0001752724-20-107124.txt : 20200528
0001752724-20-107124.hdr.sgml : 20200528
20200528115451
ACCESSION NUMBER: 0001752724-20-107124
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200331
FILED AS OF DATE: 20200528
PERIOD START: 20200930
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: 20918989
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)
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ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
SIT International Fixed Income Fund
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2020-09-30
2020-03-31
N
510844840.50
11260402.27
499584438.23
0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
10270649.38000000
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JPY
EUR
N
U.S. DOLLARS
N/A
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N/A
1.00000000
NC
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590.26000000
0.000118150197
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DFE
US
N
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J P MORGAN CHASE BANK
N/A
15000.00000000
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16094.47000000
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2020-04-03
590.26000000
N
N
N
LIBERTY MUTUAL GROUP INC.
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DBT
NUSS
US
N
2
2059-05-23
Fixed
3.62500000
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
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DBT
USGA
US
N
2
2029-10-25
Floating
5.07674880
N
N
N
N
N
N
U.S. DOLLARS
N/A
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N/A
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NC
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405.06000000
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N/A
DFE
US
N
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J P MORGAN CHASE BANK
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2020-04-03
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U.S. DOLLARS
N/A
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N/A
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USD
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DFE
US
N
2
J P MORGAN CHASE BANK
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NOK
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2020-04-03
1645.48000000
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U.S. DOLLARS
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N/A
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USD
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0.000065574500
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DFE
US
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J P MORGAN CHASE BANK
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2020-04-03
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BRITISH STERLING POUND
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N/A
1.00000000
NC
-1538.70000000
-0.00030799598
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
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38000.00000000
GBP
2020-04-03
-1538.70000000
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N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
905.76000000
0.000181302684
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
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31116.62000000
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2020-04-03
905.76000000
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N
N
U.S. DOLLARS
N/A
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N/A
1.00000000
NC
USD
3580.38000000
0.000716671642
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
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NOK
31673.92000000
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2020-04-03
3580.38000000
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N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
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0.000734060094
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
295000.00000000
NOK
31760.79000000
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2020-04-03
3667.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-355.26000000
-0.00007111110
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
NZD
14455.48000000
USD
2020-04-30
-355.26000000
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
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FIDELITY NATIONAL INFORMATION SERVICES INC 0.625000% 12/03/2025
31620MBL9
185000.00000000
PA
192413.24000000
0.038514658439
Long
DBT
NUSS
US
N
2
2025-12-03
Fixed
0.62500000
N
N
N
N
N
N
ENEL - SPA
WOCMU6HCI0OJWNPRZS33
ENEL SPA 3.500000% 05/24/2080
N/A
175000.00000000
PA
185342.51000000
0.037099336131
Long
DBT
NUSS
IT
N
2
2080-05-24
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1520.23000000
-0.00030429890
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
54000.00000000
AUD
31530.45000000
USD
2020-04-03
-1520.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-280.58000000
-0.00005616267
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14473.56000000
USD
2020-04-03
-280.58000000
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP MTN 0.850000% 06/07/2024
902973BB1
226000.00000000
PA
238405.07000000
0.047720675776
Long
DBT
NUSS
US
N
2
2024-06-07
Fixed
0.85000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS369101
-134000.00000000
NC
USD
-29648.37000000
-0.00593460639
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-7930.52000000
USD
-134000.00000000
USD
-21717.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
612.35000000
0.000122571872
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
17000.00000000
CHF
18183.79000000
USD
2020-04-03
612.35000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
5046.15000000
0.001010069492
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
311234.74000000
USD
450000.00000000
SGD
2020-04-30
5046.15000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
214.40000000
0.000042915668
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
84847.75000000
USD
892200.00000000
NOK
2020-05-26
214.40000000
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 5.179000% 11/19/2025
05971KAA7
400000.00000000
PA
USD
423275.18000000
0.084725453318
Long
DBT
NUSS
ES
N
2
2025-11-19
Fixed
5.17900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1089.53000000
0.000218087257
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
14131.88000000
USD
2020-04-03
1089.53000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1613.40000000
-0.00032294841
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14374.53000000
USD
134000.00000000
NOK
2020-04-03
-1613.40000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-40342.69000000
-0.00807524952
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
296520.93000000
USD
4576000.00000000
ZAR
2020-04-03
-40342.69000000
N
N
N
EXPEDIA GROUP, INC.
N/A
EXPEDIA GROUP INC 5.000000% 02/15/2026
30212PAM7
250000.00000000
PA
USD
225845.91000000
0.045206754397
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1696.18000000
0.000339518181
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
32481.75000000
USD
2020-04-03
1696.18000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.500000% 10/22/2024
N/A
1100000.00000000
PA
1249290.63000000
0.250065961707
Long
DBT
NUSS
BE
Y
2
2024-10-22
Fixed
0.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-845.12000000
-0.00016916459
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14194.10000000
USD
19000.00000000
CAD
2020-04-03
-845.12000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-476.74000000
-0.00009542731
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
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19000.00000000
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2020-04-03
-476.74000000
N
N
N
BANK OF AMERICA CORPORATION
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BANK OF AMERICA CORP MTN 1.625000% 09/14/2022
N/A
261000.00000000
PA
285447.56000000
0.057136999905
Long
DBT
NUSS
US
N
2
2022-09-14
Fixed
1.62500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
703.78000000
0.000140873082
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13225.43000000
USD
138000.00000000
SEK
2020-04-03
703.78000000
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N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
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NC
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0.000018263178
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
309000.00000000
SEK
31280.55000000
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2020-04-03
91.24000000
N
N
N
UNIONE DI BANCHE ITALIANE SOCIETA PER AZIONI
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UNIONE DI BANCHE ITALIANE SPA 1.000000% 01/27/2023
N/A
185000.00000000
PA
208402.44000000
0.041715158450
Long
DBT
NUSS
IT
N
2
2023-01-27
Fixed
1.00000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 05/25/2022
N/A
868000.00000000
PA
964026.02000000
0.192965582237
Long
DBT
NUSS
FR
N
2
2022-05-25
Fixed
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
270.25000000
0.000054094959
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
13994.46000000
USD
13000.00000000
EUR
2020-04-03
270.25000000
N
N
N
Exportation et developpement Canada
Z6MHCSLXHKYG4B6PHW02
EXPORT DEVELOPMENT CANADA MTN 2.400000% 06/07/2021
N/A
1259000.00000000
PA
784522.53000000
0.157035021502
Long
DBT
NUSS
CA
N
2
2021-06-07
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1339.35000000
0.000268092818
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
52000.00000000
CAD
37873.41000000
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2020-04-03
1339.35000000
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N
CANADIAN DOLLAR
N/A
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N/A
1.00000000
NC
-978.68000000
-0.00019589881
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
17137.98000000
USD
23000.00000000
CAD
2020-04-03
-978.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
389.46000000
0.000077956791
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
31175.03000000
USD
2020-04-03
389.46000000
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N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
13.41000000
0.000002684230
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14773.34000000
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2020-04-30
13.41000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.250000% 06/01/2029
135087J39
3965000.00000000
PA
3162027.26000000
0.632931496265
Long
DBT
NUSS
CA
N
2
2029-06-01
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
4334.58000000
0.000867637113
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
102000.00000000
NZD
64803.66000000
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2020-04-03
4334.58000000
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N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
34045.55000000
0.006814773919
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1035000.00000000
EUR
1169736.30000000
USD
2020-04-03
34045.55000000
N
N
N
ORANGE S.A.
969500MCOONR8990S771
ORANGE SA MTN 2.375000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
318455.76000000
0.063744131248
Long
DBT
NUSS
FR
N
2
2168-04-15
Fixed
2.37500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
58.53000000
0.000011715737
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13274.00000000
USD
140000.00000000
NOK
2020-04-03
58.53000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
3430000.00000000
PA
812235.63000000
0.162582251936
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.050000% 10/31/2021
N/A
852000.00000000
PA
938649.97000000
0.187886150602
Long
DBT
NUSS
ES
N
2
2021-10-31
Fixed
0.05000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
236.01000000
0.000047241263
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14028.70000000
USD
13000.00000000
EUR
2020-04-03
236.01000000
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N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
287.17000000
0.000057481774
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
142000.00000000
SEK
14620.12000000
USD
2020-04-03
287.17000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-169.69000000
-0.00003396623
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13022.73000000
USD
21000.00000000
AUD
2020-04-03
-169.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
927.56000000
0.000185666311
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
13780.60000000
USD
2020-04-03
927.56000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9783.89000000
-0.00195840567
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
142368.46000000
USD
874000.00000000
TRY
2020-04-03
-9783.89000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
845.15000000
0.000169170601
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14406.34000000
USD
160000.00000000
NOK
2020-04-30
845.15000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-495.07000000
-0.00009909636
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
12438.90000000
USD
17000.00000000
CAD
2020-04-03
-495.07000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-43.52000000
-0.00000871124
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32911.06000000
USD
3548000.00000000
JPY
2020-04-03
-43.52000000
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
240602.61000000
0.048160549366
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/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
58.16000000
0.000011641675
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1583000.00000000
JPY
14746.56000000
USD
2020-04-30
58.16000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
1100600000.00000000
PA
274964.68000000
0.055038679942
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 6.000000% 05/15/2021
N/A
971000.00000000
PA
612515.71000000
0.122605041936
Long
DBT
NUSS
NZ
N
2
2021-05-15
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
594639.86000000
0.119026898056
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16325063.29000000
EUR
18510883.15000000
USD
2020-04-08
594639.86000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1446.32000000
-0.00028950461
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
33267.61000000
USD
29000.00000000
EUR
2020-04-03
-1446.32000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
307.18000000
0.000061487103
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13823.90000000
USD
140000.00000000
SEK
2020-04-03
307.18000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-682.05000000
-0.00013652346
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13443.18000000
USD
134000.00000000
NOK
2020-04-03
-682.05000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-467.84000000
-0.00009364583
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13816.82000000
USD
19000.00000000
CAD
2020-04-03
-467.84000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-754.32000000
-0.00015098949
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14885.40000000
USD
140000.00000000
SEK
2020-04-03
-754.32000000
N
N
N
Japan
N/A
10YR MINI JGB FUT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-5.00000000
NC
-707007.55000000
-0.14151912988
N/A
DIR
SG
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Jun 2020
2020-06-15
-745568.67000000
JPY
38561.12000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
551.15000000
0.000110321690
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31343.70000000
USD
3443000.00000000
JPY
2020-04-03
551.15000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.100000% 03/01/2040
N/A
975000.00000000
PA
1219512.03000000
0.244105287650
Long
DBT
NUSS
IT
Y
2
2040-03-01
Fixed
3.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9166.47000000
0.001834818961
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
377000.00000000
EUR
422843.20000000
USD
2020-04-03
9166.47000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-410.78000000
-0.00008222433
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14050.47000000
USD
11000.00000000
GBP
2020-04-03
-410.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
29.33000000
0.000005870879
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1620000.00000000
JPY
15036.49000000
USD
2020-04-03
29.33000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
807.17000000
0.000161568283
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31495.28000000
USD
3487000.00000000
JPY
2020-04-03
807.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-50111.27000000
-0.01003059066
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5197000.00000000
AUD
3130464.92000000
USD
2020-04-30
-50111.27000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1000.17000000
-0.00020020039
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
32821.46000000
USD
29000.00000000
EUR
2020-04-03
-1000.17000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-983.38000000
-0.00019683959
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33850.92000000
USD
3548000.00000000
JPY
2020-04-03
-983.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
591.69000000
0.000118436435
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
15062.29000000
USD
2020-04-03
591.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
788.21000000
0.000157773128
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14427.90000000
USD
2020-04-03
788.21000000
N
N
N
Husky Energy Inc.
5493001LRMU2TM8ZZZ78
HUSKY ENERGY INC 4.400000% 04/15/2029
448055AP8
205000.00000000
PA
USD
145266.67000000
0.029077500995
Long
DBT
NUSS
CA
N
2
2029-04-15
Fixed
4.40000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1784.04000000
-0.00035710479
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
30832.91000000
USD
49000.00000000
NZD
2020-04-03
-1784.04000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
161.27000000
0.000032280829
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14796.02000000
USD
148000.00000000
SEK
2020-04-30
161.27000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1515.31000000
-0.00030331409
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
63000.00000000
AUD
37043.81000000
USD
2020-04-03
-1515.31000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2050
N/A
742000.00000000
PA
820336.75000000
0.164203823663
Long
DBT
NUSS
IT
Y
2
2050-09-01
Fixed
2.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
583.57000000
0.000116811084
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
198000.00000000
EUR
217846.15000000
USD
2020-04-03
583.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
379.77000000
0.000076017179
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15414.72000000
USD
2020-04-03
379.77000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
905.23000000
0.000181196596
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31097.48000000
USD
3449000.00000000
JPY
2020-04-30
905.23000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-51.29000000
-0.00001026653
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
28144.83000000
USD
295000.00000000
NOK
2020-04-03
-51.29000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
424.38000000
0.000084946601
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
45054.65000000
USD
44000.00000000
CHF
2020-04-03
424.38000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN20 FINANCIAL COMMODITY FUTURE.
N/A
56.00000000
NC
USD
7766500.00000000
1.554592058054
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2020
2020-06-22
7718117.96000000
USD
48382.04000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-7312.07000000
-0.00146363045
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
146723.08000000
USD
919000.00000000
TRY
2020-04-03
-7312.07000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-5576.92000000
-0.00111631179
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
153383.77000000
USD
143000.00000000
CHF
2020-04-03
-5576.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
507.52000000
0.000101588432
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16011.73000000
USD
2020-04-03
507.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-5318.51000000
-0.00106458680
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
129000.00000000
AUD
73635.88000000
USD
2020-04-03
-5318.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1163.74000000
0.000232941603
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
65000.00000000
CAD
46831.32000000
USD
2020-04-03
1163.74000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-371.18000000
-0.00007429775
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
15125.32000000
USD
21000.00000000
CAD
2020-04-03
-371.18000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 5.000000% 12/01/2020
N/A
3370000.00000000
PA
352176.34000000
0.070493857104
Long
DBT
NUSS
SE
Y
2
2020-12-01
Fixed
5.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1817.04000000
-0.00036371028
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
30583.37000000
USD
47000.00000000
AUD
2020-04-03
-1817.04000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.125000% 06/07/2023
N/A
1135000.00000000
PA
1262319.96000000
0.252673995305
Long
DBT
NUSS
DE
N
2
2023-06-07
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-838.44000000
-0.00016782748
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
38000.00000000
AUD
22419.44000000
USD
2020-04-03
-838.44000000
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
119604.44000000
0.023940785750
Long
DBT
NUSS
LU
N
2
2025-07-02
Fixed
0.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-918.88000000
-0.00018392886
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
221256.72000000
USD
360000.00000000
AUD
2020-04-03
-918.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
591.31000000
0.000118360372
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14856.02000000
USD
2020-04-03
591.31000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-855.08000000
-0.00017115825
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33287.22000000
USD
3501000.00000000
JPY
2020-04-03
-855.08000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 6.500000% MATURITY: PERPETUAL
060505EL4
67000.00000000
PA
USD
70685.00000000
0.014148759366
Long
DBT
CORP
US
N
2
2168-04-23
Fixed
6.50000000
N
N
N
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 1.500000% 03/24/2021
N/A
220000.00000000
PA
245187.62000000
0.049078314142
Long
DBT
NUSS
AU
N
2
2021-03-24
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-232.01000000
-0.00004644059
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
12810.34000000
USD
2020-04-03
-232.01000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-05-15
N/A
1.00000000
NC
34611.79000000
0.006928116120
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
486190.34000000
USD
419762.50000000
GBP
2020-05-15
34611.79000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
57.62000000
0.000011533585
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
16101.68000000
USD
23000.00000000
CAD
2020-04-03
57.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1568.09000000
0.000313878872
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49000.00000000
NZD
30616.96000000
USD
2020-04-03
1568.09000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9737.53000000
-0.00194912596
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
142322.10000000
USD
874000.00000000
TRY
2020-04-03
-9737.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
618.30000000
0.000123762862
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32000.00000000
GBP
40297.41000000
USD
2020-04-03
618.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
3783.46000000
0.000757321427
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
295000.00000000
NOK
31877.00000000
USD
2020-04-03
3783.46000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1065.18000000
-0.00021321320
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
17071.70000000
USD
27000.00000000
NZD
2020-04-03
-1065.18000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
258.34000000
0.000051710978
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12594.70000000
USD
21000.00000000
AUD
2020-04-03
258.34000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-27555.84000000
-0.00551575227
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
982320.72000000
USD
869970.16000000
EUR
2020-04-08
-27555.84000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
205.91000000
0.000041216255
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14554.02000000
USD
21000.00000000
CAD
2020-04-30
205.91000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC MTN 10.000000% 05/21/2021
N/A
180000.00000000
PA
236485.47000000
0.047336436426
Long
DBT
NUSS
GB
N
2
2021-05-21
Fixed
10.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
249.21000000
0.000049883459
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
29757.49000000
USD
2020-04-03
249.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
15659.47000000
0.003134499156
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2352000.00000000
ZAR
147331.50000000
USD
2020-04-03
15659.47000000
N
N
N
ENEL Finance International N.V.
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTERNATIONAL NV MTN 5.625000% 08/14/2024
N/A
160000.00000000
PA
224721.36000000
0.044981657314
Long
DBT
NUSS
NL
N
2
2024-08-14
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
888.14000000
0.000177775753
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13930.49000000
USD
2020-04-03
888.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
153.62000000
0.000030749556
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14910.66000000
USD
2020-04-03
153.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1413.61000000
-0.00028295717
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16000.00000000
GBP
18425.95000000
USD
2020-04-03
-1413.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-417.04000000
-0.00008347738
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1582000.00000000
JPY
14262.08000000
USD
2020-04-30
-417.04000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-5441.07000000
-0.00108911919
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
658151.38000000
USD
1101000.00000000
NZD
2020-04-03
-5441.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
15227.62000000
0.003048057312
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
485722.12000000
EUR
548292.36000000
USD
2020-04-08
15227.62000000
N
N
N
STATSMINISTERENS KONTOR
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 2.000000% 05/24/2023
N/A
9202000.00000000
PA
919197.52000000
0.183992424435
Long
DBT
NUSS
NO
Y
2
2023-05-24
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
105.87000000
0.000021191612
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1445000.00000000
JPY
13491.89000000
USD
2020-04-03
105.87000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
1507.57000000
0.000301764803
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
31076.05000000
USD
55000.00000000
NZD
2020-04-30
1507.57000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
8560.42000000
0.001713508136
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
322819.88000000
USD
302000.00000000
EUR
2020-04-03
8560.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-4306.18000000
-0.00086195238
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
591000.00000000
NOK
51976.13000000
USD
2020-04-03
-4306.18000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 06/26/2024
N/A
75010000.00000000
PA
242299.26000000
0.048500161626
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
561.54000000
0.000112401419
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15318.58000000
USD
2020-04-03
561.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1602.62000000
0.000320790616
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
31837.16000000
USD
2020-04-03
1602.62000000
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
159195.52000000
0.031865588240
Long
DBT
NUSS
GB
N
2
2032-04-16
Fixed
5.75000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-424.30000000
-0.00008493058
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
23682.18000000
USD
38000.00000000
AUD
2020-04-03
-424.30000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
3310.55000000
0.000662660752
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
545975.66000000
USD
500502.92000000
EUR
2020-04-08
3310.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
330.01000000
0.000066056901
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
162000.00000000
NOK
15757.65000000
USD
2020-04-03
330.01000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-02
N/A
1.00000000
NC
-1004.79000000
-0.00020112515
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
280065.11000000
USD
254327.20000000
EUR
2020-04-02
-1004.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
633.05000000
0.000126715316
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1620000.00000000
JPY
15640.21000000
USD
2020-04-03
633.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
177.84000000
0.000035597585
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14648.44000000
USD
2020-04-03
177.84000000
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV 144A 3.680000% 01/21/2030
74365PAA6
275000.00000000
PA
USD
248610.29000000
0.049763417547
Long
DBT
NUSS
NL
Y
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1236.43000000
0.000247491696
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
30000.00000000
EUR
34155.00000000
USD
2020-04-03
1236.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2314.63000000
0.000463311068
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
188000.00000000
NOK
20218.31000000
USD
2020-04-03
2314.63000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1418.85000000
-0.00028400604
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
65816.20000000
USD
638000.00000000
SEK
2020-04-03
-1418.85000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-835.79000000
-0.00016729704
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14184.77000000
USD
19000.00000000
CAD
2020-04-03
-835.79000000
N
N
N
BPCE S.A.
9695005MSX1OYEMGDF46
BPCE SA MTN 1.125000% 01/18/2023
N/A
300000.00000000
PA
323081.73000000
0.064670094838
Long
DBT
NUSS
FR
N
2
2023-01-18
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-179.68000000
-0.00003596589
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13460.01000000
USD
2020-04-03
-179.68000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
232.48000000
0.000046534676
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32069.97000000
USD
3487000.00000000
JPY
2020-04-03
232.48000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-98582.34000000
-0.01973286845
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
711384.07000000
USD
10954068.06000000
ZAR
2020-04-08
-98582.34000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond .100000% 03/10/2026
JK7713619
254500000.00000000
PA
2402609.59000000
0.480921623282
Long
DBT
USGA
JP
N
2
2026-03-10
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
999687.57000000
0.200103824999
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23047000.00000000
CAD
17192004.86000000
USD
2020-04-03
999687.57000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-05-26
N/A
1.00000000
NC
-100474.18000000
-0.02011155118
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
1871803.60000000
USD
7354000.00000000
PLN
2020-05-26
-100474.18000000
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
CENTRICA PLC MTN 4.375000% 03/13/2029
N/A
164000.00000000
PA
226517.17000000
0.045341118070
Long
DBT
NUSS
GB
N
2
2029-03-13
Fixed
4.37500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-850.26000000
-0.00017019345
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14880.40000000
USD
139000.00000000
SEK
2020-04-03
-850.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-06-11
N/A
1.00000000
NC
USD
-139678.38000000
-0.02795891331
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7753935.90000000
AUD
4605605.31000000
USD
2020-06-11
-139678.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-262.12000000
-0.00005246760
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1583000.00000000
JPY
14426.28000000
USD
2020-04-30
-262.12000000
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 1.250000% 05/27/2036
N/A
281000.00000000
PA
351890.83000000
0.070436707605
Long
DBT
NUSS
NL
N
2
2036-05-27
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-177.35000000
-0.00003549950
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14321.98000000
USD
2020-04-30
-177.35000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
162.30000000
0.000032487000
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14794.99000000
USD
148000.00000000
SEK
2020-04-30
162.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1661.56000000
0.000332588422
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
135000.00000000
NOK
14517.93000000
USD
2020-04-03
1661.56000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-406.59000000
-0.00008138564
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32709.04000000
USD
3487000.00000000
JPY
2020-04-03
-406.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
982.61000000
0.000196685469
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
40000.00000000
EUR
44874.04000000
USD
2020-04-03
982.61000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
119.89000000
0.000023997945
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14634.25000000
USD
21000.00000000
CAD
2020-04-03
119.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1782.01000000
0.000356698460
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
52000.00000000
NZD
32609.38000000
USD
2020-04-03
1782.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-306.51000000
-0.00006135299
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13333.18000000
USD
2020-04-03
-306.51000000
N
N
N
SILGAN HOLDINGS INC.
KAF673KJXD92C8KSLU49
SILGAN HOLDINGS INC 144A 2.250000% 06/01/2028
N/A
260000.00000000
PA
252762.32000000
0.050594514291
Long
DBT
CORP
US
Y
2
2028-06-01
Fixed
2.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-317.01000000
-0.00006345473
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13170.05000000
USD
21000.00000000
AUD
2020-04-03
-317.01000000
N
N
N
N/A
N/A
EURO FX CURR FUT JUN20 CURRENCY FUTURE.
N/A
-240.00000000
NC
USD
-33148500.00000000
-6.63521468311
N/A
DFE
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Currency Futures
EUR/USD Future (Consolidated) (IMM) Jun 2020
2020-06-18
-34238687.40000000
USD
1090187.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
725.44000000
0.000145208686
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3570000.00000000
JPY
33796.78000000
USD
2020-04-03
725.44000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
260.83000000
0.000052209392
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14696.46000000
USD
148000.00000000
SEK
2020-04-30
260.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-3037.75000000
-0.00060805536
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
704000.00000000
NOK
64005.82000000
USD
2020-04-03
-3037.75000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
707.69000000
0.000141655733
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
216577.33000000
USD
2150000.00000000
SEK
2020-04-30
707.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-24
N/A
1.00000000
NC
USD
71748.97000000
0.014361730372
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20824805.32000000
EUR
22938498.07000000
USD
2020-04-24
71748.97000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
3522000.00000000
PA
129265.65000000
0.025874635018
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
20997.83000000
0.004203059261
N/A
DFE
CZ
N
2
MORGAN STANLEY & CO, INC
N/A
980589.76000000
USD
25007000.00000000
CZK
2020-04-03
20997.83000000
N
N
N
DEXIA CREDIT LOCAL S.A.
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.625000% 02/03/2024
N/A
200000.00000000
PA
225710.74000000
0.045179697910
Long
DBT
NUSS
FR
N
2
2024-02-03
Fixed
0.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
28570000.00000000
PA
1248704.80000000
0.249948698246
Long
DBT
NUSS
MX
N
2
2031-05-29
Floating
7.75000080
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (2 YEAR ISSUE) 0.100000% 01/01/2022
N/A
320250000.00000000
PA
2978676.53000000
0.596230847492
Long
DBT
NUSS
JP
N
2
2022-01-01
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
592573.40000000
0.118613262274
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
18583000.00000000
NZD
11609208.93000000
USD
2020-04-03
592573.40000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
703.08000000
0.000140732966
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14235.49000000
USD
148000.00000000
SEK
2020-04-03
703.08000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1149.03000000
-0.00022999715
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13910.16000000
USD
134000.00000000
NOK
2020-04-03
-1149.03000000
N
N
N
CAISSE FRANCAISE DE FINANCEMENT LOCAL SA
549300E6W08778I4OW85
CAISSE FRANCAISE DE FINANCEMENT LOCAL MTN 0.500000% 01/19/2026
N/A
500000.00000000
PA
563766.64000000
0.112847117896
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/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
20929.80000000
0.004189441943
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
501000.00000000
EUR
570669.96000000
USD
2020-04-03
20929.80000000
N
N
N
Lincoln Financing S.a r.l.
222100831I4WRVCLV609
LINCOLN FINANCING SARL 144A 3.625000% 04/01/2024
N/A
170000.00000000
PA
154262.26000000
0.030878115528
Long
DBT
NUSS
LU
Y
2
2024-04-01
Fixed
3.62500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-813.52000000
-0.00016283933
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14162.50000000
USD
19000.00000000
CAD
2020-04-03
-813.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
712.11000000
0.000142540468
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
13473.24000000
USD
2020-04-03
712.11000000
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
235418.53000000
0.047122870927
Long
DBT
NUSS
BE
N
2
2029-05-24
Fixed
2.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1288.83000000
0.000257980413
N/A
DFE
XX
N
2
JP MORGAN
N/A
146520.77000000
USD
3468000.00000000
MXN
2020-04-03
1288.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2030.97000000
0.000406531878
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
33030.28000000
USD
2020-04-03
2030.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
382220.99000000
0.076507785421
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45755000.00000000
MXN
2332344.43000000
USD
2020-04-03
382220.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1661.89000000
-0.00033265447
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
27000.00000000
GBP
31828.95000000
USD
2020-04-30
-1661.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
746.44000000
0.000149412179
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16250.65000000
USD
2020-04-03
746.44000000
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
9.00000000
NC
1651239.35000000
0.330522575092
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Jun 2020
2020-06-11
1684873.42000000
EUR
-33634.07000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-02
N/A
1.00000000
NC
-51642.09000000
-0.01033700933
N/A
DFE
BR
N
2
MORGAN STANLEY & CO, INC
N/A
1458860.81000000
USD
7298680.63000000
BRL
2020-04-02
-51642.09000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2020-04-27
N/A
1.00000000
NC
39247.77000000
0.007856083375
N/A
DFE
KR
N
2
JP MORGAN
N/A
1989871.39000000
USD
2470823300.00000000
KRW
2020-04-27
39247.77000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
784.68000000
0.000157066541
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31647.46000000
USD
3501000.00000000
JPY
2020-04-03
784.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1091.53000000
-0.00021848759
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
54000.00000000
AUD
31959.15000000
USD
2020-04-03
-1091.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
394.26000000
0.000078917590
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15898.47000000
USD
2020-04-03
394.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
8305.91000000
0.001662563795
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
874000.00000000
TRY
140890.48000000
USD
2020-04-03
8305.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-84446.91000000
-0.01690343083
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
44810000.00000000
MXN
1817997.40000000
USD
2020-04-30
-84446.91000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-587.73000000
-0.00011764377
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13936.71000000
USD
19000.00000000
CAD
2020-04-03
-587.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-111.69000000
-0.00002235658
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1582000.00000000
JPY
14567.43000000
USD
2020-04-30
-111.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-174.57000000
-0.00003494304
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14296.03000000
USD
2020-04-03
-174.57000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 09/20/2032
N/A
587750000.00000000
PA
6459778.38000000
1.293030343956
Long
DBT
NUSS
JP
N
2
2032-09-20
Fixed
1.70000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.600000% 04/30/2025
N/A
572000.00000000
PA
670655.36000000
0.134242644221
Long
DBT
NUSS
ES
Y
2
2025-04-30
Fixed
1.60000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-25.95000000
-0.00000519431
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
5204.28000000
USD
5000.00000000
CHF
2020-04-30
-25.95000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1987.63000000
-0.00039785666
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
31036.50000000
USD
49000.00000000
NZD
2020-04-03
-1987.63000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 4.100000% 04/15/2037
N/A
277000.00000000
PA
435018.60000000
0.087076090988
Long
DBT
NUSS
PT
Y
2
2037-04-15
Fixed
4.10000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-642.41000000
-0.00012858887
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
37164.09000000
USD
52000.00000000
SGD
2020-04-03
-642.41000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2232.43000000
-0.00044685739
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
30998.76000000
USD
47000.00000000
AUD
2020-04-03
-2232.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
7.50000000
0.000001501247
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46000.00000000
CAD
32326.09000000
USD
2020-04-03
7.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-05-15
N/A
1.00000000
NC
USD
-390.72000000
-0.00007820900
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
303437.27000000
GBP
376085.92000000
USD
2020-05-15
-390.72000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
723.41000000
0.000144802348
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14087.33000000
USD
25000.00000000
NZD
2020-04-30
723.41000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
806.04000000
0.000161342095
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14495.20000000
USD
25000.00000000
AUD
2020-04-03
806.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
264.77000000
0.000052998047
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15021.81000000
USD
2020-04-03
264.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
3149.63000000
0.000630449981
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2267000.00000000
ZAR
130063.11000000
USD
2020-04-03
3149.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-205.49000000
-0.00004113218
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
31615.80000000
USD
2020-04-03
-205.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-230.77000000
-0.00004619239
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
31000.00000000
NZD
18147.09000000
USD
2020-04-03
-230.77000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-418.56000000
-0.00008378163
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
17778.17000000
USD
14000.00000000
GBP
2020-04-03
-418.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
770.08000000
0.000154144112
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49000.00000000
NZD
29818.95000000
USD
2020-04-03
770.08000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
11907200.00000000
PA
479602.43000000
0.096000274087
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO 0.875000% 05/17/2025
369604BS1
180000.00000000
PA
179049.61000000
0.035839709226
Long
DBT
NUSS
US
N
2
2025-05-17
Fixed
0.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-5249.66000000
-0.00105080534
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1149627.73000000
USD
1042743.40000000
EUR
2020-04-08
-5249.66000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 06/11/2020
N/A
3574000.00000000
PA
152626.56000000
0.030550703408
Long
DBT
NUSS
MX
N
2
2020-06-11
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-05-22
N/A
1.00000000
NC
USD
2684.74000000
0.000537394641
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
704700.00000000
NZD
420064.62000000
USD
2020-05-22
2684.74000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-716.41000000
-0.00014340118
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14746.55000000
USD
139000.00000000
SEK
2020-04-03
-716.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
73.74000000
0.000014760267
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1564000.00000000
JPY
14585.84000000
USD
2020-04-30
73.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-272.84000000
-0.00005461339
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46000.00000000
CAD
32058.43000000
USD
2020-04-30
-272.84000000
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP 2.000000% 03/12/2027
855244AV1
210000.00000000
PA
USD
197750.10000000
0.039582918295
Long
DBT
CORP
US
N
2
2027-03-12
Fixed
2.00000000
N
N
N
N
N
N
ENGIE S.A.
LAXUQCHT4FH58LRZDY46
ENGIE SA MTN 0.375000% 02/28/2023
N/A
100000.00000000
PA
108272.38000000
0.021672488515
Long
DBT
NUSS
FR
N
2
2023-02-28
Fixed
0.37500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-30
N/A
1.00000000
NC
2419.83000000
0.000484368570
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31071.01000000
USD
27000.00000000
GBP
2020-04-30
2419.83000000
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
363810.53000000
0.072822630602
Long
DBT
NUSS
FR
N
2
2031-03-24
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
81483.07000000
0.016310169766
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20243000.00000000
SEK
2124736.29000000
USD
2020-04-03
81483.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
764.80000000
0.000153087234
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
13525.93000000
USD
2020-04-03
764.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-95674.03000000
-0.01915072261
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11864000.00000000
SGD
8242895.85000000
USD
2020-04-30
-95674.03000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-857.38000000
-0.00017161863
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14988.46000000
USD
140000.00000000
SEK
2020-04-03
-857.38000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1684.83000000
-0.00033724629
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
31919.37000000
USD
51000.00000000
NZD
2020-04-03
-1684.83000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
120.71000000
0.000024162081
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
15179.35000000
USD
25000.00000000
AUD
2020-04-30
120.71000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
882.99000000
0.000176744896
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31602.21000000
USD
3501000.00000000
JPY
2020-04-30
882.99000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-537.29000000
-0.00010754738
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
33612.95000000
USD
32000.00000000
CHF
2020-04-03
-537.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
180.54000000
0.000036138035
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14445.25000000
USD
2020-04-03
180.54000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-3135.11000000
-0.00062754356
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
129556.92000000
USD
2267000.00000000
ZAR
2020-04-30
-3135.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-36523.78000000
-0.00731083220
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
220862800.00000000
JPY
2012453.99000000
USD
2020-04-27
-36523.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-151.51000000
-0.00003032720
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14733.31000000
USD
2020-04-30
-151.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1184.22000000
0.000237041010
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
31969.79000000
USD
2020-04-03
1184.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
736.73000000
0.000147468564
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14376.42000000
USD
2020-04-03
736.73000000
N
N
N
Japan
N/A
10YR MINI JGB FUT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
5.00000000
NC
707007.55000000
0.141519129880
N/A
DIR
SG
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Japan Govt. Bond Futures
10YR MINI JGB FUT Jun 2020
2020-06-15
736866.80000000
JPY
-29859.25000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13460.00000000
-0.00269423924
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
141549.12000000
USD
2288000.00000000
ZAR
2020-04-03
-13460.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-05-14
N/A
1.00000000
NC
USD
-3589.13000000
-0.00071842309
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3959050.71000000
NOK
373843.41000000
USD
2020-05-14
-3589.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1713.46000000
-0.00034297705
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
28000.00000000
GBP
33005.76000000
USD
2020-04-03
-1713.46000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2033
N/A
552000.00000000
PA
653340.21000000
0.130776733621
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/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
421.49000000
0.000084368120
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14892.09000000
USD
2020-04-03
421.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
710.97000000
0.000142312279
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16000.00000000
EUR
18267.54000000
USD
2020-04-03
710.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
924.00000000
0.000184953719
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13966.35000000
USD
2020-04-03
924.00000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.125000% 12/20/2023
N/A
345000.00000000
PA
412619.97000000
0.082592638686
Long
DBT
NUSS
US
N
2
2023-12-20
Fixed
2.12500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2097.78000000
-0.00041990499
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
31146.65000000
USD
49000.00000000
NZD
2020-04-03
-2097.78000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 02/25/2021
N/A
2055000.00000000
PA
2264397.73000000
0.453256257945
Long
DBT
NUSS
FR
N
2
2021-02-25
Fixed
0.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1289.79000000
-0.00025817257
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
39533.52000000
USD
37000.00000000
CHF
2020-04-03
-1289.79000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13519.95000000
-0.00270623921
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
149502.68000000
USD
2429000.00000000
ZAR
2020-04-03
-13519.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-3427.69000000
-0.00068610824
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
420000.00000000
NOK
36569.89000000
USD
2020-04-03
-3427.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-893.45000000
-0.00017883863
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
32053.02000000
USD
2020-04-30
-893.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
30134.34000000
0.006031881238
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
6763711.87000000
ZAR
408515.62000000
USD
2020-04-08
30134.34000000
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP INC MTN 0.956000% 10/16/2024
N/A
385000.00000000
PA
403464.89000000
0.080760099619
Long
DBT
NUSS
JP
N
2
2024-10-16
Fixed
0.95600000
N
N
N
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
233472.50000000
0.046733341179
Long
DBT
NUSS
GB
N
2
2026-01-16
Fixed
3.62500000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
93672.04000000
0.018749991559
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
8238888.89000000
USD
11864000.00000000
SGD
2020-04-03
93672.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
342.61000000
0.000068578997
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14607.32000000
USD
2020-04-03
342.61000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-10455.26000000
-0.00209279136
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
372637.36000000
USD
39097000.00000000
JPY
2020-04-03
-10455.26000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 1.900000% 03/20/2053
N/A
38700000.00000000
PA
521771.57000000
0.104441117471
Long
DBT
NUSS
JP
N
2
2053-03-20
Fixed
1.90000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN 0.125000% 04/19/2021
N/A
280000.00000000
PA
307726.26000000
0.061596446256
Long
DBT
NUSS
CA
N
2
2021-04-19
Fixed
0.12500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
498.85000000
0.000099852990
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14322.00000000
USD
25000.00000000
NZD
2020-04-03
498.85000000
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
491627.11000000
0.098407210549
Long
DBT
NUSS
US
N
2
2023-09-07
Fixed
0.95500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-741.52000000
-0.00014842736
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14143.30000000
USD
2020-04-30
-741.52000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-30
N/A
1.00000000
NC
526.20000000
0.000105327540
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
31579.46000000
USD
31000.00000000
CHF
2020-04-30
526.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1372.44000000
0.000274716323
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
32371.75000000
USD
2020-04-03
1372.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-12027.40000000
-0.00240748091
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49101000.00000000
JPY
443490.04000000
USD
2020-04-27
-12027.40000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
-387390.19000000
-0.07754248538
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
3300449.28000000
USD
30554500.00000000
NOK
2020-05-26
-387390.19000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
193.40000000
0.000038712174
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13155.58000000
USD
19000.00000000
CAD
2020-04-03
193.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1888.55000000
-0.00037802418
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
76749000.00000000
THB
2337770.33000000
USD
2020-04-30
-1888.55000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.500000% 02/15/2026
N/A
863000.00000000
PA
1011529.14000000
0.202474108998
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/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
904.33000000
0.000181016447
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13946.68000000
USD
2020-04-03
904.33000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.800000% 03/01/2067
N/A
90000.00000000
PA
103927.84000000
0.020802857744
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 2020-04-30
N/A
1.00000000
NC
USD
-536.52000000
-0.00010739325
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
32409.95000000
USD
2020-04-30
-536.52000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-567.85000000
-0.00011366446
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
45013.27000000
USD
43000.00000000
CHF
2020-04-03
-567.85000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1327.67000000
-0.00026575487
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
50239.90000000
USD
5280000.00000000
JPY
2020-04-03
-1327.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-61.08000000
-0.00001222616
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
76500000.00000000
HUF
233054.08000000
USD
2020-04-30
-61.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1074.91000000
0.000215160825
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1920000.00000000
JPY
18861.18000000
USD
2020-04-03
1074.91000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-3259.66000000
-0.00065247428
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
93777.63000000
USD
73000.00000000
GBP
2020-04-03
-3259.66000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-765.02000000
-0.00015313127
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14404.71000000
USD
11000.00000000
GBP
2020-04-03
-765.02000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-24
N/A
1.00000000
NC
16038.36000000
0.003210340189
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
415216.04000000
USD
347700.00000000
GBP
2020-04-24
16038.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
16644.28000000
0.003331624991
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2352000.00000000
ZAR
148316.31000000
USD
2020-04-03
16644.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1034.49000000
0.000207070100
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
AUD
14499.58000000
USD
2020-04-03
1034.49000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-802.88000000
-0.00016070956
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14833.02000000
USD
139000.00000000
SEK
2020-04-03
-802.88000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 05/25/2021
N/A
1685000.00000000
PA
1859633.30000000
0.372236034130
Long
DBT
NUSS
FR
N
2
2021-05-25
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
50.04000000
0.000010016324
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16000.00000000
EUR
17606.61000000
USD
2020-04-03
50.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1169.87000000
0.000234168623
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
14022.91000000
USD
2020-04-03
1169.87000000
N
N
N
Rogers Communications Inc.
54930030NVF3Y2OL0A78
ROGERS COMMUNICATIONS INC 4.000000% 06/06/2022
775109AV3
165000.00000000
PA
118664.14000000
0.023752569319
Long
DBT
NUSS
CA
N
2
2022-06-06
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-8.25000000
-0.00000165137
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
CAD
17563.09000000
USD
2020-04-30
-8.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1713.89000000
-0.00034306312
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
27000.00000000
GBP
31776.95000000
USD
2020-04-30
-1713.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
953.36000000
0.000190830603
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46000.00000000
CAD
33271.95000000
USD
2020-04-03
953.36000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.125000% 09/01/2022
N/A
2088000.00000000
PA
1547394.46000000
0.309736321147
Long
DBT
NUSS
SG
N
2
2022-09-01
Fixed
3.12500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1100.43000000
-0.00022026907
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
37276.93000000
USD
35000.00000000
CHF
2020-04-03
-1100.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
4537.24000000
0.000908202828
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
432428.42000000
EUR
479113.82000000
USD
2020-04-08
4537.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-34.06000000
-0.00000681766
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1582000.00000000
JPY
14621.08000000
USD
2020-04-03
-34.06000000
N
N
N
Santander Holdings USA, Inc.
