0001752724-20-043791.txt : 20200302
0001752724-20-043791.hdr.sgml : 20200302
20200302091224
ACCESSION NUMBER: 0001752724-20-043791
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200302
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: TEMPLETON GLOBAL INCOME FUND
CENTRAL INDEX KEY: 0000828803
IRS NUMBER: 222864496
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05459
FILM NUMBER: 20674486
BUSINESS ADDRESS:
STREET 1: 300 S.E. 2ND STREET
CITY: FORT LAUDERDALE
STATE: FL
ZIP: 33301-1923
BUSINESS PHONE: 9545277500
MAIL ADDRESS:
STREET 1: 300 S.E. 2ND STREET
CITY: FORT LAUDERDALE
STATE: FL
ZIP: 33301-1923
FORMER COMPANY:
FORMER CONFORMED NAME: TEMPLETON GLOBAL INCOME FUND INC
DATE OF NAME CHANGE: 19920703
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000828803
XXXXXXXX
Templeton Global Income Fund
811-05459
0000828803
QU1AAXOSV5K4OVMXJP19
300 S.E. 2nd Street
Fort Lauderdale
33301-1923
954-527-7500
Templeton Global Income Fund
QU1AAXOSV5K4OVMXJP19
2019-12-31
2019-12-31
N
1973493754.31
1064739094.06
908754660.25
0
0
0
0
0
0
0
0
0
0
0
0
0
7465309.96
PEN
USD
AUD
MYR
COP
EUR
INR
JPY
PHP
ARS
MXN
SEK
HUF
KRW
IDR
GHS
ILS
CHF
NOK
ZAR
SGD
BRL
N
N/A
N/A
JPY_USD_20200228
000000000
1.00000000
NC
USD
13265464.27000000
1.459740989537
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
1436811000.00000000
JPY
13762748.62000000
USD
2020-02-28
-497284.35
N
N
N
N/A
N/A
USD_INR_20200203
000000000
1.00000000
NC
USD
8409072.43000000
0.925340226336
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
8409072.43000000
USD
602804357.21000000
INR
2020-02-03
-24195.33
N
N
N
N/A
N/A
JPY_USD_20200227
000000000
1.00000000
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USD
6907260.86000000
0.760079828157
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
748182800.00000000
JPY
7116495.58000000
USD
2020-02-27
-209234.72
N
N
N
N/A
N/A
JPY_USD_20200226
000000000
1.00000000
NC
USD
10129281.05000000
1.114633189029
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
1097248900.00000000
JPY
10447014.61000000
USD
2020-02-26
-317733.56
N
N
N
Argentina Treasury Bill 04/08/2020 TBLM
549300KPBYGYF7HCHO27
Argentina Treasury Bill 04/08/2020 TBLM
000000000
29384070.00000000
PA
371575.46000000
0.040888424153
Long
STIV
UST
AR
N
3
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL STRIKE 21.201 EXPIRES 03/12/20 USD Call/MXN Put
000000000
14800000.00000000
NC
USD
7770.00000000
0.000855016248
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS INTERNATIONAL STRIKE 21.201 EXPIRES 03/12/20 USD Call/MXN Put
GOLDMAN SACHS INTERNATIONAL STRIKE 21.201 EXPIRES 03/12/20 USD Call/MXN Put
1.00000000
21.201
USD
2020-03-12
XXXX
-197562.24
N
N
N
UNITED STATES TREASURY NOTE/BOND 1.125% 06/30/2021
N/A
UNITED STATES TREASURY NOTE/BOND 1.125% 06/30/2021
912828S27
21500000.00000000
PA
USD
21350032.56000000
2.349372552777
Long
DBT
UST
US
N
2
2021-06-30
Fixed
1.12500000
N
N
N
N
N
N
INDIA GOVERNMENT BOND 9.15% 11/14/2024
N/A
INDIA GOVERNMENT BOND 9.15% 11/14/2024
Y39157FH3
387000000.00000000
PA
5976787.09000000
0.657689842091
Long
DBT
NUSS
IN
N
2
2024-11-14
Fixed
9.15000000
N
N
N
N
N
N
N/A
N/A
JPY_AUD_20200612
000000000
1.00000000
NC
USD
3088745.58000000
0.339887729340
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
332553088.00000000
JPY
4480000.00000000
AUD
2020-06-12
-66625.68
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.64 EXPIRES 08/12/20 AUD Put/USD Call *OTC*
000000000
-5474000.00000000
NC
-8511.28000000
-0.00093658721
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.64 EXPIRES 08/12/20 AUD Put/USD Call *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.64 EXPIRES 08/12/20 AUD Put/USD Call *OTC*
1.00000000
0.64
AUD
2020-08-12
XXXX
13775.76
N
N
N
N/A
N/A
USD_INR_20200203
000000000
1.00000000
NC
USD
4304805.56000000
0.473703822197
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
4304805.56000000
USD
309946000.00000000
INR
2020-02-03
-31356.87
N
N
N
N/A
N/A
SEK_EUR_20200615
000000000
1.00000000
NC
USD
2721112.96000000
0.299433178064
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
25286100.00000000
SEK
2364645.48000000
EUR
2020-06-15
41339.34
N
N
N
GHANA GOVT 18.50% 06/01/2020
213800PP4399SNNXZ126
GHANA GOVT 18.50% 06/01/2020
000000000
140000.00000000
PA
24328.07000000
0.002677077880
Long
DBT
NUSS
GH
N
2
2020-06-01
Fixed
18.50000000
N
N
N
N
N
N
N/A
N/A
USD_INR_20200205
000000000
1.00000000
NC
USD
4257253.22000000
0.468471129361
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
4257253.22000000
USD
308587000.00000000
INR
2020-02-05
-58950.71
N
N
N
N/A
N/A
JPY_AUD_20200521
000000000
1.00000000
NC
USD
10640330.00000000
1.170869373816
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1147022609.00000000
JPY
16082875.09000000
AUD
2020-05-21
-681963.68
N
N
N
TITULOS DE TESORERIA B 6.00% 04/28/2028
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 6.00% 04/28/2028
P28714AP1
13320000000.00000000
PA
4037948.68000000
0.444338704011
Long
DBT
UST
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 20.7 EXPIRES 06/12/20 USD Call/MXN Put
000000000
2670000.00000000
NC
USD
14118.96000000
0.001553660258
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE & CO STRIKE 20.7 EXPIRES 06/12/20 USD Call/MXN Put
JPMORGAN CHASE & CO STRIKE 20.7 EXPIRES 06/12/20 USD Call/MXN Put
1.00000000
20.7
USD
2020-06-12
XXXX
-14526.4
N
N
N
N/A
N/A
USD_INR_20200107
000000000
1.00000000
NC
USD
5064356.74000000
0.557285366614
N/A
DFE
N/A
N
N/A
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
5064356.74000000
USD
363139700.00000000
INR
2020-01-07
-23293.71
N
N
N
N/A
N/A
CITIBANK NA STRIKE 68 EXPIRES 07/21/20 AUD Put/JPY Call
000000000
-10303000.00000000
NC
-33044.21000000
-0.00363620803
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 68 EXPIRES 07/21/20 AUD Put/JPY Call
CITIBANK NA STRIKE 68 EXPIRES 07/21/20 AUD Put/JPY Call
1.00000000
68
AUD
2020-07-21
XXXX
43652.65
N
N
N
N/A
N/A
USD_EUR_20200409
000000000
1.00000000
NC
USD
15047915.00000000
1.655883117656
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
15047915.00000000
USD
13525000.00000000
EUR
2020-04-09
-215671.24
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.92 EXPIRES 05/12/20 USD Call/MXN Put
000000000
2519000.00000000
NC
USD
7594.79000000
0.000835736016
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 20.92 EXPIRES 05/12/20 USD Call/MXN Put
CITIBANK NA STRIKE 20.92 EXPIRES 05/12/20 USD Call/MXN Put
2.00000000
20.92
USD
2020-05-12
XXXX
-73101.38
N
N
N
N/A
N/A
USD_EUR_20201029
000000000
1.00000000
NC
USD
37859.05000000
0.004166036407
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
37859.05000000
USD
33330.00000000
EUR
2020-10-29
-235.46
N
N
N
ARGENTINA POM POLITICA MONETARIA FRN 06/21/2020
549300KPBYGYF7HCHO27
ARGENTINA POM POLITICA MONETARIA FRN 06/21/2020
P8S090NH5
9682390.00000000
PA
84691.41000000
0.009319502138
Long
DBT
NUSS
AR
N
3
2020-06-21
Floating
67.55879700
N
N
N
N
N
N
Korea Treasury Bond 2% 12/10/2021
549300O0QCVSQGPGDT58
Korea Treasury Bond 2% 12/10/2021
000000000
4254000000.00000000
PA
3724460.80000000
0.409842277889
Long
DBT
UST
KR
N
2
2021-12-10
Fixed
2.00000000
N
N
N
N
N
N
Argentina Treasury Bill 03/30/2020
549300KPBYGYF7HCHO27
Argentina Treasury Bill 03/30/2020
000000000
222316500.00000000
PA
2663334.26000000
0.293075169404
Long
DBT
NUSS
AR
N
3
2020-03-30
None
0.00000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200331
000000000
1.00000000
NC
USD
4861613.59000000
0.534975368232
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
4861613.59000000
USD
4385600.51000000
EUR
2020-03-31
-84971.12
N
N
N
N/A
N/A
USD_EUR_20200401
000000000
1.00000000
NC
USD
3293510.96000000
0.362420255329
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
3293510.96000000
USD
2972000.00000000
EUR
2020-04-01
-58860.79
N
N
N
GHANA GOVT 18.75% 01/24/2022
213800PP4399SNNXZ126
GHANA GOVT 18.75% 01/24/2022
000000000
8520000.00000000
PA
1453424.24000000
0.159935822458
Long
DBT
NUSS
GH
N
2
2022-01-24
Fixed
18.75000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 75.9 EXPIRES 02/12/20 AUD Call/JPY Put
000000000
-5506000.00000000
NC
-49724.34000000
-0.00547170123
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 75.9 EXPIRES 02/12/20 AUD Call/JPY Put
CITIBANK NA STRIKE 75.9 EXPIRES 02/12/20 AUD Call/JPY Put
1.00000000
75.9
AUD
2020-02-12
XXXX
-22353.81
N
N
N
N/A
N/A
CITIBANK NA STRIKE 18.9597 EXPIRES 03/06/20 USD Put/MXN Call *OTC*
000000000
-6141000.00000000
NC
USD
-50528.15000000
-0.00556015305
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 18.9597 EXPIRES 03/06/20 USD Put/MXN Call *OTC*
CITIBANK NA STRIKE 18.9597 EXPIRES 03/06/20 USD Put/MXN Call *OTC*
1.00000000
18.9597
USD
2020-03-06
XXXX
-1375.59
N
N
N
N/A
N/A
USD_EUR_20201005
000000000
1.00000000
NC
USD
2994649.52000000
0.329533332921
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
2994649.52000000
USD
2676375.00000000
EUR
2020-10-05
-59697.4
N
N
N
N/A
N/A
USD_EUR_20200508
000000000
1.00000000
NC
USD
4836339.20000000
0.532194156635
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
4836339.20000000
USD
4312000.00000000
EUR
2020-05-08
-38740.96
N
N
N
N/A
N/A
HSBC BANK USA NA IRS PAY FIXED 3.019% 02/23/48 USD
000000000
-12196000.00000000
NC
USD
-2593545.27000000
-0.28539554001
N/A
DIR
CORP
N/A
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
Y
2048-02-23
0
USD
0
USD
-12196000
USD
-2593686.02
N
N
N
N/A
N/A
USD_NOK_20200226
000000000
1.00000000
NC
USD
4766949.61000000
0.524558477498
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
4766949.61000000
USD
43803500.00000000
NOK
2020-02-26
-224504.86
N
N
N
N/A
N/A
NOK_USD_20200103
000000000
1.00000000
NC
USD
2036143.58000000
0.224058667213
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
17872000.00000000
NOK
1957738.61000000
USD
2020-01-03
78404.97
N
N
N
N/A
N/A
CITIBANK NA STRIKE 66.78 EXPIRES 11/12/20 AUD Put/JPY Call
000000000
1449000.00000000
NC
7449.29000000
0.000819725094
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 66.78 EXPIRES 11/12/20 AUD Put/JPY Call
CITIBANK NA STRIKE 66.78 EXPIRES 11/12/20 AUD Put/JPY Call
1.00000000
66.78
AUD
2020-11-12
XXXX
-15009.69
N
N
N
N/A
N/A
NOK_USD_20200615
000000000
1.00000000
NC
USD
7338048.88000000
0.807484043931
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
64393600.00000000
NOK
7036821.31000000
USD
2020-06-15
301227.57
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 25.97 EXPIRES 09/04/20 USD Call/MXN Put *OTC*
000000000
12294000.00000000
NC
USD
9687.67000000
0.001066037999
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 25.97 EXPIRES 09/04/20 USD Call/MXN Put *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 25.97 EXPIRES 09/04/20 USD Call/MXN Put *OTC*
1.00000000
25.97
USD
2020-09-04
XXXX
-88762.68
N
N
N
N/A
N/A
CITIBANK NA STRIKE 72.78 EXPIRES 11/12/20 AUD Put/JPY Call
000000000
3622000.00000000
NC
51257.02000000
0.005640358420
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 72.78 EXPIRES 11/12/20 AUD Put/JPY Call
CITIBANK NA STRIKE 72.78 EXPIRES 11/12/20 AUD Put/JPY Call
2.00000000
72.78
AUD
2020-11-12
XXXX
-60171.53
N
N
N
INDIA GOVERNMENT BOND 8.13% 09/21/2022
N/A
INDIA GOVERNMENT BOND 8.13% 09/21/2022
Y39157DG7
15000000.00000000
PA
220440.56000000
0.024257433787
Long
DBT
NUSS
IN
N
2
2022-09-21
Fixed
8.13000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200323
000000000
1.00000000
NC
USD
6161254.16000000
0.677988727816
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
666398580.00000000
JPY
6265388.08000000
USD
2020-03-23
-104133.92
N
N
N
Japan Treasury Discount Bill 03/10/2020 TBLM
353800WZS8AXZXFUC241
Japan Treasury Discount Bill 03/10/2020 TBLM
000000000
501200000.00000000
PA
4613253.70000000
0.507645671795
Long
STIV
UST
JP
N
2
N
N
N
MEXICAN FIXED RATE BONDS 8.00% 12/07/2023
254900EGTWEU67VP6075
MEXICAN FIXED RATE BONDS 8.00% 12/07/2023
P9767GWU1
445500.00000000
PA
2453023.57000000
0.269932433614
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
NOK_USD_20200226
000000000
1.00000000
NC
USD
4991454.47000000
0.549263149707
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
43803500.00000000
NOK
4891677.00000000
USD
2020-02-26
99777.47
N
N
N
N/A
N/A
CITIBANK NA STRIKE 104.48 EXPIRES 09/22/20 USD Put/JPY Call
000000000
48232000.00000000
NC
USD
573864.34000000
0.063148434346
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 104.48 EXPIRES 09/22/20 USD Put/JPY Call
CITIBANK NA STRIKE 104.48 EXPIRES 09/22/20 USD Put/JPY Call
1.00000000
104.48
USD
2020-09-22
XXXX
-525487.64
N
N
N
INDIA GOVERNMENT BOND 8.79% 11/08/2021
N/A
INDIA GOVERNMENT BOND 8.79% 11/08/2021
Y39157FJ9
225000000.00000000
PA
3303024.75000000
0.363467159452
Long
DBT
NUSS
IN
N
2
2021-11-08
Fixed
8.79000000
N
N
N
N
N
N
N/A
N/A
USD_INR_20200518
000000000
1.00000000
NC
USD
4073316.13000000
0.448230563007
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
4073316.13000000
USD
299959000.00000000
INR
2020-05-18
-70027.87
N
N
N
INDIA GOVERNMENT BOND 8.83% 11/25/2023
N/A
INDIA GOVERNMENT BOND 8.83% 11/25/2023
Y39157FY6
966400000.00000000
PA
14645181.91000000
1.611566086051
Long
DBT
NUSS
IN
N
2
2023-11-25
Fixed
8.83000000
N
N
N
N
N
N
TITULOS DE TESORERIA B 7.00% 05/04/2022
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 7.00% 05/04/2022
P6S34QCM2
3111000000.00000000
PA
990150.41000000
0.108956845374
Long
DBT
UST
CO
N
2
2022-05-04
Fixed
7.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA 9.85% 06/28/2027
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 9.85% 06/28/2027
P3772NBA9
237000000.00000000
PA
90649.51000000
0.009975135640
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.8674 EXPIRES 05/14/20 USD Call/MXN Put
000000000
14206000.00000000
NC
USD
46354.18000000
0.005100846469
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 20.8674 EXPIRES 05/14/20 USD Call/MXN Put
CITIBANK NA STRIKE 20.8674 EXPIRES 05/14/20 USD Call/MXN Put
1.00000000
20.8674
USD
2020-05-14
XXXX
-444676.21
N
N
N
Bonos de la Nacion Argentina con Ajuste por CER 4.00% 03/06/2020 INDEX LINKED TO ARCECOES
N/A
Bonos de la Nacion Argentina con Ajuste por CER 4.00% 03/06/2020 INDEX LINKED TO ARCECOES
P8S090PR1
1274000.00000000
PA
24496.71000000
0.002695635144
Long
DBT
NUSS
AR
N
3
2020-03-06
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 19.4 EXPIRES 06/12/20 USD Put/MXN Call
000000000
-2670000.00000000
NC
USD
-56980.47000000
-0.00627017087
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE & CO STRIKE 19.4 EXPIRES 06/12/20 USD Put/MXN Call
JPMORGAN CHASE & CO STRIKE 19.4 EXPIRES 06/12/20 USD Put/MXN Call
1.00000000
19.4
USD
2020-06-12
XXXX
-13703.51
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.778 EXPIRES 03/09/20 USD Call/MXN Put
000000000
