0001752724-21-180548.txt : 20210824
0001752724-21-180548.hdr.sgml : 20210824
20210824091803
ACCESSION NUMBER: 0001752724-21-180548
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210824
PERIOD START: 20211231
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: 211198880
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
2021-12-31
2021-06-30
N
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14226255.32
782017413.40
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
45304188.72999999
ARS
AUD
BRL
CAD
CLP
CNY
COP
EGP
EUR
GHS
IDR
INR
JPY
KRW
MXN
NOK
NZD
RUB
SEK
SGD
TRY
USD
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
4020500000.00000000
PA
1107399.02000000
0.141607974582
Long
DBT
NUSS
CO
N
2
2022-05-04
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-6752000.00000000
PA
-198369.22000000
-0.02536634307
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
81.20000000
AUD
2021-12-20
XXXX
-79122.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1364.04000000
0.000174425783
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
252374.63000000
EUR
300716.99000000
USD
2021-07-13
1364.04000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-494651.96000000
-0.06325331783
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
22964713.15000000
EUR
230351000.00000000
NOK
2021-08-19
-494651.96000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4797.31000000
-0.00061345309
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1429457.26000000
USD
106826200.00000000
INR
2021-09-08
-4797.31000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
314903.89000000
0.040268142959
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6149662.80000000
EUR
65563400.00000000
NOK
2021-09-20
314903.89000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-136708.23000000
-0.01748148157
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
9524222.22000000
EUR
96187025.00000000
NOK
2021-09-30
-136708.23000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
17616000.00000000
PA
USD
4326.53000000
0.000553252386
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
-53859.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8827.07000000
-0.00112875619
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
822642.81000000
USD
597650000.00000000
CLP
2021-07-01
-8827.07000000
N
N
N
Republic of India
335800IV7VCDQGIOI391
Republic of India
N/A
624000000.00000000
PA
9229588.99000000
1.180228065494
Long
DBT
NUSS
IN
N
2
2026-07-09
Fixed
8.33000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-17943000.00000000
PA
-98084.45000000
-0.01254248924
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
78.33000000
AUD
2021-12-14
XXXX
-23220.88000000
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Republic of Ecuador
N/A
5633000.00000000
PA
USD
4844436.33000000
0.619479342402
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
0.50000040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-20856.16000000
-0.00266696874
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1314744.05000000
USD
97083330.00000000
INR
2021-09-13
-20856.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
19665.41000000
0.002514702315
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2520807.40000000
USD
192009900.00000000
INR
2021-11-10
19665.41000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-7433000.00000000
PA
USD
-79080.01000000
-0.01011230806
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.85930000
USD
2021-08-20
XXXX
21473.61000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-63030.57000000
-0.00805999571
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2860311.16000000
USD
2054490000.00000000
CLP
2021-07-06
-63030.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-96936.93000000
-0.01239575082
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
8188497.82000000
USD
52602910.00000000
CNY
2021-09-10
-96936.93000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-18122000.00000000
PA
USD
-92590.99000000
-0.01184001640
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.32160000
USD
2021-10-07
XXXX
142252.01000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
33321.32000000
0.004260943481
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
229817700.00000000
JPY
2103094.00000000
USD
2021-08-24
33321.32000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
7506000.00000000
PA
445.99000000
0.000057030699
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
78.50000000
AUD
2021-07-15
XXXX
-117393.90000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-15434.01000000
-0.00197361461
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1177130000.00000000
CLP
1587455.50000000
USD
2021-07-02
-15434.01000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
N/A
237000000.00000000
PA
75493.37000000
0.009653668665
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
1475950000.00000000
PA
13292494.86000000
1.699769676765
Long
STIV
NUSS
JP
N
2
2021-11-22
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-9967000.00000000
PA
USD
-28731.53000000
-0.00367402688
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.05460000
USD
2021-10-07
XXXX
67778.93000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-111598.86000000
-0.01427063618
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3539152.60000000
EUR
454147600.00000000
JPY
2021-08-24
-111598.86000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
9967000.00000000
PA
USD
83748.71000000
0.010709315235
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.57600000
USD
2021-10-07
XXXX
-33433.31000000
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
28937000.00000000
PA
3452761.03000000
0.441519711816
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
160495.55000000
0.020523270613
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5480000.00000000
EUR
6665351.40000000
USD
2021-08-16
160495.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-62867.72000000
-0.00803917136
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
4004605.85000000
EUR
40777700.00000000
NOK
2022-06-16
-62867.72000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-14915.51000000
-0.00190731174
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
1197262.11000000
USD
1590000.00000000
SGD
2021-07-22
-14915.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-30773.50000000
-0.00393514255
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
2627391.22000000
USD
194729100.00000000
INR
2021-09-09
-30773.50000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-12804000.00000000
PA
-51418.08000000
-0.00657505563
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
80.56000000
AUD
2021-09-14
XXXX
-16530.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-153466.84000000
-0.01962447860
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
12930113.02000000
USD
83060460.00000000
CNY
2021-09-10
-153466.84000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mex Bonos Desarr Fix Rt
N/A
232730000.00000000
PA
11790191.43000000
1.507663541498
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
6.50000160
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1458000.00000000
PA
USD
-10856.24000000
-0.00138823507
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
31876.28000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Arab Republic of Egypt Treasury Bills
N/A
208000000.00000000
PA
13138850.44000000
1.680122490223
Long
STIV
NUSS