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA INC 3.700000% 03/28/2022
80282KAT3
460000.00000000
PA
USD
455467.62000000
0.091169296948
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/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-665.06000000
-0.00013312264
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14219.76000000
USD
2020-04-30
-665.06000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1324.40000000
-0.00026510033
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14656.93000000
USD
140000.00000000
NOK
2020-04-03
-1324.40000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1491.66000000
-0.00029858015
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
33084.72000000
USD
313000.00000000
SEK
2020-04-03
-1491.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
487.96000000
0.000097673178
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15245.00000000
USD
2020-04-03
487.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
-1643.36000000
-0.00032894539
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
684581.07000000
EUR
749662.82000000
USD
2020-04-08
-1643.36000000
N
N
N
European Union
529900FZRK8FGMPEOM08
EUROPEAN UNION MTN 2.875000% 04/04/2028
N/A
575000.00000000
PA
780592.30000000
0.156248321658
Long
DBT
NUSS
XX
N
2
2028-04-04
Fixed
2.87500000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
754.86000000
0.000151097580
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12710.23000000
USD
22000.00000000
AUD
2020-04-03
754.86000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-917.64000000
-0.00018368066
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13678.77000000
USD
134000.00000000
NOK
2020-04-03
-917.64000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-20.23000000
-0.00000404936
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14297.78000000
USD
13000.00000000
EUR
2020-04-30
-20.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
595.58000000
0.000119215082
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32416.87000000
USD
2020-04-03
595.58000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-945.65000000
-0.00018928732
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
33184.93000000
USD
26000.00000000
GBP
2020-04-03
-945.65000000
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/19/2027
N/A
300000.00000000
PA
352234.11000000
0.070505420714
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 2020-04-03
N/A
1.00000000
NC
-833.37000000
-0.00016681264
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14182.35000000
USD
19000.00000000
CAD
2020-04-03
-833.37000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-878.19000000
-0.00017578409
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13731.23000000
USD
21000.00000000
AUD
2020-04-03
-878.19000000
N
N
N
STATSMINISTERENS KONTOR
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
4546000.00000000
PA
454461.47000000
0.090967899562
Long
DBT
NUSS
NO
Y
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.500000% 04/15/2020
N/A
185000.00000000
PA
113402.04000000
0.022699273900
Long
DBT
NUSS
AU
N
2
2020-04-15
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
742.79000000
0.000148681572
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14382.48000000
USD
2020-04-03
742.79000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
169.01000000
0.000033830117
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14585.13000000
USD
21000.00000000
CAD
2020-04-03
169.01000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-868.57000000
-0.00017385849
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13721.61000000
USD
21000.00000000
AUD
2020-04-03
-868.57000000
N
N
N
Vattenfall AB
549300T5RZ1HA5HZ3109
VATTENFALL AB MTN 6.250000% 03/17/2021
N/A
213000.00000000
PA
246698.95000000
0.049380831571
Long
DBT
NUSS
SE
N
2
2021-03-17
Fixed
6.25000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
468.60000000
0.000093797957
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32602.74000000
USD
3570000.00000000
JPY
2020-04-03
468.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
27489.12000000
0.005502397171
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
577000.00000000
AUD
380641.71000000
USD
2020-04-03
27489.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
6915.14000000
0.001384178423
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1977000.00000000
CHF
2050370.67000000
USD
2020-04-03
6915.14000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
20.64000000
0.000004131433
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13619.05000000
USD
11000.00000000
GBP
2020-04-03
20.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-242.89000000
-0.00004861840
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
12610.15000000
USD
2020-04-03
-242.89000000
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA MTN 0.375000% 04/11/2024
N/A
455000.00000000
PA
505449.05000000
0.101173898008
Long
DBT
NUSS
AU
N
2
2024-04-11
Fixed
0.37500000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-107.35000000
-0.00002148785
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12960.39000000
USD
21000.00000000
AUD
2020-04-03
-107.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
704.09000000
0.000140935134
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
33000.00000000
CHF
34813.36000000
USD
2020-04-03
704.09000000
N
N
N
UNEDIC
969500V3L9W19NIA5E82
UNEDIC ASSEO MTN 1.250000% 05/25/2033
N/A
700000.00000000
PA
851144.76000000
0.170370550975
Long
DBT
NUSS
FR
N
2
2033-05-25
Fixed
1.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-202.66000000
-0.00004056571
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13837.84000000
USD
23000.00000000
NZD
2020-04-03
-202.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
482.17000000
0.000096514215
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15986.38000000
USD
2020-04-03
482.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
21251.86000000
0.004253907522
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2352000.00000000
ZAR
152923.89000000
USD
2020-04-03
21251.86000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-995.29000000
-0.00019922357
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
17594.64000000
USD
28000.00000000
NZD
2020-04-03
-995.29000000
N
N
N
LEAR CORPORATION
549300UPNBTXA1SYTQ33
LEAR CORP 3.800000% 09/15/2027
521865AY1
193000.00000000
PA
USD
174180.68000000
0.034865113216
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.80000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-212625.27000000
-0.04256042697
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
71057782.56000000
USD
64564000.00000000
EUR
2020-04-03
-212625.27000000
N
N
N
BRK:JPM
N/A
BRK:JPM PAY: CHINA 7-DAY REVERSE REPO RATE
N/A
1230000.00000000
NC
3239.45000000
0.000648428924
N/A
DIR
XX
N
2
BRK:JPM
N/A
Y
2025-02-28
0.00000000
GBP
0.00000000
GBP
-1230000.00000000
GBP
3239.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
336.62000000
0.000067380001
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15840.83000000
USD
2020-04-03
336.62000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-33593.72000000
-0.00672433275
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
1184142.78000000
USD
124200000.00000000
JPY
2020-04-03
-33593.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
18782.79000000
0.003759682760
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2288000.00000000
ZAR
146871.91000000
USD
2020-04-03
18782.79000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 06/20/2027
N/A
125400000.00000000
PA
1181318.99000000
0.236460325743
Long
DBT
NUSS
JP
N
2
2027-06-20
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-24
N/A
1.00000000
NC
USD
-164725.49000000
-0.03297250222
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21369500.00000000
EUR
23300127.48000000
USD
2020-04-24
-164725.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2293.20000000
0.000459021503
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
31059.53000000
USD
2020-04-03
2293.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-139.08000000
-0.00002783913
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
EUR
11931.06000000
USD
2020-04-03
-139.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-328.66000000
-0.00006578667
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1582000.00000000
JPY
14350.46000000
USD
2020-04-30
-328.66000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033
N/A
149750000.00000000
PA
1617044.77000000
0.323677970380
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/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1001.58000000
0.000200482625
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1620000.00000000
JPY
16008.74000000
USD
2020-04-03
1001.58000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
210.74000000
0.000042183059
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14549.19000000
USD
21000.00000000
CAD
2020-04-30
210.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1127.49000000
0.000225685572
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
AUD
14592.58000000
USD
2020-04-03
1127.49000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 6.500000% 06/10/2021
N/A
5355900.00000000
PA
228395.57000000
0.045717110566
Long
DBT
NUSS
MX
N
2
2021-06-10
Floating
6.50000160
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
3202.71000000
0.000641074812
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
497968.08000000
USD
456660.74000000
EUR
2020-04-08
3202.71000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-05-20
N/A
1.00000000
NC
-11532.43000000
-0.00230840456
N/A
DFE
PA
N
2
CREDIT SUISSE - FIRST BOSTON
N/A
1300727.88000000
USD
5352272.80000000
PLN
2020-05-20
-11532.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-587.64000000
-0.00011762576
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13052.05000000
USD
2020-04-03
-587.64000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-30
N/A
1.00000000
NC
202.10000000
0.000040453621
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
17404.23000000
USD
17000.00000000
CHF
2020-04-30
202.10000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
451400000.00000000
PA
4316639.25000000
0.864045978952
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-835.75000000
-0.00016728903
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14184.73000000
USD
19000.00000000
CAD
2020-04-03
-835.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-240.76000000
-0.00004819205
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14540.43000000
USD
2020-04-30
-240.76000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 1.750000% 05/25/2023
N/A
2359000.00000000
PA
2773715.19000000
0.555204481514
Long
DBT
NUSS
FR
N
2
2023-05-25
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2020-04-16
N/A
1.00000000
NC
USD
30842.82000000
0.006173695103
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12932518.04000000
CNY
1856333.15000000
USD
2020-04-16
30842.82000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-194.34000000
-0.00003890033
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
28573.58000000
USD
298000.00000000
NOK
2020-04-03
-194.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
36336.22000000
0.007273289001
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1037000.00000000
EUR
1174221.54000000
USD
2020-04-03
36336.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
887.94000000
0.000177735720
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
29654.27000000
USD
2020-04-03
887.94000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-473.39000000
-0.00009475675
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14108.57000000
USD
23000.00000000
NZD
2020-04-03
-473.39000000
N
N
N
Takeda Pharmaceutical Company Limited
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL CO LTD 144A 1.125000% 11/21/2022
N/A
430000.00000000
PA
470695.66000000
0.094217438330
Long
DBT
NUSS
JP
Y
2
2022-11-21
Fixed
1.12500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-386.51000000
-0.00007736630
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
58665.21000000
USD
47000.00000000
GBP
2020-04-03
-386.51000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-430.82000000
-0.00008623567
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14561.90000000
USD
140000.00000000
SEK
2020-04-03
-430.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
-7075.47000000
-0.00141627109
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1051092.99000000
EUR
1146466.01000000
USD
2020-04-08
-7075.47000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2750.09000000
-0.00055047551
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
41128.72000000
USD
403000.00000000
NOK
2020-04-03
-2750.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
413.67000000
0.000082802819
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14884.27000000
USD
2020-04-03
413.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
675.60000000
0.000135232394
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15432.64000000
USD
2020-04-03
675.60000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 0.400000% 03/20/2056
N/A
328900000.00000000
PA
3015320.35000000
0.603565707667
Long
DBT
NUSS
JP
N
2
2056-03-20
Fixed
0.40000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
730.85000000
0.000146291586
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13501.17000000
USD
141000.00000000
SEK
2020-04-03
730.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-6298.69000000
-0.00126078586
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
36091000.00000000
JPY
328036.78000000
USD
2020-04-03
-6298.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2.18000000
0.000000436362
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
30787.75000000
USD
2020-04-03
2.18000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.000000% 07/01/2020
N/A
2081000.00000000
PA
1466075.20000000
0.293458940633
Long
DBT
NUSS
SG
N
2
2020-07-01
Fixed
2.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.200000% 06/20/2036
N/A
169400000.00000000
PA
1546576.26000000
0.309572545029
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-10570.44000000
-0.00211584652
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
2054025.97000000
USD
1977000.00000000
CHF
2020-04-03
-10570.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2458.35000000
0.000492078978
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46000.00000000
GBP
59497.07000000
USD
2020-04-03
2458.35000000
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 1.050000% 06/20/2023
25159MAD9
132000000.00000000
PA
1261966.67000000
0.252603278531
Long
DBT
NUSS
JP
N
2
2023-06-20
Fixed
1.05000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
391.14000000
0.000078293071
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14908.92000000
USD
25000.00000000
AUD
2020-04-30
391.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
208317.25000000
0.041698106277
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11629000.00000000
SGD
8375828.30000000
USD
2020-04-03
208317.25000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-434.75000000
-0.00008702232
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14069.93000000
USD
23000.00000000
NZD
2020-04-03
-434.75000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-669.50000000
-0.00013401138
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33740.84000000
USD
3570000.00000000
JPY
2020-04-03
-669.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
657.73000000
0.000131655421
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15479.62000000
USD
2020-04-03
657.73000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-738.40000000
-0.00014780284
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14667.61000000
USD
138000.00000000
SEK
2020-04-03
-738.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1128.07000000
0.000225801669
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32949.36000000
USD
2020-04-03
1128.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
569.70000000
0.000114034776
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
312000.00000000
SEK
32061.82000000
USD
2020-04-03
569.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-133.68000000
-0.00002675823
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13506.01000000
USD
2020-04-03
-133.68000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-168.57000000
-0.00003374204
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14198.71000000
USD
139000.00000000
SEK
2020-04-03
-168.57000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-628.76000000
-0.00012585660
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14268.45000000
USD
11000.00000000
GBP
2020-04-03
-628.76000000
N
N
N
Wepa Hygieneprodukte GmbH
529900KQ44OJDIDU6J81
WEPA HYGIENEPRODUKTE GMBH 144A 2.875000% 12/15/2027
N/A
108000.00000000
PA
103690.05000000
0.020755260185
Long
DBT
NUSS
DE
Y
2
2027-12-15
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-918.90000000
-0.00018393287
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49000.00000000
NZD
28129.97000000
USD
2020-04-03
-918.90000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
51.58000000
0.000010324581
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
4995.23000000
USD
50000.00000000
SEK
2020-04-03
51.58000000
N
N
N
STATSMINISTERENS KONTOR
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 2.000000% 04/26/2028
N/A
6757000.00000000
PA
703177.14000000
0.140752410641
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/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
3.45000000
0.000000690573
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1583000.00000000
JPY
14691.85000000
USD
2020-04-30
3.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1130.52000000
0.000226292076
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
AUD
14595.61000000
USD
2020-04-03
1130.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
67.94000000
0.000013599302
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15102.89000000
USD
2020-04-03
67.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
412.85000000
0.000082638682
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
15281.06000000
USD
2020-04-03
412.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
503.64000000
0.000100811787
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16007.85000000
USD
2020-04-03
503.64000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-8801.07000000
-0.00176167817
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
172423.27000000
USD
276000.00000000
NZD
2020-04-03
-8801.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
660.47000000
0.000132203877
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14300.16000000
USD
2020-04-03
660.47000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-30
N/A
1.00000000
NC
2528.71000000
0.000506162683
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30962.13000000
USD
27000.00000000
GBP
2020-04-30
2528.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-226.25000000
-0.00004528763
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14244.35000000
USD
2020-04-03
-226.25000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1170.91000000
-0.00023437679
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13932.04000000
USD
134000.00000000
NOK
2020-04-03
-1170.91000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
423.96000000
0.000084862531
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
19359.55000000
USD
196000.00000000
SEK
2020-04-03
423.96000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-5386.37000000
-0.00107817009
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
144797.38000000
USD
919000.00000000
TRY
2020-04-03
-5386.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
285.53000000
0.000057153501
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
CAD
30496.39000000
USD
2020-04-03
285.53000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-25.63000000
-0.00000513026
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32436.60000000
USD
3493000.00000000
JPY
2020-04-30
-25.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-193.34000000
-0.00003870016
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14277.26000000
USD
2020-04-03
-193.34000000
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
290422.08000000
0.058132731481
Long
DBT
NUSS
GB
N
2
2026-07-27
Fixed
3.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
469.22000000
0.000093922060
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
21938.64000000
USD
222000.00000000
SEK
2020-04-03
469.22000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-18.82000000
-0.00000376713
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32682.56000000
USD
3526000.00000000
JPY
2020-04-03
-18.82000000
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
SAUDI GOVERNMENT INTERNATIONAL BOND MTN 2.375000% 10/26/2021
80413TAA7
275000.00000000
PA
USD
271592.20000000
0.054363622886
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 2020-04-03
N/A
1.00000000
NC
USD
3583.06000000
0.000717208088
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
168000.00000000
EUR
187927.07000000
USD
2020-04-03
3583.06000000
N
N
N
LEAR CORPORATION
549300UPNBTXA1SYTQ33
LEAR CORP 3.500000% 05/30/2030
521865BB0
81000.00000000
PA
USD
70129.42000000
0.014037550939
Long
DBT
CORP
US
N
2
2030-05-30
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
313.16000000
0.000062684098
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14783.76000000
USD
2020-04-03
313.16000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1987.13000000
-0.00039775658
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
17319.54000000
USD
161000.00000000
NOK
2020-04-03
-1987.13000000
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 1.375000% 04/15/2047
N/A
130000.00000000
PA
178470.74000000
0.035723838923
Long
DBT
NUSS
FI
Y
2
2047-04-15
Fixed
1.37500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
15922.39000000
0.003187126896
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
438772.06000000
USD
4769200.00000000
NOK
2020-05-26
15922.39000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1053.19000000
-0.00021081321
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
20836.70000000
USD
196000.00000000
SEK
2020-04-03
-1053.19000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-23.00000000
NC
-3412258.48000000
-0.68301936947
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2020
2020-06-11
-3487702.41000000
EUR
75443.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
77.49000000
0.000015510891
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
14899.38000000
USD
2020-04-03
77.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-33.91000000
-0.00000678764
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
570000.00000000
JPY
5255.03000000
USD
2020-04-30
-33.91000000
N
N
N
Instituto de Credito Oficial
PJQDPSI1D8J2Q1IM3G17
INSTITUTO DE CREDITO OFICIAL MTN 6.000000% 03/08/2021
N/A
180000.00000000
PA
208652.82000000
0.041765276104
Long
DBT
NUSS
ES
N
2
2021-03-08
Fixed
6.00000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.375000% 07/01/2039
N/A
1171000.00000000
PA
924743.35000000
0.185102513055
Long
DBT
NUSS
SG
N
2
2039-07-01
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
14656.44000000
0.002933726288
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2761000.00000000
MXN
132333.00000000
USD
2020-04-03
14656.44000000
N
N
N
NATIONAL OILWELL VARCO, INC.
549300EHF3IW1AR6U008
NATIONAL OILWELL VARCO INC 3.600000% 12/01/2029
637071AM3
205000.00000000
PA
USD
153035.89000000
0.030632637506
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
27708.60000000
0.005546329685
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
72091000.00000000
JPY
695536.55000000
USD
2020-04-03
27708.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-24
N/A
1.00000000
NC
USD
-1152.77000000
-0.00023074577
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
625000.00000000
EUR
685130.63000000
USD
2020-04-24
-1152.77000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.500000% 07/15/2026
N/A
570000.00000000
PA
663030.51000000
0.132716405728
Long
DBT
NUSS
NL
Y
2
2026-07-15
Fixed
0.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
164.90000000
0.000033007433
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14792.39000000
USD
148000.00000000
SEK
2020-04-30
164.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1142.64000000
-0.00022871809
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
GBP
34829.00000000
USD
2020-04-30
-1142.64000000
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
240680.69000000
0.048176178355
Long
DBT
NUSS
BE
N
2
2027-07-01
Fixed
1.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-207.47000000
-0.00004152851
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14472.18000000
USD
13000.00000000
EUR
2020-04-03
-207.47000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-609.88000000
-0.00012207746
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13958.86000000
USD
19000.00000000
CAD
2020-04-03
-609.88000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.250000% 10/14/2024
N/A
156000.00000000
PA
175096.85000000
0.035048499633
Long
DBT
NUSS
XX
N
2
2024-10-14
Fixed
0.25000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-14304.59000000
-0.00286329775
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
10366189.08000000
USD
1117470000.00000000
JPY
2020-04-03
-14304.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
252913.19000000
0.050624713391
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5664000.00000000
GBP
7276116.00000000
USD
2020-04-03
252913.19000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.250000% 07/15/2025
N/A
922421.00000000
PA
1053649.17000000
0.210905122211
Long
DBT
NUSS
NL
Y
2
2025-07-15
Fixed
0.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
33.48000000
0.000006701569
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12819.56000000
USD
21000.00000000
AUD
2020-04-03
33.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
3205.22000000
0.000641577229
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
308000.00000000
NOK
32536.78000000
USD
2020-04-03
3205.22000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-118.24000000
-0.00002366767
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13467.22000000
USD
19000.00000000
CAD
2020-04-03
-118.24000000
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 1.500000% 11/15/2023
N/A
4025000.00000000
PA
634389.67000000
0.126983472953
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 2020-04-08
N/A
1.00000000
NC
39832.79000000
0.007973184701
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1481250.89000000
USD
1385992.98000000
EUR
2020-04-08
39832.79000000
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 0.800000% 06/12/2024
14040HCB9
291000.00000000
PA
283583.95000000
0.056763967869
Long
DBT
NUSS
US
N
2
2024-06-12
Fixed
0.80000000
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
339128.22000000
0.067882062379
Long
DBT
NUSS
GB
N
2
2027-03-13
Fixed
1.25000000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.500000% 04/30/2042
N/A
408000.00000000
PA
577588.51000000
0.115613791343
Long
DBT
NUSS
CH
N
2
2042-04-30
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2120.05000000
0.000424362697
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
87000.00000000
CHF
92044.50000000
USD
2020-04-03
2120.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
361.59000000
0.000072378155
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14832.19000000
USD
2020-04-03
361.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
186.25000000
0.000037280985
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15221.20000000
USD
2020-04-03
186.25000000
N
N
N
Swedbank Hypotek AB
549300TJREQ7GHIXWR36
SWEDBANK HYPOTEK AB 0.375000% 03/11/2022
N/A
360000.00000000
PA
399449.62000000
0.079956377627
Long
DBT
NUSS
SE
N
2
2022-03-11
Fixed
0.37500000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.950000% 07/30/2030
N/A
141000.00000000
PA
173710.17000000
0.034770932940
Long
DBT
NUSS
ES
Y
2
2030-07-30
Fixed
1.95000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
500.87000000
0.000100257326
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14799.19000000
USD
25000.00000000
AUD
2020-04-30
500.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-505.15000000
-0.00010111403
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
97000.00000000
NOK
8732.39000000
USD
2020-04-03
-505.15000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1778.01000000
-0.00035589779
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14539.14000000
USD
134000.00000000
NOK
2020-04-03
-1778.01000000
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 7.500000% MATURITY: PERPETUAL
H3698DBW3
286000.00000000
PA
USD
263577.60000000
0.052759369553
Long
DBT
NUSS
CH
N
2
2169-01-17
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
201.82000000
0.000040397575
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15023.71000000
USD
2020-04-03
201.82000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 4.150000% 03/15/2037
N/A
326000.00000000
PA
586269.18000000
0.117351369485
Long
DBT
NUSS
AT
Y
2
2037-03-15
Fixed
4.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-09
N/A
1.00000000
NC
USD
-23168.55000000
-0.00463756438
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
123206500.00000000
JPY
1118592.00000000
USD
2020-04-09
-23168.55000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
277.98000000
0.000055642245
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13071.00000000
USD
19000.00000000
CAD
2020-04-03
277.98000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 2.200000% 10/17/2022
N/A
775000.00000000
PA
898131.60000000
0.179775735845
Long
DBT
NUSS
PT
Y
2
2022-10-17
Fixed
2.20000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-17300.73000000
-0.00346302420
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
145389.85000000
USD
2288000.00000000
ZAR
2020-04-03
-17300.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
481.89000000
0.000096458168
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14121.58000000
USD
2020-04-03
481.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
1991.11000000
0.000398553246
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
123034.13000000
EUR
137017.20000000
USD
2020-04-08
1991.11000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
29.89000000
0.000005982972
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
15883.40000000
USD
26000.00000000
AUD
2020-04-03
29.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
525.23000000
0.000105133378
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
CHF
13962.22000000
USD
2020-04-03
525.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1423.33000000
0.000284902789
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
360000.00000000
SEK
37760.39000000
USD
2020-04-03
1423.33000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-136.02000000
-0.00002722662
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
29184.89000000
USD
49000.00000000
NZD
2020-04-03
-136.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
494.29000000
0.000098940231
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15529.24000000
USD
2020-04-03
494.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
755.80000000
0.000151285737
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
135000.00000000
NOK
13612.17000000
USD
2020-04-03
755.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
209.76000000
0.000041986896
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1920000.00000000
JPY
17996.03000000
USD
2020-04-03
209.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-885.22000000
-0.00017719126
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
13999.60000000
USD
2020-04-30
-885.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-331.31000000
-0.00006631711
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13017.67000000
USD
2020-04-03
-331.31000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.750000% 12/01/2048
135087D35
300000.00000000
PA
282010.75000000
0.056449066147
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.250000% 06/11/2024
N/A
405000.00000000
PA
450800.52000000
0.090235100516
Long
DBT
NUSS
CH
N
2
2024-06-11
Fixed
1.25000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-422.20000000
-0.00008451023
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
33497.86000000
USD
32000.00000000
CHF
2020-04-03
-422.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
884.48000000
0.000177043144
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
CAD
31095.34000000
USD
2020-04-03
884.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-284.31000000
-0.00005690929
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
31565.60000000
USD
2020-04-30
-284.31000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
245.50000000
0.000049140842
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14711.79000000
USD
148000.00000000
SEK
2020-04-30
245.50000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
861.19000000
0.000172381270
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
27518.05000000
USD
298000.00000000
NOK
2020-04-03
861.19000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1267.32000000
-0.00025367483
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14599.85000000
USD
140000.00000000
NOK
2020-04-03
-1267.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
113.10000000
0.000022638815
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15617.31000000
USD
2020-04-03
113.10000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1058.70000000
-0.00021191612
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13911.74000000
USD
21000.00000000
AUD
2020-04-03
-1058.70000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-733.11000000
-0.00014674396
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
30943.97000000
USD
43000.00000000
CAD
2020-04-03
-733.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
734.71000000
0.000147064228
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14374.40000000
USD
2020-04-03
734.71000000
N
N
N
EBAY INC.
OML71K8X303XQONU6T67
EBAY INC 1.900000% 03/11/2025
278642AV5
139000.00000000
PA
USD
131272.09000000
0.026276256815
Long
DBT
CORP
US
N
2
2025-03-11
Fixed
1.90000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-37.00000000
NC
USD
-4638296.88000000
-0.92843101687
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2020
2020-07-03
-4497188.49000000
USD
-141108.39000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1991.96000000
-0.00039872338
N/A
DFE
XX
N
2
JP MORGAN
N/A
35492.06000000
USD
786000.00000000
MXN
2020-04-03
-1991.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2316.36000000
0.000463657356
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
56000.00000000
AUD
36591.13000000
USD
2020-04-03
2316.36000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-822.71000000
-0.00016467886
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13675.75000000
USD
21000.00000000
AUD
2020-04-03
-822.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1702.57000000
-0.00034079724
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
63000.00000000
AUD
36856.55000000
USD
2020-04-03
-1702.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-155.32000000
-0.00003108983
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13193.66000000
USD
2020-04-03
-155.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
680.21000000
0.000136155161
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
15150.81000000
USD
2020-04-03
680.21000000
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION
VGRQXHF3J8VDLUA7XE92
INTERNATIONAL BUSINESS MACHINES CORP MTN 0.875000% 01/31/2025
459200JT9
593000.00000000
PA
647756.38000000
0.129659038679
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 2020-04-30
N/A
1.00000000
NC
USD
68598.42000000
0.013731096237
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14793000.00000000
EUR
16315347.63000000
USD
2020-04-30
68598.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
262.26000000
0.000052495630
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1944000.00000000
JPY
18270.85000000
USD
2020-04-03
262.26000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1927.55000000
-0.00038583067
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
31435.83000000
USD
42000.00000000
CAD
2020-04-03
-1927.55000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
USD
-1253593.75000000
-0.25092730158
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2020
2020-07-03
-1253364.90000000
USD
-228.85000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
500.38000000
0.000100159244
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32107.77000000
USD
3520000.00000000
JPY
2020-04-03
500.38000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-24
N/A
1.00000000
NC
6573.87000000
0.001315867648
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
425176.65000000
USD
348100.00000000
GBP
2020-04-24
6573.87000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-4920.90000000
-0.00098499865
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
305963.47000000
USD
274306.33000000
EUR
2020-04-08
-4920.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
75.73000000
0.000015158598
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13715.42000000
USD
2020-04-03
75.73000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-10406.69000000
-0.00208306928
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
377016.83000000
USD
39575000.00000000
JPY
2020-04-03
-10406.69000000
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C04 1M2
30711XDA9
88140.06680000
PA
USD
82839.62000000
0.016581705445
Long
DBT
USGA
US
N
2
2029-01-25
Floating
5.19999840
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-816.04000000
-0.00016334375
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17773.34000000
USD
168000.00000000
SEK
2020-04-03
-816.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
464.09000000
0.000092895207
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1944000.00000000
JPY
18472.68000000
USD
2020-04-03
464.09000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-19.86000000
-0.00000397530
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12872.90000000
USD
21000.00000000
AUD
2020-04-03
-19.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
855.47000000
0.000171236318
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15677.36000000
USD
2020-04-03
855.47000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-819.81000000
-0.00016409838
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13862.16000000
USD
22000.00000000
NZD
2020-04-03
-819.81000000
N
N
N
BOARDWALK PIPELINES, LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP 4.800000% 05/03/2029
096630AG3
119000.00000000
PA
USD
89664.71000000
0.017947858888
Long
DBT
CORP
XX
N
2
2029-05-03
Fixed
4.80000000
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
1771540.70000000
0.354602858783
Long
DBT
NUSS
CA
Y
2
2022-06-15
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2053.52000000
0.000411045629
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
161000.00000000
NOK
17385.93000000
USD
2020-04-03
2053.52000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
753000.00000000
PA
1346993.95000000
0.269622879922
Long
DBT
NUSS
ES
Y
2
2041-07-30
Fixed
4.70000000
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
185435.11000000
0.037117871536
Long
DBT
NUSS
ES
N
2
2168-12-24
Fixed
5.87500000
N
N
N
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
276342.48000000
0.055314469157
Long
DBT
NUSS
GB
N
2
2024-09-07
Fixed
2.75000000
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
822327.63000000
0.164602330871
Long
DBT
NUSS
KR
N
2
2026-12-10
Fixed
1.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.000000% 02/01/2028
N/A
894000.00000000
PA
1034927.83000000
0.207157739673
Long
DBT
NUSS
IT
N
2
2028-02-01
Fixed
2.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-312.45000000
-0.00006254198
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14577.16000000
USD
13000.00000000
EUR
2020-04-03
-312.45000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.350000% 11/01/2021
N/A
2605000.00000000
PA
2859351.72000000
0.572346034262
Long
DBT
NUSS
IT
N
2
2021-11-01
Fixed
0.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
616.03000000
0.000123308484
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15437.92000000
USD
2020-04-03
616.03000000
N
N
N
United States of America
N/A
US 10YR ULTRA FUT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-17.00000000
NC
USD
-2652531.25000000
-0.53094753299
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2020
2020-06-22
-2481711.60000000
USD
-170819.65000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1047.30000000
-0.00020963423
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14512.39000000
USD
22000.00000000
AUD
2020-04-03
-1047.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-7378.81000000
-0.00147698956
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1562000.00000000
NOK
141374.10000000
USD
2020-04-03
-7378.81000000
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A MATURITY: PERPETUAL
853254AA8
500000.00000000
PA
USD
348255.00000000
0.069708936738
Long
DBT
NUSS
GB
Y
2
2168-07-30
Floating
3.27949920
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.860000% 07/22/2049
N/A
18210000.00000000
PA
2857848.87000000
0.572045214243
Long
DBT
NUSS
CN
N
2
2049-07-22
Fixed
3.86000000
N
N
N
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.625000% 05/18/2027
N/A
225000.00000000
PA
258895.78000000
0.051822226672
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/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-49.26000000
-0.00000986019
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1620000.00000000
JPY
14957.90000000
USD
2020-04-03
-49.26000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
412100000.00000000
PA
97864.41000000
0.019589163014
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
MOODY'S CORP 1.750000% 03/09/2027
615369AF2
265000.00000000
PA
301630.17000000
0.060376214092
Long
DBT
NUSS
US
N
2
2027-03-09
Fixed
1.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
96.81000000
0.000019378105
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30902.50000000
USD
25000.00000000
GBP
2020-04-03
96.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
237.47000000
0.000047533506
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
10000.00000000
GBP
12637.19000000
USD
2020-04-03
237.47000000
N
N
N
CARRIER GLOBAL CORPORATION
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP 144A 1.923000% 02/15/2023
14448CAD6
290000.00000000
PA
USD
285500.95000000
0.057147686787
Long
DBT
CORP
US
Y
2
2023-02-15
Fixed
1.92300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
612.24000000
0.000122549854
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15434.13000000
USD
2020-04-03
612.24000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13567.82000000
-0.00271582118
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
149550.55000000
USD
2429000.00000000
ZAR
2020-04-03
-13567.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
172.67000000
0.000034562725
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15207.62000000
USD
2020-04-03
172.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
2167.67000000
0.000433894620
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
183000.00000000
EUR
203151.59000000
USD
2020-04-30
2167.67000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.041000% 03/13/2028
404280BK4
255000.00000000
PA
USD
259315.71000000
0.051906282533
Long
DBT
NUSS
GB
N
2
2028-03-13
Fixed
4.04100000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
374.59000000
0.000074980317
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15131.63000000
USD
2020-04-03
374.59000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-143.47000000
-0.00002871786
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
31964.76000000
USD
29000.00000000
EUR
2020-04-03
-143.47000000
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-DNA1 M2
3137G0ET2
179764.28550000
PA
USD
175089.35000000
0.035046998385
Long
DBT
USGA
US
N
2
2027-10-25
Floating
3.47675040
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
2442.93000000
0.000488992413
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
125955.54000000
USD
1347000.00000000
NOK
2020-04-30
2442.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-2354.80000000
-0.00047135175
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1347000.00000000
NOK
125923.16000000
USD
2020-04-03
-2354.80000000
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORMATION SERVICES INC 1.500000% 05/21/2027
31620MBD7
400000.00000000
PA
425989.88000000
0.085268844944
Long
DBT
CORP
US
N
2
2027-05-21
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-663.64000000
-0.00013283840
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
AUD
14637.60000000
USD
2020-04-03
-663.64000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-323.07000000
-0.00006466774
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
11846.18000000
USD
121000.00000000
NOK
2020-04-03
-323.07000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 3.500000% 03/30/2039
N/A
1205000.00000000
PA
195229.12000000
0.039078302897
Long
DBT
NUSS
SE
Y
2
2039-03-30
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
21857.78000000
0.004375192325
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2352000.00000000
ZAR
153529.81000000
USD
2020-04-03
21857.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-02
N/A
1.00000000
NC
USD
47375.91000000
0.009483063597
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3882443.04000000
BRL
795928.53000000
USD
2020-04-02
47375.91000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1096.87000000
-0.00021955647
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33529.01000000
USD
3501000.00000000
JPY
2020-04-03
-1096.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
420.74000000
0.000084217995
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13769.72000000
USD
2020-04-03
420.74000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
2226.53000000
0.000445676412
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
27532.80000000
USD
24000.00000000
GBP
2020-04-03
2226.53000000
N
N
N
JAB Holdings B.V.
529900RRNKUM3INJGF98
JAB HOLDINGS BV 1.250000% 05/22/2024
N/A
200000.00000000
PA
219629.79000000
0.043962496265
Long
DBT
NUSS
NL
N
2
2024-05-22
Fixed
1.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
55.50000000
0.000011109233
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14901.79000000
USD
148000.00000000
SEK
2020-04-30
55.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
651.14000000
0.000130336325
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
15519.35000000
USD
2020-04-03
651.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-904.00000000
-0.00018095039
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
13980.82000000
USD
2020-04-30
-904.00000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 09/20/2040
N/A
212700000.00000000
PA
2622186.80000000
0.524873594800
Long
DBT
NUSS
JP
N
2
2040-09-20
Fixed
2.00000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-109.68000000
-0.00002195424
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14139.82000000
USD
139000.00000000
SEK
2020-04-03
-109.68000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-501.69000000
-0.00010042146
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
12445.52000000
USD
17000.00000000
CAD
2020-04-03
-501.69000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
267.53000000
0.000053550507
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1944000.00000000
JPY
18276.12000000
USD
2020-04-03
267.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1202.91000000
-0.00024078211
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
48000.00000000
AUD
28175.47000000
USD
2020-04-03
-1202.91000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 1.375000% 10/27/2026
N/A
360000.00000000
PA
375357.19000000
0.075133883539
Long
DBT
CORP
US
N
2
2026-10-27
Fixed
1.37500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
104.22000000
0.000020861338
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
16853.08000000
USD
168000.00000000
SEK
2020-04-03
104.22000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 3.500000% 06/01/2022
N/A
3040000.00000000
PA
333052.70000000
0.066665947638
Long
DBT
NUSS
SE
Y
2
2022-06-01
Fixed
3.50000000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 4.250000% 10/07/2026
N/A
200000.00000000
PA
279312.68000000
0.055909003288
Long
DBT
NUSS
FR
N
2
2026-10-07
Fixed
4.25000000
N
N
N
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 4.750000% 07/28/2025
N/A
305000.00000000
PA
USD
305392.67000000
0.061129340033
Long
DBT
NUSS
NL
N
2
2025-07-28
Fixed
4.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
512.19000000
0.000102523209
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
17052.26000000
USD
25000.00000000
CAD
2020-04-03
512.19000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1046.35000000
-0.00020944407
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
16959.64000000
USD
26000.00000000
AUD
2020-04-03
-1046.35000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
7648.30000000
0.001530932393
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
408993.18000000
USD
4375000.00000000
NOK
2020-04-03
7648.30000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-746.39000000
-0.00014940217
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14776.53000000
USD
139000.00000000
SEK
2020-04-03
-746.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
600.00000000
0.000120099817
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
13361.13000000
USD
2020-04-03
600.00000000
N
N
N
N/A
N/A
AUSTRALIA 10 YEAR BOND FUTURE JUN 2020
N/A
18.00000000
NC
1659267.30000000
0.332129500646
N/A
DIR
AU
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Australia Govt. Bond Futures
AUST 10Y BOND (consolidated) Jun 2020
2020-06-15
1608032.11000000
AUD
51235.19000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
79800.03000000
0.015973281770
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
12279134.84000000
USD
1334128000.00000000
JPY
2020-04-03
79800.03000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
36052.74000000
0.007216545841
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
2129131.51000000
USD
21451000.00000000
SEK
2020-04-03
36052.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
551.61000000
0.000110413767
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
38000.00000000
CHF
39828.95000000
USD
2020-04-03
551.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
213.12000000
0.000042659455
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1920000.00000000
JPY
17999.39000000
USD
2020-04-03
213.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
19112.03000000
0.003825585534
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
445000.00000000
CAD
331759.28000000
USD
2020-04-03
19112.03000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-466.06000000
-0.00009328953
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
34481.92000000
USD
31000.00000000
EUR
2020-04-03
-466.06000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.800000% 09/20/2047
N/A
549500000.00000000
PA
5599499.42000000
1.120831433388
Long
DBT
NUSS
JP
N
2
2047-09-20
Fixed
0.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
322.80000000
0.000064613701
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15079.84000000
USD
2020-04-03
322.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
506.85000000
0.000101454321
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
199000.00000000
SEK
20593.17000000
USD
2020-04-03
506.85000000
N
N
N
CREDIT AGRICOLE HOME LOAN SFH S.A.
969500C9913Z7PKUGB44
CREDIT AGRICOLE HOME LOAN SFH SA MTN 0.250000% 02/23/2024
N/A
700000.00000000
PA
778650.82000000
0.155859702667
Long
DBT
NUSS
FR
N
2
2024-02-23
Fixed
0.25000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-463.12000000
-0.00009270104
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13812.10000000
USD
19000.00000000
CAD
2020-04-03
-463.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
255.47000000
0.000051136500
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14726.07000000
USD
2020-04-03
255.47000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-11357.24000000
-0.00227333742
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
627311.84000000
USD
1039000.00000000
NZD
2020-04-03
-11357.24000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
62.40000000
0.000012490381
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
31758.89000000
USD
29000.00000000
EUR
2020-04-03
62.40000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 1.375000% 06/30/2022
N/A
195000.00000000
PA
233932.51000000
0.046825419708
Long
DBT
NUSS
US
N
2
2022-06-30
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-318.62000000
-0.00006377700
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
31502.67000000
USD
2020-04-03
-318.62000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1528.05000000
-0.00030586421
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14289.18000000
USD
134000.00000000
NOK
2020-04-03
-1528.05000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 08/15/2026
N/A
1882000.00000000
PA
2148829.88000000
0.430123461734
Long
DBT
NUSS
DE
N
2
2026-08-15
Fixed
0.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
204.77000000
0.000040988066
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14555.16000000
USD
21000.00000000
CAD
2020-04-30
204.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-09
N/A
1.00000000
NC
USD
-14435.53000000
-0.00288950753
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
113845156.00000000
JPY
1040573.00000000
USD
2020-04-09
-14435.53000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
3360000.00000000
PA
812519.41000000
0.162639055147
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-240.71000000
-0.00004818204
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13589.69000000
USD
19000.00000000
CAD
2020-04-03
-240.71000000
N
N
N
ENGIE S.A.
LAXUQCHT4FH58LRZDY46
ENGIE SA MTN 0.875000% 03/27/2024
N/A
300000.00000000
PA
329328.15000000
0.065920418011
Long
DBT
NUSS
FR
N
2
2024-03-27
Fixed
0.87500000
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
249629.28000000
0.049967385069
Long
DBT
NUSS
LU
N
2
2023-05-17
Fixed
2.87500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-6962.69000000
-0.00139369633
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
142945.42000000
USD
2429000.00000000
ZAR
2020-04-03
-6962.69000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-4155.82000000
-0.00083185537
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
143566.83000000
USD
919000.00000000
TRY
2020-04-03
-4155.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-05-22
N/A
1.00000000
NC
USD
-3192.55000000
-0.00063904112
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
711000.00000000
NZD
417918.69000000
USD
2020-05-22
-3192.55000000
N
N
N
N/A
N/A
Credit Default Swap
CDS531211
-2077600.00000000
NC
USD
-80047.97000000
-0.01602291101
N/A
DO
XX
N
2
BRK: CITIGROUP
N/A
Y
2020-12-20
94252.86000000
USD
0.00000000
USD
-2077600.00000000
USD
-174300.83000000
N
N
N
Prologis Euro Finance LLC
549300MI5D1784PRQH06
PROLOGIS EURO FINANCE LLC 0.375000% 02/06/2028
N/A
300000.00000000
PA
297184.90000000
0.059486420564
Long
DBT
NUSS
US
N
2
2028-02-06
Fixed
0.37500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
997.82000000
0.000199730000
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14253.67000000
USD
160000.00000000
NOK
2020-04-30
997.82000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.250000% 09/14/2029
N/A
745000.00000000
PA
835259.63000000
0.167190882277
Long
DBT
NUSS
XX
N
2
2029-09-14
Fixed
0.25000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
20116.11000000
0.004026568575
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
3128990.92000000
USD
339386000.00000000
JPY
2020-04-30
20116.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
393.81000000
0.000078827515
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13742.79000000
USD
2020-04-03
393.81000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
370.46000000
0.000074153630
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
31948.13000000
USD
46000.00000000
CAD
2020-04-03
370.46000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 5.500000% 01/31/2042
N/A
276000.00000000
PA
128001.69000000
0.025621632742
Long
DBT
NUSS
IL
N
2
2042-01-31
Fixed
5.50000000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 4.625000% 05/23/2029
N/A
130000.00000000
PA
168769.17000000
0.033781910941
Long
DBT
NUSS
NL
N
2
2029-05-23
Fixed
4.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1195.35000000
0.000239268861
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32000.00000000
NZD
20166.04000000
USD
2020-04-03
1195.35000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-18862.09000000
-0.00377555595
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
337534.96000000
USD
257000.00000000
GBP
2020-04-03
-18862.09000000
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
165210.00000000
0.033069484827
Long
DBT
NUSS
GB
N
2
2168-03-31
Floating
3.77012880
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
487.56000000
0.000097593111
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14812.50000000
USD
25000.00000000
AUD
2020-04-30
487.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
587.44000000
0.000117585728
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25200000.00000000
JPY
234032.18000000
USD
2020-04-03
587.44000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-23
N/A
1.00000000
NC
29271.23000000
0.005859115648
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
1296291.15000000
USD
2165900.00000000
AUD
2020-04-23
29271.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-107.18000000
-0.00002145383
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14777.64000000
USD
2020-04-30
-107.18000000
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 2.750000% 08/09/2049
N/A
160000.00000000
PA
163421.72000000
0.032711531323
Long
DBT
NUSS
JE
N
2
2049-08-09
Fixed
2.75000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-27
N/A
1.00000000
NC
1595.40000000
0.000319345415
N/A
DFE
XX
N
2
JP MORGAN
N/A
422453.79000000
USD
9983700.00000000
MXN
2020-04-27
1595.40000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
678.70000000
0.000135852910
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
40070.83000000
USD
58000.00000000
CAD
2020-04-03
678.70000000
N
N
N
Samsonite Finco S.a r.l.
