0001752724-21-035246.txt : 20210224
0001752724-21-035246.hdr.sgml : 20210224
20210223190104
ACCESSION NUMBER: 0001752724-21-035246
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201231
FILED AS OF DATE: 20210224
PERIOD START: 20201231
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: 21667702
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
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811-05459
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QU1AAXOSV5K4OVMXJP19
300 S.E. 2nd Street
Fort Lauderdale
33301-1923
954-527-7500
Templeton Global Income Fund
QU1AAXOSV5K4OVMXJP19
2020-12-31
2020-12-31
N
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AUD
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CNY
COP
EUR
GHS
IDR
INR
JPY
KRW
MXN
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SEK
USD
N
N/A
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Forward Foreign Currency Contract
N/A
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NC
N/A
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HSBC Bank
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JPY
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N
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N
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PA
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0.152386301151
Long
DBT
NUSS
CO
N
2
2022-05-04
Fixed
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N
N
N
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
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PA
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Written
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2021-01-22
XXXX
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N
N
N
N/A
N/A
Forward Foreign Currency Contract
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NC
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N/A
DFE
N/A
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2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
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AUD
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JPY
2021-03-16
-695773.98000000
N
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N
N/A
N/A
Foreign Exchange AUD/JPY
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PA
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N/A
DFE
US
N
2
CITIBANK NA
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Call
Written
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AUD
2021-12-20
XXXX
-27810.83000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
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PA
USD
1991.50000000
0.000243109044
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
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28.75400000
USD
2021-03-30
XXXX
-368220.65000000
N
N
N
Argentine Republic
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Boncer Government Bond
N/A
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PA
801628.86000000
0.097857507611
Long
DBT
NUSS
AR
N
3
2021-04-17
Fixed
1.10000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
41753.97000000
0.005097046327
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1172200.30000000
USD
1574000.00000000
AUD
2021-01-27
41753.97000000
N
N
N
Federative Republic of Brazil
254900ZFY40OYEADAP90
Notas do Tesouro Nacional
N/A
74176000.00000000
PA
14291300.13000000
1.744586654784
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
9.99999800
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
25700.27000000
0.003137317644
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6228578.00000000
USD
124480000.00000000
MXN
2021-01-13
25700.27000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
82768.48000000
0.010103824307
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6149662.80000000
EUR
65563400.00000000
NOK
2021-09-20
82768.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-301289.36000000
-0.03677939668
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
96656000.00000000
MXN
4550337.78000000
USD
2021-01-21
-301289.36000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-945170.04000000
-0.11538005802
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
54022490000.00000000
KRW
48695231.66000000
USD
2021-05-18
-945170.04000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-863135.50000000
PA
USD
-61741.65000000
-0.00753700906
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.38217000
USD
2021-04-16
XXXX
-45679.81000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
17616000.00000000
PA
USD
9917.27000000
0.001210634213
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/JPY
1.00000000
115.95000000
USD
2021-08-11
XXXX
-48268.38000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-7546000.00000000
PA
-5426.69000000
-0.00066245414
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
66.00000000
AUD
2021-04-29
XXXX
105354.39000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-17280.32000000
-0.00210946627
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
3415999.39000000
EUR
3678416.46000000
CHF
2021-02-12
-17280.32000000
N
N
N
Republic of India
N/A
Republic of India
N/A
624000000.00000000
PA
9633233.00000000
1.175960869994
Long
DBT
NUSS
IN
N
2
2026-07-09
Fixed
8.33000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
46437.53000000
0.005668784112
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1219781.86000000
EUR
12643100.00000000
SEK
2021-01-19
46437.53000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22277.60000000
-0.00271950090
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
2569113.44000000
EUR
2758791.08000000
CHF
2021-01-14
-22277.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
16640.85000000
0.002031404040
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1067785.98000000
EUR
10890000.00000000
SEK
2021-06-18
16640.85000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-202066.91000000
-0.02466698140
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7080084.27000000
EUR
872808008.00000000
JPY
2021-02-25
-202066.91000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-7684000.00000000
PA
USD
-14075.24000000
-0.00171821147
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
28.40070000
USD
2021-06-30
XXXX
162579.92000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
11609000.00000000
PA
4786.37000000
0.000584288143
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
58.95000000
AUD
2021-06-21
XXXX
-92332.34000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-1853499.72000000
PA
USD
-471.66000000
-0.00005757710
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.39627800
USD
2021-01-22
XXXX
50810.34000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
54033500000.00000000
PA
48291112.38000000
5.895057093232
Long
DBT
NUSS
KR
N
2
2029-12-10
Fixed
1.37500000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
N/A
237000000.00000000
PA
90408.34000000
0.011036447489
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
302957.98000000
0.036983090695
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
49730500.00000000
BRL
9857578.94000000
USD
2021-03-02
302957.98000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
18005000.00000000
PA
184027.16000000
0.022464808977
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
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1.00000000
76.20000000
AUD
2021-06-18
XXXX
-71194.79000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-7836000.00000000
PA
-278115.51000000
-0.03395048755
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
76.00000000
AUD
2021-01-22
XXXX
-168806.49000000
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
28937000.00000000
PA
3540344.41000000
0.432181645815
Long
DBT
NUSS
NO
N
2
2025-03-13
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-385414.76000000
-0.04704886474
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
10420500.00000000
AUD
789812940.00000000
JPY
2021-02-25
-385414.76000000
N
N
N
Letras de la Nacion Argentina con Ajuste por CER
549300KPBYGYF7HCHO27
Letras de la Nacion Argentina con Ajuste por CER
N/A
18686448.71000000
PA
135317.61000000
0.016518671808
Long
STIV
NUSS
AR
N
3
2021-05-21
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
114177.51000000
0.013938029319
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
861323447.00000000
JPY
10967159.87000000
AUD
2021-02-25
114177.51000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
8707000.00000000
PA
122140.48000000
0.014910095616
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
81.00000000
AUD
2021-06-21
XXXX
71270.91000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-720316.60000000
-0.08793144893
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21585813.66000000
EUR
25731692.96000000
USD
2021-05-20
-720316.60000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
3440493.00000000
PA
USD
230.41000000
0.000028126916
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.47275400
USD
2021-02-02
XXXX
-48938.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
100520.26000000
0.012270843277
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2431804.85000000
EUR
25286150.00000000
SEK
2021-03-15
100520.26000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mex Bonos Desarr Fix Rt
N/A
232730000.00000000
PA
12054037.68000000
1.471476568367
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
6.50000200
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1458000.00000000
PA
USD
-24244.48000000
-0.00295960450
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
34.95110000
USD
2023-10-19
XXXX
18488.04000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2574000.00000000
PA
USD
-0.18000000
-0.00000002197
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
29.21100000
USD
2021-01-14
XXXX
20360.16000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-8823000.00000000
PA
USD
-65806.22000000
-0.00803318467
