-04-18
-1055.97000000
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
1.00000000
NC
138422.99000000
0.025493454693
N/A
DIR
DE
N
1
EURO-OAT FUTURE JUN24
N/A
Long
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Jun 2024
2024-06-09
137417.21000000
EUR
1005.78000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-4318.48000000
-0.00079533735
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
657338.09000000
USD
10370823000.00000000
IDR
2024-04-25
-4318.48000000
N
N
N
UBS Group AG
BFM8T61CT2L1QCEMIK50
BRK: UBS AG PAY: 3-MONTH NZD - BKBM
N/A
1280000.00000000
NC
34381.70000000
0.006332100695
N/A
DIR
NZ
N
2
UBS Group AG
BFM8T61CT2L1QCEMIK50
Y
2033-11-13
0.00000000
NZD
0.00000000
NZD
-1280000.00000000
NZD
34381.70000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PHP SETTLE 2024-04-25
N/A
1.00000000
NC
USD
397.97000000
0.000073294401
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
6178000.00000000
PHP
110343.10000000
USD
2024-04-25
397.97000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/JPY SETTLE 2024-05-29
N/A
1.00000000
NC
USD
1038458.31000000
0.191253561831
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
11153000000.00000000
JPY
75471059.73000000
USD
2024-05-29
1038458.31000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 04/15/2027
91282CEJ6
1763000.00000000
PA
USD
1813516.66000000
0.333996576776
Long
DBT
USGA
US
N
2
2027-04-15
Fixed
0.12500000
N
N
N
N
N
N
DEUTSCHE BANK SECURITIES, INC.
9J6MBOOO7BECTDTUZW19
FX Forward Contract: COP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
7618.52000000
0.001403107926
N/A
DFE
CO
N
2
DEUTSCHE BANK SECURITIES, INC.
9J6MBOOO7BECTDTUZW19
528234.59000000
USD
2086395423.00000000
COP
2024-05-16
7618.52000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/HUF SETTLE 2024-04-19
N/A
1.00000000
NC
USD
151.70000000
0.000027938690
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
55904000.00000000
HUF
153183.59000000
USD
2024-04-19
151.70000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/IDR SETTLE 2024-04-25
N/A
1.00000000
NC
USD
5309.04000000
0.000977769449
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
3570895000.00000000
IDR
230157.59000000
USD
2024-04-25
5309.04000000
N
N
N
N/A
N/A
S&P MID 400 EMINI JUN24 PHYSICAL INDEX FUTURE.
N/A
12.00000000
NC
USD
3692880.00000000
0.680120180670
N/A
DE
US
N
1
S&P MID 400 EMINI JUN24
N/A
Long
S&P MID 400 EMINI Jun 2024
N/A
N/A
2024-06-24
3604307.64000000
USD
88572.36000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: JPY/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-6822.65000000
-0.00125653201
N/A
DFE
JP
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
256649.36000000
USD
37513000.00000000
JPY
2024-05-16
-6822.65000000
N
N
N
WHITE PLAINS CAPITAL COMPANY, LLC
N/A
WHITE PLAINS CAP CO LLC COMMERCIAL PAPER (ISITC)
96437TFE2
10500000.00000000
PA
USD
10371598.97000000
1.910144322403
Long
ABS-APCP
US
N
2
2024-06-14
None
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 05/27/2024
N/A
11153000000.00000000
PA
73692903.10000000
13.57207127512
Long
DBT
NUSS
JP
N
2
2024-05-27
None
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-663.77000000
-0.00012224696
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
508103.60000000
USD
777516.00000000
AUD
2024-04-18
-663.77000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/MYR SETTLE 2024-08-21
N/A
1.00000000
NC
USD
8594.95000000
0.001582937692
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2539000.00000000
MYR
546080.22000000
USD
2024-08-21
8594.95000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-8894.83000000
-0.00163816679
N/A
DFE
CH
N
2
SWISS FRANC
N/A
338932.62000000
USD
295837.00000000
CHF
2024-05-08
-8894.83000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CZK SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-3414.50000000
-0.00062885074
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
23876000.00000000
CZK
1016480.12000000
USD
2024-04-19
-3414.50000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/TWD SETTLE 2024-05-24
N/A
1.00000000
NC
USD
9102.43000000
0.001676400623
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
26007850.00000000
TWD
824664.29000000
USD
2024-05-24
9102.43000000
N
N
N
Vanguard Long Term Corporate Bond Etf
N/A
VANGUARD LONG-TERM CORP BOND MUTUAL FUND
92206C813
7840.00000000
NS
USD
613323.20000000
0.112956144145
Long
EC
RF
US
N
1
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-6064.84000000
-0.00111696564
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
425544.77000000
USD
13377000.00000000
TWD
2024-05-24
-6064.84000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-5875.44000000
-0.00108208371
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
493379.00000000
USD
746969.00000000
AUD
2024-04-18
-5875.44000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
32722.02000000
0.006026436319
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
14122000.00000000
NOK
1335849.52000000
USD
2024-04-30
32722.02000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 10/15/2026
91282CDC2
2459200.00000000
PA
USD
2646398.81000000
0.487389039660
Long
DBT
USGA
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
UBS Group AG
BFM8T61CT2L1QCEMIK50
BRK: UBS AG PAY: 3-MONTH NZD - BKBM
N/A
1460000.00000000
NC
-271.45000000
-0.00004999312
N/A
DIR
NZ
N
2
UBS Group AG
BFM8T61CT2L1QCEMIK50
Y
2034-03-12
0.00000000
NZD
0.00000000
NZD
-1460000.00000000
NZD
-271.45000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRK: MORGAN STANLEY & CO. LLC PAY: 3-MONTH BKBM NZD
N/A
600000.00000000
NC
12763.40000000
0.002350643918
N/A
DIR
NZ
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2033-11-30
0.00000000