222100JLR1QL2IJ49Q65
SAMSONITE FINCO SARL MTN 3.500000% 05/15/2026
N/A
100000.00000000
PA
71078.93000000
0.014227610902
Long
DBT
NUSS
LU
Y
2
2026-05-15
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-191.79000000
-0.00003838990
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
50000.00000000
SEK
4855.02000000
USD
2020-04-03
-191.79000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
5302.58000000
0.001061398152
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
432208.96000000
USD
738000.00000000
NZD
2020-04-03
5302.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
465.23000000
0.000093123397
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1944000.00000000
JPY
18473.82000000
USD
2020-04-03
465.23000000
N
N
N
BNG BANK N.V.
529900GGYMNGRQTDOO93
BNG BANK NV MTN 0.500000% 04/16/2025
N/A
225000.00000000
PA
254575.86000000
0.050957523997
Long
DBT
NUSS
NL
N
2
2025-04-16
Fixed
0.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 05/04/2022
N/A
521100000.00000000
PA
132794.84000000
0.026581060144
Long
DBT
NUSS
CO
N
2
2022-05-04
Fixed
7.00000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
423.29000000
0.000084728419
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13606.85000000
USD
139000.00000000
SEK
2020-04-03
423.29000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
76.67000000
0.000015346755
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14155.35000000
USD
141000.00000000
SEK
2020-04-03
76.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
304.79000000
0.000061008705
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15126.68000000
USD
2020-04-03
304.79000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN 30 YEAR ISSUE .30% 06/20/2046
N/A
134250000.00000000
PA
1213193.21000000
0.242840472433
Long
DBT
NUSS
XX
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
ASIAN DEVELOPMENT BANK
549300X0MVH42CY8Q105
ASIAN DEVELOPMENT BANK MTN 2.350000% 06/21/2027
N/A
290000000.00000000
PA
3165786.94000000
0.633684057737
Long
DBT
NUSS
XX
N
2
2027-06-21
Fixed
2.35000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
870.29000000
0.000174202784
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
25807.24000000
USD
45000.00000000
NZD
2020-04-03
870.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
599.43000000
0.000119985722
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15634.38000000
USD
2020-04-03
599.43000000
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
241600.36000000
0.048360265354
Long
DBT
NUSS
IE
N
2
2038-05-05
Fixed
6.25000000
N
N
N
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH 144A 3.625000% 05/15/2025
ZS8102544
175000.00000000
PA
152140.95000000
0.030453500621
Long
DBT
NUSS
DE
Y
2
2025-05-15
Fixed
3.62500000
N
N
Y
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-789.55000000
-0.00015804135
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
100000.00000000
SGD
69444.44000000
USD
2020-04-03
-789.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-673.19000000
-0.00013474999
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
32273.28000000
USD
2020-04-30
-673.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
826.21000000
0.000165379450
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
CAD
31037.07000000
USD
2020-04-03
826.21000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1580.24000000
-0.00031631089
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
29673.78000000
USD
295000.00000000
NOK
2020-04-03
-1580.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
190.74000000
0.000038179732
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15225.69000000
USD
2020-04-03
190.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
398.26000000
0.000079718255
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13440.61000000
USD
2020-04-03
398.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
663.79000000
0.000132868430
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15420.83000000
USD
2020-04-03
663.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
10698.16000000
0.002141411777
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7862000.00000000
DKK
1166797.76000000
USD
2020-04-03
10698.16000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13346.25000000
-0.00267147032
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
141435.37000000
USD
2288000.00000000
ZAR
2020-04-03
-13346.25000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
-11887.32000000
-0.00237944160
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
283016.42000000
USD
2681100.00000000
SEK
2020-05-26
-11887.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
761.57000000
0.000152440697
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
142000.00000000
SEK
15094.52000000
USD
2020-04-03
761.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
18593.53000000
0.003721799274
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
48061000.00000000
JPY
463815.25000000
USD
2020-04-03
18593.53000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13405.73000000
-0.00268337621
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
141494.85000000
USD
2288000.00000000
ZAR
2020-04-03
-13405.73000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-161.34000000
-0.00003229484
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17118.64000000
USD
168000.00000000
SEK
2020-04-03
-161.34000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-54366.49000000
-0.01088234257
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1357233.13000000
USD
1187156.26000000
EUR
2020-04-08
-54366.49000000
N
N
N
ZF NORTH AMERICA CAPITAL, INC.
529900JYGMS9CW9IQX78
ZF NORTH AMERICA CAPITAL INC 2.750000% 04/27/2023
N/A
200000.00000000
PA
200297.44000000
0.040092810078
Long
DBT
NUSS
US
N
2
2023-04-27
Fixed
2.75000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
51188.07000000
0.010246129799
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
3129633.40000000
USD
5197000.00000000
AUD
2020-04-03
51188.07000000
N
N
N
Volkswagen Leasing Gesellschaft mit beschraenkter Haftung
5299004GLEUX88BSNB74
VOLKSWAGEN LEASING GMBH MTN 1.125000% 04/04/2024
N/A
520000.00000000
PA
540959.30000000
0.108281855599
Long
DBT
NUSS
DE
N
2
2024-04-04
Fixed
1.12500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
569.61000000
0.000114016762
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13359.60000000
USD
138000.00000000
SEK
2020-04-03
569.61000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
86035.20000000
0.017221353071
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
4602491.29000000
USD
4269000.00000000
EUR
2020-04-30
86035.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
51.97000000
0.000010402645
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15086.92000000
USD
2020-04-03
51.97000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-12.00000000
NC
-2763751.30000000
-0.55321004589
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2020
2020-06-11
-2696154.14000000
EUR
-67597.16000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
448.79000000
0.000089832662
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32159.36000000
USD
3520000.00000000
JPY
2020-04-03
448.79000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
529.07000000
0.000105902017
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
24604.06000000
USD
249000.00000000
SEK
2020-04-03
529.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-817.96000000
-0.00016372807
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
75000.00000000
NZD
43644.60000000
USD
2020-04-03
-817.96000000
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2017-DNA1 M1
3137G0MC0
100790.62000000
PA
USD
100215.55000000
0.020059782157
Long
DBT
USGA
US
N
2
2029-07-25
Floating
2.82674880
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-804.15000000
-0.00016096378
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14153.13000000
USD
19000.00000000
CAD
2020-04-03
-804.15000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
314.41000000
0.000062934306
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32117.73000000
USD
3501000.00000000
JPY
2020-04-03
314.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
51363.06000000
0.010281156911
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4375000.00000000
NOK
468004.54000000
USD
2020-04-03
51363.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
122.72000000
0.000024564416
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15626.93000000
USD
2020-04-03
122.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
925.27000000
0.000185207930
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
30433.55000000
USD
2020-04-03
925.27000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 03/20/2042
N/A
252050000.00000000
PA
3150047.15000000
0.630533481218
Long
DBT
NUSS
JP
N
2
2042-03-20
Fixed
2.00000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.125000% 06/01/2026
N/A
1259000.00000000
PA
938159.92000000
0.187788059076
Long
DBT
NUSS
SG
N
2
2026-06-01
Fixed
2.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-571.63000000
-0.00011442109
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
35684.77000000
USD
32000.00000000
EUR
2020-04-03
-571.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
747.14000000
0.000149552296
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16251.35000000
USD
2020-04-03
747.14000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
U.K. GILT STOCK - INFLATION LINKED 1 1/4% 11/22/2027
N/A
175000.00000000
PA
433151.67000000
0.086702394400
Long
DBT
USGA
XX
N
2
2027-11-22
Fixed
1.25000000
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
384297.60000000
0.076923452892
Long
DBT
NUSS
GB
N
2
2022-09-26
Fixed
1.52600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-18049.39000000
-0.00361288075
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3560000.00000000
PLN
839444.46000000
USD
2020-04-30
-18049.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-245.30000000
-0.00004910080
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13103.68000000
USD
2020-04-03
-245.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1486.37000000
0.000297521276
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
33307.66000000
USD
2020-04-03
1486.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
464.34000000
0.000092945248
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14729.05000000
USD
2020-04-03
464.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1006.96000000
0.000201559520
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
86000.00000000
CHF
89897.79000000
USD
2020-04-03
1006.96000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-27
N/A
1.00000000
NC
16510.56000000
0.003304858745
N/A
DFE
XX
N
2
JP MORGAN
N/A
400301.04000000
USD
9813300.00000000
MXN
2020-04-27
16510.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
400.58000000
0.000080182641
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1944000.00000000
JPY
18409.17000000
USD
2020-04-03
400.58000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
691.51000000
0.000138417041
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31663.79000000
USD
3487000.00000000
JPY
2020-04-30
691.51000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1454.45000000
-0.00029113196
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
37261.81000000
USD
376000.00000000
NOK
2020-04-03
-1454.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
118.15000000
0.000023649655
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13757.84000000
USD
2020-04-03
118.15000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
41.00000000
NC
6923655.99000000
1.385883038016
N/A
DIR
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2020
2020-06-29
6746900.05000000
GBP
176755.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
58.53000000
0.000011715737
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14557.86000000
USD
2020-04-30
58.53000000
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC MTN 4.250000% 04/12/2021
N/A
350000.00000000
PA
401076.95000000
0.080282114355
Long
DBT
NUSS
GB
N
2
2021-04-12
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
185.85000000
0.000037200918
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14942.89000000
USD
2020-04-03
185.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
852.64000000
0.000170669847
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
200000.00000000
EUR
220507.20000000
USD
2020-04-30
852.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
674.79000000
0.000135070260
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15709.74000000
USD
2020-04-03
674.79000000
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 1.000000% 03/03/2022
N/A
400000.00000000
PA
448545.82000000
0.089783785417
Long
DBT
NUSS
ES
N
2
2022-03-03
Fixed
1.00000000
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
359277.33000000
0.071915236445
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/ILS SETTLE 2020-04-03
N/A
1.00000000
NC
USD
27085.76000000
0.005421658067
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4438000.00000000
ILS
1281732.85000000
USD
2020-04-03
27085.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1323.32000000
0.000264884151
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
332000.00000000
SEK
34834.17000000
USD
2020-04-03
1323.32000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1013.60000000
-0.00020288862
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33445.74000000
USD
3501000.00000000
JPY
2020-04-03
-1013.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
854.72000000
0.000171086193
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
EUR
21703.15000000
USD
2020-04-03
854.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
377.91000000
0.000075644870
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16000.00000000
EUR
17934.48000000
USD
2020-04-03
377.91000000
N
N
N
N/A
N/A
Credit Default Swap
CDS486162
-1345000.00000000
NC
USD
-297589.99000000
-0.05956750595
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2063-05-11
0.00000000
USD
-162120.00000000
USD
-1345000.00000000
USD
-135469.99000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
660.42000000
0.000132193869
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14278.15000000
USD
148000.00000000
SEK
2020-04-03
660.42000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-8790.89000000
-0.00175964047
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
148201.90000000
USD
919000.00000000
TRY
2020-04-03
-8790.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
870.89000000
0.000174322883
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13913.24000000
USD
2020-04-03
870.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
577.25000000
0.000115546033
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
15445.46000000
USD
2020-04-03
577.25000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-576.03000000
-0.00011530183
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14606.17000000
USD
139000.00000000
SEK
2020-04-03
-576.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
18.62000000
0.000003727097
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
32965.09000000
USD
2020-04-30
18.62000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
344.18000000
0.000068893258
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14955.88000000
USD
25000.00000000
AUD
2020-04-30
344.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-395.14000000
-0.00007909373
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1566000.00000000
JPY
14111.78000000
USD
2020-04-03
-395.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-60665.81000000
-0.01214325454
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3953000.00000000
EUR
4280806.48000000
USD
2020-04-30
-60665.81000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-8119.97000000
-0.00162534486
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
147530.98000000
USD
919000.00000000
TRY
2020-04-03
-8119.97000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-439.46000000
-0.00008796510
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13788.44000000
USD
19000.00000000
CAD
2020-04-03
-439.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
177.21000000
0.000035471481
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14647.81000000
USD
2020-04-03
177.21000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-143.83000000
-0.00002878992
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14408.54000000
USD
13000.00000000
EUR
2020-04-03
-143.83000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-20.78000000
-0.00000415945
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14298.33000000
USD
13000.00000000
EUR
2020-04-30
-20.78000000
N
N
N
Anheuser-Busch InBev Finance Inc.
5493000EYEKDT0FBSQ91
ANHEUSER-BUSCH INBEV FINANCE INC 2.600000% 05/15/2024
03524BAG1
550000.00000000
PA
379878.10000000
0.076038817651
Long
DBT
NUSS
US
N
2
2024-05-15
Fixed
2.60000000
N
N
N
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
445000.00000000
PA
563748.81000000
0.112843548929
Long
DBT
NUSS
GB
N
2
2025-06-07
Fixed
0.62500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-909.84000000
-0.00018211936
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
36148.88000000
USD
3804000.00000000
JPY
2020-04-03
-909.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
99.49000000
0.000019914551
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
142000.00000000
SEK
14432.44000000
USD
2020-04-03
99.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
816.21000000
0.000163377787
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15638.10000000
USD
2020-04-03
816.21000000
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC MTN 1.125000% 01/14/2022
N/A
330000.00000000
PA
362480.40000000
0.072556383318
Long
DBT
NUSS
GB
N
2
2022-01-14
Fixed
1.12500000
N
N
N
N
N
N
ENEL Finance International N.V.
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTERNATIONAL NV MTN 5.750000% 09/14/2040
N/A
145000.00000000
PA
232588.37000000
0.046556368093
Long
DBT
NUSS
NL
N
2
2040-09-14
Fixed
5.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-399.40000000
-0.00007994644
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
15903.61000000
USD
15000.00000000
CHF
2020-04-03
-399.40000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-815.45000000
-0.00016322566
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13857.80000000
USD
22000.00000000
NZD
2020-04-03
-815.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
19047.37000000
0.003812642777
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1035000.00000000
EUR
1154738.12000000
USD
2020-04-03
19047.37000000
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 2.300000% 03/19/2026
25159MAG2
220000000.00000000
PA
2311825.68000000
0.462749738200
Long
DBT
NUSS
JP
N
2
2026-03-19
Fixed
2.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/09/2020
912796TQ2
28664000.00000000
PA
USD
28663433.03000000
5.737455140026
Long
DBT
UST
US
N
2
2020-04-09
None
0.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 4.327000% 03/19/2050
30231GBG6
200000.00000000
PA
USD
244796.34000000
0.048999993047
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.750000% 10/20/2026
N/A
749000.00000000
PA
873091.21000000
0.174763492052
Long
DBT
NUSS
AT
Y
2
2026-10-20
Fixed
0.75000000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 2.000000% 04/28/2021
N/A
735000.00000000
PA
781072.81000000
0.156344503597
Long
DBT
NUSS
CH
N
2
2021-04-28
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
661.84000000
0.000132478105
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
30170.12000000
USD
2020-04-03
661.84000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2033
N/A
550000.00000000
PA
809856.60000000
0.162106050154
Long
DBT
NUSS
NL
Y
2
2033-01-15
Fixed
2.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-520.96000000
-0.00010427866
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32953.10000000
USD
3501000.00000000
JPY
2020-04-03
-520.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-329.52000000
-0.00006595881
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
12712.83000000
USD
2020-04-03
-329.52000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 0.875000% 04/08/2027
92343VEV2
175000.00000000
PA
183941.54000000
0.036818909062
Long
DBT
NUSS
US
N
2
2027-04-08
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-307.01000000
-0.00006145307
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13041.97000000
USD
2020-04-03
-307.01000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-343.06000000
-0.00006866907
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13675.59000000
USD
140000.00000000
NOK
2020-04-03
-343.06000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 1.350000% 04/01/2030
N/A
552000.00000000
PA
596297.37000000
0.119358675805
Long
DBT
NUSS
IT
N
2
2030-04-01
Fixed
1.35000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-05-15
N/A
1.00000000
NC
8993.82000000
0.001800260238
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
398010.08000000
USD
328042.00000000
GBP
2020-05-15
8993.82000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
12802.49000000
0.002562627860
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
351790.46000000
USD
615000.00000000
NZD
2020-04-03
12802.49000000
N
N
N
ASSICURAZIONI GENERALI - SOCIETA PER AZIONI
549300X5UKJVE386ZB61
ASSICURAZIONI GENERALI SPA MTN 5.500000% 10/27/2047
N/A
230000.00000000
PA
273858.92000000
0.054817343984
Long
DBT
NUSS
IT
N
2
2047-10-27
Fixed
5.50000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
480.55000000
0.000096189945
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
10183.18000000
USD
18000.00000000
NZD
2020-04-30
480.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
329.08000000
0.000065870746
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14593.79000000
USD
2020-04-03
329.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
0.33000000
0.000000066054
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14885.15000000
USD
2020-04-30
0.33000000
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-52.00000000
NC
-5375543.67000000
-1.07600302544
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2020
2020-06-22
-5472607.51000000
CAD
97063.84000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2411.73000000
-0.00048274722
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
36686.50000000
USD
56000.00000000
AUD
2020-04-03
-2411.73000000
N
N
N
Province of Manitoba
5493003QILFOB3JRKE30
MANITOBA (PROVINCE OF) 3.850000% 12/01/2021
563469TR6
710000.00000000
PA
523305.44000000
0.104748146650
Long
DBT
NUSS
CA
N
2
2021-12-01
Fixed
3.85000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9370.63000000
-0.00187568492
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
145353.36000000
USD
2429000.00000000
ZAR
2020-04-03
-9370.63000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
50.01000000
0.000010010319
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14907.28000000
USD
148000.00000000
SEK
2020-04-30
50.01000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
605.81000000
0.000121262784
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14695.43000000
USD
25000.00000000
AUD
2020-04-03
605.81000000
N
N
N
GE Capital UK Funding Unlimited Company
BR7Z6BPTFF652NNO9651
GE CAPITAL UK FUNDING UNLIMITED CO MTN 5.875000% 01/18/2033
N/A
160000.00000000
PA
227904.37000000
0.045618788849
Long
DBT
NUSS
IE
N
2
2033-01-18
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-404.67000000
-0.00008100132
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1584000.00000000
JPY
14293.01000000
USD
2020-04-30
-404.67000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-651.34000000
-0.00013037635
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14291.03000000
USD
11000.00000000
GBP
2020-04-03
-651.34000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
1236.72000000
0.000247549744
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
64430.84000000
USD
59835.48000000
EUR
2020-04-08
1236.72000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
BELGIUM KINGDOM 3.750000% 06/22/2045
N/A
229000.00000000
PA
428444.11000000
0.085760099237
Long
DBT
NUSS
BE
N
2
2045-06-22
Fixed
3.75000000
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
1203000.00000000
PA
952702.75000000
0.190699044464
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-293.14000000
-0.00005867676
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
10129.23000000
USD
14000.00000000
CAD
2020-04-03
-293.14000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-809.93000000
-0.00016212074
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14158.91000000
USD
19000.00000000
CAD
2020-04-03
-809.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-23
N/A
1.00000000
NC
USD
-17276.05000000
-0.00345808409
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1419050.00000000
AUD
851203.24000000
USD
2020-04-23
-17276.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
32563.75000000
0.006518167402
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5065000.00000000
TRY
800917.14000000
USD
2020-04-03
32563.75000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-734.56000000
-0.00014703420
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
32776.60000000
USD
31000.00000000
CHF
2020-04-03
-734.56000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1137.19000000
-0.00022762718
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
37209.96000000
USD
3894000.00000000
JPY
2020-04-03
-1137.19000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-284.64000000
-0.00005697535
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32716.78000000
USD
3501000.00000000
JPY
2020-04-03
-284.64000000
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
2743981.25000000
0.549252746887
Long
DBT
NUSS
GB
N
2
2023-07-22
Fixed
0.75000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 7.500000% MATURITY: PERPETUAL
225401AJ7
200000.00000000
PA
USD
184320.00000000
0.036894664023
Long
DBT
NUSS
CH
Y
2
2169-01-17
Fixed
7.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-14.02000000
-0.00000280633
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
30224.88000000
USD
43000.00000000
CAD
2020-04-03
-14.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1557.86000000
-0.00031183117
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
31388.61000000
USD
2020-04-30
-1557.86000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-5591.99000000
-0.00111932830
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
145003.00000000
USD
919000.00000000
TRY
2020-04-03
-5591.99000000
N
N
N
BAXTER INTERNATIONAL INC.
J5OIVXX3P24RJRW5CK77
BAXTER INTERNATIONAL INC MTN 0.400000% 05/15/2024
071813BT5
405000.00000000
PA
429273.51000000
0.085926117218
Long
DBT
NUSS
US
N
2
2024-05-15
Fixed
0.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
578.00000000
0.000115696157
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15335.04000000
USD
2020-04-03
578.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1213.92000000
-0.00024298595
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
31691.31000000
USD
2020-04-03
-1213.92000000
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
339181.67000000
0.067892761272
Long
DBT
NUSS
PT
N
2
2079-04-30
Fixed
4.49600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
5176.85000000
0.001036231236
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
526778.36000000
EUR
583299.52000000
USD
2020-04-08
5176.85000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
109.19000000
0.000021856165
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
2260.53000000
USD
4000.00000000
NZD
2020-04-30
109.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-0.94000000
-0.00000018815
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1445000.00000000
JPY
13385.08000000
USD
2020-04-03
-0.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-10966.95000000
-0.00219521449
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
37800000.00000000
JPY
339773.05000000
USD
2020-04-30
-10966.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1186.41000000
0.000237479374
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
32185.72000000
USD
2020-04-03
1186.41000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 3.750000% 07/21/2026
21684AAF3
250000.00000000
PA
USD
240840.88000000
0.048208243005
Long
DBT
NUSS
NL
N
2
2026-07-21
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-251.40000000
-0.00005032182
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13097.58000000
USD
2020-04-03
-251.40000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1078.30000000
0.000215839389
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
25770.75000000
USD
266000.00000000
SEK
2020-04-03
1078.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-01
N/A
1.00000000
NC
USD
4.51000000
0.000000902750
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
630.00000000
CHF
655.64000000
USD
2020-04-01
4.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-57449.24000000
-0.01149940542
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1018158000.00000000
JPY
9374440.66000000
USD
2020-04-03
-57449.24000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
869.81000000
0.000174106704
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
27896.52000000
USD
47000.00000000
AUD
2020-04-03
869.81000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
125.05000000
0.000025030803
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13510.13000000
USD
23000.00000000
NZD
2020-04-03
125.05000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-24
N/A
1.00000000
NC
-28564.54000000
-0.00571766008
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
878943.35000000
USD
1210000.00000000
CAD
2020-04-24
-28564.54000000
N
N
N
MARRIOTT INTERNATIONAL, INC.
225YDZ14ZO8E1TXUSU86
MARRIOTT INTERNATIONAL INC/MD 4.650000% 12/01/2028
571903BB8
120000.00000000
PA
USD
105494.69000000
0.021116488410
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
4.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-6569.84000000
-0.00131506097
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
8803400.00000000
MXN
367347.11000000
USD
2020-04-27
-6569.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
915.53000000
0.000183258310
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1935000.00000000
JPY
18840.75000000
USD
2020-04-03
915.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-289.05000000
-0.00005785808
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
35000.00000000
CAD
24301.18000000
USD
2020-04-03
-289.05000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
76.66000000
0.000015344753
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30922.65000000
USD
25000.00000000
GBP
2020-04-03
76.66000000
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.500000% 09/15/2026
N/A
205000.00000000
PA
244593.94000000
0.048959479375
Long
DBT
NUSS
GB
N
2
2026-09-15
Fixed
2.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1660.33000000
-0.00033234221
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14421.46000000
USD
134000.00000000
NOK
2020-04-03
-1660.33000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-30
N/A
1.00000000
NC
976.15000000
0.000195392395
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13908.67000000
USD
12000.00000000
GBP
2020-04-30
976.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-364.86000000
-0.00007303269
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
31000.00000000
CHF
31740.80000000
USD
2020-04-30
-364.86000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-715.65000000
-0.00014324905
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14355.34000000
USD
11000.00000000
GBP
2020-04-03
-715.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-49672.56000000
-0.00994277567
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
640000.00000000
GBP
744184.32000000
USD
2020-04-30
-49672.56000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.900000% 09/20/2042
N/A
166850000.00000000
PA
2062121.03000000
0.412767266591
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/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-352.50000000
-0.00007055864
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1566000.00000000
JPY
14154.42000000
USD
2020-04-03
-352.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
312.09000000
0.000062469920
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14576.80000000
USD
2020-04-03
312.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2387.53000000
0.000477903196
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
31153.86000000
USD
2020-04-03
2387.53000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-17124.09000000
-0.00342766681
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1102601.49000000
USD
989073.82000000
EUR
2020-04-08
-17124.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-481.71000000
-0.00009642213
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
54000.00000000
AUD
32566.42000000
USD
2020-04-30
-481.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
6862.08000000
0.001373557596
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
518000.00000000
EUR
575256.10000000
USD
2020-04-03
6862.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
146675.75000000
0.029359551414
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
80148000.00000000
CNY
11447097.81000000
USD
2020-04-03
146675.75000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.750000% 05/01/2021
N/A
386000.00000000
PA
439493.72000000
0.087971859483
Long
DBT
NUSS
IT
Y
2
2021-05-01
Fixed
3.75000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-221.95000000
-0.00004442692
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
16977.37000000
USD
166000.00000000
SEK
2020-04-03
-221.95000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-20373.68000000
-0.00407812542
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
683134.27000000
USD
604000.00000000
EUR
2020-04-03
-20373.68000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
2434800.00000000
PA
105486.46000000
0.021114841041
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC MTN 6.000000% 03/29/2040
N/A
145000.00000000
PA
207046.80000000
0.041443804921
Long
DBT
NUSS
GB
N
2
2040-03-29
Fixed
6.00000000
N
N
N
N
N
N
MASTERCARD INCORPORATED.
AR5L2ODV9HN37376R084
MASTERCARD INC 1.100000% 12/01/2022
57636QAC8
445000.00000000
PA
493557.50000000
0.098793609694
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/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2335.45000000
0.000467478532
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
31101.78000000
USD
2020-04-03
2335.45000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 3.250000% 07/04/2042
N/A
1121000.00000000
PA
2161630.73000000
0.432685761321
Long
DBT
NUSS
DE
N
2
2042-07-04
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
634.67000000
0.000127039585
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1935000.00000000
JPY
18559.89000000
USD
2020-04-03
634.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
275.73000000
0.000055191871
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1911000.00000000
JPY
17978.62000000
USD
2020-04-03
275.73000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-356.79000000
-0.00007141735
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14386.93000000
USD
139000.00000000
SEK
2020-04-03
-356.79000000
N
N
N
Banco de Sabadell, S.A.
SI5RG2M0WQQLZCXKRM20
BANCO DE SABADELL SA 0.875000% 11/12/2021
N/A
400000.00000000
PA
445952.80000000
0.089264750035
Long
DBT
NUSS
ES
N
2
2021-11-12
Fixed
0.87500000
N
N
N
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 0.400000% 02/17/2025
N/A
1695000.00000000
PA
1912199.25000000
0.382757969158
Long
DBT
NUSS
LU
N
2
2025-02-17
Fixed
0.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
608.87000000
0.000121875293
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
CAD
30819.73000000
USD
2020-04-03
608.87000000
N
N
N
Telefonica Europe B.V.
7245007FZS0M65WUGP67
TELEFONICA EUROPE BV 4.375000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
320019.75000000
0.064057189438
Long
DBT
NUSS
NL
N
2
2169-03-14
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
39.34000000
0.000007874544
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
12800.47000000
USD
2020-04-03
39.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
277.64000000
0.000055574189
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15099.53000000
USD
2020-04-03
277.64000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1868.18000000
0.000373946795
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
27180.69000000
USD
49000.00000000
NZD
2020-04-03
1868.18000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-05-15
N/A
1.00000000
NC
-1001.31000000
-0.00020042858
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
107453.11000000
USD
85799.33000000
GBP
2020-05-15
-1001.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1454.22000000
0.000291085928
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
32239.79000000
USD
2020-04-03
1454.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
973.20000000
0.000194801904
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15795.09000000
USD
2020-04-03
973.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-2200.53000000
-0.00044047208
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
28798.78000000
USD
2020-04-03
-2200.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-292.01000000
-0.00005845057
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14489.18000000
USD
2020-04-30
-292.01000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.000000% 08/01/2029
N/A
1609000.00000000
PA
2000882.25000000
0.400509322726
Long
DBT
NUSS
IT
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-14308.26000000
-0.00286403236
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
254406.06000000
USD
405000.00000000
NZD
2020-04-03
-14308.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-210.48000000
-0.00004213101
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14549.45000000
USD
2020-04-30
-210.48000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.000000% 09/01/2022
135087G73
525000.00000000
PA
373410.79000000
0.074744279730
Long
DBT
NUSS
CA
N
2
2022-09-01
Fixed
1.00000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 04/30/2030
N/A
584000.00000000
PA
629015.75000000
0.125907794932
Long
DBT
NUSS
ES
Y
2
2030-04-30
Fixed
0.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
660.43000000
0.000132195871
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14278.14000000
USD
148000.00000000
SEK
2020-04-03
660.43000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-459.47000000
-0.00009197043
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
32280.76000000
USD
29000.00000000
EUR
2020-04-03
-459.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-482.35000000
-0.00009655024
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
10000.00000000
GBP
11917.37000000
USD
2020-04-03
-482.35000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1811.97000000
-0.00036269544
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14573.10000000
USD
134000.00000000
NOK
2020-04-03
-1811.97000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1650.81000000
-0.00033043663
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14411.94000000
USD
134000.00000000
NOK
2020-04-03
-1650.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-05-22
N/A
1.00000000
NC
USD
-111801.40000000
-0.02237887961
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
17347106.97000000
CAD
12083944.81000000
USD
2020-05-22
-111801.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
48.55000000
0.000009718076
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1613000.00000000
JPY
14990.87000000
USD
2020-04-03
48.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
776.54000000
0.000155437187
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1613000.00000000
JPY
15718.86000000
USD
2020-04-03
776.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
20964.06000000
0.004196299643
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2352000.00000000
ZAR
152636.09000000
USD
2020-04-03
20964.06000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.750000% 03/20/2051
N/A
435000.00000000
PA
494427.14000000
0.098967682370
Long
DBT
NUSS
AT
Y
2
2051-03-20
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1101.44000000
-0.00022047123
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
54000.00000000
AUD
31949.24000000
USD
2020-04-03
-1101.44000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.000000% 07/15/2024
N/A
765000.00000000
PA
851852.27000000
0.170512170678
Long
DBT
NUSS
AT
Y
2
2024-07-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-80.93000000
-0.00001619946
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
39000.00000000
SEK
3860.52000000
USD
2020-04-30
-80.93000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
-20817.55000000
-0.00416697326
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
465863.61000000
USD
4668000.00000000
NOK
2020-05-26
-20817.55000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-991.80000000
-0.00019852499
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
17151.10000000
USD
23000.00000000
CAD
2020-04-03
-991.80000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-392.04000000
-0.00007847322
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14031.73000000
USD
11000.00000000
GBP
2020-04-03
-392.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
280.68000000
0.000056182694
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14545.39000000
USD
2020-04-03
280.68000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 03/20/2027
N/A
71550000.00000000
PA
673009.42000000
0.134713847850
Long
DBT
NUSS
JP
N
2
2027-03-20
Fixed
0.10000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-783.73000000
-0.00015687638
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14813.87000000
USD
139000.00000000
SEK
2020-04-03
-783.73000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2499.20000000
-0.00050025577
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
30592.74000000
USD
295000.00000000
NOK
2020-04-03
-2499.20000000
N
N
N
Canada Housing Trust No. 1
549300M44WH89JG50067
CANADA HOUSING TRUST NO 1 144A 2.250000% 12/15/2025
13509PFD0
2235000.00000000
PA
1668913.06000000
0.334060257343
Long
DBT
NUSS
CA
Y
2
2025-12-15
Fixed
2.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
895.96000000
0.000179341054
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
27197.58000000
USD
295000.00000000
NOK
2020-04-03
895.96000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2064.54000000
-0.00041325146
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
30830.87000000
USD
47000.00000000
AUD
2020-04-03
-2064.54000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-250.41000000
-0.00005012365
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13103.45000000
USD
21000.00000000
AUD
2020-04-03
-250.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-7934.54000000
-0.00158822801
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4375000.00000000
NOK
409098.35000000
USD
2020-04-30
-7934.54000000
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
316504.57000000
0.063353568642
Long
DBT
NUSS
GG
N
2
2022-04-14
Fixed
1.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
679.31000000
0.000135975012
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30320.00000000
USD
25000.00000000
GBP
2020-04-03
679.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-178.68000000
-0.00003576572
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
GBP
17180.93000000
USD
2020-04-03
-178.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
11504.70000000
0.002302853956
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
993000.00000000
NOK
106070.41000000
USD
2020-04-03
11504.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-24
N/A
1.00000000
NC
USD
142679.97000000
0.028559730664
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2688000.00000000
CAD
2031785.96000000
USD
2020-04-24
142679.97000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
901.05000000
0.000180359901
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14400.19000000
USD
25000.00000000
AUD
2020-04-03
901.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-2936.40000000
-0.00058776850
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
111000.00000000
NZD
62868.18000000
USD
2020-04-03
-2936.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1591.10000000
0.000318484700
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
308000.00000000
NOK
30922.66000000
USD
2020-04-03
1591.10000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.500000% 05/25/2029
N/A
1359000.00000000
PA
1565484.14000000
0.313357266600
Long
DBT
NUSS
FR
N
2
2029-05-25
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-297.79000000
-0.00005960754
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
12744.56000000
USD
2020-04-03
-297.79000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-30
N/A
1.00000000
NC
932.89000000
0.000186733198
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13951.93000000
USD
12000.00000000
GBP
2020-04-30
932.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
100.30000000
0.000020076686
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
27000.00000000
NZD
16106.82000000
USD
2020-04-03
100.30000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
540.72000000
0.000108233955
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14416.57000000
USD
148000.00000000
SEK
2020-04-30
540.72000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
252.40000000
0.000050521990
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
75201.45000000
USD
73000.00000000
CHF
2020-04-03
252.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
614.50000000
0.000123002230
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15371.54000000
USD
2020-04-03
614.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
145.39000000
0.000029102187
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1582000.00000000
JPY
14800.53000000
USD
2020-04-03
145.39000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1124.96000000
-0.00022517915
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13886.09000000
USD
134000.00000000
NOK
2020-04-03
-1124.96000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-845.61000000
-0.00016926267
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14480.79000000
USD
23000.00000000
NZD
2020-04-03
-845.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
298.48000000
0.000059745656
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13647.46000000
USD
2020-04-03
298.48000000
N
N
N
MIZUHO FINANCIAL GROUP (CAYMAN) 3 LIMITED
549300AM6U7J7ZZI1G88
MIZUHO FINANCIAL GROUP CAYMAN 3 LTD 144A 4.600000% 03/27/2024
60688UAB2
450000.00000000
PA
USD
471532.55000000
0.094384955558
Long
DBT
NUSS
KY
Y
2
2024-03-27
Fixed
4.60000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.500000% 04/21/2033
N/A
195000.00000000
PA
171951.96000000
0.034418998439
Long
DBT
NUSS
AU
N
2
2033-04-21
Fixed
4.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-186554.97000000
-0.03734202984
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
6216469.56000000
USD
650920000.00000000
JPY
2020-04-03
-186554.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-208.44000000
-0.00004172267
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14290.89000000
USD
2020-04-30
-208.44000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1620.88000000
-0.00032444565
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
58510.41000000
USD
81000.00000000
SGD
2020-04-03
-1620.88000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-50490.01000000
-0.01010640166
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1706294.21000000
USD
1509000.00000000
EUR
2020-04-03
-50490.01000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 3.000000% 09/10/2024
N/A
1254790000.00000000
PA
1105564.77000000
0.221296879045
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/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1599.39000000
-0.00032014407
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
27166.94000000
USD
2020-04-03
-1599.39000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 05/25/2066
N/A
165000.00000000
PA
240704.43000000
0.048180930305
Long
DBT
NUSS
FR
Y
2
2066-05-25
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1631.59000000
0.000326589436
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
48000.00000000
AUD
31009.97000000
USD
2020-04-03
1631.59000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.350000% 03/01/2035
N/A
1904000.00000000
PA
2475030.78000000
0.495417909486
Long
DBT
NUSS
IT
Y
2
2035-03-01
Fixed
3.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
37.28000000
0.000007462202
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
157000.00000000
SEK
15904.14000000
USD
2020-04-30
37.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-590.53000000
-0.00011820424
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
29644.01000000
USD
2020-04-03
-590.53000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-362.08000000
-0.00007247623
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14626.79000000
USD
13000.00000000
EUR
2020-04-03
-362.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-405.75000000
-0.00008121750
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
287000.00000000
SEK
28599.27000000
USD
2020-04-30
-405.75000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-09
N/A
1.00000000
NC
9212.56000000
0.001844044628
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
650534.00000000
USD
71192742.00000000
JPY
2020-04-09
9212.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
20.92000000
0.000004187480
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
38000.00000000
CAD
26718.89000000
USD
2020-04-03
20.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-29528.29000000
-0.00591057041
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
422000.00000000
GBP
493740.00000000
USD
2020-04-03
-29528.29000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-431.00000000
-0.00008627170
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32863.14000000
USD
3501000.00000000
JPY
2020-04-03
-431.00000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-483.91000000
-0.00009686250
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14123.60000000
USD
11000.00000000
GBP
2020-04-03
-483.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1200.12000000
-0.00024022365
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
351000.00000000
NOK
32226.43000000
USD
2020-04-03
-1200.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1802.03000000
0.000360705791
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
14563.16000000
USD
2020-04-03
1802.03000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-5119.25000000
-0.00102470165
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
141101.98000000
USD
2429000.00000000
ZAR
2020-04-03
-5119.25000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.750000% 02/20/2032
20030NDC2
180000.00000000
PA
177322.70000000
0.035494039932
Long
DBT
NUSS
US
N
2
2032-02-20
Fixed
0.75000000
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
2381016.43000000
0.476599398979
Long
DBT
NUSS
BE
Y
2
2020-09-28
Fixed
3.75000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1069.06000000
0.000213989852
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14232.18000000
USD
25000.00000000
AUD
2020-04-03
1069.06000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.250000% 06/06/2026
N/A
57800000.00000000
PA
8461187.92000000
1.693645212404
Long
DBT
NUSS
CN
N
2
2026-06-06
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
381.46000000
0.000076355460
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15885.67000000
USD
2020-04-03
381.46000000
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 2.000000% 04/15/2024
N/A
482000.00000000
PA
582061.93000000
0.116509219554
Long
DBT
NUSS
FI
Y
2
2024-04-15
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-05-05
N/A
1.00000000
NC
USD
53143.52000000
0.010637545114
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4784730753.00000000
IDR
346217.85000000
USD
2020-05-05
53143.52000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2477.83000000
-0.00049597821
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
125050.30000000
USD
808000.00000000
TRY
2020-04-03
-2477.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
100.77000000
0.000020170764
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13740.46000000
USD
2020-04-03
100.77000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-527.39000000
-0.00010556573
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14162.57000000
USD
23000.00000000
NZD
2020-04-03
-527.39000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-331.23000000
-0.00006630110
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13680.21000000
USD
19000.00000000
CAD
2020-04-03
-331.23000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 4.000000% 01/15/2037
N/A
389000.00000000
PA
715106.61000000
0.143140289263
Long
DBT
NUSS
NL
Y
2
2037-01-15
Fixed
4.00000000
N
N
N
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
-550413.11000000
-0.11017419036
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Jun 2020
2020-06-11
-574168.70000000
EUR
23755.59000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-31651.71000000
-0.00633560767
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
1177800.52000000
USD
123725000.00000000
JPY
2020-04-03
-31651.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
801.21000000
0.000160375291
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
15669.42000000
USD
2020-04-03
801.21000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.375000% 06/19/2024
N/A
835000.00000000
PA
939262.08000000
0.188008674435
Long
DBT
NUSS
US
N
2
2024-06-19
Fixed
2.37500000
N
N
N
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
725884.33000000
0.145297626277
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/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-9691.91000000
-0.00193999437
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
182000.00000000
GBP
215983.04000000
USD
2020-04-03
-9691.91000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-140.90000000
-0.00002820344
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13780.59000000
USD
11000.00000000
GBP
2020-04-03
-140.90000000
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 5.250000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
178851.62000000
0.035800078287
Long
DBT
NUSS
ES
N
2
2168-12-29
Fixed
5.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-48548.31000000
-0.00971773864
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
2580101.32000000
USD
2306720.36000000
EUR
2020-04-08
-48548.31000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-322.33000000
-0.00006451962
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14453.41000000
USD
140000.00000000
SEK
2020-04-03
-322.33000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1102.33000000
-0.00022064938
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13863.46000000
USD
134000.00000000
NOK
2020-04-03
-1102.33000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.000000% 06/22/2031
N/A
490000.00000000
PA
588584.97000000
0.117814912747
Long
DBT
NUSS
BE
Y
2
2031-06-22
Fixed
1.00000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-4463.75000000
-0.00089349260
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
143874.76000000
USD
919000.00000000
TRY
2020-04-03
-4463.75000000
N
N
N
AIB GROUP PUBLIC LIMITED COMPANY
635400AKJBGNS5WNQL34
AIB GROUP PLC MTN 4.263000% 04/10/2025
00135TAB0
450000.00000000
PA
USD
457514.46000000
0.091579005467
Long
DBT
NUSS
IE
Y
2
2025-04-10
Fixed
4.26300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-275.02000000
-0.00005504975
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13073.96000000
USD
2020-04-03
-275.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
55.96000000
0.000011201309
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
27000.00000000
GBP
33546.80000000
USD
2020-04-30
55.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1434.30000000
0.000287098614
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
32219.87000000
USD
2020-04-03
1434.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-24
N/A
1.00000000
NC
USD
11636.95000000
0.002329325957
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
455000.00000000
CHF
482657.74000000
USD
2020-04-24
11636.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
662.29000000
0.000132568180
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
NZD
13111.81000000
USD
2020-04-03
662.29000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 3.500000% 12/01/2048
74814ZEW9
520000.00000000
PA
434504.23000000
0.086973131416
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.500000% 09/15/2027
N/A
510000.00000000
PA
583663.12000000
0.116829723933
Long
DBT
NUSS
DE
N
2
2027-09-15
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-854.32000000
-0.00017100612
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
12785.37000000
USD
2020-04-03
-854.32000000
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.600000% 06/02/2025
68323ACX0
1614000.00000000
PA
1195461.06000000
0.239291092459
Long
DBT
NUSS
CA
N
2
2025-06-02
Fixed
2.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
529.24000000
0.000105936045
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16033.45000000
USD
2020-04-03
529.24000000
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 5.500000% 12/01/2021
N/A
205000.00000000
PA
274291.46000000
0.054903923943
Long
DBT
NUSS
FR
N
2
2021-12-01
Fixed
5.50000000
N
N
N
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
Republic of Austria Government Bond .500000% 02/20/2029
N/A
885000.00000000
PA
1017313.99000000
0.203632041383
Long
DBT
NUSS
XX
Y
2
2029-02-20
Fixed
0.50000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.800000% 06/22/2028
AQ7883202
1249000.00000000
PA
1465568.98000000
0.293357612417
Long
DBT
NUSS
BE
Y
2
2028-06-22
Fixed
0.80000000
N
N
N
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA MTN 6.572000% 01/14/2022
904678AJ8
350000.00000000
PA
USD
356568.35000000
0.071372989771
Long
DBT
NUSS
IT
Y
2
2022-01-14
Fixed
6.57200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1712.87000000
0.000342858958
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
308000.00000000
SEK
32801.25000000
USD
2020-04-03
1712.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
228.96000000
0.000045830090
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1920000.00000000
JPY
18015.23000000
USD
2020-04-03
228.96000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 4.582000% 12/10/2025
539439AM1
445000.00000000
PA
USD
450100.56000000
0.090094992068
Long
DBT
NUSS
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FINANCE CORPORATION
549300RLHFT5RU20WM87
BERKSHIRE HATHAWAY FINANCE CORP 2.625000% 06/19/2059
084664CT6
144000.00000000
PA
184431.70000000
0.036917022606
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/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-935.26000000
-0.00018720759
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
13949.56000000
USD
2020-04-30
-935.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
149.67000000
0.000029958899
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14414.38000000
USD
2020-04-03
149.67000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9872.85000000
-0.00197621247
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
389533.72000000
USD
346000.00000000
EUR
2020-04-03
-9872.85000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 0.750000% 09/01/2021
135087F58
655000.00000000
PA
461935.26000000
0.092463900924
Long
DBT
NUSS
CA
N
2
2021-09-01
Fixed
0.75000000
N
N
N
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.500000% 09/15/2029
N/A
445000.00000000
PA
513629.13000000
0.102811274870
Long
DBT
NUSS
FI
Y
2
2029-09-15
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-394.76000000
-0.00007901767
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
NZD
14415.98000000
USD
2020-04-30
-394.76000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 2.150000% 07/18/2024
N/A
200000.00000000
PA
215335.15000000
0.043102853796
Long
DBT
NUSS
ID
Y
2
2024-07-18
Fixed
2.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-2270.93000000
-0.00045456379
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49262400.00000000
JPY
454743.84000000
USD
2020-04-27
-2270.93000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
636.31000000
0.000127367858
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12216.73000000
USD
21000.00000000
AUD
2020-04-03
636.31000000
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 0.339000% 07/19/2024
N/A
250000.00000000
PA
255258.57000000
0.051094179575
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/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
20694.86000000
0.004142414858
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2288000.00000000
ZAR
148783.98000000
USD
2020-04-03
20694.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
591.77000000
0.000118452448
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15413.66000000
USD
2020-04-03
591.77000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-353.56000000
-0.00007077081
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
15107.70000000
USD
21000.00000000
CAD
2020-04-03
-353.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-134.68000000
-0.00002695840
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1011000.00000000
JPY
9246.22000000
USD
2020-04-30
-134.68000000
N
N
N
DIAGEO FINANCE PLC
BPF79TJMIH3DK8XCKI50
DIAGEO FINANCE PLC MTN 0.250000% 10/22/2021
N/A
240000.00000000
PA
258884.10000000
0.051819888729
Long
DBT
NUSS
GB
N
2
2021-10-22
Fixed
0.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-488.50000000
-0.00009778126
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14753.21000000
USD
13000.00000000
EUR
2020-04-03
-488.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-6419.11000000
-0.00128488990
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
271000.00000000
EUR
291212.81000000
USD
2020-04-30
-6419.11000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-243.98000000
-0.00004883658
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14375.06000000
USD
140000.00000000
SEK
2020-04-03
-243.98000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.500000% 01/22/2045
N/A
848000.00000000
PA
1680143.64000000
0.336308241696
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-25447.28000000
-0.00509368948
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
1107676.70000000
USD
116825000.00000000
JPY
2020-04-03
-25447.28000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-09
N/A
1.00000000
NC
11806.66000000
0.002363296191
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
663750.00000000
USD
72898798.00000000
JPY
2020-04-09
11806.66000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 5.500000% 04/15/2023
N/A
1608000.00000000
PA
1096916.12000000
0.219565710230
Long
DBT
NUSS
NZ
N
2
2023-04-15
Fixed
5.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-60.18000000
-0.00001204601
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12913.22000000
USD
21000.00000000
AUD
2020-04-03
-60.18000000
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
305297.56000000
0.061110302210
Long
DBT
NUSS
GB
N
2
2024-10-17
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
264.45000000
0.000052933994
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14529.16000000
USD
2020-04-03
264.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-97.99000000
-0.00001961430
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14786.83000000
USD
2020-04-30
-97.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-06-04
N/A
1.00000000
NC
USD
377.62000000
0.000075586821
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2213606.78000000
NZD
1311283.10000000
USD
2020-06-04
377.62000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRISH TSY 1.5% 2050 1.500000% 05/15/2050
N/A
250000.00000000
PA
319881.06000000
0.064029428365
Long
DBT
NUSS
IE
N
2
2050-05-15
Fixed
1.50000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1015.93000000
-0.00020335501
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
38239.95000000
USD
53000.00000000
SGD
2020-04-03
-1015.93000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-271.27000000
-0.00005429912
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
16430.57000000
USD
23000.00000000
CAD
2020-04-03
-271.27000000
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30 WFCM 2015-C30 A3
94989NBD8
78237.65160000
PA
USD
82118.79000000
0.016437419526
Long
ABS-MBS
US
N
2
2058-09-15
Fixed
3.41100000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
-25335.29000000
-0.00507127285
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
281942.29000000
USD
2691500.00000000
NOK
2020-05-26
-25335.29000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-721.25000000
-0.00014436998
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
33796.91000000
USD
32000.00000000
CHF
2020-04-03
-721.25000000
N
N
N
Europcar Mobility Group S.A.