EG
N
2
2021-08-10
None
0.00000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
Republic of Singapore
N/A
14030000.00000000
PA
10429257.23000000
1.333634910334
Long
STIV
NUSS
SG
N
2
2021-08-24
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
20046.17000000
0.002563391768
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5291893.12000000
AUD
442980139.00000000
JPY
2021-07-13
20046.17000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-8823000.00000000
PA
USD
-26.11000000
-0.00000333880
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
91380.17000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
19098.34000000
0.002442188584
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
129170830.00000000
JPY
1182601.49000000
USD
2021-09-09
19098.34000000
N
N
N
Democratic Socialist Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government Bond
85227SAQ9
960000.00000000
PA
USD
645600.00000000
0.082555706425
Long
DBT
NUSS
LK
N
2
2025-11-03
Fixed
6.85000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
5287000.00000000
PA
USD
23069.35000000
0.002949979067
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
-8710.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-457487.13000000
-0.05850088785
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
135496000.00000000
MXN
6334193.50000000
USD
2021-07-08
-457487.13000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
201654000000.00000000
PA
14614491.20000000
1.868819152819
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Republic of Turkey
N/A
56290000.00000000
PA
6199894.86000000
0.792807775602
Long
DBT
NUSS
TR
N
2
2022-11-09
Fixed
13.89999935
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-3394000.00000000
PA
USD
-2051.21000000
-0.00026229722
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
85520.78000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
127178.10000000
0.016262822006
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
5479999.98000000
EUR
6646034.38000000
USD
2021-11-17
127178.10000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Argentine Republic
N/A
512895000.00000000
PA
1218250.69000000
0.155783064305
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
-31246.67000000
-0.00399564887
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
2234284.36000000
USD
244569190.00000000
JPY
2021-09-13
-31246.67000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
13320000000.00000000
PA
3412078.17000000
0.436317415895
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
11480.31000000
0.001468037642
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3512204.36000000
USD
264184500.00000000
INR
2021-09-07
11480.31000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5287000.00000000
PA
USD
-256436.87000000
-0.03279170842
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
-160060.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-37990.49000000
-0.00485801074
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
2616256.13000000
USD
3690000.00000000
NZD
2021-09-21
-37990.49000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
51610000000.00000000
PA
3565024.82000000
0.455875375523
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
-5665.00000000
-0.00072440842
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
483668.62000000
USD
35847100.00000000
INR
2021-09-09
-5665.00000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-17072000.00000000
PA
-53700.56000000
-0.00686692637
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
85.74000000
AUD
2021-09-14
XXXX
59037.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
271298.79000000
0.034692167380
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1102462300.00000000
JPY
10200239.63000000
USD
2021-08-24
271298.79000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-600514.27000000
-0.07679039618
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
166125000.00000000
MXN
7676968.86000000
USD
2021-08-23
-600514.27000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8370.51000000
0.001070373863
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1291953.03000000
USD
96812500.00000000
INR
2021-07-12
8370.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
31691.52000000
0.004052533800
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
4477407.39000000
EUR
46035000.00000000
NOK
2021-09-20
31691.52000000
N
N
N
Letras de la Nacion Argentina con Ajuste por CER
549300KPBYGYF7HCHO27
Argentine Republic
N/A
61257568.45900000
PA
359087.71000000
0.045918122006
Long
STIV
NUSS
AR
N
3
2022-02-28
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-12899.17000000
-0.00164947350
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
1009903.45000000
USD
732180000.00000000
CLP
2021-07-02
-12899.17000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4247.47000000
0.000543142636
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2785786.93000000
USD
2054490000.00000000
CLP
2021-10-04
4247.47000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
484010202.82000000
PA
2623885.13000000
0.335527711408
Long
DBT
NUSS
AR
N
3
2024-03-25
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7704000.00000000
PA
USD
37628.88000000
0.004811770090
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
18.69800000
USD
2022-06-09
XXXX
-22154.16000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
50619000000.00000000
PA
44995083.75000000
5.753718904336
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
-70029.80000000
-0.00895501798
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
19726247.99000000
USD
1470000000.00000000
INR
2021-08-18
-70029.80000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1228434.92000000
-0.15708536650
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
17367144.27000000
USD
1791490400.00000000
JPY
2021-09-21
-1228434.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1333238.46000000
-0.17048705529
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
47049717.72000000
USD
51670000000.00000000
KRW
2021-08-18
-1333238.46000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
763262751.47000000
PA
4529544.71000000
0.579212768460
Long
DBT
NUSS
AR
N
3
2022-03-18
Fixed
1.20000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
37984.97000000
0.004857304882
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3412860.47000000
USD
263438700.00000000
INR
2022-01-27
37984.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32863.57000000
-0.00420240897
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
3490223.27000000
EUR
35735000.00000000
NOK
2022-06-20
-32863.57000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
26388.98000000
0.003374474730
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2521417.07000000
USD
21921200.00000000
NOK
2021-09-20
26388.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-107762.47000000
-0.01378006015
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
2652229.20000000
USD
1870378554.00000000
CLP
2021-08-06
-107762.47000000
N
N
N
Inter-American Development Bank
VKU1UKDS9E7LYLMACP54
Inter-American Development Bank
N/A
185000000.00000000
PA
9523144.49000000
1.217766296097
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
-20156.02000000
-0.00257743876
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1623045.53000000
USD
1177130000.00000000
CLP
2021-07-02
-20156.02000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2917000.00000000
PA
USD