6147000.00000000
NC
USD
4843.84000000
0.000533019549
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 20.778 EXPIRES 03/09/20 USD Call/MXN Put
CITIBANK NA STRIKE 20.778 EXPIRES 03/09/20 USD Call/MXN Put
1.00000000
20.778
USD
2020-03-09
XXXX
-119811.17
N
N
N
Japan Treasury Discount Bill 01/27/2020 TBLM
353800WZS8AXZXFUC241
Japan Treasury Discount Bill 01/27/2020 TBLM
000000000
1020000000.00000000
PA
9386834.48000000
1.032933847889
Long
STIV
UST
JP
N
2
N
N
N
N/A
N/A
USD_EUR_20200723
000000000
1.00000000
NC
USD
6618684.57000000
0.728324690866
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
6618684.57000000
USD
5829129.04000000
EUR
2020-07-23
-2947.56
N
N
N
N/A
N/A
EUR_USD_20200414
000000000
1.00000000
NC
USD
7996602.77000000
0.879951775741
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
7083553.73000000
EUR
7923967.80000000
USD
2020-04-14
72634.97
N
N
N
N/A
N/A
USD_JPY_20200622
000000000
1.00000000
NC
USD
6378912.21000000
0.701939972252
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
6378912.21000000
USD
666398580.00000000
JPY
2020-06-22
185927.66
N
N
N
N/A
N/A
USD_EUR_20200331
000000000
1.00000000
NC
USD
1205375.57000000
0.132640372888
N/A
DFE
N/A
N
N/A
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1205375.57000000
USD
1087889.00000000
EUR
2020-03-31
-21670.78
N
N
N
N/A
N/A
USD_KRW_20200221
000000000
1.00000000
NC
USD
5881797.10000000
0.647237076988
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
5881797.10000000
USD
6847000000.00000000
KRW
2020-02-21
-47643.68
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 19 EXPIRES 01/27/20 USD PUT/MXN CALL
000000000
-8118000.00000000
NC
USD
-62703.43000000
-0.00689992940
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE & CO STRIKE 19 EXPIRES 01/27/20 USD PUT/MXN CALL
JPMORGAN CHASE & CO STRIKE 19 EXPIRES 01/27/20 USD PUT/MXN CALL
1.00000000
19
USD
2020-01-27
XXXX
17971.72
N
N
N
N/A
N/A
JPY_USD_20200323
000000000
1.00000000
NC
USD
9407683.77000000
1.035228118380
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1017531000.00000000
JPY
9583978.53000000
USD
2020-03-23
-176294.76
N
N
N
GHANA GOVT 24.75% 03/01/2021
213800PP4399SNNXZ126
GHANA GOVT 24.75% 03/01/2021
V3R60FBQ6
220000.00000000
PA
41370.37000000
0.004552424522
Long
DBT
NUSS
GH
N
2
2021-03-01
Fixed
24.75000000
N
N
N
N
N
N
INDONESIA GOVERNMENT 10.25% 07/15/2027
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 10.25% 07/15/2027
Y39814DX6
3595000000.00000000
PA
304898.42000000
0.033551235920
Long
DBT
NUSS
ID
N
2
2027-07-15
Fixed
10.25000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 86.63 EXPIRES 05/06/20 AUD Call/JPY Put
000000000
4250000.00000000
NC
328.02000000
0.000036095550
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 86.63 EXPIRES 05/06/20 AUD Call/JPY Put
CITIBANK NA STRIKE 86.63 EXPIRES 05/06/20 AUD Call/JPY Put
2.00000000
86.63
AUD
2020-05-06
XXXX
-10130.28
N
N
N
N/A
N/A
NOK_USD_20200921
000000000
1.00000000
NC
USD
6545349.01000000
0.720254794423
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
57451200.00000000
NOK
6367667.78000000
USD
2020-09-21
177681.23
N
N
N
N/A
N/A
USD_MXN_20201013
000000000
1.00000000
NC
USD
2052228.35000000
0.225828646582
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
2052228.35000000
USD
42484000.00000000
MXN
2020-10-13
-100984.4
N
N
N
N/A
N/A
JPY_AUD_20200612
000000000
1.00000000
NC
USD
1762926.48000000
0.193993665959
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
189807360.00000000
JPY
2560000.00000000
AUD
2020-06-12
-40142.81
N
N
N
N/A
N/A
JPY_AUD_20200521
000000000
1.00000000
NC
USD
10999307.89000000
1.210371552534
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1185720258.00000000
JPY
16082875.08000000
AUD
2020-05-21
-322985.78
N
N
N
INDONESIA GOVERNMENT 8.25% 07/15/2021
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.25% 07/15/2021
Y39814FZ9
144200000000.00000000
PA
10761631.58000000
1.184217484732
Long
DBT
UST
ID
N
2
2021-07-15
Fixed
8.25000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 22.9955 EXPIRES 09/03/20 USD Call/MXN Put
000000000
-7684000.00000000
NC
USD
-20839.01000000
-0.00229313927
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 22.9955 EXPIRES 09/03/20 USD Call/MXN Put
CITIBANK NA STRIKE 22.9955 EXPIRES 09/03/20 USD Call/MXN Put
1.00000000
22.9955
USD
2020-09-03
XXXX
141370.23
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.67 EXPIRES 02/06/20 USD Call/MXN Put
000000000
10696000.00000000
NC
USD
2256.86000000
0.000248346456
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.67 EXPIRES 02/06/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.67 EXPIRES 02/06/20 USD Call/MXN Put
2.00000000
20.67
USD
2020-02-06
XXXX
-44270.74
N
N
N
N/A
N/A
CITIBANK NA STRIKE 82.35 EXPIRES 02/12/20 AUD CALL/JPY PUT
000000000
869000.00000000
NC
23.78000000
0.000002616767
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 82.35 EXPIRES 02/12/20 AUD CALL/JPY PUT
CITIBANK NA STRIKE 82.35 EXPIRES 02/12/20 AUD CALL/JPY PUT
1.00000000
82.35
AUD
2020-02-12
XXXX
-3599.62
N
N
N
ARGENTINE BONOS DEL TESORO 15.50% 10/17/2026
549300KPBYGYF7HCHO27
ARGENTINE BONOS DEL TESORO 15.50% 10/17/2026
P8S090LU8
512895000.00000000
PA
2312071.57000000
0.254421976704
Long
DBT
NUSS
AR
N
3
2026-10-17
Fixed
15.50000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 65.85 EXPIRES 12/21/20 AUD PUT/JPY CALL
000000000
5796000.00000000
NC
30895.20000000
0.003399729470
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 65.85 EXPIRES 12/21/20 AUD PUT/JPY CALL
CITIBANK NA STRIKE 65.85 EXPIRES 12/21/20 AUD PUT/JPY CALL
1.00000000
65.85
AUD
2020-12-21
XXXX
-6090.52
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.7393 EXPIRES 05/12/21 AUD Call/USD Put
000000000
-13911000.00000000
NC
-157097.72000000
-0.01728714326
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.7393 EXPIRES 05/12/21 AUD Call/USD Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.7393 EXPIRES 05/12/21 AUD Call/USD Put
1.00000000
0.7393
AUD
2021-05-12
XXXX
-36410.72
N
N
N
N/A
N/A
JPY_EUR_20200522
000000000
1.00000000
NC
USD
7889054.54000000
0.868117093102
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
850388538.00000000
JPY
7079963.19000000
EUR
2020-05-22
-122427.29
N
N
N
N/A
N/A
CITIBANK NA STRIKE 77.35 EXPIRES 05/07/20 AUD Call/JPY Put
000000000
-3863000.00000000
NC
-29170.12000000
-0.00320990045
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 77.35 EXPIRES 05/07/20 AUD Call/JPY Put
CITIBANK NA STRIKE 77.35 EXPIRES 05/07/20 AUD Call/JPY Put
4.00000000
77.35
AUD
2020-05-07
XXXX
49071.17
N
N
N
INDIA GOVERNMENT BOND 8.27% 06/09/2020
N/A
INDIA GOVERNMENT BOND 8.27% 06/09/2020
Y39157GB5
476000000.00000000
PA
6771053.88000000
0.745091516574
Long
DBT
NUSS
IN
N
2
2020-06-09
Fixed
8.27000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL NTNF 01/01/2027 STATED RATE 10%
N/A
NOTA DO TESOURO NACIONAL NTNF 01/01/2027 STATED RATE 10%
P8T60MXG3
123130.00000000
PA
36088166.950000
3.971167194902
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
9.46138200
N
N
N
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.6645 EXPIRES 05/05/20 AUD Put/USD Call
000000000
6440000.00000000
NC
10550.99000000
0.001161038337
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
HSBC BANK PLC STRIKE 0.6645 EXPIRES 05/05/20 AUD Put/USD Call
HSBC BANK PLC STRIKE 0.6645 EXPIRES 05/05/20 AUD Put/USD Call
1.00000000
0.6645
AUD
2020-05-05
XXXX
-58234.31
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL STRIKE 22.1125 EXPIRES 03/12/20 USD Call/MXN Put *OTC*
000000000
-4920000.00000000
NC
USD
-1013.52000000
-0.00011152845
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS INTERNATIONAL STRIKE 22.1125 EXPIRES 03/12/20 USD Call/MXN Put *OTC*
GOLDMAN SACHS INTERNATIONAL STRIKE 22.1125 EXPIRES 03/12/20 USD Call/MXN Put *OTC*
1.00000000
22.1125
USD
2020-03-12
XXXX
37313.28
N
N
N
N/A
N/A
JPY_USD_20200622
000000000
1.00000000
NC
USD
6192984.55000000
0.681480362180
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
666398580.00000000
JPY
6301528.20000000
USD
2020-06-22
-108543.65
N
N
N
N/A
N/A
USD_MXN_20201013
000000000
1.00000000
NC
USD
3967637.98000000
0.436601665284
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
3967637.98000000
USD
81996000.00000000
MXN
2020-10-13
-188157.91
N
N
N
NORWEGIAN GOVERNMENT 3.00% 03/14/2024 144A REG S
549300O6E2WAK3IAXE34
NORWEGIAN GOVERNMENT 3.00% 03/14/2024 144A REG S
R34155AK8
76368000.00000000
PA
9269870.19000000
1.020063015407
Long
DBT
NUSS
NO
N
2
2024-03-14
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
USD_MXN_20200617
000000000
1.00000000
NC
USD
3967682.25000000
0.436606536786
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
3967682.25000000
USD
80636000.00000000
MXN
2020-06-17
-188736.42
N
N
N
IFT MONEY MARKET PORTFOLIO OEMF-SWEEP MONEY MARKET PORTFOLIO
N/A
IFT MONEY MARKET PORTFOLIO OEMF-SWEEP MONEY MARKET PORTFOLIO
457756500
225292087.86100000
NS
USD
225292087.86000000
24.79129931482
Long
EC
RF
US
N
1
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 18.9245 EXPIRES 03/10/20 USD Put/MXN Call *OTC*
000000000
3074000.00000000
NC
USD
23718.98000000
0.002610053190
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 18.9245 EXPIRES 03/10/20 USD Put/MXN Call *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 18.9245 EXPIRES 03/10/20 USD Put/MXN Call *OTC*
1.00000000
18.9245
USD
2020-03-10
XXXX
-688.58
N
N
N
N/A
N/A
CHF_EUR_20200210
000000000
1.00000000
NC
USD
5827160.81000000
0.641224861328
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
5622151.00000000
CHF
5116628.14000000
EUR
2020-02-10
74239.11
N
N
N
Japan Treasury Discount Bill 01/14/2020 TBLM
353800WZS8AXZXFUC241
Japan Treasury Discount Bill 01/14/2020 TBLM
000000000
1023000000.00000000
PA
9413718.02000000
1.035892131481
Long
STIV
UST
JP
N
2
N
N
N
N/A
N/A
CITIBANK NA STRIKE 73.25 EXPIRES 05/07/20 AUD Put/JPY Call
000000000
6440000.00000000
NC
40315.18000000
0.004436310674
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 73.25 EXPIRES 05/07/20 AUD Put/JPY Call
CITIBANK NA STRIKE 73.25 EXPIRES 05/07/20 AUD Put/JPY Call
3.00000000
73.25
AUD
2020-05-07
XXXX
-97117.07
N
N
N
N/A
N/A
CITIBANK NA STRIKE 75.05 EXPIRES 05/06/20 AUD Put/JPY Call
000000000
1932000.00000000
NC
20381.26000000
0.002242768141
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 75.05 EXPIRES 05/06/20 AUD Put/JPY Call
CITIBANK NA STRIKE 75.05 EXPIRES 05/06/20 AUD Put/JPY Call
3.00000000
75.05
AUD
2020-05-06
XXXX
-22335.64
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.873 EXPIRES 03/12/20 USD Call/MXN Put
000000000
-3000000.00000000
NC
USD
-318.00000000
-0.00003499294
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.873 EXPIRES 03/12/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.873 EXPIRES 03/12/20 USD Call/MXN Put
1.00000000
22.873
USD
2020-03-12
XXXX
13962
N
N
N
N/A
N/A
USD_EUR_20200605
000000000
1.00000000
NC
USD
1486030.70000000
0.163523860179
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
1486030.70000000
USD
1325805.75000000
EUR
2020-06-05
-15523.2
N
N
N
N/A
N/A
CITIBANK NA STRIKE 21.8204 EXPIRES 03/06/20 USD Call/MXN Put
000000000
-3821000.00000000
NC
USD
-829.16000000
-0.00009124134
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 21.8204 EXPIRES 03/06/20 USD Call/MXN Put
CITIBANK NA STRIKE 21.8204 EXPIRES 03/06/20 USD Call/MXN Put
1.00000000
21.8204
USD
2020-03-06
XXXX
39463.29
N
N
N
UNITED STATES TREASURY NOTE/BOND 1.25% 01/31/2020
N/A
UNITED STATES TREASURY NOTE/BOND 1.25% 01/31/2020
912828H52
3000000.00000000
PA
USD
2999058.78000000
0.330018530983
Long
DBT
UST
US
N
2
2020-01-31
Fixed
1.25000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200415
000000000
1.00000000
NC
USD
835264.77000000
0.091913120948
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
835264.77000000
USD
748726.91000000
EUR
2020-04-15
-10023.38
N
N
N
N/A
N/A
JPY_USD_20200323
000000000
1.00000000
NC
USD
8775881.50000000
0.965704153592
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
949195540.00000000
JPY
8925767.21000000
USD
2020-03-23
-149885.71
N
N
N
N/A
N/A
CITIBANK NA STRIKE 111.15 EXPIRES 03/20/20 USD Call/JPY Put
000000000
18670000.00000000
NC
USD
24756.42000000
0.002724213815
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 111.15 EXPIRES 03/20/20 USD Call/JPY Put
CITIBANK NA STRIKE 111.15 EXPIRES 03/20/20 USD Call/JPY Put
1.00000000
111.15
USD
2020-03-20
XXXX
-33325.95
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL STRIKE 19.4925 EXPIRES 03/12/20 USD Call/MXN Put
000000000
-4920000.00000000
NC
USD
-30504.00000000
-0.00335668154
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS INTERNATIONAL STRIKE 19.4925 EXPIRES 03/12/20 USD Call/MXN Put
GOLDMAN SACHS INTERNATIONAL STRIKE 19.4925 EXPIRES 03/12/20 USD Call/MXN Put
1.00000000
19.4925
USD
2020-03-12
XXXX
180062.16
N
N
N
Norway Treasury Bill 06/17/2020 TBLM 144A REG S
549300O6E2WAK3IAXE34
Norway Treasury Bill 06/17/2020 TBLM 144A REG S
000000000
15638000.00000000
PA
1771517.38000000
0.194939014619
Long
STIV
UST
NO
N
2
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.4881 EXPIRES 03/10/20 USD Call/MXN Put
000000000
-7684000.00000000
NC
USD
-9174.70000000
-0.00100959042
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.4881 EXPIRES 03/10/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.4881 EXPIRES 03/10/20 USD Call/MXN Put
2.00000000
20.4881
USD
2020-03-10
XXXX
174134.8
N
N
N
N/A
N/A
USD_MXN_20201016
000000000
1.00000000
NC
USD
8217940.11000000
0.904307891828
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
8217940.11000000
USD
167775000.00000000
MXN
2020-10-16
-281917.19
N
N
N
N/A
N/A
EUR_USD_20200224
000000000
1.00000000
NC
USD
4450601.39000000
0.489747297557
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
3955000.00000000
EUR
4415658.63000000
USD
2020-02-24
34942.76
N
N
N
N/A
N/A
USD_JPY_20200306
000000000
1.00000000
NC
USD
4703181.22000000
0.517541359150
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
4703181.22000000
USD
494791690.00000000
JPY
2020-03-06
133108.77
N
N
N
N/A
N/A
JPY_USD_20200306
000000000
1.00000000
NC
USD
4811872.32000000
0.529501804004
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
520970830.00000000
JPY
4910575.67000000
USD
2020-03-06
-98703.35
N
N
N
N/A
N/A
USD_EUR_20200723
000000000
1.00000000
NC
USD
12587072.93000000
1.385090330820
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
12587072.93000000
USD
11085000.00000000
EUR
2020-07-23
-4995.57
N
N
N
N/A
N/A
CITIBANK NA STRIKE 109.16 EXPIRES 03/30/20 USD Call/JPY Put
000000000
-43564000.00000000
NC
USD
-264694.86000000
-0.02912720798
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 109.16 EXPIRES 03/30/20 USD Call/JPY Put
