0001752724-19-182424.txt : 20191127
0001752724-19-182424.hdr.sgml : 20191127
20191127125405
ACCESSION NUMBER: 0001752724-19-182424
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20190930
FILED AS OF DATE: 20191127
PERIOD START: 20190930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INTERNATIONAL TRUST
CENTRAL INDEX KEY: 0000835597
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0228
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05601
FILM NUMBER: 191255593
BUSINESS ADDRESS:
STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH
STREET 2: 1FREEDOM CIRCLE DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610 676-3097
MAIL ADDRESS:
STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH
STREET 2: 1FREEDOM CIRCLE DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
FORMER COMPANY:
FORMER CONFORMED NAME: SEI INTERNATIONAL TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST
DATE OF NAME CHANGE: 19900129
0000835597
S000006419
SIT INTERNATIONAL FIXED INCOME FUND
C000017608
SIT INTERNATIONAL FIXED INCOME FUND - CLASS F, effective 1-31-2017 (formerly Class A)
SEFIX
C000147408
Class Y
SIFIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000835597
XXXXXXXX
S000006419
C000147408
C000017608
SEI INSTITUTIONAL INTERNATIONAL TRUST
811-05601
0000835597
E8Z427H460ISEID6A824
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIT International Fixed Income Fund
S000006419
LBQB1OG7EE0H97712G55
2019-09-30
2019-09-30
N
527849445.80
5514290.66
522335155.14
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
9768961.48000000
EUR
JPY
USD
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
1341000.00000000
PA
1090623.11000000
0.208797569772
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
ALLERGAN FUNDING SCS 2.625000% 11/15/2028
018489AG9
100000.00000000
PA
124967.84000000
0.023924838060
Long
DBT
NUSS
LU
N
2
2028-11-15
Fixed
2.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-10
N/A
1.00000000
NC
-12766.53000000
-0.00244412612
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
481611.85000000
USD
429783.79000000
EUR
2019-10-10
-12766.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
185.62000000
0.000035536570
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
6573000.00000000
JPY
61009.32000000
USD
2019-10-03
185.62000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.500000% 04/30/2027
N/A
4380000.00000000
PA
5327082.01000000
1.019858984711
Long
DBT
NUSS
ES
Y
2
2027-04-30
Fixed
1.50000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-3537.73000000
-0.00067729119
N/A
DFE
ZA
N
2
BT BROKERAGE CORP
N/A
153756.64000000
USD
2278000.00000000
ZAR
2019-10-03
-3537.73000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
4493.71000000
0.000860311613
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
208702.53000000
USD
173000.00000000
GBP
2019-10-03
4493.71000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 0.500000% 05/17/2024
N/A
455000.00000000
PA
514263.91000000
0.098454776581
Long
DBT
NUSS
AU
N
2
2024-05-17
Fixed
0.50000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
3706.93000000
0.000709684187
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
296390.85000000
USD
1695000.00000000
TRY
2019-10-03
3706.93000000
N
N
N
BOARDWALK PIPELINES, LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP 4.800000% 05/03/2029
096630AG3
119000.00000000
PA
USD
126381.02000000
0.024195388488
Long
DBT
CORP
XX
N
2
2029-05-03
Fixed
4.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
401.35000000
0.000076837638
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
322000.00000000
SEK
33153.68000000
USD
2019-10-03
401.35000000
N
N
N
WESTERN POWER DISTRIBUTION (WEST MIDLANDS) PLC
549300L22M2RCLXON143
WESTERN POWER DISTRIBUTION WEST MIDLANDS PLC MTN 3.875000% 10/17/2024
N/A
230000.00000000
PA
315952.75000000
0.060488509511
Long
DBT
NUSS
GB
N
2
2024-10-17
Fixed
3.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-35.28000000
-0.00000675428
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14209.03000000
USD
13000.00000000
EUR
2019-10-03
-35.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2019-10-04
N/A
1.00000000
NC
USD
-10282.36000000
-0.00196853684
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
859180000.00000000
KRW
707942.29000000
USD
2019-10-04
-10282.36000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
28570000.00000000
PA
1533148.62000000
0.293518176005
Long
DBT
NUSS
MX
N
2
2031-05-29
Floating
7.75000080
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
57.85000000
0.000011075264
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14408.61000000
USD
2019-10-03
57.85000000
N
N
N
Swedbank Hypotek AB
549300TJREQ7GHIXWR36
SWEDBANK HYPOTEK AB 0.375000% 03/11/2022
N/A
360000.00000000
PA
400390.99000000
0.076654038323
Long
DBT
NUSS
SE
N
2
2022-03-11
Fixed
0.37500000
N
N
N
N
N
N
CLEAN HARBORS, INC.
5493000SJVZVZJKHJF48
CLEAN HARBORS INC 144A 4.875000% 07/15/2027
184496AN7
124000.00000000
PA
USD
129425.00000000
0.024778152250
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
4.87500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-654.15000000
-0.00012523568
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
447601.44000000
USD
48300000.00000000
JPY
2019-10-03
-654.15000000
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 3.300000% 03/08/2022
693476BN2
150000.00000000
PA
USD
154797.00000000
0.029635569897
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-36411.58000000
-0.00697092271
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
40114000.00000000
MXN
1994941.08000000
USD
2019-10-03
-36411.58000000
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 5.375000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
249111.48000000
0.047691884712
Long
DBT
NUSS
FR
N
2
2168-01-29
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-60.70000000
-0.00001162089
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13587.13000000
USD
2019-10-03
-60.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
260.85000000
0.000049939200
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13908.68000000
USD
2019-10-03
260.85000000
N
N
N
Takeda Pharmaceutical Company Limited
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL CO LTD 144A 1.125000% 11/21/2022
N/A
430000.00000000
PA
483304.79000000
0.092527716207
Long
DBT
NUSS
JP
Y
2
2022-11-21
Fixed
1.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-10136.39000000
-0.00194059118
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
1124411.55000000
USD
1022000.00000000
EUR
2019-10-03
-10136.39000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-58.74000000
-0.00001124565
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
14222.63000000
USD
21000.00000000
AUD
2019-10-03
-58.74000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-198.41000000
-0.00003798518
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14031.69000000
USD
136000.00000000
SEK
2019-10-03
-198.41000000
N
N
N
DS SMITH PLC
39RSBE4RCI4M15BLWH36
DS SMITH PLC MTN 1.375000% 07/26/2024
N/A
430000.00000000
PA
483285.20000000
0.092523965741
Long
DBT
NUSS
GB
N
2
2024-07-26
Fixed
1.37500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV N.V.
5493008H3828EMEXB082
ANHEUSER-BUSCH INBEV SA/NV MTN 1.500000% 03/17/2025
N/A
415000.00000000
PA
487380.46000000
0.093307994915
Long
DBT
NUSS
BE
N
2
2025-03-17
Fixed
1.50000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 1.250000% 05/12/2025
N/A
13180000.00000000
PA
1431788.37000000
0.274112962895
Long
DBT
NUSS
XX
N
2
2025-05-12
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
492.03000000
0.000094198139
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32110.41000000
USD
2019-10-03
492.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
291.08000000
0.000055726672
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14454.97000000
USD
2019-10-03
291.08000000
N
N
N
CAISSE FRANCAISE DE FINANCEMENT LOCAL S.A.
549300E6W08778I4OW85
CAISSE FRANCAISE DE FINANCEMENT LOCAL MTN 0.500000% 01/19/2026
N/A
500000.00000000
PA
573474.26000000
0.109790477312
Long
DBT
NUSS
FR
N
2
2026-01-19
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1405.76000000
0.000269129884
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3012000.00000000
MXN
153931.92000000
USD
2019-10-03
1405.76000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
51.48000000
0.000009855740
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
14299.28000000
USD
19000.00000000
CAD
2019-10-03
51.48000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 4.100000% 04/15/2037
N/A
277000.00000000
PA
468129.58000000
0.089622453207
Long
DBT
NUSS
PT
Y
2
2037-04-15
Fixed
4.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
205440.48000000
0.039331160841
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9430219.00000000
EUR
10492738.75000000
USD
2019-10-10
205440.48000000
N
N
N
Laender No 32
N/A
GEMEINSAME BUNDESLAENDER 3.500000% 10/07/2019
N/A
650000.00000000
PA
709014.89000000
0.135739454452
Long
DBT
NUSS
DE
N
2
2019-10-07
Fixed
3.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-134.40000000
-0.00002573060
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
17184.70000000
USD
17000.00000000
CHF
2019-10-03
-134.40000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
4398.49000000
0.000842081938
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
208797.75000000
USD
173000.00000000
GBP
2019-10-03
4398.49000000
N
N
N
TOTAL CAPITAL INTERNATIONAL SA
549300U37G2I8G4RUG09
TOTAL CAPITAL INTERNATIONAL SA MTN 4.250000% 11/26/2021
N/A
640000.00000000
PA
458238.61000000
0.087728847176
Long
DBT
NUSS
FR
N
2
2021-11-26
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
462.92000000
0.000088625089
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
62000.00000000
NZD
39340.43000000
USD
2019-10-03
462.92000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
14.63000000
0.000002800883
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13780.62000000
USD
22000.00000000
NZD
2019-10-03
14.63000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
351.63000000
0.000067318846
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30457.08000000
USD
25000.00000000
GBP
2019-10-03
351.63000000
N
N
N
COMPAGNIE DE FINANCEMENT FONCIER S.A.
DKGVVH5FKILG8R13CO13
CIE DE FINANCEMENT FONCIER SA 0.375000% 12/11/2024
N/A
300000.00000000
PA
340148.73000000
0.065120780528
Long
DBT
NUSS
FR
N
2
2024-12-11
Fixed
0.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
34307.88000000
0.006568173645
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
182100000.00000000
JPY
1719382.43000000
USD
2019-10-03
34307.88000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG MTN 4.750000% 02/12/2026
N/A
200000.00000000
PA
230805.22000000
0.044187188575
Long
DBT
NUSS
CH
N
2
2026-02-12
Fixed
4.75000000
N
N
N
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.250000% 11/17/2025
N/A
275000.00000000
PA
338886.85000000
0.064879196176
Long
DBT
NUSS
GB
N
2
2025-11-17
Fixed
2.25000000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA MTN 3.000000% 05/03/2022
N/A
330000.00000000
PA
391569.83000000
0.074965245235
Long
DBT
NUSS
AU
N
2
2022-05-03
Fixed
3.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 4.750000% 07/04/2034
N/A
95000.00000000
PA
185948.78000000
0.035599514635
Long
DBT
NUSS
DE
N
2
2034-07-04
Fixed
4.75000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2033
N/A
552000.00000000
PA
696326.65000000
0.133310316785
Long
DBT
NUSS
IT
Y
2
2033-09-01
Fixed
2.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
3944.83000000
0.000755229656
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4406000.00000000
ZAR
294491.16000000
USD
2019-10-03
3944.83000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 08/15/2026
N/A
1882000.00000000
PA
2159262.92000000
0.413386481601
Long
DBT
NUSS
DE
N
2
2026-08-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
303.78000000
0.000058158061
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
180000.00000000
SEK
18612.54000000
USD
2019-10-03
303.78000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 5.750000% 07/30/2032
N/A
102000.00000000
PA
187445.51000000
0.035886060540
Long
DBT
NUSS
ES
N
2
2032-07-30
Fixed
5.75000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP MTN 0.850000% 06/07/2024
902973BB1
226000.00000000
PA
255370.19000000
0.048890101975
Long
DBT
NUSS
US
N
2
2024-06-07
Fixed
0.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
649.96000000
0.000124433516
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
300000.00000000
SEK
31164.56000000
USD
2019-10-03
649.96000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-141.65000000
-0.00002711860
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
31167.31000000
USD
46000.00000000
AUD
2019-10-03
-141.65000000
N
N
N
Exportation et developpement Canada
Z6MHCSLXHKYG4B6PHW02
EXPORT DEVELOPMENT CANADA MTN 2.400000% 06/07/2021
N/A
1259000.00000000
PA
867544.61000000
0.166089645979
Long
DBT
NUSS
CA
N
2
2021-06-07
Fixed
2.40000000
N
N
N
N
N
N
Naturgy Finance B.V.
2138005FTXOJUBQ5J563
NATURGY FINANCE BV MTN 1.250000% 04/19/2026
N/A
300000.00000000
PA
348757.60000000
0.066768931129
Long
DBT
NUSS
NL
N
2
2026-04-19
Fixed
1.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-183.18000000
-0.00003506943
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14356.93000000
USD
13000.00000000
EUR
2019-10-03
-183.18000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-476.40000000
-0.00009120580
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31285.11000000
USD
25000.00000000
GBP
2019-10-03
-476.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-10-11
N/A
1.00000000
NC
USD
66847.67000000
0.012797850066
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4863645.49000000
PLN
1280231.08000000
USD
2019-10-11
66847.67000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 3.000000% 04/15/2020
N/A
1626000.00000000
PA
1031318.16000000
0.197443758064
Long
DBT
NUSS
NZ
N
2
2020-04-15
Fixed
3.00000000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP MTN 1.800000% 07/23/2020
N/A
115000.00000000
PA
127449.58000000
0.024399962121
Long
DBT
NUSS
US
N
2
2020-07-23
Fixed
1.80000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (5 YEAR ISSUE) 0.100000% 03/20/2020
N/A
344050000.00000000
PA
3189231.28000000
0.610571823209
Long
DBT
NUSS
JP
N
2
2020-03-20
Fixed
0.10000000
N
N
N
N
N
N
Canada Housing Trust No. 1
549300M44WH89JG50067
CANADA HOUSING TRUST NO 1 144A 1.750000% 06/15/2022
13509PFY4
2465000.00000000
PA
1864202.79000000
0.356897821572
Long
DBT
NUSS
CA
Y
2
2022-06-15
Fixed
1.75000000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP INC MTN 0.956000% 10/16/2024
N/A
385000.00000000
PA
434496.04000000
0.083183380579
Long
DBT
NUSS
JP
N
2
2024-10-16
Fixed
0.95600000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.500000% 07/15/2026
N/A
570000.00000000
PA
669263.74000000
0.128129177868
Long
DBT
NUSS
NL
Y
2
2026-07-15
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
273.94000000
0.000052445254
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1565000.00000000
JPY
14755.77000000
USD
2019-10-03
273.94000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.750000% 04/21/2037
N/A
393000.00000000
PA
364996.99000000
0.069877929220
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
36457.71000000
0.006979754213
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19974000.00000000
SEK
2068119.55000000
USD
2019-10-03
36457.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
251.96000000
0.000048237228
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
125000.00000000
NOK
14009.85000000
USD
2019-10-03
251.96000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2019-10-11
N/A
1.00000000
NC
-102601.03000000
-0.01964275790
N/A
DFE
PA
N
2
BNP PARIBAS
N/A
1937392.05000000
USD
7354454.51000000
PLN
2019-10-11
-102601.03000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-37.46000000
-0.00000717164
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13870.74000000
USD
136000.00000000
SEK
2019-10-03
-37.46000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 5.000000% 03/28/2035
N/A
64000.00000000
PA
123184.27000000
0.023583377222
Long
DBT
NUSS
BE
Y
2
2035-03-28
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 10/01/2019
912796VX4
25526000.00000000
PA
USD
25526000.00000000
4.886900632441
Long
DBT
UST
US
N
2
2019-10-01
None
0.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-01
N/A
1.00000000
NC
319.92000000
0.000061248031
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
342179.36000000
USD
277934.74000000
GBP
2019-10-01
319.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
53.91000000
0.000010320959
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
24000.00000000
NZD
15103.27000000
USD
2019-10-03
53.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
539.36000000
0.000103259371
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
AUD
30890.54000000
USD
2019-10-03
539.36000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-488.37000000
-0.00009349744
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
55651.12000000
USD
55000.00000000
CHF
2019-10-03
-488.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
69.83000000
0.000013368811
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
AUD
14908.19000000
USD
2019-10-03
69.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
71.07000000
0.000013606206
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14859.25000000
USD
2019-10-03
71.07000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-221.53000000
-0.00004241146
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
56916.55000000
USD
52000.00000000
EUR
2019-10-03
-221.53000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-5910.65000000
-0.00113158188
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
315535.00000000
USD
33460000.00000000
JPY
2019-10-03
-5910.65000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-79.83000000
-0.00001528329
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14930.27000000
USD
146000.00000000
SEK
2019-10-03
-79.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-75.17000000
-0.00001439114
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14275.59000000
USD
2019-10-03
-75.17000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 09/20/2032
N/A
709350000.00000000
PA
8073824.00000000
1.545717135932
Long
DBT
NUSS
JP
N
2
2032-09-20
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-13.30000000
-0.00000254625
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14337.46000000
USD
2019-10-03
-13.30000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
393.98000000
0.000075426667
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14394.20000000
USD
12000.00000000
GBP
2019-10-03
393.98000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-01
N/A
1.00000000
NC
-371.89000000
-0.00007119758
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
90138.04000000
USD
82338.90000000
EUR
2019-10-01
-371.89000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
11907200.00000000
PA
570796.58000000
0.109277840938
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.350000% 03/01/2035
N/A
1904000.00000000
PA
2644294.53000000
0.506244793975
Long
DBT
NUSS
IT
Y
2
2035-03-01
Fixed
3.35000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033
N/A
149750000.00000000
PA
1673832.97000000
0.320451907846
Long
DBT
NUSS
JP
N
2
2033-03-20
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
536.46000000
0.000102704172
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
299000.00000000
SEK
30949.34000000
USD
2019-10-03
536.46000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-25.92000000
-0.00000496233
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13859.20000000
USD
136000.00000000
SEK
2019-10-03
-25.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
30.32000000
0.000005804702
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
299000.00000000
NOK
32939.20000000
USD
2019-10-03
30.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
562628.98000000
0.107714170578
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14589662.97000000
EUR
16478294.84000000
USD
2019-10-10
562628.98000000
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 0.339000% 07/19/2024
N/A
250000.00000000
PA
274055.34000000
0.052467335828
Long
DBT
NUSS
JP
N
2
2024-07-19
Fixed
0.33900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-02-13
N/A
1.00000000
NC
USD
-45.14000000
-0.00000864196
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1334807.85000000
MYR
318037.43000000
USD
2020-02-13
-45.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
150.99000000
0.000028906727
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13798.82000000
USD
2019-10-03
150.99000000
N
N
N
BAXTER INTERNATIONAL INC.
J5OIVXX3P24RJRW5CK77
BAXTER INTERNATIONAL INC MTN 0.400000% 05/15/2024
071813BT5
405000.00000000
PA
446080.17000000
0.085401138638
Long
DBT
NUSS
US
N
2
2024-05-15
Fixed
0.40000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-46.01000000
-0.00000880852
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13841.26000000
USD
22000.00000000
NZD
2019-10-03
-46.01000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
BELGIUM KINGDOM 3.750000% 06/22/2045
N/A
229000.00000000
PA
456067.66000000
0.087313223226
Long
DBT
NUSS
BE
N
2
2045-06-22
Fixed
3.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
2820000.00000000
PA
746790.22000000
0.142971464327
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
HYUNDAI CAPITAL SERVICES, INC.
549300MALMDAGL2ZJJ27
HYUNDAI CAPITAL SERVICES INC MTN 3.500000% 03/30/2022
N/A
680000.00000000
PA
475799.66000000
0.091090874377
Long
DBT
NUSS
KR
N
2
2022-03-30
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
122.32000000
0.000023417914
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14163.75000000
USD
2019-10-03
122.32000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 4.000000% 10/25/2023
N/A
1401000.00000000
PA
380135.89000000
0.072776240744
Long
DBT
NUSS
PL
N
2
2023-10-25
Fixed
4.00000000
N
N
N
N
N
N
Slovenska Republika
097900BHFM0000074794
SLOVAKIA GOVERNMENT BOND 3.375000% 11/15/2024
N/A
75000.00000000
PA
97757.72000000
0.018715516089
Long
DBT
NUSS
SK
N
2
2024-11-15
Fixed
3.37500000
N
N
N
N
N
N
Magyarorszag
5299008DH62LEB10JK83
HUNGARY GOVERNMENT BOND 3.000000% 06/26/2024
N/A
75010000.00000000
PA
267557.30000000
0.051223299325
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
3.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 05/04/2022
N/A
521100000.00000000
PA
157610.31000000
0.030174172358
Long
DBT
NUSS
CO
N
2
2022-05-04
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-83.72000000
-0.00001602802
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
44000.00000000
CAD
33149.63000000
USD
2019-10-03
-83.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
172.97000000
0.000033114753
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9000.00000000
GBP
11264.10000000
USD
2019-10-03
172.97000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4102.28000000
-0.00078537313
N/A
DFE
PA
N
2
BNP PARIBAS
N/A
589276.97000000
USD
2346000.00000000
PLN
2019-10-03
-4102.28000000
N
N
N
BPCE S.A.
9695005MSX1OYEMGDF46
BPCE SA MTN 1.125000% 01/18/2023
N/A
300000.00000000
PA
338197.46000000
0.064747213866
Long
DBT
NUSS
FR
N
2
2023-01-18
Fixed
1.12500000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 1.000000% 03/14/2031
N/A
405000.00000000
PA
502296.08000000
0.096163559939
Long
DBT
NUSS
XX
N
2
2031-03-14
Fixed
1.00000000
N
N
N
N
N
N
Santander Holdings USA, Inc.
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA INC 3.700000% 03/28/2022
80282KAT3
460000.00000000
PA
USD
472916.82000000
0.090538960540
Long
DBT
CORP
US
N
2
2022-03-28
Fixed
3.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
271.76000000
0.000052027897
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
SEK
13901.61000000
USD
2019-10-03
271.76000000
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 0.000000% 05/25/2022
N/A
868000.00000000
PA
964662.30000000
0.184682629631
Long
DBT
NUSS
FR
N
2
2022-05-25
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
359.78000000
0.000068879147
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1878000.00000000
JPY
17737.98000000
USD
2019-10-03
359.78000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-807.40000000
-0.00015457508
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
35563.80000000
USD
3756000.00000000
JPY
2019-10-03
-807.40000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRISH TSY 1.5% 2050 1.500000% 05/15/2050
N/A
165000.00000000
PA
215370.28000000
0.041232200796
Long
DBT
NUSS
IE
N
2
2050-05-15
Fixed
1.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.950000% MATURITY: PERPETUAL
172967JM4
185000.00000000
PA
USD
195872.45000000
0.037499381014
Long
DBT
CORP
US
N
2
2167-11-15
Fixed
5.95000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
112.59000000
0.000021555125
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
31610.15000000
USD
42000.00000000
CAD
2019-10-03
112.59000000
N
N
N
CAISSE FRANCAISE DE FINANCEMENT LOCAL S.A.
549300E6W08778I4OW85
CAISSE FRANCAISE DE FINANCEMENT LOCAL MTN 3.000000% 10/02/2028
N/A
100000.00000000
PA
140443.99000000
0.026887715409
Long
DBT
NUSS
FR
N
2
2028-10-02
Fixed
3.00000000
N
N
N
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC MTN 1.875000% 03/03/2021
718172BG3
300000.00000000
PA
336153.33000000
0.064355869347
Long
DBT
NUSS
US
N
2
2021-03-03
Fixed
1.87500000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.050000% 04/15/2021
N/A
3610000.00000000
PA
3954243.64000000
0.757031879070
Long
DBT
NUSS
IT
N
2
2021-04-15
Fixed
0.05000000
N
N
N
N
N
N
Volkswagen International Finance N.V.
5299004PWNHKYTR23649
VOLKSWAGEN INTERNATIONAL FINANCE NV 1.125000% 10/02/2023
N/A
600000.00000000
PA
671770.27000000
0.128609047924
Long
DBT
NUSS
NL
N
2
2023-10-02
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
360.61000000
0.000069038048
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
AUD
30711.79000000
USD
2019-10-03
360.61000000
N
N
N
Canada
N/A
CAN 10YR BOND FUT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
16.00000000
NC
1723262.84000000
0.329915155631
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Dec 2019
2019-12-21
1743218.40000000
CAD
-19955.56000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2019-11-06
N/A
1.00000000
NC
-10124.60000000
-0.00193833401
N/A
DFE
CO
N
2
JP MORGAN
N/A
1448099.74000000
USD
5005936000.00000000
COP
2019-11-06
-10124.60000000
N
N
N
WALES & WEST UTILITIES FINANCE PLC
213800PMB3SYMEH5NH78
WALES & WEST UTILITIES FINANCE PLC 6.250000% 11/30/2021
N/A
240000.00000000
PA
328956.36000000
0.062978024121
Long
DBT
NUSS
GB
N
2
2021-11-30
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
39.56000000
0.000007573681
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
50000.00000000
AUD
33763.10000000
USD
2019-10-03
39.56000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.650000% 12/17/2021
N/A
11020000.00000000
PA
378152.00000000
0.072396429051
Long
DBT
NUSS
TH
N
2
2021-12-17
Fixed
3.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-23.81000000
-0.00000455837
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14326.95000000
USD
2019-10-03
-23.81000000
N
N
N
BPCE SFH SA
969500T1UBNNTYVWOS04
BPCE SFH SA 1.750000% 11/29/2019
N/A
600000.00000000
PA
656374.86000000
0.125661628083
Long
DBT
NUSS
FR
N
2
2019-11-29
Fixed
1.75000000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP, INC.
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GROUP INC VARIABLE RATE 03/15/2037
026874BF3
100000.00000000
PA
99508.31000000
0.019050662973
Long
DBT
CORP
US
N
2
2037-03-15
Floating
2.48963022
N
N
N
N
N
N
AIB GROUP PUBLIC LIMITED COMPANY
635400AKJBGNS5WNQL34
AIB GROUP PLC MTN 4.263000% 04/10/2025
00135TAB0
450000.00000000
PA
USD
467927.19000000
0.089583706054
Long
DBT
NUSS
IE
Y
2
2025-04-10
Fixed
4.26300000
N
N
N
N
N
N
GLAXOSMITHKLINE CAPITAL PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE CAPITAL PLC 0.000000% 09/12/2020
N/A
595000.00000000
PA
649708.92000000
0.124385447467
Long
DBT
NUSS
GB
N
2
2020-09-12
Fixed
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-74.30000000
-0.00001422458
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
14238.19000000
USD
21000.00000000
AUD
2019-10-03
-74.30000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.000000% 08/01/2029
N/A
2955000.00000000
PA
3882677.87000000
0.743330758382
Long
DBT
NUSS
IT
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-97.40000000
-0.00001864703
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14271.15000000
USD
13000.00000000
EUR
2019-10-03
-97.40000000
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30 WFCM 2015-C30 A3
94989NBD8
80000.00000000
PA
USD
84590.86000000
0.016194747599
Long
ABS-MBS
US
N
2
2058-09-15
Fixed
3.41100000
N
N
N
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.400000% 05/23/2034
N/A
110000.00000000
PA
163796.95000000
0.031358591966
Long
DBT
NUSS
AT
Y
2
2034-05-23
Fixed
2.40000000
N
N
N
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 6.000000% 05/21/2027
N/A
50000.00000000
PA
81608.52000000
0.015623784690
Long
DBT
NUSS
GB
N
2
2027-05-21
Fixed
6.00000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL 0.750000% 09/21/2022
N/A
235000.00000000
PA
265046.88000000
0.050742684537
Long
DBT
NUSS
CA
N
2
2022-09-21
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
820.04000000
0.000156994985
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
462000.00000000
SEK
47812.52000000
USD
2019-10-03
820.04000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-159.99000000
-0.00003062975
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14333.74000000
USD
13000.00000000
EUR
2019-10-03
-159.99000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.450000% 09/18/2026
N/A
300000.00000000
PA
342863.31000000
0.065640481331
Long
DBT
NUSS
ID
N
2
2026-09-18
Fixed
1.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-63.70000000
-0.00001219523
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14287.06000000
USD
2019-10-03
-63.70000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 5.750000% 05/15/2021
N/A
1615000.00000000
PA
1176390.86000000
0.225217630562
Long
DBT
NUSS
AU
N
2
2021-05-15
Fixed
5.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
167.20000000
0.000032010098
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
47894.38000000
USD
39000.00000000
GBP
2019-10-03
167.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
57761.68000000
0.011058355814
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9113000.00000000
NZD
5772128.64000000
USD
2019-10-03
57761.68000000
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
French Republic Government Bond OAT 3.250000% 05/25/2045
N/A
2061000.00000000
PA
3821511.84000000
0.731620646704
Long
DBT
NUSS
XX
N
2
2045-05-25
Fixed
3.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-170.58000000
-0.00003265719
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
33443.98000000
USD
27000.00000000
GBP
2019-10-03
-170.58000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.700000% 06/22/2050
N/A
320000.00000000
PA
462964.92000000
0.088633689584
Long
DBT
NUSS
BE
Y
2
2050-06-22
Fixed
1.70000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-179.21000000
-0.00003430938
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
31901.95000000
USD
42000.00000000
CAD
2019-10-03
-179.21000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4512.23000000
-0.00086385722
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
561649.81000000
USD
511000.00000000
EUR
2019-10-03
-4512.23000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.250000% 10/14/2024
N/A
610000.00000000
PA
692689.10000000
0.132613915257
Long
DBT
NUSS
XX
N
2
2024-10-14
Fixed
0.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.048000% 09/30/2021
N/A
3380000.00000000
PA
821810.50000000
0.157333943908
Long
DBT
NUSS
MY
N
2
2021-09-30
Fixed
4.04800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-748.18000000
-0.00014323753
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
GBP
62101.58000000
USD
2019-10-03
-748.18000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 0.750000% 07/22/2023
N/A
2170000.00000000
PA
2720593.14000000
0.520852007227
Long
DBT
NUSS
GB
N
2
2023-07-22
Fixed
0.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
15026.82000000
0.002876854037
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
4534920.70000000
USD
6024000.00000000
CAD
2019-10-03
15026.82000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 1.625000% 07/27/2026
N/A
170000.00000000
PA
198465.54000000
0.037995822805
Long
DBT
NUSS
US
N
2
2026-07-27
Fixed
1.62500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV N.V.