-156005.75000000
-0.01994914017
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
22275.46000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
42438000000.00000000
PA
3185249.94000000
0.407311894264
Long
DBT
NUSS
ID
N
2
2022-06-15
Fixed
12.90000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-4955000.00000000
PA
USD
-1824.74000000
-0.00023333751
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
23.42980000
USD
2021-08-20
XXXX
66628.59000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5287000.00000000
PA
USD
-329.24000000
-0.00004210136
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
106462.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-134341.62000000
-0.01717885275
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
3390878.52000000
USD
2394434956.00000000
CLP
2021-08-16
-134341.62000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7049000.00000000
PA
USD
179093.88000000
0.022901520724
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
-438750.97000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5287000.00000000
PA
USD
-377988.51000000
-0.04833505028
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
-279808.92000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Argentine Republic
N/A
252627000.00000000
PA
1416586.86000000
0.181145181133
Long
DBT
NUSS
AR
N
3
2021-10-03
Fixed
18.20000000
N
N
N
N
N
N
Federative Republic of Brazil
254900ZFY40OYEADAP90
Notas do Tesouro Nacional
N/A
9230000.00000000
PA
1983513.94000000
0.253640635874
Long
DBT
NUSS
BR
N
2
2029-01-01
Fixed
9.99999990
N
N
N
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
3483000000.00000000
PA
3087567.44000000
0.394820804127
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
35988.64000000
0.004602025400
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
-32498.79000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2841000.00000000
PA
USD
12614.17000000
0.001613029298
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
21.57000000
USD
2021-09-15
XXXX
-83113.33000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
11430000000.00000000
PA
865172.17000000
0.110633363806
Long
DBT
NUSS
ID
N
2
2023-07-15
Fixed
9.50000000
N
N
N
N
N
N
Democratic Socialist Republic of Sri Lanka
254900HXCCIOHM74FA02
Democratic Socialist Republic of Sri Lanka
85227SAW6
210000.00000000
PA
USD
132146.70000000
0.016898178702
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-25306.93000000
-0.00323610824
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
3198050.08000000
USD
2332210000.00000000
CLP
2021-08-06
-25306.93000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
11150000.00000000
PA
USD
98159.81000000
0.012552125862
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
22.35550000
USD
2021-12-28
XXXX
-299348.84000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2917000.00000000
PA
USD
81358.68000000
0.010403691606
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
-141829.74000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
20148000.00000000
PA
USD
215186.73000000
0.027516871915
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
20.98430000
USD
2021-10-07
XXXX
-408575.20000000
N
N
N
Federative Republic of Brazil
254900ZFY40OYEADAP90
Notas do Tesouro Nacional
N/A
37140000.00000000
PA
7911776.99000000
1.011713659367
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
9.99999990
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Arab Republic of Egypt Treasury Bills
N/A
12600000.00000000
PA
780116.79000000
0.099756958941
Long
STIV
NUSS
EG
N
2
2021-09-28
None
0.00000000
N
N
N
N
N
N
Korea Monetary Stabilization Bond
RVHOHKPBCJ2GSJ37YH94
Korea Monetary Stabilization Bond
N/A
28320000000.00000000
PA
24899271.94000000
3.183979220071
Long
DBT
NUSS
KR
N
2
2023-04-02
Fixed
0.90500000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2917000.00000000
PA
USD
-156005.75000000
-0.01994914017
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
16911.09000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
406310000000.00000000
PA
28158684.07000000
3.600774559171
Long
DBT
NUSS
ID
N
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
Letras de la Nacion Argentina con Ajuste por CER
549300KPBYGYF7HCHO27
Argentine Republic
N/A
39670920.05000000
PA
234915.43000000
0.030039667400
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
-858000.00000000
PA
USD
-18593.13000000
-0.00237758516
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
20.20900000
USD
2021-09-15
XXXX
1317.62000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-11252000.00000000
PA
USD
-131186.02000000
-0.01677533233
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.71000000
USD
2021-10-27
XXXX
75130.65000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-6752000.00000000
PA
-4507.21000000
-0.00057635673
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
48313.39000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Arab Republic of Egypt Treasury Bills
N/A
22500000.00000000
PA
1410305.09000000
0.180341903624
Long
STIV
NUSS
EG
N
2
2021-08-31
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32003.24000000
-0.00409239480
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
1879370.75000000
USD
1357150000.00000000
CLP
2021-07-15
-32003.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
54750.77000000
0.007001221336
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6800750.87000000
USD
44380340.00000000
CNY
2021-07-14
54750.77000000
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Republic of Ecuador
N/A
19496000.00000000
PA
USD
13452240.00000000
1.720196989158
Long
DBT
NUSS
EC
N
2
2035-07-31
Variable
0.50000040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-56119.38000000
-0.00717623150
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
3959654.51000000
USD
2872650151.00000000
CLP
2021-09-15
-56119.38000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
4826000000.00000000
PA
355097.08000000
0.045407822628
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
-163325.15000000
-0.02088510398
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
13663316.86000000
USD
87762900.00000000
CNY
2021-09-10
-163325.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
26555.09000000
0.003395715945
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21921200.00000000
NOK
2574361.14000000
USD
2021-09-20
26555.09000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
10320300000.00000000
PA
2914887.81000000
0.372739501710
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
2343470.06000000
0.299669805281
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
7.99999920
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-25488.85000000
-0.00325937115
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
167473647.00000000
JPY
1977000.00000000
AUD
2021-08-10
-25488.85000000
N
N
N
People's Republic of China
300300CHN201808MOF68
People's Republic of China
N/A
228000000.00000000
PA
35474360.83000000
4.536262265026
Long
DBT
NUSS
CN
N
2
2022-12-10
Fixed
2.93000000
N
N
N
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
4254000000.00000000
PA
3786773.11000000
0.484231302924
Long
DBT
NUSS
KR
N
2
2021-12-10
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-7140000.00000000
PA
USD
-15077.11000000
-0.00192797624
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
25.32590000
USD
2021-12-28
XXXX
79599.29000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
150000.00000000
PA
26007.75000000