CITIBANK NA STRIKE 109.16 EXPIRES 03/30/20 USD Call/JPY Put
1.00000000
109.16
USD
2020-03-30
XXXX
88086.41
N
N
N
N/A
N/A
JPY_AUD_20200225
000000000
1.00000000
NC
USD
6898335.79000000
0.759097707196
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
747300947.00000000
JPY
10420500.00000000
AUD
2020-02-25
-423299.95
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.6755 EXPIRES 05/04/20 AUD PUT/USD CALL
000000000
8050000.00000000
NC
22412.38000000
0.002466274009
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
HSBC BANK PLC STRIKE 0.6755 EXPIRES 05/04/20 AUD PUT/USD CALL
HSBC BANK PLC STRIKE 0.6755 EXPIRES 05/04/20 AUD PUT/USD CALL
2.00000000
0.6755
AUD
2020-05-04
XXXX
-76743.5
N
N
N
UNITED STATES TREASURY NOTE/BOND 1.125% 09/30/2021
N/A
UNITED STATES TREASURY NOTE/BOND 1.125% 09/30/2021
912828T34
2737000.00000000
PA
USD
2714371.55000000
0.298691348581
Long
DBT
UST
US
N
2
2021-09-30
Fixed
1.12500000
N
N
N
N
N
N
INDONESIA GOVERNMENT 12.80% 06/15/2021
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 12.80% 06/15/2021
Y39814DL2
64492000000.00000000
PA
5107792.20000000
0.562065035088
Long
DBT
UST
ID
N
2
2021-06-15
Fixed
12.80000000
N
N
N
N
N
N
N/A
N/A
NOK_USD_20200616
000000000
1.00000000
NC
USD
7293401.88000000
0.802571056746
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
64001800.00000000
NOK
7036830.17000000
USD
2020-06-16
256571.71
N
N
N
N/A
N/A
NOK_USD_20200619
000000000
1.00000000
NC
USD
7471359.06000000
0.822153589610
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
65563400.00000000
NOK
7274557.01000000
USD
2020-06-19
196802.05
N
N
N
INDONESIA GOVERNMENT 9.50% 07/15/2023
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 9.50% 07/15/2023
Y39814ED9
11430000000.00000000
PA
905589.76000000
0.099651732157
Long
DBT
NUSS
ID
N
2
2023-07-15
Fixed
9.50000000
N
N
N
N
N
N
N/A
N/A
CHF_EUR_20200512
000000000
1.00000000
NC
USD
5756444.92000000
0.633443235208
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
5517598.83000000
CHF
5027424.90000000
EUR
2020-05-12
71100.13
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL IRS PAY FIXED 2.537% 04/13/47 USD
000000000
-12300000.00000000
NC
USD
-1191631.22000000
-0.13112793497
N/A
DIR
CORP
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2047-04-13
0
USD
0
USD
-12300000
USD
-1191904.06
N
N
N
INDONESIA GOVERNMENT 6.125% 05/15/2028
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.125% 05/15/2028
Y39814HQ7
3157000000.00000000
PA
214855.63000000
0.023642864174
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.3641 EXPIRES 03/10/20 USD Call/MXN Put
000000000
23052000.00000000
NC
USD
9382.16000000
0.001032419464
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.3641 EXPIRES 03/10/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.3641 EXPIRES 03/10/20 USD Call/MXN Put
2.00000000
21.3641
USD
2020-03-10
XXXX
-306914.33
N
N
N
N/A
N/A
USD_EUR_20200615
000000000
1.00000000
NC
USD
1065111.01000000
0.117205562357
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1065111.01000000
USD
916524.12000000
EUR
2020-06-15
26444.89
N
N
N
N/A
N/A
EUR_USD_20200401
000000000
1.00000000
NC
USD
3352371.75000000
0.368897337932
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
2972000.00000000
EUR
3320721.11000000
USD
2020-04-01
31650.64
N
N
N
N/A
N/A
EUR_USD_20200331
000000000
1.00000000
NC
USD
4946584.71000000
0.544325649855
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
4385600.51000000
EUR
4900649.82000000
USD
2020-03-31
45934.89
N
N
N
N/A
N/A
CITIBANK NA STRIKE 74 EXPIRES 11/12/20 AUD Put/JPY Call
000000000
2608000.00000000
NC
45767.71000000
0.005036310899
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 74 EXPIRES 11/12/20 AUD Put/JPY Call
CITIBANK NA STRIKE 74 EXPIRES 11/12/20 AUD Put/JPY Call
1.00000000
74
AUD
2020-11-12
XXXX
-42787.15
N
N
N
N/A
N/A
USD_EUR_20200323
000000000
1.00000000
NC
USD
1440289.26000000
0.158490440049
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
1440289.26000000
USD
1285077.59000000
EUR
2020-03-23
-8420.02
N
N
N
Mexican Bonos 7.25% 12/09/2021
254900EGTWEU67VP6075
Mexican Bonos 7.25% 12/09/2021
000000000
2971800.00000000
PA
15843061.06000000
1.743381547627
Long
DBT
NUSS
MX
N
2
2021-12-09
Fixed
7.25000000
N
N
N
N
N
N
MEXICAN UDIBONOS 2.50% 12/10/2020 INDEX LINKED TO MXUDI
254900EGTWEU67VP6075
MEXICAN UDIBONOS 2.50% 12/10/2020 INDEX LINKED TO MXUDI
P9767HDZ9
116974.04900000
PA
612380.60000000
0.067386790603
Long
DBT
NUSS
MX
N
2
2020-12-10
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
USD_JPY_20200226
000000000
1.00000000
NC
USD
10261615.58000000
1.129195373499
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
10261615.58000000
USD
1097248900.00000000
JPY
2020-02-26
132334.53
N
N
N
N/A
N/A
CITIBANK NA STRIKE 22.908 EXPIRES 05/21/20 USD Call/MXN Put
000000000
-1360000.00000000
NC
USD
-1062.16000000
-0.00011688083
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 22.908 EXPIRES 05/21/20 USD Call/MXN Put
CITIBANK NA STRIKE 22.908 EXPIRES 05/21/20 USD Call/MXN Put
1.00000000
22.908
USD
2020-05-21
XXXX
17270.64
N
N
N
N/A
N/A
JPY_USD_20200831
000000000
1.00000000
NC
USD
8399231.63000000
0.924257337804
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
900237000.00000000
JPY
8710603.96000000
USD
2020-08-31
-311372.33
N
N
N
UNITED STATES TREASURY NOTE/BOND 2.625% 07/15/2021
N/A
UNITED STATES TREASURY NOTE/BOND 2.625% 07/15/2021
912828Y20
2975000.00000000
PA
USD
3021440.76000000
0.332481459756
Long
DBT
UST
US
N
2
2021-07-15
Fixed
2.62500000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 112.24 EXPIRES 09/22/20 USD Call/JPY Put *OTC*
000000000
24116000.00000000
NC
USD
85129.48000000
0.009367707668
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 112.24 EXPIRES 09/22/20 USD Call/JPY Put *OTC*
CITIBANK NA STRIKE 112.24 EXPIRES 09/22/20 USD Call/JPY Put *OTC*
1.00000000
112.24
USD
2020-09-22
XXXX
-27878.1
N
N
N
N/A
N/A
SEK_EUR_20200415
000000000
1.00000000
NC
USD
2713480.83000000
0.298593333128
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
25286200.00000000
SEK
2326429.97000000
EUR
2020-04-15
87017.61
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.5785 EXPIRES 03/05/20 USD Call/MXN Put
000000000
12294000.00000000
NC
USD
3270.20000000
0.000359855100
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.5785 EXPIRES 03/05/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.5785 EXPIRES 03/05/20 USD Call/MXN Put
1.00000000
21.5785
USD
2020-03-05
XXXX
-177869.6
N
N
N
N/A
N/A
JPY_AUD_20200821
000000000
1.00000000
NC
USD
10658262.77000000
1.172842708401
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1143008300.00000000
JPY
16082874.75000000
AUD
2020-08-21
-686155.86
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.9455 EXPIRES 03/30/20 USD Call/MXN Put
000000000
-7377000.00000000
NC
USD
-30865.37000000
-0.00339644695
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 19.9455 EXPIRES 03/30/20 USD Call/MXN Put
CITIBANK NA STRIKE 19.9455 EXPIRES 03/30/20 USD Call/MXN Put
1.00000000
19.9455
USD
2020-03-30
XXXX
106796.83
N
N
N
N/A
N/A
JPY_EUR_20200331
000000000
1.00000000
NC
USD
308908.74000000
0.033992534345
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
33395794.00000000
JPY
283400.00000000
EUR
2020-03-31
-10742.38
N
N
N
N/A
N/A
USD_BRL_20200303
000000000
1.00000000
NC
USD
6026579.88000000
0.663169075616
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
6026579.88000000
USD
24886400.00000000
BRL
2020-03-03
-150092.55
N
N
N
N/A
N/A
USD_NOK_20200103
000000000
1.00000000
NC
USD
1944891.83000000
0.214017260661
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
1944891.83000000
USD
17872000.00000000
NOK
2020-01-03
-91251.75
N
N
N
GHANA GOVT 19.75% 03/25/2024
213800PP4399SNNXZ126
GHANA GOVT 19.75% 03/25/2024
V3R60FCD4
8520000.00000000
PA
1442598.52000000
0.158744552639
Long
DBT
NUSS
GH
N
2
2024-03-25
Fixed
19.75000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200608
000000000
1.00000000
NC
USD
4594578.50000000
0.505590639693
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
494791690.00000000
JPY
4696337.04000000
USD
2020-06-08
-101758.54
N
N
N
Argentina Treasury Bill ZERO 08/27/2020
549300KPBYGYF7HCHO27
Argentina Treasury Bill ZERO 08/27/2020
000000000
18456380.00000000
PA
211279.05000000
0.023249294803
Long
DBT
NUSS
AR
N
3
2020-08-27
None
0.00000000
N
N
N
N
N
N
N/A
N/A
SEK_USD_20200526
000000000
1.00000000
NC
USD
6452844.50000000
0.710075533282
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
60018807.30000000
SEK
6307942.08000000
USD
2020-05-26
144902.42
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.71 EXPIRES 04/30/2020 AUD CALL/USD PUT
000000000
-4830000.00000000
NC
-37210.89000000
-0.00409471242
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
HSBC BANK PLC STRIKE 0.71 EXPIRES 04/30/2020 AUD CALL/USD PUT
HSBC BANK PLC STRIKE 0.71 EXPIRES 04/30/2020 AUD CALL/USD PUT
2.00000000
0.71
AUD
2020-04-30
XXXX
67542.71
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.736 EXPIRES 08/12/20 AUD Call/USD Put
000000000
-8211000.00000000
NC
-35448.96000000
-0.00390082841
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.736 EXPIRES 08/12/20 AUD Call/USD Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.736 EXPIRES 08/12/20 AUD Call/USD Put
1.00000000
0.736
AUD
2020-08-12
XXXX
-9054.94
N
N
N
N/A
N/A
JPY_AUD_20200313
000000000
1.00000000
NC
USD
1731266.51000000
0.190509780662
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
187363260.00000000
JPY
2520000.00000000
AUD
2020-03-13
-40086.97
N
N
N
N/A
N/A
JPY_EUR_20200930
000000000
1.00000000
NC
USD
312171.13000000
0.034351530028
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
33401462.00000000
JPY
283400.00000000
EUR
2020-09-30
-11150.5
N
N
N
India Government Bond 6.79% 05/15/2027
N/A
India Government Bond 6.79% 05/15/2027
000000000
492800000.00000000
PA
6889047.73000000
0.758075642561
Long
DBT
NUSS
IN
N
2
2027-05-15
Fixed
6.79000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20201013
000000000
1.00000000
NC
USD
15083259.27000000
1.659772425909
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
15083259.27000000
USD
13422374.63000000
EUR
2020-10-13
-242401.8
N
N
N
N/A
N/A
CITIBANK NA STRIKE 79 EXPIRES 01/23/20 AUD Call/JPY Put
000000000
10303000.00000000
NC
1525.34000000
0.000167849483
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 79 EXPIRES 01/23/20 AUD Call/JPY Put
CITIBANK NA STRIKE 79 EXPIRES 01/23/20 AUD Call/JPY Put
1.00000000
79
AUD
2020-01-23
XXXX
-4265.23
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.895 EXPIRES 03/12/20 USD Call/MXN Put
000000000
4000000.00000000
NC
USD
3012.00000000
0.000331442591
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.895 EXPIRES 03/12/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.895 EXPIRES 03/12/20 USD Call/MXN Put
1.00000000
20.895
USD
2020-03-12
XXXX
-64988
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 19.355 EXPIRES 04/24/20 USD Put/MXN Call
000000000
-7103000.00000000
NC
USD
-144531.84000000
-0.01590438501
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE & CO STRIKE 19.355 EXPIRES 04/24/20 USD Put/MXN Call
JPMORGAN CHASE & CO STRIKE 19.355 EXPIRES 04/24/20 USD Put/MXN Call
1.00000000
19.355
USD
2020-04-24
XXXX
6694.23
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.338 expires 05/12/20 usd call/mxn put *otc*
000000000
-3228000.00000000
NC
USD
-54010.90000000
-0.00594339730
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 19.338 expires 05/12/20 usd call/mxn put *otc*
CITIBANK NA STRIKE 19.338 expires 05/12/20 usd call/mxn put *otc*
1.00000000
19.338
USD
2020-05-12
XXXX
9361.2
N
N
N
N/A
N/A
USD_INR_20200205
000000000
1.00000000
NC
USD
6937419.28000000
0.763398481840
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
6937419.28000000
USD
497014060.79000000
INR
2020-02-05
-14312.46
N
N
N
N/A
N/A
CITIBANK NA STRIKE 18.3052 EXPIRES 05/14/20 USD Put/MXN Call
000000000
3552000.00000000
NC
USD
8645.57000000
0.000951364584
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 18.3052 EXPIRES 05/14/20 USD Put/MXN Call
CITIBANK NA STRIKE 18.3052 EXPIRES 05/14/20 USD Put/MXN Call
1.00000000
18.3052
USD
2020-05-14
XXXX
-18598.27
N
N
N
N/A
N/A
CITIBANK NA STRIKE 100.11 EXPIRES 03/20/20 USD Put/JPY Call
000000000
18670000.00000000
NC
USD
10343.18000000
0.001138170779
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 100.11 EXPIRES 03/20/20 USD Put/JPY Call
CITIBANK NA STRIKE 100.11 EXPIRES 03/20/20 USD Put/JPY Call
1.00000000
100.11
USD
2020-03-20
XXXX
-78862.08
N
N
N
N/A
N/A
USD_KRW_20200210
000000000
1.00000000
NC
USD
4864909.66000000
0.535338070086
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
4864909.66000000
USD
5870000000.00000000
KRW
2020-02-10
-217239.49
N
N
N
N/A
N/A
CITIBANK NA STRIKE 102.84 EXPIRES 03/20/20 USD Put/JPY Call *OTC*
000000000
-37341000.00000000
NC
USD
-48916.71000000
-0.00538282906
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 102.84 EXPIRES 03/20/20 USD Put/JPY Call *OTC*
CITIBANK NA STRIKE 102.84 EXPIRES 03/20/20 USD Put/JPY Call *OTC*
1.00000000
102.84
USD
2020-03-20
XXXX
251080.88
N
N
N
N/A
N/A
USD_INR_20200116
000000000
1.00000000
NC
USD
10831107.47000000
1.191862660381
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
10831107.47000000
USD
793162000.00000000
INR
2020-01-16
-276888.37
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 19.4535 EXPIRES 03/05/20 USD Put/MXN Call
000000000
-8022000.00000000
NC
USD
-197124.61000000
-0.02169173030
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE & CO STRIKE 19.4535 EXPIRES 03/05/20 USD Put/MXN Call
JPMORGAN CHASE & CO STRIKE 19.4535 EXPIRES 03/05/20 USD Put/MXN Call
1.00000000
19.4535
USD
2020-03-05
XXXX
-88602.99
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 18.5 EXPIRES 01/27/20 USD PUT/MXN CALL
000000000
3044000.00000000
NC
USD
1759.43000000
0.000193608910
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE & CO STRIKE 18.5 EXPIRES 01/27/20 USD PUT/MXN CALL
JPMORGAN CHASE & CO STRIKE 18.5 EXPIRES 01/27/20 USD PUT/MXN CALL
1.00000000
18.5
USD
2020-01-27
XXXX
-8649.19
N
N
N
INDONESIA GOVERNMENT 8.375% 09/15/2026
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375% 09/15/2026
Y20721AS8
292968000000.00000000
PA
22703027.82000000
2.498257099859
Long
DBT
NUSS
ID
N
2
2026-09-15
Fixed
8.37500000
N
N
N
N
N
N
INDIA GOVERNMENT BOND 6.84% 12/19/2022
N/A
INDIA GOVERNMENT BOND 6.84% 12/19/2022
Y725633V2
111000000.00000000
PA
1580803.03000000
0.173952673823
Long
DBT
NUSS
IN
N
2
2022-12-19
Fixed
6.84000000
N
N
N
N
N
N
N/A
N/A
SEK_USD_20200519
000000000
1.00000000
NC
USD
519338.53000000
0.057148375982
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