NZD
0.00000000
NZD
-600000.00000000
NZD
12763.40000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
1682.43000000
0.000309854258
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1091000.00000000
NOK
102356.00000000
USD
2024-04-30
1682.43000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
504.20000000
0.000092858851
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
135000.00000000
GBP
171037.98000000
USD
2024-04-19
504.20000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
2651.77000000
0.000488378255
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1819833.00000000
NOK
170579.43000000
USD
2024-04-30
2651.77000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CNY SETTLE 2024-05-23
N/A
1.00000000
NC
USD
1203.68000000
0.000221682551
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
786000.00000000
CNY
109735.71000000
USD
2024-05-23
1203.68000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-830.85000000
-0.00015301820
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
354584.37000000
USD
19878000.00000000
PHP
2024-04-25
-830.85000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TSY INFL IX N/B 1.750000% 01/15/2034
91282CJY8
1707600.00000000
PA
USD
1690467.19000000
0.311334473549
Long
DBT
USGA
US
N
2
2034-01-15
Fixed
1.75000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/KRW SETTLE 2024-04-18
N/A
1.00000000
NC
USD
2452.55000000
0.000451687774
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
129873000.00000000
KRW
98899.62000000
USD
2024-04-18
2452.55000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
52.00000000
NC
USD
5564812.50000000
1.024875241788
N/A
DIR
US
N
1
US 5YR NOTE (CBT) JUN24
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2024
2024-07-01
5554812.60000000
USD
9999.90000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: JPY/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-4279.94000000
-0.00078823941
N/A
DFE
JP
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
134650.95000000
USD
19576000.00000000
JPY
2024-05-16
-4279.94000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
27808.97000000
0.005121596613
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
6581000.00000000
NOK
635080.04000000
USD
2024-04-30
27808.97000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-1797.01000000
-0.00033095653
N/A
DFE
CH
N
2
SWISS FRANC
N/A
91045.56000000
USD
80000.00000000
CHF
2024-05-08
-1797.01000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
11033.08000000
0.002031969726
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
924000.00000000
EUR
1011986.05000000
USD
2024-06-12
11033.08000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PHP SETTLE 2024-04-25
N/A
1.00000000
NC
USD
233.90000000
0.000043077519
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
17712000.00000000
PHP
315440.78000000
USD
2024-04-25
233.90000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-995.91000000
-0.00018341741
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
71213.82000000
USD
280000.00000000
PLN
2024-04-19
-995.91000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NZD SETTLE 2024-05-23
N/A
1.00000000
NC
USD
29210.77000000
0.005379767057
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2582000.00000000
NZD
1573037.02000000
USD
2024-05-23
29210.77000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 01/15/32
91282CDX6
2060800.00000000
PA
USD
2001815.17000000
0.368675639362
Long
DBT
USGA
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/ZAR SETTLE 2024-04-19
N/A
1.00000000
NC
USD
443.36000000
0.000081653907
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2090000.00000000
ZAR
110638.44000000
USD
2024-04-19
443.36000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-3396.38000000
-0.00062551357
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
210517.93000000
USD
6605000.00000000
TWD
2024-05-24
-3396.38000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/INR SETTLE 2024-06-14
N/A
1.00000000
NC
USD
857.91000000
0.000158001858
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
19208000.00000000
INR
230773.85000000
USD
2024-06-14
857.91000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-4594.33000000
-0.00084614083
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
334891.26000000
USD
10533000.00000000
TWD
2024-05-24
-4594.33000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
12928.26000000
0.002381006295
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
976265.94000000
EUR
1070500.01000000
USD
2024-06-12
12928.26000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
4715.82000000
0.000868515724
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
398000.00000000
GBP
507474.68000000
USD
2024-04-19
4715.82000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES .25% 07/15/29
9128287D6
1447200.00000000
PA
USD
1608023.73000000
0.296150806354
Long
DBT
USGA
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/BRL SETTLE 2024-05-03
N/A
1.00000000
NC
USD
6917.04000000
0.001273915885
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
7574000.00000000
BRL
1514860.59000000
USD
2024-05-03
6917.04000000
N
N
N
N/A
N/A
SPI 200 FUTURES JUN24 PHYSICAL INDEX FUTURE.
N/A
78.00000000
NC
10115116.13000000
1.862907706136
N/A
DE
AU
N
1
SPI 200 FUTURES JUN24
N/A
Long
SPI 200 Future Jun 2024
N/A
N/A
2024-06-23
9850304.34000000
AUD
264811.79000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/KRW SETTLE 2024-04-18
N/A
1.00000000
NC
USD
3289.51000000
0.000605831257
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
262296000.00000000
KRW
198077.34000000
USD
2024-04-18
3289.51000000
N
N
N
N/A
N/A
NIKKEI 225 MINI JUN24 PHYSICAL INDEX FUTURE.