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/JPY
1.00000000
98.00000000
USD
2021-08-11
XXXX
25600.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-44556.66000000
-0.00543918004
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
10419369.61000000
EUR
1310567064.00000000
JPY
2021-02-26
-44556.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
92313.61000000
0.011269030150
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6201318.70000000
USD
6847000000.00000000
KRW
2021-02-23
92313.61000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
5287000.00000000
PA
USD
110418.07000000
0.013479101944
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.43000000
USD
2021-08-30
XXXX
78637.91000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-52484.88000000
-0.00640700428
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
616384000.00000000
KRW
514081.73000000
USD
2021-01-19
-52484.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
37490.86000000
0.004576634276
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9166358.17000000
USD
183230000.00000000
MXN
2021-01-15
37490.86000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828J27
2530000.00000000
PA
USD
2709175.38000000
0.330718071164
Long
DBT
UST
US
N
2
2025-02-15
Fixed
2.00000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
11271000000.00000000
PA
846448.09000000
0.103328740446
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YM6
2110000.00000000
PA
USD
2211543.75000000
0.269970518960
Long
DBT
UST
US
N
2
2024-10-31
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
39323.25000000
0.004800320233
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3452872.73000000
USD
256676200.00000000
INR
2021-03-08
39323.25000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
10233000.00000000
PA
USD
7.44000000
0.000000908225
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
26.52600000
USD
2021-01-14
XXXX
-466873.18000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
6483744.00000000
PA
USD
128.16000000
0.000015644918
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.47754100
USD
2021-01-21
XXXX
-87828.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
86996.17000000
0.010619912521
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
3277176.32000000
EUR
33714869.00000000
SEK
2021-06-11
86996.17000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-62235000.00000000
PA
USD
-52065.97000000
-0.00635586654
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/JPY
1.00000000
107.00000000
USD
2021-02-24
XXXX
730974.80000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-3394000.00000000
PA
USD
-22499.87000000
-0.00274663414
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
27.92840000
USD
2021-12-07
XXXX
65072.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-298434.20000000
-0.03643085778
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9873039.51000000
USD
49730500.00000000
BRL
2021-01-04
-298434.20000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Argentine Republic
N/A
512895000.00000000
PA
1192787.10000000
0.145607498109
Long
DBT
NUSS
AR
N
3
2026-10-17
Fixed
15.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-874.62000000
-0.00010676777
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
1756891.75000000
CHF
1624765.80000000
EUR
2021-04-13
-874.62000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
5224000.00000000
PA
2490.31000000
0.000304000444
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
68.50000000
AUD
2021-03-24
XXXX
-87055.08000000
N
N
N
Federative Republic of Brazil
254900ZFY40OYEADAP90
Letras do Tesouro Nacional
N/A
65187000.00000000
PA
12423033.99000000
1.516521178181
Long
STIV
NUSS
BR
N
2
2021-07-01
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828XB1
3030000.00000000
PA
USD
3270742.95000000
0.399270496728
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.12500000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
13320000000.00000000
PA
4169549.25000000
0.508990778435
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-17440.42000000
-0.00212901021
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
513907.00000000
EUR
611947.61000000
USD
2021-04-23
-17440.42000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-8734000.00000000
PA
-289836.70000000
-0.03538133229
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
76.25000000
AUD
2021-01-22
XXXX
-212514.77000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5287000.00000000
PA
USD
-316922.20000000
-0.03868774958
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
20.93750000
USD
2021-08-30
XXXX
-220545.48000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
144200000000.00000000
PA
10526073.18000000
1.284952847541
Long
DBT
NUSS
ID
N
2
2021-07-15
Fixed
8.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21891.70000000
0.002672392807
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5097377.36000000
USD
33387210.00000000
CNY
2021-02-18
21891.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-17569.25000000
-0.00214473692
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
522000.00000000
AUD
39712820.00000000
JPY
2021-06-23
-17569.25000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10877.64000000
0.001327869781
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
2811066.40000000
CHF
2608067.47000000
EUR
2021-01-11
10877.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15405.83000000
0.001880641031
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1305304.53000000
USD
97083330.00000000
INR
2021-03-09
15405.83000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
226500000.00000000
PA
2194088.88000000
0.267839744784
Long
STIV
NUSS
JP
N
2
2021-03-25
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-356385.41000000
-0.04350515520
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9643778.78000000
EUR
11438775.32000000
USD
2021-02-23
-356385.41000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286X3
3594000.00000000
PA
USD
3923356.39000000
0.478937195195
Long
DBT
UST
US
N
2
2026-05-31
Fixed
2.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14173.78000000
0.001730240580
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
107528105.00000000
JPY
1369000.00000000
AUD
2021-01-27
14173.78000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YQ7
7870000.00000000
PA
USD
8392617.19000000
1.024514761792
Long
DBT
UST
US
N
2
2026-10-31
Fixed
1.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-30371.88000000
-0.00370759665
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
5429588.21000000
USD
5874000000.00000000
KRW
2021-01-13
-30371.88000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
353754483.74000000
PA
2114629.61000000
0.258139886774
Long
DBT
NUSS
AR
N
3
2024-03-25
Fixed
1.50000000
N
N
N
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
50619000000.00000000
PA
47649047.09000000
5.816678042603
Long
DBT
NUSS
KR
N
2
2026-06-10
Fixed
1.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-483974.27000000
-0.05908035273
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
12970000000.00000000
KRW
11437894.09000000
USD
2021-01-29
-483974.27000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
3612000.00000000
PA
USD
5048.05000000
0.000616232293
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
25.48200000
USD
2021-04-09
XXXX
-210740.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-209179.41000000
-0.02553522799
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7087988.56000000
EUR
873389038.00000000
JPY
2021-03-31
-209179.41000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10645.94000000
0.001299585389
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
2811093.71000000
CHF
2608407.41000000
EUR
2021-02-09
10645.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-682863.84000000
-0.08335946565
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
18461936.79000000
AUD
1399304037.00000000
JPY
2021-02-25
-682863.84000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
39827.41000000
0.004861864725
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
17367144.27000000
USD
1791490400.00000000
JPY
2021-09-21
39827.41000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-10891000.00000000
PA
USD
-5038.39000000
-0.00061505306
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/JPY
1.00000000
98.80000000
USD
2021-02-01
XXXX
78299.54000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
64492000000.00000000
PA
4799289.92000000
0.585865321609
Long
DBT
NUSS
ID
N
2
2021-06-15
Fixed
12.80000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8191.06000000
-0.00099991000
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
2758807.75000000
CHF
2545765.37000000
EUR
2021-04-13
-8191.06000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-7683000.00000000
PA
USD
-12239.59000000
-0.00149412755
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
28.23540000
USD
2021-06-18
XXXX
165222.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-68665.51000000
-0.00838222773
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
2520000.00000000
AUD
193513320.00000000
JPY
2021-03-17
-68665.51000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
604306504.76000000
PA
4230231.23000000
0.516398430050
Long
DBT
NUSS
AR
N
3
2022-03-18
Fixed
1.20000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
4532900000.00000000
PA
43908341.60000000
5.360037651738
Long
STIV
NUSS
JP
N
2
2021-03-10
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-81788.69000000
-0.00998421807
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2520800.52000000
AUD
192231206.00000000
JPY
2021-01-13
-81788.69000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-6189000.00000000
PA
USD
-77101.35000000
-0.00941201885
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.56430000
USD
2021-06-21
XXXX
9996.45000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
610900000.00000000
PA
5916554.11000000
0.722253486297