969500XCGTMV08D76N87
EUROPCAR MOBILITY GROUP 144A 4.000000% 04/30/2026
ZS2399252
170000.00000000
PA
83939.56000000
0.016801876435
Long
DBT
NUSS
FR
Y
2
2026-04-30
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
617.86000000
0.000123674789
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32439.15000000
USD
2020-04-03
617.86000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
262.08000000
0.000052459600
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13086.90000000
USD
19000.00000000
CAD
2020-04-03
262.08000000
N
N
N
N/A
N/A
Credit Default Swap
CDS304019
-127000.00000000
NC
USD
-28099.58000000
-0.00562459072
N/A
DCR
XX
N
2
BRK: CREDIT SUISSE
N/A
Y
2063-05-11
0.00000000
USD
-8822.28000000
USD
-127000.00000000
USD
-19277.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-3510.86000000
-0.00070275607
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
703000.00000000
SEK
67447.35000000
USD
2020-04-03
-3510.86000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2835.94000000
-0.00056765979
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
90873.97000000
USD
71000.00000000
GBP
2020-04-03
-2835.94000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-354.89000000
-0.00007103704
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
14401.69000000
USD
20000.00000000
SGD
2020-04-03
-354.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
52.65000000
0.000010538759
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
130000.00000000
NOK
12432.85000000
USD
2020-04-03
52.65000000
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 144A 2.300000% 11/21/2022
00287YBL2
800000.00000000
PA
USD
800626.80000000
0.160258554657
Long
DBT
CORP
US
Y
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
19384.83000000
0.003880190918
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
76500000.00000000
HUF
252109.15000000
USD
2020-04-03
19384.83000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1057.88000000
-0.00021175199
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14522.97000000
USD
22000.00000000
AUD
2020-04-03
-1057.88000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
2434.65000000
0.000487335035
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31044.60000000
USD
27000.00000000
GBP
2020-04-03
2434.65000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 5.000000% 09/01/2040
N/A
1393000.00000000
PA
2207398.39000000
0.441846907365
Long
DBT
NUSS
IT
Y
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
ORANGE S.A.
969500MCOONR8990S771
ORANGE SA MTN 2.500000% 03/01/2023
N/A
500000.00000000
PA
574798.38000000
0.115055301169
Long
DBT
NUSS
FR
N
2
2023-03-01
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
10314.62000000
0.002064639970
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
874000.00000000
TRY
142899.19000000
USD
2020-04-03
10314.62000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-971.85000000
-0.00019453167
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17929.15000000
USD
168000.00000000
SEK
2020-04-03
-971.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-04-24
N/A
1.00000000
NC
USD
166512.73000000
0.033330247553
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9398000.00000000
SGD
6770805.57000000
USD
2020-04-24
166512.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1707.21000000
0.000341726016
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
14468.34000000
USD
2020-04-03
1707.21000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
-133278.26000000
-0.02667782456
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
6419173.40000000
USD
62159000.00000000
SEK
2020-05-26
-133278.26000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC MTN 4.050000% 02/17/2025
N/A
680000.00000000
PA
449482.22000000
0.089971221199
Long
DBT
CORP
US
N
2
2025-02-17
Fixed
4.05000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-655.36000000
-0.00013118102
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14584.57000000
USD
138000.00000000
SEK
2020-04-03
-655.36000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-575.88000000
-0.00011527180
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13924.86000000
USD
19000.00000000
CAD
2020-04-03
-575.88000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
362.16000000
0.000072492250
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
12986.82000000
USD
19000.00000000
CAD
2020-04-03
362.16000000
N
N
N
DANISH KRONE
N/A
FX Forward Contract: DKK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
4411.33000000
0.000882999881
N/A
DFE
DK
N
2
MORGAN STANLEY & CO, INC
N/A
1151688.27000000
USD
7862000.00000000
DKK
2020-04-03
4411.33000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 4.500000% 04/25/2041
N/A
580000.00000000
PA
1136239.69000000
0.227436966216
Long
DBT
NUSS
FR
N
2
2041-04-25
Fixed
4.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-3675.55000000
-0.00073572147
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
506684.48000000
USD
458000.00000000
EUR
2020-04-30
-3675.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-4003.51000000
-0.00080136803
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
108000.00000000
AUD
62097.84000000
USD
2020-04-03
-4003.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-96.35000000
-0.00001928602
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14663.58000000
USD
2020-04-30
-96.35000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-19526.40000000
-0.00390852847
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
1170075.46000000
USD
124200000.00000000
JPY
2020-04-03
-19526.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-113179.12000000
-0.02265465281
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13316000.00000000
NZD
7775611.88000000
USD
2020-04-30
-113179.12000000
N
N
N
Arena Luxembourg Finance S.a r.l.
222100KX2LPK5KRSIG74
ARENA LUXEMBOURG FINANCE SARL 144A 1.875000% 02/01/2028
N/A
175000.00000000
PA
163215.82000000
0.032670317069
Long
DBT
NUSS
LU
Y
2
2028-02-01
Fixed
1.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
11733.33000000
0.002348617991
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1580996.45000000
USD
1451276.03000000
EUR
2020-04-08
11733.33000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-02
N/A
1.00000000
NC
-2094.28000000
-0.00041920441
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
202931.92000000
USD
183037.40000000
EUR
2020-04-02
-2094.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-815.48000000
-0.00016323166
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14069.34000000
USD
2020-04-30
-815.48000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-840.04000000
-0.00016814775
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14189.02000000
USD
19000.00000000
CAD
2020-04-03
-840.04000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
588.89000000
0.000117875969
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
11860.63000000
USD
21000.00000000
NZD
2020-04-03
588.89000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.048000% 09/30/2021
N/A
3380000.00000000
PA
801573.07000000
0.160447966081
Long
DBT
NUSS
MY
N
2
2021-09-30
Fixed
4.04800000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
61.26000000
0.000012262191
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14896.03000000
USD
148000.00000000
SEK
2020-04-30
61.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-05-05
N/A
1.00000000
NC
USD
52370.13000000
0.010482738450
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7298680.63000000
BRL
1456430.03000000
USD
2020-05-05
52370.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-44.06000000
-0.00000881932
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
30190.48000000
USD
2020-04-03
-44.06000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1702.98000000
-0.00034087931
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
30159.02000000
USD
48000.00000000
NZD
2020-04-03
-1702.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1057.98000000
0.000211772008
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
14100.33000000
USD
2020-04-03
1057.98000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-497.08000000
-0.00009949869
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13846.06000000
USD
19000.00000000
CAD
2020-04-03
-497.08000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1025.43000000
-0.00020525659
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33457.57000000
USD
3501000.00000000
JPY
2020-04-03
-1025.43000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-490.03000000
-0.00009808752
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
28946.07000000
USD
48000.00000000
NZD
2020-04-03
-490.03000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-488.11000000
-0.00009770320
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14127.80000000
USD
11000.00000000
GBP
2020-04-03
-488.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-215.01000000
-0.00004303776
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
10000.00000000
CHF
10141.66000000
USD
2020-04-30
-215.01000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-348.73000000
-0.00006980401
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
17905.30000000
USD
16000.00000000
EUR
2020-04-03
-348.73000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
17509600.00000000
PA
729261.58000000
0.145973638126
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
154.96000000
0.000031017779
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
15023.17000000
USD
2020-04-03
154.96000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
615.07000000
0.000123116324
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
40134.46000000
USD
58000.00000000
CAD
2020-04-03
615.07000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1161.69000000
-0.00023253126
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
214581.96000000
USD
360000.00000000
NZD
2020-04-03
-1161.69000000
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
326298.25000000
0.065313933947
Long
DBT
USGA
XX
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2276.77000000
-0.00045573277
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
20180.45000000
USD
188000.00000000
NOK
2020-04-03
-2276.77000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1558.89000000
-0.00031203734
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14320.02000000
USD
134000.00000000
NOK
2020-04-03
-1558.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
386.87000000
0.000077438360
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15208.76000000
USD
2020-04-03
386.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
466.54000000
0.000093385614
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14937.14000000
USD
2020-04-03
466.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-05-14
N/A
1.00000000
NC
USD
93674.28000000
0.018750439932
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20190329.19000000
SEK
2134898.79000000
USD
2020-05-14
93674.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-01
N/A
1.00000000
NC
USD
249.47000000
0.000049935502
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
18700.00000000
EUR
20768.03000000
USD
2020-04-01
249.47000000
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
179602.46000000
0.035950371199
Long
DBT
NUSS
GB
N
2
2024-01-25
Fixed
1.11700000
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
244659.45000000
0.048972592274
Long
DBT
NUSS
CH
N
2
2021-09-17
Fixed
0.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-100.43000000
-0.00002010270
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14860.36000000
USD
21000.00000000
CAD
2020-04-30
-100.43000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
449.07000000
0.000089888708
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13190.62000000
USD
11000.00000000
GBP
2020-04-03
449.07000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-320.30000000
-0.00006411328
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13669.28000000
USD
19000.00000000
CAD
2020-04-03
-320.30000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
526.18000000
0.000105323536
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13604.90000000
USD
140000.00000000
SEK
2020-04-03
526.18000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1385.14000000
-0.00027725843
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14146.27000000
USD
134000.00000000
NOK
2020-04-03
-1385.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
295.15000000
0.000059079102
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15117.04000000
USD
2020-04-03
295.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
472.21000000
0.000094520558
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
31257.78000000
USD
2020-04-03
472.21000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
320.33000000
0.000064119291
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14636.96000000
USD
148000.00000000
SEK
2020-04-30
320.33000000
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD 5.000000% 03/11/2024
N/A
750000.00000000
PA
524396.81000000
0.104966602214
Long
DBT
NUSS
AU
N
2
2024-03-11
Fixed
5.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-407.82000000
-0.00008163184
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13450.17000000
USD
22000.00000000
NZD
2020-04-03
-407.82000000
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 6.875000% MATURITY: PERPETUAL
127346771
200000.00000000
PA
USD
189750.00000000
0.037981567374
Long
DBT
NUSS
CH
N
2
2168-08-07
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1678.70000000
0.000336019273
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
14439.83000000
USD
2020-04-03
1678.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1150.60000000
0.000230311417
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16000.00000000
GBP
20990.16000000
USD
2020-04-03
1150.60000000
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A 4.250000% 04/14/2025
83367TBJ7
325000.00000000
PA
USD
316483.68000000
0.063349387166
Long
DBT
NUSS
FR
Y
2
2025-04-14
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
4814.73000000
0.000963746992
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1233000.00000000
SEK
129269.17000000
USD
2020-04-03
4814.73000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.400000% 04/30/2028
N/A
1009000.00000000
PA
1182276.05000000
0.236651896962
Long
DBT
NUSS
ES
Y
2
2028-04-30
Fixed
1.40000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
433.33000000
0.000086738090
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
9644.85000000
USD
17000.00000000
NZD
2020-04-03
433.33000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
EGYPT GOVERNMENT INTERNATIONAL BOND MTN 4.750000% 04/11/2025
N/A
170000.00000000
PA
162283.16000000
0.032483629909
Long
DBT
NUSS
EG
Y
2
2025-04-11
Fixed
4.75000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
1.00000000
NC
USD
221875.00000000
0.044411911785
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2020
2020-06-22
221220.19000000
USD
654.81000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-537.37000000
-0.00010756339
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14668.45000000
USD
140000.00000000
SEK
2020-04-03
-537.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
145.16000000
0.000029056149
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14902.20000000
USD
2020-04-03
145.16000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 3.000000% 04/15/2020
N/A
1055000.00000000
PA
626068.70000000
0.125317894652
Long
DBT
NUSS
NZ
N
2
2020-04-15
Fixed
3.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-117.66000000
-0.00002355157
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14877.59000000
USD
21000.00000000
CAD
2020-04-30
-117.66000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-342.74000000
-0.00006860501
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13691.72000000
USD
19000.00000000
CAD
2020-04-03
-342.74000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
46789500.00000000
PA
2253686.52000000
0.451112233996
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/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-586.05000000
-0.00011730749
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
54000.00000000
NOK
4556.50000000
USD
2020-04-03
-586.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2330.31000000
0.000466449677
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
69000.00000000
NZD
43235.86000000
USD
2020-04-03
2330.31000000
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
23220000.00000000
NC
106786.23000000
0.021375011275
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-06-03
0.00000000
CNY
0.00000000
CNY
-23220000.00000000
CNY
106786.23000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
359.40000000
0.000071939790
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
4116.52000000
USD
47000.00000000
NOK
2020-04-03
359.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-739.72000000
-0.00014806706
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
62000.00000000
CAD
42820.12000000
USD
2020-04-03
-739.72000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-387.26000000
-0.00007751642
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14619.28000000
USD
141000.00000000
SEK
2020-04-03
-387.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9772.30000000
0.001956085748
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
874000.00000000
TRY
142356.87000000
USD
2020-04-03
9772.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2020-04-16
N/A
1.00000000
NC
USD
41618.42000000
0.008330607764
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14491912.81000000
CNY
2086326.05000000
USD
2020-04-16
41618.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2020-05-26
N/A
1.00000000
NC
USD
266384.83000000
0.053321282573
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1354877100.00000000
HUF
4398437.52000000
USD
2020-05-26
266384.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2006.59000000
0.000401651822
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
32241.13000000
USD
2020-04-03
2006.59000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-30
N/A
1.00000000
NC
10537.13000000
0.002109178988
N/A
DFE
XX
N
2
JP MORGAN
N/A
136699.58000000
USD
3468000.00000000
MXN
2020-04-30
10537.13000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
18.36000000
0.000003675054
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
28075.18000000
USD
295000.00000000
NOK
2020-04-03
18.36000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
56928.62000000
0.011395194814
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
9390392.48000000
USD
1018158000.00000000
JPY
2020-04-30
56928.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-6.16000000
-0.00000123302
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
NZD
14804.58000000
USD
2020-04-30
-6.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
1086.41000000
0.000217462738
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
254000.00000000
EUR
280047.70000000
USD
2020-04-30
1086.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
244.06000000
0.000048852602
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1620000.00000000
JPY
15251.22000000
USD
2020-04-03
244.06000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
77.80000000
0.000015572943
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13561.89000000
USD
11000.00000000
GBP
2020-04-03
77.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-896.67000000
-0.00017948317
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
AUD
14404.57000000
USD
2020-04-03
-896.67000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.500000% 04/30/2027
N/A
393000.00000000
PA
461827.72000000
0.092442375033
Long
DBT
NUSS
ES
Y
2
2027-04-30
Fixed
1.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
455.50000000
0.000091175778
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
31586.54000000
USD
31000.00000000
CHF
2020-04-03
455.50000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
147.11000000
0.000029446473
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14810.18000000
USD
148000.00000000
SEK
2020-04-30
147.11000000
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
WALT DISNEY CO/THE 3.350000% 03/24/2025
254687FN1
242000.00000000
PA
USD
263673.11000000
0.052778487443
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
3.35000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
351.54000000
0.000070366483
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
13913.17000000
USD
13000.00000000
EUR
2020-04-03
351.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-892.32000000
-0.00017861244
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
54000.00000000
AUD
32155.81000000
USD
2020-04-30
-892.32000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-360.22000000
-0.00007210392
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14491.30000000
USD
140000.00000000
SEK
2020-04-03
-360.22000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-231.27000000
-0.00004629247
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
20115.72000000
USD
197000.00000000
SEK
2020-04-03
-231.27000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 0.500000% 05/17/2024
N/A
885000.00000000
PA
988232.04000000
0.197810813223
Long
DBT
NUSS
AU
N
2
2024-05-17
Fixed
0.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-983.18000000
-0.00019679956
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
20766.69000000
USD
196000.00000000
SEK
2020-04-03
-983.18000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
553.03000000
0.000110698003
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
4782.48000000
USD
9000.00000000
NZD
2020-04-03
553.03000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.000000% 06/01/2027
135087F82
1375000.00000000
PA
988520.04000000
0.197868461135
Long
DBT
NUSS
CA
N
2
2027-06-01
Fixed
1.00000000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 4.000000% 11/12/2025
N/A
350000.00000000
PA
445876.43000000
0.089249463329
Long
DBT
NUSS
FR
N
2
2025-11-12
Fixed
4.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-24.87000000
-0.00000497813
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13660.05000000
USD
23000.00000000
NZD
2020-04-03
-24.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-898.17000000
-0.00017978342
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
13986.65000000
USD
2020-04-30
-898.17000000
N
N
N
WPC Eurobond B.V.
5493005XDMOLBARL5M14
WPC EUROBOND BV 1.350000% 04/15/2028
N/A
405000.00000000
PA
388294.05000000
0.077723407753
Long
DBT
NUSS
NL
N
2
2028-04-15
Fixed
1.35000000
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
329447.32000000
0.065944271836
Long
DBT
NUSS
US
N
2
2024-07-12
Fixed
1.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-349.97000000
-0.00007005222
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
15104.11000000
USD
21000.00000000
CAD
2020-04-03
-349.97000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
444650000.00000000
PA
4783586.35000000
0.957513081662
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
FCA Bank SpA (Dublin Branch)
N/A
FCA BANK SPA/IRELAND MTN 1.375000% 04/17/2020
N/A
900000.00000000
PA
987457.12000000
0.197655700305
Long
DBT
NUSS
IT
N
2
2020-04-17
Fixed
1.37500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
439.87000000
0.000088047178
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14380.98000000
USD
25000.00000000
NZD
2020-04-03
439.87000000
N
N
N
EBAY INC.
OML71K8X303XQONU6T67
EBAY INC 3.600000% 06/05/2027
278642AU7
130000.00000000
PA
USD
133983.58000000
0.026819005907
Long
DBT
CORP
US
N
2
2027-06-05
Fixed
3.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2020-08-13
N/A
1.00000000
NC
USD
12473.55000000
0.002496785136
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1172586.18000000
MYR
285578.71000000
USD
2020-08-13
12473.55000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
171.85000000
0.000034398589
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13463.33000000
USD
23000.00000000
NZD
2020-04-03
171.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
421.90000000
0.000084450188
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14686.61000000
USD
2020-04-03
421.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
462.99000000
0.000092675024
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14727.70000000
USD
2020-04-03
462.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-277.22000000
-0.00005549011
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1582000.00000000
JPY
14401.90000000
USD
2020-04-30
-277.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
2671.07000000
0.000534658367
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
273942.29000000
EUR
303314.11000000
USD
2020-04-08
2671.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
187.35000000
0.000037501168
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14686.68000000
USD
2020-04-30
187.35000000
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 0.500000% 07/11/2025
N/A
695000.00000000
PA
789451.12000000
0.158021559437
Long
DBT
NUSS
LU
N
2
2025-07-11
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2878.39000000
0.000576156857
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
308000.00000000
NOK
32209.95000000
USD
2020-04-03
2878.39000000
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA MTN 3.000000% 05/03/2022
N/A
330000.00000000
PA
385767.27000000
0.077217631391
Long
DBT
NUSS
AU
N
2
2022-05-03
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
4574.48000000
0.000915657024
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2428000.00000000
ZAR
139974.63000000
USD
2020-04-30
4574.48000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-796.12000000
-0.00015935644
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
16300.33000000
USD
15000.00000000
CHF
2020-04-03
-796.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
219.96000000
0.000044028593
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
EUR
12290.10000000
USD
2020-04-03
219.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
583.83000000
0.000116863127
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16088.04000000
USD
2020-04-03
583.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-30
N/A
1.00000000
NC
USD
34.44000000
0.000006893729
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3468000.00000000
MXN
147271.15000000
USD
2020-04-30
34.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1584.70000000
-0.00031720363
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
54000.00000000
AUD
31463.43000000
USD
2020-04-30
-1584.70000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
119.39000000
0.000023897862
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13910.75000000
USD
139000.00000000
SEK
2020-04-03
119.39000000
N
N
N
BRK:GOLDMAN SACHS
N/A
BRK:GOLDMAN SACHS PAY: CHINA 7-DAY REVERSE REPO RATE
N/A
200000.00000000
NC
-34240.49000000
-0.00685379434
N/A
DIR
XX
N
2
BRK:GOLDMAN SACHS
N/A
Y
2050-03-05
0.00000000
GBP
0.00000000
GBP
-200000.00000000
GBP
-34240.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2020-04-28
N/A
1.00000000
NC
USD
-57200.91000000
-0.01144969811
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
80148000.00000000
CNY
11267977.90000000
USD
2020-04-28
-57200.91000000
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.250000% 12/20/2047
N/A
300000.00000000
PA
418558.25000000
0.083781282596
Long
DBT
NUSS
FR
N
2
2047-12-20
Fixed
2.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
3395.08000000
0.000679580815
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
57074.00000000
USD
102000.00000000
NZD
2020-04-03
3395.08000000
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY MTN 0.500000% 02/23/2024
N/A
225000.00000000
PA
251629.09000000
0.050367679764
Long
DBT
NUSS
GB
N
2
2024-02-23
Fixed
0.50000000
N
N
N
N
N
N
MCKESSON CORPORATION
549300WZWOM80UCFSF54
MCKESSON CORP 0.625000% 08/17/2021
581557BF1
355000.00000000
PA
386891.72000000
0.077442708458
Long
DBT
CORP
US
N
2
2021-08-17
Fixed
0.62500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1608.24000000
-0.00032191555
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14369.37000000
USD
134000.00000000
NOK
2020-04-03
-1608.24000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-804.96000000
-0.00016112591
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
22584.88000000
USD
31000.00000000
CAD
2020-04-03
-804.96000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
973.51000000
0.000194863956
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31279.72000000
USD
3476000.00000000
JPY
2020-04-30
973.51000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1059.50000000
-0.00021207626
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33667.65000000
USD
3520000.00000000
JPY
2020-04-03
-1059.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2422.69000000
0.000484941045
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
188000.00000000
NOK
20326.37000000
USD
2020-04-03
2422.69000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1113.75000000
-0.00022293528
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
17112.78000000
USD
168000.00000000
NOK
2020-04-03
-1113.75000000
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HANDELSBANKEN AB 5.250000% MATURITY: PERPETUAL
W9124Y2Y7
325000.00000000
PA
USD
305661.20000000
0.061183090706
Long
DBT
NUSS
SE
N
2
2169-03-01
Fixed
5.25000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 03/01/2046
N/A
200000.00000000
PA
172349.62000000
0.034498596595
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 2020-04-30
N/A
1.00000000
NC
USD
9697.79000000
0.001941171353
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1977000.00000000
CHF
2057210.64000000
USD
2020-04-30
9697.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-761.24000000
-0.00015237464
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
96000.00000000
CAD
66686.26000000
USD
2020-04-03
-761.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
37.63000000
0.000007532260
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23000.00000000
CHF
23810.76000000
USD
2020-04-03
37.63000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-17182.57000000
-0.00343937254
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
145271.69000000
USD
2288000.00000000
ZAR
2020-04-03
-17182.57000000
N
N
N
DH Europe Finance S.a r.l.
2221002WRBW5MJ8VL618
DH EUROPE FINANCE SARL 1.700000% 01/04/2022
23290YAC0
150000.00000000
PA
166868.89000000
0.033401538805
Long
DBT
NUSS
LU
N
2
2022-01-04
Fixed
1.70000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-511.86000000
-0.00010245715
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
12455.69000000
USD
17000.00000000
CAD
2020-04-03
-511.86000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 5.750000% 07/30/2032
N/A
102000.00000000
PA
176752.32000000
0.035379869042
Long
DBT
NUSS
ES
N
2
2032-07-30
Fixed
5.75000000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/25/2030
N/A
200000.00000000
PA
237384.16000000
0.047516323935
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
1.12500000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2016-DNA1 M2
3137G0HT9
25488.67550000
PA
USD
25331.66000000
0.005070546250
Long
DBT
USGA
US
N
2
2028-07-25
Floating
4.52675160
N
N
N
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES 4.500000% 06/10/2047
N/A
200000.00000000
PA
237285.41000000
0.047496557507
Long
DBT
NUSS
FR
N
2
2047-06-10
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-2849.99000000
-0.00057047213
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
89000.00000000
AUD
51618.22000000
USD
2020-04-30
-2849.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2020-04-22
N/A
1.00000000
NC
USD
-69583.20000000
-0.01392821606
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23814500800.00000000
IDR
1390221.88000000
USD
2020-04-22
-69583.20000000
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA 1.125000% 03/07/2027
58507LAH2
400000.00000000
PA
431100.43000000
0.086291805150
Long
DBT
NUSS
LU
N
2
2027-03-07
Fixed
1.12500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-589.62000000
-0.00011802209
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13631.97000000
USD
22000.00000000
NZD
2020-04-03
-589.62000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 5.750000% 10/25/2032
N/A
403000.00000000
PA
749907.13000000
0.150106182782
Long
DBT
NUSS
FR
N
2
2032-10-25
Fixed
5.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.016000% 12/03/2029
92343VEU4
391000.00000000
PA
USD
439133.81000000
0.087899817607
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
4.01600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1798.17000000
-0.00035993314
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
29201.14000000
USD
2020-04-03
-1798.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-4762.72000000
-0.00095333634
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
57000.00000000
GBP
65915.70000000
USD
2020-04-03
-4762.72000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-7945.97000000
-0.00159051591
N/A
DFE
XX
N
2
JP MORGAN
N/A
130225.59000000
USD
2869000.00000000
MXN
2020-04-03
-7945.97000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-737.91000000
-0.00014770476
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14768.05000000
USD
139000.00000000
SEK
2020-04-03
-737.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-83877.99000000
-0.01678955219
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
581804000.00000000
JPY
5305768.09000000
USD
2020-04-03
-83877.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
787.39000000
0.000157608992
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16291.60000000
USD
2020-04-03
787.39000000
N
N
N
GLAXOSMITHKLINE CAPITAL PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE CAPITAL PLC 0.000000% 09/12/2020
N/A
595000.00000000
PA
652112.48000000
0.130530983372
Long
DBT
NUSS
GB
N
2
2020-09-12
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-02
N/A
1.00000000
NC
USD
54583.05000000
0.010925690598
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3414976.58000000
BRL
713006.02000000
USD
2020-04-02
54583.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
657.23000000
0.000131555338
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1613000.00000000
JPY
15599.55000000
USD
2020-04-03
657.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
222.03000000
0.000044442937
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
8000.00000000
CHF
8490.94000000
USD
2020-04-03
222.03000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-451.47000000
-0.00009036910
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
58730.17000000
USD
47000.00000000
GBP
2020-04-03
-451.47000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 1.875000% 03/30/2023
N/A
490000.00000000
PA
536978.97000000
0.107485127419
Long
DBT
NUSS
US
N
2
2023-03-30
Fixed
1.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1558.86000000
0.000312031336
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
65000.00000000
CAD
47226.44000000
USD
2020-04-03
1558.86000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.900000% 06/20/2031
N/A
17150000.00000000
PA
190558.73000000
0.038143447917
Long
DBT
NUSS
JP
N
2
2031-06-20
Fixed
1.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1098.91000000
0.000219964817
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
AUD
14564.00000000
USD
2020-04-03
1098.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1526.41000000
0.000305535938
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
50000.00000000
CAD
36655.31000000
USD
2020-04-03
1526.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
110205.20000000
0.022059374065
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14431000.00000000
ZAR
918095.99000000
USD
2020-04-03
110205.20000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
330.26000000
0.000066106943
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13304.92000000
USD
23000.00000000
NZD
2020-04-03
330.26000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-390.36000000
-0.00007813694
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13243.40000000
USD
21000.00000000
AUD
2020-04-03
-390.36000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-820.72000000
-0.00016428053
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
50198.58000000
USD
45000.00000000
EUR
2020-04-03
-820.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-441.83000000
-0.00008843950
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
12411.21000000
USD
2020-04-03
-441.83000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1340.23000000
-0.00026826896
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14101.36000000
USD
134000.00000000
NOK
2020-04-03
-1340.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
840.37000000
0.000168213806
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
171000.00000000
SEK
18100.47000000
USD
2020-04-03
840.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
986.79000000
0.000197522165
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1926000.00000000
JPY
18828.64000000
USD
2020-04-03
986.79000000
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 4.250000% 04/15/2026
11135FAE1
195000.00000000
PA
USD
191705.89000000
0.038373070762
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
4.25000000
N
N
N
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
270300.00000000
0.054104967912
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
254446.69370000
PA
USD
245321.01000000
0.049105014333
Long
DBT
USGA
US
N
2
2024-11-25
Floating
6.62675040
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.250000% 08/01/2036
N/A
250000.00000000
PA
192523.79000000
0.038536786830
Long
DBT
NUSS
SG
N
2
2036-08-01
Fixed
2.25000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-807.23000000
-0.00016158029
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14156.21000000
USD
19000.00000000
CAD
2020-04-03
-807.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-15
N/A
1.00000000
NC
USD
229438.37000000
0.045925844050
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19834621.07000000
EUR
22002386.48000000
USD
2020-04-15
229438.37000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
17499.59000000
0.003502829283
N/A
DFE
PA
N
2
J P MORGAN CHASE BANK
N/A
839622.64000000
USD
3560000.00000000
PLN
2020-04-03
17499.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1124.92000000
-0.00022517114
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20000.00000000
GBP
23674.52000000
USD
2020-04-03
-1124.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-19998.04000000
-0.00400293493
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2251000.00000000
NZD
1314471.45000000
USD
2020-04-03
-19998.04000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-512.79000000
-0.00010264330
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13861.77000000
USD
19000.00000000
CAD
2020-04-03
-512.79000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-180.50000000
-0.00003613002
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
8611.44000000
USD
12000.00000000
CAD
2020-04-03
-180.50000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.750000% 04/21/2037
N/A
393000.00000000
PA
328803.56000000
0.065815412738
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
Akzo Nobel N.V.