5493008H3828EMEXB082
ANHEUSER-BUSCH INBEV SA/NV MTN 2.250000% 05/24/2029
N/A
205000.00000000
PA
263043.38000000
0.050359118548
Long
DBT
NUSS
BE
N
2
2029-05-24
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1980.85000000
0.000379229691
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
277000.00000000
NZD
175675.53000000
USD
2019-10-03
1980.85000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 5.000000% 09/01/2040
N/A
1510000.00000000
PA
2593401.87000000
0.496501498028
Long
DBT
NUSS
IT
Y
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-271.52000000
-0.00005198195
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
31363.25000000
USD
31000.00000000
CHF
2019-10-03
-271.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1282.00000000
0.000245436284
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
74000.00000000
NZD
47684.19000000
USD
2019-10-03
1282.00000000
N
N
N
BNG BANK N.V.
529900GGYMNGRQTDOO93
BNG BANK NV MTN 0.500000% 04/16/2025
N/A
225000.00000000
PA
257960.39000000
0.049385990481
Long
DBT
NUSS
NL
N
2
2025-04-16
Fixed
0.50000000
N
N
N
N
N
N
PROLOGIS, L.P.
GL16H1DHB0QSHP25F723
PROLOGIS LP MTN 3.000000% 01/18/2022
74340XAZ4
115000.00000000
PA
133253.36000000
0.025511083963
Long
DBT
NUSS
US
N
2
2022-01-18
Fixed
3.00000000
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 4.000000% 04/25/2055
N/A
56000.00000000
PA
127147.46000000
0.024342121863
Long
DBT
NUSS
FR
Y
2
2055-04-25
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
150.20000000
0.000028755483
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14938.38000000
USD
2019-10-03
150.20000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-38.87000000
-0.00000744158
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
31761.61000000
USD
42000.00000000
CAD
2019-10-03
-38.87000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-335.07000000
-0.00006414846
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14168.35000000
USD
136000.00000000
SEK
2019-10-03
-335.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
374.47000000
0.000071691517
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
14169.72000000
USD
2019-10-03
374.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
608.81000000
0.000116555432
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
28000.00000000
EUR
31136.90000000
USD
2019-10-03
608.81000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 2.600000% 06/20/2037
500769CG7
65000000.00000000
PA
897407.74000000
0.171806881303
Long
DBT
NUSS
DE
N
2
2037-06-20
Fixed
2.60000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
3360000.00000000
PA
833723.94000000
0.159614747695
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
5817.58000000
0.001113763824
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
348000.00000000
EUR
385238.09000000
USD
2019-10-03
5817.58000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2019-11-14
N/A
1.00000000
NC
-21686.23000000
-0.00415178449
N/A
DFE
RU
N
2
BANK OF AMERICA
N/A
1952562.29000000
USD
125984200.64000000
RUB
2019-11-14
-21686.23000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-145.93000000
-0.00002793800
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14319.68000000
USD
13000.00000000
EUR
2019-10-03
-145.93000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-23
N/A
1.00000000
NC
-83800.96000000
-0.01604352285
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
7014895.24000000
USD
5620000.00000000
GBP
2019-10-23
-83800.96000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-5734.43000000
-0.00109784492
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
1115699.79000000
USD
119950000.00000000
JPY
2019-10-03
-5734.43000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-279.91000000
-0.00005358819
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14075.16000000
USD
22000.00000000
NZD
2019-10-03
-279.91000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 2.500000% 07/04/2044
N/A
390000.00000000
PA
712701.76000000
0.136445298193
Long
DBT
NUSS
DE
N
2
2044-07-04
Fixed
2.50000000
N
N
N
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 4.150000% 03/15/2037
N/A
326000.00000000
PA
612572.64000000
0.117275782411
Long
DBT
NUSS
AT
Y
2
2037-03-15
Fixed
4.15000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-28.52000000
-0.00000546009
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30837.23000000
USD
25000.00000000
GBP
2019-10-03
-28.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
274.66000000
0.000052583096
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1565000.00000000
JPY
14756.49000000
USD
2019-10-03
274.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-3741.42000000
-0.00071628722
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1281000.00000000
SGD
922591.61000000
USD
2019-10-03
-3741.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
622.67000000
0.000119208901
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
518000.00000000
SEK
53311.21000000
USD
2019-10-03
622.67000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-10
N/A
1.00000000
NC
-1475.05000000
-0.00028239531
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
43600.00000000
USD
38615.34000000
EUR
2019-10-10
-1475.05000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.800000% 03/20/2043
N/A
259650000.00000000
PA
3245294.66000000
0.621305042952
Long
DBT
NUSS
JP
N
2
2043-03-20
Fixed
1.80000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-3929.22000000
-0.00075224115
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
225089.47000000
USD
23900000.00000000
JPY
2019-10-03
-3929.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
356.77000000
0.000068302888
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
296000.00000000
SEK
30464.51000000
USD
2019-10-03
356.77000000
N
N
N
La Compagnie de Telephone Bell du Canada ou Bell Canada
549300O5ZKB2MUUSKB97
BELL CANADA INC MTN 4.700000% 09/11/2023
07813ZBF0
80000.00000000
PA
65177.64000000
0.012478126229
Long
DBT
NUSS
CA
N
2
2023-09-11
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2017-DNA2 M2
3137G0NX3
470000.00000000
PA
USD
495834.87000000
0.094926574464
Long
DBT
USGA
US
N
2
2029-10-25
Floating
5.46837840
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.654000% 10/31/2019
N/A
1771000.00000000
PA
423161.00000000
0.081013310292
Long
DBT
NUSS
MY
N
2
2019-10-31
Fixed
3.65400000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-388.14000000
-0.00007430861
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
60565.68000000
USD
60000.00000000
CHF
2019-10-03
-388.14000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-60.71000000
-0.00001162280
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
10963.60000000
USD
10000.00000000
EUR
2019-10-03
-60.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
107.00000000
0.000020484931
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14270.89000000
USD
2019-10-03
107.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-110.12000000
-0.00002108224
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14240.64000000
USD
2019-10-03
-110.12000000
N
N
N
Kongeriket Norge
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 1.750000% 02/17/2027
N/A
4094000.00000000
PA
467071.83000000
0.089419949127
Long
DBT
NUSS
NO
Y
2
2027-02-17
Fixed
1.75000000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD MTN 1.250000% 04/14/2022
N/A
295000.00000000
PA
331457.07000000
0.063456779950
Long
DBT
NUSS
GG
N
2
2022-04-14
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-23
N/A
1.00000000
NC
USD
87105.94000000
0.016676254535
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12879000.00000000
NZD
8164757.96000000
USD
2019-10-23
87105.94000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.450000% 04/30/2029
N/A
1401000.00000000
PA
1721079.76000000
0.329497209418
Long
DBT
NUSS
ES
Y
2
2029-04-30
Fixed
1.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
36922.01000000
0.007068643501
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7472000.00000000
NZD
4722289.06000000
USD
2019-10-03
36922.01000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
125.42000000
0.000024011403
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
33147.98000000
USD
27000.00000000
GBP
2019-10-03
125.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
245.77000000
0.000047052165
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14419.52000000
USD
2019-10-03
245.77000000
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB Maturity: Perpetual
W9124Y2Y7
325000.00000000
PA
USD
327031.25000000
0.062609465738
Long
DBT
NUSS
XX
N
2
2049-12-29
Floating
5.24999880
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 1.125000% 09/15/2032
N/A
500000.00000000
PA
634244.38000000
0.121424792828
Long
DBT
NUSS
DE
N
2
2032-09-15
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
272.90000000
0.000052246148
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
15061.08000000
USD
2019-10-03
272.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
274.04000000
0.000052464399
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
274000.00000000
NOK
30431.34000000
USD
2019-10-03
274.04000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-779.35000000
-0.00014920496
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
787400.71000000
USD
7147000.00000000
NOK
2019-10-03
-779.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
382.32000000
0.000073194384
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
14177.57000000
USD
2019-10-03
382.32000000
N
N
N
N/A
N/A
AUSTRALIA 10 YEAR BOND FUTURE DEC 2019
N/A
30.00000000
NC
2981391.29000000
0.570781281072
N/A
DIR
AU
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Australia Govt. Bond Futures
AUST 10Y BOND (consolidated) Dec 2019
2019-12-16
3004520.20000000
AUD
-23128.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
17222.20000000
0.003297155060
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1393998.83000000
EUR
1537916.66000000
USD
2019-10-10
17222.20000000
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO 0.875000% 05/17/2025
369604BS1
180000.00000000
PA
197226.90000000
0.037758687704
Long
DBT
NUSS
US
N
2
2025-05-17
Fixed
0.87500000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 04/21/2024
N/A
1230000.00000000
PA
903574.12000000
0.172987422176
Long
DBT
NUSS
AU
N
2
2024-04-21
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
103.53000000
0.000019820607
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
53000.00000000
NZD
33337.53000000
USD
2019-10-03
103.53000000
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED
JHE42UYNWWTJB8YTTU19
AUSTRALIA & NEW ZEALAND BANKING GROUP LTD MTN 3.625000% 07/18/2022
N/A
300000.00000000
PA
364160.22000000
0.069717731310
Long
DBT
NUSS
AU
N
2
2022-07-18
Fixed
3.62500000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A MATURITY: PERPETUAL
853254AA8
500000.00000000
PA
USD
402625.00000000
0.077081734981
Long
DBT
NUSS
GB
Y
2
2168-07-30
Floating
3.77574840
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4774.28000000
-0.00091402616
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
558641.00000000
USD
508000.00000000
EUR
2019-10-03
-4774.28000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.125000% 12/20/2023
N/A
345000.00000000
PA
438867.48000000
0.084020283850
Long
DBT
NUSS
US
N
2
2023-12-20
Fixed
2.12500000
N
N
N
N
N
N
CNH INDUSTRIAL FINANCE EUROPE S.A.
5493007GVB1I2FDSS786
CNH INDUSTRIAL FINANCE EUROPE SA MTN 2.875000% 05/17/2023
N/A
220000.00000000
PA
261670.15000000
0.050096216466
Long
DBT
NUSS
LU
N
2
2023-05-17
Fixed
2.87500000
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 06/25/2039
N/A
60000.00000000
PA
84785.60000000
0.016232030175
Long
DBT
NUSS
FR
Y
2
2039-06-25
Fixed
1.75000000
N
N
N
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 3.650000% 04/20/2022
N/A
1135000.00000000
PA
1376403.11000000
0.263509567842
Long
DBT
NUSS
AT
Y
2
2022-04-20
Fixed
3.65000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.000000% 07/22/2028
404280CB3
167000.00000000
PA
219721.23000000
0.042065181299
Long
DBT
NUSS
GB
N
2
2028-07-22
Fixed
3.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-2731.09000000
-0.00052286160
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
449749.50000000
USD
410000.00000000
EUR
2019-10-03
-2731.09000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond .100000% 03/10/2026
JK7713619
341700000.00000000
PA
3321012.54000000
0.635801076630
Long
DBT
USGA
JP
N
2
2026-03-10
Fixed
0.10000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-101.79000000
-0.00001948748
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
37754.55000000
USD
4069000.00000000
JPY
2019-10-03
-101.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
112.74000000
0.000021583843
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14154.17000000
USD
2019-10-03
112.74000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.250000% 03/14/2024
404280AP4
505000.00000000
PA
USD
531362.93000000
0.101728349082
Long
DBT
NUSS
GB
N
2
2024-03-14
Fixed
4.25000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN 0.125000% 04/19/2021
N/A
280000.00000000
PA
307853.48000000
0.058937920791
Long
DBT
NUSS
CA
N
2
2021-04-19
Fixed
0.12500000
N
N
N
N
N
N
Deutsche Telekom International Finance B.V.
529900ERDFHS6C1M4U58
DEUTSCHE TELEKOM INTERNATIONAL FINANCE BV MTN 0.625000% 04/03/2023
N/A
330000.00000000
PA
367338.07000000
0.070326124210
Long
DBT
NUSS
NL
N
2
2023-04-03
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-1659.49000000
-0.00031770597
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4522000.00000000
ZAR
296536.26000000
USD
2019-10-03
-1659.49000000
N
N
N
ENEL Finance International N.V.
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTERNATIONAL NV 144A 2.650000% 09/10/2024
29278GAL2
340000.00000000
PA
USD
340364.77000000
0.065162140945
Long
DBT
NUSS
NL
Y
2
2024-09-10
Fixed
2.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-51278.08000000
-0.00981708381
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
44810000.00000000
MXN
2217877.65000000
USD
2019-10-03
-51278.08000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-121.15000000
-0.00002319392
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13751.00000000
USD
134000.00000000
SEK
2019-10-03
-121.15000000
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 1.000000% 03/03/2022
N/A
400000.00000000
PA
451499.47000000
0.086438652569
Long
DBT
NUSS
ES
N
2
2022-03-03
Fixed
1.00000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC MTN 1.625000% 09/18/2025
N/A
220000.00000000
PA
252868.67000000
0.048411191073
Long
DBT
NUSS
GB
N
2
2025-09-18
Fixed
1.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-50.58000000
-0.00000968343
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14300.18000000
USD
2019-10-03
-50.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-4783.39000000
-0.00091577025
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
6617000.00000000
ZAR
431563.64000000
USD
2019-10-03
-4783.39000000
N
N
N
N/A
N/A
Credit Default Swap
CDS377257
-406000.00000000
NC
USD
-34356.18000000
-0.00657742058
N/A
DCR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2063-05-11
0.00000000
USD
-28398.59000000
USD
-406000.00000000
USD
-5957.59000000
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
PROVINCE OF ONTARIO CANADA MTN 1.650000% 06/08/2020
N/A
100000000.00000000
PA
936702.31000000
0.179329746577
Long
DBT
NUSS
CA
N
2
2020-06-08
Fixed
1.65000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-351.94000000
-0.00006737819
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
33449.59000000
USD
33000.00000000
CHF
2019-10-03
-351.94000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA MTN 5.625000% 03/11/2021
N/A
216000.00000000
PA
255311.69000000
0.048878902269
Long
DBT
NUSS
NO
N
2
2021-03-11
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-20.74000000
-0.00000397063
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
125000.00000000
NOK
13737.15000000
USD
2019-10-03
-20.74000000
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.200000% 08/15/2026
674599CR4
44000.00000000
PA
USD
44393.98000000
0.008499136916
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.20000000
N
N
N
N
N
N
Kommuninvest i Sverige Aktiebolag
EV2XZWMLLXF2QRX0CD47
KOMMUNINVEST I SVERIGE AB MTN 1.000000% 10/02/2024
N/A
5830000.00000000
PA
618425.72000000
0.118396342638
Long
DBT
NUSS
SE
N
2
2024-10-02
Fixed
1.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 1.375000% 10/27/2026
N/A
360000.00000000
PA
418258.73000000
0.080074780700
Long
DBT
CORP
US
N
2
2026-10-27
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
469.42000000
0.000089869501
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
274000.00000000
NOK
30626.72000000
USD
2019-10-03
469.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
267.07000000
0.000051130006
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1565000.00000000
JPY
14748.90000000
USD
2019-10-03
267.07000000
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2017-C01 1M1
30711XEK6
62350.61700000
PA
USD
62478.08000000
0.011961300974
Long
DBT
USGA
US
N
2
2029-07-25
Floating
3.31837920
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-270.51000000
-0.00005178858
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
13759.93000000
USD
20000.00000000
AUD
2019-10-03
-270.51000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.750000% 09/07/2020
N/A
2950000.00000000
PA
3743994.92000000
0.716780190488
Long
DBT
NUSS
GB
N
2
2020-09-07
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1150140.30000000
0.220192014395
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7960618000.00000000
JPY
74814252.32000000
USD
2019-10-03
1150140.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-58.09000000
-0.00001112121
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14292.67000000
USD
2019-10-03
-58.09000000
N
N
N
NEXT GROUP PLC
213800O8TRZCFJ9R5760
NEXT GROUP PLC 3.625000% 05/18/2028
N/A
190000.00000000
PA
248791.38000000
0.047630602220
Long
DBT
NUSS
GB
N
2
2028-05-18
Fixed
3.62500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
170000.00000000
PA
191958.44000000
0.036750051784
Long
DBT
NUSS
EG
Y
2
2025-04-11
Fixed
4.75000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-156.02000000
-0.00002986971
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13989.30000000
USD
136000.00000000
SEK
2019-10-03
-156.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
535.46000000
0.000102512724
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
300000.00000000
SEK
31050.06000000
USD
2019-10-03
535.46000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.000000% 04/27/2026
N/A
210000.00000000
PA
253271.55000000
0.048488321627
Long
DBT
NUSS
US
N
2
2026-04-27
Fixed
2.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-659.09000000
-0.00012618143
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
63845.51000000
USD
63000.00000000
CHF
2019-10-03
-659.09000000
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES 4.500000% 06/10/2047
N/A
200000.00000000
PA
259032.34000000
0.049591213122
Long
DBT
NUSS
FR
N
2
2047-06-10
Fixed
4.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 1.900000% 03/20/2053
N/A
38700000.00000000
PA
527394.25000000
0.100968553391
Long
DBT
NUSS
JP
N
2
2053-03-20
Fixed
1.90000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY MTN 0.500000% 02/23/2024
N/A
225000.00000000
PA
253691.76000000
0.048568769975
Long
DBT
NUSS
GB
N
2
2024-02-23
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-11.70000000
-0.00000223994
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14152.19000000
USD
2019-10-03
-11.70000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 1.875000% 03/30/2023
N/A
490000.00000000
PA
566620.26000000
0.108478292993
Long
DBT
NUSS
US
N
2
2023-03-30
Fixed
1.87500000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.250000% 09/14/2029
N/A
745000.00000000
PA
858903.15000000
0.164435256089
Long
DBT
NUSS
XX
N
2
2029-09-14
Fixed
0.25000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-23.00000000
NC
USD
-2740414.06000000
-0.52464668193
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Dec 2019
2020-01-03
-2748838.69000000
USD
8424.63000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
415.57000000
0.000079560028
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14372.61000000
USD
12000.00000000
GBP
2019-10-03
415.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-11-12
N/A
1.00000000
NC
USD
-4373.14000000
-0.00083722873
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2000000.00000000
CAD
1507396.42000000
USD
2019-11-12
-4373.14000000
N
N
N
Canada
N/A
CAN 10YR BOND FUT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-17.00000000
NC
-1830966.78000000
-0.35053485525
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Dec 2019
2019-12-21
-1829183.84000000
CAD
-1782.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
183.41000000
0.000035113470
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13831.24000000
USD
2019-10-03
183.41000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-5232.59000000
-0.00100176868
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
384653.10000000
USD
348000.00000000
EUR
2019-10-03
-5232.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
111.93000000
0.000021428770
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14900.11000000
USD
2019-10-03
111.93000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-30.85000000
-0.00000590616
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14072.28000000
USD
14000.00000000
CHF
2019-10-03
-30.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-71899.89000000
-0.01376508728
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22995000.00000000
CAD
17296301.17000000
USD
2019-10-03
-71899.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-1430.77000000
-0.00027391799
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
859000.00000000
TRY
150654.18000000
USD
2019-10-03
-1430.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
63.21000000
0.000012101425
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1610000.00000000
JPY
14961.45000000
USD
2019-10-03
63.21000000
N
N
N
ASSICURAZIONI GENERALI - SOCIETA PER AZIONI
549300X5UKJVE386ZB61
ASSICURAZIONI GENERALI SPA MTN 5.500000% 10/27/2047
N/A
230000.00000000
PA
301262.24000000
0.057676041337
Long
DBT
NUSS
IT
N
2
2047-10-27
Fixed
5.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
216.78000000
0.000041502088
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14390.53000000
USD
2019-10-03
216.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-441.85000000
-0.00008459128
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7290000.00000000
THB
237916.52000000
USD
2019-10-03
-441.85000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
820000.00000000
PA
706879.32000000
0.135330603931
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 3.875000% 09/12/2023
23636AAP6
270000.00000000
PA
USD
279921.34000000
0.053590369563
Long
DBT
NUSS
DK
Y
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-03
N/A
1.00000000
NC
USD
873.90000000
0.000167306372
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3012000.00000000
MXN
153400.06000000
USD
2019-10-03
873.90000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.75% 12/01/2048
135087D35
400000.00000000
PA
387613.29000000
0.074207773722
Long
DBT
CORP
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
SEAGATE HDD CAYMAN 4.750000% 06/01/2023
81180WAH4
6000.00000000
PA
USD
6275.92000000
0.001201512082
Long
DBT
NUSS
KY
N
2
2023-06-01
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
373.14000000
0.000071436891
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
274000.00000000
NOK
30530.44000000
USD
2019-10-03
373.14000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-47.41000000
-0.00000907654
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
15096.77000000
USD
24000.00000000
NZD
2019-10-03
-47.41000000
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
CENTRICA PLC MTN 4.375000% 03/13/2029
N/A
164000.00000000
PA
235467.29000000
0.045079732367
Long
DBT
NUSS
GB
N
2
2029-03-13
Fixed
4.37500000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
7.00000000
NC
USD
1343343.75000000
0.257180420804
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2019
2019-12-22
1352128.43000000
USD
-8784.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
430.24000000
0.000082368570
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
299000.00000000
SEK
30843.12000000
USD
2019-10-03
430.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
67.45000000
0.000012913164
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
EUR
15331.49000000
USD
2019-10-03
67.45000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.100000% 09/20/2117
N/A
75000.00000000
PA
154765.93000000
0.029629621609
Long
DBT
NUSS
AT
Y
2
2117-09-20
Fixed
2.10000000
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 5.179000% 11/19/2025
05971KAA7
400000.00000000
PA
USD
441311.76000000
0.084488236270
Long
DBT
NUSS
ES
N
2
2025-11-19
Fixed
5.17900000
N
N
N
N
N
N
Instituto de Credito Oficial
PJQDPSI1D8J2Q1IM3G17
INSTITUTO DE CREDITO OFICIAL MTN 6.000000% 03/08/2021
N/A
180000.00000000
PA
214094.15000000
0.040987888311
Long
DBT
NUSS
ES
N
2
2021-03-08
Fixed
6.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 6.500000% 06/09/2022
EJ0234298
22900000.00000000
PA
1153710.44000000
0.220875510416
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
6.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN 30 YEAR ISSUE .30% 06/20/2046
N/A
134250000.00000000
PA
1238391.81000000
0.237087585971
Long
DBT
NUSS
XX
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 6.250000% 06/01/2032
748148QT3
720000.00000000
PA
783348.04000000
0.149970384396
Long
DBT
NUSS
CA
N
2
2032-06-01
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
12163.35000000
0.002328648546
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4406000.00000000
ZAR
302709.68000000
USD
2019-10-03
12163.35000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-111.24000000
-0.00002129667
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
10771.20000000
USD
17000.00000000
NZD
2019-10-03
-111.24000000
N
N
N
SEVERN TRENT UTILITIES FINANCE PLC.
213800KY9PT6WBH33232
SEVERN TRENT UTILITIES FINANCE PLC MTN 3.625000% 01/16/2026
N/A
175000.00000000
PA
242467.82000000
0.046419969556
Long
DBT
NUSS
GB
N
2
2026-01-16
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-5.39000000
-0.00000103190
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
31717.35000000
USD
2019-10-03
-5.39000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-90.23000000
-0.00001727434
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13885.48000000
USD
22000.00000000
NZD
2019-10-03
-90.23000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-295.53000000
-0.00005657861
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
26372.46000000
USD
26000.00000000
CHF
2019-10-03
-295.53000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-84.73000000
-0.00001622138
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
12625.86000000
USD
20000.00000000
NZD
2019-10-03
-84.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-2292.58000000
-0.00043890976
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
875000.00000000
TRY
152625.15000000
USD
2019-10-03
-2292.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
16424.76000000
0.003144486799
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1022000.00000000
EUR
1130699.92000000
USD
2019-10-03
16424.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
198.99000000
0.000038096229
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
41000.00000000
NZD
25908.31000000
USD
2019-10-03
198.99000000
N
N
N
GATWICK FUNDING LIMITED
213800NK8FA3GKS6X167
GATWICK FUNDING LTD MTN 5.250000% 01/23/2024
N/A
250000.00000000
PA
356868.40000000
0.068321727245
Long
DBT
NUSS
JE
N
2
2024-01-23
Fixed
5.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-20.18000000
-0.00000386341
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
35680.64000000
USD
324000.00000000
NOK
2019-10-03
-20.18000000
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 1.800000% 09/05/2026
N/A
720000.00000000
PA
851337.24000000
0.162986778052
Long
DBT
NUSS
US
N
2
2026-09-05
Fixed
1.80000000
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 1.250000% 05/25/2034
N/A
800000.00000000
PA
1031845.28000000
0.197544674113
Long
DBT
NUSS
FR
N
2
2034-05-25
Fixed
1.25000000
N
N
N
N
N
N
CREDIT AGRICOLE ASSURANCES SA
969500K2MUPSI57XK083
CREDIT AGRICOLE ASSURANCES SA 4.750000% 09/27/2048
N/A
100000.00000000
PA
130640.18000000
0.025010795983
Long
DBT
NUSS
FR
N
2
2048-09-27
Fixed
4.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-427.53000000
-0.00008184974
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
31519.26000000
USD
31000.00000000
CHF
2019-10-03
-427.53000000
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C04 1M2
30711XDA9
95000.00000000
PA
USD
100341.47000000
0.019210169756
Long
DBT
USGA
US
N
2
2029-01-25
Floating
6.26838120
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 4.500000% 04/25/2041
N/A
580000.00000000
PA
1199197.39000000
0.229583894210
Long
DBT
NUSS
FR
N
2
2041-04-25
Fixed
4.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-42.57000000
-0.00000814993
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
19470.20000000
USD
191000.00000000
SEK
2019-10-03
-42.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-43.10000000
-0.00000825140
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14307.66000000
USD
2019-10-03
-43.10000000
N
N
N
European Stability Mechanism
222100W4EEAQ77386N50
EUROPEAN STABILITY MECHANISM MTN 1.000000% 09/23/2025
N/A
570000.00000000
PA
676612.29000000
0.129536042776
Long
DBT
NUSS
XX
N
2
2025-09-23
Fixed
1.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-129.49000000
-0.00002479059
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14170.92000000
USD
14000.00000000
CHF
2019-10-03
-129.49000000
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) DEC19 FINANCIAL COMMODITY FUTURE.