Long
STIV
NUSS
JP
N
2
2021-01-12
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
32783.15000000
0.004001948421
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2521417.07000000
USD
21921200.00000000
NOK
2021-09-20
32783.15000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YV6
2600000.00000000
PA
USD
2726546.89000000
0.332838669307
Long
DBT
UST
US
N
2
2024-11-30
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
157055.76000000
0.019172320255
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
11764812.60000000
USD
12970000000.00000000
KRW
2021-01-29
157055.76000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2350000.00000000
PA
USD
320643.32000000
0.039141999113
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
22.83100000
USD
2021-06-09
XXXX
188166.68000000
N
N
N
Inter-American Development Bank
VKU1UKDS9E7LYLMACP54
Inter-American Development Bank
N/A
185000000.00000000
PA
10125223.80000000
1.236019827273
Long
DBT
NUSS
MX
N
2
2024-12-05
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-360656.22000000
-0.04402650722
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
10419411.96000000
EUR
1278784849.00000000
JPY
2021-04-30
-360656.22000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-499725.13000000
-0.06100311272
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
5874000000.00000000
KRW
4899491.20000000
USD
2021-01-13
-499725.13000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
31118000.00000000
PA
USD
183174.43000000
0.022360713382
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/JPY
1.00000000
102.10000000
USD
2021-02-24
XXXX
-281852.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1448606.45000000
-0.17683621907
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
43590063.21000000
AUD
3320791272.00000000
JPY
2021-02-22
-1448606.45000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
41637.62000000
0.005082843095
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3552934.18000000
USD
263438700.00000000
INR
2021-02-08
41637.62000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2917000.00000000
PA
USD
-254725.57000000
-0.03109519959
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.32110000
USD
2023-10-19
XXXX
-76444.36000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
2040000.00000000
PA
349234.39000000
0.042632206352
Long
DBT
NUSS
GH
N
2
2021-05-17
Fixed
16.25000100
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-304118.25000000
-0.03712472872
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
49944519.95000000
USD
54022490000.00000000
KRW
2021-05-18
-304118.25000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
42438000000.00000000
PA
3417306.87000000
0.417162043094
Long
DBT
NUSS
ID
N
2
2022-06-15
Fixed
12.90000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
64765.28000000
0.007906113660
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2482913.66000000
EUR
26672700.00000000
NOK
2021-06-15
64765.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
603949.07000000
0.073726076571
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
8669598.23000000
EUR
96187025.00000000
NOK
2021-03-31
603949.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-74827.69000000
-0.00913446559
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2300270.00000000
EUR
2739115.51000000
USD
2021-03-04
-74827.69000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-11325.51000000
-0.00138254276
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7636000.00000000
MXN
367018.34000000
USD
2021-05-13
-11325.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
52815.15000000
0.006447321448
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
3833499.42000000
EUR
40777700.00000000
NOK
2021-06-16
52815.15000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127964N6
26810000.00000000
PA
USD
26806738.03000000
3.272387886339
Long
STIV
UST
US
N
1
2021-03-18
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5287000.00000000
PA
USD
-26802.71000000
-0.00327189617
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
26.60500000
USD
2021-08-30
XXXX
79989.40000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7049000.00000000
PA
USD
303628.21000000
0.037064907906
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
29.71000000
USD
2024-08-09
XXXX
-314216.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-53935.97000000
-0.00658414368
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
2642862.81000000
USD
13446886.00000000
BRL
2021-01-05
-53935.97000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5287000.00000000
PA
USD
-408983.18000000
-0.04992594035
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
21.43000000
USD
2021-08-11
XXXX
-310803.59000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Argentine Republic
N/A
252627000.00000000
PA
1457434.48000000
0.177913886133
Long
DBT
NUSS
AR
N
3
2021-10-03
Fixed
18.20000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-2307950.00000000
PA
USD
-48305.80000000
-0.00589685005
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Put
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.29032300
USD
2021-05-05
XXXX
-10439.30000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
2347542.00000000
PA
USD
2923.51000000
0.000356882612
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.48368000
USD
2021-04-16
XXXX
-27660.62000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
31118000.00000000
PA
USD
2648.37000000
0.000323295355
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/JPY
1.00000000
110.80000000
USD
2021-02-24
XXXX
-128545.12000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
9127963T4
26810000.00000000
PA
USD
26809955.23000000
3.272780620669
Long
STIV
UST
US
N
1
2021-01-07
None
0.00000000
N
N
N
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
3483000000.00000000
PA
3218272.44000000
0.392865246633
Long
DBT
NUSS
KR
N
2
2021-09-10
Fixed
1.37500000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2725000.00000000
PA
USD
95641.65000000
0.011675295089
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.84790000
USD
2023-10-19
XXXX
27154.22000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
5520219.60000000
PA
USD
271.58000000
0.000033152676
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.44885500
USD
2021-01-22
XXXX
-88633.39000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
11430000000.00000000
PA
911139.48000000
0.111225834108
Long
DBT
NUSS
ID
N
2
2023-07-15
Fixed
9.50000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2917000.00000000
PA
USD
134321.69000000
0.016397096533
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
26.29940000
USD
2023-10-19
XXXX
-88866.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15819.94000000
0.001931192820
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
3675110.49000000
USD
24113870.00000000
CNY
2021-03-16
15819.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
28422.41000000
0.003469618350
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6789898.76000000
USD
44380340.00000000
CNY
2021-01-19
28422.41000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
4686078.00000000
PA
USD
4327.19000000
0.000528234510
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.45878900
USD
2021-03-22
XXXX
-80817.86000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10421.77000000
-0.00127222021
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7087988.57000000
EUR
893873326.00000000
JPY
2021-03-29
-10421.77000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2917000.00000000
PA
USD
-254725.57000000
-0.03109519959
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.32110000
USD
2023-10-19
XXXX
-81808.73000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
62235000.00000000
PA
USD
773.29000000
0.000094398088
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/JPY
1.00000000
115.00000000
USD
2021-02-24
XXXX
-164024.99000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
94200000.00000000
PA
912559.30000000
0.111399156269
Long
STIV
NUSS
JP
N
2
2021-04-12
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-2863000.00000000
PA
USD
-49413.56000000
-0.00603207801
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/JPY
1.00000000
104.77850000
USD
2021-02-01
XXXX
14319.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-167276.14000000
-0.02041995611
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
23077838.00000000
BRL
4275177.93000000
USD
2021-02-02
-167276.14000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YY0
47264000.00000000
PA
USD
50070300.00000000
6.112248457906
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
Letras de la Nacion Argentina con Ajuste por CER
549300KPBYGYF7HCHO27
Argentine Republic
N/A
31338205.30000000
PA
224483.21000000
0.027403413883
Long
STIV
NUSS
AR
N
3
2021-09-13
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2350000.00000000
PA
USD
-49784.26000000
-0.00607733060
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.60850000
USD
2021-06-09
XXXX
-36660.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-103577.44000000
-0.01264404343
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7079963.19000000
EUR
882956369.00000000
JPY
2021-02-25
-103577.44000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-25587.84000000
-0.00312359293
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
4273979.61000000
EUR
4597990.00000000
CHF
2021-03-11
-25587.84000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
1853499.72000000
PA
USD
142560.33000000
0.017402814786
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.39627800
USD
2021-01-22
XXXX
91278.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
754061.91000000
0.092050851434
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
18374765.51000000
USD
157131807.30000000
SEK
2021-05-27
754061.91000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-6752000.00000000
PA
-45395.02000000
-0.00554152144