4832000.00000000
SEK
505497.49000000
USD
2020-05-19
13841.04
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.7961 EXPIRES 11/05/20 AUD Call/USD Put
000000000
-7728000.00000000
NC
-6588.16000000
-0.00072496574
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
HSBC BANK PLC STRIKE 0.7961 EXPIRES 11/05/20 AUD Call/USD Put
HSBC BANK PLC STRIKE 0.7961 EXPIRES 11/05/20 AUD Call/USD Put
1.00000000
0.7961
AUD
2020-11-05
XXXX
34962.25
N
N
N
GHANA GOVT 19.00% 11/02/2026
213800PP4399SNNXZ126
GHANA GOVT 19.00% 11/02/2026
V3R60FBX1
25560000.00000000
PA
4072909.77000000
0.448185846868
Long
DBT
NUSS
GH
N
2
2026-11-02
Fixed
19.00000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200414
000000000
1.00000000
NC
USD
7871847.01000000
0.866223564436
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
7871847.01000000
USD
7083553.73000000
EUR
2020-04-14
-124755.76
N
N
N
United States Treasury Note/Bond 1.5% 09/30/2021
N/A
United States Treasury Note/Bond 1.5% 09/30/2021
912828YJ3
30797000.00000000
PA
USD
30747163.06000000
3.383439381927
Long
DBT
UST
US
N
2
2021-09-30
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200604
000000000
1.00000000
NC
USD
5100891.25000000
0.561305649711
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
5100891.25000000
USD
4550000.00000000
EUR
2020-06-04
-51932.99
N
N
N
INDIA GOVERNMENT BOND 8.20% 02/15/2022
N/A
INDIA GOVERNMENT BOND 8.20% 02/15/2022
Y39157DJ1
282000000.00000000
PA
4122042.70000000
0.453592468936
Long
DBT
NUSS
IN
N
2
2022-02-15
Fixed
8.20000000
N
N
N
N
N
N
N/A
N/A
JPY_EUR_20200522
000000000
1.00000000
NC
USD
7755479.46000000
0.853418397641
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
835990017.00000000
JPY
7079963.19000000
EUR
2020-05-22
-256002.37
N
N
N
N/A
N/A
USD_EUR_20200521
000000000
1.00000000
NC
USD
14213062.11000000
1.564015320272
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
14213062.11000000
USD
12683778.89000000
EUR
2020-05-21
-138641.07
N
N
N
GHANA GOVT 17.60% 11/28/2022
213800PP4399SNNXZ126
GHANA GOVT 17.60% 11/28/2022
000000000
100000.00000000
PA
16393.24000000
0.001803923623
Long
DBT
NUSS
GH
N
2
2022-11-28
Fixed
17.60000000
N
N
N
N
N
N
Japan Treasury Discount Bill 09/23/2020 TBLM
353800WZS8AXZXFUC241
Japan Treasury Discount Bill 09/23/2020 TBLM
000000000
472000000.00000000
PA
4347677.01000000
0.478421426615
Long
STIV
UST
JP
N
2
N
N
N
N/A
N/A
USD_EUR_20200430
000000000
1.00000000
NC
USD
2003480.80000000
0.220464432000
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
2003480.80000000
USD
1784250.00000000
EUR
2020-04-30
-12759.92
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.9565 EXPIRES 01/30/20 USD Call/MXN Put
000000000
-1967000.00000000
NC
USD
-904.82000000
-0.00009956702
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 19.9565 EXPIRES 01/30/20 USD Call/MXN Put
CITIBANK NA STRIKE 19.9565 EXPIRES 01/30/20 USD Call/MXN Put
1.00000000
19.9565
USD
2020-01-30
XXXX
18830.09
N
N
N
N/A
N/A
JPY_AUD_20200824
000000000
1.00000000
NC
USD
7259933.31000000
0.798888151836
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
778434201.00000000
JPY
10967159.87000000
AUD
2020-08-24
-476494.85
N
N
N
GHANA GOVT 24.50% 06/21/2021
213800PP4399SNNXZ126
GHANA GOVT 24.50% 06/21/2021
V3R60FBT0
50000.00000000
PA
9331.87000000
0.001026885517
Long
DBT
NUSS
GH
N
2
2021-06-21
Fixed
24.50000000
N
N
N
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.6766 EXPIRES 05/07/20 AUD Put/USD Call
000000000
3864000.00000000
NC
11658.06000000
0.001282861096
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
HSBC BANK PLC STRIKE 0.6766 EXPIRES 05/07/20 AUD Put/USD Call
HSBC BANK PLC STRIKE 0.6766 EXPIRES 05/07/20 AUD Put/USD Call
1.00000000
0.6766
AUD
2020-05-07
XXXX
-40652.15
N
N
N
N/A
N/A
CITIBANK NA STRIKE 69.18 EXPIRES 11/12/20 AUD Put/JPY Call
000000000
869000.00000000
NC
6627.20000000
0.000729261734
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 69.18 EXPIRES 11/12/20 AUD Put/JPY Call
CITIBANK NA STRIKE 69.18 EXPIRES 11/12/20 AUD Put/JPY Call
1.00000000
69.18
AUD
2020-11-12
XXXX
-10729.84
N
N
N
NOTA DO TESOURO NACIONAL NTNF 01/01/2023 STATED RATE 10%
N/A
NOTA DO TESOURO NACIONAL NTNF 01/01/2023 STATED RATE 10%
P8T63WAA6
6218.00000000
PA
1720010.020000
0.189271108609
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
9.46138200
N
N
N
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.559 EXPIRES 03/05/20 USD Call/MXN Put
000000000
-9221000.00000000
NC
USD
-949.76000000
-0.00010451225
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.559 EXPIRES 03/05/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.559 EXPIRES 03/05/20 USD Call/MXN Put
1.00000000
22.559
USD
2020-03-05
XXXX
71223.01
N
N
N
INDIA GOVERNMENT BOND 7.68% 12/15/2023
N/A
INDIA GOVERNMENT BOND 7.68% 12/15/2023
Y39157GH2
730000000.00000000
PA
10654002.74000000
1.172373931713
Long
DBT
NUSS
IN
N
2
2023-12-15
Fixed
7.68000000
N
N
N
N
N
N
N/A
N/A
EUR_USD_20200117
000000000
1.00000000
NC
USD
7716135.43000000
0.849088952993
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
6873000.00000000
EUR
7655284.86000000
USD
2020-01-17
60850.57
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.6795 EXPIRES 04/30/20 AUD PUT/USD CALL
000000000
6440000.00000000
NC
21061.32000000
0.002317602420
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
HSBC BANK PLC STRIKE 0.6795 EXPIRES 04/30/20 AUD PUT/USD CALL
HSBC BANK PLC STRIKE 0.6795 EXPIRES 04/30/20 AUD PUT/USD CALL
2.00000000
0.6795
AUD
2020-04-30
XXXX
-61181.46
N
N
N
N/A
N/A
CITIBANK NA STRIKE 22.395 EXPIRES 09/17/20 USD CALL/MXN PUT
000000000
-7061000.00000000
NC
USD
-29592.65000000
-0.00325639595
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 22.395 EXPIRES 09/17/20 USD CALL/MXN PUT
CITIBANK NA STRIKE 22.395 EXPIRES 09/17/20 USD CALL/MXN PUT
1.00000000
22.395
USD
2020-09-17
XXXX
3078.6
N
N
N
MEXICAN FIXED RATE BONDS 6.50% 06/09/2022
254900EGTWEU67VP6075
MEXICAN FIXED RATE BONDS 6.50% 06/09/2022
P4R0C9EJ8
2327300.00000000
PA
12241713.13000000
1.347086696274
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
USD_INR_20200206
000000000
1.00000000
NC
USD
5959417.24000000
0.655778451618
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
5959417.24000000
USD
425413000.00000000
INR
2020-02-06
9820.84
N
N
N
INDONESIA GOVERNMENT 9.00% 03/15/2029
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 9.00% 03/15/2029
Y39814JN2
45298000000.00000000
PA
3662017.15000000
0.402970934860
Long
DBT
NUSS
ID
N
2
2029-03-15
Fixed
9.00000000
N
N
N
N
N
N
N/A
N/A
EUR_USD_20200325
000000000
1.00000000
NC
USD
3787242.15000000
0.416750781664
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
3359036.80000000
EUR
3752517.73000000
USD
2020-03-25
34724.42
N
N
N
INDIA GOVERNMENT BOND 8.15% 06/11/2022
N/A
INDIA GOVERNMENT BOND 8.15% 06/11/2022
Y39157FK6
540000000.00000000
PA
7900012.57000000
0.869322922407
Long
DBT
NUSS
IN
N
2
2022-06-11
Fixed
8.15000000
N
N
N
N
N
N
N/A
N/A
USD_INR_20200220
000000000
1.00000000
NC
USD
11115888.62000000
1.223200177806
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
11115888.62000000
USD
805429500.00000000
INR
2020-02-20
-131163.22
N
N
N
N/A
N/A
JPY_AUD_20200612
000000000
1.00000000
NC
USD
3369159.95000000
0.370744723231
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
362744200.00000000
JPY
4940000.00000000
AUD
2020-06-12
-110200.32
N
N
N
GHANA GOVT 21.50% 03/09/2020
213800PP4399SNNXZ126
GHANA GOVT 21.50% 03/09/2020
V3R60FCB8
370000.00000000
PA
65132.66000000
0.007167243575
Long
DBT
NUSS
GH
N
2
2020-03-09
Fixed
21.50000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200429
000000000
1.00000000
NC
USD
4831894.49000000
0.531705057630
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
4831894.49000000
USD
4300311.49000000
EUR
2020-04-29
-27247.12
N
N
N
N/A
N/A
SEK_EUR_20200313
000000000
1.00000000
NC
USD
2709231.50000000
0.298125733875
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
25286200.00000000
SEK
2367666.06000000
EUR
2020-03-13
41818
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.105 EXPIRES 09/03/20 USD put/MXN call *OTC*
000000000
7684000.00000000
NC
USD
110150.14000000
0.012120998638
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 19.105 EXPIRES 09/03/20 USD put/MXN call *OTC*
CITIBANK NA STRIKE 19.105 EXPIRES 09/03/20 USD put/MXN call *OTC*
1.00000000
19.105
USD
2020-09-03
XXXX
19140.84
N
N
N
N/A
N/A
CHF_EUR_20201112
000000000
1.00000000
NC
USD
5831330.30000000
0.641683674931
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
5517598.83000000
CHF
5035224.34000000
EUR
2020-11-12
71245.24
N
N
N
N/A
N/A
USD_JPY_20200324
000000000
1.00000000
NC
USD
3291406.98000000
0.362188731895
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
3291406.98000000
USD
345545070.00000000
JPY
2020-03-24
96447.7
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.3265 EXPIRES 09/04/20 USD Call/MXN Put
000000000
12294000.00000000
NC
USD
48020.36000000
0.005284194084
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.3265 EXPIRES 09/04/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.3265 EXPIRES 09/04/20 USD Call/MXN Put
1.00000000
22.3265
USD
2020-09-04
XXXX
-287470.61
N
N
N
NOTA DO TESOURO NACIONAL NTNF 01/01/2025 STATED RATE 10%
N/A
NOTA DO TESOURO NACIONAL NTNF 01/01/2025 STATED RATE 10%
P8T60MDK6
75193.00000000
PA
21494798.750000
2.365302725829
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
9.46138200
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200429
000000000
1.00000000
NC
USD
507057.67000000
0.055796981537
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
507057.67000000
USD
451231.33000000
EUR
2020-04-29
-2811.66
N
N
N
N/A
N/A
USD_MXN_20201008
000000000
1.00000000
NC
USD
2412359.03000000
0.265457679120
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
2412359.03000000
USD
49711000.00000000
MXN
2020-10-08
-108853.52
N
N
N
N/A
N/A
CHF_EUR_20200508
000000000
1.00000000
NC
USD
5863876.61000000
0.645265093703
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
5622151.00000000
CHF
5120962.41000000
EUR
2020-05-08
74196.13
N
N
N
N/A
N/A
USD_MXN_20201009
000000000
1.00000000
NC
USD
1809269.98000000
0.199093337194
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
1809269.98000000
USD
37337000.00000000
MXN
2020-10-09
-84107.82
N
N
N
N/A
N/A
CITIBANK NA STRIKE 21.943 EXPIRES 09/03/20 USD Call/MXN Put *OTC*
000000000
15368000.00000000
NC
USD
74350.38000000
0.008181567947
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 21.943 EXPIRES 09/03/20 USD Call/MXN Put *OTC*
CITIBANK NA STRIKE 21.943 EXPIRES 09/03/20 USD Call/MXN Put *OTC*
1.00000000
21.943
USD
2020-09-03
XXXX
-418624.32
N
N
N
N/A
N/A
USD_INR_20200218
000000000
1.00000000
NC
USD
7637988.83000000
0.840489646336
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
7637988.83000000
USD
553716000.00000000
INR
2020-02-18
-95816.9
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.808 EXPIRES 03/05/20 USD Call/MXN Put
000000000
6147000.00000000
NC
USD
122.94000000
0.000013528403
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.808 EXPIRES 03/05/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.808 EXPIRES 03/05/20 USD Call/MXN Put
1.00000000
24.808
USD
2020-03-05
XXXX
-18152.09
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.69 EXPIRES 05/12/20 USD Put/MXN Call
000000000
-2519000.00000000
NC
USD
-81099.21000000
-0.00892421393
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 19.69 EXPIRES 05/12/20 USD Put/MXN Call
CITIBANK NA STRIKE 19.69 EXPIRES 05/12/20 USD Put/MXN Call
1.00000000
19.69
USD
2020-05-12
XXXX
-8879.48
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.562 EXPIRES 09/04/20 USD Call/MXN Put *OTC*
000000000
-18441000.00000000
NC
USD
-24729.38000000
-0.00272123831
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.562 EXPIRES 09/04/20 USD Call/MXN Put *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.562 EXPIRES 09/04/20 USD Call/MXN Put *OTC*
1.00000000
24.562
USD
2020-09-04
XXXX
194239.05
N
N
N
N/A
N/A
JPY_USD_20200227
000000000
1.00000000
NC
USD
6826870.02000000
0.751233563756
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
739475000.00000000
JPY
7033438.07000000
USD
2020-02-27
-206568.05
N
N
N
N/A
N/A
USD_AUD_20200115
000000000
1.00000000
NC
USD
7224041.27000000
0.794938566588
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
7224041.27000000
USD
10311000.00000000
AUD
2020-01-15
-13485.72
N
N
N
N/A
N/A
CITIBANK NA STRIKE 21.699 EXPIRES 09/08/20 USD Call/MXN Put
000000000
15352000.00000000
NC
USD
89056.95000000
0.009799889221
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 21.699 EXPIRES 09/08/20 USD Call/MXN Put
CITIBANK NA STRIKE 21.699 EXPIRES 09/08/20 USD Call/MXN Put
1.00000000
21.699
USD
2020-09-08
XXXX
-405707.31
N
N
N
INDONESIA GOVERNMENT 11.00% 11/15/2020
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 11.00% 11/15/2020
Y39814DG3
145557000000.00000000
PA
11004982.54000000
1.210995994999
Long
DBT
UST
ID
N
2
2020-11-15
Fixed
11.00000000
N
N
N
N
N
N
Japan Treasury Discount Bill 05/20/2020 TBLM
353800WZS8AXZXFUC241
Japan Treasury Discount Bill 05/20/2020 TBLM
000000000
41000000.00000000
PA
377492.01000000
0.041539485464
Long
STIV
UST
JP
N
2
N
N
N
MEXICAN FIXED RATE BONDS 6.50% 06/10/2021
254900EGTWEU67VP6075
MEXICAN FIXED RATE BONDS 6.50% 06/10/2021
P9767HCU1
18789460.00000000
PA
98990883.84000000
10.89302626660
Long
DBT
NUSS
MX
N
2
2021-06-10
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.5768 EXPIRES 05/15/20 USD Call/MXN Put
000000000
4433000.00000000
NC
USD
19270.25000000
0.002120511821
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 20.5768 EXPIRES 05/15/20 USD Call/MXN Put
CITIBANK NA STRIKE 20.5768 EXPIRES 05/15/20 USD Call/MXN Put
1.00000000
20.5768
USD
2020-05-15
XXXX
-158630.47
N
N
N
N/A
N/A
USD_EUR_20200424
000000000
1.00000000
NC
USD
1383618.30000000
0.152254327875
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
1383618.30000000
USD
1228000.00000000
EUR
2020-04-24
-3529.9
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.7665 EXPIRES 05/04/20 AUD Call/USD Put
000000000
6086000.00000000
NC
1737.99000000
0.000191249638
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Purchased
HSBC BANK PLC STRIKE 0.7665 EXPIRES 05/04/20 AUD Call/USD Put
HSBC BANK PLC STRIKE 0.7665 EXPIRES 05/04/20 AUD Call/USD Put
2.00000000
0.7665
AUD
2020-05-04
XXXX
-28594.11
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.1513 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
000000000
-36880000.00000000
NC
USD
-35662.96000000
-0.00392437712
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.1513 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.1513 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