0.003325725176
Long
DBT
NUSS
GH
N
2
2022-11-28
Fixed
17.60000070
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-25129.98000000
-0.00321348087
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3799845.60000000
USD
3180000.00000000
EUR
2021-08-16
-25129.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
157696.05000000
0.020165286258
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2482909.48000000
EUR
26731500.00000000
NOK
2021-09-15
157696.05000000
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
102083000.00000000
PA
12161829.15000000
1.555186488383
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
-82923.01000000
-0.01060372935
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
59973.33000000
N
N
N
Democratic Socialist Republic of Sri Lanka
254900HXCCIOHM74FA02
Democratic Socialist Republic of Sri Lanka
85227SAV8
200000.00000000
PA
USD
149750.00000000
0.019149189958
Long
DBT
NUSS
LK
N
2
2023-04-18
Fixed
5.75000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
9129700000.00000000
PA
2539159.23000000
0.324693438597
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7704000.00000000
PA
USD
55921.80000000
0.007150966083
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.04300000
USD
2022-06-09
XXXX
-28783.68000000
N
N
N
Republic of India
335800IV7VCDQGIOI391
Republic of India
N/A
1433000000.00000000
PA
20567891.30000000
2.630106561256
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
43151.51000000
0.005517973034
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
4944.69000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
11372000.00000000
PA
45491.80000000
0.005817236191
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
80.55000000
AUD
2021-09-14
XXXX
13650.62000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
22561000000.00000000
PA
19724841.27000000
2.522302052615
Long
DBT
NUSS
KR
N
2
2023-12-10
Fixed
0.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-197134.74000000
-0.02520848469
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6433048.01000000
USD
4585200000.00000000
CLP
2021-08-17
-197134.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-617362.86000000
-0.07894489936
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
167775000.00000000
MXN
7792289.22000000
USD
2021-07-08
-617362.86000000
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
85878000.00000000
PA
10545253.83000000
1.348467904845
Long
DBT
NUSS
NO
N
2
2024-03-14
Fixed
3.00000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
12110000.00000000
PA
2282550.72000000
0.291879781816
Long
DBT
NUSS
GH
N
2
2025-03-17
Fixed
21.69999825
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
100670.13000000
0.012873131502
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
8814401.73000000
EUR
90410200.00000000
SEK
2021-10-06
100670.13000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-174584.58000000
-0.02232489673
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
16356740.25000000
USD
105222910.00000000
CNY
2021-09-13
-174584.58000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
5448000.00000000
PA
USD
151951.35000000
0.019430686247
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
-249413.71000000
N
N
N
Monetary Authority of Singapore Bill
54930035WQZLGC45RZ35
Monetary Authority of Singapore Bill
N/A
14920000.00000000
PA
11091170.30000000
1.418276640641
Long
STIV
UST
SG
N
2
2021-08-20
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
48456.24000000
0.006196312149
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
1215000.00000000
EUR
1491005.48000000
USD
2021-08-27
48456.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2194.50000000
-0.00028062034
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
732180000.00000000
CLP
994809.78000000
USD
2021-07-02
-2194.50000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7723000.00000000
PA
USD
120532.59000000
0.015413031466
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
-160908.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1684.37000000
0.000215387786
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
994296.42000000
USD
732180000.00000000
CLP
2021-08-09
1684.37000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11025.65000000
0.001409898272
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
17151763.63000000
EUR
25310000.00000000
CAD
2021-11-22
11025.65000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1412.44000000
0.000180614903
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1969676.28000000
EUR
20018213.95000000
SEK
2021-09-16
1412.44000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Arab Republic of Egypt Treasury Bills
N/A
146000000.00000000
PA
9017102.33000000
1.153056463384
Long
STIV
NUSS
EG
N
2
2021-10-05
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-10203000.00000000
PA
USD
-57695.75000000
-0.00737780885
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
21.10440000
USD
2021-09-03
XXXX
46936.02000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
1458000.00000000
PA
USD
19255.57000000
0.002462294275
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
-14520.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-367558.66000000
-0.04700133957
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7080069.77000000
EUR
893186201.00000000
JPY
2021-10-25
-367558.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
474147.78000000
0.060631358314
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7072697.99000000
EUR
10993872.48000000
CAD
2021-08-03
474147.78000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
1877000.00000000
PA
0.74000000
0.000000094627
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
71.10000000
AUD
2021-07-15
XXXX
-6575.03000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-26440000.00000000
PA
USD
-368167.97000000
-0.04707925471
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
-24289.33000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
122113.97000000
0.015615249469
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5480000.00000000
EUR
6641129.80000000
USD
2021-11-18
122113.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2237.78000000
0.000286154753
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
3749989.00000000
AUD
312580333.00000000
JPY
2021-07-12
2237.78000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
11135070000.00000000
PA
9801476.39000000
1.253357818131
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/JPY
N/A
5966000.00000000
PA
USD
232961.47000000
0.029789805956
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/JPY
1.00000000
107.45000000
USD
2022-02-23
XXXX
135441.23000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
10182000.00000000
PA
USD
3526.41000000
0.000450937528
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
-197048.81000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-33508.18000000
-0.00428483809
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
173088000.00000000
MXN
8580947.09000000
USD
2021-09-01
-33508.18000000
N
N
N
Argentine Republic (The)
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
78112905.88700000
PA
466205.76000000
0.059615777348
Long
DBT
NUSS
AR
N
3
2021-08-05
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-14621.92000000
-0.00186976910
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1204365.83000000
USD
1600000.00000000
SGD
2021-10-26
-14621.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-49210.13000000