N/A
14.00000000
NC
USD
3017000.00000000
0.577598495967
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Dec 2019
2020-01-03
3016274.94000000
USD
725.06000000
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 1.250000% 01/11/2027
N/A
500000.00000000
PA
601616.74000000
0.115178297704
Long
DBT
NUSS
ES
N
2
2027-01-11
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
83.10000000
0.000015909325
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14246.99000000
USD
2019-10-03
83.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-11-22
N/A
1.00000000
NC
USD
-43239.11000000
-0.00827803941
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19551406.32000000
CAD
14737270.57000000
USD
2019-11-22
-43239.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
243.30000000
0.000046579288
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14407.19000000
USD
2019-10-03
243.30000000
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB BANK ASA 6.500000% MATURITY: PERPETUAL
N/A
355000.00000000
PA
USD
371418.75000000
0.071107362073
Long
DBT
NUSS
NO
N
2
2168-03-26
Fixed
6.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-48.95000000
-0.00000937137
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30857.66000000
USD
25000.00000000
GBP
2019-10-03
-48.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-23
N/A
1.00000000
NC
USD
339900.88000000
0.065073330151
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21890100.00000000
EUR
24243811.11000000
USD
2019-10-23
339900.88000000
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 0.000000% 02/25/2020
N/A
1990000.00000000
PA
2174646.56000000
0.416331648099
Long
DBT
NUSS
FR
N
2
2020-02-25
Fixed
0.00000000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 1.250000% 05/31/2032
N/A
300000.00000000
PA
379045.70000000
0.072567526093
Long
DBT
NUSS
NL
N
2
2032-05-31
Fixed
1.25000000
N
N
N
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.625000% 05/18/2027
N/A
225000.00000000
PA
264634.89000000
0.050663809892
Long
DBT
NUSS
DE
N
2
2027-05-18
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
194.78000000
0.000037290233
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14982.96000000
USD
2019-10-03
194.78000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY 1 5/8% 2028 1.625000% 10/22/2028
N/A
301000.00000000
PA
411139.92000000
0.078711899046
Long
DBT
NUSS
GB
N
2
2028-10-22
Fixed
1.62500000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
5764.62000000
0.001103624740
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
303893.80000000
USD
1749000.00000000
TRY
2019-10-03
5764.62000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-549.87000000
-0.00010527148
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
30901.05000000
USD
45000.00000000
AUD
2019-10-03
-549.87000000
N
N
N
United States of America
N/A
US LONG BOND(CBT) DEC19 FINANCIAL COMMODITY FUTURE.
N/A
4.00000000
NC
USD
649250.00000000
0.124297588169
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Dec 2019
2019-12-22
641694.84000000
USD
7555.16000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 2.375000% 10/26/2021
80413TAA7
275000.00000000
PA
USD
275341.00000000
0.052713472813
Long
DBT
NUSS
SA
Y
2
2021-10-26
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1543391.61000000
0.295479175547
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
76602000.00000000
EUR
85061695.07000000
USD
2019-10-03
1543391.61000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-228.32000000
-0.00004371139
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
13717.74000000
USD
20000.00000000
AUD
2019-10-03
-228.32000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-169.68000000
-0.00003248488
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
19794.88000000
USD
18000.00000000
EUR
2019-10-03
-169.68000000
N
N
N
Japan
N/A
10YR MINI JGB FUT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
38.00000000
NC
5447809.39000000
1.042971995354
N/A
DIR
SG
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Japan Govt. Bond Futures
10YR MINI JGB FUT Dec 2019
2019-12-15
5492302.56000000
JPY
-44493.17000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY 0 5/8% 2025 0.625000% 06/07/2025
N/A
425000.00000000
PA
533667.27000000
0.102169510274
Long
DBT
NUSS
GB
N
2
2025-06-07
Fixed
0.62500000
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 0.000000% 05/25/2021
N/A
1685000.00000000
PA
1858169.64000000
0.355742787310
Long
DBT
NUSS
FR
N
2
2021-05-25
Fixed
0.00000000
N
N
N
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 4.250000% 03/31/2023
N/A
2520822.00000000
PA
839041.08000000
0.160632703302
Long
DBT
NUSS
IL
N
2
2023-03-31
Fixed
4.25000000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2019-10-16
N/A
1.00000000
NC
240.36000000
0.000046016431
N/A
DFE
IL
N
2
BNP PARIBAS
N/A
1372937.38000000
USD
4768156.61000000
ILS
2019-10-16
240.36000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 3.500000% 03/30/2039
N/A
1205000.00000000
PA
201410.37000000
0.038559604502
Long
DBT
NUSS
SE
Y
2
2039-03-30
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 0.875000% 04/08/2027
92343VEV2
175000.00000000
PA
196822.44000000
0.037681254662
Long
DBT
NUSS
US
N
2
2027-04-08
Fixed
0.87500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-177.55000000
-0.00003399158
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14010.83000000
USD
136000.00000000
SEK
2019-10-03
-177.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-202557.48000000
-0.03877921637
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19424000.00000000
GBP
23734574.08000000
USD
2019-10-03
-202557.48000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-02
N/A
1.00000000
NC
858.44000000
0.000164346586
N/A
DFE
BR
N
2
JP MORGAN
N/A
262923.50000000
USD
1098757.31000000
BRL
2019-10-02
858.44000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 6.000000% 01/31/2029
N/A
104000.00000000
PA
175785.24000000
0.033653725633
Long
DBT
NUSS
ES
N
2
2029-01-31
Fixed
6.00000000
N
N
N
N
N
N
INTERNATIONAL GAME TECHNOLOGY PLC
549300UQ6KHRCZDRGZ76
INTERNATIONAL GAME TECHNOLOGY PLC 3.500000% 07/15/2024
N/A
170000.00000000
PA
199948.22000000
0.038279678867
Long
DBT
NUSS
GB
N
2
2024-07-15
Fixed
3.50000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
28.00000000
NC
3428951.44000000
0.656465758863
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
Euro-Schatz Future Dec 2019
2019-12-09
3444601.41000000
EUR
-15649.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-94.00000000
-0.00001799610
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14256.76000000
USD
2019-10-03
-94.00000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 5.900000% MATURITY: PERPETUAL
949746RG8
130000.00000000
PA
USD
138243.30000000
0.026466397798
Long
DBT
CORP
US
N
2
2167-12-15
Fixed
5.90000000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 4.125000% 11/15/2025
125523AG5
136000.00000000
PA
USD
146022.46000000
0.027955702112
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
71.07000000
0.000013606206
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14112.50000000
USD
2019-10-03
71.07000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-137.16000000
-0.00002625900
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13970.44000000
USD
136000.00000000
SEK
2019-10-03
-137.16000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-181.40000000
-0.00003472865
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14014.68000000
USD
136000.00000000
SEK
2019-10-03
-181.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
176.93000000
0.000033872887
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14218.36000000
USD
2019-10-03
176.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-15156.90000000
-0.00290175758
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3960000.00000000
ILS
1124229.97000000
USD
2019-10-03
-15156.90000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
299.99000000
0.000057432473
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
552600.64000000
USD
59750000.00000000
JPY
2019-10-03
299.99000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-02
N/A
1.00000000
NC
6701.93000000
0.001283070828
N/A
DFE
BR
N
2
JP MORGAN
N/A
1789499.94000000
USD
7481899.27000000
BRL
2019-10-02
6701.93000000
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
SEAGATE HDD CAYMAN 4.750000% 01/01/2025
81180WAL5
61000.00000000
PA
USD
63226.80000000
0.012104641890
Long
DBT
NUSS
KY
N
2
2025-01-01
Fixed
4.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-363.42000000
-0.00006957601
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31076.01000000
USD
3319000.00000000
JPY
2019-10-03
-363.42000000
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC MTN 3.625000% 01/14/2026
N/A
100000.00000000
PA
133360.61000000
0.025531616757
Long
DBT
NUSS
GB
N
2
2026-01-14
Fixed
3.62500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
20.84000000
0.000003989775
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
14460.99000000
USD
1565000.00000000
JPY
2019-10-03
20.84000000
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.600000% 06/02/2025
68323ACX0
1614000.00000000
PA
1265380.88000000
0.242254588370
Long
DBT
NUSS
CA
N
2
2025-06-02
Fixed
2.60000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
1922519.24000000
0.368062386971
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
Euro-BOBL Future Dec 2019
2019-12-09
1922106.39000000
EUR
412.85000000
N
N
N
Province of Manitoba
5493003QILFOB3JRKE30
MANITOBA (PROVINCE OF) 3.850000% 12/01/2021
563469TR6
710000.00000000
PA
559859.67000000
0.107183991827
Long
DBT
NUSS
CA
N
2
2021-12-01
Fixed
3.85000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
261.58000000
0.000050078957
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
30705.86000000
USD
41000.00000000
CAD
2019-10-03
261.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
103.34000000
0.000019784232
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14144.77000000
USD
2019-10-03
103.34000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.750000% 10/20/2026
N/A
749000.00000000
PA
889039.36000000
0.170204772022
Long
DBT
NUSS
AT
Y
2
2026-10-20
Fixed
0.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-87.41000000
-0.00001673446
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
25161.39000000
USD
25000.00000000
CHF
2019-10-03
-87.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
164.34000000
0.000031462557
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1610000.00000000
JPY
15062.58000000
USD
2019-10-03
164.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
747.48000000
0.000143103521
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
300000.00000000
SEK
31262.08000000
USD
2019-10-03
747.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-11-07
N/A
1.00000000
NC
USD
21505.36000000
0.004117157305
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2052909.30000000
NZD
1309374.29000000
USD
2019-11-07
21505.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-27.82000000
-0.00000532608
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13620.01000000
USD
2019-10-03
-27.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
162.44000000
0.000031098806
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13810.27000000
USD
2019-10-03
162.44000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-19.00000000
NC
-3609391.03000000
-0.69101055031
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Dec 2019
2019-12-09
-3620025.27000000
EUR
10634.24000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
2032000.00000000
PA
506971.14000000
0.097058590640
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA MTN 6.572000% 01/14/2022
904678AJ8
350000.00000000
PA
USD
375435.40000000
0.071876341522
Long
DBT
NUSS
IT
Y
2
2022-01-14
Fixed
6.57200000
N
N
N
N
N
N
SABIC Capital II B.V.
2138005PCUTH59D4RJ83
SABIC CAPITAL II BV 144A 4.000000% 10/10/2023
78520LAA8
345000.00000000
PA
USD
362688.15000000
0.069435906511
Long
DBT
NUSS
NL
Y
2
2023-10-10
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-40.27000000
-0.00000770960
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14310.49000000
USD
2019-10-03
-40.27000000
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 7.500000% MATURITY: PERPETUAL
225401AJ7
200000.00000000
PA
USD
213750.00000000
0.040922001495
Long
DBT
NUSS
CH
Y
2
2168-01-17
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
11.47000000
0.000002195908
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14175.36000000
USD
2019-10-03
11.47000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4017.07000000
-0.00076905985
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
326742.56000000
USD
296000.00000000
EUR
2019-10-03
-4017.07000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-10
N/A
1.00000000
NC
-53047.56000000
-0.01015584715
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
1674073.26000000
USD
1485971.04000000
EUR
2019-10-10
-53047.56000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC19 FINANCIAL COMMODITY FUTURE.
N/A
76.00000000
NC
USD
9903750.00000000
1.896052735976
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2019
2019-12-22
9906419.16000000
USD
-2669.16000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-56.09000000
-0.00001073831
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14906.53000000
USD
146000.00000000
SEK
2019-10-03
-56.09000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-226.54000000
-0.00004337062
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14400.29000000
USD
13000.00000000
EUR
2019-10-03
-226.54000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-122.04000000
-0.00002336430
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13955.32000000
USD
136000.00000000
SEK
2019-10-03
-122.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
487.86000000
0.000093399801
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
33000.00000000
EUR
36467.39000000
USD
2019-10-03
487.86000000
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST
N/A
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C5 UBSBB 2013-C5 A4
90270YBF5
100000.00000000
PA
USD
102803.82000000
0.019681581641
Long
ABS-MBS
US
N
2
2046-03-10
Fixed
3.18470000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-224.58000000
-0.00004299538
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14019.83000000
USD
22000.00000000
NZD
2019-10-03
-224.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-02-13
N/A
1.00000000
NC
USD
-2263.31000000
-0.00043330608
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2800447.02000000
MYR
665078.73000000
USD
2020-02-13
-2263.31000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-167.50000000
-0.00003206753
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14208.93000000
USD
14000.00000000
CHF
2019-10-03
-167.50000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-104.56000000
-0.00002001779
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14278.31000000
USD
13000.00000000
EUR
2019-10-03
-104.56000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-129.54000000
-0.00002480016
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13924.79000000
USD
22000.00000000
NZD
2019-10-03
-129.54000000
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 05/25/2066
N/A
165000.00000000
PA
251506.01000000
0.048150312596
Long
DBT
NUSS
FR
Y
2
2066-05-25
Fixed
1.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.882000% 03/10/2022
N/A
780000.00000000
PA
189601.29000000
0.036298780224
Long
DBT
NUSS
MY
N
2
2022-03-10
Fixed
3.88200000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP MTN 0.625000% 11/21/2024
N/A
465000.00000000
PA
522357.74000000
0.100004323825
Long
DBT
NUSS
US
N
2
2024-11-21
Fixed
0.62500000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.250000% 01/15/2020
N/A
3195000.00000000
PA
3492256.29000000
0.668585343267
Long
DBT
NUSS
NL
Y
2
2020-01-15
Fixed
0.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 0.000000% 10/18/2024
N/A
2330000.00000000
PA
2641704.75000000
0.505748985877
Long
DBT
NUSS
DE
N
2
2024-10-18
Fixed
0.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 0.800000% 03/04/2030
00206RJP8
310000.00000000
PA
333773.00000000
0.063900160024
Long
DBT
CORP
US
N
2
2030-03-04
Fixed
0.80000000
N
N
N
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD MTN 3.975000% 04/11/2029
88032WAN6
260000.00000000
PA
USD
278201.94000000
0.053261193940
Long
DBT
NUSS
KY
Y
2
2029-04-11
Fixed
3.97500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-169.55000000
-0.00003246000
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
30697.64000000
USD
28000.00000000
EUR
2019-10-03
-169.55000000
N
N
N
Kongeriket Norge
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
2163000.00000000
PA
242041.65000000
0.046338380179
Long
DBT
NUSS
NO
Y
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-9.00000000
NC
USD
-1281656.25000000
-0.24537047475
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Dec 2019
2019-12-22
-1287269.19000000
USD
5612.94000000
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 4.750000% 07/28/2025
N/A
305000.00000000
PA
USD
328175.56000000
0.062828541554
Long
DBT
NUSS
NL
N
2
2025-07-28
Fixed
4.75000000
N
N
N
N
N
N
NORTHUMBRIAN WATER FINANCE PLC
213800JTFA6F3S7XX781
NORTHUMBRIAN WATER FINANCE PLC CPN + % + SCMATDT
N/A
190000.00000000
PA
278639.66000000
0.053344994541
Long
DBT
NUSS
GB
N
2
2023-02-06
Fixed
6.87500000
N
N
N
N
N
N
Greenko Mauritius
2138005EDWGI4914B264
GREENKO MAURITIUS LTD 144A 6.250000% 02/21/2023
39531LAA7
200000.00000000
PA
USD
202619.23000000
0.038791038283
Long
DBT
NUSS
MU
Y
2
2023-02-21
Fixed
6.25000000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.250000% 12/20/2047
N/A
300000.00000000
PA
443527.46000000
0.084912427516
Long
DBT
NUSS
FR
N
2
2047-12-20
Fixed
2.25000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.000000% 07/15/2024
N/A
345000.00000000
PA
425765.04000000
0.081511848438
Long
DBT
NUSS
NL
Y
2
2024-07-15
Fixed
2.00000000
N
N
N
N
N
N
NOBLE ENERGY, INC.
02VFQXG2D1LR5ZH3K186
NOBLE ENERGY INC 3.250000% 10/15/2029
655044AQ8
205000.00000000
PA
USD
202952.05000000
0.038854755993
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-96.83000000
-0.00001853790
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13892.08000000
USD
22000.00000000
NZD
2019-10-03
-96.83000000
N
N
N
REPUBLIKA SLOVENIJA
485100000LWQHIX4XX88
REPUBLIKA SLOVENIJA 1.250000% 03/22/2027
N/A
305000.00000000
PA
368874.23000000
0.070620218909
Long
DBT
NUSS
SI
N
2
2027-03-22
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
103.19000000
0.000019755515
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1565000.00000000
JPY
14585.02000000
USD
2019-10-03
103.19000000
N
N
N
BRK: DEUTSCHE BANK AG LONDON
N/A
BRK: DEUTSCHE BANK AG LONDON PAY: 3-MONTH CNY CNRR
N/A
23220000.00000000
NC
17139.20000000
0.003281264879
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK AG LONDON
N/A
Y
2024-06-03
0.00000000
CNY
0.00000000
CNY
-23220000.00000000
CNY
17139.20000000
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-DNA2 M2
3137G0FT1
31175.68340000
PA
USD
31324.21000000
0.005996956109
Long
DBT
USGA
US
N
2
2027-12-25
Floating
4.74525000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-18
N/A
1.00000000
NC
USD
-2951.01000000
-0.00056496484
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
237083.39000000
GBP
289385.88000000
USD
2019-10-18
-2951.01000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 4.000000% 01/04/2037
N/A
411000.00000000
PA
797795.06000000
0.152736236906
Long
DBT
NUSS
DE
N
2
2037-01-04
Fixed
4.00000000
N
N
N
N
N
N
CLEAN HARBORS, INC.
5493000SJVZVZJKHJF48
CLEAN HARBORS INC 144A 5.125000% 07/15/2029
184496AP2
43000.00000000
PA
USD
45580.00000000
0.008726198026
Long
DBT
CORP
US
Y
2
2029-07-15
Fixed
5.12500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-130.06000000
-0.00002489972
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13963.34000000
USD
136000.00000000
SEK
2019-10-03
-130.06000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.800000% 06/22/2028
AQ7883202
1249000.00000000
PA
1497509.15000000
0.286695072170
Long
DBT
NUSS
BE
Y
2
2028-06-22
Fixed
0.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
49.66000000
0.000009507305
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1610000.00000000
JPY
14947.90000000
USD
2019-10-03
49.66000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.875000% 06/15/2027
171239AC0
115000.00000000
PA
129382.84000000
0.024770080804
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
0.87500000
N
N
N
N
N
N
Intertrust Group B.V.
724500E2H60ZHP192G28
INTERTRUST GROUP BV 144A 3.375000% 11/15/2025
N/A
180000.00000000
PA
206293.74000000
0.039494515728
Long
DBT
NUSS
NL
Y
2
2025-11-15
Fixed
3.37500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-21.98000000
-0.00000420802
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
14372.74000000
USD
19000.00000000
CAD
2019-10-03
-21.98000000
N
N
N
CK HUTCHISON FINANCE (16) (II) LIMITED
254900X1B76DSAVBLZ88
CK HUTCHISON FINANCE 16 II LTD 0.875000% 10/03/2024
N/A
212000.00000000
PA
237841.88000000
0.045534342779
Long
DBT
NUSS
KY
N
2
2024-10-03
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
2984.93000000
0.000571458759
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
131335.53000000
EUR
146257.08000000
USD
2019-10-10
2984.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
488441.65000000
0.093511157576
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15252631.29000000
EUR
17127330.68000000
USD
2019-10-10
488441.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-5439.62000000
-0.00104140415
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
875000.00000000
TRY
149478.11000000
USD
2019-10-03
-5439.62000000
N
N
N
N/A
N/A
Credit Default Swap
CDS304019
-127000.00000000
NC
USD
-10746.88000000
-0.00205746825
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-8924.81000000
USD
-127000.00000000
USD
-1822.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-24939.50000000
-0.00477461640
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20503000.00000000
MXN
1013322.05000000
USD
2019-10-03
-24939.50000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-62.14000000
-0.00001189657
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14235.89000000
USD
13000.00000000
EUR
2019-10-03
-62.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-1975.11000000
-0.00037813078
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
875000.00000000
TRY
152942.62000000
USD
2019-10-03
-1975.11000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.450000% 10/01/2021
20030NCQ2
965000.00000000
PA
USD
993791.36000000
0.190259328751
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
3.45000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY 4.25% 2032 06/07/2032
N/A
2295000.00000000
PA
4083368.62000000
0.781752593103
Long
DBT
NUSS
XX
N
2
2032-06-07
Fixed
4.25000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2024
N/A
2023000.00000000
PA
2274601.33000000
0.435467784930
Long
DBT
NUSS
NL
Y
2
2024-01-15
Fixed
0.00000000
N
N
N
N
N
N
WESTERN POWER DISTRIBUTION (WEST MIDLANDS) PLC
549300L22M2RCLXON143
WESTERN POWER DISTRIBUTION WEST MIDLANDS PLC MTN 5.750000% 04/16/2032
N/A
100000.00000000
PA
173186.10000000
0.033156125582
Long
DBT
NUSS
GB
N
2
2032-04-16
Fixed
5.75000000
N
N
N
N
N
N
MICRON TECHNOLOGY, INC.
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 4.640000% 02/06/2024
595112BL6
258000.00000000
PA
USD
273718.49000000
0.052402846583
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
4.64000000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC MTN 3.021000% 03/06/2024
34540UAC3
170000.00000000
PA
194744.02000000
0.037283345393
Long
DBT
NUSS
US
N
2
2024-03-06
Fixed
3.02100000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-3125.91000000
-0.00059844909
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
556026.54000000
USD
59750000.00000000
JPY
2019-10-03
-3125.91000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 0.400000% 03/20/2056
N/A
304100000.00000000
PA
2804247.99000000
0.536867557621
Long
DBT
NUSS
JP
N
2
2056-03-20
Fixed
0.40000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD 5.000000% 03/11/2024
N/A
750000.00000000
PA
582645.16000000
0.111546227410
Long
DBT
NUSS
AU
N
2
2024-03-11
Fixed
5.00000000
N
N
N
N
N
N
MASTERCARD INCORPORATED.
AR5L2ODV9HN37376R084
MASTERCARD INC 1.100000% 12/01/2022
57636QAC8
445000.00000000
PA
502959.74000000
0.096290616293
Long
DBT
NUSS
US
N
2
2022-12-01
Fixed
1.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-18.91000000
-0.00000362028
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23000.00000000
CAD
17353.07000000
USD
2019-10-03
-18.91000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-237.75000000
-0.00004551675
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33013.88000000
USD
3542000.00000000
JPY
2019-10-03
-237.75000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-47.41000000
-0.00000907654
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14897.85000000
USD
146000.00000000
SEK
2019-10-03
-47.41000000
N
N
N
JOHNSON CONTROLS INTERNATIONAL PUBLIC LIMITED COMPANY
549300XQ6S1GYKGBL205
JOHNSON CONTROLS INTERNATIONAL PLC 1.375000% 02/25/2025
478375AT5
395000.00000000
PA
451229.99000000
0.086387061173
Long
DBT
NUSS
IE
N
2
2025-02-25
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-1644.49000000
-0.00031483425
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
859000.00000000
TRY
150440.46000000
USD
2019-10-03
-1644.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
94.71000000
0.000018132036
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13742.54000000
USD
2019-10-03
94.71000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-115.19000000
-0.00002205289
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13948.47000000
USD
136000.00000000
SEK
2019-10-03
-115.19000000
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY MTN 4.625000% 02/08/2021
N/A
550000.00000000
PA
640236.79000000
0.122572027499
Long
DBT
NUSS
GB
N
2
2021-02-08
Fixed
4.62500000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) DEC19 FINANCIAL COMMODITY FUTURE.
N/A
32.00000000
NC
USD
6896000.00000000
1.320225133640
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Dec 2019
2020-01-03
6911788.10000000
USD
-15788.10000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-238.87000000
-0.00004573117
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
14517.12000000
USD
1543000.00000000
JPY
2019-10-03
-238.87000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
46.51000000
0.000008904244
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
13601.32000000
USD
124000.00000000
NOK
2019-10-03
46.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-02-13
N/A
1.00000000
NC
USD
33.18000000
0.000006352243
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1393213.11000000
MYR
332033.63000000
USD
2020-02-13
33.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
175.76000000
0.000033648893
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13971.01000000
USD
2019-10-03
175.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-03
N/A
1.00000000
NC
USD
6198.57000000
0.001186703582
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9036000.00000000
MXN
463777.04000000
USD
2019-10-03
6198.57000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
8244600.00000000
PA
436820.99000000
0.083628487514
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-1070.05000000
-0.00020485888
N/A
DFE
PA
N
2
BNP PARIBAS
N/A
270958.80000000
USD
1082000.00000000
PLN
2019-10-03
-1070.05000000
N
N
N
MIZUHO FINANCIAL GROUP (CAYMAN) 3 LIMITED
549300AM6U7J7ZZI1G88
MIZUHO FINANCIAL GROUP CAYMAN 3 LTD 144A 4.600000% 03/27/2024
60688UAB2
250000.00000000
PA
USD
266684.59000000
0.051056220776
Long
DBT
NUSS
KY
Y
2
2024-03-27
Fixed
4.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
5239.34000000
0.001003060955
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
540000.00000000
EUR
593995.30000000
USD
2019-10-03
5239.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
274.72000000
0.000052594583
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14438.61000000
USD
2019-10-03
274.72000000
N
N
N
IBERDROLA FINANZAS SOCIEDAD ANONIMA
5493004PZNZWWBOUV388
IBERDROLA FINANZAS SA MTN 1.000000% 03/07/2025
N/A
500000.00000000
PA
572909.53000000
0.109682360906
Long
DBT
NUSS
ES
N
2
2025-03-07
Fixed
1.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-182.38000000
-0.00003491627
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14356.13000000
USD
13000.00000000
EUR
2019-10-03
-182.38000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-140.28000000
-0.00002685631
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32916.41000000
USD
3542000.00000000
JPY
2019-10-03
-140.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-352.69000000
-0.00006752178
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7233000.00000000
AUD
4878094.33000000
USD
2019-10-03
-352.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
130.71000000
0.000025024162
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
26000.00000000
NZD
16434.18000000
USD
2019-10-03
130.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4.51000000
0.000000863430
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14792.69000000
USD
2019-10-03
4.51000000
N
N
N
N/A
N/A
Credit Default Swap
CDS369101
-134000.00000000
NC
USD
-11339.23000000
-0.00217087245
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-8022.69000000
USD
-134000.00000000
USD
-3316.54000000
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH 144A 3.625000% 05/15/2025
ZS8102544
175000.00000000
PA
197463.10000000
0.037803907712
Long
DBT
NUSS
DE
Y
2
2025-05-15
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4909.17000000
0.000939850582
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2201000.00000000
ZAR
150050.45000000
USD
2019-10-03
4909.17000000
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 1.800000% 07/10/2048
N/A
270000.00000000
PA
413081.22000000
0.079083556972
Long
DBT
NUSS
LU
N
2
2048-07-10
Fixed
1.80000000
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 5.750000% 10/25/2032
N/A
403000.00000000
PA
779808.47000000
0.149292740939
Long
DBT
NUSS
FR
N
2
2032-10-25
Fixed
5.75000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.500000% 02/15/2026
N/A
863000.00000000
PA
1018474.73000000
0.194984909588
Long
DBT
NUSS
DE
N
2
2026-02-15
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
32733.77000000
0.006266813496
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2197000.00000000
CHF
2236234.74000000
USD
2019-10-03
32733.77000000
N
N
N
ENI S.P.A.