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
68.40000000
AUD
2021-12-20
XXXX
7425.58000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
9283000.00000000
PA
USD
229462.91000000
0.028011302464
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
21.15610000
USD
2021-06-21
XXXX
-20454.02000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-1799954.30000000
PA
USD
-503.68000000
-0.00006148589
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.54059500
USD
2021-03-22
XXXX
15155.23000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
490000.00000000
PA
84082.39000000
0.010264217682
Long
DBT
NUSS
GH
N
2
2021-03-22
Fixed
16.50000100
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-215000.00000000
PA
USD
-34156.32000000
-0.00416957586
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
23.10350000
USD
2021-01-14
XXXX
-28921.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
30285.12000000
0.003697005570
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2589654.06000000
USD
192009900.00000000
INR
2021-02-08
30285.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-112634.79000000
-0.01374970434
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6847000000.00000000
KRW
6180997.52000000
USD
2021-02-23
-112634.79000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-4756656.00000000
PA
USD
-256771.64000000
-0.03134497018
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.35263100
USD
2021-05-12
XXXX
-200952.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-29928.02000000
-0.00365341318
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
2623658.48000000
EUR
2811066.40000000
CHF
2021-01-11
-29928.02000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-83316.51000000
-0.01017072415
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2520800.52000000
AUD
192030550.00000000
JPY
2021-04-13
-83316.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4375.62000000
-0.00053414652
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
2811066.39000000
CHF
2598340.27000000
EUR
2021-06-09
-4375.62000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
4826000000.00000000
PA
376480.07000000
0.045958177348
Long
DBT
NUSS
ID
N
2
2022-07-15
Fixed
10.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
218496.06000000
0.026672542521
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1656447194.00000000
JPY
21090000.00000000
AUD
2021-02-25
218496.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16119.93000000
-0.00196781359
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
3415721.61000000
EUR
3678390.60000000
CHF
2021-03-15
-16119.93000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-18005000.00000000
PA
-70831.29000000
-0.00864661172
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
71.60000000
AUD
2021-06-18
XXXX
24273.19000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
9469300000.00000000
PA
3197323.20000000
0.390307903060
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mex Bonos Desarr Fix Rt
N/A
44550000.00000000
PA
2460690.71000000
0.300384719036
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
7.99999900
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
11252000.00000000
PA
USD
107754.80000000
0.013153987695
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
18.83490000
USD
2021-06-21
XXXX
-4753.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-185572.76000000
-0.02265348552
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2579000000.00000000
KRW
2184667.51000000
USD
2021-03-22
-185572.76000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3925.31000000
-0.00047917567
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
1372063.28000000
USD
27250000.00000000
MXN
2021-01-19
-3925.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8308.45000000
0.001014240192
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
558258.16000000
USD
616384000.00000000
KRW
2021-01-19
8308.45000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
4254000000.00000000
PA
3957891.11000000
0.483152963606
Long
DBT
NUSS
KR
N
2
2021-12-10
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-102335.04000000
-0.01249237952
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
2264000.00000000
AUD
1644116.80000000
USD
2021-02-12
-102335.04000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-223312.66000000
-0.02726052094
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7080147.24000000
EUR
870886431.00000000
JPY
2021-03-25
-223312.66000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
150000.00000000
PA
25263.01000000
0.003083939858
Long
DBT
NUSS
GH
N
2
2022-11-28
Fixed
17.59999900
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-109075.87000000
-0.01331525511
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
21864500.00000000
MXN
988672.85000000
USD
2021-01-19
-109075.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
64170.11000000
0.007833459274
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2482909.48000000
EUR
26731500.00000000
NOK
2021-09-15
64170.11000000
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
102083000.00000000
PA
12376938.68000000
1.510894170005
Long
DBT
NUSS
NO
N
2
2023-05-24
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2317000.00000000
PA
USD
-132792.24000000
-0.01621039147
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.74500000
USD
2022-12-22
XXXX
10104.10000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
7836000.00000000
PA
83234.41000000
0.010160701936
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
79.00000000
AUD
2021-01-22
XXXX
36902.80000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
290400000.00000000
PA
2813065.83000000
0.343400324771
Long
STIV
NUSS
JP
N
2
2021-03-22
None
0.00000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
1645700000.00000000
PA
565361.46000000
0.069015558365
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
39256.64000000
0.004792188928
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
3364988.49000000
EUR
35735000.00000000
NOK
2021-06-18
39256.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
378055.98000000
0.046150553936
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
55259828.40000000
USD
5733483496.00000000
JPY
2021-06-15
378055.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9884.31000000
0.001206610676
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
3678416.46000000
CHF
3409951.02000000
EUR
2021-02-12
9884.31000000
N
N
N
Republic of India
N/A
Republic of India
N/A
383000000.00000000
PA
5792202.02000000
0.707073412075
Long
DBT
NUSS
IN
N
2
2026-01-11
Fixed
7.59000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
6752000.00000000
PA
47403.96000000
0.005786759444
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
86.50000000
AUD
2021-12-20
XXXX
9197.14000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
6749280.00000000
PA
USD
290.87000000
0.000035507470
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.52905200
USD
2021-02-08
XXXX
-110429.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
41419.87000000
0.005056261626
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3552929.93000000
USD
264184500.00000000
INR
2021-03-08
41419.87000000
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
85878000.00000000
PA
10831505.48000000
1.322237986729
Long
DBT
NUSS
NO
N
2
2024-03-14
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-391399.01000000
-0.04777938209
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
53921812.00000000
BRL
9988480.29000000
USD
2021-02-02
-391399.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
256217.27000000
0.031277296390
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5917261.37000000
EUR
64197700.00000000
NOK
2021-01-19
256217.27000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-408431.68000000
-0.04985861690
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
10996440.13000000
AUD
833286040.00000000
JPY
2021-02-26
-408431.68000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
1716000.00000000
PA
USD
13673.77000000
0.001669202692
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
22.43600000
USD
2021-04-21
XXXX
-39426.13000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
5160000.00000000
PA
13507.91000000
0.001648955609
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
69.20000000
AUD
2021-06-24
XXXX
-56089.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-33470.85000000
-0.00408589825
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
703000.00000000
AUD
52489495.00000000
JPY
2021-05-06
-33470.85000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
3786000.00000000
PA
USD
12208.11000000
0.001490284690
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
23.74640000
USD
2021-04-09
XXXX
-120676.70000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
5448000.00000000
PA
USD
250868.90000000
0.030624403032
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
26.29940000
USD
2023-10-19
XXXX
-150496.16000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
15751000.00000000
PA
USD
290493.84000000
0.035461551569
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
20.65250000
USD
2021-03-25
XXXX
-66798.06000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-354352.62000000
-0.04325700575
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
101265400.00000000
MXN
4696910.95000000
USD
2021-03-17
-354352.62000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
N/A
983000000.00000000
PA
291338.23000000
0.035564629072
Long
DBT
NUSS
CO
N
2
2021-04-14
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-406393.51000000
-0.04960981070
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
10967159.87000000
AUD
831168145.00000000
JPY
2021-02-25
-406393.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
112570.65000000
0.013741874561
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
6298565.16000000
EUR
64353700.00000000
SEK
2021-06-16