1.00000000
20.1513
USD
2020-02-20
XXXX
383847.04
N
N
N
United States Treasury Note/Bond 1.5% 08/31/2021
N/A
United States Treasury Note/Bond 1.5% 08/31/2021
912828YC8
4809000.00000000
PA
USD
4801133.49000000
0.528320095621
Long
DBT
UST
US
N
2
2021-08-31
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
JPY_EUR_20200930
000000000
1.00000000
NC
USD
321345.36000000
0.035361068730
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
34383079.00000000
JPY
283400.00000000
EUR
2020-09-30
-1976.27
N
N
N
N/A
N/A
AUD_USD_20200115
000000000
1.00000000
NC
USD
7237526.99000000
0.796422544673
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
10311000.00000000
AUD
7003994.21000000
USD
2020-01-15
233532.78
N
N
N
INDIA GOVERNMENT BOND 7.80% 04/11/2021
N/A
INDIA GOVERNMENT BOND 7.80% 04/11/2021
Y39157EX9
697700000.00000000
PA
10018596.85000000
1.102453422053
Long
DBT
NUSS
IN
N
2
2021-04-11
Fixed
7.80000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200618
000000000
1.00000000
NC
USD
3129314.90000000
0.344352005759
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
336807120.00000000
JPY
3106360.34000000
USD
2020-06-18
22954.56
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.775 EXPIRES 05/05/21 AUD Call/USD Put
000000000
-6440000.00000000
NC
-27739.84000000
-0.00305251144
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
HSBC BANK PLC STRIKE 0.775 EXPIRES 05/05/21 AUD Call/USD Put
HSBC BANK PLC STRIKE 0.775 EXPIRES 05/05/21 AUD Call/USD Put
1.00000000
0.775
AUD
2021-05-05
XXXX
54147.42
N
N
N
N/A
N/A
EUR_USD_20200415
000000000
1.00000000
NC
USD
2180856.40000000
0.239982967394
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
1931726.91000000
EUR
2161660.36000000
USD
2020-04-15
19196.04
N
N
N
N/A
N/A
EUR_USD_20200212
000000000
1.00000000
NC
USD
3549655.50000000
0.390606580110
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
3156669.41000000
EUR
3530166.53000000
USD
2020-02-12
19488.97
N
N
N
Japan Treasury Discount Bill 04/10/2020 TBLM
353800WZS8AXZXFUC241
Japan Treasury Discount Bill 04/10/2020 TBLM
000000000
521600000.00000000
PA
4801570.96000000
0.528368235127
Long
STIV
UST
JP
N
2
N
N
N
INTER-AMERICAN DEVELOPMENT BANK 7.50% 12/05/2024
VKU1UKDS9E7LYLMACP54
INTER-AMERICAN DEVELOPMENT BANK 7.50% 12/05/2024
U45818VJ4
185000000.00000000
PA
10022894.72000000
1.102926362682
Long
DBT
NUSS
US
N
2
2024-12-05
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
JPY_EUR_20200824
000000000
1.00000000
NC
USD
7802587.85000000
0.858602237908
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
836619426.00000000
JPY
7079963.19000000
EUR
2020-08-24
-256021.48
N
N
N
N/A
N/A
USD_EUR_20200527
000000000
1.00000000
NC
USD
5068584.00000000
0.557750537268
N/A
DFE
N/A
N
N/A
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
5068584.00000000
USD
4545000.00000000
EUR
2020-05-27
-76010.17
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 18.744 EXPIRES 03/05/20 USD Put/MXN Call
000000000
4011000.00000000
NC
USD
16914.39000000
0.001861271335
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE & CO STRIKE 18.744 EXPIRES 03/05/20 USD Put/MXN Call
JPMORGAN CHASE & CO STRIKE 18.744 EXPIRES 03/05/20 USD Put/MXN Call
1.00000000
18.744
USD
2020-03-05
XXXX
-5012.41
N
N
N
N/A
N/A
JPY_USD_20200430
000000000
1.00000000
NC
USD
3005659.38000000
0.330744865635
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
324391600.00000000
JPY
3022727.89000000
USD
2020-04-30
-17068.51
N
N
N
INDONESIA GOVERNMENT 10.00% 09/15/2024
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 10.00% 09/15/2024
Y39814EA5
1618000000.00000000
PA
132668.40000000
0.014598923758
Long
DBT
NUSS
ID
N
2
2024-09-15
Fixed
10.00000000
N
N
N
N
N
N
N/A
N/A
USD_KRW_20200117
000000000
1.00000000
NC
USD
513482.17000000
0.056503938022
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
513482.17000000
USD
616384000.00000000
KRW
2020-01-17
-19907.01
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.763 EXPIRES 09/10/20 USD Put/MXN Call *OTC*
000000000
-4610000.00000000
NC
USD
-144306.83000000
-0.01587962475
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.763 EXPIRES 09/10/20 USD Put/MXN Call *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.763 EXPIRES 09/10/20 USD Put/MXN Call *OTC*
1.00000000
19.763
USD
2020-09-10
XXXX
-29434.85
N
N
N
UNITED STATES TREASURY NOTE/BOND 1.125% 07/31/2021
N/A
UNITED STATES TREASURY NOTE/BOND 1.125% 07/31/2021
912828S76
20265000.00000000
PA
USD
20113737.99000000
2.213329831449
Long
DBT
UST
US
N
2
2021-07-31
Fixed
1.12500000
N
N
N
N
N
N
N/A
N/A
USD_JPY_20200228
000000000
1.00000000
NC
USD
13437119.20000000
1.478630018392
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
13437119.20000000
USD
1436811000.00000000
JPY
2020-02-28
171654.93
N
N
N
N/A
N/A
CHF_EUR_20200212
000000000
1.00000000
NC
USD
5719571.98000000
0.629385711037
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
5517598.83000000
CHF
5023122.64000000
EUR
2020-02-12
71101.21
N
N
N
N/A
N/A
CITIBANK NA STRIKE 108.91 EXPIRES 03/20/20 USD Call/JPY Put
000000000
-37341000.00000000
NC
USD
-244658.23000000
-0.02692236317
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 108.91 EXPIRES 03/20/20 USD Call/JPY Put
CITIBANK NA STRIKE 108.91 EXPIRES 03/20/20 USD Call/JPY Put
1.00000000
108.91
USD
2020-03-20
XXXX
51941.33
N
N
N
N/A
N/A
JPY_USD_20200624
000000000
1.00000000
NC
USD
15652056.88000000
1.722363313734
N/A
DFE
N/A
N
N/A
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
1684055930.00000000
JPY
16084717.05000000
USD
2020-06-24
-432660.17
N
N
N
N/A
N/A
USD_EUR_20200514
000000000
1.00000000
NC
USD
8538839.28000000
0.939619861498
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
8538839.28000000
USD
7662000.00000000
EUR
2020-05-14
-126937.1
N
N
N
N/A
N/A
USD_EUR_20200224
000000000
1.00000000
NC
USD
4438894.25000000
0.488459035663
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
4438894.25000000
USD
3955000.00000000
EUR
2020-02-24
-11707.14
N
N
N
Argentina Treasury Bill 07/29/2020
549300KPBYGYF7HCHO27
Argentina Treasury Bill 07/29/2020
000000000
82632800.00000000
PA
1176922.09000000
0.129509331999
Long
DBT
NUSS
AR
N
3
2020-07-29
None
0.00000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 21.0285 EXPIRES 07/30/20 USD Call/MXN Put
000000000
3934000.00000000
NC
USD
26389.27000000
0.002903893774
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 21.0285 EXPIRES 07/30/20 USD Call/MXN Put
CITIBANK NA STRIKE 21.0285 EXPIRES 07/30/20 USD Call/MXN Put
1.00000000
21.0285
USD
2020-07-30
XXXX
-52845.42
N
N
N
TITULOS DE TESORERIA B 11.00% 07/24/2020
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 11.00% 07/24/2020
P3772NAZ5
1144000000.00000000
PA
362076.34000000
0.039843134328
Long
DBT
NUSS
CO
N
2
2020-07-24
Fixed
11.00000000
N
N
N
N
N
N
KOREA TREASURY BOND 3.00% 09/10/2024
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 3.00% 09/10/2024
Y7277FQM5
5310000000.00000000
PA
4899775.95000000
0.539174781084
Long
DBT
UST
KR
N
2
2024-09-10
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200324
000000000
1.00000000
NC
USD
3194959.28000000
0.351575559361
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
345545070.00000000
JPY
3280373.87000000
USD
2020-03-24
-85414.59
N
N
N
N/A
N/A
USD_NOK_20200324
000000000
1.00000000
NC
USD
2928578.42000000
0.322262822750
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
2928578.42000000
USD
26911000.00000000
NOK
2020-03-24
-138046.41
N
N
N
N/A
N/A
USD_EUR_20200117
000000000
1.00000000
NC
USD
7636659.03000000
0.840343314211
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
7636659.03000000
USD
6873000.00000000
EUR
2020-01-17
-79476.4
N
N
N
N/A
N/A
CITIBANK NA STRIKE 76 EXPIRES 05/06/20 AUD Call/JPY Put
000000000
-8114000.00000000
NC
-108563.41000000
-0.01194639375
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 76 EXPIRES 05/06/20 AUD Call/JPY Put
CITIBANK NA STRIKE 76 EXPIRES 05/06/20 AUD Call/JPY Put
1.00000000
76
AUD
2020-05-06
XXXX
-33224.69
N
N
N
N/A
N/A
CITIBANK NA STRIKE 78.75 EXPIRES 05/07/20 AUD Call/JPY Put
000000000
3864000.00000000
NC
14290.61000000
0.001572548744
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 78.75 EXPIRES 05/07/20 AUD Call/JPY Put
CITIBANK NA STRIKE 78.75 EXPIRES 05/07/20 AUD Call/JPY Put
1.00000000
78.75
AUD
2020-05-07
XXXX
2318.16
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL STRIKE 19.402 EXPIRES 03/12/20 USD Put/MXN Call
000000000
-6100000.00000000
NC
USD
-135761.60000000
-0.01493930165
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS INTERNATIONAL STRIKE 19.402 EXPIRES 03/12/20 USD Put/MXN Call
GOLDMAN SACHS INTERNATIONAL STRIKE 19.402 EXPIRES 03/12/20 USD Put/MXN Call
1.00000000
19.402
USD
2020-03-12
XXXX
-37356.4
N
N
N
INDIA GOVERNMENT BOND 8.08% 08/02/2022
N/A
INDIA GOVERNMENT BOND 8.08% 08/02/2022
Y39157DH5
549000000.00000000
PA
8043638.42000000
0.885127611646
Long
DBT
NUSS
IN
N
2
2022-08-02
Fixed
8.08000000
N
N
N
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.6529 EXPIRES 05/07/20 AUD Put/USD Call *OTC*
000000000
7728000.00000000
NC
7428.63000000
0.000817451653
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
HSBC BANK PLC STRIKE 0.6529 EXPIRES 05/07/20 AUD Put/USD Call *OTC*
HSBC BANK PLC STRIKE 0.6529 EXPIRES 05/07/20 AUD Put/USD Call *OTC*
1.00000000
0.6529
AUD
2020-05-07
XXXX
-59701.68
N
N
N
N/A
N/A
CITIBANK NA STRIKE 65.55 EXPIRES 05/07/20 AUD Put/JPY Call
000000000
1932000.00000000
NC
1591.46000000
0.000175125374
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 65.55 EXPIRES 05/07/20 AUD Put/JPY Call
CITIBANK NA STRIKE 65.55 EXPIRES 05/07/20 AUD Put/JPY Call
4.00000000
65.55
AUD
2020-05-07
XXXX
-13525.12
N
N
N
REPUBLIC OF COLOMBIA 7.75% 04/14/2021
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 7.75% 04/14/2021
000000000
983000000.00000000
PA
308628.68000000
0.033961716346
Long
DBT
NUSS
CO
N
2
2021-04-14
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.6725 EXPIRES 08/12/20 AUD Put/USD Call *OTC*
000000000
21896000.00000000
NC
105822.60000000
0.011644793103
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.6725 EXPIRES 08/12/20 AUD Put/USD Call *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.6725 EXPIRES 08/12/20 AUD Put/USD Call *OTC*
1.00000000
0.6725
AUD
2020-08-12
XXXX
-135055.6
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.7669 EXPIRES 05/12/21 AUD CALL/USD PUT
000000000
6955000.00000000
NC
38010.13000000
0.004182661356
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.7669 EXPIRES 05/12/21 AUD CALL/USD PUT
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.7669 EXPIRES 05/12/21 AUD CALL/USD PUT
1.00000000
0.7669
AUD
2021-05-12
XXXX
3999.49
N
N
N
N/A
N/A
CITIBANK NA STRIKE 105.29 EXPIRES 03/20/20 USD Put/JPY Call *OTC*
000000000
37341000.00000000
NC
USD
116952.01000000
0.012869481182
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 105.29 EXPIRES 03/20/20 USD Put/JPY Call *OTC*
CITIBANK NA STRIKE 105.29 EXPIRES 03/20/20 USD Put/JPY Call *OTC*
1.00000000
105.29
USD
2020-03-20
XXXX
-398801.88
N
N
N
Republic of Ghana Government Bonds 16.25% 05/17/2021
213800PP4399SNNXZ126
Republic of Ghana Government Bonds 16.25% 05/17/2021
000000000
2040000.00000000
PA
349494.24000000
0.038458591222
Long
DBT
NUSS
GH
N
2
2021-05-17
Fixed
16.25000000
N
N
N
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.1965 EXPIRES 06/15/20 USD Call/MXN Put
000000000
-2000000.00000000
NC
USD
-1034.00000000
-0.00011378208
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.1965 EXPIRES 06/15/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 24.1965 EXPIRES 06/15/20 USD Call/MXN Put
1.00000000
24.1965
USD
2020-06-15
XXXX
11846
N
N
N
N/A
N/A
CITIBANK NA STRIKE 22.8512 EXPIRES 05/14/20 USD Call/MXN Put
000000000
-7103000.00000000
NC
USD
-5242.01000000
-0.00057683445
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 22.8512 EXPIRES 05/14/20 USD Call/MXN Put
CITIBANK NA STRIKE 22.8512 EXPIRES 05/14/20 USD Call/MXN Put
1.00000000
22.8512
USD
2020-05-14
XXXX
101906.75
N
N
N
N/A
N/A
USD_EUR_20200529
000000000
1.00000000
NC
USD
1217326.03000000
0.133955409886
N/A
DFE
N/A
N
N/A
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1217326.03000000
USD
1087889.00000000
EUR
2020-05-29
-14235.13
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.5 EXPIRES 05/11/20 USD Call/MXN Put
000000000
7053000.00000000
NC
USD
31294.16000000
0.003443631308
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 20.5 EXPIRES 05/11/20 USD Call/MXN Put
CITIBANK NA STRIKE 20.5 EXPIRES 05/11/20 USD Call/MXN Put
2.00000000
20.5
USD
2020-05-11
XXXX
-267365.13
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 20.9 EXPIRES 07/27/20 USD Call/MXN Put
000000000
4059000.00000000
NC
USD
29078.68000000
0.003199838336
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE & CO STRIKE 20.9 EXPIRES 07/27/20 USD Call/MXN Put
JPMORGAN CHASE & CO STRIKE 20.9 EXPIRES 07/27/20 USD Call/MXN Put
1.00000000
20.9
USD
2020-07-27
XXXX
-56099.82
N
N
N
N/A
N/A
EUR_USD_20200228
000000000
1.00000000
NC
USD
2449017.45000000
0.269491597360
N/A
DFE
N/A
N
N/A
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2175778.00000000
EUR
2434597.67000000
USD
2020-02-28
14419.78
N
N
N
N/A
N/A
CITIBANK NA STRIKE 18.3529 EXPIRES 03/06/20 USD Put/MXN Call *OTC*
000000000
6550000.00000000
NC
USD
7375.30000000
0.000811583183
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 18.3529 EXPIRES 03/06/20 USD Put/MXN Call *OTC*
CITIBANK NA STRIKE 18.3529 EXPIRES 03/06/20 USD Put/MXN Call *OTC*
1.00000000
18.3529
USD
2020-03-06
XXXX
-15196
N
N
N
N/A
N/A
USD_JPY_20200831
000000000
1.00000000
NC
USD
8512959.93000000
0.936772079678
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
8512959.93000000
USD
900237000.00000000
JPY
2020-08-31
113728.3
N
N
N
INDONESIA GOVERNMENT 8.375% 03/15/2024
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375% 03/15/2024
Y39814JK8
149967000000.00000000
PA
11556606.99000000
1.271697136256
Long
DBT
UST
ID
N
2
2024-03-15
Fixed
8.37500000
N
N
N
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 20.894 EXPIRES 03/05/20 USD Call/MXN Put
000000000
5348000.00000000
NC
USD
3166.02000000
0.000348391060
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE & CO STRIKE 20.894 EXPIRES 03/05/20 USD Call/MXN Put
JPMORGAN CHASE & CO STRIKE 20.894 EXPIRES 03/05/20 USD Call/MXN Put
1.00000000
20.894
USD
2020-03-05
XXXX
-113473.86
N
N
N
N/A
N/A
JPY_AUD_20200225
000000000
1.00000000
NC
USD
7256944.51000000
0.798559262188
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
786149250.00000000
JPY
10996440.13000000
AUD
2020-02-25
-469357.4
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.453 EXPIRES 06/15/20 USD Call/MXN Put