N/A
248.00000000
NC
6592249.50000000
1.214099001582
N/A
DE
JP
N
1
NIKKEI 225 MINI JUN24
N/A
Long
NIKKEI 225 MINI Jun 2024
N/A
N/A
2024-06-16
6565079.75000000
JPY
27169.75000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-1/2% 01/15/29
912810PZ5
1364900.00000000
PA
USD
2013080.65000000
0.370750410352
Long
DBT
USGA
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-10293.20000000
-0.00189570553
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
424337.47000000
USD
4487000.00000000
NOK
2024-04-30
-10293.20000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/BRL SETTLE 2024-04-02
N/A
1.00000000
NC
USD
1801.76000000
0.000331831344
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2076326.00000000
BRL
416406.15000000
USD
2024-04-02
1801.76000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
539.79000000
0.000099413485
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1748000.00000000
AUD
1141358.52000000
USD
2024-04-18
539.79000000
N
N
N
GOLDMAN SACHS & CO. LLC
KD3XUN7C6T14HNAYLU02
BROKER: GOLDMAN SACHS REC: GOLDMAN SACHS WEEKLY TY VOLATILITY CARRY STRA
TRS894893
9899.00000000
NC
USD
23821.94000000
0.004387302630
N/A
DE
US
N
2
GOLDMAN SACHS & CO. LLC
KD3XUN7C6T14HNAYLU02
Y
2024-08-22
0.00000000
USD
0.00000000
USD
-1104763.05000000
USD
23821.94000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-19
N/A
1.00000000
NC
449.09000000
0.000082709205
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
223495.90000000
USD
893000.00000000
PLN
2024-04-19
449.09000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PLN SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-149.76000000
-0.00002758139
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
961000.00000000
PLN
240848.15000000
USD
2024-04-19
-149.76000000
N
N
N
SPDR S&P 500 ETF Trust
N/A
SPY US 06/21/24 P460 LONG
N/A
86.00000000
NC
USD
12556.00000000
0.002312446921
N/A
DE
US
N
1
SPY US 06/21/24 P460
N/A
Put
Purchased
SPDR S&P 500 ETF Trust
SPY Put 460 Jun 2024
8600.00000000
460.00000000
USD
2024-06-24
XXXX
-31398.60000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
100.03000000
0.000018422592
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
104000.00000000
GBP
131474.20000000
USD
2024-04-19
100.03000000
N
N
N
N/A
N/A
NASDAQ 100 E-MINI JUN24 PHYSICAL INDEX FUTURE.
N/A
21.00000000
NC
USD
7759500.00000000
1.429072307226
N/A
DE
US
N
1
NASDAQ 100 E-MINI JUN24
N/A
Long
NASDAQ 100 E-MINI Jun 2024
N/A
N/A
2024-06-24
7656228.28000000
USD
103271.72000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-553.57000000
-0.00010195135
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
95186.70000000
USD
145000.00000000
AUD
2024-04-18
-553.57000000
N
N
N
Vanguard Intermediate Term Corporate Bond Etf
N/A
VANGUARD INT-TERM CORPORATE MUTUAL FUND
92206C870
38069.00000000
NS
USD
3064935.19000000
0.564471164826
Long
EC
RF
US
N
1
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-2945.95000000
-0.00054255758
N/A
DFE
KR
N
2
KOREAN WON
N/A
114708.19000000
USD
150496000.00000000
KRW
2024-04-18
-2945.95000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-6814.03000000
-0.00125494446
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
299104.71000000
USD
9321000.00000000
TWD
2024-05-24
-6814.03000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/BRL SETTLE 2024-04-02
N/A
1.00000000
NC
USD
874.15000000
0.000160992790
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
370000.00000000
BRL
74756.39000000
USD
2024-04-02
874.15000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SEK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
20009.37000000
0.003685139062
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
14610361.00000000
SEK
1388561.78000000
USD
2024-04-30
20009.37000000
N
N
N
N/A
N/A
TOPIX INDX FUTR JUN24 PHYSICAL INDEX FUTURE.
N/A
5.00000000
NC
908355.08000000
0.167292362904
N/A
DE
JP
N
1
TOPIX INDX FUTR JUN24
N/A
Long
TOPIX INDX FUTR Jun 2024
N/A
N/A
2024-06-16
887966.50000000
JPY
20388.58000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/TWD SETTLE 2024-05-24
N/A
1.00000000
NC
USD
7153.43000000
0.001317451989
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
16260937.00000000
TWD
517068.71000000
USD
2024-05-24
7153.43000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
4549.91000000
0.000837959969
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
799955.00000000
AUD
526634.38000000
USD
2024-04-18
4549.91000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRK: MORGAN STANLEY & CO. LLC PAY: 6-MONTH AUD - BBSW
N/A
740000.00000000
NC
20122.81000000
0.003706031382
N/A
DIR
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2033-12-01
0.00000000
AUD
0.00000000
AUD
-740000.00000000
AUD
20122.81000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NZD SETTLE 2024-05-23
N/A
1.00000000
NC
USD
4088.12000000
0.000752911795
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
235000.00000000
NZD
144599.03000000
USD
2024-05-23
4088.12000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
BRK: DEUTSCHE BANK AG LONDON PAY: BBSW 6-MONTH AUD
N/A
1040000.00000000
NC
-1431.56000000
-0.00026365136
N/A
DIR
AU
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Y
2033-12-28
0.00000000
AUD
0.00000000
AUD
-1040000.00000000
AUD
-1431.56000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-5640.34000000
-0.00103878519
N/A
DFE
CH
N
2
SWISS FRANC
N/A
222068.07000000
USD
194000.00000000
CHF
2024-05-08
-5640.34000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SEK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
38578.25000000
0.007104982116
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
18558000.00000000
SEK
1776905.98000000
USD
2024-04-30
38578.25000000
N
N
N
PLAINS ALL AMERICAN PIPELINE, L.P.