112570.65000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7723000.00000000
PA
USD
247103.61000000
0.030164761528
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
25.54500000
USD
2022-12-22
XXXX
-34337.96000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
1458000.00000000
PA
USD
51172.67000000
0.006246818439
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.84790000
USD
2023-10-19
XXXX
17396.64000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-366059.22000000
-0.04468606944
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
73474600.00000000
MXN
3310934.37000000
USD
2021-02-16
-366059.22000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
8734000.00000000
PA
107411.88000000
0.013112126308
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
78.75000000
AUD
2021-01-22
XXXX
82837.23000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
220000.00000000
PA
38188.87000000
0.004661842684
Long
DBT
NUSS
GH
N
2
2021-03-01
Fixed
24.75000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-7235000.00000000
PA
USD
-4915.97000000
-0.00060010884
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
27.24200000
USD
2021-04-09
XXXX
90723.50000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-26440000.00000000
PA
USD
-73307.41000000
-0.00894887994
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/JPY
1.00000000
109.90000000
USD
2021-08-11
XXXX
270571.23000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-8707000.00000000
PA
-261198.33000000
-0.03188535099
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
78.00000000
AUD
2021-06-21
XXXX
-158898.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8838.78000000
-0.00107897934
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
3257394.02000000
EUR
3513783.50000000
CHF
2021-03-10
-8838.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
42611.36000000
0.005201710783
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
10193529.16000000
USD
66870800.00000000
CNY
2021-03-15
42611.36000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
5656000.00000000
PA
USD
31903.81000000
0.003894604455
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
23.29810000
USD
2021-04-29
XXXX
-116164.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16817.73000000
-0.00205299637
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5230828.89000000
USD
4263000.00000000
EUR
2021-02-23
-16817.73000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
11135070000.00000000
PA
10310938.80000000
1.258690676506
Long
DBT
NUSS
KR
N
2
2024-09-10
Fixed
1.37500000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-13231000.00000000
PA
USD
-160636.39000000
-0.01960941969
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.40100000
USD
2021-03-25
XXXX
-29027.63000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
62458.02000000
0.007624458739
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2457709.89000000
EUR
25262800.00000000
SEK
2021-06-15
62458.02000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
10182000.00000000
PA
USD
47837.96000000
0.005839739271
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
29.73260000
USD
2021-12-07
XXXX
-152737.26000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-858000.00000000
PA
USD
-25557.11000000
-0.00311984162
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
20.39350000
USD
2021-01-21
XXXX
-12951.37000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
8018640.00000000
PA
USD
315.23000000
0.000038481177
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.54440200
USD
2021-02-10
XXXX
-141038.84000000
N
N
N
Argentine Republic (The)
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
61845170.25700000
PA
435129.69000000
0.053117732002
Long
DBT
NUSS
AR
N
3
2021-08-05
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-17414000.00000000
PA
-19852.92000000
-0.00242351213
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
64.86000000
AUD
2021-06-21
XXXX
249551.94000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
1081000.00000000
PA
USD
0.79000000
0.000000096437
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
26.52600000
USD
2021-01-14
XXXX
-18603.22000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
1618000000.00000000
PA
133818.05000000
0.016335615519
Long
DBT
NUSS
ID
N
2
2024-09-15
Fixed
10.00000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
N/A
149000000.00000000
PA
44502.96000000
0.005432624702
Long
DBT
NUSS
CO
N
2
2023-03-21
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-9003000.00000000
PA
-143933.24000000
-0.01757041048
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
80.50000000
AUD
2021-06-18
XXXX
-34010.18000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
18670000.00000000
PA
USD
164925.17000000
0.020132965370
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/JPY
1.00000000
103.50000000
USD
2021-02-01
XXXX
-36057.38000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2350000.00000000
PA
USD
23692.55000000
0.002892228570
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
22.83100000
USD
2021-06-09
XXXX
-108784.09000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6864.06000000
0.000837918689
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
1756891.75000000
CHF
1630094.82000000
EUR
2021-01-13
6864.06000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1931000.00000000
PA
USD
-4.33000000
-0.00000052857
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
25.45000000
USD
2021-01-14
XXXX
61401.47000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
520000000.00000000
PA
5036282.42000000
0.614795786229
Long
STIV
NUSS
JP
N
2
2021-01-18
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
8771000.00000000
PA
22960.83000000
0.002802905070
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
69.20000000
AUD
2021-06-24
XXXX
-186707.82000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-3050272.00000000
PA
USD
-6.84000000
-0.00000083498
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.57035200
USD
2021-01-21
XXXX
14914.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-915567.42000000
-0.11176636750
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
166125000.00000000
MXN
7376841.71000000
USD
2021-03-11
-915567.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-11162.32000000
-0.00136262161
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
252374.63000000
EUR
297856.32000000
USD
2021-04-13
-11162.32000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
16352.99000000
0.001996264010
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1436898.24000000
USD
106826200.00000000
INR
2021-03-09
16352.99000000
N
N
N
Letras de la Nacion Argentina con Ajuste por CER
549300KPBYGYF7HCHO27
Argentine Republic
N/A
20216176.24000000
PA
139540.63000000
0.017034189939
Long
STIV
NUSS
AR
N
3
2021-02-26
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7049000.00000000
PA
USD
328625.16000000
0.040116368934
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
29.19000000
USD
2024-08-29
XXXX
-271773.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-741351.34000000
-0.09049922977
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
183230000.00000000
MXN
8462497.69000000
USD
2021-01-15
-741351.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
29022.31000000
0.003542850143
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2589654.90000000
USD
194729100.00000000
INR
2021-06-08
29022.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1054317.78000000
-0.12870408655
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
212962900.00000000
MXN
9513642.64000000
USD
2021-04-30
-1054317.78000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
81386000000.00000000
PA
5988704.82000000
0.731061164021
Long
DBT
NUSS
ID
N
2
2023-05-15
Fixed
5.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-22881.47000000
-0.00279321733
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
4041068.08000000
USD
4371425400.00000000
KRW
2021-02-04
-22881.47000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mex Bonos Desarr Fix Rt
N/A
297180000.00000000
PA
15342988.51000000
1.872969761713
Long
DBT
NUSS
MX
N
2
2021-12-09
Fixed
7.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
52849.10000000
0.006451465838
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
13446886.00000000
BRL
2641357.32000000
USD
2021-02-02
52849.10000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-44941.91000000
-0.00548620879
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1369000.00000000
AUD
104352025.00000000
JPY
2021-01-27
-44941.91000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
11584000.00000000
PA
USD
8.42000000
0.000001027857
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
26.52600000
USD
2021-01-14
XXXX
-501057.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
25734.13000000
0.003141451047
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
198018535.00000000
JPY
2520800.52000000
AUD
2021-01-13
25734.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-15575.54000000
-0.00190135809
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
2565175.48000000
EUR
2758807.75000000
CHF
2021-04-13
-15575.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-494781.67000000
-0.06039964808
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
124480000.00000000
MXN
5759496.60000000
USD
2021-01-13
-494781.67000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828G87
3094000.00000000
PA
USD
3155948.41000000
0.385257144499
Long
DBT
UST
US
N
2
2021-12-31
Fixed
2.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
59199.96000000
0.007226736492
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
48683920.70000000
USD
53046000000.00000000
KRW
2021-05-18
59199.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-174204.33000000
-0.02126570336
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5777000.00000000
AUD
441909881.00000000
JPY
2021-03-10
-174204.33000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Argentine Republic