BUCRF72VH5RBN7X3VL35
ENI SPA 144A 4.250000% 05/09/2029
26874RAJ7
515000.00000000
PA
USD
565107.02000000
0.108188586282
Long
DBT
NUSS
IT
Y
2
2029-05-09
Fixed
4.25000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-135.37000000
-0.00002591631
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14176.80000000
USD
14000.00000000
CHF
2019-10-03
-135.37000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 1.125000% 05/09/2033
N/A
220000.00000000
PA
279930.01000000
0.053592029417
Long
DBT
NUSS
DE
N
2
2033-05-09
Fixed
1.12500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-62.56000000
-0.00001197698
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
16642.16000000
USD
163000.00000000
SEK
2019-10-03
-62.56000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
1207550000.00000000
PA
13837746.46000000
2.649208333735
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 4.582000% 12/10/2025
539439AM1
445000.00000000
PA
USD
467350.67000000
0.089473332476
Long
DBT
NUSS
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.250000% 04/21/2026
N/A
1425000.00000000
PA
1167017.76000000
0.223423169686
Long
DBT
NUSS
AU
N
2
2026-04-21
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
145.41000000
0.000027838447
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13701.24000000
USD
2019-10-03
145.41000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-46.46000000
-0.00000889467
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
15310.50000000
USD
14000.00000000
EUR
2019-10-03
-46.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4678.82000000
0.000895750545
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
511000.00000000
EUR
561816.40000000
USD
2019-10-03
4678.82000000
N
N
N
EDP - Energias de Portugal, S.A.
529900CLC3WDMGI9VH80
EDP - ENERGIAS DE PORTUGAL SA 4.496000% 04/30/2079
N/A
300000.00000000
PA
362220.09000000
0.069346297379
Long
DBT
NUSS
PT
N
2
2079-04-30
Fixed
4.49600000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-141.80000000
-0.00002714732
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14183.23000000
USD
14000.00000000
CHF
2019-10-03
-141.80000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
993.53000000
0.000190209291
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
47068.05000000
USD
39000.00000000
GBP
2019-10-03
993.53000000
N
N
N
THAMES WATER UTILITIES FINANCE PLC
213800ESMPQ4RQ7G8351
THAMES WATER UTILITIES FINANCE PLC MTN 4.625000% 06/04/2046
N/A
155000.00000000
PA
261766.39000000
0.050114641418
Long
DBT
NUSS
GB
N
2
2046-06-04
Fixed
4.62500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-425.54000000
-0.00008146876
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31234.25000000
USD
25000.00000000
GBP
2019-10-03
-425.54000000
N
N
N
Clarios Global LP
549300474L1ZLXZY2P98
PANTHER BF AGGREGATOR 2 LP / PANTHER FINANCE CO IN 4.375000% 05/15/2026
N/A
106000.00000000
PA
117728.34000000
0.022538850552
Long
DBT
NUSS
CA
Y
2
2026-05-15
Fixed
4.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 07/15/2028
912828Y38
296900.00000000
PA
USD
318384.75000000
0.060954110950
Long
DBT
USGA
XX
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.950000% 07/30/2030
N/A
141000.00000000
PA
182288.23000000
0.034898709804
Long
DBT
NUSS
ES
Y
2
2030-07-30
Fixed
1.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4597.26000000
0.000880136049
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
752000.00000000
NZD
476143.84000000
USD
2019-10-03
4597.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
124.36000000
0.000023808468
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14165.79000000
USD
2019-10-03
124.36000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 3.000000% 04/20/2029
N/A
1494000.00000000
PA
1098000.11000000
0.210209881375
Long
DBT
NUSS
NZ
N
2
2029-04-20
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-15.81000000
-0.00000302679
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14334.95000000
USD
2019-10-03
-15.81000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC MTN 0.750000% 10/26/2023
N/A
365000.00000000
PA
407725.92000000
0.078058295710
Long
DBT
NUSS
US
N
2
2023-10-26
Fixed
0.75000000
N
N
N
N
N
N
NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LIMITED
254900ZJG39H1CAH6K02
NZ LOCAL GOVT FUND AGENC 4.500000% 04/15/2027
N/A
479000.00000000
PA
361721.48000000
0.069250839511
Long
DBT
NUSS
NZ
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2016-DNA1 M2
3137G0HT9
105649.30250000
PA
USD
106364.10000000
0.020363189985
Long
DBT
USGA
US
N
2
2028-07-25
Floating
5.04524880
N
N
N
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 0.500000% 07/11/2025
N/A
695000.00000000
PA
799978.14000000
0.153154183119
Long
DBT
NUSS
LU
N
2
2025-07-11
Fixed
0.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-459.26000000
-0.00008792439
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32319.29000000
USD
3443000.00000000
JPY
2019-10-03
-459.26000000
N
N
N
UNEDIC
969500V3L9W19NIA5E82
UNEDIC ASSEO MTN 1.250000% 05/25/2033
N/A
700000.00000000
PA
884634.67000000
0.169361503106
Long
DBT
NUSS
FR
N
2
2033-05-25
Fixed
1.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-13472.20000000
-0.00257922520
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
1127747.36000000
USD
1022000.00000000
EUR
2019-10-03
-13472.20000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-232.80000000
-0.00004456908
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14066.08000000
USD
136000.00000000
SEK
2019-10-03
-232.80000000
N
N
N
Volkswagen Bank Gesellschaft mit beschraenkter Haftung
529900GJD3OQLRZCKW37
VOLKSWAGEN BANK GMBH MTN 0.625000% 09/08/2021
N/A
200000.00000000
PA
220356.71000000
0.042186842649
Long
DBT
NUSS
DE
N
2
2021-09-08
Fixed
0.62500000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.040000% 09/16/2020
N/A
200000000.00000000
PA
1885429.51000000
0.360961633818
Long
DBT
NUSS
US
N
2
2020-09-16
Fixed
2.04000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-312.47000000
-0.00005982174
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14107.72000000
USD
22000.00000000
NZD
2019-10-03
-312.47000000
N
N
N
ALFA, S.A.B. de C.V.
549300ZCGJ6T8YDJ4M34
ALFA SAB DE CV 144A 5.250000% 03/25/2024
015398AB6
205000.00000000
PA
USD
220990.00000000
0.042308084727
Long
DBT
NUSS
MX
Y
2
2024-03-25
Fixed
5.25000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
322000.00000000
PA
266423.35000000
0.051006206911
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.250000% 07/30/2024
N/A
1466000.00000000
PA
1640719.40000000
0.314112382414
Long
DBT
NUSS
ES
N
2
2024-07-30
Fixed
0.25000000
N
N
N
N
N
N
ENGIE S.A.
LAXUQCHT4FH58LRZDY46
ENGIE SA MTN 0.375000% 02/28/2023
N/A
100000.00000000
PA
110546.63000000
0.021163926822
Long
DBT
NUSS
FR
N
2
2023-02-28
Fixed
0.37500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-12806.62000000
-0.00245180127
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
565707.25000000
USD
59750000.00000000
JPY
2019-10-03
-12806.62000000
N
N
N
THE SOUTHERN COMPANY
549300FC3G3YU2FBZD92
SOUTHERN CO/THE 2.750000% 06/15/2020
842587CM7
700000.00000000
PA
USD
702557.05000000
0.134503114156
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
2.75000000
N
N
N
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 1.500000% 03/24/2021
N/A
220000.00000000
PA
246632.06000000
0.047217204810
Long
DBT
NUSS
AU
N
2
2021-03-24
Fixed
1.50000000
N
N
N
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 3.150000% 06/20/2044
N/A
521000.00000000
PA
980290.65000000
0.187674645360
Long
DBT
NUSS
AT
Y
2
2044-06-20
Fixed
3.15000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
379.61000000
0.000072675560
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14408.57000000
USD
12000.00000000
GBP
2019-10-03
379.61000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-115.63000000
-0.00002213712
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
31838.37000000
USD
42000.00000000
CAD
2019-10-03
-115.63000000
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 0.500000% 05/25/2029
N/A
2176000.00000000
PA
2552604.62000000
0.488690947733
Long
DBT
NUSS
FR
N
2
2029-05-25
Fixed
0.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-890.95000000
-0.00017057056
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
411573.51000000
USD
44381000.00000000
JPY
2019-10-03
-890.95000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 1.375000% 06/30/2022
N/A
195000.00000000
PA
241577.10000000
0.046249443029
Long
DBT
NUSS
US
N
2
2022-06-30
Fixed
1.37500000
N
N
N
N
N
N
WPC Eurobond B.V.
5493005XDMOLBARL5M14
WPC EUROBOND BV 1.350000% 04/15/2028
N/A
405000.00000000
PA
438761.33000000
0.083999961649
Long
DBT
NUSS
NL
N
2
2028-04-15
Fixed
1.35000000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.650000% 06/02/2041
683234B98
540000.00000000
PA
562640.03000000
0.107716286078
Long
DBT
NUSS
CA
N
2
2041-06-02
Fixed
4.65000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.450000% 10/31/2022
N/A
607000.00000000
PA
679746.56000000
0.130136092374
Long
DBT
NUSS
ES
N
2
2022-10-31
Fixed
0.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-10-23
N/A
1.00000000
NC
USD
12447.69000000
0.002383084859
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2395000.00000000
PLN
610115.07000000
USD
2019-10-23
12447.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2019-10-24
N/A
1.00000000
NC
USD
-17283.77000000
-0.00330894251
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
88265231.43000000
INR
1226502.21000000
USD
2019-10-24
-17283.77000000
N
N
N
DEXIA CREDIT LOCAL S.A.
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.625000% 02/03/2024
N/A
200000.00000000
PA
227405.53000000
0.043536324860
Long
DBT
NUSS
FR
N
2
2024-02-03
Fixed
0.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-131.50000000
-0.00002517540
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14305.25000000
USD
13000.00000000
EUR
2019-10-03
-131.50000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN VARIABLE RATE 05/21/2021
N/A
850000.00000000
PA
928203.78000000
0.177702720344
Long
DBT
NUSS
US
N
2
2021-05-21
Floating
0.08700120
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
158736.00000000
PA
USD
159210.95000000
0.030480611621
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
DIAGEO FINANCE PLC
BPF79TJMIH3DK8XCKI50
DIAGEO FINANCE PLC MTN 0.250000% 10/22/2021
N/A
240000.00000000
PA
263545.78000000
0.050455302004
Long
DBT
NUSS
GB
N
2
2021-10-22
Fixed
0.25000000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.700000% 06/02/2037
683234YD4
1355000.00000000
PA
1368150.87000000
0.261929693327
Long
DBT
NUSS
CA
N
2
2037-06-02
Fixed
4.70000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-151.60000000
-0.00002902351
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14325.35000000
USD
13000.00000000
EUR
2019-10-03
-151.60000000
N
N
N
TURKIYE VAKIFLAR BANKASI TURK ANONIM ORTAKLIGI
789000KAIHOLSQKQ9858
TURKIYE VAKIFLAR BANKASI TAO 2.375000% 05/04/2021
N/A
265000.00000000
PA
290634.44000000
0.055641370706
Long
DBT
NUSS
TR
N
2
2021-05-04
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-1988.85000000
-0.00038076127
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
859000.00000000
TRY
150096.10000000
USD
2019-10-03
-1988.85000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4264.35000000
-0.00081640110
N/A
DFE
ZA
N
2
BT BROKERAGE CORP
N/A
293359.92000000
USD
4384000.00000000
ZAR
2019-10-03
-4264.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
156.35000000
0.000029932888
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9000.00000000
GBP
11247.48000000
USD
2019-10-03
156.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
14122.15000000
0.002703656811
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
10114000.00000000
SEK
1042870.92000000
USD
2019-10-03
14122.15000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-1274.21000000
-0.00024394490
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
64994.27000000
USD
6886000.00000000
JPY
2019-10-03
-1274.21000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-508.18000000
-0.00009729002
N/A
DFE
ZA
N
2
BT BROKERAGE CORP
N/A
145055.97000000
USD
2192000.00000000
ZAR
2019-10-03
-508.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-22.59000000
-0.00000432480
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14328.17000000
USD
2019-10-03
-22.59000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.600000% 03/20/2033
N/A
58550000.00000000
PA
661773.46000000
0.126695179041
Long
DBT
NUSS
JP
N
2
2033-03-20
Fixed
1.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-2428.23000000
-0.00046487968
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
875000.00000000
TRY
152489.50000000
USD
2019-10-03
-2428.23000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
6315.32000000
0.001209055132
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
139749.97000000
USD
825000.00000000
TRY
2019-10-03
6315.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4177.18000000
0.000799712590
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
570000.00000000
NZD
361599.45000000
USD
2019-10-03
4177.18000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDEN GOVERNMENT BOND 144A 0.750000% 11/12/2029
N/A
13305000.00000000
PA
1494624.52000000
0.286142815640
Long
DBT
NUSS
SE
Y
2
2029-11-12
Fixed
0.75000000
N
N
N
N
N
N
Credit Suisse AG (St Peter Port Branch)
N/A
CREDIT SUISSE AG/GUERNSEY MTN 0.750000% 09/17/2021
N/A
220000.00000000
PA
245247.02000000
0.046952041727
Long
DBT
NUSS
CH
N
2
2021-09-17
Fixed
0.75000000
N
N
N
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 2.300000% 03/19/2026
25159MAG2
220000000.00000000
PA
2375884.77000000
0.454858292921
Long
DBT
NUSS
JP
N
2
2026-03-19
Fixed
2.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
60.67000000
0.000011615147
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14848.85000000
USD
2019-10-03
60.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-1232.34000000
-0.00023592897
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
859000.00000000
TRY
150852.61000000
USD
2019-10-03
-1232.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
88.99000000
0.000017036953
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1613000.00000000
JPY
15014.99000000
USD
2019-10-03
88.99000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.250000% 07/15/2025
N/A
922421.00000000
PA
1058864.41000000
0.202717431438
Long
DBT
NUSS
NL
Y
2
2025-07-15
Fixed
0.25000000
N
N
N
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 4.500000% 11/15/2039
N/A
2040000.00000000
PA
600756.77000000
0.115013658201
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 0.200000% 04/28/2025
N/A
600000.00000000
PA
678715.74000000
0.129938743988
Long
DBT
NUSS
LU
N
2
2025-04-28
Fixed
0.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
271.14000000
0.000051909199
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1565000.00000000
JPY
14752.97000000
USD
2019-10-03
271.14000000
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 6.000000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
205000.00000000
0.039246831844
Long
DBT
NUSS
SE
N
2
2168-03-17
Fixed
6.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 3.250000% 07/04/2042
N/A
1378000.00000000
PA
2726434.73000000
0.521970367717
Long
DBT
NUSS
DE
N
2
2042-07-04
Fixed
3.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-664.83000000
-0.00012728034
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
59817.54000000
USD
48000.00000000
GBP
2019-10-03
-664.83000000
N
N
N
Telefonica Europe B.V.
7245007FZS0M65WUGP67
TELEFONICA EUROPE BV 4.375000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
359595.10000000
0.068843748398
Long
DBT
NUSS
NL
N
2
2168-03-14
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-70.15000000
-0.00001343007
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14280.61000000
USD
2019-10-03
-70.15000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-138.94000000
-0.00002659977
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13972.22000000
USD
136000.00000000
SEK
2019-10-03
-138.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
45.28000000
0.000008668763
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
AUD
14883.64000000
USD
2019-10-03
45.28000000
N
N
N
ASIAN DEVELOPMENT BANK
549300X0MVH42CY8Q105
ASIAN DEVELOPMENT BANK MTN 2.350000% 06/21/2027
N/A
290000000.00000000
PA
3264853.65000000
0.625049571692
Long
DBT
NUSS
XX
N
2
2027-06-21
Fixed
2.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-4530.08000000
-0.00086727457
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1719000.00000000
TRY
299816.87000000
USD
2019-10-03
-4530.08000000
N
N
N
AyT Cedulas Cajas Global, Fondo de Titulizacion de Activos
959800XDZEM9FGN2F384
AYT CEDULAS CAJAS GLOBAL 3.750000% 12/14/2022
N/A
600000.00000000
PA
739825.13000000
0.141638012054
Long
DBT
NUSS
ES
N
2
2022-12-14
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-23
N/A
1.00000000
NC
USD
-3143.46000000
-0.00060180900
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2743000.00000000
CAD
2069551.41000000
USD
2019-10-23
-3143.46000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-285.07000000
-0.00005457607
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31093.78000000
USD
25000.00000000
GBP
2019-10-03
-285.07000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-250.54000000
-0.00004796537
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31059.25000000
USD
25000.00000000
GBP
2019-10-03
-250.54000000
N
N
N
ORANGE S.A.
969500MCOONR8990S771
ORANGE SA MTN 2.375000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
342498.31000000
0.065570602826
Long
DBT
NUSS
FR
N
2
2168-04-15
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4284.31000000
0.000820222410
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
60447000.00000000
JPY
563634.67000000
USD
2019-10-03
4284.31000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA MTN 2.000000% 09/10/2020
N/A
285000.00000000
PA
317292.62000000
0.060745024890
Long
DBT
NUSS
NO
N
2
2020-09-10
Fixed
2.00000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.500000% 10/22/2024
N/A
1100000.00000000
PA
1264497.05000000
0.242085380920
Long
DBT
NUSS
BE
Y
2
2024-10-22
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
2662.15000000
0.000509663187
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2201000.00000000
ZAR
147803.43000000
USD
2019-10-03
2662.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
14908.47000000
0.002854196171
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
454997.76000000
EUR
511259.37000000
USD
2019-10-10
14908.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-03
N/A
1.00000000
NC
USD
506.66000000
0.000096999023
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5233000.00000000
BRL
1256724.30000000
USD
2019-10-03
506.66000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-402.84000000
-0.00007712289
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
30930.93000000
USD
28000.00000000
EUR
2019-10-03
-402.84000000
N
N
N
Carnival Corporation
F1OF2ZSX47CR0BCWA982
CARNIVAL CORP 1.625000% 02/22/2021
143658BB7
180000.00000000
PA
200848.18000000
0.038451974373
Long
DBT
NUSS
PA
N
2
2021-02-22
Fixed
1.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
230.56000000
0.000044140241
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
87000.00000000
NOK
9806.05000000
USD
2019-10-03
230.56000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-199.08000000
-0.00003811345
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14372.83000000
USD
13000.00000000
EUR
2019-10-03
-199.08000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
377.87000000
0.000072342440
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14410.31000000
USD
12000.00000000
GBP
2019-10-03
377.87000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 09/20/2040
N/A
212700000.00000000
PA
2684910.67000000
0.514020671130
Long
DBT
NUSS
JP
N
2
2040-09-20
Fixed
2.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4255.67000000
-0.00081473934
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
424016.86000000
USD
385000.00000000
EUR
2019-10-03
-4255.67000000
N
N
N
Republic of Finland
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 1.375000% 04/15/2047
N/A
130000.00000000
PA
188195.71000000
0.036029684800
Long
DBT
NUSS
FI
Y
2
2047-04-15
Fixed
1.37500000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C07 2M2
30711XEC4
142540.62380000
PA
USD
150243.41000000
0.028763794380
Long
DBT
USGA
US
N
2
2029-05-25
Floating
6.36837840
N
N
N
N
N
N
Samsonite Finco S.a r.l.
222100JLR1QL2IJ49Q65
SAMSONITE FINCO SARL MTN 3.500000% 05/15/2026
N/A
100000.00000000
PA
110170.51000000
0.021091919415
Long
DBT
NUSS
LU
Y
2
2026-05-15
Fixed
3.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-10.62000000
-0.00000203317
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
15274.66000000
USD
14000.00000000
EUR
2019-10-03
-10.62000000
N
N
N
SPRINT SPECTRUM CO LLC
N/A
SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC 4.738000% 03/20/2025
85208NAD2
265000.00000000
PA
USD
281697.65000000
0.053930440489
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
358.76000000
0.000068683870
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
AUD
17220.53000000
USD
2019-10-03
358.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
154.29000000
0.000029538505
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13949.54000000
USD
2019-10-03
154.29000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt 3.250000% 01/22/2044
N/A
400000.00000000
PA
735907.53000000
0.140887995525
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 5.000000% 12/01/2020
N/A
3370000.00000000
PA
365206.52000000
0.069918043311
Long
DBT
NUSS
SE
Y
2
2020-12-01
Fixed
5.00000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.750000% 05/01/2021
N/A
386000.00000000
PA
447485.79000000
0.085670241720
Long
DBT
NUSS
IT
Y
2
2021-05-01
Fixed
3.75000000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.250000% 06/11/2024
N/A
405000.00000000
PA
447865.87000000
0.085743007261
Long
DBT
NUSS
CH
N
2
2024-06-11
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
87.95000000
0.000016837848
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
NOK
5040.79000000
USD
2019-10-03
87.95000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-143.79000000
-0.00002752830
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
30494.97000000
USD
45000.00000000
AUD
2019-10-03
-143.79000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 1.000000% 11/12/2026
N/A
1725000.00000000
PA
193930.41000000
0.037127581418
Long
DBT
NUSS
SE
Y
2
2026-11-12
Fixed
1.00000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-10-03
N/A
1.00000000
NC
13171.41000000
0.002521639577
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
569689.17000000
USD
11510000.00000000
MXN
2019-10-03
13171.41000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.500000% 03/01/2030
N/A
831000.00000000
PA
1138216.15000000
0.217909160200
Long
DBT
NUSS
IT
Y
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
224.05000000
0.000042893915
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
125000.00000000
NOK
13981.94000000
USD
2019-10-03
224.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-10-31
N/A
1.00000000
NC
USD
7788.20000000
0.001491035003
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1883482.28000000
SGD
1370568.50000000
USD
2019-10-31
7788.20000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.500000% 06/01/2024
135087B45
1043000.00000000
PA
826018.19000000
0.158139497575
Long
DBT
NUSS
CA
N
2
2024-06-01
Fixed
2.50000000
N
N
N
N
N
N
PIPELINES ENBRIDGE INC.
549300I7CU6YE54FMU33
ENBRIDGE PIPELINES INC MTN 4.490000% 11/12/2019
29250ZAK4
2000000.00000000
PA
1514410.88000000
0.289930873903
Long
DBT
NUSS
CA
N
2
2019-11-12
Fixed
4.49000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.000000% 06/22/2031
N/A
490000.00000000
PA
606493.93000000
0.116112025781
Long
DBT
NUSS
BE
Y
2
2031-06-22
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-24.37000000
-0.00000466558
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14326.39000000
USD
2019-10-03
-24.37000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-1/4% 07/15/20
912828NM8
1012200.00000000
PA
USD
1195629.64000000
0.228900855750
Long
DBT
USGA
XX
N
2
2020-07-15
Fixed
1.25000000
N
N
N
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRISH TSY 4 1/2% 2020 4.500000% 04/18/2020
N/A
205000.00000000
PA
229613.14000000
0.043958967291
Long
DBT
NUSS
IE
N
2
2020-04-18
Fixed
4.50000000
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 0.750000% 05/25/2028
N/A
5205000.00000000
PA
6231291.67000000
1.192968079724
Long
DBT
NUSS
FR
N
2
2028-05-25
Fixed
0.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
1100600000.00000000
PA
351643.71000000
0.067321471001
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-23
N/A
1.00000000
NC
-48253.35000000
-0.00923800543
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
3400659.81000000
USD
30441700.00000000
NOK
2019-10-23
-48253.35000000
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-HQA2 M2
3137G0HF9
66272.22090000
PA
USD
66703.14000000
0.012770180092
Long
DBT
USGA
US
N
2
2028-05-25
Floating
4.94525160
N
N
N
N
N
N
COMPAGNIE DE FINANCEMENT FONCIER S.A.
DKGVVH5FKILG8R13CO13
CIE DE FINANCEMENT FONCIER SA MTN 5.500000% 01/26/2027
N/A
387000.00000000
PA
628699.86000000
0.120363305784
Long
DBT
NUSS
FR
N
2
2027-01-26
Fixed
5.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-157.73000000
-0.00003019708
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13991.01000000
USD
136000.00000000
SEK
2019-10-03
-157.73000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-12.19000000
-0.00000233375
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
13501.61000000
USD
20000.00000000
AUD
2019-10-03
-12.19000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 2.000000% 07/27/2023
N/A
900000.00000000
PA
1047197.09000000
0.200483746823
Long
DBT
NUSS
US
N
2
2023-07-27
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
223.44000000
0.000042777132
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
125000.00000000
NOK
13981.33000000
USD
2019-10-03
223.44000000
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 2.250000% 04/27/2021
N/A
100000.00000000
PA
113092.91000000
0.021651406934
Long
DBT
NUSS
FR
N
2
2021-04-27
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-63865.82000000
-0.01222698096
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
8226000.00000000
TRY
1392537.92000000
USD
2019-10-03
-63865.82000000
N
N
N
UNITED TECHNOLOGIES CORPORATION
I07WOS4YJ0N7YRFE7309
UNITED TECHNOLOGIES CORP 1.250000% 05/22/2023
N/A
225000.00000000
PA
255086.02000000
0.048835698208
Long
DBT
NUSS
US
N
2
2023-05-22
Fixed
1.25000000
N
N
N
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
-557017.64000000
-0.10663989098
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Dec 2019
2019-12-09
-566155.51000000
EUR
9137.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-5100.04000000
-0.00097639225
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
346000.00000000
GBP
421292.44000000
USD
2019-10-03
-5100.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
249.93000000
0.000047848588
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
26000.00000000
EUR
28597.44000000
USD
2019-10-03
249.93000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.750000% 07/22/2052
N/A
80000.00000000
PA
176829.29000000
0.033853606876
Long
DBT
NUSS
GB
N
2
2052-07-22
Fixed
3.75000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2004-6 BSARM 2004-6 3A
07384MW81
9695.76450000
PA
USD
9881.29000000
0.001891752814
Long
ABS-MBS
US
N
2
2034-09-25
Floating
4.60596960
N
N
N
N
N
N
ENEL - SPA
WOCMU6HCI0OJWNPRZS33
ENEL SPA 3.500000% 05/24/2080
N/A
175000.00000000
PA
206048.45000000
0.039447555457
Long
DBT
NUSS
IT
N
2
2080-05-24
Fixed
3.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
151.40000000
0.000028985221
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14636.78000000
USD
12000.00000000
GBP
2019-10-03
151.40000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-48.16000000
-0.00000922013
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
15000.31000000
USD
147000.00000000
SEK
2019-10-03
-48.16000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
349.48000000
0.000066907233
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14438.70000000
USD
12000.00000000
GBP
2019-10-03
349.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
169.21000000
0.000032394909
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
35000.00000000
NZD
22116.19000000
USD
2019-10-03
169.21000000
N
N
N
BPCE SFH SA
969500T1UBNNTYVWOS04
BPCE SFH SA MTN 3.750000% 09/13/2021
N/A
200000.00000000
PA
236063.06000000
0.045193791319
Long
DBT
NUSS
FR
N
2
2021-09-13
Fixed
3.75000000
N
N
N
N
N
N
Minerva Luxembourg S.A.