724500XYIJUGXAA5QD70
AKZO NOBEL NV MTN 2.625000% 07/27/2022
N/A
340000.00000000
PA
389516.88000000
0.077968177187
Long
DBT
NUSS
NL
N
2
2022-07-27
Fixed
2.62500000
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
198414.37000000
0.039715882805
Long
DBT
NUSS
US
N
2
2024-04-15
Fixed
2.62500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
1833400000.00000000
PA
512692.85000000
0.102623863108
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
3.00000000
NC
445077.19000000
0.089089482365
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2020
2020-06-11
447045.71000000
EUR
-1968.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-792.65000000
-0.00015866186
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14087.02000000
USD
2020-04-03
-792.65000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-724.97000000
-0.00014511460
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14856.05000000
USD
140000.00000000
SEK
2020-04-03
-724.97000000
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 2.200000% 06/15/2027
02209SAY9
440000.00000000
PA
468068.42000000
0.093691553255
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
2.20000000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 5.375000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
224195.66000000
0.044876429857
Long
DBT
NUSS
FR
N
2
2169-01-29
Fixed
5.37500000
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 2.600000% 06/20/2037
500769CG7
160000000.00000000
PA
2148616.81000000
0.430080812287
Long
DBT
NUSS
DE
N
2
2037-06-20
Fixed
2.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
3938.75000000
0.000788405262
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
60600000.00000000
JPY
565317.76000000
USD
2020-04-03
3938.75000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-6293.17000000
-0.00125968095
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
145704.18000000
USD
919000.00000000
TRY
2020-04-03
-6293.17000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-458.25000000
-0.00009172623
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14097.94000000
USD
11000.00000000
GBP
2020-04-03
-458.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-0.87000000
-0.00000017414
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
12760.26000000
USD
2020-04-03
-0.87000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
776.04000000
0.000155337104
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14162.53000000
USD
148000.00000000
SEK
2020-04-03
776.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
8212.88000000
0.001643942319
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
500000.00000000
SGD
359382.84000000
USD
2020-04-03
8212.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
7731.38000000
0.001547562215
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
874000.00000000
TRY
140315.95000000
USD
2020-04-03
7731.38000000
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
SEAGATE HDD CAYMAN 4.750000% 06/01/2023
81180WAH4
6000.00000000
PA
USD
6008.84000000
0.001202767648
Long
DBT
NUSS
KY
N
2
2023-06-01
Fixed
4.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-60419.05000000
-0.01209386149
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
2224877.88000000
USD
233650000.00000000
JPY
2020-04-03
-60419.05000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
392.11000000
0.000078487232
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
31649.93000000
USD
31000.00000000
CHF
2020-04-03
392.11000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
535.50000000
0.000107189087
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13696.52000000
USD
141000.00000000
SEK
2020-04-03
535.50000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-884.74000000
-0.00017709518
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14233.72000000
USD
19000.00000000
CAD
2020-04-03
-884.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-680.53000000
-0.00013621921
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
NZD
25997.00000000
USD
2020-04-03
-680.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2020.41000000
0.000404418121
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
30786.74000000
USD
2020-04-03
2020.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
791.86000000
0.000158503736
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15613.75000000
USD
2020-04-03
791.86000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-326.72000000
-0.00006539835
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13369.07000000
USD
22000.00000000
NZD
2020-04-03
-326.72000000
N
N
N
TOTAL CAPITAL INTERNATIONAL SA
549300U37G2I8G4RUG09
TOTAL CAPITAL INTERNATIONAL SA MTN 4.250000% 11/26/2021
N/A
640000.00000000
PA
410610.12000000
0.082190334321
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/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-969.75000000
-0.00019411133
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
27796.58000000
USD
2020-04-03
-969.75000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 6.000000% 01/31/2029
N/A
104000.00000000
PA
167073.72000000
0.033442538881
Long
DBT
NUSS
ES
N
2
2029-01-31
Fixed
6.00000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
83.52000000
0.000016717894
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13845.69000000
USD
138000.00000000
SEK
2020-04-03
83.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-52.41000000
-0.00001049071
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4000.00000000
CHF
4082.05000000
USD
2020-04-03
-52.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1628.57000000
0.000325984933
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
34000.00000000
GBP
43787.63000000
USD
2020-04-03
1628.57000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.500000% 06/01/2024
135087B45
1761000.00000000
PA
1334306.86000000
0.267083351260
Long
DBT
NUSS
CA
N
2
2024-06-01
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
12822.68000000
0.002566669219
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2761000.00000000
MXN
130499.24000000
USD
2020-04-03
12822.68000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-906.38000000
-0.00018142678
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33338.52000000
USD
3501000.00000000
JPY
2020-04-03
-906.38000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-152.39000000
-0.00003050335
N/A
DFE
HU
N
2
MORGAN STANLEY & CO, INC
N/A
232876.71000000
USD
76500000.00000000
HUF
2020-04-03
-152.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
17816.75000000
0.003566314047
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1035000.00000000
EUR
1153507.50000000
USD
2020-04-03
17816.75000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-24984.25000000
-0.00500100645
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
808950.96000000
USD
84628000.00000000
JPY
2020-04-03
-24984.25000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-11095.68000000
-0.00222098191
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
147078.41000000
USD
2429000.00000000
ZAR
2020-04-03
-11095.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
5.73000000
0.000001146953
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14890.55000000
USD
2020-04-30
5.73000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 5.000000% 03/28/2035
N/A
64000.00000000
PA
117561.16000000
0.023531789824
Long
DBT
NUSS
BE
Y
2
2035-03-28
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
27124.03000000
0.005429318434
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1037000.00000000
EUR
1165009.35000000
USD
2020-04-03
27124.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
7137.05000000
0.001428597340
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
219000.00000000
EUR
247442.63000000
USD
2020-04-03
7137.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
962.64000000
0.000192688147
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23000.00000000
CHF
24735.77000000
USD
2020-04-03
962.64000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-560.59000000
-0.00011221126
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14025.68000000
USD
22000.00000000
AUD
2020-04-03
-560.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-664.18000000
-0.00013294649
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
12975.51000000
USD
2020-04-03
-664.18000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-05-05
N/A
1.00000000
NC
-53987.29000000
-0.01080643948
N/A
DFE
ID
N
2
JP MORGAN
N/A
347622.66000000
USD
4793890316.00000000
IDR
2020-05-05
-53987.29000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1169.32000000
-0.00023405853
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14501.85000000
USD
140000.00000000
NOK
2020-04-03
-1169.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-3041.49000000
-0.00060880399
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
509437100.00000000
KRW
415324.56000000
USD
2020-04-27
-3041.49000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1218.93000000
-0.00024398878
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14071.97000000
USD
21000.00000000
AUD
2020-04-03
-1218.93000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-310.95000000
-0.00006224173
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14542.97000000
USD
141000.00000000
SEK
2020-04-03
-310.95000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1789.83000000
-0.00035826376
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
150630.29000000
USD
144000.00000000
CHF
2020-04-03
-1789.83000000
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLOBAL FUNDING I MTN 1.950000% 01/13/2023
59217GEE5
1000000.00000000
PA
USD
978917.19000000
0.195946293577
Long
DBT
CORP
US
Y
2
2023-01-13
Fixed
1.95000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-365.41000000
-0.00007314279
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33232.95000000
USD
3548000.00000000
JPY
2020-04-03
-365.41000000
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
987577.60000000
0.197679816348
Long
DBT
NUSS
US
N
2
2023-07-27
Fixed
2.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1356.11000000
-0.00027144760
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14117.24000000
USD
134000.00000000
NOK
2020-04-03
-1356.11000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
2160100000.00000000
PA
544908.00000000
0.109072252516
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
416.51000000
0.000083371291
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2268000.00000000
JPY
21426.54000000
USD
2020-04-03
416.51000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-471.88000000
-0.00009445450
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13233.01000000
USD
134000.00000000
NOK
2020-04-03
-471.88000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-11826.77000000
-0.00236732153
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
417822.50000000
USD
370000.00000000
EUR
2020-04-03
-11826.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1978.76000000
-0.00039608119
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
29020.55000000
USD
2020-04-03
-1978.76000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1402.53000000
-0.00028073932
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
50780.39000000
USD
45000.00000000
EUR
2020-04-03
-1402.53000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
348.57000000
0.000069771989
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
13928.98000000
USD
13000.00000000
EUR
2020-04-30
348.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
381.94000000
0.000076451540
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14852.54000000
USD
2020-04-03
381.94000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.450000% 09/18/2026
N/A
300000.00000000
PA
300470.72000000
0.060144131203
Long
DBT
NUSS
ID
N
2
2026-09-18
Fixed
1.45000000
N
N
N
N
N
N
THE SOUTHERN COMPANY
549300FC3G3YU2FBZD92
SOUTHERN CO/THE 2.750000% 06/15/2020
842587CM7
700000.00000000
PA
USD
700605.86000000
0.140237726876
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
2.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.000000% 07/22/2028
404280CB3
167000.00000000
PA
203613.36000000
0.040756545724
Long
DBT
NUSS
GB
N
2
2028-07-22
Fixed
3.00000000
N
N
N
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.100000% 09/20/2117
N/A
75000.00000000
PA
138839.33000000
0.027790963724
Long
DBT
NUSS
AT
Y
2
2117-09-20
Fixed
2.10000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-20207.19000000
-0.00404479972
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
366668.82000000
USD
37400000.00000000
JPY
2020-04-03
-20207.19000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
388.05000000
0.000077674557
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
28640.99000000
USD
49000.00000000
NZD
2020-04-30
388.05000000
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 4.500000% 11/15/2039
N/A
2040000.00000000
PA
557052.46000000
0.111503164905
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
222.32000000
0.000044500985
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
12538.81000000
USD
134000.00000000
NOK
2020-04-03
222.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
4298.73000000
0.000860461149
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
649800.23000000
EUR
717434.04000000
USD
2020-04-08
4298.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-592.98000000
-0.00011869464
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
55000.00000000
NZD
31990.64000000
USD
2020-04-30
-592.98000000
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 1.750000% 11/16/2022
N/A
427000.00000000
PA
465719.87000000
0.093221452543
Long
DBT
NUSS
CH
N
2
2022-11-16
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
525.63000000
0.000105213445
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15560.58000000
USD
2020-04-03
525.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
994.46000000
0.000199057441
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
EUR
24037.46000000
USD
2020-04-03
994.46000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1155.05000000
0.000231202157
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
11697.99000000
USD
21000.00000000
AUD
2020-04-03
1155.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-267.73000000
-0.00005359054
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20000.00000000
AUD
11973.26000000
USD
2020-04-03
-267.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
35159.21000000
0.007037691190
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1035000.00000000
EUR
1170849.96000000
USD
2020-04-03
35159.21000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-30
N/A
1.00000000
NC
407.61000000
0.000081589811
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
31698.05000000
USD
31000.00000000
CHF
2020-04-30
407.61000000
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
214528.02000000
0.042941293519
Long
DBT
NUSS
LU
N
2
2023-06-04
Fixed
0.63200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
243.59000000
0.000048758524
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15065.48000000
USD
2020-04-03
243.59000000
N
N
N
Prologis Euro Finance LLC
549300MI5D1784PRQH06
PROLOGIS EURO FINANCE LLC 0.250000% 09/10/2027
74341EAB8
161000.00000000
PA
159816.40000000
0.031989867531
Long
DBT
NUSS
US
N
2
2027-09-10
Fixed
0.25000000
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
144173.85000000
0.028858755190
Long
DBT
NUSS
GB
N
2
2024-07-15
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1129.60000000
0.000226107923
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
AUD
14594.69000000
USD
2020-04-03
1129.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-194.54000000
-0.00003894036
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14304.79000000
USD
2020-04-30
-194.54000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 1.550000% 03/15/2028
171239AA4
325000.00000000
PA
341851.06000000
0.068427083359
Long
DBT
NUSS
US
N
2
2028-03-15
Fixed
1.55000000
N
N
N
N
N
N
Kutxabank, S.A.
549300U4LIZV0REEQQ46
KUTXABANK SA 1.250000% 09/22/2025
N/A
300000.00000000
PA
350417.55000000
0.070141806506
Long
DBT
NUSS
ES
N
2
2025-09-22
Fixed
1.25000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 4.000000% 10/25/2038
N/A
345000.00000000
PA
616749.63000000
0.123452530304
Long
DBT
NUSS
FR
N
2
2038-10-25
Fixed
4.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
310.33000000
0.000062117627
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
29197.95000000
USD
42000.00000000
CAD
2020-04-03
310.33000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-400.45000000
-0.00008015662
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13749.43000000
USD
19000.00000000
CAD
2020-04-03
-400.45000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-141.76000000
-0.00002837558
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14406.47000000
USD
13000.00000000
EUR
2020-04-03
-141.76000000
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 2.200000% 11/01/2024
693475AY1
885000.00000000
PA
USD
907153.87000000
0.181581690817
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
2.20000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-199.29000000
-0.00003989115
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14464.00000000
USD
13000.00000000
EUR
2020-04-03
-199.29000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1202.20000000
-0.00024064000
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
18159.50000000
USD
168000.00000000
SEK
2020-04-03
-1202.20000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
492.43000000
0.000098567922
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13436.78000000
USD
138000.00000000
SEK
2020-04-03
492.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
196.37000000
0.000039306668
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20000.00000000
CHF
20868.66000000
USD
2020-04-03
196.37000000
N
N
N
Orsted A/S
W9NG6WMZIYEU8VEDOG48
ORSTED A/S 6.250000% 06/26/3013
N/A
210000.00000000
PA
251815.66000000
0.050405024802
Long
DBT
NUSS
DK
N
2
2099-06-26
Fixed
6.25000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
500.15000000
0.000100113206
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
31541.89000000
USD
31000.00000000
CHF
2020-04-03
500.15000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-17116.19000000
-0.00342608550
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
145205.31000000
USD
2288000.00000000
ZAR
2020-04-03
-17116.19000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRISH TSY 5.4% 2025 5.400000% 03/13/2025
N/A
351000.00000000
PA
491077.26000000
0.098297149074
Long
DBT
NUSS
IE
N
2
2025-03-13
Fixed
5.40000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-382.77000000
-0.00007661767
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
29149.10000000
USD
47000.00000000
AUD
2020-04-03
-382.77000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-525.54000000
-0.00010519543
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31524.85000000
USD
25000.00000000
GBP
2020-04-03
-525.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-04-16
N/A
1.00000000
NC
USD
70381.54000000
0.014088016882
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
67107050.00000000
THB
2115673.57000000
USD
2020-04-16
70381.54000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.250000% 02/15/2027
N/A
2160000.00000000
PA
2513446.79000000
0.503107502488
Long
DBT
NUSS
DE
N
2
2027-02-15
Fixed
0.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-63820.67000000
-0.01277475139
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
16295968.80000000
USD
14793000.00000000
EUR
2020-04-03
-63820.67000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1571.92000000
-0.00031464550
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
52219.02000000
USD
49000.00000000
CHF
2020-04-03
-1571.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
786.05000000
0.000157340769
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15607.94000000
USD
2020-04-03
786.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
556.65000000
0.000111422605
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
121000.00000000
NOK
12079.76000000
USD
2020-04-03
556.65000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.750000% 05/25/2028
N/A
5205000.00000000
PA
6114391.52000000
1.223895512370
Long
DBT
NUSS
FR
N
2
2028-05-25
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
5567.48000000
0.001114422222
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
921000.00000000
TRY
145281.89000000
USD
2020-04-03
5567.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
2248.20000000
0.000450014017
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
252565.62000000
EUR
279431.02000000
USD
2020-04-08
2248.20000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
1860000.00000000
PA
474606.80000000
0.095000316999
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1119.94000000
-0.00022417431
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14452.47000000
USD
140000.00000000
NOK
2020-04-03
-1119.94000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 4.250000% 03/31/2023
N/A
2520822.00000000
PA
791690.82000000
0.158469872041
Long
DBT
NUSS
IL
N
2
2023-03-31
Fixed
4.25000000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC MTN VARIABLE RATE 05/14/2021
345397ZD8
750000.00000000
PA
773560.68000000
0.154840827856
Long
DBT
NUSS
US
N
2
2021-05-14
Floating
0.01699920
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.900000% 06/20/2022
N/A
859850000.00000000
PA
8147846.37000000
1.630924773971
Long
DBT
NUSS
JP
N
2
2022-06-20
Fixed
0.90000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-30
N/A
1.00000000
NC
2074.99000000
0.000415343201
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31415.85000000
USD
27000.00000000
GBP
2020-04-30
2074.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1962.18000000
-0.00039276243
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
50000.00000000
AUD
28640.30000000
USD
2020-04-03
-1962.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
625.55000000
0.000125214068
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14265.24000000
USD
2020-04-03
625.55000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1095.10000000
-0.00021920218
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
34170.76000000
USD
32000.00000000
CHF
2020-04-03
-1095.10000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-714.48000000
-0.00014301486
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
32756.52000000
USD
31000.00000000
CHF
2020-04-03
-714.48000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 02/15/2030
N/A
1515000.00000000
PA
1740555.25000000
0.348400613951
Long
DBT
NUSS
DE
N
2
2030-02-15
Fixed
0.00000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 04/21/2024
N/A
1230000.00000000
PA
825994.15000000
0.165336244845
Long
DBT
NUSS
AU
N
2
2024-04-21
Fixed
2.75000000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.700000% 06/02/2037
683234YD4
1355000.00000000
PA
1252186.22000000
0.250645561426
Long
DBT
NUSS
CA
N
2
2037-06-02
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2876.55000000
0.000575788551
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
322000.00000000
NOK
33541.36000000
USD
2020-04-03
2876.55000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-241.63000000
-0.00004836619
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13002.76000000
USD
134000.00000000
NOK
2020-04-03
-241.63000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
181.90000000
0.000036410261
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
43229.90000000
USD
42000.00000000
CHF
2020-04-03
181.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
954.97000000
0.000191152871
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15712.01000000
USD
2020-04-03
954.97000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
493.27000000
0.000098736061
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32114.88000000
USD
3520000.00000000
JPY
2020-04-03
493.27000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-09
N/A
1.00000000
NC
-50347.14000000
-0.01007780390
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
1195179.00000000
USD
123537923.00000000
JPY
2020-04-09
-50347.14000000
N
N
N
CENTENE CORPORATION
549300Z7JJ4TQSQGT333
CENTENE CORP 144A 4.250000% 12/15/2027
15135BAQ4
63000.00000000
PA
USD
61740.00000000
0.012358271250
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
Volkswagen Bank Gesellschaft mit beschraenkter Haftung
529900GJD3OQLRZCKW37
VOLKSWAGEN BANK GMBH MTN 0.625000% 09/08/2021
N/A
200000.00000000
PA
216166.87000000
0.043269336163
Long
DBT
NUSS
DE
N
2
2021-09-08
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-24
N/A
1.00000000
NC
USD
5637.40000000
0.001128417854
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
547000.00000000
CHF
571897.56000000
USD
2020-04-24
5637.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
15673.31000000
0.003137269458
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2352000.00000000
ZAR
147345.34000000
USD
2020-04-03
15673.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
19301.21000000
0.003863453006
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5521000.00000000
MXN
254611.70000000
USD
2020-04-03
19301.21000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
221.11000000
0.000044258784
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14043.60000000
USD
13000.00000000
EUR
2020-04-03
221.11000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
1493000.00000000
PA
392310.15000000
0.078527295884
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB BANK ASA 6.500000% MATURITY: PERPETUAL
N/A
355000.00000000
PA
USD
318700.54000000
0.063793127970
Long
DBT
NUSS
NO
N
2
2169-03-26
Fixed
6.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
2.25000000
0.000000450374
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13637.44000000
USD
11000.00000000
GBP
2020-04-03
2.25000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
14630000.00000000
PA
629547.59000000
0.126014251410
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-31782.81000000
-0.00636184948
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4438000.00000000
ILS
1224782.67000000
USD
2020-04-30
-31782.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1544.04000000
0.000309064871
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49000.00000000
NZD
30592.91000000
USD
2020-04-03
1544.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
560.96000000
0.000112285322
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16065.17000000
USD
2020-04-03
560.96000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
225833.24000000
0.045204218289
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
36850971.37000000
USD
4002384000.00000000
JPY
2020-04-03
225833.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
25530.55000000
0.005110357338
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
64500000.00000000
JPY
623037.91000000
USD
2020-04-03
25530.55000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
906.63000000
0.000181476829
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14393.43000000
USD
25000.00000000
AUD
2020-04-30
906.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9372.29000000
0.001876017202
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
874000.00000000
TRY
141956.86000000
USD
2020-04-03
9372.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
92.61000000
0.000018537406
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14563.21000000
USD
2020-04-03
92.61000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 3.750000% 05/29/2020
N/A
483000.00000000
PA
287628.57000000
0.057573564744
Long
DBT
NUSS
DE
N
2
2020-05-29
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1751.75000000
0.000350641426
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49000.00000000
NZD
30800.62000000
USD
2020-04-03
1751.75000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 4.750000% 07/04/2034
N/A
95000.00000000
PA
181832.27000000
0.036396704157
Long
DBT
NUSS
DE
N
2
2034-07-04
Fixed
4.75000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.350000% 02/01/2025
N/A
5080000.00000000
PA
5424017.73000000
1.085705901732
Long
DBT
NUSS
IT
N
2
2025-02-01
Fixed
0.35000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-5309.40000000
-0.00106276328
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
86105.88000000
USD
115000.00000000
CAD
2020-04-03
-5309.40000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-905.22000000
-0.00018119459
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14254.20000000
USD
19000.00000000
CAD
2020-04-03
-905.22000000
N
N
N
BANQUE CANADIENNE IMPERIALE DE COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK OF COMMERCE 0.000000% 07/25/2022
N/A
445000.00000000
PA
488725.11000000
0.097826327763
Long
DBT
NUSS
CA
N
2
2022-07-25
Fixed
0.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-850.07000000
-0.00017015542
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14199.05000000
USD
19000.00000000
CAD
2020-04-03
-850.07000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-05-14
N/A
1.00000000
NC
-1853.11000000
-0.00037093028
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
360058.60000000
USD
3757369.91000000
NOK
2020-05-14
-1853.11000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA 6.250000% 07/15/2027
N/A
288000.00000000
PA
462813.60000000
0.092639715047
Long
DBT
NUSS
AT
N
2
2027-07-15
Fixed
6.25000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.900000% 08/01/2022
N/A
2312000.00000000
PA
2560747.73000000
0.512575559613
Long
DBT
NUSS
IT
N
2
2022-08-01
Fixed
0.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
640.52000000
0.000128210558
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1944000.00000000
JPY
18649.11000000
USD
2020-04-03
640.52000000
N
N
N
NORTHUMBRIAN WATER FINANCE PLC
213800JTFA6F3S7XX781
NORTHUMBRIAN WATER FINANCE PLC 6.875000% 02/06/2023
N/A
190000.00000000
PA
267682.12000000
0.053580956394
Long
DBT
NUSS
GB
N
2
2023-02-06
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
223.43000000
0.000044723170
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15727.64000000
USD
2020-04-03
223.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
471.02000000
0.000094282360
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14735.73000000
USD
2020-04-03
471.02000000
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
2212400.31000000
0.442848123500
Long
DBT
NUSS
GB
N
2
2046-12-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
619.48000000
0.000123999058
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
312000.00000000
SEK
32111.60000000
USD
2020-04-03
619.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
406.29000000
0.000081325591
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15910.50000000
USD
2020-04-03
406.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
579.42000000
0.000115980394
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16083.63000000
USD
2020-04-03
579.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
15.93000000
0.000003188650
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13655.62000000
USD
2020-04-03
15.93000000
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
227135.67000000
0.045464920966
Long
DBT
NUSS
KY
N
2
2024-10-03
Fixed
0.87500000
N
N
N
N
N
N
Vattenfall AB
549300T5RZ1HA5HZ3109
VATTENFALL AB 3.000000% 03/19/2077
N/A
175000.00000000
PA
186014.57000000
0.037233859937
Long
DBT
NUSS
SE
N
2
2077-03-19
Fixed
3.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13136.73000000
-0.00262953146
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
141225.85000000
USD
2288000.00000000
ZAR
2020-04-03
-13136.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
18913.88000000
0.003785922569
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
501000.00000000
EUR
568654.04000000
USD
2020-04-03
18913.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
8009.10000000
0.001603152417
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
640000.00000000
EUR
710903.68000000
USD
2020-04-30
8009.10000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.000000% 10/31/2050
N/A
405000.00000000
PA
382438.53000000
0.076551329612
Long
DBT
NUSS
ES
Y
2
2050-10-31
Fixed
1.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-24.26000000
-0.00000485603
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13373.24000000
USD
19000.00000000
CAD
2020-04-03
-24.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1916.40000000
0.000383598818
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
31424.68000000
USD
2020-04-03
1916.40000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-412.49000000
-0.00008256662
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
33488.15000000
USD
32000.00000000
CHF
2020-04-03
-412.49000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-5867.06000000
-0.00117438806
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
145278.07000000
USD
919000.00000000
TRY
2020-04-03
-5867.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
813.63000000
0.000162861357
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
308000.00000000
NOK
30145.19000000
USD
2020-04-03
813.63000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-8249.32000000
-0.00165123638
N/A
DFE
XX
N
2
JP MORGAN
N/A
130528.94000000
USD
2869000.00000000
MXN
2020-04-03
-8249.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
17631.02000000
0.003529137148
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1410000.00000000
NOK
151908.62000000
USD
2020-04-03
17631.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
179960.76000000
0.036022090807
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20559000.00000000
CAD
14629928.77000000
USD
2020-04-30
179960.76000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-83.58000000
-0.00001672990
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17141.81000000
USD
169000.00000000
SEK
2020-04-03
-83.58000000
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
191571.03000000
0.038346076326
Long
DBT
NUSS
IE
N
2
2025-11-26
Fixed
4.12500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
402.11000000
0.000080488896
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13829.91000000
USD
141000.00000000
SEK
2020-04-03
402.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1783.06000000
0.000356908635
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
14544.19000000
USD
2020-04-03
1783.06000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
2187.93000000
0.000437949990
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
28811.38000000
USD
25000.00000000
GBP
2020-04-03
2187.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
628.31000000
0.000125766527
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14268.00000000
USD
2020-04-03
628.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
972.44000000
0.000194649778
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
14014.79000000
USD
2020-04-03
972.44000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
362.97000000
0.000072654384
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
31968.30000000
USD
46000.00000000
CAD
2020-04-30
362.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-05-26
N/A
1.00000000
NC
USD
63127.99000000
0.012636100160
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4335200.00000000
PLN
1107330.78000000
USD
2020-05-26
63127.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-194.88000000
-0.00003900842
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14689.94000000
USD
2020-04-30
-194.88000000
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
SEAGATE HDD CAYMAN 4.750000% 01/01/2025
81180WAL5
61000.00000000
PA
USD
60657.18000000
0.012141527108
Long
DBT
NUSS
KY
N
2
2025-01-01
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
76159.12000000
0.015244494057
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25007000.00000000
CZK
1077746.71000000
USD
2020-04-03
76159.12000000
N
N
N
European Stability Mechanism
222100W4EEAQ77386N50
EUROPEAN STABILITY MECHANISM MTN 1.000000% 09/23/2025
N/A
570000.00000000
PA
666860.55000000
0.133483050905
Long
DBT
NUSS
XX
N
2
2025-09-23
Fixed
1.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-773.95000000
-0.00015491875
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14413.64000000
USD
11000.00000000
GBP
2020-04-03
-773.95000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
1362.62000000
0.000272750689
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
42758.25000000
USD
4755000.00000000
JPY
2020-04-30
1362.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1125.16000000
-0.00022521918
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
31780.07000000
USD
2020-04-03
-1125.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9594.91000000
0.001920578237
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
806000.00000000
NOK
86352.18000000
USD
2020-04-03
9594.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1349.83000000
0.000270190561
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
32135.40000000
USD
2020-04-03
1349.83000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-561.89000000
-0.00011247147
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13910.87000000
USD
19000.00000000
CAD
2020-04-03
-561.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1477.43000000
0.000295731789
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
CAD
34498.60000000
USD
2020-04-03
1477.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-35.66000000
-0.00000713793
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
12725.47000000
USD
2020-04-03
-35.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
310.14000000
0.000062079595
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
NZD
15120.88000000
USD
2020-04-30
310.14000000
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C28 WFCM 2015-C28 A3
94989JAY2
114311.45480000
PA
USD
116615.56000000
0.023342512511
Long
ABS-MBS
US
N
2
2048-05-15
Fixed
3.29000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1059.14000000
-0.00021200420
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
19437.00000000
USD
31000.00000000
NZD
2020-04-03
-1059.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
994.23000000
0.000199011403
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1613000.00000000
JPY
15936.55000000
USD
2020-04-03
994.23000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-821.51000000
-0.00016443866
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13863.86000000
USD
22000.00000000
NZD
2020-04-03
-821.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-123.84000000
-0.00002478860
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1564000.00000000
JPY
14388.26000000
USD
2020-04-30
-123.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
268.16000000
0.000053676611
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13617.14000000
USD
2020-04-03
268.16000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
494.43000000
0.000098968254
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14805.63000000
USD
25000.00000000
AUD
2020-04-30
494.43000000
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C07 2M2
30711XEC4
117955.65660000
PA
USD
112463.24000000
0.022511357719
Long
DBT
USGA
US
N
2
2029-05-25
Floating
5.97674880
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
526.91000000
0.000105469658
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14997.51000000
USD
2020-04-03
526.91000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 1.250000% 05/31/2032
N/A
300000.00000000
PA
365068.63000000
0.073074459903
Long
DBT
NUSS
NL
N
2
2032-05-31
Fixed
1.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
2862.26000000
0.000572928174
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
418519.94000000
USD
4166900.00000000
SEK
2020-05-26
2862.26000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 5.900000% MATURITY: PERPETUAL
949746RG8
130000.00000000
PA
USD
127400.00000000
0.025501194643
Long
DBT
CORP
US
N
2
2168-12-15
Fixed
5.90000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 0.800000% 03/04/2030
00206RJP8
310000.00000000
PA
298539.08000000
0.059757481849
Long
DBT
CORP
US
N
2
2030-03-04
Fixed
0.80000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-906.55000000
-0.00018146081
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
19876.16000000
USD
27000.00000000
CAD
2020-04-03
-906.55000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-236.64000000
-0.00004736736
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14468.66000000
USD
141000.00000000
SEK
2020-04-03
-236.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1.24000000
-0.00000024820
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1440000.00000000
JPY
13338.46000000
USD
2020-04-03
-1.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
571.14000000
0.000114323016
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14210.83000000
USD
2020-04-03
571.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
550.66000000
0.000110223609
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15307.70000000
USD
2020-04-03
550.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-154.57000000
-0.00003093971
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13485.12000000
USD
2020-04-03
-154.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1113.67000000
0.000222919273
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2268000.00000000
JPY
22123.70000000
USD
2020-04-03
1113.67000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-121068.14000000
-0.02423376925
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
2088286.80000000
USD
2800000.00000000
CAD
2020-04-03
-121068.14000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1984.88000000
0.000397306210
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
29014.43000000
USD
25000.00000000
GBP
2020-04-03
1984.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
741.35000000
0.000148393333
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13783.70000000
USD
2020-04-03
741.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
337.84000000
0.000067624204
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15159.73000000
USD
2020-04-03
337.84000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-4496.50000000
-0.00090004805
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
86900.44000000
USD
139000.00000000
NZD
2020-04-03
-4496.50000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 2.625000% 04/25/2021
38141GVU5
425000.00000000
PA
USD
425314.25000000
0.085133606544
Long
DBT
CORP
US
N
2
2021-04-25
Fixed
2.62500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-780.71000000
-0.00015627188
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14420.40000000
USD
11000.00000000
GBP
2020-04-03
-780.71000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-20275.26000000
-0.00405842505
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
348705.33000000
USD
554000.00000000
NZD
2020-04-03
-20275.26000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1203.83000000
-0.00024096627
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
22545.86000000
USD
36000.00000000
NZD
2020-04-03
-1203.83000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 1.250000% 05/12/2025
N/A
13180000.00000000
PA
1386336.41000000
0.277497917051
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/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
86.94000000
0.000017402463
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
14955.15000000
USD
2020-04-03
86.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
67.27000000
0.000013465191
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14331.98000000
USD
2020-04-03
67.27000000
N
N
N
Canada
N/A
CAN 5YR BOND FUT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-20.00000000
NC
-1793655.81000000
-0.35902955991
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Jun 2020
2020-06-22
-1868454.61000000
CAD
74798.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-8555.23000000
-0.00171246927
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
370000.00000000
AUD
217903.10000000
USD
2020-04-03
-8555.23000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC MTN 4.750000% 02/17/2034
92343VBX1
170000.00000000
PA
254456.16000000
0.050933564084
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/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9266.50000000
0.001854841602
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
921000.00000000
TRY
148980.91000000
USD
2020-04-03
9266.50000000
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
151092.93000000
0.030243722269
Long
DBT
NUSS
LU
N
2
2028-03-18
Fixed
0.45000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
741.67000000
0.000148457386
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
43473.87000000
USD
4773000.00000000
JPY
2020-04-03
741.67000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
28478.62000000
0.005700461787
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
1632616.15000000
USD
1513569.38000000
EUR
2020-04-08
28478.62000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.250000% 02/15/2029
N/A
984000.00000000
PA
1155422.89000000
0.231276797590
Long
DBT
NUSS
DE
N
2
2029-02-15
Fixed
0.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-410.33000000
-0.00008213426
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13875.42000000
USD
22000.00000000
AUD
2020-04-03
-410.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-04-17
N/A
1.00000000
NC
USD
83707.61000000
0.016755447847
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
67107050.00000000
THB
2129030.77000000
USD
2020-04-17
83707.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-92.62000000
-0.00001853940
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14667.31000000
USD
2020-04-30
-92.62000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 4.880000% 02/09/2028
N/A
10600000.00000000
PA
1670137.74000000
0.334305397085
Long
DBT
NUSS
CN
N
2
2028-02-09
Fixed
4.88000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-829.57000000
-0.00016605200
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13871.92000000
USD
22000.00000000
NZD
2020-04-03
-829.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
585.54000000
0.000117205412
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32406.83000000
USD
2020-04-03
585.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-30
N/A
1.00000000
NC
USD
90.12000000
0.000018038992
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3468000.00000000
MXN
147326.83000000
USD
2020-04-30
90.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
410.22000000
0.000082112245
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32000.00000000
CHF
33485.88000000
USD
2020-04-03
410.22000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-8367.91000000
-0.00167497411
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
251429.88000000
USD
410000.00000000
NZD
2020-04-03
-8367.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
818.11000000
0.000163758103
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13860.46000000
USD
2020-04-03
818.11000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 6.500000% 06/09/2022
EJ0234298
30338000.00000000
PA
1295730.07000000
0.259361575510
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
6.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-344.85000000
-0.00006902737
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13197.89000000
USD
21000.00000000
AUD
2020-04-03
-344.85000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
93.80000000
0.000018775604
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14170.91000000
USD
13000.00000000
EUR
2020-04-03
93.80000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-534.23000000
-0.00010693487
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14798.94000000
USD
13000.00000000
EUR
2020-04-03
-534.23000000
N
N
N
COMPAGNIE CREDIT FORD DU CANADA
N/A
FORD CREDIT CANADA CO 2.450000% 05/07/2020
34527ABL3
1600000.00000000
PA
1115554.15000000
0.223296416908
Long
DBT
NUSS
CA
N
2
2020-05-07
Fixed
2.45000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
172.81000000
0.000034590749
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14104.74000000
USD
13000.00000000
EUR
2020-04-30
172.81000000
N
N
N
Odebrecht Finance, Ltd.
N/A
ODEBRECHT FINANCE LTD 4.375000% 04/25/2025
G6710EAP5
200000.00000000
PA
USD
8002.00000000
0.001601731236
Long
DBT
NUSS
KY
N
2
2025-04-25
Fixed
4.37500000
Y
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
301.73000000
0.000060396196
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15123.62000000
USD
2020-04-03
301.73000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
790.60000000
0.000158251526
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31564.70000000
USD
3487000.00000000
JPY
2020-04-30
790.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
296.92000000
0.000059433396
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
30531.46000000
USD
2020-04-03
296.92000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1950.27000000
-0.00039037845
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
31458.55000000
USD
42000.00000000
CAD
2020-04-03
-1950.27000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9529.25000000
-0.00190743531
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
142113.82000000
USD
874000.00000000
TRY
2020-04-03
-9529.25000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-284.66000000
-0.00005697935
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14549.37000000
USD
13000.00000000
EUR
2020-04-03
-284.66000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2399.37000000
-0.00048027316
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
31165.70000000
USD
47000.00000000
AUD
2020-04-03
-2399.37000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-291.72000000
-0.00005839253
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
18945.58000000
USD
17000.00000000
EUR
2020-04-03
-291.72000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
18935000.00000000
PA
805949.73000000
0.161324026195
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
567.70000000
0.000113634444
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14207.39000000
USD
2020-04-03
567.70000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 5.750000% MATURITY: PERPETUAL
456837AR4
200000.00000000
PA
USD
173126.00000000
0.034654001756
Long
DBT
NUSS
NL
N
2
2168-11-16
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-49.97000000
-0.00001000231
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
NOK
4425.95000000
USD
2020-04-03
-49.97000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-200.91000000
-0.00004021542
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14465.62000000
USD
13000.00000000
EUR
2020-04-03
-200.91000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-10360.23000000
-0.00207376955
N/A
DFE
XX
N
2
JP MORGAN
N/A
132639.85000000
USD
2869000.00000000
MXN
2020-04-03
-10360.23000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
88.15000000
0.000017644664
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13260.83000000
USD
19000.00000000
CAD
2020-04-03
88.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-01
N/A
1.00000000
NC
USD
5.51000000
0.000001102916
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
770.00000000
CHF
801.33000000
USD
2020-04-01
5.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-05-15
N/A
1.00000000
NC
USD
452005.52000000
0.090476300983
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
9662711.61000000
GBP
12440596.26000000
USD
2020-05-15
452005.52000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-5668.81000000
-0.00113470508
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
95028.04000000
USD
146000.00000000
AUD
2020-04-03
-5668.81000000
N
N
N
CHEPLAPHARM Arzneimittel GmbH
529900ONXKBELT7EW052
CHEPLAPHARM ARZNEIMITTEL GMBH 144A 3.500000% 02/11/2027
N/A
191000.00000000
PA
191760.76000000
0.038384053890
Long
DBT
NUSS
DE
Y
2
2027-02-11
Fixed
3.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1217.07000000
-0.00024361647
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13978.20000000
USD
134000.00000000
NOK
2020-04-03
-1217.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-142.86000000
-0.00002859576
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14617.07000000
USD
2020-04-30
-142.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
420.92000000
0.000084254025
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
308000.00000000
SEK
31509.30000000
USD
2020-04-03
420.92000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-620.18000000
-0.00012413917
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
20459.74000000
USD
16000.00000000
GBP
2020-04-03
-620.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-591.45000000
-0.00011838839
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
12261.59000000
USD
2020-04-03
-591.45000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.882000% 03/10/2022
N/A
780000.00000000
PA
184349.44000000
0.036900556921
Long
DBT
NUSS
MY
N
2
2022-03-10
Fixed
3.88200000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-838.07000000
-0.00016775342
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14187.05000000
USD
19000.00000000
CAD
2020-04-03
-838.07000000
N
N
N
NXP B.V.
724500RKKW4NOJ9YQF60
NXP BV / NXP FUNDING LLC / NXP USA INC 144A 4.300000% 06/18/2029
62954HAB4
190000.00000000
PA
USD
194707.46000000
0.038973884112
Long
DBT
NUSS
NL
Y
2
2029-06-18
Fixed
4.30000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-14.72000000
-0.00000294644
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
12775.85000000
USD
134000.00000000
NOK
2020-04-03
-14.72000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-124.11000000
-0.00002484264
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
28217.65000000
USD
295000.00000000
NOK
2020-04-03
-124.11000000
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 5.625000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
175000.00000000
0.035029113520
Long
DBT
NUSS
SE
N
2
2169-03-17
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-48.39000000
-0.00000968605
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
362000.00000000
NOK
34425.72000000
USD
2020-04-03
-48.39000000
N
N
N
Bell Canada Inc.
N/A
BELL CANADA INC MTN 4.700000% 09/11/2023
07813ZBF0
80000.00000000
PA
58998.84000000
0.011809583222
Long
DBT
NUSS
CA
N
2
2023-09-11
Fixed
4.70000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
2.32000000
0.000000464385
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13462.77000000
USD
22000.00000000
AUD
2020-04-03
2.32000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13473.96000000
-0.00269703356
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
149456.69000000
USD
2429000.00000000
ZAR
2020-04-03
-13473.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
648.24000000
0.000129755843
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14912.95000000
USD
2020-04-03
648.24000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.250000% 07/15/2029
N/A
948000.00000000
PA
1091677.60000000
0.218517134734
Long
DBT
NUSS
NL
Y
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
CAISSE FRANCAISE DE FINANCEMENT LOCAL SA
549300E6W08778I4OW85
CAISSE FRANCAISE DE FINANCEMENT LOCAL MTN 3.000000% 10/02/2028
N/A
100000.00000000
PA
136154.58000000
0.027253567081
Long
DBT
NUSS
FR
N
2
2028-10-02
Fixed
3.00000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.75% 12/01/2048
135087D35
400000.00000000
PA
376014.33000000
0.075265420863
Long
DBT
CORP
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
134.36000000
0.000026894352
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
420000.00000000
JPY
4025.11000000
USD
2020-04-03
134.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
269.88000000
0.000054020898
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14534.59000000
USD
2020-04-03
269.88000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1235.69000000
-0.00024734357
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
17148.98000000
USD
26000.00000000
AUD
2020-04-03
-1235.69000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9034.55000000
-0.00180841301
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
375527.99000000
USD
334000.00000000
EUR
2020-04-03
-9034.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-05-14
N/A
1.00000000
NC
USD
-19968.51000000
-0.00399702402
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
802190168.00000000
KRW
639354.00000000
USD
2020-05-14
-19968.51000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-961.01000000
-0.00019236187
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17817.37000000
USD
167000.00000000
SEK
2020-04-03
-961.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
172.19000000
0.000034466646
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
29680.47000000
USD
2020-04-03
172.19000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
347.31000000
0.000069519779
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
24684.89000000
USD
248000.00000000
SEK
2020-04-03
347.31000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 4.250000% 03/28/2041
N/A
440000.00000000
PA
824819.24000000
0.165101067383
Long
DBT
NUSS
BE
Y
2
2041-03-28
Fixed
4.25000000
N
N
N
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
152212.21000000
0.030467764476
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.30000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-3936.36000000
-0.00078792686
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
143347.37000000
USD
919000.00000000
TRY
2020-04-03
-3936.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
355.13000000
0.000071085080
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1582000.00000000
JPY
15010.27000000
USD
2020-04-03
355.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
-2655.45000000
-0.00053153176
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
181475.44000000
EUR
196508.14000000
USD
2020-04-08
-2655.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
345.08000000
0.000069073408
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
178000.00000000
GBP
221136.52000000
USD
2020-04-30
345.08000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
30.31000000
0.000006067042
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30969.00000000
USD
25000.00000000
GBP
2020-04-03
30.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
216850.50000000
0.043406175894
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5664000.00000000
GBP
7240053.31000000
USD
2020-04-03
216850.50000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1060.23000000
-0.00021222238
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33770.28000000
USD
3531000.00000000
JPY
2020-04-03
-1060.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
36240.35000000
0.007254099052
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4576000.00000000
ZAR
292418.59000000
USD
2020-04-03
36240.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
595.86000000
0.000119271129
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15352.90000000
USD
2020-04-03
595.86000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-05-05
N/A
1.00000000
NC
-78636.25000000
-0.01574033216
N/A
DFE
ID
N
2
JP MORGAN
N/A
694952.52000000
USD
10061977818.00000000
IDR
2020-05-05
-78636.25000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-97.24000000
-0.00001946417
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
16256.54000000
USD
23000.00000000
CAD
2020-04-03
-97.24000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1153.72000000
-0.00023093593
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
34910.57000000
USD
3644000.00000000
JPY
2020-04-03
-1153.72000000
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC MTN 1.875000% 03/03/2021
718172BG3
300000.00000000
PA
331386.81000000
0.066332492495
Long
DBT
NUSS
US
N
2
2021-03-03
Fixed
1.87500000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S MTN 5.875000% MATURITY: PERPETUAL
N/A
344000.00000000
PA
360684.21000000
0.072196846498
Long
DBT
NUSS
DK
N
2
2168-10-06
Fixed
5.87500000
N
N
N
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
180742.40000000
0.036178548843
Long
DBT
NUSS
US
N
2
2026-07-27
Fixed
1.62500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1144.03000000
-0.00022899632
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
33186.07000000
USD
31000.00000000
CHF
2020-04-03
-1144.03000000
N
N
N
BHP BILLITON FINANCE LIMITED
549300KZMIS43NMT0A66
BHP BILLITON FINANCE LTD 4.750000% 04/22/2076
N/A
101000.00000000
PA
109389.02000000
0.021896002282
Long
DBT
NUSS
AU
N
2
2076-04-22
Fixed
4.75000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY MTN 4.625000% 02/08/2021
N/A
550000.00000000
PA
627753.27000000
0.125655088902
Long
DBT
NUSS
GB
N
2
2021-02-08
Fixed
4.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-05-26
N/A
1.00000000
NC
USD
70588.41000000
0.014129425297
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4335200.00000000
PLN
1114791.20000000
USD
2020-05-26
70588.41000000
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
503539.95000000
0.100791760404
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-550.91000000
-0.00011027365
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
18454.59000000
USD
188000.00000000
NOK
2020-04-03
-550.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-223786.69000000
-0.04479456781
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4002384000.00000000
JPY
36913678.06000000
USD
2020-04-30
-223786.69000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
285.17000000
0.000057081441
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
19265.00000000
USD
33000.00000000
NZD
2020-04-30
285.17000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
322000.00000000
PA
239576.52000000
0.047955160662
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-902.46000000
-0.00018064213
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13944.81000000
USD
22000.00000000
NZD
2020-04-03
-902.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-4817.27000000
-0.00096425541
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7862000.00000000
DKK
1152878.90000000
USD
2020-04-30
-4817.27000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
565.45000000
0.000113184069
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14255.40000000
USD
25000.00000000
NZD
2020-04-03
565.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
361.16000000
0.000072292083
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1920000.00000000
JPY
18147.43000000
USD
2020-04-03
361.16000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-830.69000000
-0.00016627619
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14179.67000000
USD
19000.00000000
CAD
2020-04-03
-830.69000000
N
N
N
CREDIT AGRICOLE ASSURANCES SA
969500K2MUPSI57XK083
CREDIT AGRICOLE ASSURANCES SA 4.250000% MATURITY: PERPETUAL
N/A
100000.00000000
PA
110793.86000000
0.022177203996
Long
DBT
NUSS
FR
N
2
2169-01-13
Fixed
4.25000000
N
N
N
N
N
N
TOTAL SA
529900S21EQ1BO4ESM68
TOTAL SA MTN 3.369000% MATURITY: PERPETUAL
N/A
260000.00000000
PA
288462.86000000
0.057740561539
Long
DBT
NUSS
FR
N
2
2168-10-06
Fixed
3.36900000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-30
N/A
1.00000000
NC
29392.88000000
0.005883465886
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
494056.50000000
USD
422000.00000000
GBP
2020-04-30
29392.88000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-24
N/A
1.00000000
NC
-5187.35000000
-0.00103833298
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
502715.36000000
USD
453100.00000000
EUR
2020-04-24
-5187.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
-1205.20000000
-0.00024124050
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
175492.19000000
EUR
191391.96000000
USD
2020-04-08
-1205.20000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1027.71000000
0.000205712972
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
29637.10000000
USD
322000.00000000
NOK
2020-04-03
1027.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
104.58000000
0.000020933398
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15139.53000000
USD
2020-04-03
104.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
368.18000000
0.000073697251
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15872.39000000
USD
2020-04-03
368.18000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
423.18000000
0.000084706401
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
30576.13000000
USD
25000.00000000
GBP
2020-04-03
423.18000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-824.77000000
-0.00016509121
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14173.75000000
USD
19000.00000000
CAD
2020-04-03
-824.77000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
783.42000000
0.000156814332
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31648.72000000
USD
3501000.00000000
JPY
2020-04-03
783.42000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-28.70000000
-0.00000574477
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14260.72000000
USD
141000.00000000
SEK
2020-04-03
-28.70000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-12086.40000000
-0.00241929072
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
148069.13000000
USD
2429000.00000000
ZAR
2020-04-03
-12086.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2049.41000000
0.000410222945
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
CAD
32260.27000000
USD
2020-04-03
2049.41000000
N
N
N
HYUNDAI CAPITAL SERVICES, INC.