N/A
283431000.00000000
PA
903798.96000000
0.110329752358
Long
DBT
NUSS
AR
N
3
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-260.53000000
-0.00003180376
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
8172053.52000000
USD
842027965.00000000
JPY
2021-06-22
-260.53000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2317000.00000000
PA
USD
-83882.08000000
-0.01023976517
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.93000000
USD
2022-12-22
XXXX
-10597.69000000
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
64462000.00000000
PA
7625717.77000000
0.930896792711
Long
DBT
NUSS
NO
N
2
2021-05-25
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
14335.61000000
0.001749995708
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
3254175.07000000
USD
336807120.00000000
JPY
2021-06-18
14335.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
59856.52000000
0.007306884961
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
9345652.99000000
USD
969237672.00000000
JPY
2021-06-15
59856.52000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8395.30000000
-0.00102484226
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
2608757.26000000
EUR
2811066.39000000
CHF
2021-06-09
-8395.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-84361.69000000
-0.01029831276
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2520802.66000000
AUD
191797791.00000000
JPY
2021-07-13
-84361.69000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-115807.07000000
-0.01413695514
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5173000000.00000000
KRW
4637590.21000000
USD
2021-05-17
-115807.07000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
1348011.50000000
PA
USD
49482.95000000
0.006040548685
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.32714000
USD
2021-04-16
XXXX
40039.96000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
13504000.00000000
PA
221774.79000000
0.027072788023
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
75.00000000
AUD
2021-12-20
XXXX
-41829.09000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32528.76000000
-0.00397089418
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
973000.00000000
AUD
74071571.00000000
JPY
2021-05-06
-32528.76000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-12447000.00000000
PA
USD
-2079.47000000
-0.00025384783
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/JPY
1.00000000
107.65000000
USD
2021-02-01
XXXX
122564.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
57457.84000000
0.007014070096
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1628408.71000000
EUR
16857449.76000000
SEK
2021-04-15
57457.84000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-18116.95000000
-0.00221159648
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
301000.00000000
AUD
22083828.00000000
JPY
2021-05-06
-18116.95000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
25560000.00000000
PA
4063010.69000000
0.495985261210
Long
DBT
NUSS
GH
N
2
2032-03-15
Fixed
19.75000100
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-3842000.00000000
PA
USD
-143681.75000000
-0.01753971026
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
20.23600000
USD
2021-06-30
XXXX
-119657.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-494606.55000000
-0.06037827060
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
5870000000.00000000
KRW
4901060.37000000
USD
2021-02-04
-494606.55000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
353754475.02000000
PA
2311005.98000000
0.282112204989
Long
DBT
NUSS
AR
N
3
2023-03-25
Fixed
1.40000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2350000.00000000
PA
USD
-1912.97000000
-0.00023352262
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
30.35750000
USD
2021-06-09
XXXX
22660.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
55004.46000000
0.006714577819
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
6674385.53000000
USD
7321000000.00000000
KRW
2021-02-10
55004.46000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
15093000.00000000
PA
31694.17000000
0.003869013001
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
71.00000000
AUD
2021-04-29
XXXX
-365406.55000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
382150000.00000000
PA
3701451.68000000
0.451848547404
Long
STIV
NUSS
JP
N
2
2021-02-10
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
5287000.00000000
PA
USD
156867.08000000
0.019149287458
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.88000000
USD
2021-08-11
XXXX
125039.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10368.15000000
0.001265674638
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
290474.73000000
USD
390000.00000000
AUD
2021-02-10
10368.15000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
360000.00000000
PA
63812.21000000
0.007789769227
Long
DBT
NUSS
GH
N
2
2021-07-19
Fixed
24.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31959.73000000
0.003901430796
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1649852.51000000
EUR
16857450.48000000
SEK
2021-03-15
31959.73000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2703000.00000000
PA
USD
18.48000000
0.000002255915
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
24.49800000
USD
2021-01-14
XXXX
-88856.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1258.12000000
-0.00015358290
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
33330.00000000
EUR
39566.88000000
USD
2021-04-29
-1258.12000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
5660000.00000000
PA
60359.91000000
0.007368335456
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
81.00000000
AUD
2021-04-29
XXXX
32289.00000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
39356.31000000
0.004804355977
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4714040.97000000
USD
5173000000.00000000
KRW
2021-05-17
39356.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-105205.34000000
-0.01284276661
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
97779000.00000000
MXN
4772151.59000000
USD
2021-03-17
-105205.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-214270.28000000
-0.02615668746
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5735192.60000000
AUD
434349076.00000000
JPY
2021-04-13
-214270.28000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-11319000.00000000
PA
-398524.77000000
-0.04864924737
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
76.80000000
AUD
2021-04-29
XXXX
-258784.66000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
19359000000.00000000
PA
18383278.43000000
2.244108088728
Long
DBT
NUSS
KR
N
2
2023-09-10
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
1458000.00000000
PA
USD
51172.67000000
0.006246818439
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.84790000
USD
2023-10-19
XXXX
16292.94000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
3218000.00000000
PA
USD
172.42000000
0.000021047884
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
22.98200000
USD
2021-01-14
XXXX
-47614.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-158551.90000000
-0.01935495905
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
33304000.00000000
MXN
1501329.85000000
USD
2021-03-24
-158551.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-98345.57000000
-0.01200537161
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1574000.00000000
AUD
1115608.70000000
USD
2021-01-27
-98345.57000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
2039300000.00000000
PA
19750579.12000000
2.411019042605
Long
STIV
NUSS
JP
N
2
2021-01-12
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bills
912796C72
47340000.00000000
PA
USD
47333688.16000000
5.778181126596
Long
STIV
UST
US
N
1
2021-03-09
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1661000.00000000
PA
USD
-202801.70000000
-0.02475667967
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.36850000
USD
2021-01-14
XXXX
-177770.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-47929.56000000
-0.00585092118
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
6538563.49000000
EUR
7027811.50000000
CHF
2021-02-10
-47929.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-227212.86000000
-0.02773663135
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
72049000.00000000
MXN
3388834.80000000
USD
2021-01-22
-227212.86000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
27111.06000000
0.003309537483
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1654329.26000000
EUR
16857449.76000000
SEK
2021-02-16
27111.06000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-1308960.00000000
PA
USD
-93858.73000000
-0.01145764810
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.38888900
USD
2021-02-02
XXXX
-75050.50000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
12183000000.00000000
PA
4324946.63000000
0.527960654714
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-15751000.00000000
PA
USD
-156757.62000000
-0.01913592531
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
21.47950000
USD
2021-03-25
XXXX
40350.39000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-2245412.70000000
PA
USD
-26.49000000
-0.00000323372
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.51998800
USD
2021-01-27
XXXX
16501.89000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
15548.79000000
0.001898092635
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1305304.81000000
USD
96812500.00000000
INR
2021-02-09
15548.79000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128284R8
2520000.00000000
PA
USD
2803893.75000000
0.342280658385
Long
DBT
UST
US
N
2
2025-05-31
Fixed
2.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-266895.07000000
-0.03258077103
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
13446886.00000000
BRL
2322031.77000000
USD
2021-01-05
-266895.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-93683.88000000
-0.01143630357