-0.00629271537
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
8443090.05000000
EUR
85425496.52000000
SEK
2021-12-16
-49210.13000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
1618000000.00000000
PA
127207.24000000
0.016266548266
Long
DBT
NUSS
ID
N
2
2024-09-15
Fixed
10.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
4955000.00000000
PA
USD
10571.54000000
0.001351829232
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
21.65280000
USD
2021-08-20
XXXX
-146328.54000000
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government Bond
N/A
3790000.00000000
PA
405243.96000000
0.051820324337
Long
DBT
NUSS
TR
N
2
2023-01-18
Fixed
12.20000090
N
N
N
N
N
N
Letras de la Nacion Argentina con Ajuste por CER
549300KPBYGYF7HCHO27
Argentine Republic
N/A
186250564.29000000
PA
1087703.96000000
0.139089480791
Long
STIV
NUSS
AR
N
3
2022-04-18
None
0.00000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
N/A
149000000.00000000
PA
40673.86000000
0.005201145051
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
11950000.00000000
PA
143935.44000000
0.018405656643
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
81.61000000
AUD
2021-12-14
XXXX
30314.24000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13142.16000000
0.001680545698
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1585958.34000000
USD
1177130000.00000000
CLP
2021-09-24
13142.16000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7049000.00000000
PA
USD
200718.13000000
0.025666708510
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
-399680.45000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-52521.62000000
-0.00671617013
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
1420362.09000000
USD
1005758398.00000000
CLP
2021-08-17
-52521.62000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
41010.25000000
0.005244160717
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
19217155.00000000
EUR
195678680.76000000
SEK
2021-11-17
41010.25000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
11252000.00000000
PA
USD
22166.16000000
0.002834484196
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
18.76250000
USD
2021-10-27
XXXX
-47314.94000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
436562000000.00000000
PA
30839341.83000000
3.943562036031
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
-37370.91000000
-0.00477878233
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3068340.94000000
USD
4340000.00000000
NZD
2021-12-21
-37370.91000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mex Bonos Desarr Fix Rt
N/A
297180000.00000000
PA
15050630.94000000
1.924590256189
Long
DBT
NUSS
MX
N
2
2021-12-09
Fixed
7.25000040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-251339.30000000
-0.03213985976
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
21373761.06000000
USD
1604400000.00000000
INR
2021-12-20
-251339.30000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
15407000.00000000
PA
USD
392783.93000000
0.050227005597
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
22.02200000
USD
2022-06-09
XXXX
-2251.55000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
47440000.00000000
PA
8245073.13000000
1.054333700083
Long
DBT
NUSS
GH
N
2
2024-03-18
Fixed
17.69999975
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1580.68000000
-0.00020212849
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1245613.34000000
EUR
12643100.00000000
SEK
2021-10-19
-1580.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-70101.51000000
-0.00896418785
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
1819493.48000000
USD
1286309112.00000000
CLP
2021-08-17
-70101.51000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
3716000.00000000
PA
USD
7501.24000000
0.000959216492
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.23440000
USD
2021-08-20
XXXX
-18841.48000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Argentine Republic
N/A
296072500.00000000
PA
1076797.46000000
0.137694818753
Long
DBT
NUSS
AR
N
3
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-10271000.00000000
PA
USD
-75439.75000000
-0.00964681204
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
25.41250000
USD
2022-06-09
XXXX
-1385.84000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-5686000.00000000
PA
-41190.09000000
-0.00526715764
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
82.09000000
AUD
2021-09-14
XXXX
-13916.35000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2317000.00000000
PA
USD
-37977.56000000
-0.00485635733
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
35306.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6714.49000000
0.000858611315
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
810285.36000000
USD
601410000.00000000
CLP
2021-09-24
6714.49000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9621.36000000
0.001230325544
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3413474.30000000
USD
256676200.00000000
INR
2021-09-08
9621.36000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
6672.51000000
0.000853243148
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
805219.48000000
USD
597650000.00000000
CLP
2021-09-24
6672.51000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
261900000.00000000
PA
2358018.02000000
0.301530116797
Long
STIV
NUSS
JP
N
2
2021-08-25
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
49033.59000000
0.006270140429
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
151635500.00000000
MXN
7564376.93000000
USD
2021-10-01
49033.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-163457.02000000
-0.02090196678
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2520802.66000000
AUD
191797791.00000000
JPY
2021-07-13
-163457.02000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
13504000.00000000
PA
36167.23000000
0.004624862487
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
-227436.65000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13073.74000000
0.001671796532
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
1661272.55000000
USD
1236535000.00000000
CLP
2021-12-23
13073.74000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-15407000.00000000
PA
USD
-259627.67000000
-0.03319973002
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Foreign Exchange USD/MXN
1.00000000
19.84350000
USD
2022-06-09
XXXX
94887.40000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
25560000.00000000
PA
4504934.29000000
0.576065726006
Long
DBT
NUSS
GH
N
2
2032-03-15
Fixed
19.75000035
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
-5966000.00000000
PA
USD
-4097.37000000
-0.00052394869
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange USD/JPY
1.00000000
95.85000000
USD
2022-02-23
XXXX
35648.12000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-31586.96000000
-0.00403916325
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
23289826.90000000
USD
150960000.00000000
CNY
2021-08-19
-31586.96000000
N
N
N
Argentine Republic
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
533054790.52100000
PA
3043480.42000000
0.389183203321
Long
DBT
NUSS
AR
N
3
2023-03-25
Fixed
1.40000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8039.66000000
-0.00102806662
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
1683186.03000000
USD
1232210000.00000000
CLP
2021-09-01
-8039.66000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
233739.92000000
0.029889349775