000000000
4000000.00000000
NC
USD
11544.00000000
0.001270309854
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.453 EXPIRES 06/15/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 21.453 EXPIRES 06/15/20 USD Call/MXN Put
1.00000000
21.453
USD
2020-06-15
XXXX
-77176
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.7133 EXPIRES 11/05/20 AUD Call/USD Put *OTC*
000000000
-3864000.00000000
NC
-56099.65000000
-0.00617324482
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
HSBC BANK PLC STRIKE 0.7133 EXPIRES 11/05/20 AUD Call/USD Put *OTC*
HSBC BANK PLC STRIKE 0.7133 EXPIRES 11/05/20 AUD Call/USD Put *OTC*
1.00000000
0.7133
AUD
2020-11-05
XXXX
51295.31
N
N
N
ARGENTINA BONAR BONDS FRN 04/03/2022
549300KPBYGYF7HCHO27
ARGENTINA BONAR BONDS FRN 04/03/2022
P8S090MS2
20588000.00000000
PA
177425.12000000
0.019523984608
Long
DBT
NUSS
AR
N
3
2022-04-03
Floating
54.83684000
N
N
N
N
N
N
N/A
N/A
EUR_USD_20200423
000000000
1.00000000
NC
USD
1451886.70000000
0.159766630478
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
1285391.00000000
EUR
1439072.35000000
USD
2020-04-23
12814.35
N
N
N
NORWEGIAN GOVERNMENT 1.75% 03/13/2025 144A REG S
549300O6E2WAK3IAXE34
NORWEGIAN GOVERNMENT 1.75% 03/13/2025 144A REG S
R34155AP7
28937000.00000000
PA
3358670.03000000
0.369590405079
Long
DBT
NUSS
NO
N
2
2025-03-13
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.09 EXPIRES 05/12/20 USD CALL/MXN PUT
000000000
6456000.00000000
NC
USD
44552.86000000
0.004902627953
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 20.09 EXPIRES 05/12/20 USD CALL/MXN PUT
CITIBANK NA STRIKE 20.09 EXPIRES 05/12/20 USD CALL/MXN PUT
1.00000000
20.09
USD
2020-05-12
XXXX
-11485.22
N
N
N
N/A
N/A
USD_INR_20200206
000000000
1.00000000
NC
USD
5108309.68000000
0.562121978950
N/A
DFE
N/A
N
N/A
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
5108309.68000000
USD
366171300.00000000
INR
2020-02-06
-12764.31
N
N
N
N/A
N/A
CITIBANK NA STRIKE 100.13 EXPIRES 03/30/20 USD Put/JPY Call
000000000
-21782000.00000000
NC
USD
-15857.30000000
-0.00174494841
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 100.13 EXPIRES 03/30/20 USD Put/JPY Call
CITIBANK NA STRIKE 100.13 EXPIRES 03/30/20 USD Put/JPY Call
1.00000000
100.13
USD
2020-03-30
XXXX
86844.83
N
N
N
INDONESIA GOVERNMENT 12.90% 06/15/2022
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 12.90% 06/15/2022
Y39814DM0
42438000000.00000000
PA
3528320.78000000
0.388258892562
Long
DBT
NUSS
ID
N
2
2022-06-15
Fixed
12.90000000
N
N
N
N
N
N
ARGENTINE BONOS DEL TESORO 16.00% 10/17/2023
549300KPBYGYF7HCHO27
ARGENTINE BONOS DEL TESORO 16.00% 10/17/2023
P8S090LV6
283431000.00000000
PA
1361010.72000000
0.149766573920
Long
DBT
NUSS
AR
N
3
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
N/A
N/A
EUR_USD_20200430
000000000
1.00000000
NC
USD
2016240.72000000
0.221868542544
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
1784250.00000000
EUR
1998449.21000000
USD
2020-04-30
17791.51
N
N
N
Norway Treasury Bill 03/18/2020 TBLM 144A REG S
549300O6E2WAK3IAXE34
Norway Treasury Bill 03/18/2020 TBLM 144A REG S
000000000
39734000.00000000
PA
4514216.97000000
0.496747600585
Long
STIV
UST
NO
N
2
N
N
N
N/A
N/A
JPY_EUR_20200630
000000000
1.00000000
NC
USD
310441.59000000
0.034161210234
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
33390126.00000000
JPY
283400.00000000
EUR
2020-06-30
-11027.05
N
N
N
N/A
N/A
CITIBANK NA STRIKE 69.54 EXPIRES 05/06/20 AUD Put/JPY Call
000000000
3091000.00000000
NC
6864.25000000
0.000755346882
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 69.54 EXPIRES 05/06/20 AUD Put/JPY Call
CITIBANK NA STRIKE 69.54 EXPIRES 05/06/20 AUD Put/JPY Call
2.00000000
69.54
AUD
2020-05-06
XXXX
-29100.55
N
N
N
N/A
N/A
JPY_USD_20200526
000000000
1.00000000
NC
USD
6861522.59000000
0.755046756856
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
739460800.00000000
JPY
6886392.25000000
USD
2020-05-26
-24869.66
N
N
N
N/A
N/A
USD_KRW_20200515
000000000
1.00000000
NC
USD
4477431.08000000
0.492699655456
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
4477431.08000000
USD
5173000000.00000000
KRW
2020-05-15
-16357.71
N
N
N
N/A
N/A
EUR_USD_20201005
000000000
1.00000000
NC
USD
3054346.92000000
0.336102476675
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
2676375.00000000
EUR
3026444.85000000
USD
2020-10-05
27902.07
N
N
N
N/A
N/A
CITIBANK NA STRIKE 75.7 EXPIRES 12/21/20 AUD CALL/JPY PUT
000000000
-11592000.00000000
NC
-258288.27000000
-0.02842222233
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 75.7 EXPIRES 12/21/20 AUD CALL/JPY PUT
CITIBANK NA STRIKE 75.7 EXPIRES 12/21/20 AUD CALL/JPY PUT
1.00000000
75.7
AUD
2020-12-21
XXXX
-65995.84
N
N
N
Bonos De La Nacion Argentina En Moneda Dua 4.5% 02/13/2020
549300KPBYGYF7HCHO27
Bonos De La Nacion Argentina En Moneda Dua 4.5% 02/13/2020
000000000
2821000.00000000
PA
USD
1429090.39000000
0.157258108542
Long
DBT
NUSS
AR
N
2
2020-02-13
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
JPY_AUD_20200114
000000000
1.00000000
NC
USD
4370315.58000000
0.480912590731
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
474567965.00000000
JPY
6470000.00000000
AUD
2020-01-14
-171007.81
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.049 EXPIRES 06/15/20 USD Put/MXN Call *OTC*
000000000
-3000000.00000000
NC
USD
-37581.00000000
-0.00413543959
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.049 EXPIRES 06/15/20 USD Put/MXN Call *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.049 EXPIRES 06/15/20 USD Put/MXN Call *OTC*
1.00000000
19.049
USD
2020-06-15
XXXX
2019
N
N
N
N/A
N/A
CITIBANK NA STRIKE 111.4 EXPIRES 03/30/20 USD Call/ JPY Put
000000000
21782000.00000000
NC
USD
28882.93000000
0.003178297868
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 111.4 EXPIRES 03/30/20 USD Call/ JPY Put
CITIBANK NA STRIKE 111.4 EXPIRES 03/30/20 USD Call/ JPY Put
1.00000000
111.4
USD
2020-03-30
XXXX
-44544.19
N
N
N
N/A
N/A
JPY_EUR_20200225
000000000
1.00000000
NC
USD
7712142.66000000
0.848649585783
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
835461144.00000000
JPY
7079963.19000000
EUR
2020-02-25
-255493.25
N
N
N
N/A
N/A
CITIBANK NA IRS PAY FIXED 2.97981% 02/20/48 USD
000000000
-12196000.00000000
NC
USD
-2486245.64000000
-0.27358821349
N/A
DIR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2048-02-20
0
USD
0
USD
-12196000
USD
-2486386.35
N
N
N
N/A
N/A
CITIBANK NA STRIKE 84.33 EXPIRES 11/12/20 AUD Call/JPY Put
000000000
2898000.00000000
NC
4408.37000000
0.000485100125
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 84.33 EXPIRES 11/12/20 AUD Call/JPY Put
CITIBANK NA STRIKE 84.33 EXPIRES 11/12/20 AUD Call/JPY Put
1.00000000
84.33
AUD
2020-11-12
XXXX
-14943.55
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.9815 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
000000000
12293000.00000000
NC
USD
3097.84000000
0.000340888485
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.9815 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.9815 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
1.00000000
20.9815
USD
2020-02-20
XXXX
-50659.45
N
N
N
N/A
N/A
USD_EUR_20200604
000000000
1.00000000
NC
USD
6742447.84000000
0.741943687875
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
6742447.84000000
USD
6016524.12000000
EUR
2020-06-04
-71198.6
N
N
N
N/A
N/A
CHF_EUR_20200810
000000000
1.00000000
NC
USD
5902608.40000000
0.649527167032
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
5622152.00000000
CHF
5125024.61000000
EUR
2020-08-10
74263.88
N
N
N
N/A
N/A
USD_KRW_20200306
000000000
1.00000000
NC
USD
4885635.86000000
0.537618795666
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
4885635.86000000
USD
5874000000.00000000
KRW
2020-03-06
-203841.55
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.6465 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
000000000
24587000.00000000
NC
USD
64786.75000000
0.007129179396
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.6465 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.6465 EXPIRES 02/20/20 USD Call/MXN Put *OTC*
1.00000000
19.6465
USD
2020-02-20
XXXX
-458178.74
N
N
N
N/A
N/A
EUR_USD_20200424
000000000
1.00000000
NC
USD
806639.10000000
0.088763132150
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
714093.00000000
EUR
800548.24000000
USD
2020-04-24
6090.86
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.55 EXPIRES 05/11/20 USD Put/MXN Call
000000000
-7053000.00000000
NC
USD
-190409.84000000
-0.02095283230
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 19.55 EXPIRES 05/11/20 USD Put/MXN Call
CITIBANK NA STRIKE 19.55 EXPIRES 05/11/20 USD Put/MXN Call
1.00000000
19.55
USD
2020-05-11
XXXX
-18916.14
N
N
N
N/A
N/A
CITIBANK NA STRIKE 18.6805 EXPIRES 03/09/20 USD PUT/MXN CALL
000000000
4610000.00000000
NC
USD
16775.79000000
0.001846019694
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 18.6805 EXPIRES 03/09/20 USD PUT/MXN CALL
CITIBANK NA STRIKE 18.6805 EXPIRES 03/09/20 USD PUT/MXN CALL
1.00000000
18.6805
USD
2020-03-09
XXXX
-8934.18
N
N
N
N/A
N/A
USD_EUR_20200203
000000000
1.00000000
NC
USD
1009304.32000000
0.111064555060
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1009304.32000000
USD
893000.00000000
EUR
2020-02-03
5677.21
N
N
N
N/A
N/A
USD_BRL_20200204
000000000
1.00000000
NC
USD
4821264.61000000
0.530535338181
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
4821264.61000000
USD
19847700.00000000
BRL
2020-02-04
-113048.79
N
N
N
N/A
N/A
CITIBANK NA STRIKE 79.45 EXPIRES 02/12/20 AUD Call/JPY Put
000000000
5506000.00000000
NC
2132.53000000
0.000234665096
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 79.45 EXPIRES 02/12/20 AUD Call/JPY Put
CITIBANK NA STRIKE 79.45 EXPIRES 02/12/20 AUD Call/JPY Put
3.00000000
79.45
AUD
2020-02-12
XXXX
-851.72
N
N
N
Argentina Treasury Bill 05/28/2020 TBLM
549300KPBYGYF7HCHO27
Argentina Treasury Bill 05/28/2020 TBLM
000000000
6042100.00000000
PA
81230.80000000
0.008938694188
Long
DBT
NUSS
AR
N
3
2020-05-28
None
0.00000000
N
N
N
N
N
N
Argentina Treasury Bill 10/29/2020
549300KPBYGYF7HCHO27
Argentina Treasury Bill 10/29/2020
000000000
34919480.00000000
PA
374175.30000000
0.041174512370
Long
DBT
NUSS
AR
N
3
2020-10-29
None
0.00000000
N
N
N
N
N
N
N/A
N/A
JPY_EUR_20200430
000000000
1.00000000
NC
USD
317649.14000000
0.034954334089
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
34282898.00000000
JPY
283400.00000000
EUR
2020-04-30
-2598.93
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.7395 EXPIRES 09/03/20 USD Put/MXN Call
000000000
-15368000.00000000
NC
USD
-470353.01000000
-0.05175797501
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 19.7395 EXPIRES 09/03/20 USD Put/MXN Call
CITIBANK NA STRIKE 19.7395 EXPIRES 09/03/20 USD Put/MXN Call
1.00000000
19.7395
USD
2020-09-03
XXXX
-159719.63
N
N
N
N/A
N/A
JPY_AUD_20200312
000000000
1.00000000
NC
USD
4033642.61000000
0.443864861049
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
436559526.00000000
JPY
5850000.00000000
AUD
2020-03-12
-78322.39
N
N
N
INDONESIA GOVERNMENT 7.00% 05/15/2022
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.00% 05/15/2022
Y39814HE4
18449000000.00000000
PA
1359305.72000000
0.149578954525
Long
DBT
NUSS
ID
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
USD_EUR_20200514
000000000
1.00000000
NC
USD
1040039.71000000
0.114446698926
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1040039.71000000
USD
932603.76000000
EUR
2020-05-14
-14741.76
N
N
N
TITULOS DE TESORERIA B 7.75% 09/18/2030
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 7.75% 09/18/2030
P6S32JH78
1645700000.00000000
PA
554466.45000000
0.061013876929
Long
DBT
UST
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
JPY_EUR_20200325
000000000
1.00000000
NC
USD
7739616.41000000
0.851672816497
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
837015006.00000000
JPY
7080147.24000000
EUR
2020-03-25
-243098.19
N
N
N
N/A
N/A
EUR_USD_20200323
000000000
1.00000000
NC
USD
1448709.28000000
0.159416984954
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
1285077.59000000
EUR
1435958.55000000
USD
2020-03-23
12750.73
N
N
N
Korea Monetary Stabilization Bond 1.18% 08/02/2021
RVHOHKPBCJ2GSJ37YH94
Korea Monetary Stabilization Bond 1.18% 08/02/2021
000000000
2322000000.00000000
PA
2002738.24000000
0.220382720177
Long
DBT
NUSS
KR
N
2
2021-08-02
Fixed
1.18000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 76.5 EXPIRES 05/07/20 AUD Call/JPY Put
000000000
-7728000.00000000
NC
-85044.16000000
-0.00935831899
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 76.5 EXPIRES 05/07/20 AUD Call/JPY Put
CITIBANK NA STRIKE 76.5 EXPIRES 05/07/20 AUD Call/JPY Put
1.00000000
76.5
AUD
2020-05-07
XXXX
-28360.44
N
N
N
N/A
N/A
HSBC BANK USA NA IRS PAY FIXED 3.002% 02/22/48 USD
000000000
-12196000.00000000
NC
USD
-2546785.41000000
-0.28025005223
N/A
DIR
CORP
N/A
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
Y
2048-02-22
0
USD
0
USD
-12196000
USD
-2546926.15
N
N
N
N/A
N/A
USD_MXN_20200408
000000000
1.00000000
NC
USD
2412352.55000000
0.265456966056
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
2412352.55000000
USD
48448000.00000000
MXN
2020-04-08
-110612.85
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 22.3 EXPIRES 07/27/20 USD Call/MXN Put
000000000
-4059000.00000000
NC
USD
-11519.44000000
-0.00126760725
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Call
Written
JPMORGAN CHASE & CO STRIKE 22.3 EXPIRES 07/27/20 USD Call/MXN Put
JPMORGAN CHASE & CO STRIKE 22.3 EXPIRES 07/27/20 USD Call/MXN Put
1.00000000
22.3
USD
2020-07-27
XXXX
30643.69
N
N
N
N/A
N/A
CITIBANK NA STRIKE 75.95 EXPIRES 04/22/20 AUD Call/JPY Put
000000000
-4644000.00000000
NC
-60444.48000000
-0.00665135296
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 75.95 EXPIRES 04/22/20 AUD Call/JPY Put
CITIBANK NA STRIKE 75.95 EXPIRES 04/22/20 AUD Call/JPY Put
1.00000000
75.95
AUD
2020-04-22
XXXX
-19456.19
N
N
N
NORWEGIAN GOVERNMENT 3.75% 05/25/2021 REG S
549300O6E2WAK3IAXE34
NORWEGIAN GOVERNMENT 3.75% 05/25/2021 REG S
R63339GM2
94748000.00000000
PA
11155436.84000000
1.227552091664
Long
DBT
NUSS
NO
N
2
2021-05-25
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 77.28 EXPIRES 02/12/20 AUD Call/JPY Put
000000000
-2898000.00000000
NC
-9375.92000000
-0.00103173281
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 77.28 EXPIRES 02/12/20 AUD Call/JPY Put
CITIBANK NA STRIKE 77.28 EXPIRES 02/12/20 AUD Call/JPY Put
1.00000000
77.28
AUD
2020-02-12
XXXX
38157.43
N
N
N
N/A
N/A
CITIBANK NA STRIKE 100.03 EXPIRES 09/22/20 USD Put/JPY Call
000000000
-24116000.00000000
NC
USD
-123401.57000000
-0.01357919528
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 100.03 EXPIRES 09/22/20 USD Put/JPY Call