222100NM3G3RCPGZ2Z17
MINERVA LUXEMBOURG SA 144A 6.500000% 09/20/2026
603374AD1
290000.00000000
PA
USD
301658.00000000
0.057751808782
Long
DBT
NUSS
LU
Y
2
2026-09-20
Fixed
6.50000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2019-10-04
N/A
1.00000000
NC
22248.40000000
0.004259410798
N/A
DFE
KR
N
2
JP MORGAN
N/A
2104806.85000000
USD
2544501000.00000000
KRW
2019-10-04
22248.40000000
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 2.375000% 09/23/2024
09857LAC2
355000.00000000
PA
429727.80000000
0.082270510757
Long
DBT
NUSS
US
N
2
2024-09-23
Fixed
2.37500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-210.83000000
-0.00004036297
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14044.11000000
USD
136000.00000000
SEK
2019-10-03
-210.83000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-173.53000000
-0.00003322196
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
31791.91000000
USD
29000.00000000
EUR
2019-10-03
-173.53000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.000000% 09/01/2022
135087G73
1268000.00000000
PA
943596.95000000
0.180649711342
Long
DBT
NUSS
CA
N
2
2022-09-01
Fixed
1.00000000
N
N
N
N
N
N
BRK: DEUTSCHE BANK AG LONDON
N/A
BRK: DEUTSCHE BANK AG LONDON PAY: 3-MONTH CNY CNRR
N/A
31000000.00000000
NC
-24322.49000000
-0.00465649109
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK AG LONDON
N/A
Y
2024-09-09
0.00000000
CNY
0.00000000
CNY
-31000000.00000000
CNY
-24322.49000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-749.32000000
-0.00014345578
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
54173.47000000
USD
49000.00000000
EUR
2019-10-03
-749.32000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
444650000.00000000
PA
4960290.35000000
0.949637469580
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-10-03
N/A
1.00000000
NC
5918.98000000
0.001133176647
N/A
DFE
BR
N
2
JP MORGAN
N/A
1250298.66000000
USD
5233000.00000000
BRL
2019-10-03
5918.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-1269.53000000
-0.00024304892
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
535000.00000000
CAD
402817.77000000
USD
2019-10-03
-1269.53000000
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 4.250000% 10/07/2026
N/A
200000.00000000
PA
286907.53000000
0.054927861388
Long
DBT
NUSS
FR
N
2
2026-10-07
Fixed
4.25000000
N
N
N
N
N
N
Prologis Euro Finance LLC
549300MI5D1784PRQH06
PROLOGIS EURO FINANCE LLC 0.250000% 09/10/2027
74341EAB8
161000.00000000
PA
173457.91000000
0.033208163052
Long
DBT
NUSS
US
N
2
2027-09-10
Fixed
0.25000000
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA MTN 1.125000% 01/23/2025
N/A
100000.00000000
PA
112886.64000000
0.021611916963
Long
DBT
NUSS
FR
N
2
2025-01-23
Fixed
1.12500000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA MTN 0.375000% 04/11/2024
N/A
455000.00000000
PA
511147.31000000
0.097858109868
Long
DBT
NUSS
AU
N
2
2024-04-11
Fixed
0.37500000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 3.625000% 12/05/2022
N/A
200000.00000000
PA
245811.66000000
0.047060140903
Long
DBT
NUSS
IT
N
2
2022-12-05
Fixed
3.62500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-11065.72000000
-0.00211850952
N/A
DFE
HU
N
2
BARCLAYS CAPITAL INC.
N/A
453115.05000000
USD
135810000.00000000
HUF
2019-10-03
-11065.72000000
N
N
N
BANK OF IRELAND MORTGAGE BANK
635400LWGWFFKITHYD44
BANK OF IRELAND MORTGAGE BANK MTN 0.375000% 05/07/2022
N/A
555000.00000000
PA
617660.31000000
0.118249806455
Long
DBT
NUSS
IE
N
2
2022-05-07
Fixed
0.37500000
N
N
N
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC MTN 1.117000% 01/25/2024
N/A
165000.00000000
PA
187777.58000000
0.035949634665
Long
DBT
NUSS
GB
N
2
2024-01-25
Fixed
1.11700000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
15773.10000000
0.003019727821
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
421486.64000000
EUR
475567.17000000
USD
2019-10-10
15773.10000000
N
N
N
DH Europe Finance II S.a r.l.
222100KDGL314CKTZ511
DH EUROPE FINANCE II SARL 0.450000% 03/18/2028
N/A
154000.00000000
PA
168132.42000000
0.032188608854
Long
DBT
NUSS
LU
N
2
2028-03-18
Fixed
0.45000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
390.40000000
0.000074741283
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14397.78000000
USD
12000.00000000
GBP
2019-10-03
390.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
809.44000000
0.000154965636
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
48000.00000000
NZD
30908.16000000
USD
2019-10-03
809.44000000
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 1.500000% 11/15/2023
N/A
4025000.00000000
PA
644507.79000000
0.123389701738
Long
DBT
NUSS
DK
N
2
2023-11-15
Fixed
1.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-22859.28000000
-0.00437636252
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
5290044.52000000
USD
4831000.00000000
EUR
2019-10-03
-22859.28000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 3.750000% 05/29/2020
N/A
483000.00000000
PA
307869.48000000
0.058940983958
Long
DBT
NUSS
DE
N
2
2020-05-29
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2016-HQA1 M3
3137G0JJ9
250000.00000000
PA
USD
277949.00000000
0.053212769093
Long
DBT
USGA
US
N
2
2028-09-25
Floating
8.36838000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1811.92000000
0.000346888388
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
167000.00000000
GBP
207614.07000000
USD
2019-10-03
1811.92000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 1.550000% 03/15/2028
171239AA4
325000.00000000
PA
385364.84000000
0.073777312556
Long
DBT
NUSS
US
N
2
2028-03-15
Fixed
1.55000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
354.87000000
0.000067939137
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
137000.00000000
SEK
14289.87000000
USD
2019-10-03
354.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
790.06000000
0.000151255375
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
519000.00000000
SEK
53580.31000000
USD
2019-10-03
790.06000000
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED
JHE42UYNWWTJB8YTTU19
AUSTRALIA & NEW ZEALAND BANKING GROUP LTD 144A 4.500000% 03/19/2024
052528AH9
200000.00000000
PA
USD
213268.00000000
0.040829723579
Long
DBT
NUSS
AU
Y
2
2024-03-19
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
21033.69000000
0.004026857046
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7862000.00000000
DKK
1169122.79000000
USD
2019-10-03
21033.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
374.77000000
0.000071748952
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
82338.90000000
EUR
90197.16000000
USD
2019-10-10
374.77000000
N
N
N
Odebrecht Finance, Ltd.
N/A
ODEBRECHT FINANCE LTD 7.125000% 06/26/2042
G6710EAL4
280000.00000000
PA
USD
28002.80000000
0.005361078940
Long
DBT
NUSS
KY
N
2
2042-06-26
Fixed
7.12500000
Y
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-66.13000000
-0.00001266045
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
13824.02000000
USD
125000.00000000
NOK
2019-10-03
-66.13000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
1493000.00000000
PA
397205.76000000
0.076044232537
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC MTN 1.526000% 09/26/2022
N/A
350000.00000000
PA
399714.91000000
0.076524604186
Long
DBT
NUSS
GB
N
2
2022-09-26
Fixed
1.52600000
N
N
N
N
N
N
European Union
529900FZRK8FGMPEOM08
EUROPEAN UNION MTN 2.875000% 04/04/2028
N/A
575000.00000000
PA
802364.65000000
0.153611075590
Long
DBT
NUSS
XX
N
2
2028-04-04
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2019-10-24
N/A
1.00000000
NC
USD
3955.57000000
0.000757285807
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
190425000.00000000
THB
6233632.32000000
USD
2019-10-24
3955.57000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4.28000000
-0.00000081939
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13799.53000000
USD
22000.00000000
NZD
2019-10-03
-4.28000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-170.32000000
-0.00003260741
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14003.60000000
USD
136000.00000000
SEK
2019-10-03
-170.32000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 2.625000% 04/25/2021
38141GVU5
425000.00000000
PA
USD
427465.09000000
0.081837319543
Long
DBT
CORP
US
N
2
2021-04-25
Fixed
2.62500000
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 1.750000% 05/25/2023
N/A
2359000.00000000
PA
2805097.53000000
0.537030200321
Long
DBT
NUSS
FR
N
2
2023-05-25
Fixed
1.75000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 03/20/2042
N/A
93850000.00000000
PA
1200602.66000000
0.229852930285
Long
DBT
NUSS
JP
N
2
2042-03-20
Fixed
2.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
451400000.00000000
PA
4456444.67000000
0.853177241881
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-347.37000000
-0.00006650327
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31156.08000000
USD
25000.00000000
GBP
2019-10-03
-347.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
242.92000000
0.000046506538
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
15031.10000000
USD
2019-10-03
242.92000000
N
N
N
MCKESSON CORPORATION
549300WZWOM80UCFSF54
MCKESSON CORP 0.625000% 08/17/2021
581557BF1
355000.00000000
PA
391551.15000000
0.074961668987
Long
DBT
CORP
US
N
2
2021-08-17
Fixed
0.62500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-74.70000000
-0.00001430116
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
10104.29000000
USD
10000.00000000
CHF
2019-10-03
-74.70000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-191.61000000
-0.00003668334
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14024.89000000
USD
136000.00000000
SEK
2019-10-03
-191.61000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.379000% 02/07/2025
N/A
165000.00000000
PA
189248.30000000
0.036231201009
Long
DBT
NUSS
US
N
2
2025-02-07
Fixed
1.37900000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-196.94000000
-0.00003770376
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
32291.63000000
USD
32000.00000000
CHF
2019-10-03
-196.94000000
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 0.625000% 01/18/2027
N/A
225000.00000000
PA
263120.85000000
0.050373950022
Long
DBT
NUSS
NL
N
2
2027-01-18
Fixed
0.62500000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2033
N/A
550000.00000000
PA
829919.22000000
0.158886341812
Long
DBT
NUSS
NL
Y
2
2033-01-15
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2019-10-24
N/A
1.00000000
NC
USD
70549.91000000
0.013506636362
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1103286000.00000000
HUF
3667225.86000000
USD
2019-10-24
70549.91000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-368.69000000
-0.00007058494
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
30467.41000000
USD
48000.00000000
NZD
2019-10-03
-368.69000000
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
6.00000000
NC
1114035.28000000
0.213279781963
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Dec 2019
2019-12-09
1114239.17000000
EUR
-203.89000000
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES 1.875000% 10/20/2022
N/A
200000.00000000
PA
229307.28000000
0.043900411018
Long
DBT
NUSS
FR
N
2
2022-10-20
Fixed
1.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-10
N/A
1.00000000
NC
-6621.72000000
-0.00126771478
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
466792.77000000
USD
421832.21000000
EUR
2019-10-10
-6621.72000000
N
N
N
Rogers Communications Inc.
54930030NVF3Y2OL0A78
ROGERS COMMUNICATIONS INC 4.000000% 06/06/2022
775109AV3
165000.00000000
PA
130195.47000000
0.024925657160
Long
DBT
NUSS
CA
N
2
2022-06-06
Fixed
4.00000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-CR14 MORTGAGE TRUST COMM 2014-CR14 A3
12630DAX2
70000.00000000
PA
USD
74814.15000000
0.014323016412
Long
ABS-MBS
US
N
2
2047-02-10
Fixed
3.95500000
N
N
N
N
N
N
ENGIE S.A.
LAXUQCHT4FH58LRZDY46
ENGIE SA MTN 0.875000% 03/27/2024
N/A
300000.00000000
PA
339607.74000000
0.065017209096
Long
DBT
NUSS
FR
N
2
2024-03-27
Fixed
0.87500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-21.17000000
-0.00000405295
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
14503.00000000
USD
1565000.00000000
JPY
2019-10-03
-21.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
615.23000000
0.000117784528
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
299000.00000000
SEK
31028.11000000
USD
2019-10-03
615.23000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.500000% 09/15/2027
N/A
510000.00000000
PA
596252.86000000
0.114151393819
Long
DBT
NUSS
DE
N
2
2027-09-15
Fixed
0.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-157.08000000
-0.00003007264
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13990.36000000
USD
136000.00000000
SEK
2019-10-03
-157.08000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 4.125000% 04/14/2027
N/A
640000.00000000
PA
914078.65000000
0.174998493018
Long
DBT
NUSS
PT
Y
2
2027-04-14
Fixed
4.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-206.89000000
-0.00003960866
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14380.64000000
USD
13000.00000000
EUR
2019-10-03
-206.89000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-326.77000000
-0.00006255944
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14160.05000000
USD
136000.00000000
SEK
2019-10-03
-326.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
2026.63000000
0.000387994179
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
316000.00000000
NZD
200176.52000000
USD
2019-10-03
2026.63000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 4.250000% 07/04/2039
EG1209048
122500.00000000
PA
257654.66000000
0.049327459096
Long
DBT
NUSS
DE
N
2
2039-07-04
Fixed
4.25000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.400000% 04/30/2028
N/A
302000.00000000
PA
367636.25000000
0.070383210163
Long
DBT
NUSS
ES
Y
2
2028-04-30
Fixed
1.40000000
N
N
N
N
N
N
ALLIED IRISH BANKS, PUBLIC LIMITED COMPANY
3U8WV1YX2VMUHH7Z1Q21
ALLIED IRISH BANKS PLC MTN 4.125000% 11/26/2025
N/A
177000.00000000
PA
200595.88000000
0.038403672053
Long
DBT
NUSS
IE
N
2
2025-11-26
Fixed
4.12500000
N
N
N
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP 3.250000% 06/15/2029
756109AW4
315000.00000000
PA
USD
329480.65000000
0.063078398372
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS486162
-1345000.00000000
NC
USD
-113815.41000000
-0.02178972808
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-164004.16000000
USD
-1345000.00000000
USD
50188.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
247.47000000
0.000047377626
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
31970.21000000
USD
2019-10-03
247.47000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.000000% 07/15/2024
N/A
765000.00000000
PA
859109.19000000
0.164474702027
Long
DBT
NUSS
AT
Y
2
2024-07-15
Fixed
0.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-10590.43000000
-0.00202751622
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
563491.06000000
USD
59750000.00000000
JPY
2019-10-03
-10590.43000000
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.400000% 06/02/2026
68323ADM3
585000.00000000
PA
454068.69000000
0.086930524497
Long
DBT
NUSS
CA
N
2
2026-06-02
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
6597.39000000
0.001263056858
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
410000.00000000
EUR
453615.80000000
USD
2019-10-03
6597.39000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 1.900000% 01/26/2026
N/A
397500000.00000000
PA
4241001.41000000
0.811931069212
Long
DBT
NUSS
XX
N
2
2026-01-26
Fixed
1.90000000
N
N
N
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.500000% 09/15/2026
N/A
205000.00000000
PA
257413.27000000
0.049281245473
Long
DBT
NUSS
GB
N
2
2026-09-15
Fixed
2.50000000
N
N
N
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 1.875000% 05/23/2022
N/A
235000.00000000
PA
269012.82000000
0.051501955660
Long
DBT
NUSS
JE
N
2
2022-05-23
Fixed
1.87500000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 3.500000% 12/01/2048
74814ZEW9
520000.00000000
PA
488509.37000000
0.093524122432
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
203.58000000
0.000038974975
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13759.41000000
USD
2019-10-03
203.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
5635.00000000
0.001078809255
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
574827000.00000000
COP
170885.69000000
USD
2019-10-03
5635.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-170.78000000
-0.00003269548
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
70000.00000000
AUD
47042.17000000
USD
2019-10-03
-170.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-68.59000000
-0.00001313141
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14282.17000000
USD
2019-10-03
-68.59000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-335.17000000
-0.00006416761
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14130.42000000
USD
22000.00000000
NZD
2019-10-03
-335.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
121.36000000
0.000023234124
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14285.25000000
USD
2019-10-03
121.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
59.97000000
0.000011481134
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14101.40000000
USD
2019-10-03
59.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
2396.61000000
0.000458826095
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2279000.00000000
ZAR
152681.47000000
USD
2019-10-03
2396.61000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.000000% 09/01/2024
N/A
2860000.00000000
PA
2197933.47000000
0.420789879519
Long
DBT
NUSS
SG
N
2
2024-09-01
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
3187.63000000
0.000610265261
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
320004000.00000000
COP
95182.06000000
USD
2019-10-03
3187.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
194.78000000
0.000037290233
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14982.96000000
USD
2019-10-03
194.78000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.375000% 06/19/2024
N/A
835000.00000000
PA
1007097.79000000
0.192806817632
Long
DBT
NUSS
US
N
2
2024-06-19
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-66.56000000
-0.00001274277
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14721.62000000
USD
2019-10-03
-66.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
3919.39000000
0.000750359220
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2279000.00000000
ZAR
154204.25000000
USD
2019-10-03
3919.39000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-115.60000000
-0.00002213138
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13948.88000000
USD
136000.00000000
SEK
2019-10-03
-115.60000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-10-25
N/A
1.00000000
NC
-19201.79000000
-0.00367614352
N/A
DFE
MX
N
2
JPM CHASE
N/A
1389038.93000000
USD
27154628.38000000
MXN
2019-10-25
-19201.79000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
14610000.00000000
PA
10077406.84000000
1.929298983772
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.750000% 12/07/2030
N/A
115000.00000000
PA
207393.29000000
0.039705022332
Long
DBT
NUSS
GB
N
2
2030-12-07
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
385.65000000
0.000073831905
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
299000.00000000
SEK
30798.53000000
USD
2019-10-03
385.65000000
N
N
N
Trivium Packaging Finance B.V.
724500GMZWW3PVYET548
TRIVIUM PACKAGING FINANCE BV 144A 3.750000% 08/15/2026
N/A
100000.00000000
PA
115289.01000000
0.022071845799
Long
DBT
NUSS
NL
Y
2
2026-08-15
Fixed
3.75000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.500000% 12/07/2042
N/A
230000.00000000
PA
493585.58000000
0.094495952482
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
228.94000000
0.000043830096
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
15017.12000000
USD
2019-10-03
228.94000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
118.01000000
0.000022592773
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
14232.75000000
USD
19000.00000000
CAD
2019-10-03
118.01000000
N
N
N
COCA-COLA EUROPEAN PARTNERS PLC
549300LTH67W4GWMRF57
COCA-COLA EUROPEAN PARTNERS PLC 2.375000% 05/07/2025
N/A
400000.00000000
PA
486202.82000000
0.093082538139
Long
DBT
NUSS
GB
N
2
2025-05-07
Fixed
2.37500000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.500000% 04/21/2033
N/A
195000.00000000
PA
187123.79000000
0.035824467903
Long
DBT
NUSS
AU
N
2
2033-04-21
Fixed
4.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-68.35000000
-0.00001308546
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14242.10000000
USD
13000.00000000
EUR
2019-10-03
-68.35000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 5.500000% 04/15/2023
N/A
1608000.00000000
PA
1173394.23000000
0.224643931861
Long
DBT
NUSS
NZ
N
2
2023-04-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
290404.20600000
PA
USD
310477.90000000
0.059440360646
Long
DBT
USGA
US
N
2
2024-11-25
Floating
7.14525120
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
5429.01000000
0.001039372890
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
60447000.00000000
JPY
564779.37000000
USD
2019-10-03
5429.01000000
N
N
N
ZF NORTH AMERICA CAPITAL, INC.
529900JYGMS9CW9IQX78
ZF NORTH AMERICA CAPITAL INC 2.750000% 04/27/2023
N/A
200000.00000000
PA
232017.09000000
0.044419198615
Long
DBT
NUSS
US
N
2
2023-04-27
Fixed
2.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
9.39000000
0.000001797696
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13785.86000000
USD
22000.00000000
NZD
2019-10-03
9.39000000
N
N
N
IHS MARKIT LTD.
549300HLPTRASHS0E726
IHS MARKIT LTD 144A 4.000000% 03/01/2026
44962LAC1
85000.00000000
PA
USD
89505.00000000
0.017135549679
Long
DBT
NUSS
BM
Y
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 11/20/2036
N/A
22113000.00000000
PA
1425573.95000000
0.272923224862
Long
DBT
NUSS
MX
N
2
2036-11-20
Fixed
10.00000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
3522000.00000000
PA
147658.34000000
0.028268888001
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
Kongeriket Norge
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 2.000000% 05/24/2023
N/A
6849000.00000000
PA
772499.99000000
0.147893547351
Long
DBT
NUSS
NO
Y
2
2023-05-24
Fixed
2.00000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 4.700000% 09/12/2022
N/A
7470000.00000000
PA
346622.41000000
0.066360153359
Long
DBT
NUSS
CZ
N
2
2022-09-12
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
145.70000000
0.000027893967
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9000.00000000
NZD
5789.21000000
USD
2019-10-03
145.70000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 6.500000% MATURITY: PERPETUAL
060505EL4
67000.00000000
PA
USD
74537.50000000
0.014270052334
Long
DBT
CORP
US
N
2
2168-04-23
Fixed
6.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
5.39000000
0.000001031904
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
30962.05000000
USD
41000.00000000
CAD
2019-10-03
5.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
160.88000000
0.000030800147
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
80000.00000000
NOK
8965.93000000
USD
2019-10-03
160.88000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 1.500000% 02/20/2047
N/A
95000.00000000
PA
137837.10000000
0.026388631636
Long
DBT
NUSS
AT
Y
2
2047-02-20
Fixed
1.50000000
N
N
N
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
Sweden Government Bond 2.500000% 05/12/2025
N/A
34085000.00000000
PA
4068405.62000000
0.778887957275
Long
DBT
USGA
SE
Y
2
2025-05-12
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-92.43000000
-0.00001769553
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4558000.00000000
ZAR
300477.28000000
USD
2019-10-03
-92.43000000
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC MTN 0.955000% 09/07/2023
N/A
540000.00000000
PA
594881.89000000
0.113888924409
Long
DBT
NUSS
US
N
2
2023-09-07
Fixed
0.95500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 06/11/2020
N/A
8335000.00000000
PA
425319.72000000
0.081426592833
Long
DBT
NUSS
MX
N
2
2020-06-11
Fixed
8.00000000
N
N
N
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED
JHE42UYNWWTJB8YTTU19
AUSTRALIA & NEW ZEALAND BANKING GROUP LTD MTN 5.000000% 08/16/2023
N/A
750000.00000000
PA
575080.13000000
0.110097917848
Long
DBT
NUSS
AU
N
2
2023-08-16
Fixed
5.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO BUXL 30Y BND DEC19 FINANCIAL COMMODITY FUTURE.
N/A
15.00000000
NC
3556788.70000000
0.680939941529
N/A
DIR
DE
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
Germany Govt. Bond Futures
EURO BUXL 30Y BND Dec 2019
2019-12-09
3613745.07000000
EUR
-56956.37000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 2.500000% 08/15/2046
N/A
267000.00000000
PA
500711.60000000
0.095860214475
Long
DBT
NUSS
DE
N
2
2046-08-15
Fixed
2.50000000
N
N
N
N
N
N
Canada Housing Trust No. 1
549300M44WH89JG50067
CANADA HOUSING TRUST NO 1 144A 2.250000% 12/15/2025
13509PFD0
2235000.00000000
PA
1737037.27000000
0.332552242158
Long
DBT
NUSS
CA
Y
2
2025-12-15
Fixed
2.25000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
3118.69000000
0.000597066839
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
151799.04000000
USD
875000.00000000
TRY
2019-10-03
3118.69000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-181.64000000
-0.00003477460
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
48154.35000000
USD
44000.00000000
EUR
2019-10-03
-181.64000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-10
N/A
1.00000000
NC
-23037.11000000
-0.00441040771
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
788812.79000000
USD
701975.60000000
EUR
2019-10-10
-23037.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
296.13000000
0.000056693484
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
125000.00000000
NOK
14054.02000000
USD
2019-10-03
296.13000000
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
5.00000000
NC
794976.34000000
0.152196598711
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Italy Govt. Bond Futures
Euro-BTP Futures Dec 2019
2019-12-09
795080.84000000
EUR
-104.50000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.900000% 08/01/2022
N/A
2312000.00000000
PA
2591705.47000000
0.496176725708
Long
DBT
NUSS
IT
N
2
2022-08-01
Fixed
0.90000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-344.94000000
-0.00006603805
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
30502.24000000
USD
274000.00000000
NOK
2019-10-03
-344.94000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 3.550000% 04/09/2024
456837AP8
325000.00000000
PA
USD
339527.08000000
0.065001766903
Long
DBT
NUSS
NL
N
2
2024-04-09
Fixed
3.55000000
N
N
N
N
N
N
N/A
N/A
AUSTRALIAN 3Y FUT DEC19 EXPIRES: 12/16/2019
N/A
13.00000000
NC
1014359.84000000
0.194197122291
N/A
DIR
AU
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Australia Govt. Bond Futures
AUST 3YR BOND FUT (consolidated) Dec 2019
2019-12-16
1027785.94000000
AUD
-13426.10000000
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE 0.000000% 07/25/2022
N/A
445000.00000000
PA
490588.66000000
0.093922198261
Long
DBT
NUSS
CA
N
2
2022-07-25
Fixed
0.00000000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 2.000000% 05/25/2022
N/A
75000.00000000
PA
81075.06000000
0.015521654861
Long
DBT
NUSS
CH
N
2
2022-05-25
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4496.01000000
0.000860751943
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2201000.00000000
ZAR
149637.29000000
USD
2019-10-03
4496.01000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.500000% 04/15/2020
N/A
185000.00000000
PA
127244.66000000
0.024360730605
Long
DBT
NUSS
AU
N
2
2020-04-15
Fixed
4.50000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.750000% 09/28/2020
N/A
2126000.00000000
PA
2418030.99000000
0.462927100771
Long
DBT
NUSS
BE
Y
2
2020-09-28
Fixed
3.75000000
N
N
N
N
N
N
FEDEX CORPORATION
549300E707U7WNPZN687
FEDEX CORP 0.700000% 05/13/2022
31428XBT2
108000.00000000
PA
119604.65000000
0.022898066274
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
0.70000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
5.00000000
NC
827120.48000000
0.158350528747
N/A
DIR
GB
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Dec 2019
2019-12-30
826751.60000000
GBP
368.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
137.15000000
0.000026257087
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14178.58000000
USD
2019-10-03
137.15000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
Republic of Austria Government Bond .500000% 02/20/2029
N/A
885000.00000000
PA
1040399.39000000
0.199182341024
Long
DBT
NUSS
XX
Y
2
2029-02-20
Fixed
0.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
268.50000000
0.000051403777
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14519.68000000
USD
12000.00000000
GBP
2019-10-03
268.50000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
6710000.00000000
PA
310450.19000000
0.059435055623
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
9684.15000000
0.001854010763
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
299974.27000000
USD
1749000.00000000
TRY
2019-10-03
9684.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-11-08
N/A
1.00000000
NC
USD
7879.43000000
0.001508500801
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7769974.15000000
AUD
5254219.69000000
USD
2019-11-08
7879.43000000
N
N
N
DH Europe Finance S.a r.l.
2221002WRBW5MJ8VL618
DH EUROPE FINANCE SA 1.700000% 01/04/2022
23290YAC0
150000.00000000
PA
170347.12000000
0.032612608652
Long
DBT
NUSS
LU
N
2
2022-01-04
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-21.53000000
-0.00000412187
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14329.23000000
USD
2019-10-03
-21.53000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.750000% 12/01/2048
135087D35
300000.00000000
PA
290709.97000000
0.055655830770
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
NATIONAL GRID NORTH AMERICA INC.