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7142000.00000000
AUD
5589900.56000000
USD
2021-08-16
233739.92000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
13859.68000000
0.001772298130
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1649222.93000000
EUR
16857449.76000000
SEK
2021-07-15
13859.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-13967.30000000
-0.00178605997
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
10419411.96000000
EUR
1371663487.00000000
JPY
2021-08-06
-13967.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-182120.70000000
-0.02328857348
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
8674469.76000000
USD
12160000.00000000
NZD
2021-12-20
-182120.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
159393.68000000
0.020382369659
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
7190000.00000000
AUD
5553793.27000000
USD
2021-11-18
159393.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
166169.31000000
0.021248799215
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7134989.00000000
AUD
5519270.74000000
USD
2021-11-17
166169.31000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
5287000.00000000
PA
USD
54831.94000000
0.007011600900
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
23004.20000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-646865.16000000
-0.08271748798
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
12645578.68000000
USD
1332280000.00000000
JPY
2021-08-24
-646865.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
807.43000000
0.000103249619
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
33330.00000000
EUR
40355.96000000
USD
2021-07-29
807.43000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
21109.30000000
0.002699338868
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1977000.00000000
AUD
166987305.00000000
JPY
2021-08-10
21109.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-62005.40000000
-0.00792890272
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6333820.06000000
EUR
64197700.00000000
NOK
2021-09-16
-62005.40000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
360000.00000000
PA
61527.31000000
0.007867767257
Long
DBT
NUSS
GH
N
2
2021-07-19
Fixed
24.75000030
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
1690550000.00000000
PA
15226777.23000000
1.947114855639
Long
STIV
NUSS
JP
N
2
2021-12-20
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7825.26000000
-0.00100065035
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
597650000.00000000
CLP
805990.48000000
USD
2021-07-01
-7825.26000000
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government Bond
N/A
20020000.00000000
PA
2250478.60000000
0.287778579023
Long
DBT
NUSS
TR
N
2
2023-06-14
Fixed
16.19999940
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-45257.94000000
-0.00578733148
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7645924.30000000
USD
151635500.00000000
MXN
2021-07-08
-45257.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-34567.55000000
-0.00442030438
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
220389520.00000000
JPY
2600000.00000000
AUD
2021-07-13
-34567.55000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-61873.52000000
-0.00791203865
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
441029874.00000000
JPY
5212695.78000000
AUD
2021-07-13
-61873.52000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
19359000000.00000000
PA
17450942.12000000
2.231528585038
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
19255.57000000
0.002462294275
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
-15624.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
54693.97000000
0.006993958070
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
11903968.43000000
EUR
1575978284.00000000
JPY
2021-09-29
54693.97000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
10203000.00000000
PA
USD
67771.08000000
0.008666185539
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.59040000
USD
2021-09-03
XXXX
-36003.63000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8549.62000000
0.001093277445
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
513907.00000000
EUR
618255.82000000
USD
2021-07-23
8549.62000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Titulos de Tesoreria
N/A
73279000000.00000000
PA
22272576.35000000
2.848092122803
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-147535.54000000
-0.01886601723
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
5285530.27000000
USD
3782900000.00000000
CLP
2021-09-30
-147535.54000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-32621.59000000
-0.00417146593
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
3343435.48000000
EUR
33714869.00000000
SEK
2021-12-13
-32621.59000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7547000.00000000
PA
USD
3747.57000000
0.000479218229
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
22.26280000
USD
2021-08-02
XXXX
-138754.88000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
74.35000000
0.000009507460
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
103667.15000000
EUR
1053590.01000000
SEK
2021-09-16
74.35000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
25608000.00000000
PA
230387.96000000
0.029460719934
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
82.66000000
AUD
2021-09-14
XXXX
73592.62000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
27877.95000000
0.003564875861
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2122321.10000000
EUR
21921200.00000000
NOK
2021-08-16
27877.95000000
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Republic of Ecuador
N/A
10291000.00000000
PA
USD
6419011.25000000
0.820827150394
Long
DBT
NUSS
EC
N
2
2040-07-31
Variable
0.50000040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
121349.85000000
0.015517538090
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7355261.43000000
EUR
10993872.48000000
CAD
2021-11-03
121349.85000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-17611.64000000
-0.00225207772
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
72354100.00000000
MXN
3576397.61000000
USD
2021-09-15
-17611.64000000
N
N
N
Federative Republic of Brazil
254900ZFY40OYEADAP90
Notas do Tesouro Nacional
N/A
72510000.00000000
PA
15532816.04000000
1.986249381898
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
9.99999990
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1887000.00000000
PA
USD
-93.53000000
-0.00001196009
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
24.62110000
USD
2021-08-02
XXXX
12330.48000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-45257.94000000
-0.00578733148
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
7645924.30000000
USD
151635500.00000000
MXN
2021-07-08
-45257.94000000
N
N
N
Republic of Korea
549300O0QCVSQGPGDT58
Republic of Korea
N/A
5310000000.00000000
PA
4910828.68000000
0.627969223683
Long
DBT
NUSS
KR
N
2
2024-09-10
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
148124.95000000
0.018941387680
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
5158000.00000000
AUD
4016379.86000000
USD
2021-08-16
148124.95000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5287000.00000000
PA
USD
-100.71000000
-0.00001287822
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
111825.08000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
5975000.00000000
PA
7468.05000000
0.000954972341