5521FA2ITF25TVH63740
PLAINS ALL AMERN PIPELINE L P COMMERCIAL PAPER (ISITC)
72650WD40
6900000.00000000
PA
USD
6892714.77000000
1.269435891413
Long
ABS-APCP
US
N
2
2024-04-04
None
0.00000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: INR/USD SETTLE 2024-06-14
N/A
1.00000000
NC
-2489.52000000
-0.00045849656
N/A
DFE
IN
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
430984.46000000
USD
35798000.00000000
INR
2024-06-14
-2489.52000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
BRK: DEUTSCHE BANK AG LONDON PAY: BKBM 3-MONTH NZD
N/A
1020000.00000000
NC
-8857.60000000
-0.00163131011
N/A
DIR
NZ
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Y
2033-12-29
0.00000000
NZD
0.00000000
NZD
-1020000.00000000
NZD
-8857.60000000
N
N
N
CONSTELLATION ENERGY GENERATION, LLC
S2PEWKCZFFECR4533P43
CONSTELLATION ENERGY GEN LLC COMMERCIAL PAPER (ISITC)
21038PD94
7500000.00000000
PA
USD
7484901.60000000
1.378499336152
Long
ABS-APCP
US
N
2
2024-04-09
None
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-593.47000000
-0.00010929976
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
468537.99000000
USD
717000.00000000
AUD
2024-04-18
-593.47000000
N
N
N
GOLDMAN SACHS & CO. LLC
KD3XUN7C6T14HNAYLU02
BRK: GOLDMAN SACHS REC: GOLDMAN SACHS WEEKLY TY VOLATILITY CARRY STRA
TRS898621
19843.00000000
NC
USD
108489.62000000
0.019980605910
N/A
DE
US
N
2
GOLDMAN SACHS & CO. LLC
KD3XUN7C6T14HNAYLU02
Y
2024-08-22
0.00000000
USD
0.00000000
USD
-2153810.81000000
USD
108489.62000000
N
N
N
MACQUARIE BANK LIMITED
4ZHCHI4KYZG2WVRT8631
MACQUARIE BK LTD COMMERCIAL PAPER (ISITC)
55607KHC3
9050000.00000000
PA
USD
8863666.65000000
1.632427418004
Long
ABS-APCP
US
N
2
2024-08-12
None
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-5230.29000000
-0.00096326600
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
673536.00000000
USD
1024000.00000000
AUD
2024-04-18
-5230.29000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/2% 01/15/2028
9128283R9
1114500.00000000
PA
USD
1317823.23000000
0.242704386083
Long
DBT
USGA
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
157.38000000
0.000028984779
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
326659.77000000
USD
500760.00000000
AUD
2024-04-18
157.38000000
N
N
N
ARCHER-DANIELS-MIDLAND COMPANY.
549300LO13MQ9HYSTR83
ARCHER DANIELS MIDLAND CO COMMERCIAL PAPER (ISITC)
03948GD18
9700000.00000000
PA
USD
9694133.83000000
1.785375114247
Long
ABS-APCP
US
N
2
2024-04-01
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRK: MORGAN STANLEY & CO. LLC PAY: 3-MONTH BKBM NZD
N/A
640000.00000000
NC
12477.08000000
0.002297912172
N/A
DIR
NZ
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2033-12-04
0.00000000
NZD
0.00000000
NZD
-640000.00000000
NZD
12477.08000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
2360.54000000
0.000434742231
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
506714.38000000
USD
403000.00000000
GBP
2024-04-19
2360.54000000
N
N
N
CONSTELLATION ENERGY GENERATION, LLC
S2PEWKCZFFECR4533P43
CONSTELLATION ENERGY GEN LLC COMMERCIAL PAPER (ISITC)
21038PD86
2750000.00000000
PA
USD
2744931.04000000
0.505535786392
Long
ABS-APCP
US
N
2
2024-04-08
None
0.00000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-28789.64000000
-0.00530220726
N/A
DFE
KR
N
2
KOREAN WON
N/A
1150610.87000000
USD
1510614000.00000000
KRW
2024-04-18
-28789.64000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: INR/USD SETTLE 2024-06-14
N/A
1.00000000
NC
-5813.69000000
-0.00107071117
N/A
DFE
IN
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
808041.72000000
USD
67021000.00000000
INR
2024-06-14
-5813.69000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/THB SETTLE 2024-05-08
N/A
1.00000000
NC
USD
6014.92000000
0.001107771841
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
7058000.00000000
THB
200141.78000000
USD
2024-05-08
6014.92000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/HUF SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-850.56000000
-0.00015664820
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
189327000.00000000
HUF
517414.12000000
USD
2024-04-19
-850.56000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.125% 01/15/2033
91282CGK1
2782900.00000000
PA
USD
2700763.16000000
0.497401358378
Long
DBT
USGA
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: JPY/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-35000.56000000
-0.00644607655
N/A
DFE
JP
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2134345.13000000
USD
315229351.00000000
JPY
2024-05-16
-35000.56000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-9980.79000000
-0.00183816877
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
684036.98000000
USD
10704912000.00000000
IDR
2024-04-25
-9980.79000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
3134.83000000
0.000577343738
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
265714.00000000
GBP
338788.27000000
USD
2024-04-19
3134.83000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/IDR SETTLE 2024-04-25
N/A
1.00000000
NC
USD
2008.25000000
0.000369860746
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2701082000.00000000
IDR
172087.28000000
USD
2024-04-25
2008.25000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-1176.75000000
-0.00021672283
N/A
DFE
KR
N
2
KOREAN WON
N/A
75338.35000000
USD
99864000.00000000
KRW
2024-04-18
-1176.75000000
N
N
N
N/A
N/A
OMXS30 IND FUTURE APR24 PHYSICAL INDEX FUTURE.
N/A
122.00000000
NC
2880393.92000000
0.530484075646
N/A
DE
SE
N
1
OMXS30 IND FUTURE APR24
N/A
Long
OMXS30 IND FUTURE Apr 2024
N/A
N/A
2024-04-22
2945526.00000000
SEK
-65132.08000000
N
N
N
N/A
N/A
S&P/TSX 60 IX FUT JUN24 PHYSICAL INDEX FUTURE.