5Q3U0WRKWZZGRMPYFT08
NATIONAL GRID NORTH AMERICA INC MTN 1.000000% 07/12/2024
N/A
300000.00000000
PA
339412.16000000
0.064979765704
Long
DBT
NUSS
US
N
2
2024-07-12
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
529.61000000
0.000101392754
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
296000.00000000
SEK
30637.35000000
USD
2019-10-03
529.61000000
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
MOODY'S CORP 1.750000% 03/09/2027
615369AF2
265000.00000000
PA
315743.08000000
0.060448368617
Long
DBT
NUSS
US
N
2
2027-03-09
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
67.33000000
0.000012890191
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
31790.07000000
USD
2019-10-03
67.33000000
N
N
N
BERKSHIRE HATHAWAY FINANCE CORPORATION
549300RLHFT5RU20WM87
BERKSHIRE HATHAWAY FINANCE CORP 2.625000% 06/19/2059
084664CT6
144000.00000000
PA
205963.52000000
0.039431295782
Long
DBT
NUSS
US
N
2
2059-06-19
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4216.87000000
0.000807311159
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
511000.00000000
EUR
561354.45000000
USD
2019-10-03
4216.87000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.125000% 06/07/2023
N/A
1135000.00000000
PA
1270193.76000000
0.243176004429
Long
DBT
NUSS
DE
N
2
2023-06-07
Fixed
0.12500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.900000% 06/20/2031
N/A
17150000.00000000
PA
196600.97000000
0.037638854682
Long
DBT
NUSS
JP
N
2
2031-06-20
Fixed
1.90000000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/25/2030
N/A
200000.00000000
PA
242424.61000000
0.046411697090
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
1.12500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-99.89000000
-0.00001912373
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
14450.65000000
USD
19000.00000000
CAD
2019-10-03
-99.89000000
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC MTN 0.875000% 09/06/2025
N/A
395000.00000000
PA
440471.98000000
0.084327462102
Long
DBT
NUSS
GB
N
2
2025-09-06
Fixed
0.87500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-201.73000000
-0.00003862079
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32061.76000000
USD
3443000.00000000
JPY
2019-10-03
-201.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-21.93000000
-0.00000419845
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14328.83000000
USD
2019-10-03
-21.93000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.800000% 03/01/2067
N/A
90000.00000000
PA
116436.60000000
0.022291549564
Long
DBT
NUSS
IT
Y
2
2067-03-01
Fixed
2.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
362.17000000
0.000069336707
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
296000.00000000
SEK
30469.91000000
USD
2019-10-03
362.17000000
N
N
N
WEIBO CORPORATION
549300Q9ID4640FE0422
WEIBO CORP 3.500000% 07/05/2024
948596AD3
200000.00000000
PA
USD
203169.77000000
0.038896438043
Long
DBT
NUSS
KY
N
2
2024-07-05
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
164.24000000
0.000031443412
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13720.07000000
USD
2019-10-03
164.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
104.54000000
0.000020013969
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3443000.00000000
JPY
31964.57000000
USD
2019-10-03
104.54000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-23
N/A
1.00000000
NC
-69283.56000000
-0.01326419623
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
5553137.46000000
USD
53827300.00000000
SEK
2019-10-23
-69283.56000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
42.28000000
0.000008094419
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
48019.30000000
USD
39000.00000000
GBP
2019-10-03
42.28000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-120.86000000
-0.00002313840
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14294.61000000
USD
13000.00000000
EUR
2019-10-03
-120.86000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
18935000.00000000
PA
1032007.37000000
0.197575705913
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.900000% 08/15/2024
674599CW3
265000.00000000
PA
USD
266983.11000000
0.051113371821
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.90000000
N
N
N
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.6460%
N/A
460000.00000000
NC
-141938.37000000
-0.02717381141
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2047-10-03
0.00000000
GBP
0.00000000
GBP
-460000.00000000
GBP
-141938.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
99.28000000
0.000019006953
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14450.04000000
USD
2019-10-03
99.28000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 06/20/2027
N/A
125400000.00000000
PA
1202331.60000000
0.230183932321
Long
DBT
NUSS
JP
N
2
2027-06-20
Fixed
0.10000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.350000% 07/30/2033
N/A
507000.00000000
PA
695066.35000000
0.133069034921
Long
DBT
NUSS
ES
Y
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RUB SETTLE 2019-11-14
N/A
1.00000000
NC
USD
5780.24000000
0.001106615157
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
59537552.04000000
RUB
918272.71000000
USD
2019-11-14
5780.24000000
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.500000% 04/30/2042
N/A
408000.00000000
PA
597300.71000000
0.114352002564
Long
DBT
NUSS
CH
N
2
2042-04-30
Fixed
1.50000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-268.91000000
-0.00005148227
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14064.16000000
USD
22000.00000000
NZD
2019-10-03
-268.91000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
3852.50000000
0.000737553266
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
151065.23000000
USD
875000.00000000
TRY
2019-10-03
3852.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
264.98000000
0.000050729880
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
SEK
13894.83000000
USD
2019-10-03
264.98000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA 6.250000% 07/15/2027
N/A
288000.00000000
PA
481321.01000000
0.092147925572
Long
DBT
NUSS
AT
N
2
2027-07-15
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
204.60000000
0.000039170252
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
120000.00000000
SEK
12410.44000000
USD
2019-10-03
204.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
161.42000000
0.000030903529
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14949.60000000
USD
2019-10-03
161.42000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
26.23000000
0.000005021679
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32749.90000000
USD
3542000.00000000
JPY
2019-10-03
26.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-1345.91000000
-0.00025767172
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
859000.00000000
TRY
150739.04000000
USD
2019-10-03
-1345.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-9650.50000000
-0.00184756854
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
751000.00000000
GBP
915843.00000000
USD
2019-10-03
-9650.50000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-5077.73000000
-0.00097212105
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
325622.64000000
USD
294000.00000000
EUR
2019-10-03
-5077.73000000
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 0.500000% 07/27/2021
N/A
150000.00000000
PA
164491.49000000
0.031491560233
Long
DBT
NUSS
GB
N
2
2021-07-27
Fixed
0.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (2 YEAR ISSUE) 0.100000% 11/01/2020
N/A
649250000.00000000
PA
6033234.10000000
1.155050361942
Long
DBT
NUSS
JP
N
2
2020-11-01
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
61.18000000
0.000011712786
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
24000.00000000
NZD
15110.54000000
USD
2019-10-03
61.18000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-168.23000000
-0.00003220729
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14001.51000000
USD
136000.00000000
SEK
2019-10-03
-168.23000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRISH TSY 5.4% 2025 5.400000% 03/13/2025
N/A
351000.00000000
PA
504101.30000000
0.096509165626
Long
DBT
NUSS
IE
N
2
2025-03-13
Fixed
5.40000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.250000% 06/01/2029
135087J39
3537000.00000000
PA
2881960.42000000
0.551745443828
Long
DBT
NUSS
CA
N
2
2029-06-01
Fixed
2.25000000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 5.250000% 09/14/2027
N/A
195000.00000000
PA
291783.19000000
0.055861296550
Long
DBT
NUSS
NL
N
2
2027-09-14
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
71.88000000
0.000013761279
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14860.06000000
USD
2019-10-03
71.88000000
N
N
N
ORANGE S.A.
969500MCOONR8990S771
ORANGE SA MTN 2.500000% 03/01/2023
N/A
500000.00000000
PA
592836.27000000
0.113497294632
Long
DBT
NUSS
FR
N
2
2023-03-01
Fixed
2.50000000
N
N
N
N
N
N
RIO TINTO FINANCE PLC
2138009113L7IDGEM175
RIO TINTO FINANCE PLC MTN 2.875000% 12/11/2024
N/A
290000.00000000
PA
361021.96000000
0.069116917834
Long
DBT
NUSS
GB
N
2
2024-12-11
Fixed
2.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-81.84000000
-0.00001566810
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14255.59000000
USD
13000.00000000
EUR
2019-10-03
-81.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
606.22000000
0.000116059582
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
300000.00000000
SEK
31120.82000000
USD
2019-10-03
606.22000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-11-21
N/A
1.00000000
NC
-2876.46000000
-0.00055069239
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
752794.00000000
USD
80761745.00000000
JPY
2019-11-21
-2876.46000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-118.33000000
-0.00002265403
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32949.99000000
USD
3548000.00000000
JPY
2019-10-03
-118.33000000
N
N
N
BPIFRANCE FINANCEMENT SA
969500STN7T9MRUMJ267
BPIFRANCE FINANCEMENT SA 0.000000% 11/25/2022
N/A
600000.00000000
PA
662520.99000000
0.126838292134
Long
DBT
NUSS
FR
N
2
2022-11-25
Fixed
0.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-322.37000000
-0.00006171707
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
33420.02000000
USD
33000.00000000
CHF
2019-10-03
-322.37000000
N
N
N
Lincoln Financing S.a r.l.
222100831I4WRVCLV609
LINCOLN FINANCING SARL 144A 3.625000% 04/01/2024
N/A
170000.00000000
PA
191432.09000000
0.036649283150
Long
DBT
NUSS
LU
Y
2
2024-04-01
Fixed
3.62500000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 5.500000% 12/01/2021
N/A
205000.00000000
PA
277820.74000000
0.053188213978
Long
DBT
NUSS
FR
N
2
2021-12-01
Fixed
5.50000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.600000% 04/30/2025
N/A
572000.00000000
PA
687549.91000000
0.131630027815
Long
DBT
NUSS
ES
Y
2
2025-04-30
Fixed
1.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
235.43000000
0.000045072593
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13883.26000000
USD
2019-10-03
235.43000000
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 1.700000% 06/15/2025
02209SAX1
210000.00000000
PA
238486.88000000
0.045657826713
Long
DBT
NUSS
US
N
2
2025-06-15
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
3895.96000000
0.000745873595
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
511000.00000000
EUR
561033.54000000
USD
2019-10-03
3895.96000000
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.306000% 06/27/2029
05971KAC3
200000.00000000
PA
USD
206626.09000000
0.039558143457
Long
DBT
NUSS
ES
N
2
2029-06-27
Fixed
3.30600000
N
N
N
N
N
N
IHS MARKIT LTD.
549300HLPTRASHS0E726
IHS MARKIT LTD 4.125000% 08/01/2023
44962LAG2
326000.00000000
PA
USD
343049.80000000
0.065676184462
Long
DBT
NUSS
BM
N
2
2023-08-01
Fixed
4.12500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-55.91000000
-0.00001070385
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
5070.71000000
USD
5000.00000000
CHF
2019-10-03
-55.91000000
N
N
N
N/A
N/A
EURO FX CURR FUT DEC19 CURRENCY FUTURE.
N/A
-240.00000000
NC
USD
-32887500.00000000
-6.29624479156
N/A
DFE
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Currency Futures
EUR/USD Future (Consolidated) (IMM) Dec 2019
2019-12-19
-33354237.40000000
USD
466737.40000000
N
N
N
Canada
N/A
CAN 5YR BOND FUT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-21.00000000
NC
-1952175.23000000
-0.37373996576
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Dec 2019
2019-12-21
-1960982.35000000
CAD
8807.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
497.69000000
0.000095281735
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4564000.00000000
NOK
502825.92000000
USD
2019-10-03
497.69000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2040
N/A
470000.00000000
PA
951034.57000000
0.182073628520
Long
DBT
NUSS
GB
N
2
2040-12-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
33561.35000000
0.006425251999
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2477000.00000000
EUR
2734206.73000000
USD
2019-10-03
33561.35000000
N
N
N
ENEL Finance International N.V.
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTERNATIONAL NV MTN 5.625000% 08/14/2024
N/A
160000.00000000
PA
234535.48000000
0.044901339243
Long
DBT
NUSS
NL
N
2
2024-08-14
Fixed
5.62500000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 3.750000% 07/21/2026
21684AAF3
250000.00000000
PA
USD
259346.21000000
0.049651302893
Long
DBT
NUSS
NL
N
2
2026-07-21
Fixed
3.75000000
N
N
N
N
N
N
CREDIT AGRICOLE HOME LOAN SFH S.A.
969500C9913Z7PKUGB44
CREDIT AGRICOLE HOME LOAN SFH SA MTN 1.250000% 03/24/2031
N/A
300000.00000000
PA
375214.22000000
0.071833997062
Long
DBT
NUSS
FR
N
2
2031-03-24
Fixed
1.25000000
N
N
N
N
N
N
BNP PARIBAS S.A.
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 3.375000% 01/23/2026
N/A
490000.00000000
PA
656608.09000000
0.125706279490
Long
DBT
NUSS
FR
N
2
2026-01-23
Fixed
3.37500000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 2.125000% 09/12/2025
N/A
250000.00000000
PA
312416.21000000
0.059811446142
Long
DBT
NUSS
CH
N
2
2025-09-12
Fixed
2.12500000
N
N
N
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA MTN 0.250000% 07/02/2025
N/A
115000.00000000
PA
126278.59000000
0.024175778474
Long
DBT
NUSS
LU
N
2
2025-07-02
Fixed
0.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
32.03000000
0.000006132078
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13801.25000000
USD
136000.00000000
SEK
2019-10-03
32.03000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2022
N/A
914000.00000000
PA
1014178.68000000
0.194162439579
Long
DBT
NUSS
NL
Y
2
2022-01-15
Fixed
0.00000000
N
N
N
N
N
N
EDP Finance B.V.
5299007L43AQDFOW5739
EDP FINANCE BV MTN 2.000000% 04/22/2025
N/A
260000.00000000
PA
309567.85000000
0.059266133430
Long
DBT
NUSS
NL
N
2
2025-04-22
Fixed
2.00000000
N
N
N
N
N
N
INTERNATIONAL FINANCE CORPORATION
QKL54NQY28TCDAI75F60
INTERNATIONAL FINANCE CORP MTN 2.375000% 07/19/2023
45950KCN8
1000000.00000000
PA
770634.44000000
0.147536391609
Long
DBT
NUSS
XX
N
2
2023-07-19
Fixed
2.37500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
112.42000000
0.000021522579
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
14238.34000000
USD
19000.00000000
CAD
2019-10-03
112.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-01-08
N/A
1.00000000
NC
USD
31514.45000000
0.006033377169
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19798708.72000000
SEK
2059790.75000000
USD
2020-01-08
31514.45000000
N
N
N
Kraft Heinz Foods Company
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 2.000000% 06/30/2023
N/A
235000.00000000
PA
268154.56000000
0.051337643534
Long
DBT
NUSS
US
N
2
2023-06-30
Fixed
2.00000000
N
N
N
N
N
N
BNP PARIBAS S.A.
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 3.375000% 01/09/2025
09659W2D5
395000.00000000
PA
USD
407893.93000000
0.078090460882
Long
DBT
NUSS
FR
Y
2
2025-01-09
Fixed
3.37500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-195.90000000
-0.00003750465
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
32290.59000000
USD
32000.00000000
CHF
2019-10-03
-195.90000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-174.37000000
-0.00003338278
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14348.12000000
USD
13000.00000000
EUR
2019-10-03
-174.37000000
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 0.400000% 02/17/2025
N/A
1695000.00000000
PA
1935344.59000000
0.370517774068
Long
DBT
NUSS
LU
N
2
2025-02-17
Fixed
0.40000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
8.00000000
NC
1519743.59000000
0.290951810354
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
Euro-Bund Future Dec 2019
2019-12-09
1551472.26000000
EUR
-31728.67000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
2692.93000000
0.000515555955
N/A
DFE
ZA
N
2
BT BROKERAGE CORP
N/A
143305.61000000
USD
2214000.00000000
ZAR
2019-10-03
2692.93000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-123.87000000
-0.00002371465
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
14402.12000000
USD
1543000.00000000
JPY
2019-10-03
-123.87000000
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 0.800000% 06/12/2024
14040HCB9
291000.00000000
PA
323210.31000000
0.061877954569
Long
DBT
NUSS
US
N
2
2024-06-12
Fixed
0.80000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
55.93000000
0.000010707684
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13573.92000000
USD
134000.00000000
SEK
2019-10-03
55.93000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 1.250000% 07/22/2027
N/A
1015000.00000000
PA
1339716.45000000
0.256485981618
Long
DBT
NUSS
GB
N
2
2027-07-22
Fixed
1.25000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.750000% 01/15/2047
N/A
190000.00000000
PA
369385.39000000
0.070718079448
Long
DBT
NUSS
NL
Y
2
2047-01-15
Fixed
2.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-151.11000000
-0.00002892970
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14192.54000000
USD
14000.00000000
CHF
2019-10-03
-151.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
150.25000000
0.000028765056
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14191.68000000
USD
2019-10-03
150.25000000
N
N
N
CDP FINANCIERE INC.
549300OXMGVYFCBFV096
CDP FINANCIAL INC 144A 4.400000% 11/25/2019
125094AD4
850000.00000000
PA
USD
852594.72000000
0.163227520033
Long
DBT
NUSS
CA
Y
2
2019-11-25
Fixed
4.40000000
N
N
N
N
N
N
Europcar Mobility Group S.A.
969500XCGTMV08D76N87
EUROPCAR MOBILITY GROUP 144A 4.000000% 04/30/2026
ZS2399252
170000.00000000
PA
188526.97000000
0.036093103851
Long
DBT
NUSS
FR
Y
2
2026-04-30
Fixed
4.00000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-75.94000000
-0.00001453855
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13909.22000000
USD
136000.00000000
SEK
2019-10-03
-75.94000000
N
N
N
ING Bank N.V.
3TK20IVIUJ8J3ZU0QE75
ING BANK NV 144A 5.800000% 09/25/2023
449786AY8
315000.00000000
PA
USD
349537.84000000
0.066918306485
Long
DBT
NUSS
NL
Y
2
2023-09-25
Fixed
5.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
296.71000000
0.000056804524
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1566000.00000000
JPY
14787.80000000
USD
2019-10-03
296.71000000
N
N
N
Kongeriket Norge
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 3.000000% 03/14/2024
N/A
1972000.00000000
PA
233198.29000000
0.044645336946
Long
DBT
NUSS
NO
Y
2
2024-03-14
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-18
N/A
1.00000000
NC
USD
-301.04000000
-0.00005763349
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
277934.74000000
GBP
342407.82000000
USD
2019-10-18
-301.04000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-23660.39000000
-0.00452973340
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
3093274.60000000
USD
60617000.00000000
MXN
2019-10-03
-23660.39000000
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 1.050000% 06/20/2023
25159MAD9
132000000.00000000
PA
1283255.27000000
0.245676603876
Long
DBT
NUSS
JP
N
2
2023-06-20
Fixed
1.05000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAVISKA ENSKILDA BANKEN AB MTN 5.750000% MATURITY: PERPETUAL
N/A
465000.00000000
PA
USD
468487.50000000
0.089690976261
Long
DBT
NUSS
SE
N
2
2168-05-13
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
100.16000000
0.000019175427
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15144.55000000
USD
2019-10-03
100.16000000
N
N
N
INTERCONTINENTAL HOTELS GROUP PLC
2138007ZFQYRUSLU3J98
INTERCONTINENTAL HOTELS GROUP PLC MTN 3.750000% 08/14/2025
N/A
174000.00000000
PA
236509.10000000
0.045279184767
Long
DBT
NUSS
GB
N
2
2025-08-14
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS939213
-2160000.00000000
NC
USD
50523.26000000
0.009672575070
N/A
DO
XX
N
2
N/A
N/A
Y
2024-12-20
51415.33000000
USD
0.00000000
USD
-2160000.00000000
USD
-892.07000000
N
N
N
Republic of Finland
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 2.000000% 04/15/2024
N/A
482000.00000000
PA
589801.82000000
0.112916355369
Long
DBT
NUSS
FI
Y
2
2024-04-15
Fixed
2.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-196.52000000
-0.00003762335
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
31222.18000000
USD
46000.00000000
AUD
2019-10-03
-196.52000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.450000% 07/30/2066
N/A
240000.00000000
PA
444885.16000000
0.085172356411
Long
DBT
NUSS
ES
Y
2
2066-07-30
Fixed
3.45000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
46789500.00000000
PA
2709970.87000000
0.518818395302
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
14504.76000000
0.002776906715
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14838000.00000000
SEK
1523756.71000000
USD
2019-10-03
14504.76000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
QATAR GOVERNMENT INTERNATIONAL BOND 144A 3.375000% 03/14/2024
74727PAZ4
650000.00000000
PA
USD
680062.50000000
0.130196578443
Long
DBT
NUSS
QA
Y
2
2024-03-14
Fixed
3.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
639.07000000
0.000122348647
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
39000.00000000
NZD
25094.28000000
USD
2019-10-03
639.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2019-11-14
N/A
1.00000000
NC
USD
32238.23000000
0.006171943374
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
958944029.00000000
CLP
1350816.00000000
USD
2019-11-14
32238.23000000
N
N
N
SUEZ S.A.
549300JQIZM6CL7POC81
SUEZ 2.875000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
348911.98000000
0.066798486865
Long
DBT
NUSS
FR
N
2
2168-04-19
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-03
N/A
1.00000000
NC
USD
963.79000000
0.000184515629
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3012000.00000000
MXN
153489.95000000
USD
2019-10-03
963.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
142.29000000
0.000027241130
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
SEK
13772.14000000
USD
2019-10-03
142.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-88.44000000
-0.00001693165
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
64000.00000000
CAD
48250.98000000
USD
2019-10-03
-88.44000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 6.500000% 06/10/2021
N/A
9961900.00000000
PA
502812.57000000
0.096262440896
Long
DBT
NUSS
MX
N
2
2021-06-10
Floating
6.50000160
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-416.30000000
-0.00007969978
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32276.33000000
USD
3443000.00000000
JPY
2019-10-03
-416.30000000
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC MTN 1.125000% 01/14/2022
N/A
330000.00000000
PA
368955.59000000
0.070635795115
Long
DBT
NUSS
GB
N
2
2022-01-14
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2019-11-05
N/A
1.00000000
NC
USD
-3679.42000000
-0.00070441745
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3960000.00000000
ILS
1138290.84000000
USD
2019-11-05
-3679.42000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-32.56000000
-0.00000623354
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
14310.81000000
USD
1543000.00000000
JPY
2019-10-03
-32.56000000
N
N
N
DEXIA CREDIT LOCAL S.A.
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.625000% 01/21/2022
N/A
1550000.00000000
PA
1730732.51000000
0.331345208716
Long
DBT
NUSS
FR
N
2
2022-01-21
Fixed
0.62500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-1286.10000000
-0.00024622122
N/A
DFE
ZA
N
2
BT BROKERAGE CORP
N/A
145833.89000000
USD
2192000.00000000
ZAR
2019-10-03
-1286.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
89.26000000
0.000017088644
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14440.02000000
USD
2019-10-03
89.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
13942.23000000
0.002669211494
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
394120.53000000
EUR
443882.98000000
USD
2019-10-10
13942.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-50.04000000
-0.00000958005
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49000.00000000
CAD
36959.83000000
USD
2019-10-03
-50.04000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.441000% 02/15/2021
N/A
491000.00000000
PA
117754.94000000
0.022543943068
Long
DBT
NUSS
MY
N
2
2021-02-15
Fixed
3.44100000
N
N
N
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN 2.800000% 01/13/2021
N/A
1230000.00000000
PA
847534.16000000
0.162258686144
Long
DBT
NUSS
XX
N
2
2021-01-13
Fixed
2.80000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.900000% 09/20/2042
N/A
62100000.00000000
PA
785353.12000000
0.150354252872
Long
DBT
NUSS
JP
N
2
2042-09-20
Fixed
1.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-18
N/A
1.00000000
NC
USD
-53321.10000000
-0.01020821583
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7540015.37000000
GBP
9243933.68000000
USD
2019-10-18
-53321.10000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-49.98000000
-0.00000956856
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13883.26000000
USD
136000.00000000
SEK
2019-10-03
-49.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-30.83000000
-0.00000590234
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14319.93000000
USD
2019-10-03
-30.83000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 1.750000% 09/07/2022
N/A
654000.00000000
PA
839924.19000000
0.160801772910
Long
DBT
NUSS
GB
N
2
2022-09-07
Fixed
1.75000000
N
N
N
N
N
N
Japan
N/A
10YR MINI JGB FUT DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-1433634.06000000
-0.27446631648
N/A
DIR
SG
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Dec 2019
2019-12-15
-1442983.64000000
JPY
9349.58000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.000000% 06/22/2034
N/A
346000.00000000
PA
544858.20000000
0.104311990996
Long
DBT
NUSS
BE
Y
2
2034-06-22
Fixed
3.00000000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 3.000000% 09/10/2024
N/A
1254790000.00000000
PA
1128061.13000000
0.215965002336
Long
DBT
NUSS
KR
N
2
2024-09-10
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
280.30000000
0.000053662863
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
274000.00000000
NOK
30437.60000000
USD
2019-10-03
280.30000000
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP WORLD PLC 144A 2.375000% 09/25/2026
N/A
295000.00000000
PA
347338.81000000
0.066497306677
Long
DBT
NUSS
AE
Y
2
2026-09-25
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-28
N/A
1.00000000
NC
USD
382805.47000000
0.073287326390
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16399287.02000000
EUR
18297768.52000000
USD
2019-10-28
382805.47000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
1112100000.00000000
PA
323533.43000000
0.061939815234
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B 6.000000% 08/15/2050
N/A
1406000.00000000
PA
1578593.08000000
0.302218425175
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-4620.57000000
-0.00088459870
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
875000.00000000
TRY
150297.16000000
USD
2019-10-03
-4620.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
150.36000000
0.000028786115
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15194.75000000
USD
2019-10-03
150.36000000
N
N
N
UNITED TECHNOLOGIES CORPORATION
I07WOS4YJ0N7YRFE7309
UNITED TECHNOLOGIES CORP 1.150000% 05/18/2024
913017CU1
164000.00000000
PA
186170.02000000
0.035641870582
Long
DBT
NUSS
US
N
2
2024-05-18
Fixed
1.15000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-2606.89000000
-0.00049908377
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
555507.52000000
USD
59750000.00000000
JPY
2019-10-03
-2606.89000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-139.04000000
-0.00002661892
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13972.32000000
USD
136000.00000000
SEK
2019-10-03
-139.04000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.659000% 10/15/2020
N/A
2233000.00000000
PA
536165.11000000
0.102647716647
Long
DBT
NUSS
MY
N
2
2020-10-15
Fixed
3.65900000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-10-03
N/A
1.00000000
NC
6396.07000000
0.001224514554
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
285034.22000000
USD
5755000.00000000
MXN
2019-10-03
6396.07000000
N
N
N
THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY
2138005O9XJIJN4JPN90
ROYAL BANK OF SCOTLAND GROUP PLC MATURITY: PERPETUAL
780097AU5
200000.00000000
PA
USD
188346.00000000
0.036058457514
Long
DBT
NUSS
GB
N
2
2168-03-31
Floating
4.42437840
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2019-11-14
N/A
1.00000000
NC
-11486.82000000
-0.00219912825
N/A
DFE
CO
N
2
JP MORGAN
N/A
340527.71000000
USD
1145960880.97000000
COP
2019-11-14
-11486.82000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-479.31000000
-0.00009176292
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
38682.10000000
USD
31000.00000000
GBP
2019-10-03
-479.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
8508.17000000
0.001628871791
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16323000.00000000
CZK
697838.76000000
USD
2019-10-03
8508.17000000
N
N
N
ENEL Finance International N.V.
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTERNATIONAL NV MTN 5.750000% 09/14/2040
N/A
145000.00000000
PA
262940.15000000
0.050339355376
Long
DBT
NUSS
NL
N
2
2040-09-14
Fixed
5.75000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 4.250000% 03/28/2041
N/A
440000.00000000
PA
875161.85000000
0.167547951040
Long
DBT
NUSS
BE
Y
2
2041-03-28
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-26.34000000
-0.00000504273
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14324.42000000
USD
2019-10-03
-26.34000000
N
N
N
Republic of Finland
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.500000% 09/15/2029
N/A
445000.00000000
PA
524636.79000000
0.100440643299
Long
DBT
NUSS
FI
Y
2
2029-09-15
Fixed
0.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC MTN Maturity:05/14/2021
345397ZD8
750000.00000000
PA
810661.64000000
0.155199517402
Long
DBT
NUSS
XX
N
2
2021-05-14
Floating
0.02999880
N
N
N
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 1.250000% 05/27/2036
N/A
281000.00000000
PA
361028.67000000
0.069118202450
Long
DBT
NUSS
NL
N
2
2036-05-27
Fixed
1.25000000
N
N
N
N
N
N
BHP BILLITON FINANCE LIMITED
549300KZMIS43NMT0A66
BHP BILLITON FINANCE LTD 4.750000% 04/22/2076
N/A
101000.00000000
PA
117673.31000000
0.022528315171
Long
DBT
NUSS
AU
N
2
2076-04-22
Fixed
4.75000000
N
N
N
N
N
N
Kongeriket Norge
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 2.000000% 04/26/2028
N/A
4024000.00000000
PA
470269.39000000
0.090032115466
Long
DBT
NUSS
NO
Y
2
2028-04-26
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
295.38000000
0.000056549898
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
18000.00000000
EUR
19920.58000000
USD
2019-10-03
295.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-2791.44000000
-0.00053441549
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
875000.00000000
TRY
152126.29000000
USD
2019-10-03
-2791.44000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.016000% 12/03/2029
92343VEU4
391000.00000000
PA
USD
434531.06000000
0.083190085086
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
4.01600000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.480000% 03/15/2023
N/A
1135000.00000000
PA
273753.89000000
0.052409623841
Long
DBT
NUSS
MY
N
2
2023-03-15
Fixed
3.48000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1687.15000000
0.000323001426
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
193000.00000000
EUR
212112.89000000
USD
2019-10-03
1687.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
239.61000000
0.000045872845
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
SEK
13869.46000000
USD
2019-10-03
239.61000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 2.200000% 10/17/2022
N/A
775000.00000000
PA
913260.69000000
0.174841896244
Long
DBT
NUSS
PT
Y
2
2022-10-17
Fixed
2.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
278.84000000
0.000053383349
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14442.73000000
USD
2019-10-03
278.84000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
14.38000000
0.000002753021
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
198954.49000000
USD
295000.00000000
AUD
2019-10-03
14.38000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-182.75000000
-0.00003498711
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
14461.00000000
USD
1543000.00000000
JPY
2019-10-03
-182.75000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-57.27000000
-0.00001096422
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13852.52000000
USD
22000.00000000
NZD
2019-10-03
-57.27000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-10
N/A
1.00000000
NC
-21333.88000000
-0.00408432780
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
557629.59000000
USD
491614.60000000
EUR
2019-10-10
-21333.88000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-87.34000000
-0.00001672106
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
13576.76000000
USD
20000.00000000
AUD
2019-10-03
-87.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-18
N/A
1.00000000
NC
USD
6355.56000000
0.001216758998
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
398246.90000000
GBP
497415.95000000
USD
2019-10-18
6355.56000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 2.200000% 09/20/2028
N/A
14550000.00000000
PA
165075.02000000
0.031603275861
Long
DBT
NUSS
JP
N
2
2028-09-20
Fixed
2.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4654.29000000
0.000891054326
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2279000.00000000
ZAR
154939.15000000
USD
2019-10-03
4654.29000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
2434800.00000000
PA
128029.24000000
0.024510936845
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 0.000000% 02/25/2021
N/A
2055000.00000000
PA
2262225.08000000
0.433098377112
Long
DBT
NUSS
FR
N
2
2021-02-25
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4677.79000000
0.000895553353
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
511000.00000000
EUR
561815.37000000
USD
2019-10-03
4677.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
232.13000000
0.000044440815
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
124000.00000000
NOK
13879.96000000
USD
2019-10-03
232.13000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-217.45000000
-0.00004163035
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14050.73000000
USD
136000.00000000
SEK
2019-10-03
-217.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
188.82000000
0.000036149203
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14977.00000000
USD
2019-10-03
188.82000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.050000% 10/31/2021
N/A
852000.00000000
PA
938875.65000000
0.179745828087
Long
DBT
NUSS
ES
N
2
2021-10-31
Fixed
0.05000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4068.75000000
-0.00077895388
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
225229.00000000
USD
23900000.00000000
JPY
2019-10-03
-4068.75000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 2.000000% 03/31/2027
N/A
925000.00000000
PA
290313.56000000
0.055579938884
Long
DBT
NUSS
IL
N
2
2027-03-31
Fixed
2.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-109.96000000
-0.00002105161
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13905.21000000
USD
22000.00000000
NZD
2019-10-03
-109.96000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-624.93000000
-0.00011964157
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
41491.00000000
USD
807000.00000000
MXN
2019-10-03
-624.93000000
N
N
N
Akzo Nobel N.V.