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
18641000.00000000
MXN
841884.20000000
USD
2021-01-22
-93683.88000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
2467117.00000000
PA
USD
67486.80000000
0.008238338680
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.30395100
USD
2021-05-12
XXXX
51755.35000000
N
N
N
Letras de la Nacion Argentina con Ajuste por CER
549300KPBYGYF7HCHO27
Letras de la Nacion Argentina con Ajuste por CER
N/A
39018489.45000000
PA
282551.74000000
0.034492032943
Long
STIV
NUSS
AR
N
3
2021-05-21
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7411.34000000
-0.00090472698
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
1631532.92000000
EUR
1756891.75000000
CHF
2021-04-13
-7411.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-152540.86000000
-0.01862117135
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
4545000.00000000
EUR
5417912.70000000
USD
2021-05-27
-152540.86000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
293850000.00000000
PA
2847367.48000000
0.347587641550
Long
STIV
NUSS
JP
N
2
2021-06-16
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
32427.88000000
0.003958579427
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7350219.50000000
USD
48053530.00000000
CNY
2021-01-19
32427.88000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
5310000000.00000000
PA
5201267.23000000
0.634936032053
Long
DBT
NUSS
KR
N
2
2024-09-10
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5287000.00000000
PA
USD
-19752.82000000
-0.00241129259
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
27.38000000
USD
2021-08-11
XXXX
92172.97000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
3396000.00000000
PA
USD
158068.11000000
0.019295901194
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
20.66200000
USD
2021-03-24
XXXX
115587.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
27111.03000000
0.003309533821
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1654327.42000000
EUR
16857431.00000000
SEK
2021-02-16
27111.03000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
311681.28000000
0.038047973010
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
3367858.50000000
USD
4770000.00000000
AUD
2021-02-10
311681.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-222975.58000000
-0.02721937246
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
80594000.00000000
MXN
3819494.14000000
USD
2021-01-27
-222975.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
90187.99000000
0.011009548630
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6044582.75000000
EUR
64197700.00000000
NOK
2021-03-16
90187.99000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1414000.00000000
PA
USD
-4456.64000000
-0.00054403690
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
24.56830000
USD
2021-04-29
XXXX
18455.82000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128285T3
14555000.00000000
PA
USD
16186183.36000000
1.975901368307
Long
DBT
UST
US
N
2
2025-12-31
Fixed
2.62500000
N
N
N
N
N
N
Argentine Republic (The)
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
5405294.04900000
PA
36126.38000000
0.004410067653
Long
DBT
NUSS
AR
N
3
2022-09-20
Fixed
1.30000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-11252000.00000000
PA
USD
-289661.27000000
-0.03535991697
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.79310000
USD
2021-06-21
XXXX
-2634.00000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
28761.95000000
0.003511067130
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
7027811.50000000
CHF
6522887.80000000
EUR
2021-02-10
28761.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-793339.36000000
-0.09684558070
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
145844000.00000000
MXN
6465289.48000000
USD
2021-04-05
-793339.36000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5564.05000000
0.000679222134
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
476436.74000000
USD
35847100.00000000
INR
2021-06-09
5564.05000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-1262601.00000000
PA
USD
-194.87000000
-0.00002378843
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.43988500
USD
2021-02-02
XXXX
16067.80000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
9003000.00000000
PA
45151.55000000
0.005511800246
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
84.15000000
AUD
2021-06-18
XXXX
10214.39000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-80613.48000000
-0.00984075627
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
1322000.00000000
AUD
939611.50000000
USD
2021-04-21
-80613.48000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7683000.00000000
PA
USD
23503.25000000
0.002869120088
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
26.08940000
USD
2021-06-18
XXXX
-260368.23000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7196.78000000
-0.00087853492
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
1630367.11000000
EUR
1756891.75000000
CHF
2021-01-13
-7196.78000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
6074000.00000000
PA
USD
18158.04000000
0.002216612482
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
23.22530000
USD
2021-03-24
XXXX
-243819.65000000
N
N
N
Republic of India
N/A
Republic of India
N/A
117000000.00000000
PA
1615533.04000000
0.197213504461
Long
DBT
NUSS
IN
N
2
2025-06-15
Fixed
5.22000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
449848.55000000
0.054914512316
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3423861284.00000000
JPY
43590063.21000000
AUD
2021-02-22
449848.55000000
N
N
N
Letras Del Tesoro En Pesos A Descuento
N/A
Argentine Republic
N/A
13668508.00000000
PA
86737.95000000
0.010588390745
Long
STIV
NUSS
AR
N
3
2021-03-31
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-29998.95000000
-0.00366207184
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
2624235.05000000
EUR
2811093.71000000
CHF
2021-02-09
-29998.95000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-858000.00000000
PA
USD
-168.24000000
-0.00002053761
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
23.11900000
USD
2021-01-21
XXXX
9472.25000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-246498.24000000
-0.03009086199
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7321000000.00000000
KRW
6482891.75000000
USD
2021-02-10
-246498.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
27017.83000000
0.003298156586
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
560666.77000000
USD
4832000.00000000
SEK
2021-02-19
27017.83000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5448000.00000000
PA
USD
-475743.89000000
-0.05807564280
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.32110000
USD
2023-10-19
XXXX
-128591.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3491.43000000
-0.00042621050
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1380971.74000000
USD
1498574600.00000000
KRW
2021-02-04
-3491.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
44438.56000000
0.005424763179
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
3675259.94000000
USD
383726540.00000000
JPY
2021-03-24
44438.56000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2828000.00000000
PA
USD
-25495.16000000
-0.00311227918
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.38310000
USD
2021-04-29
XXXX
78425.36000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
2863000.00000000
PA
USD
6003.98000000
0.000732925856
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/JPY
1.00000000
104.77850000
USD
2021-02-01
XXXX
-57729.26000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9321.52000000
0.001137909024
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
2758791.08000000
CHF
2558510.85000000
EUR
2021-01-14
9321.52000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
11609000.00000000
PA
45427.38000000
0.005545471733
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
71.44000000
AUD
2021-06-21
XXXX
-320007.60000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2317000.00000000
PA
USD
-83882.08000000
-0.01023976517
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.93000000
USD
2022-12-22
XXXX
-8927.13000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
11526000.00000000
PA
USD
63178.93000000
0.007712462626
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
24.80700000
USD
2021-06-30
XXXX
-535504.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-141065.42000000
-0.01722032613
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
3749989.00000000
AUD
283902292.00000000
JPY
2021-04-13
-141065.42000000
N
N
N
Republic of India
N/A
Republic of India
N/A
160500000.00000000
PA
2293451.47000000
0.279969267425
Long
DBT
NUSS
IN
N
2
2021-11-08
Fixed
8.79000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-46776.66000000
-0.00571018284
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7079735.53000000
EUR
888779378.00000000
JPY
2021-02-24
-46776.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6202.07000000
-0.00075710736
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
1325805.75000000
EUR
1615812.50000000
USD
2021-03-08
-6202.07000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
25560000.00000000
PA
4142700.68000000
0.505713283980
Long
DBT
NUSS
GH
N
2
2026-11-02
Fixed
19.00000100
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
-2551878.00000000
PA
USD
-21.64000000
-0.00000264166
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Call
Written
N/A
Foreign Exchange USD/AUD
1.00000000
1.51653000
USD
2021-01-22
XXXX
18543.52000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YJ3
30797000.00000000
PA
USD
31116881.36000000
3.798541452867
Long
DBT
UST
US
N
2
2021-09-30
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-884946.72000000
-0.10802839656
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
53046000000.00000000
KRW
47858173.94000000
USD
2021-05-18
-884946.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-570238.38000000