N/A
16.00000000
NC
3171978.57000000
0.584185415748
N/A
DE
CA
N
1
S&P/TSX 60 IX FUT JUN24
N/A
Long
S&P/TSE 60 IX FUT Jun 2024
N/A
N/A
2024-06-23
3142044.55000000
CAD
29934.02000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRK: MORGAN STANLEY & CO. LLC PAY: 6-MONTH AUD - BBSW
N/A
700000.00000000
NC
21681.23000000
0.003993046636
N/A
DIR
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2033-11-29
0.00000000
AUD
0.00000000
AUD
-700000.00000000
AUD
21681.23000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SEK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
1601.48000000
0.000294945643
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1156000.00000000
SEK
109883.99000000
USD
2024-04-30
1601.48000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 2% 01/15/26
912810FS2
1953200.00000000
PA
USD
3019568.64000000
0.556115976956
Long
DBT
USGA
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
12.55000000
0.000002311341
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
211673.64000000
USD
11895000.00000000
PHP
2024-04-25
12.55000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/ZAR SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-60.73000000
-0.00001118468
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
9378720.00000000
ZAR
494431.54000000
USD
2024-04-19
-60.73000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/IDR SETTLE 2024-04-25
N/A
1.00000000
NC
USD
2667.47000000
0.000491269734
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2792376000.00000000
IDR
178495.01000000
USD
2024-04-25
2667.47000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-371.49000000
-0.00006841756
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
140588.16000000
USD
111000.00000000
GBP
2024-04-19
-371.49000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CAD SETTLE 2024-06-13
N/A
1.00000000
NC
USD
-3813.35000000
-0.00070230722
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
929411.00000000
CAD
683846.51000000
USD
2024-06-13
-3813.35000000
N
N
N
N/A
N/A
FTSE/MIB IDX FUT JUN24 PHYSICAL INDEX FUTURE.
N/A
2.00000000
NC
369574.37000000
0.068064759021
N/A
DE
IT
N
1
FTSE/MIB IDX FUT JUN24
N/A
Long
FTSE/MIB IDX FUT Jun 2024
N/A
N/A
2024-06-24
360187.46000000
EUR
9386.91000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
1856.25000000
0.000341866804
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
658775.51000000
USD
37122000.00000000
PHP
2024-04-25
1856.25000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-5877.43000000
-0.00108245021
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
678751.63000000
USD
1031000.00000000
AUD
2024-04-18
-5877.43000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: BRL/USD SETTLE 2024-04-02
N/A
1.00000000
NC
1498.94000000
0.000276060782
N/A
DFE
BR
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1017043.08000000
USD
5100827.00000000
BRL
2024-04-02
1498.94000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/MXN SETTLE 2024-05-23
N/A
1.00000000
NC
USD
-7471.71000000
-0.00137606983
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
11417068.00000000
MXN
673428.87000000
USD
2024-05-23
-7471.71000000
N
N
N
QUANTA SERVICES, INC.
SHVRXXEACT60MMH07S24
QUANTA SVCS INC COMMERCIAL PAPER (ISITC)
74767GD17
6350000.00000000
PA
USD
6345969.27000000
1.168741406826
Long
ABS-APCP
US
N
2
2024-04-01
None
0.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
5873.05000000
0.001081643548
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
296557.10000000
USD
5736000.00000000
ZAR
2024-04-19
5873.05000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-5143.71000000
-0.00094732051
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
334738.06000000
USD
551236.00000000
NZD
2024-05-23
-5143.71000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-20578.29000000
-0.00378991743
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
682474.36000000
USD
1107000.00000000
NZD
2024-05-23
-20578.29000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
3363.63000000
0.000619481987
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
281456.39000000
USD
5402000.00000000
ZAR
2024-04-19
3363.63000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN24 FINANCIAL COMMODITY FUTURE.
N/A
59.00000000
NC
USD
6537015.63000000
1.203926542785
N/A
DIR
US
N
1
US 10YR NOTE (CBT)JUN24
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2024
2024-06-21
6496130.10000000
USD
40885.53000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
8141.79000000
0.001499478912
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
361377.00000000
CHF
411296.46000000
USD
2024-05-08
8141.79000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NOK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
15464.93000000
0.002848186506
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
6889975.00000000
NOK
651247.11000000
USD
2024-04-30
15464.93000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/2026
912828S50
1825300.00000000
PA
USD
2249693.34000000
0.414327527797
Long
DBT
USGA
US
N
2
2026-07-15
Fixed
0.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 01/15/2031
91282CBF7
2576200.00000000
PA
USD
2713876.42000000
0.499816436246
Long
DBT
USGA
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
OGLETHORPE POWER CORP
3EERXCUSWMS9GV5D9M98
OGLETHORPE PWR CORP ELEC MEMBE COMMERCIAL PAPER (ISITC)
67705AD27
7650000.00000000
PA
USD
7644236.72000000
1.407844191821
Long
ABS-APCP
US
N
2
2024-04-02
None
0.00000000
N
N
N
N
N
N
MITSUBISHI CORPORATION (AMERICAS)
54930023GFE40WUY2P08
MITSUBISHI CORP AMERS COMMERCIAL PAPER (ISITC)
60676ME20
10500000.00000000
PA
USD
10445385.41000000
1.923733620431
Long
ABS-APCP
US
N
2
2024-05-02
None
0.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-06-13
N/A
1.00000000
NC
-110.01000000
-0.00002026061
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
98515.09000000
USD
133000.00000000
CAD
2024-06-13
-110.01000000
N
N
N
SPDR S&P 500 ETF Trust
N/A
SPY US 06/21/24 P420 SHORT
N/A
-86.00000000
NC
USD
-5934.00000000
-0.00109286875
N/A
DE
US
N
1
SPY US 06/21/24 P420
N/A
Put
Written
SPDR S&P 500 ETF Trust
SPY Put 420 Jun 2024
-8600.00000000
420.00000000
USD
2024-06-24
XXXX
13072.00000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: CNY/USD SETTLE 2024-05-23
N/A
1.00000000
NC
3179.78000000
0.000585622210
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
348650.40000000
USD
2501310.00000000
CNY
2024-05-23
3179.78000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-484.79000000
-0.00008928409
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
87686.33000000
USD
4900000.00000000
PHP
2024-04-25
-484.79000000
N
N
N
N/A
N/A
DAX INDEX FUTURE JUN24 PHYSICAL INDEX FUTURE.