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange AUD/JPY
1.00000000
77.45000000
AUD
2021-09-14
XXXX
2131.58000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-4764000.00000000
PA
USD
-18456.85000000
-0.00236015844
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
21.14930000
USD
2021-08-20
XXXX
173703.85000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-36117.04000000
-0.00461844447
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
2613975.42000000
USD
1896230047.00000000
CLP
2021-09-01
-36117.04000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-50086.82000000
-0.00640482157
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
317895192.00000000
JPY
3749989.00000000
AUD
2021-07-12
-50086.82000000
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government Bond
N/A
9710000.00000000
PA
953995.45000000
0.121991586587
Long
DBT
NUSS
TR
N
2
2025-10-01
Fixed
12.60000075
N
N
N
N
N
N
Argentine Republic (The)
549300KPBYGYF7HCHO27
Boncer Government Bond
N/A
6827102.87900000
PA
40008.85000000
0.005116107303
Long
DBT
NUSS
AR
N
3
2022-09-20
Fixed
1.30000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
380000.00000000
PA
68284.98000000
0.008731900189
Long
DBT
NUSS
GH
N
2
2023-11-27
Fixed
19.25000145
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
43407.90000000
0.005550758749
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
1927240.09000000
USD
146000000.00000000
RUB
2021-09-22
43407.90000000
N
N
N
Republic of India
335800IV7VCDQGIOI391
Republic of India
N/A
117000000.00000000
PA
1554736.42000000
0.198810971899
Long
DBT
NUSS
IN
N
2
2025-06-15
Fixed
5.22000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
10130000.00000000
PA
1758889.94000000
0.224916978811
Long
DBT
NUSS
GH
N
2
2023-02-20
Fixed
17.60000070
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6591.77000000
-0.00084291857
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1076576.31000000
EUR
10890000.00000000
SEK
2021-12-17
-6591.77000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
263876.26000000
0.033743015881
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
1791490400.00000000
JPY
16402585.61000000
USD
2021-09-21
263876.26000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
156221.61000000
0.019976743141
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
232348400.00000000
MXN
11697548.21000000
USD
2021-09-15
156221.61000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-5448000.00000000
PA
USD
-291367.62000000
-0.03725845678
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
55784.39000000
N
N
N
Federative Republic of Brazil
254900ZFY40OYEADAP90
Notas do Tesouro Nacional
N/A
77560000.00000000
PA
16544847.92000000
2.115662341592
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
9.99999990
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Cetes
N/A
955415940.00000000
PA
45776473.25000000
5.853638610293
Long
STIV
NUSS
MX
N
2
2022-06-02
None
0.00000000
N
N
N
N
N
N
Democratic Socialist Republic of Sri Lanka
254900HXCCIOHM74FA02
Democratic Socialist Republic of Sri Lanka
85227SAT3
2720000.00000000
PA
USD
1685883.20000000
0.215581286440
Long
DBT
NUSS
LK
N
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-24786.91000000
-0.00316961100
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
1868966.47000000
USD
1357150000.00000000
CLP
2021-09-15
-24786.91000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3647.99000000
-0.00046648449
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
3304611.77000000
EUR
33750000.00000000
NOK
2021-09-29
-3647.99000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2317000.00000000
PA
USD
-37977.56000000
-0.00485635733
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
36977.39000000
N
N
N
Republic of India
335800IV7VCDQGIOI391
Republic of India
N/A
160500000.00000000
PA
2196526.66000000
0.280879507586
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
14973.97000000
0.001914787285
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
33977000.00000000
MXN
1710093.87000000
USD
2021-08-13
14973.97000000
N
N
N
Democratic Socialist Republic of Sri Lanka
254900HXCCIOHM74FA02
Democratic Socialist Republic of Sri Lanka
85227SAZ9
299000.00000000
PA
USD
191360.00000000
0.024470043341
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
25560000.00000000
PA
4473263.89000000
0.572015892913
Long
DBT
NUSS
GH
N
2
2026-11-02
Fixed
18.99999835
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-112513.87000000
-0.01438764253
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
6370446.82000000
EUR
64197700.00000000
NOK
2021-10-19
-112513.87000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-37081.02000000
-0.00474171282
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
14358817.61000000
EUR
145630000.00000000
SEK
2021-11-17
-37081.02000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
73007.84000000
0.009335833032
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2107379.02000000
EUR
2580317.02000000
USD
2021-11-24
73007.84000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
4764000.00000000
PA
USD
275286.93000000
0.035202148351
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
21.14930000
USD
2021-08-20
XXXX
83126.23000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
11230000.00000000
PA
1935320.96000000
0.247477987937
Long
DBT
NUSS
GH
N
2
2026-03-02
Fixed
18.30000135
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1458000.00000000
PA
USD
-10856.24000000
-0.00138823507
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
31339.74000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
52869000000.00000000
PA
3760517.28000000
0.480873854669
Long
DBT
NUSS
ID
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
Oman Government International Bond
549300SZ20F0QTKNQC75
Sultanate of Oman Government Bond
682051AC1
27300000.00000000
PA
USD
28384492.50000000
3.629649674499
Long
DBT
NUSS
OM
N
2
2026-06-15
Fixed
4.75000000
N
N
N
N
N
N
Monetary Authority of Singapore Bill
54930035WQZLGC45RZ35
Monetary Authority of Singapore Bill
N/A
2240000.00000000
PA
1665247.33000000
0.212942487144
Long
STIV
UST
SG
N
2
2021-08-13
None
0.00000000
N
N
N
N
N
N
Korea Monetary Stabilization Bond
RVHOHKPBCJ2GSJ37YH94
Korea Monetary Stabilization Bond
N/A
2322000000.00000000
PA
2056000.84000000
0.262909854022
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
-11175.48000000
-0.00142905769
N/A
DFE
N/A
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
1505792.81000000
USD
2010000.00000000
SGD
2021-10-21
-11175.48000000
N
N
N
Institutional Fiduciary Trust - Money Market Portfolio
549300M4TP89K77LG374
Institutional Fiduciary Trust - Money Market Portfolio
457756500
34714473.95200000
NS
USD
34714473.95000000
4.439092193493
Long
STIV
RF
US
N
1
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-44570.97000000
-0.00569948561
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3075541.00000000
USD
4340000.00000000
NZD
2021-12-21
-44570.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-6824.85000000
-0.00087272353
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
1681171.14000000
USD
1236535000.00000000
CLP
2021-12-23
-6824.85000000
N
N
N
Democratic Socialist Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government Bond
85227SBA3
400000.00000000
PA
USD
276000.00000000
0.035293331743
Long
DBT
NUSS
LK
N
2
2024-06-28
Fixed
6.35000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-1716000.00000000
PA
USD
-952.99000000