-0.06961090025
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
135496000.00000000
MXN
6195660.62000000
USD
2021-03-08
-570238.38000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mex Bonos Desarr Fix Rt
N/A
1650576000.00000000
PA
83716509.13000000
10.21955338456
Long
DBT
NUSS
MX
N
2
2021-06-10
Fixed
6.50000200
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-211201.01000000
-0.02578201144
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7087991.30000000
EUR
873949327.00000000
JPY
2021-06-30
-211201.01000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1458000.00000000
PA
USD
-24244.48000000
-0.00295960450
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
34.95110000
USD
2023-10-19
XXXX
17951.50000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
52869000000.00000000
PA
3921337.00000000
0.478690681525
Long
DBT
NUSS
ID
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828T34
2737000.00000000
PA
USD
2757742.52000000
0.336646823869
Long
DBT
UST
US
N
2
2021-09-30
Fixed
1.12500000
N
N
N
N
N
N
Korea Monetary Stabilization Bond
RVHOHKPBCJ2GSJ37YH94
Korea Monetary Stabilization Bond
N/A
2322000000.00000000
PA
2140067.37000000
0.261245158948
Long
DBT
NUSS
KR
N
2
2021-08-02
Fixed
1.18000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-269181.66000000
-0.03285990270
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
5160000.00000000
AUD
3711201.00000000
USD
2021-02-10
-269181.66000000
N
N
N
Institutional Fiduciary Trust - Money Market Portfolio
549300M4TP89K77LG374
Institutional Fiduciary Trust - Money Market Portfolio
457756500
61597955.94200000
NS
USD
61597955.94000000
7.519467852289
Long
STIV
RF
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
198469.08000000
0.024227782301
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6967384.57000000
USD
739475000.00000000
JPY
2021-02-26
198469.08000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
16018.72000000
0.001955458557
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
3675109.10000000
USD
24254250.00000000
CNY
2021-06-16
16018.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
160825.14000000
0.019632461038
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7004890.90000000
USD
739460800.00000000
JPY
2021-02-26
160825.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
12496.69000000
0.001525512612
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
4597990.00000000
CHF
4263279.90000000
EUR
2021-03-11
12496.69000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
465434.20000000
0.056817104575
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
8606069.26000000
EUR
90410200.00000000
SEK
2021-04-06
465434.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-991205.81000000
-0.12099979795
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
49730500.00000000
BRL
8583399.50000000
USD
2021-01-04
-991205.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-201396.46000000
-0.02458513733
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7080069.77000000
EUR
872554878.00000000
JPY
2021-01-25
-201396.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-357466.10000000
-0.04363707863
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9643779.02000000
EUR
11461390.27000000
USD
2021-05-24
-357466.10000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
13231000.00000000
PA
USD
53052.73000000
0.006476323631
N/A
DFE
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
18.71800000
USD
2021-03-25
XXXX
12579.10000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-51232.82000000
-0.00625416115
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
4550000.00000000
EUR
5514827.50000000
USD
2021-03-04
-51232.82000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-649590.17000000
-0.07929763781
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
167775000.00000000
MXN
7720253.27000000
USD
2021-03-16
-649590.17000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
26440000.00000000
PA
USD
525158.47000000
0.064107845337
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/JPY
1.00000000
102.65000000
USD
2021-08-11
XXXX
27478.35000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2430000.00000000
PA
USD
-1525.55000000
-0.00018622897
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
26.08110000
USD
2021-03-24
XXXX
39641.08000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9050.52000000
0.001104827151
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1245836.60000000
USD
129170830.00000000
JPY
2021-09-09
9050.52000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
104477000000.00000000
PA
8192404.90000000
1.000074180034
Long
DBT
NUSS
ID
N
2
2024-03-15
Fixed
8.37500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
8600000.00000000
PA
1477301.77000000
0.180339152462
Long
DBT
NUSS
GH
N
2
2022-01-24
Fixed
18.75000100
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
62451.86000000
0.007623706767
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2457710.62000000
EUR
25292300.00000000
SEK
2021-09-15
62451.86000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
8520000.00000000
PA
1460862.11000000
0.178332308355
Long
DBT
NUSS
GH
N
2
2024-03-25
Fixed
19.75000100
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2917000.00000000
PA
USD
134321.69000000
0.016397096533
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
26.29940000
USD
2023-10-19
XXXX
-86293.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
27826.02000000
0.003396815034
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
992398.96000000
USD
1322000.00000000
AUD
2021-04-21
27826.02000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
46432.47000000
0.005668166421
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1218565.07000000
EUR
12643100.00000000
SEK
2021-04-16
46432.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
24040.33000000
0.002934683234
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4366901.29000000
EUR
46035000.00000000
NOK
2021-03-22
24040.33000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2317000.00000000
PA
USD
-132792.24000000
-0.01621039147
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.74500000
USD
2022-12-22
XXXX
13190.35000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-3217000.00000000
PA
USD
-511073.89000000
-0.06238849369
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
23.10350000
USD
2021-01-14
XXXX
-425228.24000000
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
17165000.00000000
PA
2087393.33000000
0.254815063267
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
Republic of India
N/A
Republic of India
N/A
79000000.00000000
PA
1183143.53000000
0.144430275367
Long
DBT
NUSS
IN
N
2
2026-04-08
Fixed
7.27000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
2703000000.00000000
PA
225642.04000000
0.027544876124
Long
DBT
NUSS
ID
N
2
2023-08-15
Fixed
11.75000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
50000.00000000
PA
8841.36000000
0.001079294292
Long
DBT
NUSS
GH
N
2
2021-06-21
Fixed
24.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
60208.79000000
0.007349887734
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1686243.05000000
USD
2264000.00000000
AUD
2021-02-12
60208.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1592.19000000
0.000194363941
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
3513783.50000000
CHF
3251471.07000000
EUR
2021-03-10
1592.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-903100.16000000
-0.11024444751
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
173088000.00000000
MXN
7745746.48000000
USD
2021-03-02
-903100.16000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7723000.00000000
PA
USD
247103.61000000
0.030164761528
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
25.54500000
USD
2022-12-22
XXXX
-39033.54000000
N
N
N
Bonos del Tesoro Nacional en Pesos Badlar
N/A
Argentine Republic
N/A
20588000.00000000
PA
132962.51000000
0.016231176899
Long
DBT
NUSS
AR
N
3
2022-04-03
Floating
31.64063000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828P46
7870000.00000000
PA
USD
8371097.70000000
1.021887805901
Long
DBT
UST
US
N
2
2026-02-15
Fixed
1.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-382573.80000000
-0.04670205928
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
74688600.00000000
MXN
3367309.12000000
USD
2021-01-19
-382573.80000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5765000.00000000
PA
USD
-4009.77000000
-0.00048948599
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
25.86850000
USD
2021-03-24
XXXX
175149.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
27900.70000000
0.003405931471
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
3733940.38000000
USD
387657690.00000000
JPY
2021-06-15
27900.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-345052.75000000
-0.04212173961
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
68160100.00000000
MXN
3044071.08000000
USD
2021-04-13
-345052.75000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-65971.09000000
-0.00805331090
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
21051000.00000000
MXN
990169.33000000
USD
2021-01-25
-65971.09000000
N
N
N
N/A
N/A
Foreign Exchange USD/AUD
N/A
4024800.00000000
PA
USD
33769.56000000
0.004122362778
N/A
DFE
US
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
N/A
Foreign Exchange USD/AUD
1.00000000
1.28205100
USD
2021-02-08
XXXX
21570.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9109.20000000
-0.00111199041
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
3678390.60000000
CHF
3395103.19000000
EUR
2021-03-15
-9109.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
19947.28000000
0.002435030974
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2350292.99000000
USD
2579000000.00000000
KRW
2021-03-22
19947.28000000
N
N
N
2021-01-29
Templeton Global Income Fund
Robert Kubilis
Robert Kubilis
Chief Financial Officer, Chief Accounting Officer and Treasurer