N/A
9.00000000
NC
4562547.93000000
0.840287505271
N/A
DE
DE
N
1
DAX INDEX FUTURE JUN24
N/A
Long
DAX INDEX FUTURE Jun 2024
N/A
N/A
2024-06-24
4481792.41000000
EUR
80755.52000000
N
N
N
AUST 10Y BOND FUT JUN24
N/A
AUST 10Y BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
99.00000000
NC
7529361.42000000
1.386687530952
Long
AU
N
1
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-128.02000000
-0.00002357752
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
119444.52000000
USD
2263000.00000000
ZAR
2024-04-19
-128.02000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: JPY/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-4799.19000000
-0.00088387003
N/A
DFE
JP
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
311450.53000000
USD
46045563.00000000
JPY
2024-05-16
-4799.19000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CLP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
31394.83000000
0.005782006848
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1497589812.00000000
CLP
1556374.06000000
USD
2024-05-16
31394.83000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PLN SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-682.00000000
-0.00012560439
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1357000.00000000
PLN
339624.10000000
USD
2024-04-19
-682.00000000
N
N
N
JP MORGAN CHASE BANK N.A.
984500653R409CC5AB28
Credit Default Swap
CD1513934
-5370000.00000000
NC
USD
121302.01000000
0.022340272350
N/A
DCR
US
N
2
JP MORGAN CHASE BANK N.A.
984500653R409CC5AB28
Y
2029-06-20
118212.27000000
USD
0.00000000
USD
-5370000.00000000
USD
3089.74000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
2769.55000000
0.000510069876
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
298000.00000000
GBP
379207.09000000
USD
2024-04-19
2769.55000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
8620.91000000
0.001587718763
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
651000.00000000
EUR
713837.78000000
USD
2024-06-12
8620.91000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NZD SETTLE 2024-05-23
N/A
1.00000000
NC
USD
18169.06000000
0.003346207937
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1606000.00000000
NZD
978426.59000000
USD
2024-05-23
18169.06000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/KRW SETTLE 2024-04-18
N/A
1.00000000
NC
USD
10671.36000000
0.001965351511
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
559934297.00000000
KRW
426493.13000000
USD
2024-04-18
10671.36000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
-29.02000000
-0.00000534463
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
525000.00000000
AUD
342608.18000000
USD
2024-04-18
-29.02000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-11433.51000000
-0.00210571718
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
737124.85000000
USD
11524947000.00000000
IDR
2024-04-25
-11433.51000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-2248.97000000
-0.00041419430
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
322541.82000000
USD
5086678000.00000000
IDR
2024-04-25
-2248.97000000
N
N
N
ANZ Banking Group
JHE42UYNWWTJB8YTTU19
BRK: ANZ BANKING GROUP, MELBOURNE PAY: 3-MONTH BKBM NZD
N/A
1690000.00000000
NC
28561.42000000
0.005260175833
N/A
DIR
NZ
N
2
ANZ Banking Group
JHE42UYNWWTJB8YTTU19
Y
2033-12-14
0.00000000
NZD
0.00000000
NZD
-1690000.00000000
NZD
28561.42000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
506.27000000
0.000093240084
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
169000.00000000
AUD
110802.82000000
USD
2024-04-18
506.27000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PHP SETTLE 2024-04-25
N/A
1.00000000
NC
USD
-2775.84000000
-0.00051122831
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
34084000.00000000
PHP
603790.97000000
USD
2024-04-25
-2775.84000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-1378.92000000
-0.00025395661
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
410000.00000000
GBP
516538.50000000
USD
2024-04-19
-1378.92000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
948.72000000
0.000174726397
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
301000.31000000
USD
9629000.00000000
TWD
2024-05-24
948.72000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-4541.11000000
-0.00083633926
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
124592.72000000
USD
1301000.00000000
NOK
2024-04-30
-4541.11000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.250 04/15/2028
91282CGW5
2821300.00000000
PA
USD
2816501.78000000
0.518717017469
Long
DBT
USGA
US
N
2
2028-04-15
Fixed
1.25000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
4450.99000000
0.000819741806
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
592000.00000000
EUR
645754.19000000
USD
2024-06-12
4450.99000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CZK SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-108.52000000
-0.00001998620
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
3244000.00000000
CZK
138463.19000000
USD
2024-04-19
-108.52000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/MYR SETTLE 2024-08-21
N/A
1.00000000
NC
USD
2961.55000000
0.000545430645
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2494000.00000000
MYR
530920.70000000
USD
2024-08-21
2961.55000000
N
N
N
N/A
N/A
CAC40 10 EURO FUT APR24 PHYSICAL INDEX FUTURE.
N/A
13.00000000
NC
1154574.32000000
0.212638725091
N/A
DE
FR
N
1
CAC40 10 EURO FUT APR24
N/A
Long
CAC40 10 EURO FUT Apr 2024
N/A
N/A
2024-04-22
1143785.68000000
EUR
10788.64000000
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-19.00000000
NC
-18313918.54000000
-3.37288663216
N/A
DIR
JP
N
1
JPN 10Y BOND(OSE) JUN24
N/A
Short
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Jun 2024
2024-06-16
-18684024.99000000
JPY
370106.45000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-7/8% 04/15/29
912810FH6
225800.00000000
PA
USD
462890.43000000
0.085250840233
Long
DBT
USGA
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: BRL/USD SETTLE 2024-04-02
N/A
1.00000000
NC
-3242.03000000
-0.00059708683
N/A
DFE
BR
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
956795.23000000
USD
4775365.00000000
BRL
2024-04-02
-3242.03000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2024-04-19
N/A
1.00000000
NC
303.74000000
0.000055939999
N/A
DFE
CZ
N
2
CZECH REPUBLIC KORUNA
N/A
201103.66000000
USD
4715000.00000000
CZK
2024-04-19
303.74000000
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 0% CP 07/30/2024 COMMERCIAL PAPER (ISITC)
37046TGW8
5250000.00000000
PA
USD
5147383.13000000
0.947996995395
Long
ABS-APCP
US
N
2
2024-07-30
None
0.00000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/JPY SETTLE 2024-05-16
N/A
1.00000000
NC
USD
26254.31000000
0.004835273840
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
236457000.00000000
JPY
1600995.74000000
USD
2024-05-16
26254.31000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 07/15/2031
91282CCM1
2678900.00000000
PA
USD
2725752.67000000
0.502003693156
Long
DBT
USGA
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/KRW SETTLE 2024-04-18
N/A
1.00000000
NC
USD
3127.18000000
0.000575934833
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
436316000.00000000
KRW
327146.79000000
USD
2024-04-18
3127.18000000
N
N
N
JP MORGAN CHASE BANK N.A.