549300MALMDAGL2ZJJ27
HYUNDAI CAPITAL SERVICES INC MTN 3.500000% 03/30/2022
N/A
680000.00000000
PA
425726.99000000
0.085216223209
Long
DBT
NUSS
KR
N
2
2022-03-30
Fixed
3.50000000
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
338730.98000000
0.067802548293
Long
DBT
NUSS
NZ
N
2
2027-04-15
Fixed
4.50000000
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
341859.12000000
0.068428696700
Long
DBT
NUSS
NL
Y
2
2023-10-10
Fixed
4.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-30
N/A
1.00000000
NC
188.32000000
0.000037695329
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
14311.01000000
USD
14000.00000000
CHF
2020-04-30
188.32000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
329725.16000000
0.065999886058
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
20857024.30000000
USD
2287077000.00000000
JPY
2020-04-03
329725.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-20300.16000000
-0.00406340919
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
339386000.00000000
JPY
3123663.14000000
USD
2020-04-03
-20300.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
7850.88000000
0.001571482095
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
874000.00000000
TRY
140435.45000000
USD
2020-04-03
7850.88000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 1.000000% 03/14/2031
N/A
405000.00000000
PA
486607.03000000
0.097402359393
Long
DBT
NUSS
XX
N
2
2031-03-14
Fixed
1.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.441000% 02/15/2021
N/A
491000.00000000
PA
114560.98000000
0.022931254705
Long
DBT
NUSS
MY
N
2
2021-02-15
Fixed
3.44100000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN20 FINANCIAL COMMODITY FUTURE.
N/A
46.00000000
NC
USD
10137609.38000000
2.029208398867
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2020
2020-07-03
10032958.66000000
USD
104650.72000000
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
842291.14000000
0.168598354060
Long
DBT
NUSS
GB
N
2
2022-09-07
Fixed
1.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-306.08000000
-0.00006126692
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13655.06000000
USD
19000.00000000
CAD
2020-04-03
-306.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-130.26000000
-0.00002607367
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14650.93000000
USD
2020-04-30
-130.26000000
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 0.200000% 04/28/2025
N/A
600000.00000000
PA
670808.12000000
0.134273221635
Long
DBT
NUSS
LU
N
2
2025-04-28
Fixed
0.20000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-192.41000000
-0.00003851400
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14457.12000000
USD
13000.00000000
EUR
2020-04-03
-192.41000000
N
N
N
N/A
N/A
AUSTRALIA 10 YEAR BOND FUTURE JUN 2020
N/A
18.00000000
NC
1659267.31000000
0.332129502647
N/A
DIR
AU
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Australia Govt. Bond Futures
AUST 10Y BOND (consolidated) Jun 2020
2020-06-15
1589755.38000000
AUD
69511.93000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
573.77000000
0.000114849454
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14247.08000000
USD
25000.00000000
NZD
2020-04-03
573.77000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 5.650000% 02/15/2024
N/A
1113000.00000000
PA
1479386.17000000
0.296123349086
Long
DBT
NUSS
PT
Y
2
2024-02-15
Fixed
5.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
98.11000000
0.000019638321
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1613000.00000000
JPY
15040.43000000
USD
2020-04-03
98.11000000
N
N
N
BMW Finance N.V.
5299006ZHG3IXU0PNJ56
BMW FINANCE NV MTN 0.875000% 11/17/2020
N/A
585000.00000000
PA
641374.70000000
0.128381641003
Long
DBT
NUSS
NL
N
2
2020-11-17
Fixed
0.87500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-620.92000000
-0.00012428729
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14260.61000000
USD
11000.00000000
GBP
2020-04-03
-620.92000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
139.12000000
0.000027847144
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14818.17000000
USD
148000.00000000
SEK
2020-04-30
139.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
372.16000000
0.000074493913
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14636.87000000
USD
2020-04-03
372.16000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-182.20000000
-0.00003647031
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
36162.33000000
USD
3884000.00000000
JPY
2020-04-03
-182.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9161.00000000
0.001833724051
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2761000.00000000
MXN
126837.56000000
USD
2020-04-03
9161.00000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.500000% 01/15/2040
N/A
804000.00000000
PA
956045.16000000
0.191368082518
Long
DBT
NUSS
NL
Y
2
2040-01-15
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
434.45000000
0.000086962276
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23000.00000000
CAD
16593.75000000
USD
2020-04-03
434.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
19553.66000000
0.003913985005
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
501000.00000000
EUR
569293.82000000
USD
2020-04-03
19553.66000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-906.19000000
-0.00018138875
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14371.28000000
USD
22000.00000000
AUD
2020-04-03
-906.19000000
N
N
N
ENI S.P.A.
BUCRF72VH5RBN7X3VL35
ENI SPA 144A 4.250000% 05/09/2029
26874RAJ7
515000.00000000
PA
USD
498453.98000000
0.099773720287
Long
DBT
NUSS
IT
Y
2
2029-05-09
Fixed
4.25000000
N
N
N
N
N
N
DS SMITH PLC
39RSBE4RCI4M15BLWH36
DS SMITH PLC MTN 1.375000% 07/26/2024
N/A
430000.00000000
PA
464322.81000000
0.092941808124
Long
DBT
NUSS
GB
N
2
2024-07-26
Fixed
1.37500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-600.31000000
-0.00012016186
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14240.00000000
USD
11000.00000000
GBP
2020-04-03
-600.31000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.875000% 07/01/2029
N/A
5529000.00000000
PA
4418113.09000000
0.884357628442
Long
DBT
NUSS
SG
N
2
2029-07-01
Fixed
2.87500000
N
N
N
N
N
N
VIACOMCBS INC.
5KYC8KF17ROCY24M3H09
VIACOMCBS INC 3.700000% 06/01/2028
124857AX1
313000.00000000
PA
USD
292659.15000000
0.058580517647
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
3.70000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-278.19000000
-0.00005568428
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14308.33000000
USD
139000.00000000
SEK
2020-04-03
-278.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1614.70000000
0.000323208626
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
302000.00000000
CHF
313766.23000000
USD
2020-04-03
1614.70000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 6.250000% 06/01/2032
748148QT3
720000.00000000
PA
731594.06000000
0.146440522165
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/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-329713.08000000
-0.06599746804
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2287077000.00000000
JPY
20891699.32000000
USD
2020-04-30
-329713.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
400.55000000
0.000080176636
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15904.76000000
USD
2020-04-03
400.55000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
513.46000000
0.000102777420
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
24619.67000000
USD
249000.00000000
SEK
2020-04-03
513.46000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-04-14
N/A
1.00000000
NC
-38478.34000000
-0.00770206937
N/A
DFE
RU
N
2
CITI
N/A
628083.93000000
USD
46142500.00000000
RUB
2020-04-14
-38478.34000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-23
N/A
1.00000000
NC
-90701.20000000
-0.01815532932
N/A
DFE
MX
N
2
MORGAN STANLEY & CO, INC
N/A
667715.17000000
USD
13577238.45000000
MXN
2020-04-23
-90701.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2670.62000000
0.000534568292
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
605000.00000000
EUR
666528.50000000
USD
2020-04-03
2670.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
304.15000000
0.000060880599
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15339.10000000
USD
2020-04-03
304.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
591.10000000
0.000118318337
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15412.99000000
USD
2020-04-03
591.10000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-111.48000000
-0.00002231454
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17068.78000000
USD
168000.00000000
SEK
2020-04-03
-111.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-234.69000000
-0.00004697704
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1564000.00000000
JPY
14277.41000000
USD
2020-04-30
-234.69000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
4560.17000000
0.000912792643
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
164286.81000000
USD
18197000.00000000
JPY
2020-04-30
4560.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
749.77000000
0.000150078733
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
142000.00000000
SEK
15082.72000000
USD
2020-04-03
749.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
298.11000000
0.000059671594
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15055.15000000
USD
2020-04-03
298.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1037.62000000
0.000207696621
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1935000.00000000
JPY
18962.84000000
USD
2020-04-03
1037.62000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-498.47000000
-0.00009977692
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
15385.20000000
USD
1607000.00000000
JPY
2020-04-03
-498.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-108.56000000
-0.00002173006
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
200000.00000000
EUR
219546.00000000
USD
2020-04-30
-108.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-236.34000000
-0.00004730731
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13112.64000000
USD
2020-04-03
-236.34000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
615.02000000
0.000123106316
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17351.64000000
USD
178000.00000000
SEK
2020-04-03
615.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
847.31000000
0.000169602961
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13889.66000000
USD
2020-04-03
847.31000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-282.70000000
-0.00005658703
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14211.91000000
USD
138000.00000000
SEK
2020-04-03
-282.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
500.06000000
0.000100095191
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16004.27000000
USD
2020-04-03
500.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1417.87000000
0.000283809881
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
325000.00000000
SEK
34222.16000000
USD
2020-04-03
1417.87000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-441.29000000
-0.00008833141
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13790.27000000
USD
19000.00000000
CAD
2020-04-03
-441.29000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
806.42000000
0.000161418158
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
69478.22000000
USD
100000.00000000
SGD
2020-04-30
806.42000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2552.38000000
-0.00051090062
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
141963.39000000
USD
919000.00000000
TRY
2020-04-03
-2552.38000000
N
N
N
N/A
N/A
Credit Default Swap
CDS377257
-406000.00000000
NC
USD
-89830.14000000
-0.01798097240
N/A
DCR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2063-05-11
0.00000000
USD
-28072.33000000
USD
-406000.00000000
USD
-61757.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-74.64000000
-0.00001494041
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13565.05000000
USD
2020-04-03
-74.64000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-1892864.59000000
-0.37888782058
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Jun 2020
2020-06-11
-1936450.83000000
EUR
43586.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
716.19000000
0.000143357147
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14355.88000000
USD
2020-04-03
716.19000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2020-04-27
N/A
1.00000000
NC
-2110.44000000
-0.00042243909
N/A
DFE
BR
N
2
MORGAN STANLEY & CO, INC
N/A
70245.06000000
USD
354000.00000000
BRL
2020-04-27
-2110.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-07
N/A
1.00000000
NC
USD
-36951.42000000
-0.00739643134
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1419050.00000000
AUD
831567.56000000
USD
2020-04-07
-36951.42000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-480.12000000
-0.00009610387
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14510.26000000
USD
139000.00000000
SEK
2020-04-03
-480.12000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1136.18000000
-0.00022742501
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14601.27000000
USD
22000.00000000
AUD
2020-04-03
-1136.18000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-734.67000000
-0.00014705622
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14369.85000000
USD
23000.00000000
NZD
2020-04-03
-734.67000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-336.03000000
-0.00006726190
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13975.72000000
USD
11000.00000000
GBP
2020-04-03
-336.03000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-856.86000000
-0.00017151454
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14205.84000000
USD
19000.00000000
CAD
2020-04-03
-856.86000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-758.64000000
-0.00015185420
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
22538.56000000
USD
31000.00000000
CAD
2020-04-03
-758.64000000
N
N
N
MOLSON COORS INTERNATIONAL LP
549300JY2HGCZWKZS671
MOLSON COORS INTERNATIONAL LP 2.750000% 09/18/2020
U60901AB8
1105000.00000000
PA
772494.64000000
0.154627442507
Long
DBT
NUSS
US
N
2
2020-09-18
Fixed
2.75000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-762.49000000
-0.00015262485
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13523.62000000
USD
134000.00000000
NOK
2020-04-03
-762.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
641.88000000
0.000128482785
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16146.09000000
USD
2020-04-03
641.88000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-540.36000000
-0.00010816189
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
18096.93000000
USD
16000.00000000
EUR
2020-04-03
-540.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1082.17000000
0.000216614033
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
13935.21000000
USD
2020-04-03
1082.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1612.37000000
0.000322742238
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
66000.00000000
CAD
47982.52000000
USD
2020-04-03
1612.37000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-825.97000000
-0.00016533141
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14174.95000000
USD
19000.00000000
CAD
2020-04-03
-825.97000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
526.00000000
0.000105287506
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
218080.48000000
USD
369000.00000000
NZD
2020-04-30
526.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1873.89000000
-0.00037508974
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
26892.44000000
USD
2020-04-03
-1873.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-395.35000000
-0.00007913577
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
214000.00000000
NOK
20003.52000000
USD
2020-04-30
-395.35000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
179.80000000
0.000035989912
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
28586.53000000
USD
47000.00000000
AUD
2020-04-03
179.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
194.84000000
0.000039000414
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15699.05000000
USD
2020-04-03
194.84000000
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 5.750000% MATURITY: PERPETUAL
N/A
400000.00000000
PA
400128.16000000
0.080092198511
Long
DBT
NUSS
NL
N
2
2169-03-22
Fixed
5.75000000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2020-05-21
N/A
1.00000000
NC
12864.04000000
0.002574948099
N/A
DFE
TW
N
2
STANDARD CHARTERED
N/A
1538483.83000000
USD
46482212.00000000
TWD
2020-05-21
12864.04000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-815.82000000
-0.00016329972
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13858.17000000
USD
22000.00000000
NZD
2020-04-03
-815.82000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-3354.29000000
-0.00067141602
N/A
DFE
TH
N
2
J P MORGAN CHASE BANK
N/A
2342050.66000000
USD
76749000.00000000
THB
2020-04-03
-3354.29000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-186.74000000
-0.00003737906
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14451.45000000
USD
13000.00000000
EUR
2020-04-03
-186.74000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
2032000.00000000
PA
489688.48000000
0.098019162032
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
443.22000000
0.000088717735
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
15555.81000000
USD
168000.00000000
NOK
2020-04-03
443.22000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1262.71000000
-0.00025275206
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
374397.48000000
USD
361000.00000000
CHF
2020-04-03
-1262.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
21557.72000000
0.004315130406
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2352000.00000000
ZAR
153229.75000000
USD
2020-04-03
21557.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-379.13000000
-0.00007588907
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
30000.00000000
EUR
32569.05000000
USD
2020-04-30
-379.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
740.09000000
0.000148141123
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32000.00000000
EUR
35853.23000000
USD
2020-04-03
740.09000000
N
N
N
N/A
N/A
FIN FUT AUS 3YR BOND SFE 06-15-20 EXPIRES: 06/16/2020
N/A
12.00000000
NC
860121.16000000
0.172167324316
N/A
DIR
AU
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Australia Govt. Bond Futures
AUST 3YR BOND FUT (consolidated) Jun 2020
2020-06-16
879392.52000000
AUD
-19271.36000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
924.91000000
0.000185135870
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
11928.13000000
USD
21000.00000000
AUD
2020-04-03
924.91000000
N
N
N
INTERNATIONAL FINANCE CORPORATION
QKL54NQY28TCDAI75F60
INTERNATIONAL FINANCE CORP MTN 2.375000% 07/19/2023
45950KCN8
1000000.00000000
PA
735827.45000000
0.147287904444
Long
DBT
NUSS
XX
N
2
2023-07-19
Fixed
2.37500000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.000000% 06/22/2034
N/A
346000.00000000
PA
521181.08000000
0.104322921235
Long
DBT
NUSS
BE
Y
2
2034-06-22
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
274.40000000
0.000054925650
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15778.61000000
USD
2020-04-03
274.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1386.30000000
0.000277490628
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
61000.00000000
EUR
68320.73000000
USD
2020-04-03
1386.30000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-859.75000000
-0.00017209303
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14324.84000000
USD
22000.00000000
AUD
2020-04-03
-859.75000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-217.49000000
-0.00004353418
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32825.64000000
USD
3520000.00000000
JPY
2020-04-03
-217.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
448.01000000
0.000089676532
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15952.22000000
USD
2020-04-03
448.01000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-09
N/A
1.00000000
NC
6036.00000000
0.001208204166
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
355501.56000000
USD
39013239.00000000
JPY
2020-04-09
6036.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-05-22
N/A
1.00000000
NC
USD
-380155.25000000
-0.07609429375
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13714000.00000000
NZD
7742375.84000000
USD
2020-05-22
-380155.25000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-42964.26000000
-0.00859999966
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
1418342.83000000
USD
148470000.00000000
JPY
2020-04-03
-42964.26000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
167.66000000
0.000033559892
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
3982.18000000
USD
7000.00000000
NZD
2020-04-03
167.66000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-755.21000000
-0.00015116763
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
18311.78000000
USD
16000.00000000
EUR
2020-04-03
-755.21000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-479.50000000
-0.00009597977
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14744.21000000
USD
13000.00000000
EUR
2020-04-03
-479.50000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-57773.16000000
-0.01156424331
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
526411.50000000
USD
4921000.00000000
NOK
2020-04-03
-57773.16000000
N
N
N
Intertrust Group B.V.
724500E2H60ZHP192G28
INTERTRUST GROUP BV 144A 3.375000% 11/15/2025
N/A
180000.00000000
PA
188024.62000000
0.037636204335
Long
DBT
NUSS
NL
Y
2
2025-11-15
Fixed
3.37500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
254.59000000
0.000050960354
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
34317.46000000
USD
3732000.00000000
JPY
2020-04-03
254.59000000
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.800000% 06/02/2048
68323ADZ4
2200000.00000000
PA
1613951.59000000
0.323058819789
Long
DBT
NUSS
CA
N
2
2048-06-02
Fixed
2.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-156.01000000
-0.00003122795
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
48000.00000000
AUD
29222.37000000
USD
2020-04-03
-156.01000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-1481.40000000
-0.00029652645
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
314252.71000000
USD
302000.00000000
CHF
2020-04-30
-1481.40000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
5683.63000000
0.001137671545
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
420845.89000000
USD
4217800.00000000
SEK
2020-05-26
5683.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1170.36000000
-0.00023426670
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
31776.11000000
USD
2020-04-30
-1170.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-23
N/A
1.00000000
NC
USD
246367.80000000
0.049314546480
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
27687168.34000000
MXN
1423034.38000000
USD
2020-04-23
246367.80000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-151.20000000
-0.00003026515
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13786.38000000
USD
23000.00000000
NZD
2020-04-03
-151.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1219.73000000
0.000244148917
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
52000.00000000
CHF
54967.68000000
USD
2020-04-03
1219.73000000
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP MTN 0.625000% 11/21/2024
N/A
465000.00000000
PA
494100.96000000
0.098902392106
Long
DBT
NUSS
US
N
2
2024-11-21
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-37286.33000000
-0.00746346906
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21451000.00000000
SEK
2130611.84000000
USD
2020-04-30
-37286.33000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 1.125000% 05/09/2033
N/A
220000.00000000
PA
271013.49000000
0.054247784610
Long
DBT
NUSS
DE
N
2
2033-05-09
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
398.32000000
0.000079730265
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14038.01000000
USD
2020-04-03
398.32000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-05-22
N/A
1.00000000
NC
-10410.64000000
-0.00208385994
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
861451.21000000
USD
1210511.56000000
CAD
2020-05-22
-10410.64000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-251.03000000
-0.00005024776
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13104.07000000
USD
21000.00000000
AUD
2020-04-03
-251.03000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
882.39000000
0.000176624797
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31472.91000000
USD
3487000.00000000
JPY
2020-04-30
882.39000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
119300000.00000000
PA
1516758.24000000
0.303603980414
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
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
514152.19000000
0.102915973888
Long
DBT
NUSS
AU
N
2
2023-08-16
Fixed
5.00000000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.400000% 06/02/2026
68323ADM3
585000.00000000
PA
429678.15000000
0.086007112535
Long
DBT
NUSS
CA
N
2
2026-06-02
Fixed
2.40000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-350.00000000
-0.00007005822
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32958.15000000
USD
3520000.00000000
JPY
2020-04-03
-350.00000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-385.39000000
-0.00007714211
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13850.48000000
USD
22000.00000000
AUD
2020-04-03
-385.39000000
N
N
N
Kommuninvest i Sverige Aktiebolag
EV2XZWMLLXF2QRX0CD47
KOMMUNINVEST I SVERIGE AB MTN 1.000000% 10/02/2024
N/A
5830000.00000000
PA
604170.91000000
0.120934693670
Long
DBT
NUSS
SE
N
2
2024-10-02
Fixed
1.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-36.49000000
-0.00000730407
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12889.53000000
USD
21000.00000000
AUD
2020-04-03
-36.49000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1722.10000000
-0.00034470649
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
30488.43000000
USD
47000.00000000
AUD
2020-04-03
-1722.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1734.01000000
0.000347090475
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
32519.58000000
USD
2020-04-03
1734.01000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.700000% 03/20/2037
N/A
92700000.00000000
PA
914282.78000000
0.183008658804
Long
DBT
NUSS
JP
N
2
2037-03-20
Fixed
0.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
507.17000000
0.000101518374
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15329.06000000
USD
2020-04-03
507.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
12470.41000000
0.002496156614
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2428000.00000000
ZAR
148397.15000000
USD
2020-04-03
12470.41000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-776.41000000
-0.00015541116
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
19381.47000000
USD
18000.00000000
CHF
2020-04-03
-776.41000000
N
N
N
STATSMINISTERENS KONTOR
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 1.750000% 09/06/2029
N/A
5806000.00000000
PA
598209.86000000
0.119741491972
Long
DBT
NUSS
NO
Y
2
2029-09-06
Fixed
1.75000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-11631.98000000
-0.00232833113
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
147614.71000000
USD
2429000.00000000
ZAR
2020-04-03
-11631.98000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1953.08000000
-0.00039094092
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
32163.94000000
USD
43000.00000000
CAD
2020-04-03
-1953.08000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-895.57000000
-0.00017926298
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31894.88000000
USD
25000.00000000
GBP
2020-04-03
-895.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2020-04-27
N/A
1.00000000
NC
USD
2865.99000000
0.000573674794
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
503451600.00000000
KRW
416316.55000000
USD
2020-04-27
2865.99000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1008.42000000
0.000201851763
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
73101.02000000
USD
8000000.00000000
JPY
2020-04-03
1008.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-678.79000000
-0.00013587092
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
67000.00000000
NZD
39041.09000000
USD
2020-04-03
-678.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-05-07
N/A
1.00000000
NC
USD
69259.91000000
0.013863504284
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
CAD
1193925.61000000
USD
2020-05-07
69259.91000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC MTN 0.750000% 10/26/2023
N/A
365000.00000000
PA
387964.44000000
0.077657430918
Long
DBT
NUSS
US
N
2
2023-10-26
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1391.39000000
0.000278509475
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
35000.00000000
NZD
22140.58000000
USD
2020-04-03
1391.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
525.22000000
0.000105131377
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14164.91000000
USD
2020-04-03
525.22000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.300000% 12/15/2024
171239AE6
190000.00000000
PA
194252.52000000
0.038882820427
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
459.33000000
0.000091942415
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15281.22000000
USD
2020-04-03
459.33000000
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA MTN 4.875000% 02/20/2029
N/A
220000.00000000
PA
224496.22000000
0.044936591859
Long
DBT
NUSS
IT
N
2
2029-02-20
Fixed
4.87500000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
11.00000000
NC
USD
2440625.00000000
0.488531029638
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2020
2020-06-22
2445239.01000000
USD
-4614.01000000
N
N
N
VIACOMCBS INC.
5KYC8KF17ROCY24M3H09
VIACOMCBS INC 3.500000% 01/15/2025
124857AP8
13000.00000000
PA
USD
12112.08000000
0.002424431001
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
222.35000000
0.000044506990
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14055.20000000
USD
13000.00000000
EUR
2020-04-30
222.35000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1692.21000000
0.000338723521
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13544.96000000
USD
160000.00000000
NOK
2020-04-03
1692.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
2515.21000000
0.000503460437
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2428000.00000000
ZAR
137915.36000000
USD
2020-04-30
2515.21000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
1112100000.00000000
PA
252707.40000000
0.050583521155
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1076.25000000
-0.00021542904
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14408.78000000
USD
140000.00000000
NOK
2020-04-03
-1076.25000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-96.33000000
-0.00001928202
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33112.09000000
USD
3564000.00000000
JPY
2020-04-03
-96.33000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
925.08000000
0.000185169899
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14374.98000000
USD
25000.00000000
AUD
2020-04-30
925.08000000
N
N
N
DP WORLD CRESCENT LIMITED
21380096JRTWB8TL9236
DP WORLD CRESCENT LTD MTN 4.848000% 09/26/2028
N/A
265000.00000000
PA
USD
241660.39000000
0.048372281341
Long
DBT
NUSS
KY
N
2
2028-09-26
Fixed
4.84800000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1860.60000000
-0.00037242953
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
34468.75000000
USD
3520000.00000000
JPY
2020-04-03
-1860.60000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-326.58000000
-0.00006537033
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32758.72000000
USD
3501000.00000000
JPY
2020-04-03
-326.58000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-274.25000000
-0.00005489562
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14538.96000000
USD
13000.00000000
EUR
2020-04-03
-274.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-09
N/A
1.00000000
NC
USD
-8443.65000000
-0.00169013471
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
122254320.00000000
JPY
1124493.00000000
USD
2020-04-09
-8443.65000000
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA MTN 1.125000% 01/23/2025
N/A
100000.00000000
PA
104761.40000000
0.020969708418
Long
DBT
NUSS
FR
N
2
2025-01-23
Fixed
1.12500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
1207550000.00000000
PA
13342613.75000000
2.670742466933
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-296.66000000
-0.00005938135
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13052.32000000
USD
2020-04-03
-296.66000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-100.66000000
-0.00002014874
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13449.64000000
USD
19000.00000000
CAD
2020-04-03
-100.66000000
N
N
N
DEXIA CREDIT LOCAL S.A.
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.500000% 01/17/2025
N/A
300000.00000000
PA
337747.13000000
0.067605614617
Long
DBT
NUSS
FR
N
2
2025-01-17
Fixed
0.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1585.07000000
-0.00031727769
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14346.20000000
USD
134000.00000000
NOK
2020-04-03
-1585.07000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 06/25/2039
N/A
60000.00000000
PA
80918.43000000
0.016197147830
Long
DBT
NUSS
FR
Y
2
2039-06-25
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
732.46000000
0.000146613854
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32553.75000000
USD
2020-04-03
732.46000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
292.12000000
0.000058472597
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
11564.56000000
USD
20000.00000000
NZD
2020-04-03
292.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
640.79000000
0.000128264603
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14280.48000000
USD
2020-04-03
640.79000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 4.700000% 09/12/2022
N/A
7470000.00000000
PA
324608.95000000
0.064975792911
Long
DBT
NUSS
CZ
N
2
2022-09-12
Fixed
4.70000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
673.63000000
0.000134838067
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12791.46000000
USD
22000.00000000
AUD
2020-04-03
673.63000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.700000% 03/01/2047
N/A
255000.00000000
PA
297734.87000000
0.059596506059
Long
DBT
NUSS
IT
Y
2
2047-03-01
Fixed
2.70000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9252.50000000
-0.00185203927
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
141837.07000000
USD
874000.00000000
TRY
2020-04-03
-9252.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
390.20000000
0.000078104914
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15212.09000000
USD
2020-04-03
390.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-575.79000000
-0.00011525379
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14303.88000000
USD
2020-04-03
-575.79000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1079.32000000
-0.00021604355
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
41663.50000000
USD
4381000.00000000
JPY
2020-04-03
-1079.32000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-440.38000000
-0.00008814926
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32742.83000000
USD
3487000.00000000
JPY
2020-04-03
-440.38000000
N
N
N
General Motors Financial of Canada, Ltd.
5493001CSMJPUBB7NS44
GENERAL MOTORS FINANCIAL OF CANADA LTD 3.080000% 05/22/2020
37045YAB0
1900000.00000000
PA
1322437.91000000
0.264707586706
Long
DBT
NUSS
CA
N
2
2020-05-22
Fixed
3.08000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.800000% 07/30/2027
N/A
3965000.00000000
PA
4432088.37000000
0.887155009411
Long
DBT
NUSS
ES
Y
2
2027-07-30
Fixed
0.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
167.86000000
0.000033599925
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
EUR
15529.86000000
USD
2020-04-03
167.86000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1052.67000000
0.000210709125
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13827.00000000
USD
12000.00000000
GBP
2020-04-03
1052.67000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2794.86000000
-0.00055943696
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
93312.83000000
USD
73000.00000000
GBP
2020-04-03
-2794.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
1349.30000000
0.000270084473
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
171504.12000000
EUR
189569.68000000
USD
2020-04-08
1349.30000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
308.78000000
0.000061807369
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13040.20000000
USD
19000.00000000
CAD
2020-04-03
308.78000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-478.61000000
-0.00009580162
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17435.91000000
USD
168000.00000000
SEK
2020-04-03
-478.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-303.26000000
-0.00006070245
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14581.56000000
USD
2020-04-30
-303.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
469.38000000
0.000093954087
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15973.59000000
USD
2020-04-03
469.38000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1912.87000000
-0.00038289223
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
22387.82000000
USD
215000.00000000
NOK
2020-04-03
-1912.87000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-345.03000000
-0.00006906340
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14375.17000000
USD
139000.00000000
SEK
2020-04-03
-345.03000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-610.52000000
-0.00012220556
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
219217.00000000
USD
369000.00000000
NZD
2020-04-30
-610.52000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-543.31000000
-0.00010875238
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
29592.18000000
USD
49000.00000000
NZD
2020-04-03
-543.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
486.92000000
0.000097465005
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14751.63000000
USD
2020-04-03
486.92000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-779.66000000
-0.00015606170
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13822.01000000
USD
22000.00000000
NZD
2020-04-03
-779.66000000
N
N
N
CLEAN HARBORS, INC.
5493000SJVZVZJKHJF48
CLEAN HARBORS INC 144A 4.875000% 07/15/2027
184496AN7
124000.00000000
PA
USD
121383.60000000
0.024296913736
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
4.87500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1395.89000000
-0.00027941022
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14157.02000000
USD
134000.00000000
NOK
2020-04-03
-1395.89000000
N
N
N
REPUBLIKA SLOVENIJA
485100000LWQHIX4XX88
REPUBLIKA SLOVENIJA 1.250000% 03/22/2027
N/A
305000.00000000
PA
359282.01000000
0.071916173224
Long
DBT
NUSS
SI
N
2
2027-03-22
Fixed
1.25000000
N
N
N
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC 0.625000% 11/08/2024
718172CF4
285000.00000000
PA
300897.74000000
0.060229606243
Long
DBT
NUSS
US
N
2
2024-11-08
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
879.29000000
0.000176004281
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14518.98000000
USD
2020-04-03
879.29000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1284.14000000
-0.00025704163
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
34359.80000000
USD
32000.00000000
CHF
2020-04-03
-1284.14000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
19132.34000000
0.003829650913
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
1314426.43000000
USD
2251000.00000000
NZD
2020-04-30
19132.34000000
N
N
N
N/A
N/A
Credit Default Swap
CDS514907
-600000.00000000
NC
USD
-132753.90000000
-0.02657286533
N/A
DCR
XX
N
2
BRK: CITIGROUP GLOBAL MARKETS INC.
N/A
Y
2063-05-11
0.00000000
USD
-45144.57000000
USD
-600000.00000000
USD
-87609.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
588.12000000
0.000117721841
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15623.07000000
USD
2020-04-03
588.12000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-121.83000000
-0.00002438626
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
3413.69000000
USD
3000.00000000
EUR
2020-04-03
-121.83000000
N
N
N
Slovenska Republika
097900BHFM0000074794
SLOVAKIA GOVERNMENT BOND 3.375000% 11/15/2024
N/A
75000.00000000
PA
94674.45000000
0.018950640323
Long
DBT
NUSS
SK
N
2
2024-11-15
Fixed
3.37500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
532.45000000
0.000106578579
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14424.84000000
USD
148000.00000000
SEK
2020-04-30
532.45000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-2888.68000000
-0.00057821656
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
210006.19000000
USD
188722.96000000
EUR
2020-04-08
-2888.68000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
14697.82000000
0.002942009173
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
210977.13000000
USD
182000.00000000
GBP
2020-04-03
14697.82000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-124.70000000
-0.00002496074
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
16880.12000000
USD
166000.00000000
SEK
2020-04-03
-124.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
554.73000000
0.000111038286
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14819.44000000
USD
2020-04-03
554.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
327.28000000
0.000065510447
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1193000.00000000
JPY
11378.85000000
USD
2020-04-03
327.28000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-657.47000000
-0.00013160337
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33321.21000000
USD
3526000.00000000
JPY
2020-04-03
-657.47000000
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
33.00000000
NC
3411402.67000000
0.682848065101
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2020
2020-06-22
3540363.00000000
CAD
-128960.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1062.84000000
0.000212744817
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
13915.88000000
USD
2020-04-03
1062.84000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
606.48000000
0.000121396895
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31343.95000000
USD
3449000.00000000
JPY
2020-04-03
606.48000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1566.06000000
-0.00031347253
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
16898.47000000
USD
161000.00000000
NOK
2020-04-03
-1566.06000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-77.64000000
-0.00001554091
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12930.68000000
USD
21000.00000000
AUD
2020-04-03
-77.64000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-167.17000000
-0.00003346181
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
12566.89000000
USD
10000.00000000
GBP
2020-04-03
-167.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-234.88000000
-0.00004701507
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14546.31000000
USD
2020-04-30
-234.88000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 3.250000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
170622.25000000
0.034152835225
Long
DBT
NUSS
NL
N
2
2168-12-29
Fixed
3.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-864.30000000
-0.00017300378
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14894.44000000
USD
139000.00000000
SEK
2020-04-03
-864.30000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
344.43000000
0.000068943300
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
41814.63000000
USD
34000.00000000
GBP
2020-04-03
344.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
4.01000000
0.000000802667
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14763.94000000
USD
2020-04-30
4.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1219.30000000
-0.00024406284
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
AUD
26322.93000000
USD
2020-04-03
-1219.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-556.48000000
-0.00011138857
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46000.00000000
CAD
31762.11000000
USD
2020-04-03
-556.48000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-17185.33000000
-0.00343992500
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
145274.45000000
USD
2288000.00000000
ZAR
2020-04-03
-17185.33000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
436.91000000
0.000087454685
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14520.38000000
USD
148000.00000000
SEK
2020-04-30
436.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1248.94000000
-0.00024999577
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
28985.60000000
USD
2020-04-03
-1248.94000000
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
10.00000000
NC
1551620.09000000
0.310582150136
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Italy Govt. Bond Futures
Euro-BTP Futures Jun 2020
2020-06-11
1654198.36000000
EUR
-102578.27000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
197.65000000
0.000039562881
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15019.54000000
USD
2020-04-03
197.65000000
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 3.375000% 01/09/2025
09659W2D5
395000.00000000
PA
USD
391532.10000000
0.078371556445
Long
DBT
NUSS
FR
Y
2
2025-01-09
Fixed
3.37500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-431.25000000
-0.00008632174
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13192.38000000
USD
134000.00000000
NOK
2020-04-03
-431.25000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-05-29
N/A
1.00000000
NC
-4543.68000000
-0.00090949190
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
1288583.25000000
USD
1238238.99000000
CHF
2020-05-29
-4543.68000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1430.10000000
0.000286257915
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
37009.04000000
USD
31000.00000000
GBP
2020-04-03
1430.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
7.92000000
0.000001585317
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14892.74000000
USD
2020-04-30
7.92000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
313.24000000
0.000062700111
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
32018.03000000
USD
46000.00000000
CAD
2020-04-30
313.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
806.46000000
0.000161426165
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
29572.79000000
USD
2020-04-03
806.46000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2022
N/A
914000.00000000
PA
1014649.62000000
0.203098724130
Long
DBT
NUSS
NL
Y
2
2022-01-15
Fixed
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1010.61000000
-0.00020229012
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13863.65000000
USD
21000.00000000
AUD
2020-04-03
-1010.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
10.91000000
0.000002183815
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14792.10000000
USD
2020-04-30
10.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2.05000000
0.000000410341
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
14823.94000000
USD
2020-04-03
2.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
225.71000000
0.000045179549
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14490.42000000
USD
2020-04-03
225.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-817.70000000
-0.00016367603
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
17000.00000000
GBP
20269.12000000
USD
2020-04-30
-817.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
520.41000000
0.000104168576
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15277.45000000
USD
2020-04-03
520.41000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 2.500000% 08/15/2046
N/A
931000.00000000
PA
1702713.46000000
0.340825960478
Long
DBT
NUSS
DE
N
2
2046-08-15
Fixed
2.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-460.88000000
-0.00009225267
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13313.92000000
USD
21000.00000000
AUD
2020-04-03
-460.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-149.95000000
-0.00003001494
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
12892.40000000
USD
2020-04-03
-149.95000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-11251.70000000
-0.00225221186
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
147234.43000000
USD
2429000.00000000
ZAR
2020-04-03
-11251.70000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-651.14000000
-0.00013033632
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33259.29000000
USD
3520000.00000000
JPY
2020-04-03
-651.14000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-693.16000000
-0.00013874731
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13454.29000000
USD
134000.00000000
NOK
2020-04-03
-693.16000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-30
N/A
1.00000000
NC
2340.94000000
0.000468577445
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31149.90000000
USD
27000.00000000
GBP
2020-04-30
2340.94000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2020-04-27
N/A
1.00000000
NC
8126.58000000
0.001626667962
N/A
DFE
CO
N
2
JP MORGAN
N/A
1113796.09000000
USD
4560995000.00000000
COP
2020-04-27
8126.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
407.59000000
0.000081585807
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
142000.00000000
SEK
14740.54000000
USD
2020-04-03
407.59000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1318.13000000
-0.00026384528
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
32317.44000000
USD
25000.00000000
GBP
2020-04-03
-1318.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
560.92000000
0.000112277316
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16065.13000000
USD
2020-04-03
560.92000000
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2004-6 BSARM 2004-6 3A
07384MW81
9509.28590000
PA
USD
8515.91000000
0.001704598732
Long
ABS-MBS
US
N
2
2034-09-25
Floating
4.60600920
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-755.83000000
-0.00015129174
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13798.18000000
USD
22000.00000000
NZD
2020-04-03
-755.83000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1427.91000000
-0.00028581955
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
30194.24000000
USD
47000.00000000
AUD
2020-04-03
-1427.91000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
8.42000000
0.000001685400
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32423.72000000
USD
3501000.00000000
JPY
2020-04-03
8.42000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-805.11000000
-0.00016115594
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14154.09000000
USD
19000.00000000
CAD
2020-04-03
-805.11000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
9865000.00000000
PA
6437395.44000000
1.288550032264
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-350.42000000
-0.00007014229
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
11323.28000000
USD
10000.00000000
EUR
2020-04-03
-350.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-24
N/A
1.00000000
NC
USD
-25058.53000000
-0.00501587481
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
554000.00000000
GBP
662071.00000000
USD
2020-04-24
-25058.53000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-182191.03000000
-0.03646851584
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14626494.02000000
USD
20559000.00000000
CAD
2020-04-03
-182191.03000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 1.125000% 09/15/2032
N/A
500000.00000000
PA
614064.54000000
0.122915065604
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/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-618.42000000
-0.00012378688
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
55000.00000000
NZD
31987.45000000
USD
2020-04-03
-618.42000000
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
335582.47000000
0.067172322498
Long
DBT
NUSS
FR
N
2
2024-12-11
Fixed
0.37500000
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
156818.77000000
0.031389842837
Long
DBT
NUSS
AT
Y
2
2034-05-23
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
12.19000000
0.000002440027
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
NZD
14822.93000000
USD
2020-04-30
12.19000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-414.10000000
-0.00008288889
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14678.81000000
USD
13000.00000000
EUR
2020-04-03
-414.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
243.18000000
0.000048676456
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13592.16000000
USD
2020-04-03
243.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1092.46000000
0.000218673744
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
NZD
18284.65000000
USD
2020-04-03
1092.46000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
271.11000000
0.000054267102
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13960.91000000
USD
141000.00000000
SEK
2020-04-03
271.11000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
888.21000000
0.000177789765
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
25960.84000000
USD
266000.00000000
SEK
2020-04-03
888.21000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-13813.79000000
-0.00276505610
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
141902.91000000
USD
2288000.00000000
ZAR
2020-04-03
-13813.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
650.81000000
0.000130270270
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
CHF
14087.80000000
USD
2020-04-03
650.81000000
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
96535.98000000
0.019323256012
Long
DBT
NUSS
CA
Y
2
2026-05-15
Fixed
4.37500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-05-15
N/A
1.00000000
NC
17311.82000000
0.003465244045
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
317669.55000000
USD
269992.40000000
GBP
2020-05-15
17311.82000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.800000% 03/20/2043
N/A
259650000.00000000
PA
3169363.11000000
0.634399886679
Long
DBT
NUSS
JP
N
2
2043-03-20
Fixed
1.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
235414.66000000
0.047122096283
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
64564000.00000000
EUR
71144298.32000000
USD
2020-04-30
235414.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-536955.93000000
-0.10748051558
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3184689051.00000000
JPY
29007888.47000000
USD
2020-04-27
-536955.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
502.77000000
0.000100637642
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15324.66000000
USD
2020-04-03
502.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1490.16000000
0.000298279907
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
32275.73000000
USD
2020-04-03
1490.16000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.950000% 03/01/2023
N/A
1530000.00000000
PA
1697963.07000000
0.339875092189
Long
DBT
NUSS
IT
N
2
2023-03-01
Fixed
0.95000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-7094.54000000
-0.00142008826
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
146505.55000000
USD
919000.00000000
TRY
2020-04-03
-7094.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-01
N/A
1.00000000
NC
USD
-20.89000000
-0.00000418147
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42175.00000000
SEK
4235.90000000
USD
2020-04-01
-20.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
66.50000000
0.000013311063
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1440000.00000000
JPY
13406.20000000
USD
2020-04-03
66.50000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-61.93000000
-0.00001239630
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14821.86000000
USD
21000.00000000
CAD
2020-04-30
-61.93000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-863.19000000
-0.00017278160
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14212.17000000
USD
19000.00000000
CAD
2020-04-03
-863.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
573.45000000
0.000114785400
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14838.16000000
USD
2020-04-03
573.45000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 4.125000% 04/14/2027
N/A
640000.00000000
PA
872059.25000000
0.174556928372
Long
DBT
NUSS
PT
Y
2
2027-04-14
Fixed
4.12500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
3.00000000
NC
506608.97000000
0.101406074976
N/A
DIR
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2020
2020-06-29
527999.11000000
GBP
-21390.14000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG MTN 4.750000% 02/12/2026
N/A
200000.00000000
PA
215060.84000000
0.043047946161
Long
DBT
NUSS
CH
N
2
2026-02-12
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
6463.58000000
0.001293791300
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
343000.00000000
EUR
382832.59000000
USD
2020-04-03
6463.58000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 03/25/2025
N/A
306000.00000000
PA
341479.41000000
0.068352691530
Long
DBT
NUSS
FR
N
2
2025-03-25
Fixed
0.00000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD MTN 2.250000% 06/06/2025
N/A
206000.00000000
PA
251279.00000000
0.050297603522
Long
DBT
NUSS
AU
N
2
2025-06-06
Fixed
2.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
382.21000000
0.000076505585
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14917.85000000
USD
25000.00000000
AUD
2020-04-30
382.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1429.54000000
0.000286145822
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
14190.67000000
USD
2020-04-03
1429.54000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2002.33000000
-0.00040079911
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
32213.19000000
USD
43000.00000000
CAD
2020-04-03
-2002.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-09
N/A
1.00000000
NC
USD
-4996.44000000
-0.00100011922
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
68044585.00000000
JPY
625576.00000000
USD
2020-04-09
-4996.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-3058.22000000
-0.00061215277
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
84000.00000000
AUD
48349.98000000
USD
2020-04-30
-3058.22000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-119.44000000
-0.00002390787
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
19701.08000000
USD
194000.00000000
SEK
2020-04-03
-119.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
259.06000000
0.000051855097
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15080.95000000
USD
2020-04-03
259.06000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 5.750000% 06/01/2033
135087XG4
1205000.00000000
PA
1347117.79000000
0.269647668524
Long
DBT
NUSS
CA
N
2
2033-06-01
Fixed
5.75000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN20 FINANCIAL COMMODITY FUTURE.