724500XYIJUGXAA5QD70
AKZO NOBEL NV MTN 2.625000% 07/27/2022
N/A
340000.00000000
PA
399375.27000000
0.076459580801
Long
DBT
NUSS
NL
N
2
2022-07-27
Fixed
2.62500000
N
N
N
N
N
N
UBS Group Funding (Switzerland) AG
506700Q800G1L95S7805
UBS GROUP FUNDING SWITZERLAND AG 1.750000% 11/16/2022
N/A
427000.00000000
PA
489235.88000000
0.093663211289
Long
DBT
NUSS
CH
N
2
2022-11-16
Fixed
1.75000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.000000% 02/01/2028
N/A
894000.00000000
PA
1082599.04000000
0.207261377938
Long
DBT
NUSS
IT
N
2
2028-02-01
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-10-11
N/A
1.00000000
NC
USD
6268.24000000
0.001200041762
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2492830.35000000
PLN
628180.13000000
USD
2019-10-11
6268.24000000
N
N
N
DOVER CORPORATION
549300FMC2ALGA7N9E80
DOVER CORP MTN 2.125000% 12/01/2020
260003AL2
267000.00000000
PA
298419.64000000
0.057131831366
Long
DBT
NUSS
US
N
2
2020-12-01
Fixed
2.12500000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA 144A 4.500000% 12/09/2025
2027A0HR3
450000.00000000
PA
USD
485894.06000000
0.093023426667
Long
DBT
NUSS
AU
Y
2
2025-12-09
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MTN 1.090000% 03/11/2027
N/A
810000.00000000
PA
921931.99000000
0.176501998942
Long
DBT
NUSS
US
N
2
2027-03-11
Fixed
1.09000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
268.69000000
0.000051440152
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
125000.00000000
NOK
14026.58000000
USD
2019-10-03
268.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2019-10-23
N/A
1.00000000
NC
USD
40067.26000000
0.007670795198
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
8918000.00000000
SGD
6491577.98000000
USD
2019-10-23
40067.26000000
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HANDELSBANKEN AB MTN 1.625000% 03/05/2029
N/A
225000.00000000
PA
258036.43000000
0.049400548184
Long
DBT
NUSS
SE
N
2
2029-03-05
Fixed
1.62500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-12602.56000000
-0.00241273440
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
1118403.82000000
USD
119500000.00000000
JPY
2019-10-03
-12602.56000000
N
N
N
Banco Bilbao Vizcaya Argentaria, S.A.
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZCAYA ARGENTARIA SA 2.250000% 06/12/2024
N/A
200000.00000000
PA
245190.30000000
0.046941182799
Long
DBT
NUSS
ES
N
2
2024-06-12
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
194.89000000
0.000037311292
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
125000.00000000
NOK
13952.78000000
USD
2019-10-03
194.89000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
2160100000.00000000
PA
706337.12000000
0.135226800847
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
TERRAFORM GLOBAL OPERATING LP
549300LC7QMVR79H5O86
TERRAFORM GLOBAL OPERATING LLC 144A 6.125000% 03/01/2026
88104UAC7
55000.00000000
PA
USD
56512.50000000
0.010819202851
Long
DBT
CORP
US
Y
2
2026-03-01
Fixed
6.12500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-27.32000000
-0.00000523035
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13860.60000000
USD
136000.00000000
SEK
2019-10-03
-27.32000000
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 4.250000% 04/15/2026
11135FAE1
195000.00000000
PA
USD
201416.89000000
0.038560852743
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CELANESE US HOLDINGS LLC 3.500000% 05/08/2024
15089QAJ3
215000.00000000
PA
USD
222910.03000000
0.042675670554
Long
DBT
CORP
US
N
2
2024-05-08
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
15088.08000000
0.002888582139
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
10118000.00000000
SEK
1044243.71000000
USD
2019-10-03
15088.08000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-197.71000000
-0.00003785117
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
33471.11000000
USD
27000.00000000
GBP
2019-10-03
-197.71000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
118.74000000
0.000022732530
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
14232.02000000
USD
19000.00000000
CAD
2019-10-03
118.74000000
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
CENTRICA PLC MTN 4.250000% 09/12/2044
N/A
100000.00000000
PA
146700.51000000
0.028085513401
Long
DBT
NUSS
GB
N
2
2044-09-12
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-12122.21000000
-0.00232077237
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1711000.00000000
TRY
290808.35000000
USD
2019-10-03
-12122.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
298.34000000
0.000057116584
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1565000.00000000
JPY
14780.17000000
USD
2019-10-03
298.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-11.64000000
-0.00000222845
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14339.12000000
USD
2019-10-03
-11.64000000
N
N
N
Groupama Assurances Mutuelles
969500P4HYOPYINEPE06
CAISSE NATIONALE DE REASSURANCE MUTUELLE AGRICOLE 6.000000% 01/23/2027
N/A
400000.00000000
PA
554937.97000000
0.106241742402
Long
DBT
NUSS
FR
N
2
2027-01-23
Fixed
6.00000000
N
N
N
N
N
N
WESTERN DIGITAL CORPORATION
549300QQXOOYEF89IC56
WESTERN DIGITAL CORP 4.750000% 02/15/2026
958102AM7
328000.00000000
PA
USD
337430.00000000
0.064600285215
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
4.75000000
N
N
N
N
N
N
TELEFONICA EMISIONES, S.A.U.
549300Y5MFC4SW5Z3K71
TELEFONICA EMISIONES SA MTN 1.528000% 01/17/2025
N/A
200000.00000000
PA
233421.71000000
0.044688110249
Long
DBT
NUSS
ES
N
2
2025-01-17
Fixed
1.52800000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.125000% 09/01/2022
N/A
2088000.00000000
PA
1573285.11000000
0.301202225145
Long
DBT
NUSS
SG
N
2
2022-09-01
Fixed
3.12500000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.250000% 08/01/2036
N/A
250000.00000000
PA
189764.26000000
0.036329980498
Long
DBT
NUSS
SG
N
2
2036-08-01
Fixed
2.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-139.27000000
-0.00002666295
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
13897.16000000
USD
125000.00000000
NOK
2019-10-03
-139.27000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.900000% 10/31/2046
JK3794373
361000.00000000
PA
569637.86000000
0.109056006358
Long
DBT
NUSS
ES
Y
2
2046-10-31
Fixed
2.90000000
N
N
N
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION
VGRQXHF3J8VDLUA7XE92
INTERNATIONAL BUSINESS MACHINES CORP MTN 0.875000% 01/31/2025
459200JT9
593000.00000000
PA
673003.22000000
0.128845093686
Long
DBT
NUSS
US
N
2
2025-01-31
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1630.50000000
0.000312155899
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
193000.00000000
EUR
212056.24000000
USD
2019-10-03
1630.50000000
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORMATION SERVICES INC 1.500000% 05/21/2027
31620MBD7
400000.00000000
PA
467066.70000000
0.089418966999
Long
DBT
CORP
US
N
2
2027-05-21
Fixed
1.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 2.150000% 07/18/2024
N/A
200000.00000000
PA
234393.74000000
0.044874203410
Long
DBT
NUSS
ID
Y
2
2024-07-18
Fixed
2.15000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-2844.50000000
-0.00054457372
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
185028.73000000
USD
19688000.00000000
JPY
2019-10-03
-2844.50000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-9.00000000
NC
-1488816.89000000
-0.28503095672
N/A
DIR
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.K. Gilt Futures
U.K. Long Gilt Future Dec 2019
2019-12-30
-1491530.46000000
GBP
2713.57000000
N
N
N
Deutsche Telekom International Finance B.V.
529900ERDFHS6C1M4U58
DEUTSCHE TELEKOM INTERNATIONAL FINANCE BV MTN 1.375000% 12/01/2025
N/A
165000.00000000
PA
192906.42000000
0.036931540621
Long
DBT
NUSS
NL
N
2
2025-12-01
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
25886.84000000
0.004955982714
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
914873.60000000
EUR
1023910.07000000
USD
2019-10-10
25886.84000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-261.07000000
-0.00004998131
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
14539.32000000
USD
1543000.00000000
JPY
2019-10-03
-261.07000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
42.56000000
0.000008148025
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
5999.87000000
USD
8000.00000000
CAD
2019-10-03
42.56000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-177.98000000
-0.00003407390
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14011.26000000
USD
136000.00000000
SEK
2019-10-03
-177.98000000
N
N
N
Orsted A/S
W9NG6WMZIYEU8VEDOG48
ORSTED A/S 6.250000% 06/26/3013
N/A
210000.00000000
PA
273586.55000000
0.052377586939
Long
DBT
NUSS
DK
N
2
2099-06-26
Fixed
6.25000000
N
N
N
N
N
N
WM MORRISON SUPERMARKETS P L C
213800IN6LSRGTZSOS29
WM MORRISON SUPERMARKETS PLC MTN 3.500000% 07/27/2026
N/A
225000.00000000
PA
306990.84000000
0.058772770122
Long
DBT
NUSS
GB
N
2
2026-07-27
Fixed
3.50000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
621000.00000000
PA
1201678.62000000
0.230058920632
Long
DBT
NUSS
ES
Y
2
2041-07-30
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
3979.12000000
0.000761794407
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
60447000.00000000
JPY
563329.48000000
USD
2019-10-03
3979.12000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.500000% 01/15/2040
N/A
804000.00000000
PA
986036.41000000
0.188774659391
Long
DBT
NUSS
NL
Y
2
2040-01-15
Fixed
0.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039
N/A
416150000.00000000
PA
5397069.86000000
1.033258015833
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
3430000.00000000
PA
834188.08000000
0.159703606351
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-322.37000000
-0.00006171707
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14117.62000000
USD
22000.00000000
NZD
2019-10-03
-322.37000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 3.250000% 12/18/2021
110709BJ0
1150000.00000000
PA
896739.43000000
0.171678934717
Long
DBT
NUSS
CA
N
2
2021-12-18
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
622.05000000
0.000119090203
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
AUD
30973.23000000
USD
2019-10-03
622.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-10-02
N/A
1.00000000
NC
USD
-11116.43000000
-0.00212821784
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
8580656.58000000
BRL
2048867.38000000
USD
2019-10-02
-11116.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
531.76000000
0.000101804367
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
299000.00000000
SEK
30944.64000000
USD
2019-10-03
531.76000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 3.500000% 06/01/2022
N/A
3040000.00000000
PA
343624.21000000
0.065786154084
Long
DBT
NUSS
SE
Y
2
2022-06-01
Fixed
3.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-66.53000000
-0.00001273703
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13899.81000000
USD
136000.00000000
SEK
2019-10-03
-66.53000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-12558.21000000
-0.00240424368
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
565458.84000000
USD
59750000.00000000
JPY
2019-10-03
-12558.21000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
6044.92000000
0.001157287603
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
140020.37000000
USD
825000.00000000
TRY
2019-10-03
6044.92000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-42.11000000
-0.00000806187
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
14892.55000000
USD
146000.00000000
SEK
2019-10-03
-42.11000000
N
N
N
N/A
N/A
AUSTRALIA 10 YEAR BOND FUTURE DEC 2019
N/A
8.00000000
NC
795037.67000000
0.152208340215
N/A
DIR
AU
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
Australia Govt. Bond Futures
AUST 10Y BOND (consolidated) Dec 2019
2019-12-16
802036.89000000
AUD
-6999.22000000
N
N
N
Anheuser-Busch InBev Finance Inc.
5493000EYEKDT0FBSQ91
ANHEUSER-BUSCH INBEV FINANCE INC 2.600000% 05/15/2024
03524BAG1
550000.00000000
PA
417322.89000000
0.079895616041
Long
DBT
NUSS
US
N
2
2024-05-15
Fixed
2.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
206.38000000
0.000039511030
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14380.13000000
USD
2019-10-03
206.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-30.70000000
-0.00000587745
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20000.00000000
AUD
13458.72000000
USD
2019-10-03
-30.70000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-122.49000000
-0.00002345046
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
553023.12000000
USD
59750000.00000000
JPY
2019-10-03
-122.49000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO BUXL 30Y BND DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
-711357.74000000
-0.13618798830
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Dec 2019
2019-12-09
-732204.99000000
EUR
20847.25000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 03/20/2027
N/A
71550000.00000000
PA
685324.21000000
0.131203922090
Long
DBT
NUSS
JP
N
2
2027-03-20
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
675592.79000000
0.129340861581
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3041511051.00000000
JPY
28820419.08000000
USD
2019-10-03
675592.79000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-416.87000000
-0.00007980891
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32276.90000000
USD
3443000.00000000
JPY
2019-10-03
-416.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
124.22000000
0.000023781665
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
AUD
30475.40000000
USD
2019-10-03
124.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
13779.91000000
0.002638135661
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
594288.43000000
EUR
662081.11000000
USD
2019-10-10
13779.91000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
19.00000000
0.000003637511
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
6778.73000000
USD
9000.00000000
CAD
2019-10-03
19.00000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-17788.93000000
-0.00340565436
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
740785.21000000
USD
1153000.00000000
NZD
2019-10-03
-17788.93000000
N
N
N
Republique Francaise
9W4ONDYI7MRRJYXY8R34
FRANCE (GOVT OF) 4.000000% 10/25/2038
N/A
345000.00000000
PA
648202.52000000
0.124097050260
Long
DBT
NUSS
FR
N
2
2038-10-25
Fixed
4.00000000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.800000% 06/02/2048
68323ADZ4
2200000.00000000
PA
1809101.21000000
0.346348736476
Long
DBT
NUSS
CA
N
2
2048-06-02
Fixed
2.80000000
N
N
N
N
N
N
GE Capital UK Funding Unlimited Company
BR7Z6BPTFF652NNO9651
GE CAPITAL UK FUNDING UNLIMITED CO MTN 6.250000% 05/05/2038
N/A
165000.00000000
PA
273325.73000000
0.052327653482
Long
DBT
NUSS
IE
N
2
2038-05-05
Fixed
6.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-85.60000000
-0.00001638794
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
13575.02000000
USD
20000.00000000
AUD
2019-10-03
-85.60000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-64.12000000
-0.00001227564
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13897.40000000
USD
136000.00000000
SEK
2019-10-03
-64.12000000
N
N
N
Vattenfall AB
549300T5RZ1HA5HZ3109
VATTENFALL AB MTN 6.250000% 03/17/2021
N/A
213000.00000000
PA
253976.83000000
0.048623346045
Long
DBT
NUSS
SE
N
2
2021-03-17
Fixed
6.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
305.46000000
0.000058479693
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14482.72000000
USD
12000.00000000
GBP
2019-10-03
305.46000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2046
N/A
980000.00000000
PA
2154591.87000000
0.412492218606
Long
DBT
NUSS
GB
N
2
2046-12-07
Fixed
4.25000000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C06 1M1
30711XDP6
191686.67620000
PA
USD
192158.99000000
0.036788446672
Long
DBT
USGA
US
N
2
2029-04-25
Floating
3.44525040
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-313.81000000
-0.00006007828
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
31405.54000000
USD
31000.00000000
CHF
2019-10-03
-313.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
289.55000000
0.000055433756
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14453.44000000
USD
2019-10-03
289.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
936.01000000
0.000179197205
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47900000.00000000
JPY
444181.87000000
USD
2019-10-03
936.01000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 6.250000% MATURITY: PERPETUAL
060505EH3
150000.00000000
PA
USD
163125.00000000
0.031229948510
Long
DBT
CORP
US
N
2
2168-03-05
Fixed
6.25000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
3769.00000000
0.000721567362
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
151148.73000000
USD
875000.00000000
TRY
2019-10-03
3769.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
17957.25000000
0.003437878883
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1022000.00000000
EUR
1132232.41000000
USD
2019-10-03
17957.25000000
N
N
N
DH Europe Finance S.a r.l.
2221002WRBW5MJ8VL618
DH EUROPE FINANCE SA 1.200000% 06/30/2027
23290YAE6
335000.00000000
PA
388508.11000000
0.074379085186
Long
DBT
NUSS
LU
N
2
2027-06-30
Fixed
1.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
220.67000000
0.000042246821
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
48000.00000000
NZD
30319.39000000
USD
2019-10-03
220.67000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.850000% 09/01/2049
N/A
861000.00000000
PA
1354372.91000000
0.259291930989
Long
DBT
NUSS
IT
Y
2
2049-09-01
Fixed
3.85000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-258.17000000
-0.00004942611
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14053.42000000
USD
22000.00000000
NZD
2019-10-03
-258.17000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-70.27000000
-0.00001345304
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13903.55000000
USD
136000.00000000
SEK
2019-10-03
-70.27000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-185.86000000
-0.00003558251
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
33283.51000000
USD
33000.00000000
CHF
2019-10-03
-185.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
7679.46000000
0.001470216952
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
135810000.00000000
HUF
449728.79000000
USD
2019-10-03
7679.46000000
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO 1.500000% 05/17/2029
369604BT9
170000.00000000
PA
186511.09000000
0.035707167737
Long
DBT
NUSS
US
N
2
2029-05-17
Fixed
1.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.800000% 09/20/2047
N/A
525950000.00000000
PA
5476449.82000000
1.048455147257
Long
DBT
NUSS
JP
N
2
2047-09-20
Fixed
0.80000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-10562.27000000
-0.00202212504
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
563462.90000000
USD
59750000.00000000
JPY
2019-10-03
-10562.27000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-62.80000000
-0.00001202293
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14104.23000000
USD
14000.00000000
CHF
2019-10-03
-62.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
5963.86000000
0.001141768832
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
74958000.00000000
HUF
249945.40000000
USD
2019-10-03
5963.86000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 0.750000% 09/01/2021
135087F58
655000.00000000
PA
487049.89000000
0.093244707963
Long
DBT
NUSS
CA
N
2
2021-09-01
Fixed
0.75000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
2842.86000000
0.000544259748
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
152074.87000000
USD
875000.00000000
TRY
2019-10-03
2842.86000000
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2017-DNA1 M1
3137G0MC0
190475.76370000
PA
USD
190904.18000000
0.036548215857
Long
DBT
USGA
US
N
2
2029-07-25
Floating
3.34524960
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
1883.53000000
0.000360597976
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
100243.63000000
EUR
111237.95000000
USD
2019-10-10
1883.53000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-11.53000000
-0.00000220739
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
13769.42000000
USD
125000.00000000
NOK
2019-10-03
-11.53000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.250000% 02/15/2029
N/A
1678000.00000000
PA
1980419.04000000
0.379147185578
Long
DBT
NUSS
DE
N
2
2029-02-15
Fixed
0.25000000
N
N
N
N
N
N
ZURICH FINANCE (UK) PLC
213800LG3O6I2B27MS24
ZURICH FINANCE PLC 6.625% 9/29/2049
N/A
235000.00000000
PA
324703.63000000
0.062163847637
Long
ABS-MBS
GB
N
2
2049-10-30
Fixed
6.62500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.900000% 06/20/2022
N/A
859850000.00000000
PA
8226872.95000000
1.575018045223
Long
DBT
NUSS
JP
N
2
2022-06-20
Fixed
0.90000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 1.750000% 07/01/2024
N/A
4886000.00000000
PA
5712376.72000000
1.093622871022
Long
DBT
NUSS
IT
N
2
2024-07-01
Fixed
1.75000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (5 YEAR ISSUE) 0.100000% 12/20/2019
N/A
147050000.00000000
PA
1361527.21000000
0.260661607131
Long
DBT
NUSS
JP
N
2
2019-12-20
Fixed
0.10000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.000000% 12/20/2035
N/A
50000000.00000000
PA
531570.67000000
0.101768120481
Long
DBT
NUSS
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
21.52000000
0.000004119960
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
13736.37000000
USD
125000.00000000
NOK
2019-10-03
21.52000000
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC MTN 4.250000% 04/12/2021
N/A
350000.00000000
PA
408660.47000000
0.078237213401
Long
DBT
NUSS
GB
N
2
2021-04-12
Fixed
4.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.675000% 06/29/2044
N/A
20805000.00000000
PA
1065871.96000000
0.204059012592
Long
DBT
NUSS
TH
N
2
2044-06-29
Fixed
4.67500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
119300000.00000000
PA
1563445.40000000
0.299318432737
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
3559.22000000
0.000681405408
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2279000.00000000
ZAR
153844.08000000
USD
2019-10-03
3559.22000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-38.12000000
-0.00000729799
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30846.83000000
USD
25000.00000000
GBP
2019-10-03
-38.12000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
2.75000000
0.000000526481
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
5284.37000000
USD
7000.00000000
CAD
2019-10-03
2.75000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.500000% 01/22/2045
N/A
1131000.00000000
PA
2183781.50000000
0.418080513729
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-3060.09000000
-0.00058584798
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
62590000.00000000
THB
2043421.48000000
USD
2019-10-03
-3060.09000000
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C28 WFCM 2015-C28 A3
94989JAY2
120000.00000000
PA
USD
125561.63000000
0.024038517944
Long
ABS-MBS
US
N
2
2048-05-15
Fixed
3.29000000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2026
N/A
994000000.00000000
PA
833558.44000000
0.159583063057
Long
DBT
NUSS
KR
N
2
2026-12-10
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-10-25
N/A
1.00000000
NC
USD
-31316.86000000
-0.00599554896
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
39819521.20000000
MXN
1977411.02000000
USD
2019-10-25
-31316.86000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-2204.64000000
-0.00042207383
N/A
DFE
CO
N
2
JP MORGAN
N/A
1698551.24000000
USD
5900767000.00000000
COP
2019-10-03
-2204.64000000
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION
VGRQXHF3J8VDLUA7XE92
INTERNATIONAL BUSINESS MACHINES CORP 2.850000% 05/13/2022
459200JX0
990000.00000000
PA
USD
1010813.63000000
0.193518207620
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.85000000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2019-10-03
N/A
1.00000000
NC
3023.23000000
0.000578791216
N/A
DFE
IL
N
2
BNP PARIBAS
N/A
1136363.64000000
USD
3960000.00000000
ILS
2019-10-03
3023.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-2263.72000000
-0.00043338457
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
859000.00000000
TRY
149821.23000000
USD
2019-10-03
-2263.72000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.625000% 06/16/2023
N/A
5375000.00000000
PA
189798.96000000
0.036336623742
Long
DBT
NUSS
TH
N
2
2023-06-16
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-23
N/A
1.00000000
NC
USD
33251.25000000
0.006365883987
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3541000.00000000
AUD
2423035.48000000
USD
2019-10-23
33251.25000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-11059.38000000
-0.00211729574
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
586076.03000000
USD
62140000.00000000
JPY
2019-10-03
-11059.38000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-40.68000000
-0.00000778810
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32816.81000000
USD
3542000.00000000
JPY
2019-10-03
-40.68000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-22.02000000
-0.00000421568
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
14860.38000000
USD
22000.00000000
AUD
2019-10-03
-22.02000000
N
N
N
UNIONE DI BANCHE ITALIANE SOCIETA PER AZIONI
81560097964CBDAED282
UNIONE DI BANCHE ITALIANE SPA 1.000000% 01/27/2023
N/A
185000.00000000
PA
210259.36000000
0.040253725588
Long
DBT
NUSS
IT
N
2
2023-01-27
Fixed
1.00000000
N
N
N
N
N
N
BANQUE NATIONALE DU CANADA
BSGEFEIOM18Y80CKCV46
NATIONAL BANK OF CANADA 1.500000% 03/25/2021
N/A
345000.00000000
PA
386794.47000000
0.074051012303
Long
DBT
NUSS
CA
N
2
2021-03-25
Fixed
1.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 1.625000% 09/14/2022
N/A
261000.00000000
PA
298049.22000000
0.057060915212
Long
DBT
NUSS
US
N
2
2022-09-14
Fixed
1.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
255.43000000
0.000048901552
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1252000.00000000
JPY
11840.90000000
USD
2019-10-03
255.43000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-115.97000000
-0.00002220221
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14289.72000000
USD
13000.00000000
EUR
2019-10-03
-115.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
321.64000000
0.000061577321
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
137000.00000000
SEK
14256.64000000
USD
2019-10-03
321.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
103.52000000
0.000019818692
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14144.95000000
USD
2019-10-03
103.52000000
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 2.000000% 04/28/2021
N/A
735000.00000000
PA
770823.10000000
0.147572510181
Long
DBT
NUSS
CH
N
2
2021-04-28
Fixed
2.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-187041.95000000
-0.03580879980
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
28331868.24000000
USD
3041511051.00000000
JPY
2019-10-03
-187041.95000000
N
N
N
ENEL - SPA
WOCMU6HCI0OJWNPRZS33
ENEL SPA 5.000000% 01/15/2075
N/A
105000.00000000
PA
115997.26000000
0.022207438817
Long
DBT
NUSS
IT
N
2
2075-01-15
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC MTN 4.750000% 02/17/2034
92343VBX1
170000.00000000
PA
276168.46000000
0.052871888342
Long
DBT
NUSS
US
N
2
2034-02-17
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-11-21
N/A
1.00000000
NC
USD
5030.68000000
0.000963113424
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
72874739.00000000
JPY
681713.00000000
USD
2019-11-21
5030.68000000
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 2.750000% 08/09/2049
N/A
160000.00000000
PA
207148.83000000
0.039658220964
Long
DBT
NUSS
JE
N
2
2049-08-09
Fixed
2.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
321.10000000
0.000061473940
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14467.08000000
USD
12000.00000000
GBP
2019-10-03
321.10000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-55.28000000
-0.00001058324
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
13544.70000000
USD
20000.00000000
AUD
2019-10-03
-55.28000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-190.31000000
-0.00003643446
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14231.74000000
USD
14000.00000000
CHF
2019-10-03
-190.31000000
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 4.000000% 11/12/2025
N/A
350000.00000000
PA
468059.66000000
0.089609067165
Long
DBT
NUSS
FR
N
2
2025-11-12
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
593.81000000
0.000113683713
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
304000.00000000
SEK
31515.27000000
USD
2019-10-03
593.81000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-185.92000000
-0.00003559400
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
13943.81000000
USD
125000.00000000
NOK
2019-10-03
-185.92000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.100000% 03/01/2040
N/A
975000.00000000
PA
1326419.23000000
0.253940255973
Long
DBT
NUSS
IT
Y
2
2040-03-01
Fixed
3.10000000
N
N
N
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA 1.125000% 03/07/2027
58507LAH2
400000.00000000
PA
462837.58000000
0.088609310601
Long
DBT
NUSS
LU
N
2
2027-03-07
Fixed
1.12500000
N
N
N
N
N
N
Heineken N.V.