-0.00012186301
N/A
DFE
US
N
2
MORGAN STANLEY CAPITAL
I7331LVCZKQKX5T7XV54
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
24.20400000
USD
2021-09-15
XXXX
16972.35000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
49511.98000000
0.006331314258
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
151635500.00000000
MXN
7532063.38000000
USD
2021-11-01
49511.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3002.42000000
-0.00038393262
N/A
DFE
N/A
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
838386.04000000
USD
615040000.00000000
CLP
2021-09-29
-3002.42000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-29089.08000000
-0.00371974837
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
2606765.67000000
USD
16868120.00000000
CNY
2021-12-15
-29089.08000000
N
N
N
N/A
N/A
Foreign Exchange USD/JPY
N/A
26440000.00000000
PA
USD
827.40000000
0.000105803270
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
-496852.72000000
N
N
N
Monetary Authority of Singapore Bill
54930035WQZLGC45RZ35
Monetary Authority of Singapore Bill
N/A
15710000.00000000
PA
11681315.10000000
1.493741047173
Long
STIV
UST
SG
N
2
2021-07-16
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
139328.62000000
0.017816562344
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2009999.78000000
EUR
3130042.00000000
CAD
2021-08-03
139328.62000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
490954.50000000
0.062780507388
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
7053123.57000000
EUR
10985910.00000000
CAD
2021-08-03
490954.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-82333.45000000
-0.01052833972
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1245836.60000000
USD
129170830.00000000
JPY
2021-09-09
-82333.45000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
104477000000.00000000
PA
7880952.30000000
1.007771970925
Long
DBT
NUSS
ID
N
2
2024-03-15
Fixed
8.37500000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government Bond
N/A
10390000.00000000
PA
1005004.22000000
0.128514301955
Long
DBT
NUSS
TR
N
2
2023-09-27
Fixed
8.80000035
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
8600000.00000000
PA
1489289.16000000
0.190441943424
Long
DBT
NUSS
GH
N
2
2022-01-24
Fixed
18.74999890
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
38528.43000000
0.004926799498
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2457710.62000000
EUR
25292300.00000000
SEK
2021-09-15
38528.43000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
8520000.00000000
PA
1543191.71000000
0.197334699145
Long
DBT
NUSS
GH
N
2
2024-03-25
Fixed
19.75000035
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2917000.00000000
PA
USD
81358.68000000
0.010403691606
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
-139256.95000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
497243.82000000
0.063584750349
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
6880216.16000000
EUR
10739310.00000000
CAD
2021-08-03
497243.82000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
13670000.00000000
PA
2439497.49000000
0.311949254351
Long
DBT
NUSS
GH
N
2
2023-09-28
Fixed
18.85000160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
34712.92000000
0.004438893483
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
1325805.75000000
EUR
1609194.08000000
USD
2021-09-07
34712.92000000
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
7340000.00000000
PA
1306666.34000000
0.167089161649
Long
DBT
NUSS
GH
N
2
2025-06-23
Fixed
19.25000145
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-2317000.00000000
PA
USD
-82923.01000000
-0.01060372935
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
63059.58000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
94100000.00000000
PA
847141.28000000
0.108327674740
Long
STIV
NUSS
JP
N
2
2021-07-19
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
2642000.00000000
PA
USD
4336.37000000
0.000554510670
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Foreign Exchange USD/MXN
1.00000000
19.34630000
USD
2021-08-02
XXXX
-30976.60000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2016.33000000
-0.00025783696
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1245993.89000000
EUR
12643100.00000000
SEK
2021-10-18
-2016.33000000
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government Bond
N/A
16150000.00000000
PA
1582634.68000000
0.202378444888
Long
DBT
NUSS
TR
N
2
2023-03-08
Fixed
7.09999825
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federation
N/A
2700000000.00000000
PA
37137652.84000000
4.748954716818
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
6.99999920
N
N
N
N
N
N
Kingdom of Norway
549300L0BT3FJTN9MX24
Kingdom of Norway
N/A
17165000.00000000
PA
2031805.67000000
0.259815911408
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
Republic of India
335800IV7VCDQGIOI391
Republic of India
N/A
79000000.00000000
PA
1122242.99000000
0.143506138197
Long
DBT
NUSS
IN
N
2
2026-04-08
Fixed
7.27000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-41058.04000000
-0.00525027183
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2619464.77000000
EUR
26672700.00000000
NOK
2022-06-15
-41058.04000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
2703000000.00000000
PA
213572.42000000
0.027310443008
Long
DBT
NUSS
ID
N
2
2023-08-15
Fixed
11.75000000
N
N
N
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
-10074000.00000000
PA
USD
-29079.47000000
-0.00371851949
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
N/A
Foreign Exchange USD/MXN
1.00000000
22.60840000
USD
2021-10-07
XXXX
102738.82000000
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government Bond
N/A
880000.00000000
PA
86408.35000000
0.011049415079
Long
DBT
NUSS
TR
N
2
2024-03-20
Fixed
10.39999975
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8655.31000000
-0.00110679248
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
3111991.69000000
EUR
32042000.00000000
NOK
2022-06-21
-8655.31000000
N
N
N
N/A
N/A
Foreign Exchange USD/MXN
N/A
7723000.00000000
PA
USD
120532.59000000
0.015413031466
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
-165604.56000000
N
N
N
Bonos del Tesoro Nacional en Pesos Badlar
N/A
Argentine Republic
N/A
20588000.00000000
PA
117971.90000000
0.015085584793
Long
DBT
NUSS
AR
N
3
2022-04-03
Floating
36.10416845
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
151720.70000000
0.019401192019
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
4550000.00000000
EUR
5554540.81000000
USD
2021-09-02
151720.70000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-23666.90000000
-0.00302639040
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
2498422.59000000
EUR
25262800.00000000
SEK
2022-06-15
-23666.90000000
N
N
N
N/A
N/A
Foreign Exchange AUD/JPY
N/A
-7506000.00000000
PA
-61.81000000
-0.00000790391
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Foreign Exchange AUD/JPY
1.00000000
75.90000000
AUD
2021-07-15
XXXX
67242.17000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Treasury Bills
N/A
381000000.00000000
PA
3430190.11000000
0.438633469181
Long
STIV
NUSS
JP
N
2
2021-08-10
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-7749.02000000
-0.00099090120
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
2054490000.00000000
CLP
2789531.57000000
USD
2021-07-06
-7749.02000000
N
N
N
2021-07-30
Templeton Global Income Fund
Robert Kubilis
Robert Kubilis
Chief Financial Officer, Chief Accounting Officer and Treasurer