N/A
37.00000000
NC
USD
5131437.50000000
1.027141181214
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2020
2020-06-22
4902174.59000000
USD
229262.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
744.15000000
0.000148953799
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16248.36000000
USD
2020-04-03
744.15000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-3133.12000000
-0.00062714523
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
114805.17000000
USD
159000.00000000
SGD
2020-04-03
-3133.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
0.85000000
0.000000170141
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
12761.98000000
USD
2020-04-03
0.85000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1820.10000000
-0.00036432279
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
32030.96000000
USD
43000.00000000
CAD
2020-04-03
-1820.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2613.85000000
0.000523204847
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2175000.00000000
SEK
222150.27000000
USD
2020-04-03
2613.85000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2020-08-13
N/A
1.00000000
NC
-8921.15000000
-0.00178571414
N/A
DFE
MY
N
2
BARCLAYS CAPITAL INC.
N/A
280540.88000000
USD
1166208.44000000
MYR
2020-08-13
-8921.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1178.81000000
0.000235958110
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
58000.00000000
CAD
41928.34000000
USD
2020-04-03
1178.81000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
111.07000000
0.000022232477
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14120.95000000
USD
141000.00000000
SEK
2020-04-03
111.07000000
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP MTN 1.800000% 07/23/2020
N/A
115000.00000000
PA
126754.26000000
0.025371939215
Long
DBT
NUSS
US
N
2
2020-07-23
Fixed
1.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1927.26000000
-0.00038577262
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
480000.00000000
NOK
43827.21000000
USD
2020-04-30
-1927.26000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
167.33000000
0.000033493837
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
15699.53000000
USD
157000.00000000
SEK
2020-04-30
167.33000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1076.12000000
-0.00021540302
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33943.66000000
USD
3548000.00000000
JPY
2020-04-03
-1076.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
874.89000000
0.000175123549
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32000.00000000
EUR
35988.03000000
USD
2020-04-03
874.89000000
N
N
N
SUEZ S.A.
549300JQIZM6CL7POC81
SUEZ 2.875000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
314361.89000000
0.062924676179
Long
DBT
NUSS
FR
N
2
2168-04-19
Fixed
2.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-2908.08000000
-0.00058209979
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
222234.44000000
USD
199847.52000000
EUR
2020-04-08
-2908.08000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-597.41000000
-0.00011958138
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33029.55000000
USD
3501000.00000000
JPY
2020-04-03
-597.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
453.30000000
0.000090735412
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14923.90000000
USD
2020-04-03
453.30000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-140.38000000
-0.00002809935
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32804.12000000
USD
3526000.00000000
JPY
2020-04-03
-140.38000000
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
203800.00000000
0.040793904774
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/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1049.66000000
0.000210106624
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32870.95000000
USD
2020-04-03
1049.66000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-559.15000000
-0.00011192302
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14823.86000000
USD
13000.00000000
EUR
2020-04-03
-559.15000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-858.28000000
-0.00017179878
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
29907.15000000
USD
49000.00000000
NZD
2020-04-03
-858.28000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.450000% 07/30/2066
N/A
240000.00000000
PA
403283.85000000
0.080723861501
Long
DBT
NUSS
ES
Y
2
2066-07-30
Fixed
3.45000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 1.250000% 05/25/2034
N/A
800000.00000000
PA
995117.24000000
0.199188998665
Long
DBT
NUSS
FR
N
2
2034-05-25
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2020-04-16
N/A
1.00000000
NC
USD
46219.12000000
0.009251513150
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22954100.68000000
CNY
3284882.32000000
USD
2020-04-16
46219.12000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-6873.17000000
-0.00137577744
N/A
DFE
XX
N
2
JP MORGAN
N/A
129152.79000000
USD
2869000.00000000
MXN
2020-04-03
-6873.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
969.69000000
0.000194099320
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
14012.04000000
USD
2020-04-03
969.69000000
N
N
N
CYRUSONE LP
549300TDXOX1X4TWIB58
CYRUSONE LP / CYRUSONE FINANCE CORP 1.450000% 01/22/2027
23283PAS3
154000.00000000
PA
147383.89000000
0.029501297222
Long
DBT
CORP
US
N
2
2027-01-22
Fixed
1.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
3677.95000000
0.000736201874
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
322000.00000000
NOK
34342.76000000
USD
2020-04-03
3677.95000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
661.39000000
0.000132388030
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13267.82000000
USD
138000.00000000
SEK
2020-04-03
661.39000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-726.66000000
-0.00014545288
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
30937.52000000
USD
43000.00000000
CAD
2020-04-03
-726.66000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-80.29000000
-0.00001607135
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33151.63000000
USD
3570000.00000000
JPY
2020-04-03
-80.29000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
640.58000000
0.000128222568
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14660.66000000
USD
25000.00000000
AUD
2020-04-03
640.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-236.59000000
-0.00004735735
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
31000.00000000
NZD
18141.27000000
USD
2020-04-03
-236.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1195.80000000
-0.00023935893
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
326000.00000000
SEK
31750.67000000
USD
2020-04-30
-1195.80000000
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
242142.35000000
0.048468753522
Long
DBT
NUSS
GB
N
2
2046-06-04
Fixed
4.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-2518.11000000
-0.00050404092
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
351000.00000000
NOK
30908.44000000
USD
2020-04-03
-2518.11000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
88.36000000
0.000017686699
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
15368.36000000
USD
22000.00000000
CAD
2020-04-03
88.36000000
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 2.000000% 05/25/2022
N/A
75000.00000000
PA
81913.75000000
0.016396377415
Long
DBT
NUSS
CH
N
2
2022-05-25
Fixed
2.00000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.000000% 07/15/2024
N/A
345000.00000000
PA
421006.22000000
0.084271283847
Long
DBT
NUSS
NL
Y
2
2024-07-15
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-522.37000000
-0.00010456090
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
28985.91000000
USD
2020-04-03
-522.37000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-171.59000000
-0.00003434654
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
13339.02000000
USD
12000.00000000
EUR
2020-04-03
-171.59000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
35769.92000000
0.007159934790
N/A
DFE
MY
N
2
BANK OF AMERICA
N/A
11264652.14000000
USD
80148000.00000000
CNY
2020-04-03
35769.92000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
271.46000000
0.000054337160
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
4977.23000000
USD
52000.00000000
SEK
2020-04-03
271.46000000
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
CENTRICA PLC MTN 4.250000% 09/12/2044
N/A
100000.00000000
PA
134867.57000000
0.026995950970
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/MXN SETTLE 2020-04-27
N/A
1.00000000
NC
USD
-71288.05000000
-0.01426946969
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
52971600.00000000
MXN
2178635.74000000
USD
2020-04-27
-71288.05000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
94.96000000
0.000019007797
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13254.02000000
USD
19000.00000000
CAD
2020-04-03
94.96000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-832.30000000
-0.00016659846
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14862.44000000
USD
139000.00000000
SEK
2020-04-03
-832.30000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
64.04000000
0.000012818653
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
3490.54000000
USD
6000.00000000
NZD
2020-04-30
64.04000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1711.43000000
-0.00034257071
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14472.56000000
USD
134000.00000000
NOK
2020-04-03
-1711.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
230.97000000
0.000046232424
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14495.68000000
USD
2020-04-03
230.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1028.66000000
0.000205903130
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46000.00000000
CAD
33347.25000000
USD
2020-04-03
1028.66000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
811.39000000
0.000162412985
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
11588.33000000
USD
10000.00000000
GBP
2020-04-03
811.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
3042.81000000
0.000609068210
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
66000.00000000
CAD
49412.96000000
USD
2020-04-03
3042.81000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-875.46000000
-0.00017523764
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14224.44000000
USD
19000.00000000
CAD
2020-04-03
-875.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
231.51000000
0.000046340514
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
399000.00000000
EUR
438048.53000000
USD
2020-04-03
231.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-619.70000000
-0.00012404309
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14259.97000000
USD
2020-04-03
-619.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
135.21000000
0.000027064493
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
15003.42000000
USD
2020-04-03
135.21000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-220.89000000
-0.00004421474
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14485.60000000
USD
13000.00000000
EUR
2020-04-03
-220.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
543.49000000
0.000108788416
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
31329.06000000
USD
2020-04-03
543.49000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.450000% 04/30/2029
N/A
687000.00000000
PA
809411.24000000
0.162016904062
Long
DBT
NUSS
ES
Y
2
2029-04-30
Fixed
1.45000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-27
N/A
1.00000000
NC
7082.63000000
0.001417704287
N/A
DFE
XX
N
2
JP MORGAN
N/A
366834.32000000
USD
8803400.00000000
MXN
2020-04-27
7082.63000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
676.27000000
0.000135366506
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12176.77000000
USD
21000.00000000
AUD
2020-04-03
676.27000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT JUN20 FINANCIAL COMMODITY FUTURE.
N/A
28.00000000
NC
3446810.85000000
0.689935591711
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
Euro-Schatz Future Jun 2020
2020-06-11
3506489.51000000
EUR
-59678.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-05-26
N/A
1.00000000
NC
USD
675.81000000
0.000135274429
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5200200.00000000
NOK
496461.70000000
USD
2020-05-26
675.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-7772.79000000
-0.00155585110
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32400000.00000000
JPY
292861.50000000
USD
2020-04-30
-7772.79000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 6.250000% MATURITY: PERPETUAL
060505EH3
150000.00000000
PA
USD
152250.00000000
0.030475328763
Long
DBT
CORP
US
N
2
2169-03-05
Fixed
6.25000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1196.88000000
-0.00023957511
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
34272.54000000
USD
32000.00000000
CHF
2020-04-03
-1196.88000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
308.74000000
0.000061799362
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
11320.20000000
USD
19000.00000000
AUD
2020-04-03
308.74000000
N
N
N
BPIFRANCE FINANCEMENT SA
969500STN7T9MRUMJ267
BPIFRANCE FINANCEMENT SA 0.000000% 11/25/2022
N/A
600000.00000000
PA
662632.74000000
0.132636785554
Long
DBT
NUSS
FR
N
2
2022-11-25
Fixed
0.00000000
N
N
N
N
N
N
ZURICH FINANCE (UK) PLC
213800LG3O6I2B27MS24
ZURICH FINANCE PLC 6.625% 9/29/2049
N/A
235000.00000000
PA
298802.70000000
0.059810249706
Long
ABS-MBS
GB
N
2
2049-10-30
Fixed
6.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-250.20000000
-0.00005008162
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
8000.00000000
GBP
9669.58000000
USD
2020-04-03
-250.20000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
186.50000000
0.000037331026
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14078.21000000
USD
13000.00000000
EUR
2020-04-03
186.50000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-27585.25000000
-0.00552163916
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
641331.78000000
USD
559238.38000000
EUR
2020-04-08
-27585.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
192.79000000
0.000038590073
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
30000.00000000
EUR
33140.97000000
USD
2020-04-30
192.79000000
N
N
N
Europcar Mobility Group S.A.
969500XCGTMV08D76N87
EUROPCAR MOBILITY GROUP 144A 4.125000% 11/15/2024
AP6034312
100000.00000000
PA
50855.31000000
0.010179522440
Long
DBT
NUSS
FR
Y
2
2024-11-15
Fixed
4.12500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1562.90000000
-0.00031284000
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
36968.68000000
USD
3822000.00000000
JPY
2020-04-03
-1562.90000000
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
616764.51000000
0.123455508779
Long
DBT
NUSS
IE
N
2
2022-05-07
Fixed
0.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-252.50000000
-0.00005054200
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14218.10000000
USD
2020-04-03
-252.50000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
5.98000000
0.000001196994
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33065.36000000
USD
3570000.00000000
JPY
2020-04-03
5.98000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-202.49000000
-0.00004053168
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14962.42000000
USD
21000.00000000
CAD
2020-04-30
-202.49000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
641.16000000
0.000128338665
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14169.58000000
USD
25000.00000000
NZD
2020-04-30
641.16000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 11/20/2036
N/A
22113000.00000000
PA
1146114.03000000
0.229413476941
Long
DBT
NUSS
MX
N
2
2036-11-20
Fixed
10.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
694.13000000
0.000138941477
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
135000.00000000
NOK
13550.50000000
USD
2020-04-03
694.13000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-412.38000000
-0.00008254460
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
16411.41000000
USD
168000.00000000
NOK
2020-04-03
-412.38000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-09
N/A
1.00000000
NC
487.47000000
0.000097575096
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
612118.00000000
USD
66105784.00000000
JPY
2020-04-09
487.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
322.86000000
0.000064625711
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15144.75000000
USD
2020-04-03
322.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
18382.25000000
0.003679508125
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2288000.00000000
ZAR
146471.37000000
USD
2020-04-03
18382.25000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.350000% 07/30/2033
N/A
705000.00000000
PA
912466.33000000
0.182645066614
Long
DBT
NUSS
ES
Y
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.675000% 06/29/2044
N/A
20805000.00000000
PA
906168.44000000
0.181384440878
Long
DBT
NUSS
TH
N
2
2044-06-29
Fixed
4.67500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
75.85000000
0.000015182618
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14832.89000000
USD
2020-04-03
75.85000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 0.000000% 10/18/2024
N/A
4771000.00000000
PA
5396464.45000000
1.080190661886
Long
DBT
NUSS
DE
N
2
2024-10-18
Fixed
0.00000000
N
N
N
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 1.875000% 05/23/2022
N/A
235000.00000000
PA
254342.11000000
0.050910735110
Long
DBT
NUSS
JE
N
2
2022-05-23
Fixed
1.87500000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.650000% 06/02/2041
683234B98
540000.00000000
PA
509053.43000000
0.101895373643
Long
DBT
NUSS
CA
N
2
2041-06-02
Fixed
4.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
164.24000000
0.000032875323
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
15032.45000000
USD
2020-04-03
164.24000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1959.77000000
-0.00039228003
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
31468.05000000
USD
42000.00000000
CAD
2020-04-03
-1959.77000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
524.48000000
0.000104983254
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
11104.46000000
USD
19000.00000000
AUD
2020-04-03
524.48000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.000000% 04/27/2026
N/A
210000.00000000
PA
231129.73000000
0.046264397429
Long
DBT
NUSS
US
N
2
2026-04-27
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-05-05
N/A
1.00000000
NC
USD
93219.31000000
0.018659370241
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
16629530.49000000
EUR
18360184.02000000
USD
2020-05-05
93219.31000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2049
N/A
108000.00000000
PA
255253.25000000
0.051093114690
Long
DBT
NUSS
GB
N
2
2049-12-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
384.31000000
0.000076925934
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
135000.00000000
NOK
13240.68000000
USD
2020-04-03
384.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
307.52000000
0.000061555159
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1136000.00000000
JPY
10831.06000000
USD
2020-04-03
307.52000000
N
N
N
Republik Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 3.650000% 04/20/2022
N/A
1135000.00000000
PA
1352567.51000000
0.270738519156
Long
DBT
NUSS
AT
Y
2
2022-04-20
Fixed
3.65000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
167.81000000
0.000033589917
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13467.37000000
USD
23000.00000000
NZD
2020-04-03
167.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-548.42000000
-0.00010977523
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
45000.00000000
CAD
31067.59000000
USD
2020-04-03
-548.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-541.49000000
-0.00010838808
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13098.20000000
USD
2020-04-03
-541.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
646.91000000
0.000129489621
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13689.26000000
USD
2020-04-03
646.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1873.68000000
-0.00037504771
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
26892.65000000
USD
2020-04-03
-1873.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
284.08000000
0.000056863260
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15788.29000000
USD
2020-04-03
284.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2022.84000000
0.000404904525
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
93000.00000000
NZD
57156.41000000
USD
2020-04-03
2022.84000000
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 1.800000% 07/10/2048
N/A
270000.00000000
PA
392958.62000000
0.078657097765
Long
DBT
NUSS
LU
N
2
2048-07-10
Fixed
1.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
539.34000000
0.000107957726
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16043.55000000
USD
2020-04-03
539.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-310.25000000
-0.00006210161
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14160.35000000
USD
2020-04-03
-310.25000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-672.91000000
-0.00013469394
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14937.62000000
USD
13000.00000000
EUR
2020-04-03
-672.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
56134.07000000
0.011236152630
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3560000.00000000
PLN
913256.30000000
USD
2020-04-03
56134.07000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA MTN 5.625000% 03/11/2021
N/A
216000.00000000
PA
247775.37000000
0.049596294647
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/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
464.49000000
0.000092975273
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1920000.00000000
JPY
18250.76000000
USD
2020-04-03
464.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-05-14
N/A
1.00000000
NC
USD
74790.71000000
0.014970584405
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
7997610.27000000
NOK
837235.70000000
USD
2020-05-14
74790.71000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-30
N/A
1.00000000
NC
252.90000000
0.000050622073
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
20614.28000000
USD
19000.00000000
EUR
2020-04-30
252.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
940.27000000
0.000188210426
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
GBP
18299.88000000
USD
2020-04-03
940.27000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-48.98000000
-0.00000980414
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1582000.00000000
JPY
14630.14000000
USD
2020-04-30
-48.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
128.79000000
0.000025779425
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13768.48000000
USD
2020-04-03
128.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
597.63000000
0.000119625423
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14862.34000000
USD
2020-04-03
597.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
395.76000000
0.000079217839
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1613000.00000000
JPY
15338.08000000
USD
2020-04-03
395.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
630.21000000
0.000126146843
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1620000.00000000
JPY
15637.37000000
USD
2020-04-03
630.21000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.875000% 06/15/2027
171239AC0
115000.00000000
PA
116236.60000000
0.023266657466
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
157.00000000
0.000031426118
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15191.95000000
USD
2020-04-03
157.00000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
1341000.00000000
PA
1087322.75000000
0.217645440248
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
119.93000000
0.000024005951
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
11974.58000000
USD
127000.00000000
NOK
2020-04-03
119.93000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
307.22000000
0.000061495110
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
13957.49000000
USD
13000.00000000
EUR
2020-04-03
307.22000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-3049.80000000
-0.00061046737
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
156000.99000000
USD
258000.00000000
NZD
2020-04-03
-3049.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-585.21000000
-0.00011713935
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
13054.48000000
USD
2020-04-03
-585.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
750.90000000
0.000150304921
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14390.59000000
USD
2020-04-03
750.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-862.83000000
-0.00017270954
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49000.00000000
NZD
28186.04000000
USD
2020-04-03
-862.83000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-909.19000000
-0.00018198925
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14544.37000000
USD
23000.00000000
NZD
2020-04-03
-909.19000000
N
N
N
Motion Bondco DAC
635400KFD3IETNQLA755
MOTION BONDCO DAC 144A 4.500000% 11/15/2027
N/A
245000.00000000
PA
195302.13000000
0.039092917043
Long
DBT
NUSS
IE
Y
2
2027-11-15
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-442.44000000
-0.00008856160
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
GBP
16917.17000000
USD
2020-04-03
-442.44000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-289.82000000
-0.00005801221
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13638.80000000
USD
19000.00000000
CAD
2020-04-03
-289.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-608.93000000
-0.00012188730
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
29625.61000000
USD
2020-04-03
-608.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1829.74000000
0.000366252400
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
31338.02000000
USD
2020-04-03
1829.74000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
391.44000000
0.000078353121
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
15521.85000000
USD
26000.00000000
AUD
2020-04-03
391.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
10369.09000000
0.002075543032
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
270000.00000000
GBP
345161.60000000
USD
2020-04-03
10369.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
584.31000000
0.000116959207
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15341.35000000
USD
2020-04-03
584.31000000
N
N
N
STATSMINISTERENS KONTOR
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 3.000000% 03/14/2024
N/A
4201000.00000000
PA
439630.79000000
0.087999296286
Long
DBT
NUSS
NO
Y
2
2024-03-14
Fixed
3.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1386.32000000
-0.00027749463
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14718.85000000
USD
140000.00000000
NOK
2020-04-03
-1386.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1959.01000000
0.000392127906
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
773000.00000000
MXN
34905.04000000
USD
2020-04-03
1959.01000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
82.19000000
0.000016451673
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
8869.65000000
USD
94000.00000000
NOK
2020-04-03
82.19000000
N
N
N
N/A
N/A
Credit Default Swap
CDS531199
-2400000.00000000
NC
USD
-8617.61000000
-0.00172495565
N/A
DO
XX
N
2
BRK: CITIGROUP
N/A
Y
2024-12-20
33317.80000000
USD
0.00000000
USD
-2400000.00000000
USD
-41935.41000000
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
ALLERGAN FUNDING SCS 2.625000% 11/15/2028
018489AG9
100000.00000000
PA
113282.86000000
0.022675418073
Long
DBT
NUSS
LU
N
2
2028-11-15
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
102.28000000
0.000020473015
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15137.23000000
USD
2020-04-03
102.28000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
551.74000000
0.000110439789
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
31343.11000000
USD
3443000.00000000
JPY
2020-04-03
551.74000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
85409.49000000
0.017096106976
N/A
DFE
XX
N
2
JP MORGAN
N/A
1824437.12000000
USD
44810000.00000000
MXN
2020-04-03
85409.49000000
N
N
N
Wepa Hygieneprodukte GmbH
529900KQ44OJDIDU6J81
WEPA HYGIENEPRODUKTE GMBH 144A 2.875000% 12/15/2027
N/A
190000.00000000
PA
180787.39000000
0.036187554328
Long
DBT
NUSS
DE
Y
2
2027-12-15
Fixed
2.87500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-769.26000000
-0.00015397997
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14404.44000000
USD
23000.00000000
NZD
2020-04-03
-769.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2310.41000000
0.000462466366
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
31076.74000000
USD
2020-04-03
2310.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1143.59000000
0.000228908251
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32964.88000000
USD
2020-04-03
1143.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-01
N/A
1.00000000
NC
USD
42.69000000
0.000008545102
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3200.00000000
EUR
3553.89000000
USD
2020-04-01
42.69000000
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2014-CR14 MORTGAGE TRUST COMM 2014-CR14 A3
12630DAX2
70000.00000000
PA
USD
73866.92000000
0.014785672720
Long
ABS-MBS
US
N
2
2047-02-10
Fixed
3.95500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 2.200000% 09/20/2028
N/A
14550000.00000000
PA
160663.92000000
0.032159512527
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/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-667.12000000
-0.00013353498
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
31182.79000000
USD
2020-04-30
-667.12000000
N
N
N
BMW Finance N.V.
5299006ZHG3IXU0PNJ56
BMW FINANCE NV MTN 0.454000% 01/29/2021
N/A
200000000.00000000
PA
1852244.38000000
0.370757020887
Long
DBT
NUSS
NL
N
2
2021-01-29
Fixed
0.45400000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-543.41000000
-0.00010877240
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14183.10000000
USD
11000.00000000
GBP
2020-04-03
-543.41000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
3939.46000000
0.000788547380
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
562378.79000000
USD
5940000.00000000
NOK
2020-05-26
3939.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
573.32000000
0.000114759379
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14213.01000000
USD
2020-04-03
573.32000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-861.82000000
-0.00017250737
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14497.00000000
USD
23000.00000000
NZD
2020-04-03
-861.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
499.72000000
0.000100027134
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13848.70000000
USD
2020-04-03
499.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1056.55000000
0.000211485770
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
13909.59000000
USD
2020-04-03
1056.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
733.71000000
0.000146864062
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14373.40000000
USD
2020-04-03
733.71000000
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 2.375000% 09/23/2024
09857LAC2
355000.00000000
PA
390239.91000000
0.078112903472
Long
DBT
NUSS
US
N
2
2024-09-23
Fixed
2.37500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
517.42000000
0.000103570079
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
11882.30000000
USD
10000.00000000
GBP
2020-04-03
517.42000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-3440.21000000
-0.00068861432
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
82879.98000000
USD
134000.00000000
NZD
2020-04-03
-3440.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
670.59000000
0.000134229561
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1613000.00000000
JPY
15612.91000000
USD
2020-04-03
670.59000000
N
N
N
JOHNSON CONTROLS INTERNATIONAL PUBLIC LIMITED COMPANY
549300XQ6S1GYKGBL205
JOHNSON CONTROLS INTERNATIONAL PLC 1.375000% 02/25/2025
478375AT5
395000.00000000
PA
424408.84000000
0.084952373917
Long
DBT
NUSS
IE
N
2
2025-02-25
Fixed
1.37500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
10150.93000000
0.002031874738
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
355627.69000000
USD
617000.00000000
NZD
2020-04-03
10150.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
178900.89000000
0.035809940484
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4859000.00000000
AUD
3152849.61000000
USD
2020-04-03
178900.89000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRISH TSY 4 1/2% 2020 4.500000% 04/18/2020
N/A
205000.00000000
PA
225393.06000000
0.045116109060
Long
DBT
NUSS
IE
N
2
2020-04-18
Fixed
4.50000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
7545000.00000000
PA
5575141.95000000
1.115955887207
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
Carnival Corporation
F1OF2ZSX47CR0BCWA982
CARNIVAL CORP 1.625000% 02/22/2021
143658BB7
180000.00000000
PA
150498.70000000
0.030124777411
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/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
495.06000000
0.000099094359
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14759.77000000
USD
2020-04-03
495.06000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 1.950000% 06/15/2029
N/A
199371.00000000
PA
241087.15000000
0.048257537975
Long
DBT
NUSS
PT
Y
2
2029-06-15
Fixed
1.95000000
N
N
N
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 0.625000% 01/18/2027
N/A
225000.00000000
PA
258101.81000000
0.051663300585
Long
DBT
NUSS
NL
N
2
2027-01-18
Fixed
0.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-11919.63000000
-0.00238590898
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
454125.79000000
USD
403000.00000000
EUR
2020-04-03
-11919.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2092.23000000
0.000418794069
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
CAD
32303.09000000
USD
2020-04-03
2092.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2020-04-03
N/A
1.00000000
NC
USD
88917.10000000
0.017798212513
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
76749000.00000000
THB
2427613.47000000
USD
2020-04-03
88917.10000000
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC MTN 1.625000% 09/18/2025
N/A
220000.00000000
PA
213788.43000000
0.042793252479
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/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
4156.34000000
0.000831959461
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
349000.00000000
NOK
37392.43000000
USD
2020-04-03
4156.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
503.76000000
0.000100835807
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14974.36000000
USD
2020-04-03
503.76000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-727.76000000
-0.00014567307
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14757.90000000
USD
139000.00000000
SEK
2020-04-03
-727.76000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
57.27000000
0.000011463527
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13582.42000000
USD
11000.00000000
GBP
2020-04-03
57.27000000
N
N
N
ENGIE S.A.
LAXUQCHT4FH58LRZDY46
ENGIE SA 3.250000% MATURITY: PERPETUAL
N/A
500000.00000000
PA
541081.01000000
0.108306217847
Long
DBT
NUSS
FR
N
2
2169-02-28
Fixed
3.25000000
N
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
364751.97000000
0.073011075223
Long
DBT
NUSS
NL
N
2
2033-01-10
Fixed
1.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1057.49000000
-0.00021167392
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
37016.69000000
USD
29000.00000000
GBP
2020-04-03
-1057.49000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
562.96000000
0.000112685655
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
31479.08000000
USD
31000.00000000
CHF
2020-04-03
562.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
719.12000000
0.000143943634
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
20000.00000000
NZD
12575.80000000
USD
2020-04-03
719.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
194.54000000
0.000038940364
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15016.43000000
USD
2020-04-03
194.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-789916.22000000
-0.15811465681
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11341000.00000000
GBP
13277475.75000000
USD
2020-04-30
-789916.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-24
N/A
1.00000000
NC
USD
5917.76000000
0.001184536496
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1175000.00000000
CAD
831698.84000000
USD
2020-04-24
5917.76000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-789.79000000
-0.00015808939
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14122.32000000
USD
140000.00000000
NOK
2020-04-03
-789.79000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-04-14
N/A
1.00000000
NC
-23074.91000000
-0.00461882081
N/A
DFE
RU
N
2
CITI
N/A
612680.50000000
USD
46142500.00000000
RUB
2020-04-14
-23074.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
877.19000000
0.000175583931
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
NZD
13326.71000000
USD
2020-04-03
877.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1214.17000000
0.000243035992
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
CAD
31425.03000000
USD
2020-04-03
1214.17000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-50.49000000
-0.00001010639
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
28506.53000000
USD
48000.00000000
NZD
2020-04-03
-50.49000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-220.59000000
-0.00004415469
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14485.30000000
USD
13000.00000000
EUR
2020-04-03
-220.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1051.97000000
0.000210569008
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
228000.00000000
SEK
24065.44000000
USD
2020-04-03
1051.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
751.39000000
0.000150403003
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1460000.00000000
JPY
14276.36000000
USD
2020-04-03
751.39000000
N
N
N
TEMASEK FINANCIAL (I) LIMITED
549300XMGMDF3VRJMF12
TEMASEK FINANCIAL I LTD MTN 2.375000% 01/23/2023
87973PAC8
495000.00000000
PA
USD
505340.54000000
0.101152177956
Long
DBT
NUSS
SG
Y
2
2023-01-23
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-209.91000000
-0.00004201692
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
30575.66000000
USD
2020-04-03
-209.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-79076.55000000
-0.01582846541
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1334128000.00000000
JPY
12300078.37000000
USD
2020-04-30
-79076.55000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
924.67000000
0.000185087830
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
17453.19000000
USD
31000.00000000
NZD
2020-04-03
924.67000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
820000.00000000
PA
647734.90000000
0.129654739105
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
83874.91000000
0.016788935679
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
5314588.99000000
USD
581804000.00000000
JPY
2020-04-30
83874.91000000
N
N
N
Federal National Mortgage Association
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C06 1M1
30711XDP6
36616.82720000
PA
USD
36269.77000000
0.007259987946
Long
DBT
USGA
US
N
2
2029-04-25
Floating
2.92674960
N
N
N
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
754168.24000000
0.150959113672
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
PROLOGIS, L.P.
GL16H1DHB0QSHP25F723
PROLOGIS LP MTN 3.000000% 01/18/2022
74340XAZ4
115000.00000000
PA
130235.41000000
0.026068748350
Long
DBT
NUSS
US
N
2
2022-01-18
Fixed
3.00000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.700000% 06/22/2050
N/A
320000.00000000
PA
433576.70000000
0.086787471110
Long
DBT
NUSS
BE
Y
2
2050-06-22
Fixed
1.70000000
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
462289.98000000
0.092534903936
Long
DBT
NUSS
SE
N
2
2168-05-13
Fixed
5.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
334.03000000
0.000066861570
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
31997.24000000
USD
46000.00000000
CAD
2020-04-30
334.03000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1221.79000000
0.000244561260
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14015.38000000
USD
160000.00000000
NOK
2020-04-03
1221.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-24
N/A
1.00000000
NC
USD
-70667.67000000
-0.01414529048
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5806900.00000000
CHF
5940696.36000000
USD
2020-04-24
-70667.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1657.23000000
0.000331721701
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
90000.00000000
AUD
56741.69000000
USD
2020-04-03
1657.23000000
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
158736.00000000
PA
USD
159343.77000000
0.031895262903
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-68.87000000
-0.00001378545
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14685.27000000
USD
2020-04-03
-68.87000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-19347.81000000
-0.00387278075
N/A
DFE
ZA
N
2
GOLDMAN, SACHS & CO.
N/A
147436.93000000
USD
2288000.00000000
ZAR
2020-04-03
-19347.81000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 3.550000% 04/09/2024
456837AP8
325000.00000000
PA
USD
326568.66000000
0.065368060934
Long
DBT
NUSS
NL
N
2
2024-04-09
Fixed
3.55000000
N
N
N
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
31000000.00000000
NC
106636.67000000
0.021345074393
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-09-09
0.00000000
CNY
0.00000000
CNY
-31000000.00000000
CNY
106636.67000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-4323.66000000
-0.00086545129
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
159040.95000000
USD
141000.00000000
EUR
2020-04-03
-4323.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
864.42000000
0.000173027807
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13906.77000000
USD
2020-04-03
864.42000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-45.45000000
-0.00000909756
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33116.79000000
USD
3570000.00000000
JPY
2020-04-03
-45.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
71077.97000000
0.014227418742
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
10894896.19000000
ZAR
680569.46000000
USD
2020-04-08
71077.97000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-522.34000000
-0.00010455489
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33593.68000000
USD
3570000.00000000
JPY
2020-04-03
-522.34000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-177.59000000
-0.00003554754
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14442.30000000
USD
13000.00000000
EUR
2020-04-03
-177.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-78.11000000
-0.00001563499
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
30707.46000000
USD
2020-04-03
-78.11000000
N
N
N
BRK: GOLDMAN SACHS
N/A
BRK: GOLDMAN SACHS PAY: 1.6460%
N/A
460000.00000000
NC
-156160.14000000
-0.03125800726
N/A
DIR
XX
N
2
BRK: GOLDMAN SACHS
N/A
Y
2047-10-03
0.00000000
GBP
0.00000000
GBP
-460000.00000000
GBP
-156160.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-2481.86000000
-0.00049678488
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
295000.00000000
NOK
25611.68000000
USD
2020-04-03
-2481.86000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-866.38000000
-0.00017342013
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14215.36000000
USD
19000.00000000
CAD
2020-04-03
-866.38000000
N
N
N
BPCE SFH SA
969500T1UBNNTYVWOS04
BPCE SFH SA MTN 3.750000% 09/13/2021
N/A
200000.00000000
PA
231834.27000000
0.046405422639
Long
DBT
NUSS
FR
N
2
2021-09-13
Fixed
3.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-460.74000000
-0.00009222465
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31460.05000000
USD
25000.00000000
GBP
2020-04-03
-460.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
155.84000000
0.000031193926
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
14977.73000000
USD
2020-04-03
155.84000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
-3044.80000000
-0.00060946654
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
146391.00000000
USD
1417500.00000000
SEK
2020-05-26
-3044.80000000
N
N
N
Volkswagen International Finance N.V.
5299004PWNHKYTR23649
VOLKSWAGEN INTERNATIONAL FINANCE NV 1.125000% 10/02/2023
N/A
600000.00000000
PA
635175.61000000
0.127140791704
Long
DBT
NUSS
NL
N
2
2023-10-02
Fixed
1.12500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1276.42000000
0.000255496349
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
29722.89000000
USD
25000.00000000
GBP
2020-04-03
1276.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
742.35000000
0.000148593499
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32000.00000000
EUR
35855.49000000
USD
2020-04-03
742.35000000
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC MTN 1.744000% 07/19/2024
N/A
125000.00000000
PA
107315.63000000
0.021480979347
Long
DBT
NUSS
US
N
2
2024-07-19
Fixed
1.74400000
N
N
N
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
206470.63000000
0.041328475068
Long
DBT
NUSS
AU
Y
2
2024-03-19
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 3.375000% 01/23/2026
N/A
490000.00000000
PA
615969.01000000
0.123296276437
Long
DBT
NUSS
FR
N
2
2026-01-23
Fixed
3.37500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
48.22000000
0.000009652022
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
28045.32000000
USD
295000.00000000
NOK
2020-04-03
48.22000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2453.78000000
-0.00049116421
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
33668.31000000
USD
51000.00000000
AUD
2020-04-03
-2453.78000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 1.000000% 11/12/2026
N/A
1725000.00000000
PA
188832.98000000
0.037798010816
Long
DBT
NUSS
SE
Y
2
2026-11-12
Fixed
1.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2042.57000000
-0.00040885380
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
17374.98000000
USD
161000.00000000
NOK
2020-04-03
-2042.57000000
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
625673.36000000
0.125238760882
Long
DBT
NUSS
FR
N
2
2027-01-26
Fixed
5.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
514.51000000
0.000102987595
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14779.22000000
USD
2020-04-03
514.51000000
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
357533.82000000
0.071566244390
Long
DBT
NUSS
AU
N
2
2022-07-18
Fixed
3.62500000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
701.13000000
0.000140342642
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12151.91000000
USD
21000.00000000
AUD
2020-04-03
701.13000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
467.73000000
0.000093623812
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32140.42000000
USD
3520000.00000000
JPY
2020-04-03
467.73000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-225.68000000
-0.00004517354
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32833.83000000
USD
3520000.00000000
JPY
2020-04-03
-225.68000000
N
N
N
Odebrecht Finance, Ltd.