724500K5PTPSST86UQ23
HEINEKEN NV MTN 1.000000% 05/04/2026
N/A
335000.00000000
PA
383066.36000000
0.073337273248
Long
DBT
NUSS
NL
N
2
2026-05-04
Fixed
1.00000000
N
N
N
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) DEC19 FINANCIAL COMMODITY FUTURE.
N/A
23.00000000
NC
32990608.37000000
6.315984678679
N/A
DIR
JP
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Dec 2019
2019-12-16
33218436.83000000
JPY
-227828.46000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRISH TSY 1.10% 2029 1.100000% 05/15/2029
N/A
670000.00000000
PA
810351.87000000
0.155140212567
Long
DBT
NUSS
IE
N
2
2029-05-15
Fixed
1.10000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-1657.46000000
-0.00031731733
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
700940.26000000
USD
75569000.00000000
JPY
2019-10-03
-1657.46000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-92.16000000
-0.00001764384
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14265.91000000
USD
13000.00000000
EUR
2019-10-03
-92.16000000
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2004-A5 JPMMT 2004-A5 3A1
466247FZ1
38816.65030000
PA
USD
39571.55000000
0.007575892530
Long
ABS-MBS
US
N
2
2034-12-25
Floating
4.24722600
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
14078.76000000
0.002695349884
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
391821.79000000
EUR
441511.85000000
USD
2019-10-10
14078.76000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-215.91000000
-0.00004133552
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14389.66000000
USD
13000.00000000
EUR
2019-10-03
-215.91000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-65.92000000
-0.00001262024
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13861.17000000
USD
22000.00000000
NZD
2019-10-03
-65.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-24.19000000
-0.00000463112
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14139.70000000
USD
2019-10-03
-24.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
1.68000000
0.000000321632
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
14352.44000000
USD
2019-10-03
1.68000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-3381.39000000
-0.00064736021
N/A
DFE
ZA
N
2
BT BROKERAGE CORP
N/A
153600.30000000
USD
2278000.00000000
ZAR
2019-10-03
-3381.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
71.56000000
0.000013700016
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9000.00000000
NZD
5715.07000000
USD
2019-10-03
71.56000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 2.800000% 02/17/2021
N/A
1230000.00000000
PA
848464.38000000
0.162436774865
Long
DBT
NUSS
DE
N
2
2021-02-17
Fixed
2.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2019-10-03
N/A
1.00000000
NC
USD
6187.88000000
0.001184657004
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2690000.00000000
PLN
677168.23000000
USD
2019-10-03
6187.88000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-115.63000000
-0.00002213712
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
13605.05000000
USD
20000.00000000
AUD
2019-10-03
-115.63000000
N
N
N
Vattenfall AB
549300T5RZ1HA5HZ3109
VATTENFALL AB 3.000000% 03/19/2077
N/A
175000.00000000
PA
204348.93000000
0.039122185820
Long
DBT
NUSS
SE
N
2
2077-03-19
Fixed
3.00000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.000000% 06/01/2027
135087F82
1375000.00000000
PA
1010261.52000000
0.193412507287
Long
DBT
NUSS
CA
N
2
2027-06-01
Fixed
1.00000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 5.750000% 06/01/2033
135087XG4
1205000.00000000
PA
1391975.23000000
0.266490818452
Long
DBT
NUSS
CA
N
2
2033-06-01
Fixed
5.75000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
Canadian Government Bond 5.000000% 06/01/2037
135087XW9
816000.00000000
PA
947274.92000000
0.181353851196
Long
DBT
NUSS
XX
N
2
2037-06-01
Fixed
5.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.700000% 03/20/2037
N/A
92700000.00000000
PA
943691.58000000
0.180667828062
Long
DBT
NUSS
JP
N
2
2037-03-20
Fixed
0.70000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
7545000.00000000
PA
5740183.57000000
1.098946435734
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-206.07000000
-0.00003945168
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
30557.25000000
USD
45000.00000000
AUD
2019-10-03
-206.07000000
N
N
N
Unilever N.V.
549300TK7G7NZTVM1Z30
UNILEVER NV MTN 0.375000% 02/14/2023
N/A
220000.00000000
PA
244011.34000000
0.046715473312
Long
DBT
NUSS
NL
N
2
2023-02-14
Fixed
0.37500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4.98000000
-0.00000095341
N/A
DFE
NO
N
2
BARCLAYS CAPITAL INC.
N/A
14973.57000000
USD
136000.00000000
NOK
2019-10-03
-4.98000000
N
N
N
MOLSON COORS INTERNATIONAL LP
549300JY2HGCZWKZS671
MOLSON COORS INTERNATIONAL LP 2.750000% 09/18/2020
U60901AB8
1105000.00000000
PA
835251.47000000
0.159907190197
Long
DBT
NUSS
US
N
2
2020-09-18
Fixed
2.75000000
N
N
N
N
N
N
CRH Funding B.V.
549300XYDB6706OPOS81
CRH FUNDING BV MTN 1.875000% 01/09/2024
N/A
310000.00000000
PA
363126.44000000
0.069519816238
Long
DBT
NUSS
NL
N
2
2024-01-09
Fixed
1.87500000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.250000% 02/15/2027
N/A
2160000.00000000
PA
2528645.40000000
0.484104003936
Long
DBT
NUSS
DE
N
2
2027-02-15
Fixed
0.25000000
N
N
N
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 5.750000% MATURITY: PERPETUAL
N/A
400000.00000000
PA
450293.26000000
0.086207726125
Long
DBT
NUSS
NL
N
2
2168-03-22
Fixed
5.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-199.57000000
-0.00003820726
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14373.32000000
USD
13000.00000000
EUR
2019-10-03
-199.57000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-127.80000000
-0.00002446704
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31987.83000000
USD
3443000.00000000
JPY
2019-10-03
-127.80000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-9439.19000000
-0.00180711367
N/A
DFE
ZA
N
2
BT BROKERAGE CORP
N/A
310140.79000000
USD
4560000.00000000
ZAR
2019-10-03
-9439.19000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-4283.04000000
-0.00081997927
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
558149.76000000
USD
508000.00000000
EUR
2019-10-03
-4283.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2019-10-16
N/A
1.00000000
NC
USD
-23311.05000000
-0.00446285297
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4746113.01000000
ILS
1343518.37000000
USD
2019-10-16
-23311.05000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-126.52000000
-0.00002422199
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31986.55000000
USD
3443000.00000000
JPY
2019-10-03
-126.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
326.26000000
0.000062461811
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
SEK
13956.11000000
USD
2019-10-03
326.26000000
N
N
N
FISERV, INC.
GI7UBEJLXYLGR2C7GV83
FISERV INC 1.125000% 07/01/2027
337738AX6
405000.00000000
PA
459153.06000000
0.087903916763
Long
DBT
NUSS
US
N
2
2027-07-01
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-10
N/A
1.00000000
NC
USD
19894.15000000
0.003808694437
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
509841.99000000
EUR
576073.88000000
USD
2019-10-10
19894.15000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-76.25000000
-0.00001459790
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
10736.21000000
USD
17000.00000000
NZD
2019-10-03
-76.25000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S MTN Maturity:/ /
N/A
344000.00000000
PA
397117.74000000
0.076027381288
Long
DBT
NUSS
XX
N
2
2049-10-29
Floating
5.87499985
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.875000% 06/22/2029
N/A
11215000.00000000
PA
478803.58000000
0.091665968734
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
4.87500000
N
N
N
N
N
N
TOTAL SA
529900S21EQ1BO4ESM68
TOTAL SA MTN 3.369000% MATURITY: PERPETUAL
N/A
260000.00000000
PA
325611.41000000
0.062337640267
Long
DBT
NUSS
FR
N
2
2167-10-06
Fixed
3.36900000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-131.32000000
-0.00002514094
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
16178.66000000
USD
16000.00000000
CHF
2019-10-03
-131.32000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 2.750000% 09/07/2024
N/A
200000.00000000
PA
276292.75000000
0.052895683409
Long
DBT
NUSS
GB
N
2
2024-09-07
Fixed
2.75000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-40.00000000
NC
USD
-4765937.50000000
-0.91242901288
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Dec 2019
2020-01-03
-4765138.80000000
USD
-798.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
71.45000000
0.000013678956
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15115.84000000
USD
2019-10-03
71.45000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 03/01/2046
N/A
200000.00000000
PA
164240.36000000
0.031443481906
Long
DBT
NUSS
SG
N
2
2046-03-01
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-23
N/A
1.00000000
NC
USD
14046.59000000
0.002689191003
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5389000.00000000
CHF
5429865.17000000
USD
2019-10-23
14046.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
16104.47000000
0.003083167931
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14691000.00000000
SEK
1510404.27000000
USD
2019-10-03
16104.47000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC MTN 4.050000% 02/17/2025
N/A
680000.00000000
PA
507032.33000000
0.097070305341
Long
DBT
CORP
US
N
2
2025-02-17
Fixed
4.05000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2019-10-25
N/A
1.00000000
NC
14514.22000000
0.002778717813
N/A
DFE
MX
N
2
JPM CHASE
N/A
614102.27000000
USD
12461223.73000000
MXN
2019-10-25
14514.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
113.70000000
0.000021767633
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13908.95000000
USD
2019-10-03
113.70000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (2 YEAR ISSUE) 0.100000% 04/01/2021
N/A
139650000.00000000
PA
1299988.70000000
0.248880184917
Long
DBT
NUSS
JP
N
2
2021-04-01
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4458.48000000
0.000853566901
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
435000.00000000
NZD
277228.11000000
USD
2019-10-03
4458.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
545.80000000
0.000104492296
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46000.00000000
AUD
31571.46000000
USD
2019-10-03
545.80000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
2601.97000000
0.000498141849
N/A
DFE
ZA
N
2
BT BROKERAGE CORP
N/A
143396.57000000
USD
2214000.00000000
ZAR
2019-10-03
2601.97000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-5834.98000000
-0.00111709501
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
559701.70000000
USD
508000.00000000
EUR
2019-10-03
-5834.98000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-89.69000000
-0.00001717096
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31949.72000000
USD
3443000.00000000
JPY
2019-10-03
-89.69000000
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD MTN 2.250000% 06/06/2025
N/A
206000.00000000
PA
256832.32000000
0.049170023781
Long
DBT
NUSS
AU
N
2
2025-06-06
Fixed
2.25000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.000000% 04/25/2021
N/A
4961000.00000000
PA
1247566.24000000
0.238844011880
Long
DBT
NUSS
PL
N
2
2021-04-25
Fixed
2.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-69.53000000
-0.00001331137
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
36490.95000000
USD
54000.00000000
AUD
2019-10-03
-69.53000000
N
N
N
Kutxabank, S.A.
549300U4LIZV0REEQQ46
KUTXABANK SA 1.250000% 09/22/2025
N/A
300000.00000000
PA
356095.12000000
0.068173684366
Long
DBT
NUSS
ES
N
2
2025-09-22
Fixed
1.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-27.35000000
-0.00000523610
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
N/A
14865.71000000
USD
22000.00000000
AUD
2019-10-03
-27.35000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 5.500000% MATURITY: PERPETUAL
38148BAE8
164000.00000000
PA
USD
172200.00000000
0.032967338748
Long
DBT
CORP
US
N
2
2168-02-10
Fixed
5.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2019-10-03
N/A
1.00000000
NC
409.99000000
0.000078491749
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
21772.28000000
USD
18000.00000000
GBP
2019-10-03
409.99000000
N
N
N
KOSMOS ENERGY LTD.
213800YDFJ3OT9B5P157
KOSMOS ENERGY LTD 144A 7.125000% 04/04/2026
500688AC0
200000.00000000
PA
USD
206026.00000000
0.039443257451
Long
DBT
CORP
US
Y
2
2026-04-04
Fixed
7.12500000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 4.000000% 01/15/2037
N/A
389000.00000000
PA
739406.19000000
0.141557806845
Long
DBT
NUSS
NL
Y
2
2037-01-15
Fixed
4.00000000
N
N
N
N
N
N
ENGIE S.A.
LAXUQCHT4FH58LRZDY46
ENGIE SA 3.250000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
359930.66000000
0.068907990675
Long
DBT
NUSS
FR
N
2
2168-02-28
Fixed
3.25000000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/19/2027
N/A
300000.00000000
PA
358511.22000000
0.068636241783
Long
DBT
NUSS
FR
N
2
2027-05-19
Fixed
1.12500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-0.26000000
-0.00000004977
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
9063.90000000
USD
12000.00000000
CAD
2019-10-03
-0.26000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-337.79000000
-0.00006466920
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
30865.88000000
USD
28000.00000000
EUR
2019-10-03
-337.79000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
15.51000000
0.000002969357
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
14335.25000000
USD
19000.00000000
CAD
2019-10-03
15.51000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.250000% 07/15/2029
N/A
685000.00000000
PA
797500.83000000
0.152679907173
Long
DBT
NUSS
NL
Y
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
3440000.00000000
PA
848247.89000000
0.162395328296
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
1833400000.00000000
PA
635305.39000000
0.121627921028
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
229.96000000
0.000044025372
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20000.00000000
AUD
13719.38000000
USD
2019-10-03
229.96000000
N
N
N
ANHEUSER-BUSCH INBEV N.V.
5493008H3828EMEXB082
ANHEUSER-BUSCH INBEV SA/NV MTN 1.125000% 07/01/2027
N/A
230000.00000000
PA
265763.51000000
0.050879881889
Long
DBT
NUSS
BE
N
2
2027-07-01
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
156.02000000
0.000029869710
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
62000.00000000
NOK
6979.94000000
USD
2019-10-03
156.02000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-131.23000000
-0.00002512371
N/A
DFE
SE
N
2
J P MORGAN CHASE BANK
N/A
13964.51000000
USD
136000.00000000
SEK
2019-10-03
-131.23000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.900000% 09/20/2022
N/A
406050000.00000000
PA
4010342.54000000
0.767771899045
Long
DBT
NUSS
JP
N
2
2022-09-20
Fixed
1.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2019-11-06
N/A
1.00000000
NC
USD
-5728.73000000
-0.00109675367
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5233000.00000000
BRL
1247734.86000000
USD
2019-11-06
-5728.73000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.000000% 07/01/2020
N/A
3260000.00000000
PA
2362998.82000000
0.452391304078
Long
DBT
NUSS
SG
N
2
2020-07-01
Fixed
2.00000000
N
N
N
N
N
N
Banco Bilbao Vizcaya Argentaria, S.A.
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZCAYA ARGENTARIA SA 5.875000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
230578.03000000
0.044143693513
Long
DBT
NUSS
ES
N
2
2167-12-24
Fixed
5.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-302.35000000
-0.00005788429
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
30830.44000000
USD
28000.00000000
EUR
2019-10-03
-302.35000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-240.68000000
-0.00004607769
N/A
DFE
CH
N
2
MORGAN STANLEY & CO, INC
N/A
14282.11000000
USD
14000.00000000
CHF
2019-10-03
-240.68000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-292.75000000
-0.00005604639
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
16596.22000000
USD
26000.00000000
NZD
2019-10-03
-292.75000000
N
N
N
JAB Holdings B.V.
529900RRNKUM3INJGF98
JAB HOLDINGS BV 1.250000% 05/22/2024
N/A
200000.00000000
PA
227940.61000000
0.043638764834
Long
DBT
NUSS
NL
N
2
2024-05-22
Fixed
1.25000000
N
N
N
N
N
N
DEXIA CREDIT LOCAL S.A.
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.500000% 01/17/2025
N/A
300000.00000000
PA
341390.23000000
0.065358463170
Long
DBT
NUSS
FR
N
2
2025-01-17
Fixed
0.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.200000% 06/20/2036
N/A
169400000.00000000
PA
1595643.77000000
0.305482744995
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 7.500000% MATURITY: PERPETUAL
H3698DBW3
286000.00000000
PA
USD
305662.50000000
0.058518462139
Long
DBT
NUSS
CH
N
2
2168-01-17
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2019-10-03
N/A
1.00000000
NC
USD
252.16000000
0.000048275517
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
137000.00000000
SEK
14187.16000000
USD
2019-10-03
252.16000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-161.74000000
-0.00003096479
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14335.49000000
USD
13000.00000000
EUR
2019-10-03
-161.74000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-214.07000000
-0.00004098326
N/A
DFE
XX
N
2
BANK OF AMERICA
N/A
14387.82000000
USD
13000.00000000
EUR
2019-10-03
-214.07000000
N
N
N
BMW Finance N.V.
5299006ZHG3IXU0PNJ56
BMW FINANCE NV MTN 0.454000% 01/29/2021
N/A
200000000.00000000
PA
1854284.10000000
0.354998908603
Long
DBT
NUSS
NL
N
2
2021-01-29
Fixed
0.45400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2019-10-03
N/A
1.00000000
NC
USD
278.34000000
0.000053287625
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14319.77000000
USD
2019-10-03
278.34000000
N
N
N
Volkswagen International Finance N.V.
5299004PWNHKYTR23649
VOLKSWAGEN INTERNATIONAL FINANCE NV 1.875000% 03/30/2027
N/A
500000.00000000
PA
576061.31000000
0.110285762758
Long
DBT
NUSS
NL
N
2
2027-03-30
Fixed
1.87500000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 08/15/2029
N/A
2115000.00000000
PA
2440221.08000000
0.467175348238
Long
DBT
NUSS
DE
N
2
2029-08-15
Fixed
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 06/20/2026
N/A
39650000.00000000
PA
378658.88000000
0.072493470193
Long
DBT
NUSS
JP
N
2
2026-06-20
Fixed
0.10000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 1.500000% 07/22/2047
N/A
1406000.00000000
PA
1953697.03000000
0.374031311271
Long
DBT
NUSS
GB
N
2
2047-07-22
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2019-11-06
N/A
1.00000000
NC
USD
23707.09000000
0.004538674023
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
60617000.00000000
MXN
3075686.90000000
USD
2019-11-06
23707.09000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC MTN 10.000000% 05/21/2021
N/A
180000.00000000
PA
250681.09000000
0.047992383344
Long
DBT
NUSS
GB
N
2
2021-05-21
Fixed
10.00000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.950000% 03/01/2023
N/A
1530000.00000000
PA
1721447.66000000
0.329567643123
Long
DBT
NUSS
IT
N
2
2023-03-01
Fixed
0.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-66.59000000
-0.00001274851
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
31656.15000000
USD
2019-10-03
-66.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4221.75000000
0.000808245426
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
617000.00000000
NZD
391115.68000000
USD
2019-10-03
4221.75000000
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE MTN 0.750000% 09/17/2021
N/A
570000.00000000
PA
635889.98000000
0.121739839591
Long
DBT
NUSS
CA
N
2
2021-09-17
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
-14.30000000
-0.00000273770
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14149.59000000
USD
2019-10-03
-14.30000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-2896.68000000
-0.00055456347
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
482231.45000000
USD
51800000.00000000
JPY
2019-10-03
-2896.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
4106.00000000
0.000786085324
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
481000.00000000
NZD
305720.23000000
USD
2019-10-03
4106.00000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC19 FINANCIAL COMMODITY FUTURE.
N/A
5.00000000
NC
USD
651562.50000000
0.124740311577
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2019
2019-12-22
657194.20000000
USD
-5631.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
56.47000000
0.000010811066
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14220.36000000
USD
2019-10-03
56.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-10-03
N/A
1.00000000
NC
USD
35.49000000
0.000006794488
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1565000.00000000
JPY
14517.32000000
USD
2019-10-03
35.49000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 4.625000% 05/23/2029
N/A
130000.00000000
PA
190954.17000000
0.036557786340
Long
DBT
NUSS
NL
N
2
2029-05-23
Fixed
4.62500000
N
N
N
N
N
N
Europcar Mobility Group S.A.
969500XCGTMV08D76N87
EUROPCAR MOBILITY GROUP 144A 4.125000% 11/15/2024
AP6034312
100000.00000000
PA
112034.76000000
0.021448826275
Long
DBT
NUSS
FR
Y
2
2024-11-15
Fixed
4.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
213.99000000
0.000040967949
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14387.74000000
USD
2019-10-03
213.99000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE DEC19 FINANCIAL COMMODITY FUTURE.
N/A
-32.00000000
NC
-4732355.06000000
-0.90599972324
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Dec 2019
2019-12-09
-4817268.29000000
EUR
84913.23000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
70000.00000000
PA
61536.72000000
0.011781079522
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
0.78000000
0.000000149329
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
AUD
30351.96000000
USD
2019-10-03
0.78000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.350000% 07/30/2023
N/A
958000.00000000
PA
1072770.75000000
0.205379771865
Long
DBT
NUSS
ES
N
2
2023-07-30
Fixed
0.35000000
N
N
N
N
N
N
Kongeriket Norge
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 1.750000% 09/06/2029
N/A
3571000.00000000
PA
411818.82000000
0.078841873067
Long
DBT
NUSS
NO
Y
2
2029-09-06
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
5211.55000000
0.000997740617
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2201000.00000000
ZAR
150352.83000000
USD
2019-10-03
5211.55000000
N
N
N
Banco de Sabadell, S.A.
SI5RG2M0WQQLZCXKRM20
BANCO DE SABADELL SA 0.875000% 11/12/2021
N/A
400000.00000000
PA
448187.86000000
0.085804651590
Long
DBT
NUSS
ES
N
2
2021-11-12
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2019-10-03
N/A
1.00000000
NC
USD
345.49000000
0.000066143355
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
14140.74000000
USD
2019-10-03
345.49000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.900000% 07/30/2040
N/A
705000.00000000
PA
1379179.40000000
0.264041082900
Long
DBT
NUSS
ES
Y
2
2040-07-30
Fixed
4.90000000
N
N
N
N
N
N
TEMASEK FINANCIAL (I) LIMITED
549300XMGMDF3VRJMF12
TEMASEK FINANCIAL I LTD MTN 2.375000% 01/23/2023
87973PAC8
495000.00000000
PA
USD
501893.13000000
0.096086415984
Long
DBT
NUSS
SG
Y
2
2023-01-23
Fixed
2.37500000
N
N
N
N
N
N
Swiss Re Finance (Luxembourg) S.A.
549300CLQZ6TM98LW631
SWISS RE FINANCE LUXEMBOURG SA 144A 5.000000% 04/02/2049
87089NAA8
200000.00000000
PA
USD
220750.00000000
0.042262137217
Long
DBT
NUSS
LU
Y
2
2049-04-02
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2019-10-03
N/A
1.00000000
NC
USD
11474.01000000
0.002196675809
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5005936000.00000000
COP
1450575.49000000
USD
2019-10-03
11474.01000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
310000.00000000
PA
438503.02000000
0.083950508727
Long
DBT
NUSS
BE
Y
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC 0.625000% 11/08/2024
718172CF4
285000.00000000
PA
316352.92000000
0.060565121241
Long
DBT
NUSS
US
N
2
2024-11-08
Fixed
0.62500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2019-11-04
N/A
1.00000000
NC
10718.19000000
0.002051975612
N/A
DFE
BR
N
2
JP MORGAN
N/A
2044814.86000000
USD
8580656.58000000
BRL
2019-11-04
10718.19000000
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-DNA1 M2
3137G0ET2
273714.01470000
PA
USD
275494.61000000
0.052742881134
Long
DBT
USGA
US
N
2
2027-10-25
Floating
3.86838000
N
N
N
N
N
N
DIGITAL EURO FINCO, LLC
635400OUEAPTXSW3SC91
DIGITAL EURO FINCO LLC 2.625000% 04/15/2024
N/A
175000.00000000
PA
209518.46000000
0.040111881794
Long
DBT
NUSS
US
N
2
2024-04-15
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2019-11-06
N/A
1.00000000
NC
USD
177938.71000000
0.034066003072
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3041511051.00000000
JPY
28395587.90000000
USD
2019-11-06
177938.71000000
N
N
N
BERKSHIRE HATHAWAY INC.
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC 0.625000% 01/17/2023
084670BZ0
265000.00000000
PA
295181.79000000
0.056511951588
Long
DBT
NUSS
US
N
2
2023-01-17
Fixed
0.62500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2019-11-22
N/A
1.00000000
NC
287.37000000
0.000055016400
N/A
DFE
CA
N
2
BARCLAYS CAPITAL INC.
N/A
434402.72000000
USD
575000.64000000
CAD
2019-11-22
287.37000000
N
N
N
Becton Dickinson Euro Finance S.a r.l.
549300W40NLZ25XUTH09
BECTON DICKINSON EURO FINANCE SARL 0.632000% 06/04/2023
ZS7774319
200000.00000000
PA
220345.38000000
0.042184673543
Long
DBT
NUSS
LU
N
2
2023-06-04
Fixed
0.63200000
N
N
N
N
N
N
BMW Finance N.V.
5299006ZHG3IXU0PNJ56
BMW FINANCE NV MTN 0.875000% 11/17/2020
N/A
585000.00000000
PA
645429.89000000
0.123566235902
Long
DBT
NUSS
NL
N
2
2020-11-17
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2019-10-03
N/A
1.00000000
NC
USD
603947.14000000
0.115624448030
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15973892.28000000
EUR
18020103.15000000
USD
2019-10-03
603947.14000000
N
N
N
Odebrecht Finance, Ltd.
N/A
ODEBRECHT FINANCE LTD 4.375000% 04/25/2025
G6710EAP5
200000.00000000
PA
USD
20002.00000000
0.003829342100
Long
DBT
NUSS
KY
N
2
2025-04-25
Fixed
4.37500000
Y
N
N
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV MTN 1.250000% 01/10/2033
N/A
300000.00000000
PA
380090.70000000
0.072767589211
Long
DBT
NUSS
NL
N
2
2033-01-10
Fixed
1.25000000
N
N
N
N
N
N
B.A.T. INTERNATIONAL FINANCE P.L.C.
21380041YBGOQDFAC823
BAT INTERNATIONAL FINANCE PLC MTN 1.250000% 03/13/2027
N/A
333000.00000000
PA
361765.52000000
0.069259270880
Long
DBT
NUSS
GB
N
2
2027-03-13
Fixed
1.25000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 2.500000% 07/22/2065
N/A
1717000.00000000
PA
3413518.47000000
0.653511148236
Long
DBT
NUSS
GB
N
2
2065-07-22
Fixed
2.50000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2019-10-24
N/A
1.00000000
NC
-28365.06000000
-0.00543043287
N/A
DFE
IN
N
2
GOLDMAN, SACHS & CO.
N/A
1289454.56000000
USD
89493175.62000000
INR
2019-10-24
-28365.06000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 5.017000% 06/26/2024
46115HAT4
530000.00000000
PA
USD
545391.43000000
0.104414076792
Long
DBT
NUSS
IT
Y
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2019-10-03
N/A
1.00000000
NC
-120.30000000
-0.00002303118
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13915.55000000
USD
22000.00000000
NZD
2019-10-03
-120.30000000
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA MTN 4.875000% 02/20/2029
N/A
220000.00000000
PA
269390.85000000
0.051574328733
Long
DBT
NUSS
IT
N
2
2029-02-20
Fixed
4.87500000
N
N
N
N
N
N
2019-09-30
SEI INSTITUTIONAL INTERNATIONAL TRUST
James Hoffmayer
James Hoffmayer
CFO