CITIBANK NA STRIKE 100.03 EXPIRES 09/22/20 USD Put/JPY Call
1.00000000
100.03
USD
2020-09-22
XXXX
161577.2
N
N
N
N/A
N/A
USD_JPY_20200227
000000000
1.00000000
NC
USD
7000213.32000000
0.770308382030
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
7000213.32000000
USD
748182800.00000000
JPY
2020-02-27
92952.46
N
N
N
N/A
N/A
USD_JPY_20200323
000000000
1.00000000
NC
USD
15092029.92000000
1.660737554385
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
15092029.92000000
USD
1583000000.00000000
JPY
2020-03-23
456246.43
N
N
N
N/A
N/A
CITIBANK NA STRIKE 21.9155 EXPIRES 03/30/20 USD Call/MXN Put
000000000
5532000.00000000
NC
USD
2417.48000000
0.000266021194
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 21.9155 EXPIRES 03/30/20 USD Call/MXN Put
CITIBANK NA STRIKE 21.9155 EXPIRES 03/30/20 USD Call/MXN Put
1.00000000
21.9155
USD
2020-03-30
XXXX
-19467.11
N
N
N
INDIA GOVERNMENT BOND 8.35% 05/14/2022
N/A
INDIA GOVERNMENT BOND 8.35% 05/14/2022
Y2835DAM3
68200000.00000000
PA
1001694.72000000
0.110227189341
Long
DBT
NUSS
IN
N
2
2022-05-14
Fixed
8.35000000
N
N
N
N
N
N
Korea Treasury Bond 2.25% 09/10/2023
549300O0QCVSQGPGDT58
Korea Treasury Bond 2.25% 09/10/2023
000000000
19359000000.00000000
PA
17215927.73000000
1.894452758598
Long
DBT
UST
KR
N
2
2023-09-10
Fixed
2.25000000
N
N
N
N
N
N
GHANA GOVT 19.75% 03/15/2032
213800PP4399SNNXZ126
GHANA GOVT 19.75% 03/15/2032
V3R60FCC6
25560000.00000000
PA
4108523.37000000
0.452104792383
Long
DBT
NUSS
GH
N
2
2032-03-15
Fixed
19.75000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.3685 EXPIRES 03/09/20 USD PUT/MXN CALL
000000000
-9221000.00000000
NC
USD
-196730.04000000
-0.02164831154
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 19.3685 EXPIRES 03/09/20 USD PUT/MXN CALL
CITIBANK NA STRIKE 19.3685 EXPIRES 03/09/20 USD PUT/MXN CALL
1.00000000
19.3685
USD
2020-03-09
XXXX
-74478.02
N
N
N
N/A
N/A
CITIBANK NA STRIKE 85.5 EXPIRES 05/07/20 AUD Call/JPY Put
000000000
15455000.00000000
NC
1713.36000000
0.000188539335
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 85.5 EXPIRES 05/07/20 AUD Call/JPY Put
CITIBANK NA STRIKE 85.5 EXPIRES 05/07/20 AUD Call/JPY Put
2.00000000
85.5
AUD
2020-05-07
XXXX
-49578.86
N
N
N
N/A
N/A
USD_KRW_20200130
000000000
1.00000000
NC
USD
11082628.39000000
1.219540198776
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
11082628.39000000
USD
12970000000.00000000
KRW
2020-01-30
-143892.86
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.0895 EXPIRES 05/21/20 USD Put/MXN Call
000000000
-1360000.00000000
NC
USD
-17583.44000000
-0.00193489406
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 19.0895 EXPIRES 05/21/20 USD Put/MXN Call
CITIBANK NA STRIKE 19.0895 EXPIRES 05/21/20 USD Put/MXN Call
1.00000000
19.0895
USD
2020-05-21
XXXX
-4186.08
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.7692 EXPIRES 04/30/20 AUD Call/USD Put
000000000
4830000.00000000
NC
1098.03000000
0.000120827991
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Purchased
HSBC BANK PLC STRIKE 0.7692 EXPIRES 04/30/20 AUD Call/USD Put
HSBC BANK PLC STRIKE 0.7692 EXPIRES 04/30/20 AUD Call/USD Put
2.00000000
0.7692
AUD
2020-04-30
XXXX
-20282.28
N
N
N
N/A
N/A
JPY_AUD_20200612
000000000
1.00000000
NC
USD
1726778.50000000
0.190015916894
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
185915449.00000000
JPY
2510000.00000000
AUD
2020-06-12
-41074.59
N
N
N
N/A
N/A
NOK_USD_20200323
000000000
1.00000000
NC
USD
4076883.23000000
0.448623089193
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
35776500.00000000
NOK
4001532.32000000
USD
2020-03-23
75350.91
N
N
N
N/A
N/A
CITIBANK NA STRIKE 76.7 EXPIRES 01/23/20 AUD Call/JPY Put
000000000
-9009000.00000000
NC
-29064.72000000
-0.00319830216
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 76.7 EXPIRES 01/23/20 AUD Call/JPY Put
CITIBANK NA STRIKE 76.7 EXPIRES 01/23/20 AUD Call/JPY Put
2.00000000
76.7
AUD
2020-01-23
XXXX
-2223
N
N
N
N/A
N/A
USD_EUR_20200423
000000000
1.00000000
NC
USD
1451334.98000000
0.159705918823
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
1451334.98000000
USD
1285391.00000000
EUR
2020-04-23
-551.72
N
N
N
N/A
N/A
USD_JPY_20200323
000000000
1.00000000
NC
USD
12666959.64000000
1.393881120402
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
12666959.64000000
USD
1331363580.00000000
JPY
2020-03-23
357705.63
N
N
N
N/A
N/A
USD_EUR_20200325
000000000
1.00000000
NC
USD
3739313.36000000
0.411476664006
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
3739313.36000000
USD
3359036.80000000
EUR
2020-03-25
-47928.79
N
N
N
N/A
N/A
USD_INR_20200113
000000000
1.00000000
NC
USD
1400527.78000000
0.154115058910
N/A
DFE
N/A
N
N/A
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
1400527.78000000
USD
102165000.00000000
INR
2020-01-13
-30448.77
N
N
N
N/A
N/A
USD_INR_20200316
000000000
1.00000000
NC
USD
3024368.37000000
0.332803616013
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
3024368.37000000
USD
220854500.00000000
INR
2020-03-16
-50100.9
N
N
N
N/A
N/A
USD_EUR_20200414
000000000
1.00000000
NC
USD
4551463.56000000
0.500846241464
N/A
DFE
N/A
N
N/A
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
4551463.56000000
USD
4094000.00000000
EUR
2020-04-14
-70240.88
N
N
N
N/A
N/A
JPY_AUD_20200312
000000000
1.00000000
NC
USD
3361704.56000000
0.369924326888
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
363835940.00000000
JPY
4940000.00000000
AUD
2020-03-12
-110621.44
N
N
N
Argentina Treasury Bill 05/13/2020 TBLM
549300KPBYGYF7HCHO27
Argentina Treasury Bill 05/13/2020 TBLM
000000000
14074570.00000000
PA
169548.98000000
0.018657288640
Long
STIV
UST
AR
N
3
N
N
N
N/A
N/A
CITIBANK NA STRIKE 18.4 EXPIRES 03/30/20 USD Call/MXN Put
000000000
3688000.00000000
NC
USD
152487.74000000
0.016779857828
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 18.4 EXPIRES 03/30/20 USD Call/MXN Put
CITIBANK NA STRIKE 18.4 EXPIRES 03/30/20 USD Call/MXN Put
1.00000000
18.4
USD
2020-03-30
XXXX
-90400.25
N
N
N
Argentina Treasury Bill 02/26/2020 TBLM
549300KPBYGYF7HCHO27
Argentina Treasury Bill 02/26/2020 TBLM
000000000
16081590.00000000
PA
166968.70000000
0.018373352820
Long
STIV
UST
AR
N
3
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.7065 EXPIRES 05/04/20 AUD Call/USD Put *OTC*
000000000
-6086000.00000000
NC
-57498.81000000
-0.00632720936
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
HSBC BANK PLC STRIKE 0.7065 EXPIRES 05/04/20 AUD Call/USD Put *OTC*
HSBC BANK PLC STRIKE 0.7065 EXPIRES 05/04/20 AUD Call/USD Put *OTC*
2.00000000
0.7065
AUD
2020-05-04
XXXX
84404.2
N
N
N
NORWEGIAN GOVERNMENT 2.00% 05/24/2023 REG S
549300O6E2WAK3IAXE34
NORWEGIAN GOVERNMENT 2.00% 05/24/2023 REG S
R34155AB8
90931000.00000000
PA
10565659.05000000
1.162652530122
Long
DBT
NUSS
NO
N
2
2023-05-24
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 70.65 EXPIRES 05/06/20 AUD PUT/JPY CALL
000000000
1932000.00000000
NC
5778.87000000
0.000635910906
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 70.65 EXPIRES 05/06/20 AUD PUT/JPY CALL
CITIBANK NA STRIKE 70.65 EXPIRES 05/06/20 AUD PUT/JPY CALL
1.00000000
70.65
AUD
2020-05-06
XXXX
-17357.19
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 18.936 EXPIRES 2/6/2020 USD CALL/MXN PUT
000000000
21391000.00000000
NC
USD
224412.98000000
0.024694561669
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 18.936 EXPIRES 2/6/2020 USD CALL/MXN PUT
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 18.936 EXPIRES 2/6/2020 USD CALL/MXN PUT
2.00000000
18.936
USD
2020-02-06
XXXX
-486945.49
N
N
N
GHANA GOVT 24.75% 07/19/2021
213800PP4399SNNXZ126
GHANA GOVT 24.75% 07/19/2021
V3R60FBU7
360000.00000000
PA
65915.37000000
0.007253373532
Long
DBT
NUSS
GH
N
2
2021-07-19
Fixed
24.75000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 78.18 EXPIRES 02/12/20 AUD Call/JPY Put
000000000
-1739000.00000000
NC
-2425.70000000
-0.00026692572
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 78.18 EXPIRES 02/12/20 AUD Call/JPY Put
CITIBANK NA STRIKE 78.18 EXPIRES 02/12/20 AUD Call/JPY Put
1.00000000
78.18
AUD
2020-02-12
XXXX
20318.72
N
N
N
N/A
N/A
CITIBANK NA STRIKE 79.3 EXPIRES 04/22/20 AUD Call/JPY Put
000000000
4644000.00000000
NC
10697.53000000
0.001177163701
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 79.3 EXPIRES 04/22/20 AUD Call/JPY Put
CITIBANK NA STRIKE 79.3 EXPIRES 04/22/20 AUD Call/JPY Put
1.00000000
79.3
AUD
2020-04-22
XXXX
4387.72
N
N
N
GHANA GOVT 18.25% 09/21/2020
213800PP4399SNNXZ126
GHANA GOVT 18.25% 09/21/2020
000000000
140000.00000000
PA
24975.43000000
0.002748313829
Long
DBT
NUSS
GH
N
2
2020-09-21
Fixed
18.25000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 24.2953 EXPIRES 09/08/20 USD Call/MXN Put
000000000
-5117000.00000000
NC
USD
-7916.00000000
-0.00087108219
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 24.2953 EXPIRES 09/08/20 USD Call/MXN Put
CITIBANK NA STRIKE 24.2953 EXPIRES 09/08/20 USD Call/MXN Put
1.00000000
24.2953
USD
2020-09-08
XXXX
52674.4
N
N
N
N/A
N/A
USD_KRW_20200320
000000000
1.00000000
NC
USD
2190884.76000000
0.241086495160
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
2190884.76000000
USD
2579000000.00000000
KRW
2020-03-20
-45471.86
N
N
N
Japan Treasury Discount Bill 05/11/2020 TBLM
353800WZS8AXZXFUC241
Japan Treasury Discount Bill 05/11/2020 TBLM
000000000
436500000.00000000
PA
4018744.15000000
0.442225424064
Long
STIV
UST
JP
N
2
N
N
N
Argentina Treasury Bill 04/28/2020 TBLM
549300KPBYGYF7HCHO27
Argentina Treasury Bill 04/28/2020 TBLM
000000000
115319200.00000000
PA
1765269.15000000
0.194251455009
Long
DBT
NUSS
AR
N
3
2020-04-28
None
0.00000000
N
N
N
N
N
N
INDONESIA GOVERNMENT 10.25% 07/15/2022
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 10.25% 07/15/2022
Y39814DY4
4826000000.00000000
PA
381647.80000000
0.041996791509
Long
DBT
NUSS
ID
N
2
2022-07-15
Fixed
10.25000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 84 EXPIRES 05/06/20 AUD Call/JPY Put
000000000
3864000.00000000
NC
824.20000000
0.000090695545
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 84 EXPIRES 05/06/20 AUD Call/JPY Put
CITIBANK NA STRIKE 84 EXPIRES 05/06/20 AUD Call/JPY Put
1.00000000
84
AUD
2020-05-06
XXXX
-18173.15
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 20.47 EXPIRES 05/13/20 USD CALL/MXN PUT
000000000
8118000.00000000
NC
USD
38049.07000000
0.004186946341
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE & CO STRIKE 20.47 EXPIRES 05/13/20 USD CALL/MXN PUT
JPMORGAN CHASE & CO STRIKE 20.47 EXPIRES 05/13/20 USD CALL/MXN PUT
1.00000000
20.47
USD
2020-05-13
XXXX
-87368.35
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 21.54 EXPIRES 05/13/20 USD Call/MXN Put
000000000
-5074000.00000000
NC
USD
-9183.94000000
-0.00101060719
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Call
Written
JPMORGAN CHASE & CO STRIKE 21.54 EXPIRES 05/13/20 USD Call/MXN Put
JPMORGAN CHASE & CO STRIKE 21.54 EXPIRES 05/13/20 USD Call/MXN Put
1.00000000
21.54
USD
2020-05-13
XXXX
25882.83
N
N
N
N/A
N/A
SEK_EUR_20200213
000000000
1.00000000
NC
USD
2705514.87000000
0.297716753304
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
25286100.00000000
SEK
2368543.81000000
EUR
2020-02-13
41940.81
N
N
N
N/A
N/A
CITIBANK NA STRIKE 74.475 EXPIRES 05/06/20 AUD Put/JPY Call
000000000
3091000.00000000
NC
27515.57000000
0.003027832615
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 74.475 EXPIRES 05/06/20 AUD Put/JPY Call
CITIBANK NA STRIKE 74.475 EXPIRES 05/06/20 AUD Put/JPY Call
6.00000000
74.475
AUD
2020-05-06
XXXX
-42987.8
N
N
N
N/A
N/A
CHF_EUR_20201109
000000000
1.00000000
NC
USD
5940560.56000000
0.653703449329
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
5622151.00000000
CHF
5128951.07000000
EUR
2020-11-09
74365
N
N
N
INDONESIA GOVERNMENT 11.75% 08/15/2023
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 11.75% 08/15/2023
Y39814DS7
2703000000.00000000
PA
228574.60000000
0.025152509252
Long
DBT
UST
ID
N
2
2023-08-15
Fixed
11.75000000
N
N
N
N
N
N
N/A
N/A
CHF_EUR_20200812
000000000
1.00000000
NC
USD
5793648.83000000
0.637537179551
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
5517598.84000000
CHF
5031551.01000000
EUR
2020-08-12
70890.8
N
N
N
INDIA GOVERNMENT BOND 7.16% 05/20/2023
N/A
INDIA GOVERNMENT BOND 7.16% 05/20/2023
Y39157FR1
42900000.00000000
PA
615154.87000000
0.067692073219
Long
DBT
NUSS
IN
N
2
2023-05-20
Fixed
7.16000000
N
N
N
N
N
N
INDONESIA GOVERNMENT 8.75% 05/15/2031
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.75% 05/15/2031
Y6S86ZCW7
41805000000.00000000
PA
3348914.94000000
0.368516948136
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
N/A
N/A
USD_MXN_20200617
000000000
1.00000000
NC
USD
2394264.49000000
0.263466543251
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
2394264.49000000
USD
48741000.00000000
MXN
2020-06-17
-118112.14
N
N
N
UNITED STATES TREASURY NOTE/BOND 1.125% 08/31/2021
N/A
UNITED STATES TREASURY NOTE/BOND 1.125% 08/31/2021
9128282F6
8388000.00000000
PA
USD
8323253.03000000
0.915896599386
Long
DBT
UST
US
N
2
2021-08-31
Fixed
1.12500000
N
N
N
N
N
N
Japan Treasury Discount Bill 01/20/2020 TBLM
353800WZS8AXZXFUC241
Japan Treasury Discount Bill 01/20/2020 TBLM
000000000
612000000.00000000
PA
5631881.10000000
0.619736145116
Long
STIV
UST
JP
N
2
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.059 EXPIRES 09/17/20 USD Call/MXN Put
000000000
-7061000.00000000
NC
USD
-137265.84000000
-0.01510482927
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 20.059 EXPIRES 09/17/20 USD Call/MXN Put
CITIBANK NA STRIKE 20.059 EXPIRES 09/17/20 USD Call/MXN Put
1.00000000
20.059
USD
2020-09-17
XXXX
16550.98
N
N
N
INDONESIA GOVERNMENT 10.50% 08/15/2030
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 10.50% 08/15/2030
Y39814FJ5
3390000000.00000000
PA
301577.45000000
0.033185794053
Long
DBT
NUSS
ID
N
2
2030-08-15
Fixed
10.50000000
N
N
N
N
N
N
LETRA TESOURO NACIONAL 07/01/2021 STRIP COUPON
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL 07/01/2021 STRIP COUPON
P8T60MYN7
65187.00000000
PA
15101206.31000000
1.661747330775
Long
DBT
NUSS
BR
N
2
2021-07-01
None
0.00000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 82.15 EXPIRES 12/21/20 AUD Call/JPY Put
000000000
11592000.00000000
NC
42831.15000000
0.004713169777
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 82.15 EXPIRES 12/21/20 AUD Call/JPY Put
CITIBANK NA STRIKE 82.15 EXPIRES 12/21/20 AUD Call/JPY Put
1.00000000
82.15
AUD
2020-12-21
XXXX
12825.87
N
N
N
N/A
N/A
JPY_USD_20200306
000000000
1.00000000
NC
USD
4570072.45000000
0.502893976768
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
494791690.00000000
JPY
4668861.92000000
USD
2020-03-06
-98789.47