N/A
ODEBRECHT FINANCE LTD 7.125000% 06/26/2042
G6710EAL4
280000.00000000
PA
USD
11202.80000000
0.002242423731
Long
DBT
NUSS
KY
N
2
2042-06-26
Fixed
7.12500000
Y
N
N
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION
VGRQXHF3J8VDLUA7XE92
INTERNATIONAL BUSINESS MACHINES CORP 2.850000% 05/13/2022
459200JX0
990000.00000000
PA
USD
1015280.32000000
0.203224969055
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
913.71000000
0.000182894007
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
31699.28000000
USD
2020-04-03
913.71000000
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
PROVINCE OF ONTARIO CANADA MTN 1.650000% 06/08/2020
N/A
100000000.00000000
PA
928994.60000000
0.185953470306
Long
DBT
NUSS
CA
N
2
2020-06-08
Fixed
1.65000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1650.69000000
-0.00033041261
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14411.82000000
USD
134000.00000000
NOK
2020-04-03
-1650.69000000
N
N
N
NEW RUSSIAN ROUBLE
N/A
FX Forward Contract: RUB/USD SETTLE 2020-05-20
N/A
1.00000000
NC
-131831.68000000
-0.02638826791
N/A
DFE
RU
N
2
CITI
N/A
1740628.86000000
USD
126508905.50000000
RUB
2020-05-20
-131831.68000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039
N/A
423250000.00000000
PA
5345797.86000000
1.070048914842
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 1.900000% 01/26/2026
N/A
397500000.00000000
PA
4142085.72000000
0.829106233707
Long
DBT
NUSS
XX
N
2
2026-01-26
Fixed
1.90000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 1.800000% 09/05/2026
N/A
365000.00000000
PA
404404.80000000
0.080948237986
Long
DBT
NUSS
US
N
2
2026-09-05
Fixed
1.80000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.500000% 03/01/2030
N/A
961000.00000000
PA
1243942.31000000
0.248995407944
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/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
18852.26000000
0.003773588318
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
501000.00000000
EUR
568592.42000000
USD
2020-04-03
18852.26000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
731.27000000
0.000146375656
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14226.02000000
USD
148000.00000000
SEK
2020-04-30
731.27000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-564.42000000
-0.00011297789
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
42000.00000000
CAD
28943.86000000
USD
2020-04-03
-564.42000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-421.45000000
-0.00008436011
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13770.43000000
USD
19000.00000000
CAD
2020-04-03
-421.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-235.38000000
-0.00004711515
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
14521.66000000
USD
2020-04-03
-235.38000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-731.68000000
-0.00014645772
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14660.89000000
USD
138000.00000000
SEK
2020-04-03
-731.68000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-500.94000000
-0.00010027133
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33109.09000000
USD
3520000.00000000
JPY
2020-04-03
-500.94000000
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL 0.750000% 09/21/2022
N/A
235000.00000000
PA
262577.95000000
0.052559273249
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/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-1002.71000000
-0.00020070881
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
288000.00000000
NOK
26424.20000000
USD
2020-04-03
-1002.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-30
N/A
1.00000000
NC
USD
1735.56000000
0.000347400732
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
3468000.00000000
MXN
148972.27000000
USD
2020-04-30
1735.56000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-796.13000000
-0.00015935844
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
18155.74000000
USD
14000.00000000
GBP
2020-04-03
-796.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
76.18000000
0.000015248673
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
134000.00000000
NOK
12837.31000000
USD
2020-04-03
76.18000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1023.78000000
-0.00020492631
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
35743.00000000
USD
28000.00000000
GBP
2020-04-03
-1023.78000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-05-26
N/A
1.00000000
NC
-14038.79000000
-0.00281009353
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
145655.35000000
USD
1380500.00000000
NOK
2020-05-26
-14038.79000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1851.80000000
-0.00037066807
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
48979.61000000
USD
77000.00000000
AUD
2020-04-03
-1851.80000000
N
N
N
STATSMINISTERENS KONTOR
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 1.375000% 08/19/2030
N/A
1510000.00000000
PA
150758.42000000
0.030176764619
Long
DBT
NUSS
NO
Y
2
2030-08-19
Fixed
1.37500000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.750000% 01/15/2047
N/A
190000.00000000
PA
350442.08000000
0.070146716587
Long
DBT
NUSS
NL
Y
2
2047-01-15
Fixed
2.75000000
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
293255.88000000
0.058699962920
Long
DBT
NUSS
CH
N
2
2025-09-12
Fixed
2.12500000
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
151293.42000000
0.030283853623
Long
DBT
NUSS
US
N
2
2024-03-06
Fixed
3.02100000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1361.26000000
0.000272478463
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
309000.00000000
SEK
32550.57000000
USD
2020-04-03
1361.26000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-181.74000000
-0.00003637823
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14941.67000000
USD
21000.00000000
CAD
2020-04-30
-181.74000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-607.68000000
-0.00012163709
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14247.37000000
USD
11000.00000000
GBP
2020-04-03
-607.68000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-829.89000000
-0.00016611606
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
18189.50000000
USD
14000.00000000
GBP
2020-04-03
-829.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2477.26000000
0.000495864124
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
456000.00000000
NOK
45903.21000000
USD
2020-04-03
2477.26000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2020-04-16
N/A
1.00000000
NC
-52137.13000000
-0.01043609968
N/A
DFE
CN
N
2
BNP PARIBAS
N/A
2767790.84000000
USD
19247258.75000000
CNY
2020-04-16
-52137.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
570.53000000
0.000114200915
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46000.00000000
CAD
32901.80000000
USD
2020-04-30
570.53000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-30
N/A
1.00000000
NC
11409.09000000
0.002283716050
N/A
DFE
XX
N
2
JP MORGAN
N/A
245618.31000000
USD
6054000.00000000
MXN
2020-04-30
11409.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-1130.64000000
-0.00022631609
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
352000.00000000
NOK
32422.63000000
USD
2020-04-30
-1130.64000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.950000% MATURITY: PERPETUAL
172967JM4
185000.00000000
PA
USD
179218.75000000
0.035873565364
Long
DBT
CORP
US
N
2
2168-11-15
Fixed
5.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
3086.25000000
0.000617763437
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
168000.00000000
EUR
187430.26000000
USD
2020-04-03
3086.25000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-853.62000000
-0.00017086601
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14202.60000000
USD
19000.00000000
CAD
2020-04-03
-853.62000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1907.42000000
-0.00038180132
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
17239.83000000
USD
161000.00000000
NOK
2020-04-03
-1907.42000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.875000% 06/22/2029
N/A
16455000.00000000
PA
645493.31000000
0.129206048188
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
389.21000000
0.000077906750
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
27000.00000000
CAD
19358.82000000
USD
2020-04-03
389.21000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-10421.58000000
-0.00208604976
N/A
DFE
XX
N
2
JP MORGAN
N/A
132701.20000000
USD
2869000.00000000
MXN
2020-04-03
-10421.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
798.62000000
0.000159856860
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14438.31000000
USD
2020-04-03
798.62000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
French Republic Government Bond OAT 3.250000% 05/25/2045
N/A
2061000.00000000
PA
3603295.66000000
0.721258586990
Long
DBT
NUSS
XX
N
2
2045-05-25
Fixed
3.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
75.56000000
0.000015124570
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
28973.31000000
USD
49000.00000000
NZD
2020-04-03
75.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
449.54000000
0.000089982786
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
15953.75000000
USD
2020-04-03
449.54000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-816.88000000
-0.00016351189
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14165.86000000
USD
19000.00000000
CAD
2020-04-03
-816.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
990.09000000
0.000198182714
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1944000.00000000
JPY
18998.68000000
USD
2020-04-03
990.09000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.900000% 07/30/2040
N/A
852000.00000000
PA
1546130.81000000
0.309483380923
Long
DBT
NUSS
ES
Y
2
2040-07-30
Fixed
4.90000000
N
N
N
N
N
N
KBC GROEP N.V.
213800X3Q9LSAKRUWY91
KBC GROUP NV 4.250000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
171947.29000000
0.034418063662
Long
DBT
NUSS
BE
N
2
2168-10-24
Fixed
4.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
248.85000000
0.000049811399
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14708.44000000
USD
148000.00000000
SEK
2020-04-30
248.85000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1801.79000000
-0.00036065775
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
40928.84000000
USD
66000.00000000
NZD
2020-04-03
-1801.79000000
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
192187.50000000
0.038469472884
Long
DBT
NUSS
MX
Y
2
2024-03-25
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1211.63000000
0.000242527570
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
AUD
14676.72000000
USD
2020-04-03
1211.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-8.56000000
-0.00000171342
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15026.39000000
USD
2020-04-03
-8.56000000
N
N
N
DH Europe Finance S.a r.l.
2221002WRBW5MJ8VL618
DH EUROPE FINANCE SARL 1.200000% 06/30/2027
23290YAE6
335000.00000000
PA
354017.78000000
0.070862451451
Long
DBT
NUSS
LU
N
2
2027-06-30
Fixed
1.20000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.600000% 03/20/2033
N/A
58550000.00000000
PA
639030.50000000
0.127912411015
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/AUD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-936.25000000
-0.00018740575
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
54000.00000000
AUD
32111.88000000
USD
2020-04-30
-936.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1098.99000000
0.000219980831
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
31333.53000000
USD
2020-04-03
1098.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
777.02000000
0.000155533267
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1911000.00000000
JPY
18479.91000000
USD
2020-04-03
777.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
538.74000000
0.000107837626
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32360.03000000
USD
2020-04-03
538.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1666.77000000
0.000333631288
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
65000.00000000
CAD
47334.35000000
USD
2020-04-03
1666.77000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
1288.62000000
0.000257938378
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
29710.69000000
USD
25000.00000000
GBP
2020-04-03
1288.62000000
N
N
N
CARNIVAL PLC
4DR1VPDQMHD3N3QW8W95
CARNIVAL PLC 1.000000% 10/28/2029
N/A
316000.00000000
PA
175771.68000000
0.035183577899
Long
DBT
NUSS
GB
N
2
2029-10-28
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1586.25000000
0.000317513893
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
32585.56000000
USD
2020-04-03
1586.25000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-23
N/A
1.00000000
NC
3529.01000000
0.000706389096
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
1300245.65000000
USD
2130300.00000000
AUD
2020-04-23
3529.01000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1892.96000000
-0.00037890691
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
30659.29000000
USD
47000.00000000
AUD
2020-04-03
-1892.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
544.12000000
0.000108914521
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
31543.43000000
USD
2020-04-03
544.12000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-11650.12000000
-0.00233196214
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
254712.09000000
USD
410000.00000000
NZD
2020-04-03
-11650.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-124.30000000
-0.00002488067
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14635.63000000
USD
2020-04-30
-124.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
11891.70000000
0.002380318338
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2761000.00000000
MXN
129568.26000000
USD
2020-04-03
11891.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1377.25000000
0.000275679123
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
32162.82000000
USD
2020-04-03
1377.25000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-156.70000000
-0.00003136606
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13505.68000000
USD
19000.00000000
CAD
2020-04-03
-156.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
858.12000000
0.000171766759
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2214000.00000000
JPY
21367.91000000
USD
2020-04-03
858.12000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-35935.10000000
-0.00719299827
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
604462.97000000
USD
959000.00000000
NZD
2020-04-03
-35935.10000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-37.78000000
-0.00000756228
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13370.31000000
USD
140000.00000000
NOK
2020-04-03
-37.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2127.12000000
0.000425777874
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
161000.00000000
NOK
17459.53000000
USD
2020-04-03
2127.12000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-671.33000000
-0.00013437768
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
14311.02000000
USD
11000.00000000
GBP
2020-04-03
-671.33000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
620.78000000
0.000124259274
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
47738.14000000
USD
39000.00000000
GBP
2020-04-03
620.78000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 04/30/2023
N/A
2335000.00000000
PA
2557946.81000000
0.512014909644
Long
DBT
NUSS
ES
N
2
2023-04-30
Fixed
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-523.09000000
-0.00010470502
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
13376.13000000
USD
21000.00000000
AUD
2020-04-03
-523.09000000
N
N
N
GATWICK FUNDING LIMITED
213800NK8FA3GKS6X167
GATWICK FUNDING LTD MTN 5.250000% 01/23/2024
N/A
250000.00000000
PA
335968.60000000
0.067249612736
Long
DBT
NUSS
JE
N
2
2024-01-23
Fixed
5.25000000
N
N
N
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) JUN20 FINANCIAL COMMODITY FUTURE.
N/A
23.00000000
NC
32505303.13000000
6.506468304970
N/A
DIR
JP
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Jun 2020
2020-06-18
34551285.49000000
JPY
-2045982.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-08
N/A
1.00000000
NC
USD
5412.30000000
0.001083360406
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
458612.45000000
EUR
508725.03000000
USD
2020-04-08
5412.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-206.89000000
-0.00004141241
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14292.44000000
USD
2020-04-30
-206.89000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-381.21000000
-0.00007630541
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
66532.53000000
USD
64000.00000000
CHF
2020-04-03
-381.21000000
N
N
N
NOBLE ENERGY, INC.
02VFQXG2D1LR5ZH3K186
NOBLE ENERGY INC 3.250000% 10/15/2029
655044AQ8
205000.00000000
PA
USD
119786.95000000
0.023977318113
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-4801.06000000
-0.00096101071
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
64169.87000000
USD
97000.00000000
AUD
2020-04-03
-4801.06000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-4182.74000000
-0.00083724385
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
143593.75000000
USD
919000.00000000
TRY
2020-04-03
-4182.74000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
579.87000000
0.000116070468
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14377.42000000
USD
148000.00000000
SEK
2020-04-30
579.87000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-194.10000000
-0.00003885229
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
36370.60000000
USD
35000.00000000
CHF
2020-04-03
-194.10000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-237.11000000
-0.00004746144
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33308.45000000
USD
3570000.00000000
JPY
2020-04-03
-237.11000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN20 FINANCIAL COMMODITY FUTURE.
N/A
24.00000000
NC
5527502.55000000
1.106420081775
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2020
2020-06-11
5837234.73000000
EUR
-309732.18000000
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 6.000000% 05/21/2027
N/A
50000.00000000
PA
78470.51000000
0.015707156587
Long
DBT
NUSS
GB
N
2
2027-05-21
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
481.97000000
0.000096474181
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
14000.00000000
CHF
14952.57000000
USD
2020-04-03
481.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
449.20000000
0.000089914730
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15271.09000000
USD
2020-04-03
449.20000000
N
N
N
TURKIYE VAKIFLAR BANKASI TURK ANONIM ORTAKLIGI
789000KAIHOLSQKQ9858
TURKIYE VAKIFLAR BANKASI TAO 2.375000% 05/04/2021
N/A
265000.00000000
PA
279082.04000000
0.055862836918
Long
DBT
NUSS
TR
N
2
2021-05-04
Fixed
2.37500000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2004-A5 JPMMT 2004-A5 3A1
466247FZ1
31552.41910000
PA
USD
29459.29000000
0.005896758935
Long
ABS-MBS
US
N
2
2034-12-25
Floating
3.84509160
N
N
N
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.250000% 11/17/2025
N/A
275000.00000000
PA
322365.89000000
0.064526807748
Long
DBT
NUSS
GB
N
2
2025-11-17
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
338.03000000
0.000067662235
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13380.38000000
USD
2020-04-03
338.03000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2758.44000000
-0.00055214690
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
43507.97000000
USD
58000.00000000
CAD
2020-04-03
-2758.44000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
310000.00000000
PA
410239.35000000
0.082116118639
Long
DBT
NUSS
BE
Y
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-130.91000000
-0.00002620377
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
75000.00000000
NZD
44301.30000000
USD
2020-04-30
-130.91000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1899.85000000
-0.00038028606
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
30666.18000000
USD
47000.00000000
AUD
2020-04-03
-1899.85000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1041.34000000
-0.00020844124
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
32040.65000000
USD
25000.00000000
GBP
2020-04-03
-1041.34000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.000000% 12/20/2035
N/A
50000000.00000000
PA
513667.73000000
0.102819001292
Long
DBT
NUSS
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
13291.22000000
0.002660455166
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2428000.00000000
ZAR
149217.96000000
USD
2020-04-03
13291.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-11539.14000000
-0.00230974768
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
6054000.00000000
MXN
246488.34000000
USD
2020-04-03
-11539.14000000
N
N
N
Groupama Assurances Mutuelles
969500P4HYOPYINEPE06
CAISSE NATIONALE DE REASSURANCE MUTUELLE AGRICOLE 6.000000% 01/23/2027
N/A
400000.00000000
PA
475657.53000000
0.095210637802
Long
DBT
NUSS
FR
N
2
2027-01-23
Fixed
6.00000000
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
266486.87000000
0.053341707548
Long
DBT
NUSS
DK
Y
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
Heineken N.V.
724500K5PTPSST86UQ23
HEINEKEN NV MTN 1.000000% 05/04/2026
N/A
335000.00000000
PA
363018.30000000
0.072664052804
Long
DBT
NUSS
NL
N
2
2026-05-04
Fixed
1.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN20 FINANCIAL COMMODITY FUTURE.
N/A
22.00000000
NC
4164302.09000000
0.833553203689
N/A
DIR
DE
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Germany Govt. Bond Futures
Euro-Bund Future Jun 2020
2020-06-11
4289799.98000000
EUR
-125497.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-124.58000000
-0.00002493672
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
308000.00000000
SEK
30963.80000000
USD
2020-04-03
-124.58000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-883.81000000
-0.00017690903
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14232.79000000
USD
19000.00000000
CAD
2020-04-03
-883.81000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-30
N/A
1.00000000
NC
2331.49000000
0.000466685873
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
31159.35000000
USD
27000.00000000
GBP
2020-04-30
2331.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
8532.85000000
0.001707989550
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
193000.00000000
CAD
144130.42000000
USD
2020-04-03
8532.85000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2020-04-30
N/A
1.00000000
NC
29.03000000
0.000005810829
N/A
DFE
CH
N
2
GOLDMAN, SACHS & CO.
N/A
9291.97000000
USD
9000.00000000
CHF
2020-04-30
29.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
3888.72000000
0.000778390939
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2428000.00000000
ZAR
139288.87000000
USD
2020-04-30
3888.72000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.000000% 03/10/2049
N/A
361670000.00000000
PA
317580.16000000
0.063568865580
Long
DBT
NUSS
KR
N
2
2049-03-10
Fixed
2.00000000
N
N
N
N
N
N
SEALED AIR CORPORATION
Q0M0CZB4YN6JZ65WXI09
SEALED AIR CORP 144A 4.000000% 12/01/2027
81211KAY6
149000.00000000
PA
USD
138584.90000000
0.027740035396
Long
DBT
CORP
US
Y
2
2027-12-01
Fixed
4.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
3440000.00000000
PA
828180.00000000
0.165773778489
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-6550.38000000
-0.00131116574
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
70451.28000000
USD
671000.00000000
NOK
2020-04-03
-6550.38000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-24
N/A
1.00000000
NC
-35988.86000000
-0.00720375921
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
952450.97000000
USD
738900.00000000
GBP
2020-04-24
-35988.86000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-24
N/A
1.00000000
NC
-227947.62000000
-0.04562744604
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
4693669.41000000
USD
3600500.00000000
GBP
2020-04-24
-227947.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-654.96000000
-0.00013110096
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
31166.33000000
USD
2020-04-03
-654.96000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 3.000000% 04/20/2029
N/A
853000.00000000
PA
588640.14000000
0.117825955925
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/JPY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-391.09000000
-0.00007828306
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1584000.00000000
JPY
14306.59000000
USD
2020-04-30
-391.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2020-05-21
N/A
1.00000000
NC
USD
10582.55000000
0.002118270544
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
46215442.00000000
TWD
1553026.95000000
USD
2020-05-21
10582.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
666.85000000
0.000133480939
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1620000.00000000
JPY
15674.01000000
USD
2020-04-03
666.85000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
673.00000000
0.000134711962
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14628.24000000
USD
25000.00000000
AUD
2020-04-03
673.00000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-8067.26000000
-0.00161479409
N/A
DFE
XX
N
2
JP MORGAN
N/A
130346.88000000
USD
2869000.00000000
MXN
2020-04-03
-8067.26000000
N
N
N
WEIBO CORPORATION
549300Q9ID4640FE0422
WEIBO CORP 3.500000% 07/05/2024
948596AD3
200000.00000000
PA
USD
199938.63000000
0.040020988385
Long
DBT
NUSS
KY
N
2
2024-07-05
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 0.457000% 02/18/2021
172967KH3
100000000.00000000
PA
927086.00000000
0.185571432786
Long
DBT
CORP
US
N
2
2021-02-18
Fixed
0.45700000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-933.80000000
-0.00018691534
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14398.89000000
USD
22000.00000000
AUD
2020-04-03
-933.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
438.48000000
0.000087768946
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13787.46000000
USD
2020-04-03
438.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
636.48000000
0.000127401886
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
13000.00000000
EUR
14901.19000000
USD
2020-04-03
636.48000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-741.06000000
-0.00014833528
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
14376.24000000
USD
23000.00000000
NZD
2020-04-03
-741.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-21836.95000000
-0.00437102285
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25007000.00000000
CZK
980820.52000000
USD
2020-04-30
-21836.95000000
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
457154.35000000
0.091506923558
Long
DBT
NUSS
BE
N
2
2025-03-17
Fixed
1.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1032.00000000
-0.00020657168
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
17191.30000000
USD
23000.00000000
CAD
2020-04-03
-1032.00000000
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
632930.97000000
0.126691490279
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/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
387.26000000
0.000077516425
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
19000.00000000
CAD
13736.24000000
USD
2020-04-03
387.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-88.31000000
-0.00001767669
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
CAD
14671.62000000
USD
2020-04-30
-88.31000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-9394.49000000
-0.00188046089
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
376985.22000000
USD
335000.00000000
EUR
2020-04-03
-9394.49000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (2 YEAR ISSUE) 0.100000% 04/01/2021
N/A
113250000.00000000
PA
1051754.76000000
0.210525925052
Long
DBT
NUSS
JP
N
2
2021-04-01
Fixed
0.10000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-HQA2 M2
3137G0HF9
23431.42530000
PA
USD
23175.00000000
0.004638855461
Long
DBT
USGA
US
N
2
2028-05-25
Floating
4.42675080
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
506.01000000
0.000101286181
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
9196.02000000
USD
96000.00000000
SEK
2020-04-30
506.01000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA MTN 2.000000% 09/10/2020
N/A
285000.00000000
PA
314734.29000000
0.062999218133
Long
DBT
NUSS
NO
N
2
2020-09-10
Fixed
2.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY INC.
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC 0.625000% 01/17/2023
084670BZ0
265000.00000000
PA
286990.39000000
0.057445822575
Long
DBT
NUSS
US
N
2
2023-01-17
Fixed
0.62500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-904.82000000
-0.00018111452
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
12427.93000000
USD
121000.00000000
NOK
2020-04-03
-904.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-228.92000000
-0.00004582208
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
30000.00000000
NZD
17556.10000000
USD
2020-04-03
-228.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2845.50000000
0.000569573385
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
295000.00000000
NOK
30939.04000000
USD
2020-04-03
2845.50000000
N
N
N
CATALENT PHARMA SOLUTIONS, INC.
549300HALRZ339MSTH85
CATALENT PHARMA SOLUTIONS INC 144A 2.375000% 03/01/2028
14879EAG3
119000.00000000
PA
120243.05000000
0.024068613991
Long
DBT
CORP
US
Y
2
2028-03-01
Fixed
2.37500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-68.19000000
-0.00001364934
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
32423.49000000
USD
3487000.00000000
JPY
2020-04-30
-68.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
885.27000000
0.000177201276
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23000.00000000
NZD
14520.45000000
USD
2020-04-03
885.27000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-58.04000000
-0.00001161765
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14322.75000000
USD
13000.00000000
EUR
2020-04-03
-58.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
795.60000000
0.000159252358
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
23000.00000000
NZD
14430.78000000
USD
2020-04-03
795.60000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-916.36000000
-0.00018342444
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33987.70000000
USD
3570000.00000000
JPY
2020-04-03
-916.36000000
N
N
N
CRH Funding B.V.
549300XYDB6706OPOS81
CRH FUNDING BV MTN 1.875000% 01/09/2024
N/A
310000.00000000
PA
343652.81000000
0.068787733104
Long
DBT
NUSS
NL
N
2
2024-01-09
Fixed
1.87500000
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
3631678.12000000
0.726939800780
Long
DBT
NUSS
GB
N
2
2065-07-22
Fixed
2.50000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-8101.03000000
-0.00162155371
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
147512.04000000
USD
919000.00000000
TRY
2020-04-03
-8101.03000000
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES 1.875000% 10/20/2022
N/A
200000.00000000
PA
219629.79000000
0.043962496265
Long
DBT
NUSS
FR
N
2
2022-10-20
Fixed
1.87500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1077.67000000
-0.00021571328
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
20917.23000000
USD
16000.00000000
GBP
2020-04-03
-1077.67000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-05-15
N/A
1.00000000
NC
2688.07000000
0.000538061195
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
353296.05000000
USD
286920.45000000
GBP
2020-05-15
2688.07000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.040000% 09/16/2020
N/A
200000000.00000000
PA
1867097.79000000
0.373730173945
Long
DBT
NUSS
US
N
2
2020-09-16
Fixed
2.04000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-23
N/A
1.00000000
NC
-61670.57000000
-0.01234437369
N/A
DFE
MX
N
2
MORGAN STANLEY & CO, INC
N/A
656721.06000000
USD
14001641.05000000
MXN
2020-04-23
-61670.57000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN VARIABLE RATE 05/21/2021
N/A
850000.00000000
PA
914308.90000000
0.183013887149
Long
DBT
NUSS
US
N
2
2021-05-21
Floating
0.00000360
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1165.50000000
-0.00023329389
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
20135.11000000
USD
27000.00000000
CAD
2020-04-03
-1165.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-769.43000000
-0.00015401400
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
47000.00000000
AUD
27996.90000000
USD
2020-04-03
-769.43000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-2235.11000000
-0.00044739383
N/A
DFE
TR
N
2
MORGAN STANLEY & CO, INC
N/A
141646.12000000
USD
919000.00000000
TRY
2020-04-03
-2235.11000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
295.40000000
0.000059129143
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14464.53000000
USD
21000.00000000
CAD
2020-04-30
295.40000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.625000% 06/16/2023
N/A
5375000.00000000
PA
177440.91000000
0.035517701597
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/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
606.00000000
0.000121300815
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14245.69000000
USD
2020-04-03
606.00000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
11951.23000000
0.002392234242
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
217443.64000000
USD
185000.00000000
GBP
2020-04-03
11951.23000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
863.26000000
0.000172795614
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14437.98000000
USD
25000.00000000
AUD
2020-04-03
863.26000000
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2020-04-03
N/A
1.00000000
NC
30540.07000000
0.006113094736
N/A
DFE
IL
N
2
MORGAN STANLEY & CO, INC
N/A
1224107.02000000
USD
4438000.00000000
ILS
2020-04-03
30540.07000000
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
127561.07000000
0.025533435439
Long
DBT
NUSS
GB
N
2
2026-01-14
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1405.11000000
0.000281255758
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
456000.00000000
NOK
44831.06000000
USD
2020-04-03
1405.11000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
87.08000000
0.000017430486
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
12765.96000000
USD
21000.00000000
AUD
2020-04-03
87.08000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 2.800000% 02/17/2021
N/A
1230000.00000000
PA
765611.28000000
0.153249625371
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/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
105301.39000000
0.021077796252
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
8226109000.00000000
JPY
76309342.81000000
USD
2020-04-03
105301.39000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
587.06000000
0.000117509665
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14370.23000000
USD
148000.00000000
SEK
2020-04-30
587.06000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-900.71000000
-0.00018029184
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
49753.87000000
USD
484000.00000000
SEK
2020-04-03
-900.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
247.97000000
0.000049635253
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15282.92000000
USD
2020-04-03
247.97000000
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
764195.62000000
0.152966257857
Long
DBT
NUSS
XX
N
2
2021-01-13
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2015-DNA2 M2
3137G0FT1
1240.69850000
PA
USD
1237.09000000
0.000247623805
Long
DBT
USGA
US
N
2
2027-12-25
Floating
4.22674920
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 06/20/2026
N/A
193500000.00000000
PA
1816772.41000000
0.363656725665
Long
DBT
NUSS
JP
N
2
2026-06-20
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1087.54000000
0.000217688926
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
21000.00000000
AUD
13940.58000000
USD
2020-04-03
1087.54000000
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.800000% 01/31/2028
14040HBW4
130000.00000000
PA
USD
127349.38000000
0.025491062221
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
3.80000000
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 0.500000% 07/27/2021
N/A
150000.00000000
PA
162972.78000000
0.032621668636
Long
DBT
NUSS
GB
N
2
2021-07-27
Fixed
0.50000000
N
N
N
N
N
N
SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC
549300ECJZDA7203MK64
SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC MTN 2.250000% 09/27/2035
N/A
200000.00000000
PA
235693.38000000
0.047177886652
Long
DBT
NUSS
GB
N
2
2035-09-27
Fixed
2.25000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 3.625000% 12/05/2022
N/A
200000.00000000
PA
240885.26000000
0.048217126388
Long
DBT
NUSS
IT
N
2
2022-12-05
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
35097.79000000
0.007025396972
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
5064000.00000000
TRY
803299.49000000
USD
2020-04-03
35097.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1921.68000000
0.000384655696
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
49000.00000000
NZD
30970.55000000
USD
2020-04-03
1921.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
434.29000000
0.000086930249
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
31000.00000000
EUR
34450.15000000
USD
2020-04-03
434.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
721.54000000
0.000144428037
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14361.23000000
USD
2020-04-03
721.54000000
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 2.250000% 04/27/2021
N/A
100000.00000000
PA
111358.07000000
0.022290139859
Long
DBT
NUSS
FR
N
2
2021-04-27
Fixed
2.25000000
N
N
N
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
184015.47000000
0.036833707361
Long
DBT
NUSS
GB
N
2
2052-07-22
Fixed
3.75000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.480000% 01/08/2029
N/A
23680000.00000000
PA
3421416.31000000
0.684852459000
Long
DBT
NUSS
CN
N
2
2029-01-08
Fixed
3.48000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2020-04-16
N/A
1.00000000
NC
USD
14.82000000
0.000002966465
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
4085743.40000000
CNY
576484.66000000
USD
2020-04-16
14.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-808.70000000
-0.00016187453
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
14070.97000000
USD
2020-04-03
-808.70000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2020-04-03
N/A
1.00000000
NC
680.91000000
0.000136295278
N/A
DFE
XX
N
2
JP MORGAN
N/A
121598.71000000
USD
2869000.00000000
MXN
2020-04-03
680.91000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 2.000000% 03/31/2027
N/A
925000.00000000
PA
280951.69000000
0.056237077959
Long
DBT
NUSS
IL
N
2
2027-03-31
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-330.93000000
-0.00006624105
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
12711.42000000
USD
2020-04-03
-330.93000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-481.33000000
-0.00009634607
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
14746.04000000
USD
13000.00000000
EUR
2020-04-03
-481.33000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MTN 1.090000% 03/11/2027
N/A
810000.00000000
PA
848841.11000000
0.169909437733
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 2020-04-03
N/A
1.00000000
NC
USD
1908.62000000
0.000382041523
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
161000.00000000
NOK
17241.03000000
USD
2020-04-03
1908.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-771.78000000
-0.00015448439
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
12867.91000000
USD
2020-04-03
-771.78000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-872.62000000
-0.00017466917
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14221.60000000
USD
19000.00000000
CAD
2020-04-03
-872.62000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-695.25000000
-0.00013916566
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
14027.78000000
USD
140000.00000000
NOK
2020-04-03
-695.25000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-651.34000000
-0.00013037635
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33361.39000000
USD
3531000.00000000
JPY
2020-04-03
-651.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
9756.07000000
0.001952837048
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
874000.00000000
TRY
142340.64000000
USD
2020-04-03
9756.07000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-797.81000000
-0.00015969472
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14146.79000000
USD
19000.00000000
CAD
2020-04-03
-797.81000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1144.18000000
-0.00022902634
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33576.32000000
USD
3501000.00000000
JPY
2020-04-03
-1144.18000000
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
SYSCO CORP 5.650000% 04/01/2025
871829BP1
38000.00000000
PA
USD
39560.28000000
0.007918637365
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.65000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2020-04-22
N/A
1.00000000
NC
-125186.65000000
-0.02505815642
N/A
DFE
ID
N
2
JP MORGAN
N/A
1584991.73000000
USD
23814500800.00000000
IDR
2020-04-22
-125186.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-98.68000000
-0.00001975241
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
32000.00000000
EUR
35014.46000000
USD
2020-04-03
-98.68000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRISH TSY 1.10% 2029 1.100000% 05/15/2029
N/A
670000.00000000
PA
801613.68000000
0.160456094837
Long
DBT
NUSS
IE
N
2
2029-05-15
Fixed
1.10000000
N
N
N
N
N
N
COCA-COLA EUROPEAN PARTNERS PLC
549300LTH67W4GWMRF57
COCA-COLA EUROPEAN PARTNERS PLC 2.375000% 05/07/2025
N/A
400000.00000000
PA
462668.73000000
0.092610716946
Long
DBT
NUSS
GB
N
2
2025-05-07
Fixed
2.37500000
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
332118.24000000
0.066478900178
Long
DBT
NUSS
NL
N
2
2026-04-19
Fixed
1.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 4.000000% 01/04/2037
N/A
411000.00000000
PA
778032.28000000
0.155735891765
Long
DBT
NUSS
DE
N
2
2037-01-04
Fixed
4.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1808.42000000
-0.00036198485
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
32019.28000000
USD
43000.00000000
CAD
2020-04-03
-1808.42000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 4.000000% 04/25/2055
N/A
195000.00000000
PA
420391.82000000
0.084148301634
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/RUB SETTLE 2020-05-20
N/A
1.00000000
NC
USD
154523.94000000
0.030930495062
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
88691356.97000000
RUB
1282400.31000000
USD
2020-05-20
154523.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1003.73000000
0.000200912983
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
171000.00000000
SEK
18263.83000000
USD
2020-04-03
1003.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
704.71000000
0.000141059237
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
17000.00000000
CHF
18276.15000000
USD
2020-04-03
704.71000000
N
N
N
EDP Finance B.V.
5299007L43AQDFOW5739
EDP FINANCE BV MTN 2.000000% 04/22/2025
N/A
260000.00000000
PA
294494.35000000
0.058947862956
Long
DBT
NUSS
NL
N
2
2025-04-22
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
704.10000000
0.000140937136
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
15000.00000000
CHF
16208.31000000
USD
2020-04-03
704.10000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1196.55000000
-0.00023950906
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
12719.66000000
USD
121000.00000000
NOK
2020-04-03
-1196.55000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-30
N/A
1.00000000
NC
-23.23000000
-0.00000464986
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14980.52000000
USD
148000.00000000
SEK
2020-04-30
-23.23000000
N
N
N
Freddie Mac
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2016-HQA1 M3
3137G0JJ9
249237.62000000
PA
USD
245722.92000000
0.049185463196
Long
DBT
USGA
US
N
2
2028-09-25
Floating
7.97675040
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1999.49000000
-0.00040023064
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
30378.73000000
USD
298000.00000000
NOK
2020-04-03
-1999.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1298.15000000
0.000259845964
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
27000.00000000
GBP
34777.40000000
USD
2020-04-03
1298.15000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1964.60000000
-0.00039324683
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
17297.01000000
USD
161000.00000000
NOK
2020-04-03
-1964.60000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1080.73000000
-0.00021632579
N/A
DFE
NO
N
2
J P MORGAN CHASE BANK
N/A
13841.86000000
USD
134000.00000000
NOK
2020-04-03
-1080.73000000
N
N
N
GE Capital UK Funding Unlimited Company
BR7Z6BPTFF652NNO9651
GE CAPITAL UK FUNDING UNLIMITED CO MTN 5.875000% 11/04/2020
N/A
500000.00000000
PA
629871.79000000
0.126079145345
Long
DBT
NUSS
IE
N
2
2020-11-04
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
376600.06000000
0.075382664306
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
72156000.00000000
EUR
79552350.78000000
USD
2020-04-03
376600.06000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-08
N/A
1.00000000
NC
-9847.72000000
-0.00197118229
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
531421.53000000
USD
475251.72000000
EUR
2020-04-08
-9847.72000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.650000% 12/17/2021
N/A
11020000.00000000
PA
351747.85000000
0.070408087819
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/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
914.41000000
0.000183034123
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
171000.00000000
SEK
18174.51000000
USD
2020-04-03
914.41000000
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 1.250000% 01/11/2027
N/A
500000.00000000
PA
589201.97000000
0.117938415393
Long
DBT
NUSS
ES
N
2
2027-01-11
Fixed
1.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
118300.28000000
0.023679736786
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
7775878.20000000
USD
13316000.00000000
NZD
2020-04-03
118300.28000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.900000% 09/20/2022
N/A
406050000.00000000
PA
3950407.06000000
0.790738613475
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/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-187.79000000
-0.00003758924
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
71000.00000000
NOK
6573.71000000
USD
2020-04-03
-187.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
491.41000000
0.000098363752
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
29000.00000000
EUR
32312.70000000
USD
2020-04-03
491.41000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-889.29000000
-0.00017800594
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
14354.38000000
USD
22000.00000000
AUD
2020-04-03
-889.29000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
1224000.00000000
PA
972421.80000000
0.194646134984
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
Volkswagen Financial Services N.V.
529900ZTQC8D1TW6BL41
VOLKSWAGEN FINANCIAL SERVICES NV 1.750000% 04/17/2020
N/A
630000.00000000
PA
780789.73000000
0.156287840503
Long
DBT
NUSS
NL
N
2
2020-04-17
Fixed
1.75000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.000000% 09/01/2024
N/A
5560000.00000000
PA
4240532.36000000
0.848811939584
Long
DBT
NUSS
SG
N
2
2024-09-01
Fixed
3.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-813.14000000
-0.00016276327
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
13855.49000000
USD
22000.00000000
NZD
2020-04-03
-813.14000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-567.65000000
-0.00011362443
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
14496.86000000
USD
138000.00000000
SEK
2020-04-03
-567.65000000
N
N
N
Unilever N.V.
549300TK7G7NZTVM1Z30
UNILEVER NV MTN 0.375000% 02/14/2023
N/A
220000.00000000
PA
240771.06000000
0.048194267390
Long
DBT
NUSS
NL
N
2
2023-02-14
Fixed
0.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1940.09000000
0.000388340759
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
51000.00000000
NZD
32174.63000000
USD
2020-04-03
1940.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-22.86000000
-0.00000457580
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
17000.00000000
CHF
17548.58000000
USD
2020-04-03
-22.86000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 5.250000% 09/14/2027
N/A
195000.00000000
PA
263090.42000000
0.052661852505
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 2020-04-03
N/A
1.00000000
NC
USD
1860.53000000
0.000372415523
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
25000.00000000
GBP
32859.84000000
USD
2020-04-03
1860.53000000
N
N
N
PRUDENTIAL FINANCIAL, INC.
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINANCIAL INC 5.875000% 09/15/2042
744320AL6
199000.00000000
PA
USD
193030.00000000
0.038638113045
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
852.97000000
0.000170735902
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
312000.00000000
SEK
32345.09000000
USD
2020-04-03
852.97000000
N
N
N
Q-Park Holding I B.V.
2549003839B7HE3NDP48
Q-PARK HOLDING I BV 144A 2.000000% 03/01/2027
N/A
122000.00000000
PA
113976.58000000
0.022814277483
Long
DBT
NUSS
NL
Y
2
2027-03-01
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
117.94000000
0.000023607620
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
22000.00000000
NZD
13160.29000000
USD
2020-04-03
117.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1143.80000000
0.000228950285
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2240000.00000000
JPY
21894.44000000
USD
2020-04-03
1143.80000000
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.875000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
196372.49000000
0.039307167111
Long
DBT
CORP
US
N
2
2168-05-01
Fixed
2.87500000
N
N
N
N
N
N
STATSMINISTERENS KONTOR
549300O6E2WAK3IAXE34
NORWAY GOVERNMENT BOND 144A 1.750000% 02/17/2027
N/A
6879000.00000000
PA
699615.46000000
0.140039482110
Long
DBT
NUSS
NO
Y
2
2027-02-17
Fixed
1.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
70.23000000
0.000014057683
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
13278.75000000
USD
19000.00000000
CAD
2020-04-03
70.23000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-838.01000000
-0.00016774141
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14186.99000000
USD
19000.00000000
CAD
2020-04-03
-838.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
620.37000000
0.000124177206
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
15442.26000000
USD
2020-04-03
620.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2020-04-30
N/A
1.00000000
NC
USD
-644.02000000
-0.00012891114
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
40000.00000000
EUR
43286.89000000
USD
2020-04-30
-644.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
569.39000000
0.000113972725
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1593000.00000000
JPY
15326.43000000
USD
2020-04-03
569.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
1798.75000000
0.000360049245
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
305000.00000000
SEK
32584.32000000
USD
2020-04-03
1798.75000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 5.017000% 06/26/2024
46115HAT4
530000.00000000
PA
USD
519133.83000000
0.103913130648
Long
DBT
NUSS
IT
Y
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
583.17000000
0.000116731017
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
11000.00000000
GBP
14222.86000000
USD
2020-04-03
583.17000000
N
N
N
FEDEX CORPORATION
549300E707U7WNPZN687
FEDEX CORP 0.700000% 05/13/2022
31428XBT2
108000.00000000
PA
116925.17000000
0.023404486019
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
0.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2020-04-03
N/A
1.00000000
NC
USD
19254.76000000
0.003854155279
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
2288000.00000000
ZAR
147343.88000000
USD
2020-04-03
19254.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
14.52000000
0.000002906415
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1911000.00000000
JPY
17717.41000000
USD
2020-04-03
14.52000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
Canadian Government Bond 5.000000% 06/01/2037
135087XW9
816000.00000000
PA
916160.44000000
0.183384503177
Long
DBT
NUSS
XX
N
2
2037-06-01
Fixed
5.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2020-04-30
N/A
1.00000000
NC
40321.62000000
0.008071032024
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO, INC
N/A
760643.04000000
USD
1352000.00000000
NZD
2020-04-30
40321.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2020-04-03
N/A
1.00000000
NC
USD
-930.87000000
-0.00018632886
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
12000.00000000
GBP
13948.80000000
USD
2020-04-03
-930.87000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 1.500000% 07/22/2047
N/A
981000.00000000
PA
1419385.65000000
0.284113263221
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/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
575.88000000
0.000115271805
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1623000.00000000
JPY
15610.83000000
USD
2020-04-03
575.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2020-04-02
N/A
1.00000000
NC
USD
44.22000000
0.000008851356
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1261.01000000
BRL
287.35000000
USD
2020-04-02
44.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2020-04-03
N/A
1.00000000
NC
USD
2975.87000000
0.000595669074
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
308000.00000000
NOK
32307.43000000
USD
2020-04-03
2975.87000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 1.750000% 10/23/2026
N/A
304000.00000000
PA
345607.47000000
0.069178990287
Long
DBT
NUSS
US
N
2
2026-10-23
Fixed
1.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-717.01000000
-0.00014352128
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
14065.99000000
USD
19000.00000000
CAD
2020-04-03
-717.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
111.91000000
0.000022400617
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1600000.00000000
JPY
14933.80000000
USD
2020-04-03
111.91000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 1.250000% 10/01/2021
N/A
150000.00000000
PA
106147.77000000
0.021247213058
Long
DBT
NUSS
SG
N
2
2021-10-01
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2020-04-03
N/A
1.00000000
NC
USD
15.51000000
0.000003104580
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
43000.00000000
CAD
30226.37000000
USD
2020-04-03
15.51000000
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 4.050000% 02/01/2030
958667AC1
415000.00000000
PA
USD
180666.81000000
0.036163418268
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.05000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2020-04-03
N/A
1.00000000
NC
793555.25000000
0.158843068213
N/A
DFE
GB
N
2
J P MORGAN CHASE BANK
N/A
13268970.00000000
USD
11341000.00000000
GBP
2020-04-03
793555.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2020-04-03
N/A
1.00000000
NC
USD
552.62000000
0.000110615935
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
1605000.00000000
JPY
15420.83000000
USD
2020-04-03
552.62000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-569.11000000
-0.00011391667
N/A
DFE
XX
N
2
J P MORGAN CHASE BANK
N/A
21417.54000000
USD
19000.00000000
EUR
2020-04-03
-569.11000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-328.98000000
-0.00006585073
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
17286.28000000
USD
168000.00000000
SEK
2020-04-03
-328.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2020-04-30
N/A
1.00000000
NC
USD
2405.84000000
0.000481568242
N/A
DFE
US
N
2
J P MORGAN CHASE BANK
N/A
808000.00000000
TRY
124090.06000000
USD
2020-04-30
2405.84000000
N
N
N
BPCE S.A.
9695005MSX1OYEMGDF46
BPCE SA 5.150000% 07/21/2024
05578UAB0
310000.00000000
PA
USD
326807.10000000
0.065415788601
Long
DBT
NUSS
FR
N
2
2024-07-21
Fixed
5.15000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2020-04-03
N/A
1.00000000
NC
568.28000000
0.000113750540
N/A
DFE
SE
N
2
MORGAN STANLEY & CO, INC
N/A
13562.80000000
USD
140000.00000000
SEK
2020-04-03
568.28000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-1030.10000000
-0.00020619137
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
22810.02000000
USD
31000.00000000
CAD
2020-04-03
-1030.10000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2020-04-03
N/A
1.00000000
NC
-382.86000000
-0.00007663569
N/A
DFE
JP
N
2
MORGAN STANLEY & CO, INC
N/A
33092.91000000
USD
3531000.00000000
JPY
2020-04-03
-382.86000000
N
N
N
2020-03-31
SEI INSTITUTIONAL INTERNATIONAL TRUST
James Hoffmayer
James Hoffmayer
CFO