984500653R409CC5AB28
BRK: JPMORGAN CHASE BANK, N.A. PAY: 6-MONTH BBSW AUD
N/A
1790000.00000000
NC
31146.90000000
0.005736345414
N/A
DIR
AU
N
2
JP MORGAN CHASE BANK N.A.
984500653R409CC5AB28
Y
2033-12-13
0.00000000
AUD
0.00000000
AUD
-1790000.00000000
AUD
31146.90000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-3716.88000000
-0.00068454027
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
561949.12000000
USD
31368000.00000000
PHP
2024-04-25
-3716.88000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
11180.93000000
0.002059199359
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
2193126.12000000
USD
1745000.00000000
GBP
2024-04-19
11180.93000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MYR/USD SETTLE 2024-08-21
N/A
1.00000000
NC
4697.91000000
0.000865217228
N/A
DFE
MY
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1146905.04000000
USD
5440000.00000000
MYR
2024-08-21
4697.91000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NZD SETTLE 2024-05-23
N/A
1.00000000
NC
USD
10094.62000000
0.001859132920
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
815448.00000000
NZD
497666.28000000
USD
2024-05-23
10094.62000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/IDR SETTLE 2024-04-25
N/A
1.00000000
NC
USD
25134.39000000
0.004629017424
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
20993250000.00000000
IDR
1347016.36000000
USD
2024-04-25
25134.39000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/BRL SETTLE 2024-04-02
N/A
1.00000000
NC
USD
1994.31000000
0.000367293407
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1623000.00000000
BRL
326077.78000000
USD
2024-04-02
1994.31000000
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
BRK: CITIBANK, N.A. PAY: BBSW-6 MONTHS AUD
N/A
1900000.00000000
NC
61088.80000000
0.011250765173
N/A
DIR
AU
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Y
2033-11-17
0.00000000
AUD
0.00000000
AUD
-1900000.00000000
AUD
61088.80000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
5608.79000000
0.001032974607
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
528000.00000000
AUD
350203.92000000
USD
2024-04-18
5608.79000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
7288.39000000
0.001342307663
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
751880.00000000
EUR
821786.79000000
USD
2024-06-12
7288.39000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-3/4% 01/15/28
912810PV4
2556300.00000000
PA
USD
3729696.23000000
0.686900650384
Long
DBT
USGA
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-12150.42000000
-0.00223775098
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
372217.87000000
USD
3844000.00000000
SEK
2024-04-30
-12150.42000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/JPY SETTLE 2024-05-16
N/A
1.00000000
NC
USD
-342.04000000
-0.00006299373
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
38958000.00000000
JPY
259107.99000000
USD
2024-05-16
-342.04000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-432.32000000
-0.00007962066
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
144884.34000000
USD
8117000.00000000
PHP
2024-04-25
-432.32000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/BRL SETTLE 2024-04-02
N/A
1.00000000
NC
USD
3788.98000000
0.000697818981
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
5581000.00000000
BRL
1118212.78000000
USD
2024-04-02
3788.98000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: EUR/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
6535.56000000
0.001203658458
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
277300.00000000
CHF
292036.45000000
EUR
2024-05-08
6535.56000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CZK SETTLE 2024-04-19
N/A
1.00000000
NC
USD
896.67000000
0.000165140313
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1546000.00000000
CZK
66936.09000000
USD
2024-04-19
896.67000000
N
N
N
PHILLIPINE PESO
N/A
FX Forward Contract: PHP/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-65.01000000
-0.00001197293
N/A
DFE
PH
N
2
PHILLIPINE PESO
N/A
185750.91000000
USD
10434000.00000000
PHP
2024-04-25
-65.01000000
N
N
N
PARKER-HANNIFIN CORPORATION
5493002CONDB4N2HKI23
PARKER-HANNIFIN CORP 0% CP 04/26/2024 COMMERCIAL PAPER (ISITC)
70109LDS2
10500000.00000000
PA
USD
10453342.94000000
1.925199164056
Long
ABS-APCP
US
N
2
2024-04-26
None
0.00000000
N
N
N
N
N
N
N/A
N/A
S&P500 EMINI FUT JUN24 PHYSICAL INDEX FUTURE.