N
N
N
N/A
N/A
USD_EUR_20200415
000000000
1.00000000
NC
USD
1323599.55000000
0.145649822542
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
1323599.55000000
USD
1183000.00000000
EUR
2020-04-15
-11968.69
N
N
N
N/A
N/A
SEK_EUR_20200403
000000000
1.00000000
NC
USD
9696627.73000000
1.067023714335
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
90410200.00000000
SEK
8353524.90000000
EUR
2020-04-03
272804.86
N
N
N
N/A
N/A
USD_INR_20200214
000000000
1.00000000
NC
USD
2945791.76000000
0.324156990753
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
2945791.76000000
USD
213251757.00000000
INR
2020-02-14
-34020.54
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.9815 EXPIRES 02/06/20 USD Call/MXN Put
000000000
-32087000.00000000
NC
USD
-24097.34000000
-0.00265168818
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.9815 EXPIRES 02/06/20 USD Call/MXN Put
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.9815 EXPIRES 02/06/20 USD Call/MXN Put
2.00000000
19.9815
USD
2020-02-06
XXXX
276717.82
N
N
N
N/A
N/A
GOLDMAN SACHS INTERNATIONAL STRIKE 18.5675 EXPIRES 03/12/20 USD Put/MXN Call *OTC*
000000000
2460000.00000000
NC
USD
6255.78000000
0.000688390417
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS INTERNATIONAL STRIKE 18.5675 EXPIRES 03/12/20 USD Put/MXN Call *OTC*
GOLDMAN SACHS INTERNATIONAL STRIKE 18.5675 EXPIRES 03/12/20 USD Put/MXN Call *OTC*
1.00000000
18.5675
USD
2020-03-12
XXXX
-6568.2
N
N
N
N/A
N/A
USD_NOK_20200323
000000000
1.00000000
NC
USD
3923033.90000000
0.431693401046
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
3923033.90000000
USD
35776500.00000000
NOK
2020-03-23
-153849.33
N
N
N
N/A
N/A
JPMORGAN CHASE & CO STRIKE 20.11 EXPIRES 04/24/20 USD Call/MXN Put
000000000
7103000.00000000
NC
USD
38221.24000000
0.004205892048
N/A
DFE
US
N
2
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE & CO STRIKE 20.11 EXPIRES 04/24/20 USD Call/MXN Put
JPMORGAN CHASE & CO STRIKE 20.11 EXPIRES 04/24/20 USD Call/MXN Put
1.00000000
20.11
USD
2020-04-24
XXXX
-110952.77
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.3839 EXPIRES 03/06/20 USD Put/MXN Call
000000000
-3685000.00000000
NC
USD
-80167.18000000
-0.00882165269
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 19.3839 EXPIRES 03/06/20 USD Put/MXN Call
CITIBANK NA STRIKE 19.3839 EXPIRES 03/06/20 USD Put/MXN Call
1.00000000
19.3839
USD
2020-03-06
XXXX
-29782.17
N
N
N
TITULOS DE TESORERIA B 7.50% 08/26/2026
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 7.50% 08/26/2026
P3107FAR6
9469300000.00000000
PA
3148379.38000000
0.346449874505
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
JPY_USD_20200608
000000000
1.00000000
NC
USD
4837675.15000000
0.532341165509
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
520970850.00000000
JPY
4939067.36000000
USD
2020-06-08
-101392.21
N
N
N
N/A
N/A
JPY_EUR_20200402
000000000
1.00000000
NC
USD
44367448.89000000
4.882225184715
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
4795979249.00000000
JPY
40685750.00000000
EUR
2020-04-02
-1528323.22
N
N
N
N/A
N/A
USD_BRL_20200505
000000000
1.00000000
NC
USD
5430762.66000000
0.597604930961
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
5430762.66000000
USD
22511000.00000000
BRL
2020-05-05
-139750.32
N
N
N
N/A
N/A
SEK_USD_20200527
000000000
1.00000000
NC
USD
10441460.37000000
1.148985620291
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
97113000.00000000
SEK
10199391.90000000
USD
2020-05-27
242068.47
N
N
N
N/A
N/A
SEK_EUR_20200513
000000000
1.00000000
NC
USD
2716983.70000000
0.298978791399
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
25286200.00000000
SEK
2375428.61000000
EUR
2020-05-13
30524.46
N
N
N
N/A
N/A
CITIBANK NA STRIKE 108.77 EXPIRES 09/22/20 USD Call/JPY Put
000000000
-48232000.00000000
NC
USD
-591469.02000000
-0.06508566567
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA STRIKE 108.77 EXPIRES 09/22/20 USD Call/JPY Put
CITIBANK NA STRIKE 108.77 EXPIRES 09/22/20 USD Call/JPY Put
1.00000000
108.77
USD
2020-09-22
XXXX
-19437.5
N
N
N
N/A
N/A
USD_KRW_20200212
000000000
1.00000000
NC
USD
6291140.33000000
0.692281493034
N/A
DFE
N/A
N
N/A
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
6291140.33000000
USD
7321000000.00000000
KRW
2020-02-12
-47536.9
N
N
N
N/A
N/A
CITIGROUP INC IRS PAY FIXED 2.3782% 11/18/46 USD
000000000
-56100000.00000000
NC
USD
-3458916.24000000
-0.38062156831
N/A
DIR
CORP
N/A
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Y
2046-11-18
0
USD
0
USD
-56100000
USD
-3459185.09
N
N
N
N/A
N/A
EUR_USD_20200429
000000000
1.00000000
NC
USD
4859141.61000000
0.534703349819
N/A
DFE
N/A
N
N/A
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
4300311.49000000
EUR
4820971.70000000
USD
2020-04-29
38169.91
N
N
N
INDONESIA GOVERNMENT 10.00% 02/15/2028
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 10.00% 02/15/2028
Y39814EE7
1052000000.00000000
PA
88600.60000000
0.009749672147
Long
DBT
UST
ID
N
2
2028-02-15
Fixed
10.00000000
N
N
N
N
N
N
TITULOS DE TESORERIA B 10.00% 07/24/2024
549300MHDRBVRF6B9117
TITULOS DE TESORERIA B 10.00% 07/24/2024
P3772NBN1
12183000000.00000000
PA
4396496.27000000
0.483793532215
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
ARGENTINE BONOS DEL TESORO 18.20% 10/03/2021
549300KPBYGYF7HCHO27
ARGENTINE BONOS DEL TESORO 18.20% 10/03/2021
P8S090LT1
252627000.00000000
PA
1348065.65000000
0.148342089341
Long
DBT
NUSS
AR
N
3
2021-10-03
Fixed
18.20000000
N
N
N
N
N
N
N/A
N/A
CITIBANK NA STRIKE 19.2441 EXPIRES 05/14/20 USD Put/MXN Call *OTC*
000000000
-10655000.00000000
NC
USD
-180239.98000000
-0.01983373377
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 19.2441 EXPIRES 05/14/20 USD Put/MXN Call *OTC*
CITIBANK NA STRIKE 19.2441 EXPIRES 05/14/20 USD Put/MXN Call *OTC*
1.00000000
19.2441
USD
2020-05-14
XXXX
24442.57
N
N
N
N/A
N/A
SEK_EUR_20200615
000000000
1.00000000
NC
USD
2721123.72000000
0.299434362102
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
25286200.00000000
SEK
2409586.43000000
EUR
2020-06-15
-9579.97
N
N
N
GHANA GOVT 16.50% 03/22/2021
213800PP4399SNNXZ126
GHANA GOVT 16.50% 03/22/2021
000000000
490000.00000000
PA
84856.66000000
0.009337686364
Long
DBT
NUSS
GH
N
2
2021-03-22
Fixed
16.50000000
N
N
N
N
N
N
N/A
N/A
JPY_AUD_20200612
000000000
1.00000000
NC
USD
3056243.90000000
0.336311221684
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
329053760.00000000
JPY
4480000.00000000
AUD
2020-06-12
-99127.36
N
N
N
Korea Treasury Bond 1.375% 09/10/2024
549300O0QCVSQGPGDT58
Korea Treasury Bond 1.375% 09/10/2024
000000000
11135070000.00000000
PA
9587888.77000000
1.055058002933
Long
DBT
UST
KR
N
2
2024-09-10
Fixed
1.37500000
N
N
N
N
N
N
UNITED STATES TREASURY NOTE/BOND 2.125% 12/31/2021
N/A
UNITED STATES TREASURY NOTE/BOND 2.125% 12/31/2021
912828G87
3094000.00000000
PA
USD
3126222.56000000
0.344011722497
Long
DBT
UST
US
N
2
2021-12-31
Fixed
2.12500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA 4.375% 03/21/2023
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 4.375% 03/21/2023
195325BP9
149000000.00000000
PA
44411.76000000
0.004887101210
Long
DBT
NUSS
CO
N
2
2023-03-21
Fixed
4.37500000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL NTNF 01/01/2021 STATED RATE 10%
N/A
NOTA DO TESOURO NACIONAL NTNF 01/01/2021 STATED RATE 10%
P80551PC5
73235.00000000
PA
19155495.640000
2.107884171370
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
9.46138200
N
N
N
N
N
N
Norway Treasury Bill 09/16/2020 TBLM 144A REG S
549300O6E2WAK3IAXE34
Norway Treasury Bill 09/16/2020 TBLM 144A REG S
000000000
9353000.00000000
PA
1056197.84000000
0.116224750881
Long
STIV
UST
NO
N
2
N
N
N
N/A
N/A
EUR_USD_20200409
000000000
1.00000000
NC
USD
15263586.24000000
1.679615732127
N/A
DFE
N/A
N
N/A
UBS AG
BFM8T61CT2L1QCEMIK50
13525000.00000000
EUR
15148811.50000000
USD
2020-04-09
114774.74
N
N
N
N/A
N/A
JPY_USD_20200323
000000000
1.00000000
NC
USD
6147999.85000000
0.676530214250
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
664965000.00000000
JPY
6254648.66000000
USD
2020-03-23
-106648.81
N
N
N
N/A
N/A
USD_MXN_20201015
000000000
1.00000000
NC
USD
8893019.73000000
0.978594126554
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
8893019.73000000
USD
183230000.00000000
MXN
2020-10-15
-391084.6
N
N
N
N/A
N/A
USD_EUR_20200520
000000000
1.00000000
NC
USD
41089381.78000000
4.521504381468
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
41089381.78000000
USD
36690813.66000000
EUR
2020-05-20
-423707.61
N
N
N
N/A
N/A
HSBC BANK PLC STRIKE 0.773 EXPIRES 05/07/20 AUD Call/USD Put
000000000
3864000.00000000
NC
829.62000000
0.000091291966
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Purchased
HSBC BANK PLC STRIKE 0.773 EXPIRES 05/07/20 AUD Call/USD Put
HSBC BANK PLC STRIKE 0.773 EXPIRES 05/07/20 AUD Call/USD Put
1.00000000
0.773
AUD
2020-05-07
XXXX
-16223.64
N
N
N
Argentina Treasury Bill 03/11/2020 TBLM
549300KPBYGYF7HCHO27
Argentina Treasury Bill 03/11/2020 TBLM
000000000
9511890.00000000
PA
91161.36000000
0.010031459973
Long
STIV
UST
AR
N
3
N
N
N
N/A
N/A
JPY_AUD_20200221
000000000
1.00000000
NC
USD
10621681.12000000
1.168817237985
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
1150914665.00000000
JPY
16082875.08000000
AUD
2020-02-21
-677398.09
N
N
N
N/A
N/A
JPY_AUD_20200306
000000000
1.00000000
NC
USD
3821399.28000000
0.420509456198
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
413734493.00000000
JPY
5777000.00000000
AUD
2020-03-06
-238628.58
N
N
N
KOREA TREASURY BOND 1.375% 09/10/2021
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.375% 09/10/2021
Y7277FUF5
3483000000.00000000
PA
3014128.64000000
0.331676828944
Long
DBT
UST
KR
N
2
2021-09-10
Fixed
1.37500000
N
N
N
N
N
N
N/A
N/A
EUR_USD_20200508
000000000
1.00000000
NC
USD
4875080.16000000
0.536457239037
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
4312000.00000000
EUR
4830453.32000000
USD
2020-05-08
44626.84
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.5768 EXPIRES 05/15/20 USD Put/MXN Call
000000000
-4433000.00000000
NC
USD
-312912.17000000
-0.03443307458
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK NA STRIKE 20.5768 EXPIRES 05/15/20 USD Put/MXN Call
CITIBANK NA STRIKE 20.5768 EXPIRES 05/15/20 USD Put/MXN Call
1.00000000
20.5768
USD
2020-05-15
XXXX
-135011.45
N
N
N
N/A
N/A
EUR_USD_20200429
000000000
1.00000000
NC
USD
509869.33000000
0.056106378575
N/A
DFE
N/A
N
N/A
GOLDMAN SACHS BANK USA HOLDINGS LLC
KD3XUN7C6T14HNAYLU02
451231.33000000
EUR
505365.55000000
USD
2020-04-29
4503.78
N
N
N
N/A
N/A
CITIBANK NA STRIKE 104.61 EXPIRES 03/30/20 USD Put/JPY Call *OTC*
000000000
43564000.00000000
NC
USD
127337.57000000
0.014012315487
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 104.61 EXPIRES 03/30/20 USD Put/JPY Call *OTC*
CITIBANK NA STRIKE 104.61 EXPIRES 03/30/20 USD Put/JPY Call *OTC*
1.00000000
104.61
USD
2020-03-30
XXXX
-405580.84
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.048 EXPIRES 03/12/20 USD Put/MXN Call
000000000
-3000000.00000000
NC
USD
-31665.00000000
-0.00348443880
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.048 EXPIRES 03/12/20 USD Put/MXN Call
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.048 EXPIRES 03/12/20 USD Put/MXN Call
1.00000000
19.048
USD
2020-03-12
XXXX
-486
N
N
N
N/A
N/A
USD_EUR_20200228
000000000
1.00000000
NC
USD
2445019.65000000
0.269051676645
N/A
DFE
N/A
N
N/A
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2445019.65000000
USD
2175778.00000000
EUR
2020-02-28
-3997.8
N
N
N
N/A
N/A
CITIBANK NA STRIKE 72 EXPIRES 07/21/20 AUD Put/JPY Call
000000000
23183000.00000000
NC
175513.95000000
0.019313678122
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK NA STRIKE 72 EXPIRES 07/21/20 AUD Put/JPY Call
CITIBANK NA STRIKE 72 EXPIRES 07/21/20 AUD Put/JPY Call
1.00000000
72
AUD
2020-07-21
XXXX
-194269.48
N
N
N
N/A
N/A
CITIBANK NA STRIKE 20.85 EXPIRES 09/17/20 USD Call/MXN Put
000000000
14123000.00000000
NC
USD
153389.90000000
0.016879132147
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA STRIKE 20.85 EXPIRES 09/17/20 USD Call/MXN Put
CITIBANK NA STRIKE 20.85 EXPIRES 09/17/20 USD Call/MXN Put
1.00000000
20.85
USD
2020-09-17
XXXX
-30350.33
N
N
N
N/A
N/A
USD_MXN_20200617
000000000
1.00000000
NC
USD
1809265.92000000
0.199092890429
N/A
DFE
N/A
N
N/A
CITIBANK NA
E57ODZWZ7FF32TWEFA76
1809265.92000000
USD
36748000.00000000
MXN
2020-06-17
-84926.17
N
N
N
N/A
N/A
EUR_USD_20200414
000000000
1.00000000
NC
USD
4621704.44000000
0.508575597150
N/A
DFE
N/A
N
N/A
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
4094000.00000000
EUR
4579214.74000000
USD
2020-04-14
42489.7
N
N
N
N/A
N/A
EUR_USD_20200203
000000000
1.00000000
NC
USD
1003627.11000000
0.110439830891
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
893000.00000000
EUR
998101.64000000
USD
2020-02-03
5525.47
N
N
N
N/A
N/A
USD_JPY_20200608
000000000
1.00000000
NC
USD
4733082.29000000
0.520831693858
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
4733082.29000000
USD
494791690.00000000
JPY
2020-06-08
138503.79
N
N
N
N/A
N/A
NOK_USD_20200324
000000000
1.00000000
NC
USD
3066624.83000000
0.337453546500
N/A
DFE
N/A
N
N/A
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
26911000.00000000
NOK
2992738.07000000
USD
2020-03-24
73886.76
N
N
N
N/A
N/A
USD_EUR_20200522
000000000
1.00000000
NC
USD
14193973.05000000
1.561914746725
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
14193973.05000000
USD
12683778.91000000
EUR
2020-05-22
-158624.78
N
N
N
N/A
N/A
USD_EUR_20200212
000000000
1.00000000
NC
USD
3516867.49000000
0.386998564500
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
3516867.49000000
USD
3156669.41000000
EUR
2020-02-12
-32788.01
N
N
N
N/A
N/A
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.4595 EXPIRES 09/10/20 USD CALL/MXN PUT
000000000
-1537000.00000000
NC
USD
-5851.36000000
-0.00064388775
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.4595 EXPIRES 09/10/20 USD CALL/MXN PUT
MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 22.4595 EXPIRES 09/10/20 USD CALL/MXN PUT
1.00000000
22.4595
USD
2020-09-10
XXXX
1088.2
N
N
N
N/A
N/A
JPY_AUD_20200824
000000000
1.00000000
NC
USD
6921030.43000000
0.761595041294
N/A
DFE
N/A
N
N/A
JPMORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
742095907.00000000
JPY
10420500.00000000
AUD
2020-08-24
-429774.21
N
N
N
INDONESIA GOVERNMENT 5.625% 05/15/2023
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.625% 05/15/2023
Y39814HP9
16137000000.00000000
PA
1140429.22000000
0.125493630996
Long
DBT
NUSS
ID
N
2
2023-05-15
Fixed
5.62500000
N
N
N
N
N
N
2020-01-29
Robert Kubilis
Robert Kubilis
Robert Kubilis
Chief Financial Officer, Chief Accounting Officer and Treasurer