N/A
128.00000000
NC
USD
33974400.00000000
6.257087981782
N/A
DE
US
N
1
S&P500 EMINI FUT JUN24
N/A
Long
S&P 500 Future (e-Mini) Jun 2024
N/A
N/A
2024-06-24
33450882.25000000
USD
523517.75000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Credit Default Swap
CD1468593
-6415200.00000000
NC
USD
467567.44000000
0.086112208294
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Y
2028-12-20
213906.31000000
USD
0.00000000
USD
-6415200.00000000
USD
253661.13000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-10127.94000000
-0.00186526948
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
281583.06000000
USD
454000.00000000
NZD
2024-05-23
-10127.94000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/NZD SETTLE 2024-05-23
N/A
1.00000000
NC
USD
13065.62000000
0.002406303978
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
786411.00000000
NZD
483275.51000000
USD
2024-05-23
13065.62000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: EUR/USD SETTLE 2024-06-12
N/A
1.00000000
NC
-8585.41000000
-0.00158118070
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1009538.38000000
USD
924000.00000000
EUR
2024-06-12
-8585.41000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-7171.77000000
-0.00132082967
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
503225.04000000
USD
7877987928.00000000
IDR
2024-04-25
-7171.77000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: CNY/USD SETTLE 2024-05-23
N/A
1.00000000
NC
5.99000000
0.000001103182
N/A
DFE
CN
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
363424.42000000
USD
2632000.00000000
CNY
2024-05-23
5.99000000
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 0% CP 05/23/2024 COMMERCIAL PAPER (ISITC)
37046TEP5
5100000.00000000
PA
USD
5055504.59000000
0.931075663203
Long
ABS-APCP
US
N
2
2024-05-23
None
0.00000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PHP SETTLE 2024-04-25
N/A
1.00000000
NC
USD
2091.62000000
0.000385215054
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
8946000.00000000
PHP
161296.72000000
USD
2024-04-25
2091.62000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: CLP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-1460.44000000
-0.00026897021
N/A
DFE
CL
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
102082.88000000
USD
98815207.00000000
CLP
2024-05-16
-1460.44000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-4107.69000000
-0.00075651601
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
183414.43000000
USD
5718000.00000000
TWD
2024-05-24
-4107.69000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PEN SETTLE 2024-05-16
N/A
1.00000000
NC
USD
6374.38000000
0.001173973829
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2682000.00000000
PEN
727105.13000000
USD
2024-05-16
6374.38000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 01/15/2030
912828Z37
2152400.00000000
PA
USD
2334260.75000000
0.429902364285
Long
DBT
USGA
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-1224.47000000
-0.00022551145
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
86489.08000000
USD
340000.00000000
PLN
2024-04-19
-1224.47000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES .125 07/15/2030
912828ZZ6
1958600.00000000
PA
USD
2121292.74000000
0.390679903377
Long
DBT
USGA
US
N
2
2030-07-15
Fixed
0.12500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
1450.28000000
0.000267099038
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
537000.00000000
AUD
351919.19000000
USD
2024-04-18
1450.28000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CAD SETTLE 2024-06-13
N/A
1.00000000
NC
USD
7793.86000000
0.001435400411
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2303020.00000000
CAD
1711770.27000000
USD
2024-06-13
7793.86000000
N
N
N
SYNGENTA WILMINGTON INC.
5493004J81MPMW9NTR79
SYNGENTA WILMINGTON INC COMMERCIAL PAPER (ISITC)
8716A2DA2
10000000.00000000
PA
USD
9978602.40000000
1.837765881134
Long
ABS-APCP
US
N
2
2024-04-10
None
0.00000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
38.00000000
NC
4797463.40000000
0.883552044574
N/A
DIR
GB
N
1
LONG GILT FUTURE JUN24
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2024
2024-06-29
4741745.88000000
GBP
55717.52000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/MYR SETTLE 2024-08-21
N/A
1.00000000
NC
USD
-2365.75000000
-0.00043570176
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2739451.00000000
MYR
577553.34000000
USD
2024-08-21
-2365.75000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-8827.82000000
-0.00162582551
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
605018.46000000
USD
9468303000.00000000
IDR
2024-04-25
-8827.82000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: EUR/USD SETTLE 2024-06-12
N/A
1.00000000
NC
-15358.95000000
-0.00282866809
N/A
DFE
XX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1806024.82000000
USD
1653000.00000000
EUR
2024-06-12
-15358.95000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRK: MORGAN STANLEY & CO. LLC PAY: 3-MONTH NZD - BKBM
N/A
560000.00000000
NC
6450.51000000
0.001187994743
N/A
DIR
NZ
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2033-08-01
0.00000000
NZD
0.00000000
NZD
-560000.00000000
NZD
6450.51000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/JPY SETTLE 2024-05-16
N/A
1.00000000
NC
USD
12769.49000000
0.002351765517
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
115007210.00000000
JPY
778687.26000000
USD
2024-05-16
12769.49000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-30
N/A
1.00000000
NC
-6311.41000000
-0.00116237660
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
199538.22000000
USD
2094000.00000000
NOK
2024-04-30
-6311.41000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: PEN/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-460.78000000
-0.00008486216
N/A
DFE
PE
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
107683.59000000
USD
399000.00000000
PEN
2024-05-16
-460.78000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/COP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
-5449.85000000
-0.00100370252
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1471607000.00000000
COP
372505.92000000
USD
2024-05-16
-5449.85000000
N
N
N
INTESA SANPAOLO FUNDING LLC
N/A
INTESA FDG LLC COMMERCIAL PAPER (ISITC)
4611K0EM5
10250000.00000000
PA
USD
10161593.75000000
1.871467520512
Long
ABS-APCP
US
N
2
2024-05-21
None
0.00000000
N
N
N
N
N
N
N/A
N/A
MSCI EMGMKT JUN24 PHYSICAL INDEX FUTURE.
N/A
142.00000000
NC
USD
7447900.00000000
1.371684726721
N/A
DE
US
N
1
MSCI EMGMKT JUN24
N/A
Long
US MSCI Emerging Markets Equity Index Future Jun 2024
N/A
N/A
2024-06-24
7423322.64000000
USD
24577.36000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SEK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
3294.23000000
0.000606700543
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1751193.00000000
SEK
167328.47000000
USD
2024-04-30
3294.23000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/INR SETTLE 2024-06-14
N/A
1.00000000
NC
USD
4818.99000000
0.000887516612
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
69294506.00000000
INR
834260.44000000
USD
2024-06-14
4818.99000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
GLENCORE FDG LLC 0% CP 04/30/2024 COMMERCIAL PAPER (ISITC)
37790ADW0
10500000.00000000
PA
USD
10445349.29000000
1.923726968187
Long
ABS-APCP
US
N
2
2024-04-30
None
0.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-1639.71000000
-0.00030198648
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
140042.63000000
USD
2625000.00000000
ZAR
2024-04-19
-1639.71000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-4490.98000000
-0.00082710679
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
379983.96000000
USD
628000.00000000
NZD
2024-05-23
-4490.98000000
N
N
N
2024-03-31
SEI INSTITUTIONAL MANAGED TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO