0001752724-20-240686.txt : 20201123 0001752724-20-240686.hdr.sgml : 20201123 20201123125339 ACCESSION NUMBER: 0001752724-20-240686 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20200930 FILED AS OF DATE: 20201123 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: 201336049 BUSINESS ADDRESS: STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH STREET 2: 1FREEDOM CIRCLE DRIVE CITY: OAKS STATE: PA ZIP: 19456 BUSINESS PHONE: 610 676-3097 MAIL ADDRESS: STREET 1: SEI INVESTMENTS ATTN: CAREN ROSCH STREET 2: 1FREEDOM CIRCLE DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: SEI INTERNATIONAL TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: SEI WEALTH MANAGEMENT TRUST DATE OF NAME CHANGE: 19900129 0000835597 S000006419 SIT INTERNATIONAL FIXED INCOME FUND C000017608 SIT INTERNATIONAL FIXED INCOME FUND - CLASS F, effective 1-31-2017 (formerly Class A) SEFIX C000147408 Class Y SIFIX NPORT-P 1 primary_doc.xml NPORT-P false 0000835597 XXXXXXXX S000006419 C000147408 C000017608 SEI INSTITUTIONAL INTERNATIONAL TRUST 811-05601 0000835597 E8Z427H460ISEID6A824 ONE FREEDOM VALLEY DRIVE OAKS 19456 8003425734 SIT International Fixed Income Fund S000006419 LBQB1OG7EE0H97712G55 2020-09-30 2020-09-30 N 521190365.08 6640842.64 514549522.44 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 7212813.85000000 JPY EUR USD N Canada 4BFD7AQU0A75QLAHK410 135087B45 1761000.00000000 PA 1424844.45000000 0.276911043128 Long DBT NUSS CA N 2 2024-06-01 Fixed 2.50000000 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 80000.00000000 PA USD 82538.84000000 0.016040990497 Long DBT CORP US Y 2 2024-12-15 Fixed 5.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2576.91000000 0.000500808938 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 142217.60000000 USD 112000.00000000 GBP 2020-10-02 2576.91000000 N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448CAD6 290000.00000000 PA USD 298381.66000000 0.057988910102 Long DBT CORP US Y 2 2023-02-15 Fixed 1.92300000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 N/A 536000.00000000 PA 671788.51000000 0.130558572246 Long DBT NUSS US N 2 2024-09-30 Fixed 2.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 91.19000000 0.000017722298 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 169000.00000000 NOK 18153.31000000 USD 2020-10-02 91.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 589.14000000 0.000114496267 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14810.03000000 USD 2020-10-02 589.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4.44000000 -0.00000086289 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1721000.00000000 JPY 16303.72000000 USD 2020-10-02 -4.44000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -290.36000000 -0.00005642994 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 21631.14000000 USD 191000.00000000 SEK 2020-10-02 -290.36000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 1045000.00000000 PA 1307031.20000000 0.254014656121 Long DBT NUSS AT Y 2 2022-04-20 Fixed 3.65000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 93.26000000 0.000018124591 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14641.89000000 USD 1555000.00000000 JPY 2020-10-02 93.26000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -257.80000000 -0.00005010207 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15309.51000000 USD 21000.00000000 AUD 2020-10-02 -257.80000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 H3698DBW3 286000.00000000 PA USD 301818.66000000 0.058656873019 Long DBT NUSS CH N 2 2169-01-17 Fixed 7.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -276.31000000 -0.00005369939 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15471.84000000 USD 136000.00000000 SEK 2020-10-02 -276.31000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -184.29000000 -0.00003581579 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15422.39000000 USD 14000.00000000 CHF 2020-10-02 -184.29000000 N N N BRK: CITIGROUP N/A N/A 1060000.00000000 NC -45243.51000000 -0.00879283878 N/A DIR XX N 2 BRK: CITIGROUP N/A Y 2050-07-20 0.00000000 GBP 0.00000000 GBP -1060000.00000000 GBP -45243.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12080.93000000 0.002347865360 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1059000.00000000 EUR 1253916.36000000 USD 2020-10-02 12080.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -125.08000000 -0.00002430864 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 EUR 22155.25000000 USD 2020-10-02 -125.08000000 N N N Medtronic Global Holdings S.C.A. 549300JXMTTP8GKYIX14 N/A 163000.00000000 PA 191828.01000000 0.037280767279 Long DBT NUSS US N 2 2028-10-15 Fixed 0.37500000 N N N N N N ROSS STORES, INC. 549300ENZFLPGRDFZQ60 778296AC7 265000.00000000 PA USD 312215.37000000 0.060677419059 Long DBT CORP US N 2 2027-04-15 Fixed 4.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -16228.84000000 -0.00315398990 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1083155600.00000000 KRW 910329.54000000 USD 2020-10-05 -16228.84000000 N N N ANHEUSER-BUSCH INBEV NV 5493008H3828EMEXB082 N/A 230000.00000000 PA 282967.67000000 0.054993282018 Long DBT NUSS BE N 2 2027-07-01 Fixed 1.12500000 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCB9 291000.00000000 PA 341445.64000000 0.066358168671 Long DBT NUSS US N 2 2024-06-12 Fixed 0.80000000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAP0 205000.00000000 PA USD 211262.91000000 0.041057838125 Long DBT NUSS IE N 2 2023-09-15 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 887725.27000000 0.172524748597 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 34965000.00000000 EUR 41889402.16000000 USD 2020-10-02 887725.27000000 N N N Japan 353800WZS8AXZXFUC241 N/A 210750000.00000000 PA 2369115.18000000 0.460425105199 Long DBT NUSS JP N 2 2032-09-20 Fixed 1.70000000 N N N N N N EURO N/A N/A 1.00000000 NC 3021.59000000 0.000587230163 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 914716.54000000 GBP 1010806.57000000 EUR 2020-10-15 3021.59000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 2776.75000000 0.000539646793 N/A DFE MX N 2 JP MORGAN N/A MEXICAN PESO N/A 273862.44000000 USD 6130000.00000000 MXN 2020-11-04 2776.75000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6775.70000000 -0.00131682174 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 81419000.00000000 JPY 764748.98000000 USD 2020-10-02 -6775.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -158.27000000 -0.00003075894 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 85000.00000000 NOK 8926.23000000 USD 2020-10-02 -158.27000000 N N N Japan 353800WZS8AXZXFUC241 N/A 1207550000.00000000 PA 13656197.02000000 2.654010240888 Long DBT NUSS JP N 2 2033-06-20 Fixed 1.70000000 N N N N N N ALLEGHANY CORPORATION 549300DCJE6AYX159479 017175AE0 336000.00000000 PA USD 377692.15000000 0.073402487715 Long DBT CORP US N 2 2030-05-15 Fixed 3.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -580.54000000 -0.00011282490 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 23250000.00000000 JPY 219735.96000000 USD 2020-10-02 -580.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 48706.80000000 0.009465911030 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 3858200.00000000 AUD 2813704.24000000 USD 2020-10-28 48706.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -805.16000000 -0.00015647862 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 179000.00000000 EUR 209099.03000000 USD 2020-10-02 -805.16000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4407.80000000 0.000856632803 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1060000.00000000 TRY 141995.98000000 USD 2020-10-02 4407.80000000 N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 200000.00000000 PA 258995.98000000 0.050334509839 Long DBT NUSS FR N 2 2030-05-25 Fixed 1.12500000 N N N N N N CENTRICA PLC E26EDV109X6EEPBKVH76 N/A 164000.00000000 PA 253878.48000000 0.049339950564 Long DBT NUSS GB N 2 2029-03-13 Fixed 4.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -145.39000000 -0.00002825578 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14366.28000000 USD 11000.00000000 GBP 2020-10-02 -145.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 253.23000000 0.000049213921 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14477.45000000 USD 2020-10-02 253.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -27707.72000000 -0.00538485000 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 16188000.00000000 ZAR 939207.93000000 USD 2020-11-04 -27707.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 392.23000000 0.000076227842 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14616.45000000 USD 2020-10-02 392.23000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -445.37000000 -0.00008655532 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15752.63000000 USD 137000.00000000 SEK 2020-10-02 -445.37000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 470000.00000000 PA 997451.36000000 0.193849438489 Long DBT NUSS BE Y 2 2041-03-28 Fixed 4.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 30.45000000 0.000005917797 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 14494.69000000 USD 130000.00000000 SEK 2020-10-02 30.45000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 245000.00000000 PA 425308.88000000 0.082656549360 Long DBT NUSS IT Y 2 2049-09-01 Fixed 3.85000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 303.40000000 0.000058964198 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14527.62000000 USD 2020-10-02 303.40000000 N N N KBC GROEP N.V. 213800X3Q9LSAKRUWY91 N/A 200000.00000000 PA 229096.24000000 0.044523652245 Long DBT NUSS BE N 2 2168-10-24 Fixed 4.25000000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 865000.00000000 PA 1055533.91000000 0.205137477340 Long DBT NUSS NL Y 2 2030-07-15 Fixed 0.00000000 N N N N N N NATIONAL AUSTRALIA BANK LIMITED F8SB4JFBSYQFRQEH3Z21 N/A 206000.00000000 PA 270767.70000000 0.052622281858 Long DBT NUSS AU N 2 2025-06-06 Fixed 2.25000000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 490000.00000000 PA 650910.44000000 0.126501028883 Long DBT NUSS BE Y 2 2031-06-22 Fixed 1.00000000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3360000.00000000 PA 866111.62000000 0.168324249120 Long DBT NUSS MY N 2 2024-07-15 Fixed 4.18100000 N N N N N N EURO N/A N/A 1.00000000 NC 565660.92000000 0.109933231949 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 77942025.80000000 USD 66949000.00000000 EUR 2020-10-02 565660.92000000 N N N UNEDIC 969500V3L9W19NIA5E82 N/A 700000.00000000 PA 944575.21000000 0.183573236162 Long DBT NUSS FR N 2 2033-05-25 Fixed 1.25000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 1259000.00000000 PA 2974798.68000000 0.578136515586 Long DBT NUSS GB N 2 2046-12-07 Fixed 4.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -245.70000000 -0.00004775050 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15552.96000000 USD 137000.00000000 SEK 2020-10-02 -245.70000000 N N N Province of Ontario C7PVKCRGLG18EBQGZV36 683234B98 540000.00000000 PA 589571.25000000 0.114580079134 Long DBT NUSS CA N 2 2041-06-02 Fixed 4.65000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 251000.00000000 PA 303014.28000000 0.058889235493 Long DBT NUSS ES Y 2 2030-04-30 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 990.71000000 0.000192539290 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 129000.00000000 NOK 14777.77000000 USD 2020-10-02 990.71000000 N N N EDP - Energias de Portugal, S.A. 529900CLC3WDMGI9VH80 N/A 300000.00000000 PA 379494.35000000 0.073752735830 Long DBT NUSS PT N 2 2079-04-30 Fixed 4.49600000 N N N N N N Ireland 549300KXBEJAOJ9OVF93 N/A 670000.00000000 PA 878697.26000000 0.170770202221 Long DBT NUSS IE N 2 2029-05-15 Fixed 1.10000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 102000.00000000 PA 194713.94000000 0.037841632633 Long DBT NUSS ES N 2 2032-07-30 Fixed 5.75000000 N N N N N N EURO N/A N/A 1.00000000 NC -24834.34000000 -0.00482642368 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1372208.19000000 USD 1149000.00000000 EUR 2020-10-02 -24834.34000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 14711200.00000000 PA 682216.64000000 0.132585224598 Long DBT NUSS MX N 2 2026-03-05 Fixed 5.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 1476.01000000 0.000286854799 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 74274.02000000 USD 105700.00000000 AUD 2020-10-29 1476.01000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 32.80000000 0.000006374507 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14194.72000000 USD 19000.00000000 CAD 2020-11-04 32.80000000 N N N Instituto de Credito Oficial PJQDPSI1D8J2Q1IM3G17 N/A 180000.00000000 PA 216843.46000000 0.042142388738 Long DBT NUSS ES N 2 2021-03-08 Fixed 6.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -3299.41000000 -0.00064122302 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 542008.78000000 USD 56850000.00000000 JPY 2020-10-02 -3299.41000000 N N N AT&T INC. 549300Z40J86GGSTL398 N/A 365000.00000000 PA 459770.65000000 0.089354013549 Long DBT NUSS US N 2 2026-09-05 Fixed 1.80000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 248000.00000000 PA 356342.83000000 0.069253359387 Long DBT NUSS GB N 2 2024-09-07 Fixed 2.75000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 386000.00000000 PA 463374.72000000 0.090054445644 Long DBT NUSS IT Y 2 2021-05-01 Fixed 3.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -10614.25000000 -0.00206282379 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 776476.13000000 USD 1023000.00000000 CAD 2020-10-02 -10614.25000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 200000.00000000 PA USD 250351.90000000 0.048654578244 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967KH3 100000000.00000000 PA 946552.09000000 0.183957432418 Long DBT CORP US N 2 2021-02-18 Fixed 0.45700000 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 N/A 140000.00000000 PA 142222.55000000 0.027640206393 Long DBT NUSS GB N 2 2024-05-09 Fixed 0.87500000 N N N N N N TOTAL SE 529900S21EQ1BO4ESM68 N/A 115000.00000000 PA 135225.50000000 0.026280366437 Long DBT NUSS FR N 2 2169-04-04 Fixed 1.75000000 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 3270000.00000000 PA 459584.18000000 0.089317774083 Long DBT NUSS CN N 2 2025-04-09 Fixed 1.99000000 N N N N N N United States of America N/A N/A 9.00000000 NC USD 1996312.50000000 0.387972860325 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A US ULTRA BOND CBT DEC20 N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Dec 2020 2020-12-24 2017302.03000000 USD -20989.53000000 N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 3522000.00000000 PA 134519.36000000 0.026143131833 Long DBT NUSS TH N 2 2038-06-17 Fixed 3.30000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 843000.00000000 PA 685114.57000000 0.133148422089 Long DBT NUSS AU N 2 2025-04-21 Fixed 3.25000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 609000.00000000 PA 533161.08000000 0.103617058562 Long DBT NUSS AU N 2 2041-05-21 Fixed 2.75000000 N N N N N N Emirate of Abu Dhabi 213800FER4348CINTA77 29135LAG5 255000.00000000 PA USD 270544.80000000 0.052578962413 Long DBT NUSS AE Y 2 2025-04-16 Fixed 2.50000000 N N N N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 205000.00000000 PA 280894.87000000 0.054590444213 Long DBT NUSS FR N 2 2021-12-01 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 469.17000000 0.000091180727 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14690.06000000 USD 2020-10-02 469.17000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1393000.00000000 PA 2614944.84000000 0.508200809826 Long DBT NUSS IT Y 2 2040-09-01 Fixed 5.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -275.77000000 -0.00005359445 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14499.99000000 USD 19000.00000000 CAD 2020-10-02 -275.77000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 151000.00000000 PA 184383.71000000 0.035834006632 Long DBT NUSS ES Y 2 2029-10-31 Fixed 0.60000000 N N N N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 N/A 400000.00000000 PA 478352.85000000 0.092965366624 Long DBT NUSS ES N 2 2022-03-03 Fixed 1.00000000 N N N N N N ASSICURAZIONI GENERALI - SOCIETA PER AZIONI 549300X5UKJVE386ZB61 N/A 230000.00000000 PA 316571.29000000 0.061523969257 Long DBT NUSS IT N 2 2047-10-27 Fixed 5.50000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 170000.00000000 PA 194051.62000000 0.037712914216 Long DBT NUSS EG Y 2 2025-04-11 Fixed 4.75000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBC4 385000.00000000 PA USD 421952.30000000 0.082004215648 Long DBT NUSS QA Y 2 2025-04-16 Fixed 3.40000000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 N/A 100000.00000000 PA 136590.41000000 0.026545629534 Long DBT CORP US Y 2 2028-11-15 Fixed 2.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3558.85000000 0.000691643825 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 732000.00000000 TRY 98572.58000000 USD 2020-10-02 3558.85000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -426.60000000 -0.00008290747 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15478.31000000 USD 21000.00000000 AUD 2020-10-02 -426.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 35265.25000000 0.006853616311 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 4375000.00000000 NOK 502849.63000000 USD 2020-10-02 35265.25000000 N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 925000.00000000 PA 297276.98000000 0.057774221340 Long DBT NUSS IL N 2 2027-03-31 Fixed 2.00000000 N N N N N N United States of America N/A N/A 27.00000000 NC USD 3767343.75000000 0.732163491695 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A US 10YR NOTE (CBT)DEC20 N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Dec 2020 2020-12-24 3763364.31000000 USD 3979.44000000 N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAN1 400000.00000000 PA USD 419336.00000000 0.081495751470 Long DBT CORP US N 2 2028-08-09 Fixed 4.68200000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 28.45000000 0.000005529108 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 16089.92000000 USD 1700000.00000000 JPY 2020-11-04 28.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 53.47000000 0.000010391613 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1500000.00000000 JPY 14267.44000000 USD 2020-10-02 53.47000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -2001.59000000 -0.00038899851 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 263148.83000000 USD 202000.00000000 GBP 2020-10-02 -2001.59000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 95000.00000000 PA 193315.09000000 0.037569773475 Long DBT NUSS DE N 2 2034-07-04 Fixed 4.75000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -16.84000000 -0.00000327276 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14237.73000000 USD 11000.00000000 GBP 2020-10-02 -16.84000000 N N N The Bank of New York Mellon Corporation WFLLPEPC7FZXENRZV188 064058AH3 40000.00000000 PA USD 42440.00000000 0.008247991330 Long DBT CORP US N 2 2169-09-20 Fixed 4.70000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -1595.14000000 -0.00031000708 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 224896.57000000 USD 23565000.00000000 JPY 2020-10-02 -1595.14000000 N N N Medtronic Global Holdings S.C.A. 549300JXMTTP8GKYIX14 58507LAH2 400000.00000000 PA 494534.59000000 0.096110202892 Long DBT NUSS US N 2 2027-03-07 Fixed 1.12500000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 570000.00000000 PA 712525.07000000 0.138475508950 Long DBT NUSS NL Y 2 2026-07-15 Fixed 0.50000000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAN5 200000.00000000 PA USD 215913.19000000 0.041961595645 Long DBT NUSS IE N 2 2025-07-15 Fixed 6.50000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GVU5 425000.00000000 PA USD 429557.39000000 0.083482224988 Long DBT CORP US N 2 2021-04-25 Fixed 2.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -744.02000000 -0.00014459638 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 120000.00000000 AUD 85265.77000000 USD 2020-10-02 -744.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -49.52000000 -0.00000962395 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14808.81000000 USD 2020-10-02 -49.52000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -46.90000000 -0.00000911476 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 CAD 14925.96000000 USD 2020-10-02 -46.90000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 497000.00000000 PA 663186.68000000 0.128886851717 Long DBT NUSS GB N 2 2025-06-07 Fixed 0.62500000 N N N N N N MARRIOTT INTERNATIONAL, INC. 225YDZ14ZO8E1TXUSU86 571903BB8 120000.00000000 PA USD 128058.23000000 0.024887445117 Long DBT CORP US N 2 2028-12-01 Fixed 4.65000000 N N N N N N PRUDENTIAL FINANCIAL, INC. 5PRBRS5FEH7NREC8OR45 744320AL6 199000.00000000 PA USD 209588.64000000 0.040732452535 Long DBT CORP US N 2 2042-09-15 Fixed 5.87500000 N N N N N N Province of Manitoba 5493003QILFOB3JRKE30 563469TR6 710000.00000000 PA 553499.68000000 0.107569758762 Long DBT NUSS CA N 2 2021-12-01 Fixed 3.85000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 29.85000000 0.000005801190 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 3207168.04000000 COP 860.55000000 USD 2020-11-13 29.85000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 420000.00000000 PA 572319.38000000 0.111227268715 Long DBT NUSS IT Y 2 2050-09-01 Fixed 2.45000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 225812.92000000 0.043885556229 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2462370251.00000000 JPY 23570885.35000000 USD 2020-10-30 225812.92000000 N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 N/A 110000.00000000 PA 132456.89000000 0.025742301610 Long DBT NUSS GB N 2 2169-06-22 Fixed 3.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 25.83000000 0.000005019924 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14912.59000000 USD 2020-10-02 25.83000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -210.86000000 -0.00004097953 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14435.08000000 USD 19000.00000000 CAD 2020-10-02 -210.86000000 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 N/A 365000.00000000 PA 436171.51000000 0.084767644508 Long DBT NUSS US N 2 2023-10-26 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -174.31000000 -0.00003387623 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 AUD 14158.60000000 USD 2020-11-04 -174.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 335.89000000 0.000065278459 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 31000.00000000 CAD 23543.83000000 USD 2020-10-02 335.89000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 305000.00000000 PA 397758.60000000 0.077302296990 Long DBT NUSS BE Y 2 2029-06-22 Fixed 0.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 95032.00000000 0.018468970595 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 6237304000.00000000 JPY 59233374.96000000 USD 2020-11-04 95032.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 229.05000000 0.000044514665 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15467.15000000 USD 2020-10-02 229.05000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -181.50000000 -0.00003527357 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 15695.20000000 USD 12000.00000000 GBP 2020-10-02 -181.50000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -25.70000000 -0.00000499466 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15263.80000000 USD 14000.00000000 CHF 2020-10-02 -25.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 288.08000000 0.000055986836 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14512.30000000 USD 2020-10-02 288.08000000 N N N Japan 353800WZS8AXZXFUC241 N/A 40450000.00000000 PA 451979.79000000 0.087839900784 Long DBT NUSS JP N 2 2033-03-20 Fixed 1.60000000 N N N N N N EURO N/A N/A 1.00000000 NC -198.69000000 -0.00003861435 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 15443.13000000 USD 13000.00000000 EUR 2020-10-02 -198.69000000 N N N INTERNATIONAL FINANCE CORPORATION QKL54NQY28TCDAI75F60 45950KCN8 1000000.00000000 PA 788673.03000000 0.153274465450 Long DBT NUSS XX N 2 2023-07-19 Fixed 2.37500000 N N N N N N Prologis International Funding II S.A. 213800JNRWW2C9DWI388 N/A 200000.00000000 PA 273546.21000000 0.053162270699 Long DBT NUSS LU N 2 2030-11-14 Fixed 2.37500000 N N N N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 03027XBB5 535000.00000000 PA USD 540695.97000000 0.105081424900 Long DBT CORP US N 2 2025-09-15 Fixed 1.30000000 N N N N N N ALLIED IRISH BANKS, PUBLIC LIMITED COMPANY 3U8WV1YX2VMUHH7Z1Q21 N/A 177000.00000000 PA 208430.64000000 0.040507401311 Long DBT NUSS IE N 2 2025-11-26 Fixed 4.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3377.43000000 -0.00065638580 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1031806600.00000000 KRW 879255.73000000 USD 2020-10-05 -3377.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 276.52000000 0.000053740211 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 137000.00000000 SEK 15583.78000000 USD 2020-10-02 276.52000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 2160000.00000000 PA 2689973.43000000 0.522782222640 Long DBT NUSS DE N 2 2027-02-15 Fixed 0.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11359.99000000 0.002207754454 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 721000.00000000 EUR 856840.01000000 USD 2020-10-02 11359.99000000 N N N GLENCORE FINANCE (EUROPE) LIMITED 213800WHKNIC1JQQG433 N/A 240000.00000000 PA 284833.85000000 0.055355964310 Long DBT NUSS AU N 2 2022-01-18 Fixed 1.62500000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 680000.00000000 PA 815602.64000000 0.158508093862 Long DBT NUSS GB N 2 2061-10-22 Fixed 0.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -403.94000000 -0.00007850361 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 21744.72000000 USD 191000.00000000 SEK 2020-10-02 -403.94000000 N N N Japan N/A N/A 22.00000000 NC 31710603.62000000 6.162789437570 N/A DIR JP N 1 GOLDMAN, SACHS & CO. N/A JPN 10Y BOND(OSE) DEC20 N/A Long Japan Govt. Bond Futures Japan Govt 10 Year Bond Future (TSE) Dec 2020 2020-12-17 31462753.63000000 JPY 247849.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 212.09000000 0.000041218578 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14937.76000000 USD 2020-10-02 212.09000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -27.37000000 -0.00000531921 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 17084.13000000 USD 1800000.00000000 JPY 2020-10-02 -27.37000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 305000.00000000 PA 219535.31000000 0.042665535662 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.75000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 44.23000000 0.000008595868 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14880.44000000 USD 1575000.00000000 JPY 2020-10-02 44.23000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -62985.44000000 -0.01224088979 N/A DFE MX N 2 CREDIT SUISSE - FIRST BOSTON N/A MEXICAN PESO N/A 1416244.44000000 USD 29894599.23000000 MXN 2020-10-08 -62985.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -852.19000000 -0.00016561865 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 161000.00000000 GBP 207289.92000000 USD 2020-10-02 -852.19000000 N N N ENGIE SA LAXUQCHT4FH58LRZDY46 N/A 500000.00000000 PA 627367.29000000 0.121925541204 Long DBT NUSS FR N 2 2169-02-28 Fixed 3.25000000 N N N N N N EURO N/A N/A 1.00000000 NC 87.24000000 0.000016954636 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 16338.96000000 USD 14000.00000000 EUR 2020-11-04 87.24000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 31.02000000 0.000006028574 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14189.87000000 USD 11000.00000000 GBP 2020-10-02 31.02000000 N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AC0 115000.00000000 PA 138214.85000000 0.026861330925 Long DBT NUSS US N 2 2027-06-15 Fixed 0.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 45110.66000000 0.008767020088 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1977000.00000000 CHF 2196947.39000000 USD 2020-10-02 45110.66000000 N N N COMM MORTGAGE TRUST N/A 12630DAX2 70000.00000000 PA USD 75262.12000000 0.014626798144 Long ABS-MBS US N 2 2047-02-10 Fixed 3.95500000 N N N N N N BPCE SFH SA 969500T1UBNNTYVWOS04 N/A 200000.00000000 PA 243981.38000000 0.047416501106 Long DBT NUSS FR N 2 2021-09-13 Fixed 3.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1268.68000000 0.000246561301 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 201000.00000000 AUD 145335.08000000 USD 2020-10-02 1268.68000000 N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 N/A 300000.00000000 PA 363437.84000000 0.070632237355 Long DBT NUSS FR N 2 2025-01-17 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 67719.87000000 0.013161001428 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 6808900.00000000 CHF 7486256.49000000 USD 2020-10-28 67719.87000000 N N N GILEAD SCIENCES, INC. 549300WTZWR07K8MNV44 375558BW2 725000.00000000 PA USD 726522.50000000 0.141195836030 Long DBT CORP US N 2 2023-09-29 Fixed 0.75000000 N N N N N N Swedbank Hypotek AB 549300TJREQ7GHIXWR36 N/A 360000.00000000 PA 427517.37000000 0.083085757804 Long DBT NUSS SE N 2 2022-03-11 Fixed 0.37500000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC 21907.84000000 0.004257673760 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 2129928.89000000 USD 1977000.00000000 CHF 2020-10-02 21907.84000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 66.50000000 0.000012923926 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14154.39000000 USD 11000.00000000 GBP 2020-10-02 66.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1898.58000000 -0.00036897906 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2570000.00000000 ZAR 152178.16000000 USD 2020-10-02 -1898.58000000 N N N Japan 353800WZS8AXZXFUC241 N/A 387700000.00000000 PA 4933595.47000000 0.958818394506 Long DBT NUSS JP N 2 2039-03-20 Fixed 2.30000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4499.11000000 0.000874378423 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 163000.00000000 GBP 215226.83000000 USD 2020-10-02 4499.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 473.41000000 0.000092004749 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 169000.00000000 NOK 18535.53000000 USD 2020-10-02 473.41000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 200000.00000000 PA 237168.29000000 0.046092412810 Long DBT NUSS CH N 2 2026-02-12 Fixed 4.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -112.65000000 -0.00002189293 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14774.11000000 USD 2020-10-02 -112.65000000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 27000.00000000 PA USD 26835.30000000 0.005215299758 Long DBT CORP US Y 2 2024-01-30 Fixed 4.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 166.79000000 0.000032414761 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15404.89000000 USD 2020-10-02 166.79000000 N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 10600000.00000000 PA 1672738.08000000 0.325087869495 Long DBT NUSS CN N 2 2028-02-09 Fixed 4.88000000 N N N N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 N/A 165000.00000000 PA 200375.25000000 0.038941878528 Long DBT NUSS GB N 2 2024-01-25 Fixed 1.11700000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 982.71000000 0.000190984532 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 45948.95000000 USD 439000.00000000 NOK 2020-10-28 982.71000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 963000.00000000 PA 836422.39000000 0.162554303040 Long DBT NUSS SG N 2 2039-07-01 Fixed 2.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 103.60000000 0.000020134116 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14117.29000000 USD 11000.00000000 GBP 2020-10-02 103.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4815.11000000 0.000935791365 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 466000.00000000 EUR 551269.61000000 USD 2020-10-02 4815.11000000 N N N DS SMITH PLC 39RSBE4RCI4M15BLWH36 N/A 430000.00000000 PA 514194.82000000 0.099931065441 Long DBT NUSS GB N 2 2024-07-26 Fixed 1.37500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 158.73000000 0.000030848342 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14728.03000000 USD 1571000.00000000 JPY 2020-10-02 158.73000000 N N N Magyarorszag 5299003F3UFKGCCMAP43 N/A 297650000.00000000 PA 1014224.83000000 0.197109274378 Long DBT NUSS HU N 2 2024-06-26 Fixed 3.00000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 4654.01000000 0.000904482425 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 140490.85000000 USD 2430000.00000000 ZAR 2020-11-04 4654.01000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 200000.00000000 PA 221044.36000000 0.042958811612 Long DBT NUSS NL N 2 2168-12-29 Fixed 3.25000000 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 39150000.00000000 PA 5755158.76000000 1.118484909423 Long DBT NUSS CN N 2 2026-12-05 Fixed 3.12000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1463000.00000000 PA 1438652.80000000 0.279594623502 Long DBT NUSS AU N 2 2037-04-21 Fixed 3.75000000 N N N N N N EURO N/A N/A 1.00000000 NC -1266.87000000 -0.00024620953 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 186545.43000000 USD 158000.00000000 EUR 2020-10-02 -1266.87000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1133.56000000 0.000220301438 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 80313.35000000 USD 63000.00000000 GBP 2020-10-28 1133.56000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1493000.00000000 PA 2249383.07000000 0.437155797819 Long DBT NUSS IT Y 2 2035-03-01 Fixed 3.35000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 171.19000000 0.000033269878 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 13048.80000000 USD 20000.00000000 NZD 2020-10-02 171.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 190.71000000 0.000037063487 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 68000.00000000 SEK 7788.48000000 USD 2020-10-02 190.71000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 38.38000000 0.000007458951 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14182.51000000 USD 11000.00000000 GBP 2020-10-02 38.38000000 N N N Federal National Mortgage Association N/A 30711XDA9 63107.60510000 PA USD 65380.31000000 0.012706320217 Long DBT USGA US N 2 2029-01-25 Floating 4.42513080 N N N N N N ISRAELI SHEKEL N/A N/A 1.00000000 NC 15258.64000000 0.002965436626 N/A DFE IL N 2 CITIGROUP GLOBAL MARKETS N/A ISRAELI SHEKEL N/A 1282288.36000000 USD 4438000.00000000 ILS 2020-10-02 15258.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 90100.87000000 0.017510631352 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 65755800.00000000 MXN 3059263.05000000 USD 2020-10-30 90100.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1077.62000000 0.000209429793 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 108091.95000000 EUR 127858.62000000 USD 2020-10-15 1077.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 97.66000000 0.000018979708 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 16000.00000000 GBP 20782.59000000 USD 2020-10-02 97.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 170.50000000 0.000033135780 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15408.60000000 USD 2020-10-02 170.50000000 N N N Lincoln Financing S.a r.l. 222100831I4WRVCLV609 N/A 170000.00000000 PA 191503.92000000 0.037217782088 Long DBT NUSS NL Y 2 2024-04-01 Fixed 3.62500000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 74600000.00000000 PA 669547.90000000 0.130123121449 Long DBT NUSS JP N 2 2046-06-20 Fixed 0.30000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 57.02000000 0.000011081537 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 13162.97000000 USD 20000.00000000 NZD 2020-10-02 57.02000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 3592000.00000000 PA 2776557.32000000 0.539609347382 Long DBT NUSS SG N 2 2022-09-01 Fixed 3.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 572.62000000 0.000111285692 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1075000.00000000 TRY 139068.56000000 USD 2020-11-04 572.62000000 N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 11360000.00000000 PA 1650277.64000000 0.320722800824 Long DBT NUSS CN N 2 2025-01-10 Fixed 3.23000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 27421.75000000 0.005329273238 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 943081.85000000 USD 16188000.00000000 ZAR 2020-10-02 27421.75000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -22620.15000000 -0.00439610747 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1977000.00000000 CHF 2131904.16000000 USD 2020-11-04 -22620.15000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1121000.00000000 PA 2344187.06000000 0.455580455868 Long DBT NUSS DE N 2 2042-07-04 Fixed 3.25000000 N N N N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AE6 190000.00000000 PA 223543.04000000 0.043444416961 Long DBT CORP US N 2 2024-12-15 Fixed 0.30000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 561000.00000000 PA 1211133.81000000 0.235377501519 Long DBT NUSS GB N 2 2040-12-07 Fixed 4.25000000 N N N N N N DH Europe Finance II S.a r.l. 222100KDGL314CKTZ511 N/A 154000.00000000 PA 179018.66000000 0.034791337314 Long DBT NUSS US N 2 2028-03-18 Fixed 0.45000000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 810000.00000000 PA 994195.36000000 0.193216651972 Long DBT NUSS BE Y 2 2024-10-22 Fixed 0.50000000 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 026657AR7 159000.00000000 PA 199726.54000000 0.038815805144 Long DBT NUSS US N 2 2024-10-18 Fixed 1.95000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 160.06000000 0.000031106821 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15404.50000000 USD 2020-10-02 160.06000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 288000.00000000 PA 592463.31000000 0.115142135822 Long DBT NUSS NL Y 2 2047-01-15 Fixed 2.75000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -151.68000000 -0.00002947821 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14372.57000000 USD 11000.00000000 GBP 2020-10-02 -151.68000000 N N N Takeda Pharmaceutical Company Limited 549300ZLMVP4X0OGR454 874060BA3 125000.00000000 PA 149032.86000000 0.028963754410 Long DBT NUSS JP N 2 2027-07-09 Fixed 0.75000000 N N N N N N Bundesrepublik Deutschland N/A N/A 11.00000000 NC 2251158.00000000 0.437500746152 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A EURO-BUND FUTURE DEC20 N/A Long Germany Govt. Bond Futures Euro-Bund Future Dec 2020 2020-12-11 2262735.16000000 EUR -11577.16000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1551.10000000 -0.00030144814 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 215897.73000000 USD 22620000.00000000 JPY 2020-10-02 -1551.10000000 N N N RALPH LAUREN CORPORATION HO1QNWM0IXBZ0QSMMO20 731572AB9 390000.00000000 PA USD 407166.56000000 0.079130684655 Long DBT CORP US N 2 2030-06-15 Fixed 2.95000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 2427000.00000000 PA 2929692.41000000 0.569370348670 Long DBT NUSS FR N 2 2029-11-25 Fixed 0.00000000 N N N N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 276000.00000000 PA 140367.01000000 0.027279591930 Long DBT NUSS IL N 2 2042-01-31 Fixed 5.50000000 N N N N N N Federal National Mortgage Association N/A 30711XAR5 188267.12590000 PA USD 192425.66000000 0.037396917421 Long DBT USGA US N 2 2024-11-25 Floating 5.17512960 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 159.22000000 0.000030943571 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14727.54000000 USD 1571000.00000000 JPY 2020-10-02 159.22000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 139.47000000 0.000027105262 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 14195.50000000 USD 20000.00000000 AUD 2020-10-02 139.47000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -13695.15000000 -0.00266158054 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 7438000.00000000 TRY 944567.91000000 USD 2020-11-04 -13695.15000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 900000.00000000 PA 616280.42000000 0.119770866189 Long DBT NUSS NZ N 2 2021-05-15 Fixed 6.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 383900.75000000 0.074609096551 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22438000.00000000 CAD 17181954.28000000 USD 2020-10-02 383900.75000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -551.66000000 -0.00010721222 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 84000.00000000 EUR 98005.54000000 USD 2020-11-04 -551.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -52.37000000 -0.00001017783 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 15000.00000000 CHF 16294.55000000 USD 2020-11-04 -52.37000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1230000.00000000 PA 961455.14000000 0.186853761993 Long DBT NUSS AU N 2 2024-04-21 Fixed 2.75000000 N N N N N N Nationwide Building Society 549300XFX12G42QIKN82 N/A 550000.00000000 PA 656604.95000000 0.127607727024 Long DBT NUSS GB N 2 2021-02-08 Fixed 4.62500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 1034.64000000 0.000201076855 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 76784.85000000 USD 696000.00000000 SEK 2020-11-04 1034.64000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 160.98000000 0.000031285618 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 8926.46000000 USD 85000.00000000 NOK 2020-11-04 160.98000000 N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244AY5 350000.00000000 PA USD 354724.31000000 0.068938808516 Long DBT CORP US N 2 2022-05-07 Fixed 1.30000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 96.23000000 0.000018701795 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1562000.00000000 JPY 14897.71000000 USD 2020-10-02 96.23000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -443.16000000 -0.00008612582 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15750.42000000 USD 137000.00000000 SEK 2020-10-02 -443.16000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 346.84000000 0.000067406534 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14888.83000000 USD 2020-10-02 346.84000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 3615.98000000 0.000702746741 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 3646388.76000000 USD 385185000.00000000 JPY 2020-10-02 3615.98000000 N N N Vattenfall AB 549300T5RZ1HA5HZ3109 N/A 213000.00000000 PA 256997.74000000 0.049946162379 Long DBT NUSS SE N 2 2021-03-17 Fixed 6.25000000 N N N N N N TAIWAN DOLLAR N/A N/A 1.00000000 NC -5910.85000000 -0.00114874268 N/A DFE TW N 2 HSBC N/A TAIWAN DOLLAR N/A 1840266.06000000 USD 52699092.00000000 TWD 2020-11-18 -5910.85000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 376.04000000 0.000073081401 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 26000.00000000 NZD 17562.03000000 USD 2020-10-02 376.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -15490.31000000 -0.00301046047 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 8712000.00000000 MYR 2084110.81000000 USD 2020-11-04 -15490.31000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -945.31000000 -0.00018371603 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 16014.89000000 USD 141000.00000000 NOK 2020-10-02 -945.31000000 N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 U84408AD2 400000.00000000 PA USD 400046.12000000 0.077746864500 Long DBT NUSS US N 2 2020-12-20 Floating 0.77738040 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 175000.00000000 PA 460170.24000000 0.089431671769 Long DBT USGA GB N 2 2027-11-22 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6.99000000 -0.00000135846 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 12000.00000000 EUR 14072.61000000 USD 2020-11-04 -6.99000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC 1384.53000000 0.000269076141 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A TURKISH LIRA N/A 142264.75000000 USD 1115000.00000000 TRY 2020-11-04 1384.53000000 N N N Ceska republika 3157007EFDLQABN47912 N/A 7470000.00000000 PA 352476.70000000 0.068501997306 Long DBT NUSS CZ N 2 2022-09-12 Fixed 4.70000000 N N N N N N POLISH ZLOTY N/A N/A 1.00000000 NC -21376.52000000 -0.00415441450 N/A DFE PA N 2 BNP PARIBAS N/A POLISH ZLOTY N/A 863639.28000000 USD 3255300.00000000 PLN 2020-10-28 -21376.52000000 N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200JX0 990000.00000000 PA USD 1030735.04000000 0.200317947067 Long DBT CORP US N 2 2022-05-13 Fixed 2.85000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -56.01000000 -0.00001088524 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14669.66000000 USD 2020-10-02 -56.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 448.94000000 0.000087249133 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 30000.00000000 AUD 21951.39000000 USD 2020-10-02 448.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4028.39000000 0.000782896460 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1060000.00000000 TRY 141616.57000000 USD 2020-10-02 4028.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 43.77000000 0.000008506469 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15281.87000000 USD 2020-10-02 43.77000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 353.86000000 0.000068770834 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14895.85000000 USD 2020-10-02 353.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 17307.07000000 0.003363538249 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 7362940.45000000 BRL 1323615.20000000 USD 2020-10-02 17307.07000000 N N N HOST HOTELS & RESORTS, L.P. FXB7X4WXVA8QPMNOGS12 44107TAZ9 200000.00000000 PA USD 191442.06000000 0.037205759922 Long DBT CORP US N 2 2030-09-15 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -973.88000000 -0.00018926846 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2570000.00000000 ZAR 153102.86000000 USD 2020-10-02 -973.88000000 N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 124857AX1 180000.00000000 PA USD 199972.17000000 0.038863542045 Long DBT CORP US N 2 2028-06-01 Fixed 3.70000000 N N N N N N HUNGARIAN FORINT N/A N/A 1.00000000 NC 8120.72000000 0.001578219325 N/A DFE HU N 2 MORGAN STANLEY & CO, INC N/A HUNGARIAN FORINT N/A 1007844.33000000 USD 314649000.00000000 HUF 2020-10-02 8120.72000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 47.18000000 0.000009169185 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 13276.05000000 USD 1406000.00000000 JPY 2020-10-02 47.18000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 156.99000000 0.000030510182 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 9905.88000000 USD 90000.00000000 SEK 2020-11-04 156.99000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -3.83000000 -0.00000074434 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14890.59000000 USD 1571000.00000000 JPY 2020-10-02 -3.83000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -14.08000000 -0.00000273637 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14234.97000000 USD 11000.00000000 GBP 2020-10-02 -14.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7021.45000000 0.001364581968 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 27404940400.00000000 IDR 1845947.76000000 USD 2020-11-02 7021.45000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 91.89000000 0.000017858339 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14794.87000000 USD 1571000.00000000 JPY 2020-10-02 91.89000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -5143.62000000 -0.00099963555 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 675047.91000000 USD 70695000.00000000 JPY 2020-10-02 -5143.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3872.29000000 -0.00075255924 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1303794883.00000000 KRW 1115669.00000000 USD 2020-11-10 -3872.29000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 873000.00000000 PA 704177.45000000 0.136853192800 Long DBT NUSS NZ N 2 2029-04-20 Fixed 3.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -11985.00000000 -0.00232922186 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 7470239.93000000 USD 786620000.00000000 JPY 2020-11-04 -11985.00000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 3738000.00000000 PA 444015.24000000 0.086292032279 Long DBT NUSS NO Y 2 2028-04-26 Fixed 2.00000000 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCC7 300000.00000000 PA 359667.91000000 0.069899571239 Long DBT NUSS US N 2 2029-06-12 Fixed 1.65000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 1197000.00000000 PA 2612567.67000000 0.507738819309 Long DBT NUSS GB N 2 2065-07-22 Fixed 2.50000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 38450000.00000000 PA 387356.51000000 0.075280705375 Long DBT NUSS JP N 2 2037-03-20 Fixed 0.70000000 N N N N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NDC2 180000.00000000 PA 211852.40000000 0.041172402414 Long DBT NUSS US N 2 2032-02-20 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 232.53000000 0.000045190985 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15476.97000000 USD 2020-10-02 232.53000000 N N N EURO N/A N/A 1.00000000 NC 448.30000000 0.000087124752 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 61598.08000000 USD 52900.00000000 EUR 2020-10-15 448.30000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 N/A 680000.00000000 PA 546272.92000000 0.106165275872 Long DBT CORP US N 2 2025-02-17 Fixed 4.05000000 N N N N N N ENGIE SA LAXUQCHT4FH58LRZDY46 N/A 100000.00000000 PA 118545.21000000 0.023038639592 Long DBT NUSS FR N 2 2023-02-28 Fixed 0.37500000 N N N N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 130000.00000000 PA 205834.98000000 0.040002948408 Long DBT NUSS FI Y 2 2047-04-15 Fixed 1.37500000 N N N N N N Banco Bilbao Vizcaya Argentaria, S.A. K8MS7FD7N5Z2WQ51AZ71 N/A 200000.00000000 PA 257361.30000000 0.050016818357 Long DBT NUSS ES N 2 2024-06-12 Fixed 2.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828TY6 432000.00000000 PA USD 445635.00000000 0.086606824137 Long SN UST US N 1 2022-11-15 Fixed 1.62500000 N N N N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 7641000000.00000000 PA 507089.21000000 0.098550127419 Long DBT NUSS ID N 2 2048-05-15 Fixed 7.37500000 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PDW9 175000.00000000 PA USD 179662.20000000 0.034916405936 Long DBT CORP US N 2 2026-01-15 Fixed 1.25000000 N N N N N N SKY LIMITED 2138003TS48MQKF4BZ29 N/A 50000.00000000 PA 85631.12000000 0.016641958891 Long DBT NUSS GB N 2 2027-05-21 Fixed 6.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -1457.13000000 -0.00028318557 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 218457.04000000 USD 22900000.00000000 JPY 2020-10-02 -1457.13000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 104000.00000000 PA 181928.57000000 0.035356863055 Long DBT NUSS ES N 2 2029-01-31 Fixed 6.00000000 N N N N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 N/A 1200000.00000000 PA 1423502.23000000 0.276650189713 Long DBT NUSS FR N 2 2024-05-29 Fixed 0.00000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2414.38000000 0.000469222085 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 147551.36000000 USD 116000.00000000 GBP 2020-10-02 2414.38000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 267000.00000000 PA 398450.78000000 0.077436818541 Long DBT NUSS IT Y 2 2040-03-01 Fixed 3.10000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 N/A 200000.00000000 PA 226145.39000000 0.043950170029 Long DBT CORP US N 2 2169-05-01 Fixed 2.87500000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1526000.00000000 PA 1874351.10000000 0.364270302129 Long DBT NUSS IT Y 2 2041-03-01 Fixed 1.80000000 N N N N N N CAISSE FRANCAISE DE FINANCEMENT LOCAL SA 549300E6W08778I4OW85 N/A 500000.00000000 PA 613972.11000000 0.119322258251 Long DBT NUSS FR N 2 2026-01-19 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 16.78000000 0.000003261104 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15269.68000000 USD 2020-11-04 16.78000000 N N N Canada N/A N/A -19.00000000 NC -1845307.88000000 -0.35862590470 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A CAN 5YR BOND FUT DEC20 N/A Short Canada Govt. Bond Futures Canadian Govt 5 Year Bond Future Dec 2020 2020-12-21 -1864251.90000000 CAD 18944.02000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 345000.00000000 PA 462296.70000000 0.089844938113 Long DBT NUSS US N 2 2023-12-20 Fixed 2.12500000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 200000.00000000 PA 192952.90000000 0.037499383749 Long DBT NUSS SG N 2 2046-03-01 Fixed 2.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 777.49000000 0.000151101102 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 63233.82000000 EUR 74944.41000000 USD 2020-10-15 777.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 947.36000000 0.000184114445 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 127000.00000000 NOK 14520.67000000 USD 2020-10-02 947.36000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1646.83000000 0.000320052770 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 141854.87000000 USD 111000.00000000 GBP 2020-10-02 1646.83000000 N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 N/A 200000.00000000 PA 242352.80000000 0.047099995127 Long DBT NUSS FR N 2 2024-02-03 Fixed 0.62500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -174.08000000 -0.00003383153 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14398.30000000 USD 19000.00000000 CAD 2020-10-02 -174.08000000 N N N EURO N/A N/A 1.00000000 NC -1171.33000000 -0.00022764183 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 133680.68000000 USD 113000.00000000 EUR 2020-10-02 -1171.33000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -255.39000000 -0.00004963370 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 15458.38000000 USD 23000.00000000 NZD 2020-10-02 -255.39000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -139.25000000 -0.00002706250 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15377.35000000 USD 14000.00000000 CHF 2020-10-02 -139.25000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 19.45000000 0.000003780005 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14201.44000000 USD 11000.00000000 GBP 2020-10-02 19.45000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 504000.00000000 PA 642479.58000000 0.124862535476 Long DBT NUSS ES Y 2 2025-04-30 Fixed 1.60000000 N N N N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -37.56000000 -0.00000729958 N/A DFE ID N 2 JP MORGAN N/A INDONESIA RUPIAH N/A 44115.45000000 USD 656879000.00000000 IDR 2020-11-02 -37.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 562.18000000 0.000109256733 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 27000.00000000 CAD 20775.54000000 USD 2020-10-02 562.18000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -277.33000000 -0.00005389763 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15515.43000000 USD 14000.00000000 CHF 2020-10-02 -277.33000000 N N N Japan 353800WZS8AXZXFUC241 N/A 859850000.00000000 PA 8294256.67000000 1.611945266350 Long DBT NUSS JP N 2 2022-06-20 Fixed 0.90000000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 345000.00000000 PA 446220.28000000 0.086720570234 Long DBT NUSS NL Y 2 2024-07-15 Fixed 2.00000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087F58 655000.00000000 PA 492876.77000000 0.095788014273 Long DBT NUSS CA N 2 2021-09-01 Fixed 0.75000000 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBJ7 325000.00000000 PA USD 346664.99000000 0.067372521959 Long DBT NUSS FR Y 2 2025-04-14 Fixed 4.25000000 N N N N N N NISSAN MOTOR CO.,LTD. 353800DRBDH1LUTNAY26 654744AC5 205000.00000000 PA USD 205357.84000000 0.039910218753 Long DBT NUSS JP Y 2 2027-09-17 Fixed 4.34500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 35013.77000000 0.006804742492 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 6524779.39000000 USD 5074000.00000000 GBP 2020-11-04 35013.77000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5907.78000000 -0.00114814604 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 15708000.00000000 ZAR 935818.84000000 USD 2020-10-02 -5907.78000000 N N N N/A N/A CDS486162 -882000.00000000 NC USD -294545.52000000 -0.05724337642 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0.00000000 USD -105076.59000000 USD -882000.00000000 USD -189468.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -192.92000000 -0.00003749298 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 GBP 16613.80000000 USD 2020-11-04 -192.92000000 N N N AT&T INC. 549300Z40J86GGSTL398 00206RJU7 390000.00000000 PA 484041.42000000 0.094070910357 Long DBT NUSS US N 2 2028-05-19 Fixed 1.60000000 N N N N N N SABIC Capital II B.V. 2138005PCUTH59D4RJ83 78520LAA8 345000.00000000 PA USD 370875.00000000 0.072077610380 Long DBT NUSS SA Y 2 2023-10-10 Fixed 4.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 593.40000000 0.000115324176 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 129000.00000000 NOK 14380.46000000 USD 2020-10-02 593.40000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 775000.00000000 PA 960332.21000000 0.186635526439 Long DBT NUSS PT Y 2 2022-10-17 Fixed 2.20000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC 69.70000000 0.000013545829 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A TURKISH LIRA N/A 139465.49000000 USD 1075000.00000000 TRY 2020-10-02 69.70000000 N N N BRK: DEUTSCHE BANK N/A N/A 23220000.00000000 NC 50909.14000000 0.009893924254 N/A DIR XX N 2 BRK: DEUTSCHE BANK N/A Y 2024-06-03 0.00000000 CNY 0.00000000 CNY -23220000.00000000 CNY 50909.14000000 N N N N/A N/A N/A 21.00000000 NC 2248617.91000000 0.437007092988 N/A DIR AU N 1 GOLDMAN, SACHS & CO. N/A AUST 10Y BOND FUT DEC20 N/A Long Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Dec 2020 2020-12-18 2246690.62000000 AUD 1927.29000000 N N N Volkswagen International Finance N.V. 5299004PWNHKYTR23649 N/A 400000.00000000 PA 479393.04000000 0.093167522093 Long DBT NUSS DE N 2 2023-10-02 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -77944.10000000 -0.01514802688 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 7090000.00000000 AUD 5003072.68000000 USD 2020-11-04 -77944.10000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 134.69000000 0.000026176294 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 21000.00000000 AUD 15186.40000000 USD 2020-10-02 134.69000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 8114000.00000000 PA 434590.56000000 0.084460395170 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 N/A 160000.00000000 PA 187711.19000000 0.036480684912 Long DBT NUSS GB N 2 2049-08-09 Fixed 2.75000000 N N N N N N Medtronic Global Holdings S.C.A. 549300JXMTTP8GKYIX14 N/A 115000.00000000 PA 135861.47000000 0.026403963870 Long DBT NUSS US N 2 2025-07-02 Fixed 0.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -30.57000000 -0.00000594111 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14856.19000000 USD 2020-10-02 -30.57000000 N N N HYUNDAI CAPITAL SERVICES, INC. 549300MALMDAGL2ZJJ27 N/A 680000.00000000 PA 493615.09000000 0.095931502891 Long DBT NUSS KR N 2 2022-03-30 Fixed 3.50000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -346.80000000 -0.00006739876 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 15549.79000000 USD 23000.00000000 NZD 2020-10-02 -346.80000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1259000.00000000 PA 1002053.70000000 0.194743879121 Long DBT NUSS SG N 2 2026-06-01 Fixed 2.12500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -38.04000000 -0.00000739287 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15089.75000000 USD 21000.00000000 AUD 2020-10-02 -38.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19.28000000 0.000003746966 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15257.38000000 USD 2020-10-02 19.28000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -347.70000000 -0.00006757367 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A TURKISH LIRA N/A 139882.89000000 USD 1075000.00000000 TRY 2020-10-02 -347.70000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 277000.00000000 PA 500326.11000000 0.097235754418 Long DBT NUSS PT Y 2 2037-04-15 Fixed 4.10000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 18935000.00000000 PA 947807.15000000 0.184201346744 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 99000.00000000 PA 198350.60000000 0.038548398424 Long DBT NUSS FR N 2 2038-10-25 Fixed 4.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -526.53000000 -0.00010232834 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 75000.00000000 AUD 53229.59000000 USD 2020-10-02 -526.53000000 N N N EURO N/A N/A 1.00000000 NC -4136.40000000 -0.00080388763 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 364281.60000000 USD 307000.00000000 EUR 2020-10-26 -4136.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 416.51000000 0.000080946533 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 141000.00000000 NOK 15486.09000000 USD 2020-10-02 416.51000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1833400000.00000000 PA 584378.11000000 0.113570819622 Long DBT NUSS CO N 2 2024-07-24 Fixed 10.00000000 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAT8 221000.00000000 PA USD 216403.38000000 0.042056861499 Long DBT NUSS US Y 2 2025-08-11 Fixed 5.25000000 N N N N N N ENEL Finance International N.V. 0YQH6LCEF474UTUV4B96 N/A 145000.00000000 PA 287407.80000000 0.055856197987 Long DBT NUSS IT N 2 2040-09-14 Fixed 5.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -327.03000000 -0.00006355656 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 150000.00000000 NOK 15709.63000000 USD 2020-11-04 -327.03000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -578957.97000000 -0.11251744385 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20736799.00000000 EUR 23746019.59000000 USD 2020-10-22 -578957.97000000 N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 45866FAM6 535000.00000000 PA USD 536456.27000000 0.104257461450 Long DBT CORP US N 2 2023-06-15 Fixed 0.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -93.59000000 -0.00001818872 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 210852.00000000 TWD 7245.77000000 USD 2020-11-18 -93.59000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 162.09000000 0.000031501341 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 13057.90000000 USD 20000.00000000 NZD 2020-10-02 162.09000000 N N N EURO N/A N/A 1.00000000 NC -12694.84000000 -0.00246717554 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 630680.93000000 USD 527000.00000000 EUR 2020-10-02 -12694.84000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -801.76000000 -0.00015581784 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 50363.63000000 USD 75000.00000000 NZD 2020-10-27 -801.76000000 N N N SEVERN TRENT UTILITIES FINANCE PLC. 213800KY9PT6WBH33232 N/A 175000.00000000 PA 258394.40000000 0.050217595922 Long DBT NUSS GB N 2 2026-01-16 Fixed 3.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 217.56000000 0.000042281644 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 15104.32000000 USD 2020-10-02 217.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -195.17000000 -0.00003793026 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 130000.00000000 SEK 14340.08000000 USD 2020-11-04 -195.17000000 N N N BANQUE CANADIENNE IMPERIALE DE COMMERCE 2IGI19DL77OX0HC3ZE78 N/A 445000.00000000 PA 526272.58000000 0.102278314729 Long DBT NUSS CA N 2 2022-07-25 Fixed 0.00000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 252050000.00000000 PA 3147078.20000000 0.611618136399 Long DBT NUSS JP N 2 2042-03-20 Fixed 2.00000000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3430000.00000000 PA 856212.15000000 0.166400339065 Long DBT NUSS MY N 2 2022-09-30 Fixed 3.79500000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VEU4 391000.00000000 PA USD 468206.21000000 0.090993420376 Long DBT CORP US N 2 2029-12-03 Fixed 4.01600000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 4315.30000000 0.000838655913 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 140829.56000000 USD 2430000.00000000 ZAR 2020-11-04 4315.30000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 P6S32JS68 164600000.00000000 PA 46692.22000000 0.009074387976 Long DBT NUSS CO N 2 2034-10-18 Fixed 7.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1007.71000000 -0.00019584315 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 696000.00000000 SEK 76757.65000000 USD 2020-10-02 -1007.71000000 N N N Arena Luxembourg Finance S.a r.l. 222100KX2LPK5KRSIG74 N/A 175000.00000000 PA 184214.50000000 0.035801121557 Long DBT NUSS ES Y 2 2028-02-01 Fixed 1.87500000 N N N N N N Rzeczpospolita Polska 259400R9L8QEP0TPXS31 N/A 1860000.00000000 PA 528553.55000000 0.102721609281 Long DBT NUSS PL N 2 2027-07-25 Fixed 2.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 116.12000000 0.000022567312 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 397865.50000000 USD 41999000.00000000 JPY 2020-10-02 116.12000000 N N N MASSMUTUAL GLOBAL FUNDING II 549300K1IE3K7YU6VG29 57629WCU2 998000.00000000 PA USD 1008557.75000000 0.196007907114 Long DBT CORP US Y 2 2023-06-09 Fixed 0.85000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -173.21000000 -0.00003366245 N/A DFE SG N 2 J P MORGAN CHASE BANK N/A SINGAPORE DOLLAR N/A 95424.89000000 USD 130000.00000000 SGD 2020-10-28 -173.21000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -3826.49000000 -0.00074365825 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 542535.86000000 USD 56850000.00000000 JPY 2020-10-02 -3826.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 239.99000000 0.000046640797 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 116000.00000000 SEK 13200.88000000 USD 2020-10-02 239.99000000 N N N COMPAGNIE DE FINANCEMENT FONCIER S.A. DKGVVH5FKILG8R13CO13 N/A 387000.00000000 PA 648310.43000000 0.125995730581 Long DBT NUSS FR N 2 2027-01-26 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 420.73000000 0.000081766668 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 123000.00000000 SEK 14163.75000000 USD 2020-10-02 420.73000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 195000.00000000 PA 489988.58000000 0.095226709700 Long DBT NUSS FR Y 2 2055-04-25 Fixed 4.00000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 90000.00000000 PA 130967.69000000 0.025452883403 Long DBT NUSS IT Y 2 2067-03-01 Fixed 2.80000000 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES, INC. RLUFFFFW4GRYU77BTS24 N/A 110000.00000000 PA 138654.49000000 0.026946772653 Long DBT NUSS US N 2 2023-05-19 Fixed 3.87500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -63.31000000 -0.00001230396 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15115.02000000 USD 21000.00000000 AUD 2020-10-02 -63.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 116.19000000 0.000022580916 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 15002.95000000 USD 2020-10-02 116.19000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1500.59000000 0.000291631793 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 143293.92000000 USD 112000.00000000 GBP 2020-10-02 1500.59000000 N N N Japan 353800WZS8AXZXFUC241 N/A 74300000.00000000 PA 712436.53000000 0.138458301665 Long DBT NUSS JP N 2 2026-06-20 Fixed 0.10000000 N N N N N N Heineken N.V. 724500K5PTPSST86UQ23 N/A 335000.00000000 PA 411599.38000000 0.079992179965 Long DBT NUSS NL N 2 2026-05-04 Fixed 1.00000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -49.73000000 -0.00000966476 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15101.44000000 USD 21000.00000000 AUD 2020-10-02 -49.73000000 N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693475AY1 885000.00000000 PA USD 936159.73000000 0.181937731777 Long DBT CORP US N 2 2024-11-01 Fixed 2.20000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087D35 300000.00000000 PA 314793.94000000 0.061178550610 Long DBT NUSS CA N 2 2048-12-01 Fixed 2.75000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 810000.00000000 PA 981506.06000000 0.190750553094 Long DBT NUSS US N 2 2027-03-11 Fixed 1.09000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 4.47000000 0.000000868721 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 20680.46000000 USD 16000.00000000 GBP 2020-10-02 4.47000000 N N N Odebrecht Finance, Ltd. N/A G6710EAL4 280000.00000000 PA USD 16450.00000000 0.003196971191 Long DBT NUSS BR N 2 2042-06-26 Fixed 7.12500000 Y N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 933.44000000 0.000181409166 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 141000.00000000 NOK 16003.02000000 USD 2020-10-02 933.44000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 353.84000000 0.000068766947 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 13544.60000000 USD 130000.00000000 NOK 2020-11-04 353.84000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -372.14000000 -0.00007232345 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 14159.20000000 USD 129000.00000000 NOK 2020-10-02 -372.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 225.32000000 0.000043789759 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14449.54000000 USD 2020-10-02 225.32000000 N N N NOBLE ENERGY, INC. 02VFQXG2D1LR5ZH3K186 655044AQ8 205000.00000000 PA USD 226616.59000000 0.044041745277 Long DBT CORP US N 2 2029-10-15 Fixed 3.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 355.13000000 0.000069017652 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14897.12000000 USD 2020-10-02 355.13000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 142.13000000 0.000027622219 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14782.54000000 USD 1575000.00000000 JPY 2020-10-02 142.13000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 2970.50000000 0.000577301089 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 540476.86000000 USD 57350000.00000000 JPY 2020-10-02 2970.50000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -119274.32000000 -0.02318033829 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 6829344.72000000 USD 60020700.00000000 SEK 2020-10-28 -119274.32000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 45592.45000000 0.008860653447 N/A DFE MX N 2 JP MORGAN N/A MEXICAN PESO N/A 2215712.38000000 USD 49920000.00000000 MXN 2020-10-02 45592.45000000 N N N Japan 353800WZS8AXZXFUC241 N/A 50000000.00000000 PA 525912.06000000 0.102208249558 Long DBT NUSS JP N 2 2035-12-20 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 740.90000000 0.000143990027 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 141000.00000000 NOK 15810.48000000 USD 2020-10-02 740.90000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 279000.00000000 PA 357030.49000000 0.069387002500 Long DBT NUSS FR N 2 2028-05-25 Fixed 0.75000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC 2025.17000000 0.000393581164 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 190868.51000000 USD 177000.00000000 CHF 2020-11-04 2025.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -363.37000000 -0.00007061905 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 25000.00000000 AUD 17552.77000000 USD 2020-11-04 -363.37000000 N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 1397000.00000000 PA 1692218.37000000 0.328873761649 Long DBT NUSS FI Y 2 2030-09-15 Fixed 0.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 22498.86000000 0.004372535396 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 2456250.00000000 USD 3750000.00000000 NZD 2020-10-02 22498.86000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -593.26000000 -0.00011529696 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 28892.58000000 USD 26000.00000000 CHF 2020-10-02 -593.26000000 N N N NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LIMITED 254900ZJG39H1CAH6K02 N/A 479000.00000000 PA 396171.54000000 0.076993860206 Long DBT NUSS NZ N 2 2027-04-15 Fixed 4.50000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ADZ4 2200000.00000000 PA 1908972.49000000 0.370998787628 Long DBT NUSS CA N 2 2048-06-02 Fixed 2.80000000 N N N N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 2403000.00000000 PA 272480.05000000 0.052955068096 Long DBT NUSS NO Y 2 2026-02-19 Fixed 1.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 43.59000000 0.000008471487 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14177.30000000 USD 11000.00000000 GBP 2020-10-02 43.59000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 994000000.00000000 PA 862772.40000000 0.167675289233 Long DBT NUSS KR N 2 2026-12-10 Fixed 1.50000000 N N N N N N THAILAND BAHT N/A N/A 1.00000000 NC -2662.51000000 -0.00051744484 N/A DFE TH N 2 J P MORGAN CHASE BANK N/A THAILAND BAHT N/A 2249826.22000000 USD 71207000.00000000 THB 2020-10-02 -2662.51000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 6560000.00000000 PA 8267983.16000000 1.606839147531 Long DBT NUSS IT Y 2 2025-07-01 Fixed 1.85000000 N N N N N N Ireland 549300KXBEJAOJ9OVF93 N/A 250000.00000000 PA 378262.60000000 0.073513351680 Long DBT NUSS IE N 2 2050-05-15 Fixed 1.50000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 820000.00000000 PA 748997.33000000 0.145563701322 Long DBT NUSS AU N 2 2027-04-21 Fixed 4.75000000 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040QAB0 140000.00000000 PA 210983.34000000 0.041003505163 Long DBT NUSS US N 2 2034-12-01 Fixed 4.50000000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 5375000.00000000 PA 183060.37000000 0.035576822446 Long DBT NUSS TH N 2 2023-06-16 Fixed 3.62500000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773DB3 65000.00000000 PA USD 65406.25000000 0.012711361520 Long DBT CORP US N 2 2168-09-30 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 125.00000000 0.000024293094 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 12000.00000000 GBP 15638.70000000 USD 2020-10-02 125.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 21658.98000000 0.004209309124 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 71207000.00000000 THB 2268822.69000000 USD 2020-10-02 21658.98000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1258000.00000000 PA 1080510.59000000 0.209991564053 Long DBT NUSS SG N 2 2029-07-01 Fixed 2.87500000 N N N N N N Ceska republika 3157007EFDLQABN47912 N/A 14630000.00000000 PA 717943.96000000 0.139528641790 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.50000000 N N N N N N EURO N/A N/A 1.00000000 NC -234.78000000 -0.00004562826 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 15479.22000000 USD 13000.00000000 EUR 2020-10-02 -234.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -78.62000000 -0.00001527938 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 25000.00000000 NZD 16441.08000000 USD 2020-11-04 -78.62000000 N N N Bundesrepublik Deutschland N/A N/A -7.00000000 NC -1827878.57000000 -0.35523860975 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A EURO-BUXL 30Y BND DEC20 N/A Short Germany Govt. Bond Futures EURO BUXL 30Y BND Dec 2020 2020-12-11 -1814511.60000000 EUR -13366.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -463.40000000 -0.00009005935 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 113000.00000000 GBP 145623.92000000 USD 2020-10-02 -463.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -332.67000000 -0.00006465266 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 150000.00000000 NOK 15703.99000000 USD 2020-11-04 -332.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -58.11000000 -0.00001129337 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1562000.00000000 JPY 14743.37000000 USD 2020-10-02 -58.11000000 N N N BMW Finance N.V. 5299006ZHG3IXU0PNJ56 N/A 200000000.00000000 PA 1892921.86000000 0.367879431900 Long DBT NUSS DE N 2 2021-01-29 Fixed 0.45400000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 241.49000000 0.000046932314 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15411.86000000 USD 140000.00000000 SEK 2020-11-04 241.49000000 N N N Bell Canada Inc. N/A 07813ZBF0 80000.00000000 PA 66360.92000000 0.012896896626 Long DBT NUSS CA N 2 2023-09-11 Fixed 4.70000000 N N N N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 199371.00000000 PA 270703.34000000 0.052609773830 Long DBT NUSS PT Y 2 2029-06-15 Fixed 1.95000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -82.42000000 -0.00001601789 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14138.65000000 USD 2020-11-04 -82.42000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 60000.00000000 PA 91888.93000000 0.017858131431 Long DBT NUSS FR Y 2 2039-06-25 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -83383.97000000 -0.01620523707 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 21031202.83000000 CNY 3011383.73000000 USD 2020-10-21 -83383.97000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 568000.00000000 PA 140693.09000000 0.027342963867 Long DBT NUSS MY N 2 2022-03-10 Fixed 3.88200000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 11811.89000000 0.002295578848 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 1022865.87000000 USD 1565736.45000000 NZD 2020-10-27 11811.89000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087D35 400000.00000000 PA 419725.25000000 0.081571400165 Long DBT CORP CA N 2 2048-12-01 Fixed 2.75000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -32388.66000000 -0.00629456613 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 934768.72000000 USD 698000.00000000 GBP 2020-10-02 -32388.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2312.21000000 0.000449365882 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2430000.00000000 ZAR 147995.66000000 USD 2020-10-02 2312.21000000 N N N CK HUTCHISON FINANCE (16) (II) LIMITED 254900X1B76DSAVBLZ88 N/A 212000.00000000 PA 252753.26000000 0.049121269960 Long DBT NUSS GB N 2 2024-10-03 Fixed 0.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 23.76000000 0.000004617631 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 CAD 14996.62000000 USD 2020-10-02 23.76000000 N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 N/A 330000.00000000 PA 408184.27000000 0.079328471254 Long DBT NUSS AU N 2 2022-05-03 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -21768.22000000 -0.00423053934 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 3750000.00000000 NZD 2456186.25000000 USD 2020-11-04 -21768.22000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 140.03000000 0.000027214095 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 21628.68000000 USD 20000.00000000 CHF 2020-10-02 140.03000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 2762800.00000000 PA 139106.48000000 0.027034614538 Long DBT NUSS MX N 2 2027-06-03 Floating 7.49999880 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -116.98000000 -0.00002273444 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 30000.00000000 AUD 21385.47000000 USD 2020-10-02 -116.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -46789.14000000 -0.00909322387 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 15782563.15000000 CAD 11769336.95000000 USD 2020-10-09 -46789.14000000 N N N Japan 353800WZS8AXZXFUC241 N/A 71550000.00000000 PA 687200.02000000 0.133553718355 Long DBT NUSS JP N 2 2027-03-20 Fixed 0.10000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 741.50000000 0.000144106634 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 144240.97000000 USD 15300000.00000000 JPY 2020-10-02 741.50000000 N N N Allianz SE 529900K9B0N5BT694847 N/A 600000.00000000 PA 741512.95000000 0.144109151337 Long DBT NUSS DE N 2 2045-07-07 Fixed 2.24100000 N N N N N N GE Capital UK Funding Unlimited Company BR7Z6BPTFF652NNO9651 N/A 500000.00000000 PA 649047.85000000 0.126139044289 Long DBT NUSS US N 2 2020-11-04 Fixed 5.87500000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC 1809.82000000 0.000351729021 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A TURKISH LIRA N/A 141839.46000000 USD 1115000.00000000 TRY 2020-11-04 1809.82000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 108.62000000 0.000021109727 N/A DFE SG N 2 J P MORGAN CHASE BANK N/A SINGAPORE DOLLAR N/A 14542.32000000 USD 20000.00000000 SGD 2020-10-02 108.62000000 N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 N/A 290000000.00000000 PA 3215528.66000000 0.624921124161 Long DBT NUSS XX N 2 2027-06-21 Fixed 2.35000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 31.92000000 0.000006203484 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14252.81000000 USD 2020-10-02 31.92000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -260.52000000 -0.00005063069 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15312.23000000 USD 21000.00000000 AUD 2020-10-02 -260.52000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AT6 200000.00000000 PA USD 209337.02000000 0.040683551508 Long DBT NUSS GB N 2 2168-09-30 Fixed 6.37500000 N N N Y Y HSBC HOLDINGS PLC GBP XXXX N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 188.50000000 0.000036633985 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15426.60000000 USD 2020-10-02 188.50000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -114.87000000 -0.00002232438 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 15317.86000000 USD 23000.00000000 NZD 2020-10-02 -114.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -168.08000000 -0.00003266546 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 51349000.00000000 KRW 43757.14000000 USD 2020-10-05 -168.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 49869.71000000 0.009691916487 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 3559000.00000000 PLN 970376.13000000 USD 2020-10-02 49869.71000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -347.01000000 -0.00006743957 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 17106.79000000 USD 150000.00000000 SEK 2020-10-02 -347.01000000 N N N Merck Financial Services GmbH 549300OELEN3ZS5RB682 N/A 400000.00000000 PA 471545.67000000 0.091642426906 Long DBT NUSS DE N 2 2025-07-16 Fixed 0.12500000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 344000.00000000 PA 415190.50000000 0.080690095295 Long DBT NUSS DK N 2 2168-10-06 Fixed 5.87500000 N N N N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 N/A 300000.00000000 PA 377690.35000000 0.073402137895 Long DBT NUSS AU N 2 2022-07-18 Fixed 3.62500000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 530000.00000000 PA USD 556994.42000000 0.108248943145 Long DBT NUSS IT Y 2 2024-06-26 Fixed 5.01700000 N N N N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 N/A 220000.00000000 PA 273124.34000000 0.053080282477 Long DBT NUSS IT N 2 2029-02-20 Fixed 4.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 468.68000000 0.000091085498 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 52261.46000000 PLN 13989.46000000 USD 2020-10-22 468.68000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 300000.00000000 PA 408909.32000000 0.079469380918 Long DBT NUSS NL N 2 2032-05-31 Fixed 1.25000000 N N N N N N Wepa Hygieneprodukte GmbH 529900KQ44OJDIDU6J81 N/A 298000.00000000 PA 342817.16000000 0.066624716387 Long DBT NUSS DE N 2 2027-12-15 Fixed 2.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 32368.18000000 0.006290585956 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 10007300.00000000 SGD 7364769.24000000 USD 2020-10-28 32368.18000000 N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 N/A 235000.00000000 PA 282054.01000000 0.054815716991 Long DBT NUSS CA N 2 2022-09-21 Fixed 0.75000000 N N N N N N WESTERN POWER DISTRIBUTION (WEST MIDLANDS) PLC 549300L22M2RCLXON143 N/A 230000.00000000 PA 331123.83000000 0.064352179053 Long DBT NUSS GB N 2 2024-10-17 Fixed 3.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 196.76000000 0.000038239273 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14738.75000000 USD 2020-10-02 196.76000000 N N N EURO N/A N/A 1.00000000 NC -4089.22000000 -0.00079471845 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 326567.73000000 USD 275000.00000000 EUR 2020-10-02 -4089.22000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 2313.85000000 0.000449684607 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 143369.60000000 USD 2430000.00000000 ZAR 2020-10-02 2313.85000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -257.32000000 -0.00005000879 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15495.42000000 USD 14000.00000000 CHF 2020-10-02 -257.32000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -9761.46000000 -0.00189708853 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 696775.67000000 USD 11532691.78000000 ZAR 2020-11-27 -9761.46000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 52000.00000000 PA 69822.42000000 0.013569620989 Long DBT NUSS GB N 2 2024-04-22 Fixed 1.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 79.86000000 0.000015520371 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14806.90000000 USD 1571000.00000000 JPY 2020-10-02 79.86000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 22113000.00000000 PA 1335319.38000000 0.259512315484 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 238000.00000000 PA 355731.53000000 0.069134556439 Long DBT NUSS FR N 2 2030-05-25 Fixed 2.50000000 N N N N N N NATIONAL GRID NORTH AMERICA INC. 5Q3U0WRKWZZGRMPYFT08 N/A 300000.00000000 PA 363572.83000000 0.070658471953 Long DBT NUSS US N 2 2024-07-12 Fixed 1.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 88.14000000 0.000017129546 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 14453.85000000 USD 22000.00000000 NZD 2020-10-02 88.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 284.86000000 0.000055361046 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14509.08000000 USD 2020-10-02 284.86000000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAA9 5000.00000000 PA USD 4453.56000000 0.000865526019 Long DBT CORP US Y 2 2027-11-01 Fixed 3.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 959.43000000 0.000186460186 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 89537.14000000 USD 70000.00000000 GBP 2020-10-02 959.43000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 902000.00000000 PA 1875424.42000000 0.364478896240 Long DBT NUSS GB N 2 2045-01-22 Fixed 3.50000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 1692.85000000 0.000328996515 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 152383.89000000 USD 2570000.00000000 ZAR 2020-10-02 1692.85000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 188.58000000 0.000036649533 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 14144.33000000 USD 20000.00000000 AUD 2020-11-04 188.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -45608.24000000 -0.00886372215 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 49920000.00000000 MXN 2207218.56000000 USD 2020-11-04 -45608.24000000 N N N Repubblica Italiana N/A N/A -11.00000000 NC -1903655.15000000 -0.36996539049 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A EURO-BTP FUTURE DEC20 N/A Short Italy Govt. Bond Futures Euro-BTP Futures Dec 2020 2020-12-11 -1878238.46000000 EUR -25416.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7705.44000000 -0.00149751183 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 7862000.00000000 DKK 1231815.37000000 USD 2020-11-04 -7705.44000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 968800000.00000000 PA 271969.39000000 0.052855824005 Long DBT NUSS CO N 2 2032-06-30 Fixed 7.00000000 N N N N N N ONEOK, INC. 2T3D6M0JSY48PSZI1Q41 682680BE2 89000.00000000 PA USD 103451.53000000 0.020105262076 Long DBT CORP US N 2 2031-01-15 Fixed 6.35000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 N/A 125000.00000000 PA 138635.27000000 0.026943037347 Long DBT NUSS US N 2 2026-02-26 Fixed 0.85000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 49415.53000000 0.009603648987 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 3215000.00000000 NZD 2174529.55000000 USD 2020-10-02 49415.53000000 N N N B.A.T. INTERNATIONAL FINANCE P.L.C. 21380041YBGOQDFAC823 N/A 333000.00000000 PA 398513.66000000 0.077449038939 Long DBT NUSS GB N 2 2027-03-13 Fixed 1.25000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -58.95000000 -0.00001145662 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 15220.52000000 USD 1600000.00000000 JPY 2020-10-02 -58.95000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 49.90000000 0.000009697803 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14926.44000000 USD 20000.00000000 CAD 2020-11-04 49.90000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -189.05000000 -0.00003674087 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15427.15000000 USD 14000.00000000 CHF 2020-10-02 -189.05000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -496.27000000 -0.00009644747 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15803.53000000 USD 137000.00000000 SEK 2020-10-02 -496.27000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 457000.00000000 PA 905917.67000000 0.176060346087 Long DBT NUSS GB N 2 2044-01-22 Fixed 3.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 92.70000000 0.000018015758 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14979.46000000 USD 2020-10-02 92.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -446.77000000 -0.00008682740 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22935000.00000000 JPY 216884.79000000 USD 2020-10-02 -446.77000000 N N N Konungariket Sverige ERE94C0BSULG2RM19605 N/A 1725000.00000000 PA 207588.85000000 0.040343803841 Long DBT NUSS SE Y 2 2026-11-12 Fixed 1.00000000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 466247FZ1 28508.44360000 PA USD 28727.77000000 0.005583091373 Long ABS-MBS US N 2 2034-12-25 Floating 3.02460840 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -734.87000000 -0.00014281812 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 9281315.26000000 AUD 6650730.64000000 USD 2020-10-29 -734.87000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -205.37000000 -0.00003991258 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 20885.64000000 USD 19000.00000000 CHF 2020-10-02 -205.37000000 N N N CYRUSONE LP 549300TDXOX1X4TWIB58 23283PAS3 154000.00000000 PA 179137.12000000 0.034814359393 Long DBT CORP US N 2 2027-01-22 Fixed 1.45000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 605.58000000 0.000117691295 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 12000.00000000 GBP 16119.28000000 USD 2020-10-02 605.58000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 654000.00000000 PA 874606.95000000 0.169975271933 Long DBT NUSS GB N 2 2022-09-07 Fixed 1.75000000 N N N N N N Province de Quebec 549300WN65YFEQH74Y36 748148QT3 720000.00000000 PA 815029.76000000 0.158396757640 Long DBT NUSS CA N 2 2032-06-01 Fixed 6.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8833.00000000 -0.00171664720 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 3559000.00000000 PLN 912067.14000000 USD 2020-11-04 -8833.00000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -344.09000000 -0.00006687208 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14564.98000000 USD 11000.00000000 GBP 2020-10-02 -344.09000000 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -31691.87000000 -0.00615914865 N/A DFE RU N 2 JP MORGAN N/A NEW RUSSIAN ROUBLE N/A 1616247.82000000 USD 123159700.00000000 RUB 2020-10-19 -31691.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 73.15000000 0.000014216318 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14294.04000000 USD 2020-10-02 73.15000000 N N N Mizuho Financial Group, Inc. 353800CI5L6DDAN5XZ33 N/A 385000.00000000 PA 465465.48000000 0.090460773880 Long DBT NUSS JP N 2 2024-10-16 Fixed 0.95600000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 382000.00000000 PA 504040.93000000 0.097957710194 Long DBT NUSS NL Y 2 2040-01-15 Fixed 0.50000000 N N N N N N LSTAR COMMERCIAL MORTGAGE TRUST N/A 50219QAC8 142087.62220000 PA USD 144392.08000000 0.028061843166 Long ABS-MBS US N 2 2049-03-10 Fixed 2.57900000 N N N N N N EURO N/A N/A 1.00000000 NC 9613.41000000 0.001868315794 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1015157.84000000 GBP 1127136.36000000 EUR 2020-10-15 9613.41000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -353.19000000 -0.00006864062 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 7727.66000000 USD 69000.00000000 NOK 2020-10-02 -353.19000000 N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FAZ4 195000.00000000 PA USD 219691.10000000 0.042695812632 Long DBT CORP US N 2 2026-04-15 Fixed 4.25000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -198.74000000 -0.00003862407 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15250.45000000 USD 21000.00000000 AUD 2020-10-02 -198.74000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 411000.00000000 PA 833620.03000000 0.162009679077 Long DBT NUSS DE N 2 2037-01-04 Fixed 4.00000000 N N N N N N BERKSHIRE HATHAWAY INC. 5493000C01ZX7D35SD85 084670BZ0 265000.00000000 PA 315504.04000000 0.061316554819 Long DBT NUSS US N 2 2023-01-17 Fixed 0.62500000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -275.22000000 -0.00005348756 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15513.32000000 USD 14000.00000000 CHF 2020-10-02 -275.22000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087G73 525000.00000000 PA 398878.16000000 0.077519877602 Long DBT NUSS CA N 2 2022-09-01 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -45.09000000 -0.00000876300 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1575000.00000000 JPY 14879.58000000 USD 2020-10-02 -45.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7710.06000000 -0.00149840970 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 25007000.00000000 CZK 1075484.32000000 USD 2020-11-04 -7710.06000000 N N N Intertrust Group B.V. 724500E2H60ZHP192G28 N/A 180000.00000000 PA 214745.36000000 0.041734634011 Long DBT NUSS NL Y 2 2025-11-15 Fixed 3.37500000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 7050000.00000000 PA 9146215.43000000 1.777518981385 Long DBT NUSS GB N 2 2023-01-31 Fixed 0.12500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 210000.00000000 PA 264469.43000000 0.051398246129 Long DBT NUSS US N 2 2026-04-27 Fixed 2.00000000 N N N N N N KOREAN WON N/A N/A 1.00000000 NC 3545.51000000 0.000689051266 N/A DFE KR N 2 JP MORGAN N/A KOREAN WON N/A 923012.87000000 USD 1083155600.00000000 KRW 2020-10-05 3545.51000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 195000.00000000 PA 198494.99000000 0.038576459863 Long DBT NUSS AU N 2 2033-04-21 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -932.04000000 -0.00018113708 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 113000.00000000 GBP 145155.28000000 USD 2020-10-02 -932.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 28156.92000000 0.005472149671 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 67107050.00000000 THB 2146052.13000000 USD 2020-10-21 28156.92000000 N N N Swiss Re Finance (Luxembourg) S.A. 549300CLQZ6TM98LW631 87089NAA8 200000.00000000 PA USD 227555.20000000 0.044224159206 Long DBT NUSS CH Y 2 2049-04-02 Fixed 5.00000000 N N N N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -12961.03000000 -0.00251890817 N/A DFE BR N 2 BNP PARIBAS N/A BRAZILIAN REAL N/A 1317479.01000000 USD 7352850.35000000 BRL 2020-10-02 -12961.03000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 4630000.00000000 PA 5559670.25000000 1.080492743173 Long DBT NUSS IT N 2 2022-04-15 Fixed 1.35000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -105173.28000000 -0.02043987515 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 100786000.00000000 CNY 14715432.91000000 USD 2020-11-04 -105173.28000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -231.99000000 -0.00004508603 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 GBP 16574.52000000 USD 2020-10-02 -231.99000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 412000.00000000 PA 348324.25000000 0.067694990435 Long DBT NUSS SG N 2 2036-08-01 Fixed 2.25000000 N N N N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC 9792.03000000 0.001903029654 N/A DFE MY N 2 BNP PARIBAS N/A MALAYSIAN RINGGIT N/A 2086706.59000000 USD 8712000.00000000 MYR 2020-10-02 9792.03000000 N N N EURO N/A N/A 1.00000000 NC 3911.04000000 0.000760090103 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 767767.26000000 USD 657923.62000000 EUR 2020-10-15 3911.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -33240.60000000 -0.00646013620 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20388000.00000000 CAD 15233637.74000000 USD 2020-11-04 -33240.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 342.44000000 0.000066551417 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 CAD 15315.30000000 USD 2020-10-02 342.44000000 N N N KfW 549300GDPG70E3MBBU98 500769CG7 160000000.00000000 PA 2158659.95000000 0.419524235444 Long DBT NUSS DE N 2 2037-06-20 Fixed 2.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 38.82000000 0.000007544463 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14897.15000000 USD 2020-10-02 38.82000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 N/A 600000.00000000 PA 694760.84000000 0.135023124053 Long DBT NUSS US N 2 2032-06-26 Fixed 0.83500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5998.15000000 0.001165708982 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 30526688.07000000 MXN 1387870.34000000 USD 2020-10-08 5998.15000000 N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBL2 800000.00000000 PA USD 827781.70000000 0.160875030273 Long DBT CORP US Y 2 2022-11-21 Fixed 2.30000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -131.67000000 -0.00002558937 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 14673.66000000 USD 22000.00000000 NZD 2020-10-02 -131.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1170.36000000 0.000227453325 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 141000.00000000 NOK 16239.94000000 USD 2020-10-02 1170.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -190.22000000 -0.00003696825 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 170000.00000000 SEK 18804.19000000 USD 2020-10-02 -190.22000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 784000.00000000 PA 928274.68000000 0.180405313680 Long DBT NUSS IT N 2 2023-08-15 Fixed 0.30000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -742.22000000 -0.00014424656 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 15811.80000000 USD 141000.00000000 NOK 2020-10-02 -742.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 198.80000000 0.000038635736 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14740.79000000 USD 2020-10-02 198.80000000 N N N Province de Quebec 549300WN65YFEQH74Y36 74814ZEW9 520000.00000000 PA 510863.26000000 0.099283594235 Long DBT NUSS CA N 2 2048-12-01 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6689.87000000 0.001300141134 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1376000.00000000 TRY 185294.91000000 USD 2020-10-02 6689.87000000 N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -31.83000000 -0.00000618599 N/A DFE BR N 2 BNP PARIBAS N/A BRAZILIAN REAL N/A 1821.98000000 USD 10090.10000000 BRL 2020-10-02 -31.83000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -282.30000000 -0.00005486352 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14506.52000000 USD 19000.00000000 CAD 2020-10-02 -282.30000000 N N N Rzeczpospolita Polska 259400R9L8QEP0TPXS31 N/A 1493000.00000000 PA 435193.66000000 0.084577604491 Long DBT NUSS PL N 2 2029-10-25 Fixed 2.75000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 33766.11000000 0.006562266317 N/A DFE MX N 2 JP MORGAN N/A MEXICAN PESO N/A 1355945.78000000 USD 30699873.41000000 MXN 2020-10-08 33766.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -506.87000000 -0.00009850752 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22935000.00000000 JPY 216824.69000000 USD 2020-10-02 -506.87000000 N N N EURO N/A N/A 1.00000000 NC -5150.38000000 -0.00100094933 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 766199.67000000 USD 649000.00000000 EUR 2020-10-02 -5150.38000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 17886.56000000 0.003476159090 N/A DFE MX N 2 CREDIT SUISSE - FIRST BOSTON N/A MEXICAN PESO N/A 1055485.61000000 USD 23711670.06000000 MXN 2020-10-08 17886.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 933271.96000000 0.181376508829 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 34964000.00000000 EUR 41933776.20000000 USD 2020-10-02 933271.96000000 N N N United States of America N/A N/A -18.00000000 NC USD -3992625.00000000 -0.77594572065 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A US ULTRA BOND CBT DEC20 N/A Short U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Dec 2020 2020-12-24 -4014530.52000000 USD 21905.52000000 N N N SEAGATE HDD CAYMAN 529900BD50TRWEG1SF63 81180WAH4 6000.00000000 PA USD 6522.62000000 0.001267636974 Long DBT NUSS US N 2 2023-06-01 Fixed 4.75000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -138.10000000 -0.00002683901 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15376.20000000 USD 14000.00000000 CHF 2020-10-02 -138.10000000 N N N EURO N/A N/A 1.00000000 NC -15287.94000000 -0.00297113092 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1172852.20000000 USD 986925.34000000 EUR 2020-10-15 -15287.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 452.74000000 0.000087987643 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 184000.00000000 SEK 21011.40000000 USD 2020-10-02 452.74000000 N N N United States of America N/A N/A -7.00000000 NC USD -976718.75000000 -0.18982016451 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A US 10YR NOTE (CBT)DEC20 N/A Short U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Dec 2020 2020-12-24 -978018.93000000 USD 1300.18000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -435.16000000 -0.00008457106 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 15504.74000000 USD 141000.00000000 NOK 2020-10-02 -435.16000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 1202.89000000 0.000233775360 N/A DFE MX N 2 JP MORGAN N/A MEXICAN PESO N/A 96782.11000000 USD 2170000.00000000 MXN 2020-10-30 1202.89000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -226.19000000 -0.00004395883 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14450.41000000 USD 19000.00000000 CAD 2020-10-02 -226.19000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -338.54000000 -0.00006579347 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15645.80000000 USD 137000.00000000 SEK 2020-10-02 -338.54000000 N N N Nordea Kiinnitysluottopankki Oyj 7437001LESKGLAEOEU84 N/A 480000.00000000 PA 583279.06000000 0.113357225021 Long DBT NUSS FI N 2 2026-03-18 Fixed 0.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 30548.35000000 0.005936911544 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 49920000.00000000 MXN 2291853.18000000 USD 2020-10-02 30548.35000000 N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AF2 375000.00000000 PA 482071.37000000 0.093688041476 Long DBT NUSS US N 2 2027-03-09 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -72.83000000 -0.00001415412 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 AUD 14262.14000000 USD 2020-10-02 -72.83000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 10.01000000 0.000001945390 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14210.88000000 USD 11000.00000000 GBP 2020-10-02 10.01000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EL4 67000.00000000 PA USD 74470.50000000 0.014472950950 Long DBT CORP US N 2 2169-04-23 Fixed 6.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 31359.11000000 0.006094478496 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 15231976.09000000 USD 20388000.00000000 CAD 2020-10-02 31359.11000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 114000.00000000 PA 106350.45000000 0.020668651968 Long DBT NUSS SG N 2 2042-04-01 Fixed 2.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -111.45000000 -0.00002165972 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15163.16000000 USD 21000.00000000 AUD 2020-10-02 -111.45000000 N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAR2 10000.00000000 PA USD 9892.50000000 0.001922555472 Long DBT CORP US N 2 2023-09-25 Fixed 4.40000000 N N N N N N INDIA RUPEE N/A N/A 1.00000000 NC 19804.79000000 0.003848957026 N/A DFE IN N 2 GOLDMAN, SACHS & CO. N/A INDIA RUPEE N/A 686765.24000000 USD 52132877.85000000 INR 2020-10-15 19804.79000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 112000.00000000 PA 105469.20000000 0.020497385654 Long DBT NUSS SG N 2 2033-09-01 Fixed 3.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -219.98000000 -0.00004275195 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14440.87000000 USD 11000.00000000 GBP 2020-10-02 -219.98000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 284000.00000000 PA 358240.91000000 0.069622241276 Long DBT NUSS FR N 2 2029-05-25 Fixed 0.50000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 868000.00000000 PA 1028752.58000000 0.199932666368 Long DBT NUSS FR N 2 2022-05-25 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13444.65000000 0.002612897187 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 786620000.00000000 JPY 7467438.77000000 USD 2020-10-02 13444.65000000 N N N INTERNATIONAL FLAVORS & FRAGRANCES INC. BZLRL03D3GPGMOGFO832 459506AH4 100000.00000000 PA 122748.69000000 0.023855563876 Long DBT NUSS US N 2 2026-09-25 Fixed 1.80000000 N N N N N N DNB BANK ASA 549300GKFG0RYRRQ1414 N/A 355000.00000000 PA USD 367868.75000000 0.071493361466 Long DBT NUSS NO N 2 2169-03-26 Fixed 6.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3650.99000000 0.000709550750 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1060000.00000000 TRY 141239.17000000 USD 2020-10-02 3650.99000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -9400.77000000 -0.00182699032 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 3520021.19000000 USD 2715500.00000000 GBP 2020-10-28 -9400.77000000 N N N Ireland 549300KXBEJAOJ9OVF93 N/A 351000.00000000 PA 521497.00000000 0.101350205812 Long DBT NUSS IE N 2 2025-03-13 Fixed 5.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1394.90000000 0.000271091496 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 186000.00000000 NOK 21273.92000000 USD 2020-10-02 1394.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 42.54000000 0.000008267425 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15280.64000000 USD 2020-10-02 42.54000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 512000.00000000 PA 660978.75000000 0.128457752106 Long DBT NUSS IT N 2 2028-02-01 Fixed 2.00000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 3028.42000000 0.000588557537 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 142655.03000000 USD 2430000.00000000 ZAR 2020-10-02 3028.42000000 N N N CRH Funding B.V. 549300XYDB6706OPOS81 N/A 310000.00000000 PA 383758.46000000 0.074581443236 Long DBT NUSS IE N 2 2024-01-09 Fixed 1.87500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 74.24000000 0.000014428154 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14812.52000000 USD 1571000.00000000 JPY 2020-10-02 74.24000000 N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ACX0 1614000.00000000 PA 1314206.22000000 0.255409083613 Long DBT NUSS CA N 2 2025-06-02 Fixed 2.60000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -78.32000000 -0.00001522108 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14299.21000000 USD 11000.00000000 GBP 2020-10-02 -78.32000000 N N N AT&T INC. 549300Z40J86GGSTL398 00206RKG6 870000.00000000 PA USD 871644.79000000 0.169399591679 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -28.78000000 -0.00000559324 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 20713.71000000 USD 16000.00000000 GBP 2020-10-02 -28.78000000 N N N Canada Housing Trust No. 1 549300M44WH89JG50067 13509PFD0 2235000.00000000 PA 1813600.22000000 0.352463687343 Long DBT NUSS CA Y 2 2025-12-15 Fixed 2.25000000 N N N N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 75000.00000000 PA 85465.14000000 0.016609701549 Long DBT NUSS CH N 2 2022-05-25 Fixed 2.00000000 N N N N N N Caixabank, S.A. 7CUNS533WID6K7DGFI87 N/A 500000.00000000 PA 641931.59000000 0.124756036494 Long DBT NUSS ES N 2 2027-01-11 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -82.61000000 -0.00001605482 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14804.15000000 USD 2020-10-02 -82.61000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1381.38000000 -0.00026846395 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 283744.04000000 GBP 365473.67000000 USD 2020-11-19 -1381.38000000 N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 052528AH9 200000.00000000 PA USD 219871.21000000 0.042730816065 Long DBT NUSS AU Y 2 2024-03-19 Fixed 4.50000000 N N N Y Y AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED AUD XXXX N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 4820000.00000000 PA 244731.96000000 0.047562372391 Long DBT NUSS MX N 2 2034-11-23 Fixed 7.75000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 N/A 350000.00000000 PA 492840.98000000 0.095781058674 Long DBT NUSS FR N 2 2025-11-12 Fixed 4.00000000 N N N N N N IMPERIAL BRANDS FINANCE PLC 2138008L3B3MCG1DFS50 N/A 150000.00000000 PA 176396.92000000 0.034281815900 Long DBT NUSS GB N 2 2021-07-27 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 208680.72000000 0.040556003047 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 15035700.00000000 NZD 10144646.93000000 USD 2020-10-27 208680.72000000 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 N/A 200000.00000000 PA 226961.08000000 0.044108695101 Long DBT NUSS ES N 2 2168-12-29 Fixed 5.25000000 N N N Y Y BANCO SANTANDER, S.A. EUR XXXX N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 360000.00000000 PA 446378.55000000 0.086751329178 Long DBT CORP US N 2 2026-10-27 Fixed 1.37500000 N N N N N N EURO N/A N/A 1.00000000 NC -120.84000000 -0.00002348461 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 15365.28000000 USD 13000.00000000 EUR 2020-10-02 -120.84000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1609000.00000000 PA 2254890.57000000 0.438226151548 Long DBT NUSS IT N 2 2029-08-01 Fixed 3.00000000 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 N/A 570000.00000000 PA 676144.85000000 0.131405204069 Long DBT NUSS CA N 2 2021-09-17 Fixed 0.75000000 N N N N N N WPC Eurobond B.V. 5493005XDMOLBARL5M14 N/A 405000.00000000 PA 479982.73000000 0.093282125250 Long DBT NUSS US N 2 2028-04-15 Fixed 1.35000000 N N N N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 200000.00000000 PA 298375.58000000 0.057987728486 Long DBT NUSS FR N 2 2026-10-07 Fixed 4.25000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 11461.44000000 0.002227470729 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 836565.21000000 USD 14235557.03000000 ZAR 2020-11-27 11461.44000000 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94989JAY2 108241.73040000 PA USD 115915.17000000 0.022527505117 Long ABS-MBS US N 2 2048-05-15 Fixed 3.29000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 633000.00000000 PA 762735.42000000 0.148233627034 Long DBT NUSS FR N 2 2025-03-25 Fixed 0.00000000 N N N N N N Q-Park Holding I B.V. 2549003839B7HE3NDP48 N/A 122000.00000000 PA 127369.16000000 0.024753527978 Long DBT NUSS NL Y 2 2027-03-01 Fixed 2.00000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -169.70000000 -0.00003298030 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15476.96000000 USD 137000.00000000 SEK 2020-10-02 -169.70000000 N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 N/A 100000.00000000 PA 120096.16000000 0.023340058587 Long DBT NUSS FR N 2 2025-01-23 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 26005.70000000 0.005054071350 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2593000.00000000 CAD 1967615.16000000 USD 2020-10-28 26005.70000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 412000.00000000 PA 475170.60000000 0.092346913033 Long DBT NUSS ES Y 2 2050-10-31 Fixed 1.00000000 N N N N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 130000.00000000 PA 206057.30000000 0.040046155134 Long DBT NUSS NL N 2 2029-05-23 Fixed 4.62500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 1952.13000000 0.000379386223 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 324116.29000000 USD 34410000.00000000 JPY 2020-10-02 1952.13000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -435.89000000 -0.00008471293 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 14222.95000000 USD 129000.00000000 NOK 2020-10-02 -435.89000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -764.89000000 -0.00014865235 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 21323.55000000 USD 184000.00000000 SEK 2020-10-02 -764.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 115.23000000 0.000022394345 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15353.33000000 USD 2020-10-02 115.23000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -227.23000000 -0.00004416095 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14451.45000000 USD 19000.00000000 CAD 2020-10-02 -227.23000000 N N N AT&T INC. 549300Z40J86GGSTL398 00206RBX9 1125000.00000000 PA 846106.12000000 0.164436285158 Long DBT NUSS US N 2 2020-11-25 Fixed 3.82500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -215.25000000 -0.00004183270 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14439.47000000 USD 19000.00000000 CAD 2020-10-02 -215.25000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -241.10000000 -0.00004685652 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14461.99000000 USD 11000.00000000 GBP 2020-10-02 -241.10000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 12347.37000000 0.002399646576 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 940501.79000000 USD 8528000.00000000 SEK 2020-10-02 12347.37000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -1084.47000000 -0.00021076105 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 146767.92000000 USD 2430000.00000000 ZAR 2020-10-02 -1084.47000000 N N N PORT AUTH N Y & N J N/A 73358W4V3 330000.00000000 PA USD 334728.90000000 0.065052805493 Long DBT MUN US N 2 2023-07-01 Fixed 1.08600000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 550000.00000000 PA 873852.27000000 0.169828603835 Long DBT NUSS NL Y 2 2033-01-15 Fixed 2.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 3.83000000 0.000000744340 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 15509.87000000 USD 12000.00000000 GBP 2020-10-02 3.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8402.27000000 -0.00163293709 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 314649000.00000000 HUF 1007432.90000000 USD 2020-11-04 -8402.27000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 64000.00000000 PA 130483.84000000 0.025358849694 Long DBT NUSS BE Y 2 2035-03-28 Fixed 5.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -10123.69000000 -0.00196748603 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2687706.92000000 NZD 1765980.19000000 USD 2020-10-27 -10123.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3891.95000000 0.000756380062 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 8712000.00000000 MYR 2100390.57000000 USD 2020-10-02 3891.95000000 N N N SKYMILES IP LTD. N/A 830867AA5 124888.00000000 PA USD 128241.54000000 0.024923070454 Long DBT NUSS US Y 2 2025-10-20 Fixed 4.50000000 N N N N N N EURO N/A N/A 1.00000000 NC -5153.91000000 -0.00100163536 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 227957.25000000 USD 190000.00000000 EUR 2020-10-02 -5153.91000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -182.93000000 -0.00003555148 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15421.03000000 USD 14000.00000000 CHF 2020-10-02 -182.93000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -365.04000000 -0.00007094360 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14589.26000000 USD 19000.00000000 CAD 2020-10-02 -365.04000000 N N N Slovenska Republika 097900BHFM0000074794 N/A 75000.00000000 PA 102245.62000000 0.019870899795 Long DBT NUSS SK N 2 2024-11-15 Fixed 3.37500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -559.42000000 -0.00010872034 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15866.68000000 USD 137000.00000000 SEK 2020-10-02 -559.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -33.27000000 -0.00000646584 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15204.83000000 USD 2020-10-02 -33.27000000 N N N BPIFRANCE FINANCEMENT SA 969500STN7T9MRUMJ267 N/A 600000.00000000 PA 709026.82000000 0.137795642417 Long DBT NUSS FR N 2 2022-11-25 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 362.69000000 0.000070486898 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 21000.00000000 AUD 15414.40000000 USD 2020-10-02 362.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 23070.00000000 0.004483533458 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 30153526.26000000 MXN 1388050.03000000 USD 2020-10-08 23070.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -821.44000000 -0.00015964255 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 161000.00000000 GBP 207320.67000000 USD 2020-10-02 -821.44000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 11.78000000 0.000002289381 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14209.11000000 USD 11000.00000000 GBP 2020-10-02 11.78000000 N N N EURO N/A N/A 1.00000000 NC 2387.65000000 0.000464027250 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 277224.75000000 USD 238394.16000000 EUR 2020-10-15 2387.65000000 N N N ORANGE SA 969500MCOONR8990S771 N/A 400000.00000000 PA 468554.01000000 0.091061013481 Long DBT NUSS FR N 2 2169-03-19 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 985.62000000 0.000191550075 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 161000.00000000 GBP 209127.73000000 USD 2020-10-02 985.62000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 224.36000000 0.000043603188 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 17874.95000000 USD 14000.00000000 GBP 2020-10-02 224.36000000 N N N Federal National Mortgage Association N/A 30711XEC4 86355.71050000 PA USD 89225.65000000 0.017340536937 Long DBT USGA US N 2 2029-05-25 Floating 4.52513160 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1915.67000000 0.000372300413 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 122000.00000000 EUR 144978.86000000 USD 2020-10-02 1915.67000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 7637.52000000 0.001484311940 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 1887558.16000000 USD 200000000.00000000 JPY 2020-10-02 7637.52000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1243000.00000000 PA 1087674.66000000 0.211383863469 Long DBT NUSS AU N 2 2035-06-21 Fixed 2.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -135.07000000 -0.00002625014 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14359.29000000 USD 19000.00000000 CAD 2020-10-02 -135.07000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 490000.00000000 PA 600100.40000000 0.116626364194 Long DBT NUSS US N 2 2023-03-30 Fixed 1.87500000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 N/A 170000.00000000 PA 212306.93000000 0.041260737935 Long DBT NUSS US N 2 2026-07-27 Fixed 1.62500000 N N N N N N ENGIE SA LAXUQCHT4FH58LRZDY46 N/A 300000.00000000 PA 363231.59000000 0.070592153749 Long DBT NUSS FR N 2 2024-03-27 Fixed 0.87500000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 2170000.00000000 PA 2870769.39000000 0.557918968885 Long DBT NUSS GB N 2 2023-07-22 Fixed 0.75000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 34.75000000 0.000006753480 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 13288.48000000 USD 1406000.00000000 JPY 2020-10-02 34.75000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 203.59000000 0.000039566648 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 15090.35000000 USD 2020-10-02 203.59000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 3849.21000000 0.000748073767 N/A DFE MX N 2 JP MORGAN N/A MEXICAN PESO N/A 272789.98000000 USD 6130000.00000000 MXN 2020-11-04 3849.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1199.37000000 0.000233091266 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 122000.00000000 EUR 144262.56000000 USD 2020-10-02 1199.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8285.61000000 -0.00161026483 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 4375000.00000000 NOK 459450.19000000 USD 2020-11-04 -8285.61000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -280.68000000 -0.00005454868 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14504.90000000 USD 19000.00000000 CAD 2020-10-02 -280.68000000 N N N Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 N/A 460000.00000000 PA 552855.52000000 0.107444569645 Long DBT NUSS SE N 2 2024-06-20 Fixed 0.25000000 N N N N N N EURO N/A N/A 1.00000000 NC -7797.89000000 -0.00151547900 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 370146.47000000 USD 309000.00000000 EUR 2020-10-02 -7797.89000000 N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 N/A 375000.00000000 PA 457619.87000000 0.088936020741 Long DBT NUSS FR N 2 2025-03-19 Fixed 1.25000000 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 23680000.00000000 PA 3403743.58000000 0.661499706356 Long DBT NUSS CN N 2 2029-01-08 Fixed 3.48000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 342.55000000 0.000066572795 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 23000.00000000 NZD 15545.54000000 USD 2020-10-02 342.55000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -87.78000000 -0.00001705958 N/A DFE SG N 2 J P MORGAN CHASE BANK N/A SINGAPORE DOLLAR N/A 14738.72000000 USD 20000.00000000 SGD 2020-10-02 -87.78000000 N N N Japan 353800WZS8AXZXFUC241 N/A 549500000.00000000 PA 5539155.79000000 1.076505865506 Long DBT NUSS JP N 2 2047-09-20 Fixed 0.80000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 5698.89000000 0.001107549371 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 1233181.00000000 USD 130724943.00000000 JPY 2020-10-08 5698.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -95.94000000 -0.00001864543 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14790.82000000 USD 2020-10-02 -95.94000000 N N N Commerzbank Aktiengesellschaft 851WYGNLUQLFZBSYGB56 N/A 200000.00000000 PA 239532.35000000 0.046551855468 Long DBT NUSS DE N 2 2030-12-05 Fixed 4.00000000 N N N N N N United States of America N/A N/A -21.00000000 NC USD -2646656.25000000 -0.51436375598 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A US 5YR NOTE (CBT) DEC20 N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Dec 2020 2021-01-03 -2646930.89000000 USD 274.64000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 1289000.00000000 PA 957117.82000000 0.186010826608 Long DBT NUSS NZ N 2 2025-04-15 Fixed 2.75000000 N N N N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693476BN2 150000.00000000 PA USD 155940.21000000 0.030306161642 Long DBT CORP US N 2 2022-03-08 Fixed 3.30000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 78.51000000 0.000015258006 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 23000.00000000 NZD 15281.50000000 USD 2020-10-02 78.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 98.30000000 0.000019104089 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14985.06000000 USD 2020-10-02 98.30000000 N N N United States of America 254900HROIFWPRGM1V77 9127964J5 21925000.00000000 PA USD 21924132.21000000 4.260840065701 Long DBT UST US N 2 2020-10-20 None 0.00000000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1100600000.00000000 PA 329011.46000000 0.063941651027 Long DBT NUSS CO N 2 2026-08-26 Fixed 7.50000000 N N N N N N Husky Energy Inc. 5493001LRMU2TM8ZZZ78 448055AP8 205000.00000000 PA USD 213858.68000000 0.041562312405 Long DBT NUSS CA N 2 2029-04-15 Fixed 4.40000000 N N N N N N DANISH KRONE N/A N/A 1.00000000 NC 7418.49000000 0.001441744608 N/A DFE DK N 2 MORGAN STANLEY & CO, INC N/A DANISH KRONE N/A 1231130.60000000 USD 7862000.00000000 DKK 2020-10-02 7418.49000000 N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 735000.00000000 PA 813198.40000000 0.158040842433 Long DBT NUSS CH N 2 2021-04-28 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 247.06000000 0.000048014814 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14789.05000000 USD 2020-10-02 247.06000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 22.83000000 0.000004436890 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14199.26000000 USD 1500000.00000000 JPY 2020-11-04 22.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 566.43000000 0.000110082698 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 38000.00000000 EUR 45127.10000000 USD 2020-10-02 566.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -126.07000000 -0.00002450104 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 18000.00000000 EUR 20981.61000000 USD 2020-10-02 -126.07000000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 026657AM8 375000.00000000 PA 442716.97000000 0.086039720317 Long DBT NUSS US N 2 2022-08-26 Fixed 0.35000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 212700000.00000000 PA 2628990.54000000 0.510930517928 Long DBT NUSS JP N 2 2040-09-20 Fixed 2.00000000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 17119000.00000000 PA 800719.38000000 0.155615610369 Long DBT NUSS TH N 2 2044-06-29 Fixed 4.67500000 N N N N N N CZECH REPUBLIC KORUNA N/A N/A 1.00000000 NC 7213.01000000 0.001401810649 N/A DFE CZ N 2 BNP PARIBAS N/A CZECH REPUBLIC KORUNA N/A 1075329.39000000 USD 25007000.00000000 CZK 2020-10-02 7213.01000000 N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 N/A 275000.00000000 PA 321367.12000000 0.062456013655 Long DBT NUSS US N 2 2023-09-07 Fixed 0.95500000 N N N N N N European Financial Stability Facility SA 222100OW6UHQXNHKN143 N/A 695000.00000000 PA 855328.32000000 0.166228571342 Long DBT NUSS XX N 2 2025-07-11 Fixed 0.50000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC 121.80000000 0.000023671190 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 16204.73000000 USD 15000.00000000 CHF 2020-10-02 121.80000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -203.86000000 -0.00003961912 N/A DFE SG N 2 J P MORGAN CHASE BANK N/A SINGAPORE DOLLAR N/A 112307.76000000 USD 153000.00000000 SGD 2020-10-28 -203.86000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 922421.00000000 PA 1129215.85000000 0.219457175792 Long DBT NUSS NL Y 2 2025-07-15 Fixed 0.25000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AA6 200000.00000000 PA USD 189864.00000000 0.036899072240 Long DBT NUSS GB N 2 2169-03-31 Floating 2.54037960 N N N N N N GATWICK FUNDING LIMITED 213800NK8FA3GKS6X167 N/A 250000.00000000 PA 348360.07000000 0.067701951864 Long DBT NUSS GB N 2 2024-01-23 Fixed 5.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 131.16000000 0.000025490257 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14856.83000000 USD 2020-10-02 131.16000000 N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 N/A 100000.00000000 PA 141595.84000000 0.027518408593 Long DBT NUSS GB N 2 2026-01-14 Fixed 3.62500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -3014.68000000 -0.00058588724 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 42986.46000000 USD 374000.00000000 NOK 2020-10-02 -3014.68000000 N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 05565QDU9 470000.00000000 PA USD 489975.00000000 0.095224070498 Long DBT NUSS GB N 2 2169-09-22 Fixed 4.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -80.13000000 -0.00001557284 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14806.63000000 USD 2020-10-02 -80.13000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 21.09000000 0.000004098730 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14201.00000000 USD 1500000.00000000 JPY 2020-11-04 21.09000000 N N N CNH INDUSTRIAL FINANCE EUROPE S.A. 5493007GVB1I2FDSS786 N/A 220000.00000000 PA 274555.62000000 0.053358444236 Long DBT NUSS GB N 2 2023-05-17 Fixed 2.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -44.91000000 -0.00000872802 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 CAD 14927.95000000 USD 2020-10-02 -44.91000000 N N N EURO N/A N/A 1.00000000 NC -267.21000000 -0.00005193086 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 17856.95000000 USD 15000.00000000 EUR 2020-10-02 -267.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -253.08000000 -0.00004918477 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 AUD 14079.83000000 USD 2020-11-04 -253.08000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 525000.00000000 PA 904403.41000000 0.175766057601 Long DBT NUSS AT N 2 2027-07-15 Fixed 6.25000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -221.78000000 -0.00004310177 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15459.88000000 USD 14000.00000000 CHF 2020-10-02 -221.78000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 11495.94000000 0.002234175623 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 1209215.45000000 USD 10921993.32000000 SEK 2020-10-16 11495.94000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -9.63000000 -0.00000187153 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 15523.33000000 USD 12000.00000000 GBP 2020-10-02 -9.63000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -106605.90000000 -0.02071829733 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 59211163.85000000 USD 6237304000.00000000 JPY 2020-10-02 -106605.90000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -290.66000000 -0.00005648824 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14511.55000000 USD 11000.00000000 GBP 2020-10-02 -290.66000000 N N N Exportation et developpement Canada Z6MHCSLXHKYG4B6PHW02 N/A 1259000.00000000 PA 915763.67000000 0.177973864528 Long DBT NUSS CA N 2 2021-06-07 Fixed 2.40000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 23.05000000 0.000004479646 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 15179.94000000 USD 23000.00000000 NZD 2020-10-02 23.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -15228.50000000 -0.00295957907 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 4438000.00000000 ILS 1283168.89000000 USD 2020-11-04 -15228.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 91.89000000 0.000017858339 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14950.22000000 USD 2020-10-02 91.89000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -308.81000000 -0.00006001560 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14529.70000000 USD 11000.00000000 GBP 2020-10-02 -308.81000000 N N N GE Capital UK Funding Unlimited Company BR7Z6BPTFF652NNO9651 N/A 165000.00000000 PA 270069.62000000 0.052486613673 Long DBT NUSS US N 2 2038-05-05 Fixed 6.25000000 N N N N N N Freddie Mac N/A 3137G0NX3 470000.00000000 PA USD 483606.17000000 0.093986321803 Long DBT USGA US N 2 2029-10-25 Floating 3.59813160 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 724.90000000 0.000140880511 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 186000.00000000 NOK 20603.92000000 USD 2020-10-02 724.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1189.15000000 -0.00023110506 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 191000.00000000 GBP 245737.20000000 USD 2020-10-02 -1189.15000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 346000.00000000 PA 578941.50000000 0.112514242993 Long DBT NUSS BE Y 2 2034-06-22 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 81126.41000000 0.015766492137 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 10997544.28000000 EUR 12995638.61000000 USD 2020-12-10 81126.41000000 N N N DH Europe Finance S.a r.l. 2221002WRBW5MJ8VL618 23290YAE6 335000.00000000 PA 412519.40000000 0.080170981025 Long DBT NUSS US N 2 2027-06-30 Fixed 1.20000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254AA8 500000.00000000 PA USD 423255.00000000 0.082257388558 Long DBT NUSS GB Y 2 2169-07-30 Floating 1.77824880 N N N N N N Republique Francaise N/A N/A 49.00000000 NC 9684850.55000000 1.882199890901 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A EURO-OAT FUTURE DEC20 N/A Long France Govt. Bond Future Eurex Long Term Euro OAT Bond Future Dec 2020 2020-12-11 9648146.83000000 EUR 36703.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -282.19000000 -0.00005484214 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 25000.00000000 AUD 17633.95000000 USD 2020-11-04 -282.19000000 N N N EURO N/A N/A 1.00000000 NC -198.64000000 -0.00003860464 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 15443.08000000 USD 13000.00000000 EUR 2020-10-02 -198.64000000 N N N KOREAN WON N/A N/A 1.00000000 NC 23981.72000000 0.004660721457 N/A DFE KR N 2 JP MORGAN N/A KOREAN WON N/A 1099499.00000000 USD 1308382665.00000000 KRW 2020-11-10 23981.72000000 N N N Romania 315700IASY927EDWBK92 N/A 1540000.00000000 PA 376026.82000000 0.073078839567 Long DBT NUSS RO N 2 2025-07-28 Fixed 3.65000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -428.13000000 -0.00008320481 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 18490.25000000 USD 169000.00000000 NOK 2020-10-02 -428.13000000 N N N SUEZ SA 549300JQIZM6CL7POC81 N/A 300000.00000000 PA 358095.38000000 0.069593958284 Long DBT NUSS FR N 2 2169-04-19 Fixed 2.87500000 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 N/A 160000.00000000 PA 209251.26000000 0.040666884502 Long DBT NUSS FR N 2 2026-10-01 Fixed 2.87500000 N N N N N N COLOMBIA PESO N/A N/A 1.00000000 NC -6599.22000000 -0.00128252378 N/A DFE CO N 2 JP MORGAN N/A COLOMBIA PESO N/A 377278.37000000 USD 1430111400.00000000 COP 2020-10-30 -6599.22000000 N N N LYB International Finance II B.V. 549300ZSNDBYN4Z4VZ93 50247WAA5 355000.00000000 PA 423955.18000000 0.082393464867 Long DBT NUSS US N 2 2022-03-02 Fixed 1.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 232.02000000 0.000045091869 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15476.46000000 USD 2020-10-02 232.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 33148.19000000 0.006442176807 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1126000.00000000 GBP 1488850.12000000 USD 2020-10-02 33148.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -96889.11000000 -0.01882989018 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 30542000.00000000 GBP 39388566.66000000 USD 2020-11-04 -96889.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 196.65000000 0.000038217895 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14922.32000000 USD 2020-10-02 196.65000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -296.85000000 -0.00005769124 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14521.07000000 USD 19000.00000000 CAD 2020-10-02 -296.85000000 N N N ING Groep N.V. 549300NYKK9MWM7GGW15 456837AR4 200000.00000000 PA USD 207750.00000000 0.040375122498 Long DBT NUSS NL N 2 2168-11-16 Fixed 5.75000000 N N N Y Y ING Groep N.V. EUR XXXX N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -47.88000000 -0.00000930522 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 12000.00000000 GBP 15465.82000000 USD 2020-10-02 -47.88000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 154.43000000 0.000030012660 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14066.46000000 USD 11000.00000000 GBP 2020-10-02 154.43000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 1278000.00000000 PA 1647269.28000000 0.320138141842 Long DBT NUSS ES Y 2 2030-10-31 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1070.51000000 -0.00020804800 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 71207000.00000000 THB 2246277.60000000 USD 2020-11-04 -1070.51000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087XG4 1205000.00000000 PA 1451232.27000000 0.282039377496 Long DBT NUSS CA N 2 2033-06-01 Fixed 5.75000000 N N N N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 251000.00000000 PA 306094.57000000 0.059487873693 Long DBT NUSS PT Y 2 2035-10-12 Fixed 0.90000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 277000.00000000 PA 355678.82000000 0.069124312527 Long DBT NUSS FR N 2 2028-11-25 Fixed 0.75000000 N N N N N N CREDIT AGRICOLE HOME LOAN SFH SA 969500C9913Z7PKUGB44 N/A 700000.00000000 PA 840436.69000000 0.163334461183 Long DBT NUSS FR N 2 2024-02-23 Fixed 0.25000000 N N N N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 355000.00000000 PA 447691.23000000 0.087006441649 Long DBT NUSS FI Y 2 2025-09-15 Fixed 0.87500000 N N N N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 1510000.00000000 PA 173053.04000000 0.033631950366 Long DBT NUSS NO Y 2 2030-08-19 Fixed 1.37500000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 14988.38000000 0.002912913013 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 664446.04000000 USD 11405452.18000000 ZAR 2020-11-27 14988.38000000 N N N CREDIT AGRICOLE HOME LOAN SFH SA 969500C9913Z7PKUGB44 N/A 300000.00000000 PA 403939.87000000 0.078503594383 Long DBT NUSS FR N 2 2031-03-24 Fixed 1.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -578.20000000 -0.00011237013 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15773.73000000 USD 136000.00000000 SEK 2020-10-02 -578.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1150845.78000000 0.223660839202 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 23226000.00000000 GBP 31177606.91000000 USD 2020-10-02 1150845.78000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -59.22000000 -0.00001150909 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 18121.34000000 USD 169000.00000000 NOK 2020-10-02 -59.22000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -808.75000000 -0.00015717631 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 25894.94000000 USD 35000.00000000 AUD 2020-10-02 -808.75000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -767.40000000 -0.00014914016 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 15836.98000000 USD 141000.00000000 NOK 2020-10-02 -767.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -43440.64000000 -0.00844246046 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 6890000.00000000 SGD 5005110.45000000 USD 2020-11-04 -43440.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 461.45000000 0.000089680386 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 33000.00000000 NZD 22274.44000000 USD 2020-10-02 461.45000000 N N N EURO N/A N/A 1.00000000 NC 983.92000000 0.000191219689 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 210092.92000000 USD 180000.00000000 EUR 2020-10-02 983.92000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 32311.15000000 0.006279502475 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 6853000.00000000 SGD 5052456.19000000 USD 2020-10-02 32311.15000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 265.42000000 0.000051582984 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14489.64000000 USD 2020-10-02 265.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 90.14000000 0.000017518236 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14314.36000000 USD 2020-10-02 90.14000000 N N N Vertical Midco GmbH 254900K869UN2ZWVB351 N/A 240000.00000000 PA 285798.05000000 0.055543351521 Long DBT NUSS DE Y 2 2027-07-15 Fixed 4.37500000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 5560000.00000000 PA 4488403.78000000 0.872297725341 Long DBT NUSS SG N 2 2024-09-01 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 245843.41000000 0.047778376867 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 18873518.88000000 EUR 22412869.88000000 USD 2020-12-15 245843.41000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 530000.00000000 PA 640000.00000000 0.124380642112 Long DBT NUSS FR N 2 2026-02-25 Fixed 0.00000000 N N N N N N BEAR STEARNS ARM TRUST N/A 07384MW81 9329.19380000 PA USD 8076.45000000 0.001569615682 Long ABS-MBS US N 2 2034-09-25 Floating 2.74331880 N N N N N N JAB Holdings B.V. 529900RRNKUM3INJGF98 N/A 400000.00000000 PA 466891.23000000 0.090737860912 Long DBT NUSS AT N 2 2027-12-20 Fixed 1.00000000 N N N N N N CNP ASSURANCES SA 969500QKVPV2H8UXM738 N/A 200000.00000000 PA 241101.35000000 0.046856782386 Long DBT NUSS FR N 2 2022-10-20 Fixed 1.87500000 N N N N N N EURO N/A N/A 1.00000000 NC 413.91000000 0.000080441236 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 143821.93000000 USD 123000.00000000 EUR 2020-10-02 413.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 24779.78000000 0.004815820230 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 23661608.58000000 MXN 1095885.79000000 USD 2020-10-08 24779.78000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 749000.00000000 PA 949782.63000000 0.184585270917 Long DBT NUSS AT Y 2 2026-10-20 Fixed 0.75000000 N N N N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 902973BB1 226000.00000000 PA 272359.72000000 0.052931682592 Long DBT NUSS US N 2 2024-06-07 Fixed 0.85000000 N N N N N N EURO N/A N/A 1.00000000 NC -7417.38000000 -0.00144152888 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 341622.38000000 USD 285000.00000000 EUR 2020-10-02 -7417.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 197.65000000 0.000038412240 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 15055.98000000 USD 2020-10-02 197.65000000 N N N Canada Housing Trust No. 1 549300M44WH89JG50067 13509PFY4 2465000.00000000 PA 1892204.68000000 0.367740051730 Long DBT NUSS CA Y 2 2022-06-15 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1034.40000000 0.000201030212 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 100000.00000000 EUR 118299.31000000 USD 2020-10-02 1034.40000000 N N N THE CHARLES SCHWAB CORPORATION 549300VSGCJ7E698NM85 808513BD6 395000.00000000 PA USD 428002.25000000 0.083179991688 Long DBT CORP US N 2 2169-09-01 Fixed 5.37500000 N N N N N N DH Europe Finance S.a r.l. 2221002WRBW5MJ8VL618 23290YAC0 150000.00000000 PA 179533.17000000 0.034891329633 Long DBT NUSS US N 2 2022-01-04 Fixed 1.70000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 1683.45000000 0.000327169674 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 144000.00000000 USD 2430000.00000000 ZAR 2020-10-02 1683.45000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -34.67000000 -0.00000673793 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15272.77000000 USD 14000.00000000 CHF 2020-10-02 -34.67000000 N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620MAV8 700000.00000000 PA 821560.33000000 0.159665939656 Long DBT NUSS US N 2 2021-01-15 Fixed 0.40000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -499.08000000 -0.00009699357 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14719.97000000 USD 11000.00000000 GBP 2020-10-02 -499.08000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 4433.12000000 0.000861553612 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 141250.33000000 USD 2430000.00000000 ZAR 2020-10-02 4433.12000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 235.08000000 0.000045686564 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15072.18000000 USD 137000.00000000 SEK 2020-10-02 235.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 280.10000000 0.000054435965 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 23000.00000000 NZD 15483.09000000 USD 2020-10-02 280.10000000 N N N Development Bank of Japan Inc. 5493001HGBABMWFZUI25 25159MAG2 220000000.00000000 PA 2338940.52000000 0.454560818346 Long DBT NUSS JP N 2 2026-03-19 Fixed 2.30000000 N N N N N N EURO N/A N/A 1.00000000 NC -116.31000000 -0.00002260423 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 15360.75000000 USD 13000.00000000 EUR 2020-10-02 -116.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -59.54000000 -0.00001157128 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 15000.00000000 EUR 17530.20000000 USD 2020-10-02 -59.54000000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 N/A 465000.00000000 PA 557457.99000000 0.108339035542 Long DBT NUSS US N 2 2024-11-21 Fixed 0.62500000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087E67 7545000.00000000 PA 6011541.94000000 1.168311635290 Long DBT NUSS CA N 2 2026-06-01 Fixed 1.50000000 N N N N N N New Zealand 549300237GPHG2AI7C34 N/A 956000.00000000 PA 696263.69000000 0.135315195065 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -201741.64000000 -0.03920742925 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 49651926.71000000 CNY 7104601.24000000 USD 2020-10-21 -201741.64000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -278.16000000 -0.00005405893 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15329.87000000 USD 21000.00000000 AUD 2020-10-02 -278.16000000 N N N BG ENERGY CAPITAL PLC S2M8QDKEE05NZN8JD460 N/A 400000.00000000 PA 537660.56000000 0.104491508893 Long DBT NUSS GB N 2 2029-11-21 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 420.51000000 0.000081723912 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 12000.00000000 GBP 15934.21000000 USD 2020-10-02 420.51000000 N N N Japan 353800WZS8AXZXFUC241 N/A 38700000.00000000 PA 505916.41000000 0.098322199892 Long DBT NUSS JP N 2 2053-03-20 Fixed 1.90000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 2061000.00000000 PA 4126422.80000000 0.801948621083 Long DBT NUSS FR N 2 2045-05-25 Fixed 3.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7.55000000 -0.00000146730 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 CAD 14965.31000000 USD 2020-10-02 -7.55000000 N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 N/A 235000.00000000 PA 280005.96000000 0.054417689219 Long DBT NUSS GB N 2 2022-05-23 Fixed 1.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 26591.12000000 0.005167844656 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 7862000.00000000 DKK 1265140.21000000 USD 2020-10-02 26591.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 62.89000000 0.000012222341 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 430000.00000000 SEK 48107.58000000 USD 2020-10-02 62.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5084.68000000 0.000988180880 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1066000.00000000 EUR 1255128.65000000 USD 2020-10-02 5084.68000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 2685700000.00000000 PA 804020.27000000 0.156257121022 Long DBT NUSS CO N 2 2030-09-18 Fixed 7.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 29386.72000000 0.005711154848 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 67107050.00000000 THB 2147288.17000000 USD 2020-10-22 29386.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1961.40000000 -0.00038118779 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 177000.00000000 CHF 190691.66000000 USD 2020-10-02 -1961.40000000 N N N JOHNSON CONTROLS INTERNATIONAL PLC 549300XQ6S1GYKGBL205 478375AT5 395000.00000000 PA 484909.20000000 0.094239558847 Long DBT NUSS US N 2 2025-02-25 Fixed 1.37500000 N N N N N N E.ON SE Q9MAIUP40P25UFBFG033 N/A 550000.00000000 PA 645485.89000000 0.125446796051 Long DBT NUSS DE N 2 2023-12-18 Fixed 0.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 144.67000000 0.000028115855 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 13206.98000000 USD 1409000.00000000 JPY 2020-10-02 144.67000000 N N N EURO N/A N/A 1.00000000 NC -103.72000000 -0.00002015743 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 15348.16000000 USD 13000.00000000 EUR 2020-10-02 -103.72000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CB3 167000.00000000 PA 230605.99000000 0.044817064236 Long DBT NUSS GB N 2 2028-07-22 Fixed 3.00000000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 7477000.00000000 PA 1916706.59000000 0.372501869384 Long DBT NUSS MY N 2 2027-05-31 Fixed 3.50200000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 103.64000000 0.000020141890 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15348.08000000 USD 2020-10-02 103.64000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 356000.00000000 PA 541803.73000000 0.105296712244 Long DBT NUSS GB N 2 2047-07-22 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 30753.04000000 0.005976691972 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2076000.00000000 EUR 2466132.30000000 USD 2020-10-26 30753.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 38.54000000 0.000007490046 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1500000.00000000 JPY 14252.51000000 USD 2020-10-02 38.54000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 252.83000000 0.000049136183 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 14082.14000000 USD 20000.00000000 AUD 2020-10-02 252.83000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -108634.73000000 -0.02111258980 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 3855139.20000000 USD 35044900.00000000 NOK 2020-10-28 -108634.73000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -55.70000000 -0.00001082500 N/A DFE SG N 2 J P MORGAN CHASE BANK N/A SINGAPORE DOLLAR N/A 14706.64000000 USD 20000.00000000 SGD 2020-10-02 -55.70000000 N N N COLOMBIA PESO N/A N/A 1.00000000 NC -97.51000000 -0.00001895055 N/A DFE CO N 2 JP MORGAN N/A COLOMBIA PESO N/A 59484.50000000 USD 229120000.00000000 COP 2020-10-30 -97.51000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 10.45000000 0.000002030902 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 15192.54000000 USD 23000.00000000 NZD 2020-10-02 10.45000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 607000.00000000 PA 504134.87000000 0.097975966940 Long DBT NUSS AU N 2 2030-05-21 Fixed 2.50000000 N N N N N N Bundesrepublik Deutschland N/A N/A 17.00000000 NC 2694618.71000000 0.523685008436 N/A DIR DE N 1 CITIGROUP GLOBAL MARKETS N/A EURO-BOBL FUTURE DEC20 N/A Long Germany Govt. Bond Futures Euro-BOBL Future Dec 2020 2020-12-11 2709009.59000000 EUR -14390.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -85.37000000 -0.00001659121 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 12000.00000000 EUR 13986.42000000 USD 2020-10-02 -85.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -733.79000000 -0.00014260823 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 80000.00000000 AUD 56597.85000000 USD 2020-11-04 -733.79000000 N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 300000.00000000 PA 483907.74000000 0.094044930350 Long DBT NUSS FR N 2 2047-12-20 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 48.01000000 0.000009330491 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14590.00000000 USD 2020-10-02 48.01000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 176100000.00000000 PA 47797.45000000 0.009289183628 Long DBT NUSS CO N 2 2027-11-03 Fixed 5.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -128.56000000 -0.00002498496 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14352.78000000 USD 19000.00000000 CAD 2020-10-02 -128.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -79.29000000 -0.00001540959 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14646.38000000 USD 2020-10-02 -79.29000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 79000.00000000 PA 112314.55000000 0.021827743511 Long DBT NUSS GB N 2 2041-10-22 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3369.75000000 -0.00065489323 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2350000.00000000 ZAR 136996.68000000 USD 2020-11-04 -3369.75000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 393000.00000000 PA 509828.52000000 0.099082497945 Long DBT NUSS ES Y 2 2027-04-30 Fixed 1.50000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 N/A 100000.00000000 PA 118890.20000000 0.023105686588 Long DBT NUSS FR N 2 2021-04-27 Fixed 2.25000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 119300000.00000000 PA 1532156.57000000 0.297766590615 Long DBT NUSS JP N 2 2038-09-20 Fixed 2.40000000 N N N N N N CNH INDUSTRIAL FINANCE EUROPE S.A. 5493007GVB1I2FDSS786 N/A 130000.00000000 PA 158009.22000000 0.030708262880 Long DBT NUSS GB N 2 2025-09-12 Fixed 1.75000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 326000.00000000 PA 651768.33000000 0.126667755303 Long DBT NUSS AT Y 2 2037-03-15 Fixed 4.15000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 N/A 427000.00000000 PA 519656.45000000 0.100992504576 Long DBT NUSS CH N 2 2022-11-16 Fixed 1.75000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 N/A 600000.00000000 PA 775692.62000000 0.150751790871 Long DBT NUSS CA N 2 2020-11-10 Floating 0.16262867 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 6415.83000000 0.001246882898 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 738192.10000000 USD 1126785.38000000 NZD 2020-10-27 6415.83000000 N N N GLENCORE FINANCE (EUROPE) LIMITED 213800WHKNIC1JQQG433 ZS1069690 120000.00000000 PA 144281.44000000 0.028040340862 Long DBT NUSS AU N 2 2026-10-15 Fixed 1.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 128.50000000 0.000024973300 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 9934.37000000 USD 90000.00000000 SEK 2020-11-04 128.50000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 55000.00000000 PA 78517.07000000 0.015259380599 Long DBT NUSS IT Y 2 2047-03-01 Fixed 2.70000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 349.84000000 0.000067989568 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 19042.28000000 USD 15000.00000000 GBP 2020-10-02 349.84000000 N N N LEAR CORPORATION 549300UPNBTXA1SYTQ33 521865AY1 193000.00000000 PA USD 203690.50000000 0.039586179972 Long DBT CORP US N 2 2027-09-15 Fixed 3.80000000 N N N N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 904678AJ8 350000.00000000 PA USD 371426.40000000 0.072184772077 Long DBT NUSS IT Y 2 2022-01-14 Fixed 6.57200000 N N N N N N Konungariket Sverige ERE94C0BSULG2RM19605 N/A 1205000.00000000 PA 211840.80000000 0.041170148015 Long DBT NUSS SE Y 2 2039-03-30 Fixed 3.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -277.82000000 -0.00005399285 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14502.04000000 USD 19000.00000000 CAD 2020-10-02 -277.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 244247.01000000 0.047468124903 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22552645.26000000 EUR 26701880.93000000 USD 2020-10-28 244247.01000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 70000.00000000 PA 121411.28000000 0.023595645259 Long DBT NUSS GB N 2 2040-03-29 Fixed 6.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 523.52000000 0.000101743365 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 191000.00000000 SEK 21864.30000000 USD 2020-10-02 523.52000000 N N N Orsted A/S W9NG6WMZIYEU8VEDOG48 N/A 210000.00000000 PA 278577.46000000 0.054140067739 Long DBT NUSS DK N 2 2099-06-26 Fixed 6.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1241.56000000 -0.00024129067 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2570000.00000000 ZAR 152835.18000000 USD 2020-10-02 -1241.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 417.02000000 0.000081045649 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 21000.00000000 AUD 15468.73000000 USD 2020-10-02 417.02000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -47.14000000 -0.00000916141 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15285.24000000 USD 14000.00000000 CHF 2020-10-02 -47.14000000 N N N ZURICH FINANCE (UK) PLC 213800LG3O6I2B27MS24 N/A 235000.00000000 PA 333431.37000000 0.064800637345 Long ABS-MBS GB N 2 2049-10-30 Fixed 6.62500000 N N N N N N Bundesrepublik Deutschland N/A N/A 9.00000000 NC 1841856.54000000 0.357955154883 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A EURO-BUND FUTURE DEC20 N/A Long Germany Govt. Bond Futures Euro-Bund Future Dec 2020 2020-12-11 1855154.44000000 EUR -13297.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 31262.55000000 0.006075712567 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 9696279.70000000 NOK 1067719.86000000 USD 2020-10-16 31262.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -172.81000000 -0.00003358471 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 130000.00000000 NOK 13725.63000000 USD 2020-11-04 -172.81000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 2771.21000000 0.000538570123 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 151305.53000000 USD 2570000.00000000 ZAR 2020-10-02 2771.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -23165.56000000 -0.00450210504 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 7081000.00000000 GBP 9131208.66000000 USD 2020-10-02 -23165.56000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 402.97000000 0.000078315105 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 21099.48000000 USD 30000.00000000 AUD 2020-10-02 402.97000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -102.70000000 -0.00001995920 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14316.67000000 USD 1500000.00000000 JPY 2020-10-02 -102.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 839.79000000 0.000163208780 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 109000.00000000 GBP 141755.87000000 USD 2020-10-02 839.79000000 N N N SCHLUMBERGER FINANCE FRANCE SAS 9695001SZIOZQ9ZXF834 N/A 305000.00000000 PA 367275.41000000 0.071378048950 Long DBT NUSS US N 2 2026-02-18 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1248.85000000 0.000242707445 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 78417.99000000 EUR 93225.27000000 USD 2020-10-15 1248.85000000 N N N BRK: DEUTSCHE BANK N/A N/A 31000000.00000000 NC 30855.96000000 0.005996693934 N/A DIR XX N 2 BRK: DEUTSCHE BANK N/A Y 2024-09-09 0.00000000 CNY 0.00000000 CNY -31000000.00000000 CNY 30855.96000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -10873.56000000 -0.00211321933 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 838124.17000000 USD 1105000.00000000 CAD 2020-10-02 -10873.56000000 N N N Volkswagen Leasing Gesellschaft mit beschraenkter Haftung 5299004GLEUX88BSNB74 N/A 520000.00000000 PA 618269.31000000 0.120157396525 Long DBT NUSS DE N 2 2024-04-04 Fixed 1.12500000 N N N N N N ORANGE SA 969500MCOONR8990S771 N/A 500000.00000000 PA 623028.48000000 0.121082316245 Long DBT NUSS FR N 2 2023-03-01 Fixed 2.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 29.32000000 0.000005698188 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 16000.00000000 EUR 18791.71000000 USD 2020-10-02 29.32000000 N N N PRINCIPAL LIFE GLOBAL FUNDING II 635400WSLKBQWSOIIT41 74256LEE5 315000.00000000 PA USD 320856.17000000 0.062356713203 Long DBT CORP US Y 2 2025-06-23 Fixed 1.25000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 80000.00000000 PA 191490.53000000 0.037215179812 Long DBT NUSS GB N 2 2052-07-22 Fixed 3.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -105.97000000 -0.00002059471 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14114.92000000 USD 2020-10-02 -105.97000000 N N N BERKSHIRE HATHAWAY FINANCE CORPORATION 549300RLHFT5RU20WM87 084664CT6 144000.00000000 PA 226078.01000000 0.043937075080 Long DBT NUSS US N 2 2059-06-19 Fixed 2.62500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -26155.27000000 -0.00508313949 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 1392379.80000000 USD 1824838.77000000 CAD 2020-10-09 -26155.27000000 N N N LEAR CORPORATION 549300UPNBTXA1SYTQ33 521865BA2 35000.00000000 PA USD 37890.52000000 0.007363823761 Long DBT CORP US N 2 2029-05-15 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 81.41000000 0.000015821606 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1575000.00000000 JPY 15006.08000000 USD 2020-10-02 81.41000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -420.58000000 -0.00008173751 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 15934.28000000 USD 12000.00000000 GBP 2020-10-02 -420.58000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1627.56000000 0.000316307746 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 141874.14000000 USD 111000.00000000 GBP 2020-10-02 1627.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2846.37000000 0.000553177075 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1060000.00000000 TRY 140434.55000000 USD 2020-10-02 2846.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3534.84000000 0.000686977607 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 274000.00000000 EUR 324840.70000000 USD 2020-10-02 3534.84000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 177.77000000 0.000034548666 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 23092.78000000 USD 18000.00000000 GBP 2020-10-02 177.77000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VEV2 175000.00000000 PA 211633.50000000 0.041129860347 Long DBT NUSS US N 2 2027-04-08 Fixed 0.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4555.95000000 0.000885424978 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 325000.00000000 NZD 219380.85000000 USD 2020-10-02 4555.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 125.57000000 0.000024403870 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15370.01000000 USD 2020-10-02 125.57000000 N N N Bundesrepublik Deutschland N/A N/A -49.00000000 NC -6452161.78000000 -1.25394378939 N/A DIR DE N 1 MORGAN STANLEY & CO, INC N/A EURO-SCHATZ FUT DEC20 N/A Short Germany Govt. Bond Futures Euro-Schatz Future Dec 2020 2020-12-11 -6513376.17000000 EUR 61214.39000000 N N N Volkswagen Bank Gesellschaft mit beschraenkter Haftung 529900GJD3OQLRZCKW37 N/A 200000.00000000 PA 235911.68000000 0.045848197250 Long DBT NUSS DE N 2 2021-09-08 Fixed 0.62500000 N N N N N N GE Capital UK Funding Unlimited Company BR7Z6BPTFF652NNO9651 N/A 160000.00000000 PA 249799.90000000 0.048547299940 Long DBT NUSS US N 2 2033-01-18 Fixed 5.87500000 N N N N N N United States of America N/A N/A 41.00000000 NC USD 9059398.44000000 1.760646554881 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A US 2YR NOTE (CBT) DEC20 N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Dec 2020 2021-01-03 9058130.81000000 USD 1267.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 185.58000000 0.000036066499 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 21000.00000000 AUD 15237.29000000 USD 2020-10-02 185.58000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 1050000.00000000 PA 1263910.55000000 0.245634384034 Long DBT NUSS BE Y 2 2023-10-22 Fixed 0.20000000 N N N N N N EURO N/A N/A 1.00000000 NC -4615.79000000 -0.00089705456 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 219210.58000000 USD 183000.00000000 EUR 2020-10-02 -4615.79000000 N N N DOVER CORPORATION 549300FMC2ALGA7N9E80 260003AQ1 440000.00000000 PA 519835.36000000 0.101027274796 Long DBT NUSS US N 2 2027-11-04 Fixed 0.75000000 N N N N N N BRK:JPM N/A N/A 1230000.00000000 NC 27873.71000000 0.005417109293 N/A DIR XX N 2 BRK:JPM N/A Y 2025-02-28 0.00000000 GBP 0.00000000 GBP -1230000.00000000 GBP 27873.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7.37000000 -0.00000143232 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 SGD 14643.57000000 USD 2020-10-02 -7.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -129.57000000 -0.00002518124 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 8000.00000000 GBP 10213.03000000 USD 2020-11-04 -129.57000000 N N N Becton Dickinson Euro Finance S.a r.l. 549300W40NLZ25XUTH09 ZS7774319 200000.00000000 PA 236411.69000000 0.045945371570 Long DBT NUSS US N 2 2023-06-04 Fixed 0.63200000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 186.82000000 0.000036307486 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14034.07000000 USD 11000.00000000 GBP 2020-10-02 186.82000000 N N N TOTAL CAPITAL INTERNATIONAL SA 549300U37G2I8G4RUG09 N/A 640000.00000000 PA 475897.05000000 0.092488094779 Long DBT NUSS FR N 2 2021-11-26 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 385.21000000 0.000074863542 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14927.20000000 USD 2020-10-02 385.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -51.43000000 -0.00000999515 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14806.90000000 USD 2020-10-02 -51.43000000 N N N Carnival Corporation F1OF2ZSX47CR0BCWA982 143658BB7 180000.00000000 PA 206262.18000000 0.040085972487 Long DBT NUSS US N 2 2021-02-22 Fixed 1.62500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -152.95000000 -0.00002972503 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 15666.65000000 USD 12000.00000000 GBP 2020-10-02 -152.95000000 N N N POLISH ZLOTY N/A N/A 1.00000000 NC 8503.55000000 0.001652620326 N/A DFE PA N 2 BNP PARIBAS N/A POLISH ZLOTY N/A 912002.87000000 USD 3559000.00000000 PLN 2020-10-02 8503.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8570.94000000 0.001665717219 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1522000.00000000 EUR 1793342.92000000 USD 2020-10-02 8570.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -40.51000000 -0.00000787290 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14817.82000000 USD 2020-10-02 -40.51000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 765000.00000000 PA 919141.08000000 0.178630246441 Long DBT NUSS AT Y 2 2024-07-15 Fixed 0.00000000 N N N N N N Konungariket Sverige ERE94C0BSULG2RM19605 N/A 3040000.00000000 PA 361558.24000000 0.070266946956 Long DBT NUSS SE Y 2 2022-06-01 Fixed 3.50000000 N N N N N N TOTAL SE 529900S21EQ1BO4ESM68 N/A 260000.00000000 PA 332339.44000000 0.064588426479 Long DBT NUSS FR N 2 2168-10-06 Fixed 3.36900000 N N N N N N Credit Suisse AG (St Peter Port Branch) N/A N/A 220000.00000000 PA 260973.86000000 0.050718900439 Long DBT NUSS CH N 2 2021-09-17 Fixed 0.75000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -9032.69000000 -0.00175545590 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 1125539.84000000 USD 117825000.00000000 JPY 2020-10-02 -9032.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -97.13000000 -0.00001887670 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14628.54000000 USD 2020-10-02 -97.13000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -272.29000000 -0.00005291813 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 15785.99000000 USD 12000.00000000 GBP 2020-10-02 -272.29000000 N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 405000.00000000 PA 474230.20000000 0.092164151227 Long DBT NUSS CH N 2 2024-06-11 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -61.95000000 -0.00001203965 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15182.49000000 USD 2020-10-02 -61.95000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 138000.00000000 PA 172675.55000000 0.033558587165 Long DBT NUSS DE N 2 2026-02-15 Fixed 0.50000000 N N N N N N ANHEUSER-BUSCH INBEV NV 5493008H3828EMEXB082 N/A 205000.00000000 PA 282278.83000000 0.054859409578 Long DBT NUSS BE N 2 2029-05-24 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 400.92000000 0.000077916698 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14621.81000000 USD 2020-10-02 400.92000000 N N N Nederlandse Waterschapsbank N.V. JLP5FSPH9WPSHY3NIM24 N/A 225000.00000000 PA 280309.52000000 0.054476684512 Long DBT NUSS NL N 2 2027-01-18 Fixed 0.62500000 N N N N N N WM MORRISON SUPERMARKETS P L C 213800IN6LSRGTZSOS29 N/A 225000.00000000 PA 328530.66000000 0.063848210069 Long DBT NUSS GB N 2 2026-07-27 Fixed 3.50000000 N N N N N N EURO N/A N/A 1.00000000 NC -187.81000000 -0.00003649988 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 18950.20000000 USD 16000.00000000 EUR 2020-10-02 -187.81000000 N N N EURO N/A N/A 1.00000000 NC -196.43000000 -0.00003817513 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 15440.87000000 USD 13000.00000000 EUR 2020-10-02 -196.43000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 3161000.00000000 PA 2928912.92000000 0.569218858878 Long DBT NUSS AU N 2 2047-03-21 Fixed 3.00000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 169400000.00000000 PA 1584780.10000000 0.307993697571 Long DBT NUSS JP N 2 2036-06-20 Fixed 0.20000000 N N N N N N EURO N/A N/A 1.00000000 NC 574.04000000 0.000111561662 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 210502.80000000 USD 180000.00000000 EUR 2020-10-02 574.04000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 195000.00000000 PA 313652.75000000 0.060956766321 Long DBT NUSS NL N 2 2027-09-14 Fixed 5.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4952.00000000 0.000962395218 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 457000.00000000 EUR 540852.65000000 USD 2020-10-02 4952.00000000 N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RBM3 79000.00000000 PA USD 76351.71000000 0.014838554244 Long DBT CORP US N 2 2029-12-15 Fixed 3.55000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 3304000.00000000 PA 175418.11000000 0.034091589312 Long DBT NUSS MX N 2 2038-11-18 Fixed 8.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 318.37000000 0.000061873539 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14860.36000000 USD 2020-10-02 318.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1492.68000000 0.000290094526 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 186000.00000000 NOK 21371.70000000 USD 2020-10-02 1492.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5430.43000000 -0.00105537557 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1031806600.00000000 KRW 880290.93000000 USD 2020-10-30 -5430.43000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 EK7974596 3440000.00000000 PA 892843.70000000 0.173519488613 Long DBT NUSS MY N 2 2025-09-15 Fixed 3.95500000 N N N N N N Prosus N.V. 635400Z5LQ5F9OLVT688 74365PAA6 275000.00000000 PA USD 296683.34000000 0.057658850520 Long DBT NUSS CN Y 2 2030-01-21 Fixed 3.68000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 349.62000000 0.000067946812 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 137000.00000000 SEK 15656.88000000 USD 2020-10-02 349.62000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 50000.00000000 PA 124247.57000000 0.024146863339 Long DBT NUSS AT Y 2 2117-09-20 Fixed 2.10000000 N N N N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 80413TAA7 275000.00000000 PA USD 279470.40000000 0.054313605943 Long DBT NUSS SA Y 2 2021-10-26 Fixed 2.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -15011.63000000 -0.00291743152 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19266369656.00000000 IDR 1279052.62000000 USD 2020-10-15 -15011.63000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 1425000.00000000 PA 1726828.05000000 0.335599971371 Long DBT NUSS BE Y 2 2027-10-22 Fixed 0.00000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 552000.00000000 PA 753200.98000000 0.146380658644 Long DBT NUSS IT Y 2 2033-09-01 Fixed 2.45000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087J39 3965000.00000000 PA 3409944.53000000 0.662704828454 Long DBT NUSS CA N 2 2029-06-01 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 217.41000000 0.000042252492 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1575000.00000000 JPY 15142.08000000 USD 2020-10-02 217.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 16.19000000 0.000003146441 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1575000.00000000 JPY 14940.86000000 USD 2020-10-02 16.19000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -126.18000000 -0.00002452242 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15433.44000000 USD 137000.00000000 SEK 2020-10-02 -126.18000000 N N N Odebrecht Finance, Ltd. N/A G6710EAP5 200000.00000000 PA USD 10000.00000000 0.001943447533 Long DBT NUSS BR N 2 2025-04-25 Fixed 4.37500000 Y N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3909.76000000 0.000759841342 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 287000.00000000 EUR 340460.06000000 USD 2020-10-02 3909.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -840.27000000 -0.00016330206 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 179000.00000000 EUR 209180.42000000 USD 2020-11-04 -840.27000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -514.20000000 -0.00009993207 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 13018.74000000 USD 117000.00000000 NOK 2020-10-02 -514.20000000 N N N EURO N/A N/A 1.00000000 NC -7287.55000000 -0.00141629710 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1028664.94000000 USD 871000.00000000 EUR 2020-10-02 -7287.55000000 N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 N/A 885000.00000000 PA 1070271.22000000 0.208001596216 Long DBT NUSS AU N 2 2024-05-17 Fixed 0.50000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 334000.00000000 PA 736127.75000000 0.143062565972 Long DBT NUSS FR N 2 2041-04-25 Fixed 4.50000000 N N N N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 895000.00000000 PA 1105407.96000000 0.214830237283 Long DBT NUSS DE N 2 2030-02-15 Fixed 0.00000000 N N N N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SAZ6 310000.00000000 PA 415068.54000000 0.080666393009 Long DBT NUSS US N 2 2031-06-15 Fixed 3.12500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -2893.59000000 -0.00056235403 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 360137.98000000 USD 37700000.00000000 JPY 2020-10-02 -2893.59000000 N N N United States of America 254900HROIFWPRGM1V77 912828Y38 296900.00000000 PA USD 353158.87000000 0.068634573466 Long DBT USGA US N 2 2028-07-15 Fixed 0.75000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 403000.00000000 PA 815930.74000000 0.158571858376 Long DBT NUSS FR N 2 2032-10-25 Fixed 5.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6245.47000000 0.001213774326 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2244572.85000000 EUR 2638903.90000000 USD 2020-10-15 6245.47000000 N N N TURKIYE VAKIFLAR BANKASI TURK ANONIM ORTAKLIGI 789000KAIHOLSQKQ9858 N/A 265000.00000000 PA 306548.17000000 0.059576028473 Long DBT NUSS TR N 2 2021-05-04 Fixed 2.37500000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 11020000.00000000 PA 360723.08000000 0.070104637992 Long DBT NUSS TH N 2 2021-12-17 Fixed 3.65000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -34.90000000 -0.00000678263 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14851.86000000 USD 2020-10-02 -34.90000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 259000.00000000 PA 552702.60000000 0.107414850446 Long DBT NUSS BE N 2 2045-06-22 Fixed 3.75000000 N N N N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 03027XAS9 275000.00000000 PA 349414.50000000 0.067906874802 Long DBT NUSS US N 2 2026-05-22 Fixed 1.95000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2854.87000000 -0.00055482900 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2713791.99000000 NZD 1790486.68000000 USD 2020-10-27 -2854.87000000 N N N Banco de Sabadell, S.A. SI5RG2M0WQQLZCXKRM20 N/A 400000.00000000 PA 462267.39000000 0.089839241868 Long DBT NUSS ES N 2 2025-11-07 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 420.80000000 0.000081780272 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 137000.00000000 SEK 15728.06000000 USD 2020-10-02 420.80000000 N N N People's Republic of China 300300CHN201808MOF68 N/A 38790000.00000000 PA 5217621.22000000 1.014017308821 Long DBT NUSS CN N 2 2050-03-16 Fixed 3.39000000 N N N N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 408000.00000000 PA 622991.47000000 0.121075123546 Long DBT NUSS CH N 2 2042-04-30 Fixed 1.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -771.80000000 -0.00014999528 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 21330.46000000 USD 184000.00000000 SEK 2020-10-02 -771.80000000 N N N S.P.C.M. SA 969500F7036FEDYPRV54 N/A 117000.00000000 PA 136991.96000000 0.026623668670 Long DBT NUSS FR Y 2 2026-02-01 Fixed 2.00000000 N N N N N N Volkswagen Financial Services N.V. 529900ZTQC8D1TW6BL41 N/A 850000.00000000 PA 1098886.89000000 0.213562901543 Long DBT NUSS DE N 2 2020-10-02 Fixed 2.75000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 EC4532734 43000.00000000 PA 68155.21000000 0.013245607473 Long DBT NUSS GB N 2 2025-03-07 Fixed 5.00000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 2359000.00000000 PA 2943929.76000000 0.572137302944 Long DBT NUSS FR N 2 2023-05-25 Fixed 1.75000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 25298000.00000000 PA 1291947.60000000 0.251083237600 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N KfW 549300GDPG70E3MBBU98 N/A 510000.00000000 PA 639840.47000000 0.124349638294 Long DBT NUSS DE N 2 2027-09-15 Fixed 0.50000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 515000.00000000 PA 706522.47000000 0.137308935134 Long DBT NUSS AT Y 2 2051-03-20 Fixed 0.75000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 87200000.00000000 PA 964232.20000000 0.187393469034 Long DBT NUSS JP N 2 2033-03-20 Fixed 1.50000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 N/A 200000.00000000 PA 255121.55000000 0.049581534696 Long DBT NUSS IT N 2 2022-12-05 Fixed 3.62500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 781000.00000000 PA 1599139.10000000 0.310784293884 Long DBT NUSS ES Y 2 2041-07-30 Fixed 4.70000000 N N N N N N CARNIVAL PLC 4DR1VPDQMHD3N3QW8W95 N/A 316000.00000000 PA 231021.61000000 0.044897837802 Long DBT NUSS US N 2 2029-10-28 Fixed 1.00000000 N N N N N N Naturgy Finance B.V. 2138005FTXOJUBQ5J563 N/A 200000.00000000 PA 242738.37000000 0.047174928634 Long DBT NUSS ES N 2 2168-11-18 Fixed 4.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 317.92000000 0.000061786083 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 191000.00000000 SEK 21658.70000000 USD 2020-10-02 317.92000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -273.79000000 -0.00005320965 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 12458.51000000 USD 17000.00000000 AUD 2020-10-02 -273.79000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 3965000.00000000 PA 4918391.01000000 0.955863487478 Long DBT NUSS ES Y 2 2027-07-30 Fixed 0.80000000 N N N N N N EURO N/A N/A 1.00000000 NC -22270.64000000 -0.00432818203 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1429449.60000000 USD 1200000.00000000 EUR 2020-10-02 -22270.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 52722.49000000 0.010246339312 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 7320943.38000000 GBP 9518031.70000000 USD 2020-11-19 52722.49000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 1206590000.00000000 PA 1110173.01000000 0.215756299750 Long DBT NUSS KR N 2 2024-09-10 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 180.80000000 0.000035137531 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 31000.00000000 NZD 20671.79000000 USD 2020-10-02 180.80000000 N N N N/A N/A N/A -240.00000000 NC USD -35206500.00000000 -6.84219855710 N/A DFE US N 1 GOLDMAN, SACHS & CO. N/A EURO FX CURR FUT DEC20 N/A Short Currency Futures EUR/USD Future (Consolidated) (IMM) Dec 2020 2020-12-16 -35533499.90000000 USD 326999.90000000 N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 397500000.00000000 PA 4182445.73000000 0.812836383593 Long DBT NUSS XX N 2 2026-01-26 Fixed 1.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 147.31000000 0.000028628925 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 15034.07000000 USD 2020-10-02 147.31000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -634.52000000 -0.00012331563 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 20513.54000000 USD 186000.00000000 NOK 2020-10-02 -634.52000000 N N N LA BANQUE TORONTO-DOMINION PT3QB789TSUIDF371261 N/A 490000.00000000 PA 582355.15000000 0.113177667960 Long DBT NUSS CA N 2 2024-02-09 Fixed 0.00000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -39.71000000 -0.00000771743 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 14189.37000000 USD 13000.00000000 CHF 2020-10-02 -39.71000000 N N N BRK: GOLDMAN SACHS N/A N/A 460000.00000000 NC -169217.02000000 -0.03288644000 N/A DIR XX N 2 BRK: GOLDMAN SACHS N/A Y 2047-10-03 0.00000000 GBP 0.00000000 GBP -460000.00000000 GBP -169217.02000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 246000.00000000 PA 394098.48000000 0.076590971872 Long DBT NUSS BE Y 2 2050-06-22 Fixed 1.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -11.85000000 -0.00000230298 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 8000.00000000 GBP 10330.75000000 USD 2020-11-04 -11.85000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 131.23000000 0.000025503861 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 16215.69000000 USD 15000.00000000 CHF 2020-11-04 131.23000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -209.75000000 -0.00004076381 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15261.46000000 USD 21000.00000000 AUD 2020-10-02 -209.75000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -280.58000000 -0.00005452925 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 15476.11000000 USD 136000.00000000 SEK 2020-10-02 -280.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7391.81000000 0.001436559490 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1463000.00000000 TRY 197289.46000000 USD 2020-10-02 7391.81000000 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 N/A 325000.00000000 PA 399937.85000000 0.077725822794 Long DBT NUSS US N 2 2026-07-24 Fixed 1.50000000 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 22770000.00000000 PA 3269965.38000000 0.635500615080 Long DBT NUSS CN N 2 2027-06-04 Fixed 2.85000000 N N N N N N Naturgy Finance B.V. 2138005FTXOJUBQ5J563 N/A 300000.00000000 PA 370579.17000000 0.072020117372 Long DBT NUSS ES N 2 2026-04-19 Fixed 1.25000000 N N N N N N KfW 549300GDPG70E3MBBU98 N/A 1230000.00000000 PA 890253.56000000 0.173016108493 Long DBT NUSS DE N 2 2021-02-17 Fixed 2.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 25641.69000000 0.004983327917 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 4438000.00000000 ILS 1323188.69000000 USD 2020-10-02 25641.69000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 2516000.00000000 PA 294515.00000000 0.057237445018 Long DBT NUSS NO Y 2 2024-03-14 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 506.94000000 0.000098521129 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2570000.00000000 ZAR 154583.68000000 USD 2020-10-02 506.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -991.20000000 -0.00019263451 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2570000.00000000 ZAR 153085.54000000 USD 2020-10-02 -991.20000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -163.45000000 -0.00003176564 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 17349.44000000 USD 26000.00000000 NZD 2020-10-02 -163.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 69.84000000 0.000013573037 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14795.51000000 USD 2020-10-02 69.84000000 N N N Canada N/A N/A -44.00000000 NC -5000666.32000000 -0.97185326230 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A CAN 10YR BOND FUT DEC20 N/A Short Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Dec 2020 2020-12-21 -5059661.30000000 CAD 58994.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 28.77000000 0.000005591298 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14249.66000000 USD 2020-10-02 28.77000000 N N N Japan 353800WZS8AXZXFUC241 N/A 328900000.00000000 PA 2902379.66000000 0.564062259009 Long DBT NUSS JP N 2 2056-03-20 Fixed 0.40000000 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 18120000.00000000 PA 2635603.97000000 0.512215803350 Long DBT NUSS CN N 2 2029-05-21 Fixed 3.65000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 444650000.00000000 PA 4902020.82000000 0.952682026941 Long DBT NUSS JP N 2 2034-09-20 Fixed 1.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 130.29000000 0.000025321177 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14354.51000000 USD 2020-10-02 130.29000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1242000.00000000 PA 2477446.06000000 0.481478643348 Long DBT NUSS DE N 2 2046-08-15 Fixed 2.50000000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172BH1 170000.00000000 PA 226723.15000000 0.044062454654 Long DBT NUSS US N 2 2026-03-03 Fixed 2.87500000 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAC5 6000.00000000 PA USD 5937.78000000 0.001153976389 Long DBT CORP US Y 2 2023-05-01 Fixed 3.87500000 N N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200JT9 593000.00000000 PA 723553.60000000 0.140618845892 Long DBT NUSS US N 2 2025-01-31 Fixed 0.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 69.07000000 0.000013423392 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14289.96000000 USD 2020-10-02 69.07000000 N N N EURO N/A N/A 1.00000000 NC -4031.56000000 -0.00078351253 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 341826.62000000 USD 288000.00000000 EUR 2020-10-15 -4031.56000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -771.38000000 -0.00014991365 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 143669.13000000 USD 15080000.00000000 JPY 2020-10-02 -771.38000000 N N N BOARDWALK PIPELINES, LP 549300W6AQ2GHHCGL606 096630AG3 119000.00000000 PA USD 129677.07000000 0.025202058178 Long DBT CORP US N 2 2029-05-03 Fixed 4.80000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 26.82000000 0.000005212326 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14194.07000000 USD 11000.00000000 GBP 2020-10-02 26.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2501.95000000 0.000486240855 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 183000.00000000 EUR 217096.74000000 USD 2020-10-02 2501.95000000 N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 N/A 490000.00000000 PA 695893.73000000 0.135243295280 Long DBT NUSS FR N 2 2026-01-23 Fixed 3.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3638.56000000 0.000707135045 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 732000.00000000 TRY 98652.29000000 USD 2020-10-02 3638.56000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 74000.00000000 PA 112887.85000000 0.021939161358 Long DBT NUSS GB N 2 2037-09-07 Fixed 1.75000000 N N N N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 N/A 300000.00000000 PA 410895.24000000 0.079855334050 Long DBT NUSS NL N 2 2033-01-10 Fixed 1.25000000 N N N N N N IHO Verwaltungs GmbH 529900JL0HDVGZMUJF32 ZS8102544 175000.00000000 PA 205591.19000000 0.039955569101 Long DBT NUSS DE Y 2 2025-05-15 Fixed 3.62500000 N N Y N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 31.36000000 0.000006094651 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14189.53000000 USD 11000.00000000 GBP 2020-10-02 31.36000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 300000.00000000 PA 356543.97000000 0.069292449890 Long DBT NUSS ID N 2 2026-09-18 Fixed 1.45000000 N N N N N N EURO N/A N/A 1.00000000 NC 1335.29000000 0.000259506605 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 420818.40000000 USD 360000.00000000 EUR 2020-10-02 1335.29000000 N N N CPUK FINANCE LIMITED 6354003CVDDPNXREIR29 N/A 215000.00000000 PA 284607.96000000 0.055312063773 Long DBT NUSS GB N 2 2025-08-28 Fixed 3.58800000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087F82 1375000.00000000 PA 1071012.54000000 0.208145667869 Long DBT NUSS CA N 2 2027-06-01 Fixed 1.00000000 N N N N N N NATIONAL OILWELL VARCO, INC. 549300EHF3IW1AR6U008 637071AM3 205000.00000000 PA USD 199110.48000000 0.038696077115 Long DBT CORP US N 2 2029-12-01 Fixed 3.60000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 683234YD4 1355000.00000000 PA 1438810.67000000 0.279625304708 Long DBT NUSS CA N 2 2037-06-02 Fixed 4.70000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -260.32000000 -0.00005059182 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15498.42000000 USD 14000.00000000 CHF 2020-10-02 -260.32000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 243000.00000000 PA 319832.08000000 0.062157686685 Long DBT NUSS BE Y 2 2024-06-22 Fixed 2.60000000 N N N N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 20797000000.00000000 PA 1499536.38000000 0.291427027837 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -342.47000000 -0.00006655724 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14563.36000000 USD 11000.00000000 GBP 2020-10-02 -342.47000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -239.76000000 -0.00004659609 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15477.86000000 USD 14000.00000000 CHF 2020-10-02 -239.76000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 90.98000000 0.000017681485 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 14960.73000000 USD 21000.00000000 AUD 2020-10-02 90.98000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2477.81000000 0.000481549373 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 205664.30000000 USD 161000.00000000 GBP 2020-10-02 2477.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -396.10000000 -0.00007697995 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22935000.00000000 JPY 216935.46000000 USD 2020-10-02 -396.10000000 N N N People's Republic of China 300300CHN201808MOF68 N/A 9350000.00000000 PA 1319634.59000000 0.256464058841 Long DBT NUSS CN N 2 2030-05-21 Fixed 2.68000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 1685000.00000000 PA 1983378.79000000 0.385459261645 Long DBT NUSS FR N 2 2021-05-25 Fixed 0.00000000 N N N N N N NATIONAL AUSTRALIA BANK LIMITED F8SB4JFBSYQFRQEH3Z21 N/A 750000.00000000 PA 617802.64000000 0.120066701659 Long DBT NUSS AU N 2 2024-03-11 Fixed 5.00000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 N/A 200000.00000000 PA 257204.64000000 0.049986372308 Long DBT NUSS FR N 2 2169-01-29 Fixed 5.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 23.62000000 0.000004590423 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 18000.00000000 SGD 13209.47000000 USD 2020-10-02 23.62000000 N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857LAC2 355000.00000000 PA 444103.64000000 0.086309212356 Long DBT NUSS US N 2 2024-09-23 Fixed 2.37500000 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 N/A 350000.00000000 PA 420618.10000000 0.081744920878 Long DBT NUSS GB N 2 2021-04-12 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8.58000000 0.000001667477 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14232.80000000 USD 2020-10-02 8.58000000 N N N EURO N/A N/A 1.00000000 NC -5076.56000000 -0.00098660280 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 222016.65000000 USD 185000.00000000 EUR 2020-10-02 -5076.56000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -125.60000000 -0.00002440970 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14346.49000000 USD 11000.00000000 GBP 2020-10-02 -125.60000000 N N N Anheuser-Busch InBev Finance Inc. 5493000EYEKDT0FBSQ91 03524BAG1 550000.00000000 PA 439332.96000000 0.085382055728 Long DBT NUSS BE N 2 2024-05-15 Fixed 2.60000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 1170000.00000000 PA 1468615.69000000 0.285417753967 Long DBT NUSS ES Y 2 2040-10-31 Fixed 1.20000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 103174.19000000 0.020051362502 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 39381771.06000000 USD 30542000.00000000 GBP 2020-10-02 103174.19000000 N N N Canada N/A N/A 45.00000000 NC 5114317.80000000 0.993940831146 N/A DIR CA N 1 CITIGROUP GLOBAL MARKETS N/A CAN 10YR BOND FUT DEC20 N/A Long Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Dec 2020 2020-12-21 5158046.30000000 CAD -43728.50000000 N N N Japan 353800WZS8AXZXFUC241 N/A 166850000.00000000 PA 2058011.66000000 0.399963768354 Long DBT NUSS JP N 2 2042-09-20 Fixed 1.90000000 N N N N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 13180000.00000000 PA 1543747.63000000 0.300019252312 Long DBT NUSS XX N 2 2025-05-12 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -79.01000000 -0.00001535517 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1575000.00000000 JPY 14845.66000000 USD 2020-10-02 -79.01000000 N N N WEIBO CORPORATION 549300Q9ID4640FE0422 948596AD3 200000.00000000 PA USD 210433.45000000 0.040896636926 Long DBT NUSS CN N 2 2024-07-05 Fixed 3.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -144.55000000 -0.00002809253 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14368.77000000 USD 19000.00000000 CAD 2020-10-02 -144.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 59.98000000 0.000011656798 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14946.74000000 USD 2020-10-02 59.98000000 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -7232.27000000 -0.00140555372 N/A DFE ID N 2 JP MORGAN N/A INDONESIA RUPIAH N/A 1325021.64000000 USD 19619595477.00000000 IDR 2020-10-15 -7232.27000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 481.22000000 0.000093522582 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 585553.98000000 AUD 420119.17000000 USD 2020-10-29 481.22000000 N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AA4 325000.00000000 PA 408281.13000000 0.079347295487 Long DBT NUSS US N 2 2028-03-15 Fixed 1.55000000 N N N N N N EURO N/A N/A 1.00000000 NC -11327.02000000 -0.00220134690 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1017231.88000000 USD 857622.36000000 EUR 2020-10-15 -11327.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 530.08000000 0.000103018266 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 31000.00000000 NZD 21021.07000000 USD 2020-10-02 530.08000000 N N N AyT Cedulas Cajas Global, Fondo de Titulizacion de Activos 959800XDZEM9FGN2F384 N/A 600000.00000000 PA 766888.61000000 0.149040777720 Long DBT NUSS ES N 2 2022-12-14 Fixed 3.75000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 53000.00000000 PA 112424.56000000 0.021849123378 Long DBT NUSS GB N 2 2039-09-07 Fixed 4.25000000 N N N N N N Statsministeriet, Departementet 549300PTO6LS1PTM6607 N/A 2040000.00000000 PA 611196.50000000 0.118782833011 Long DBT NUSS DK N 2 2039-11-15 Fixed 4.50000000 N N N N N N Bundesrepublik Deutschland N/A N/A 19.00000000 NC 4961384.66000000 0.964219077781 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A EURO-BUXL 30Y BND DEC20 N/A Long Germany Govt. Bond Futures EURO BUXL 30Y BND Dec 2020 2020-12-11 4922394.67000000 EUR 38989.99000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 3252.88000000 0.000632180161 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 724502.26000000 USD 76800000.00000000 JPY 2020-10-02 3252.88000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC 10884.89000000 0.002115421261 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A TURKISH LIRA N/A 954568.79000000 USD 7438000.00000000 TRY 2020-10-02 10884.89000000 N N N HARLEY-DAVIDSON FINANCIAL SERVICES, INC. RLUFFFFW4GRYU77BTS24 N/A 335000.00000000 PA 389120.43000000 0.075623513972 Long DBT NUSS US N 2 2024-11-19 Fixed 0.90000000 N N N N N N Statsministeriet, Departementet 549300PTO6LS1PTM6607 N/A 4025000.00000000 PA 676249.46000000 0.131425534473 Long DBT NUSS DK N 2 2023-11-15 Fixed 1.50000000 N N N N N N FEDEX CORPORATION 549300E707U7WNPZN687 31428XBT2 108000.00000000 PA 128108.87000000 0.024897286735 Long DBT CORP US N 2 2022-05-13 Fixed 0.70000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 200000.00000000 PA USD 211062.00000000 0.041018792321 Long DBT NUSS CH Y 2 2169-01-17 Fixed 7.50000000 N N N N N N EMERSON ELECTRIC CO. FGLT0EWZSUIRRITFOA30 291011BK9 350000.00000000 PA 415298.97000000 0.080711175871 Long DBT CORP US N 2 2024-05-22 Fixed 0.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -26597.02000000 -0.00516899129 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 51987335.00000000 TWD 1782983.28000000 USD 2020-11-18 -26597.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 976.13000000 0.000189705744 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 34000.00000000 GBP 44931.61000000 USD 2020-10-02 976.13000000 N N N EURO N/A N/A 1.00000000 NC -3659.98000000 -0.00071129791 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 490676.92000000 USD 415224.77000000 EUR 2020-10-15 -3659.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -362.99000000 -0.00007054520 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 150000.00000000 NOK 15673.67000000 USD 2020-11-04 -362.99000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1882000.00000000 PA 2301342.35000000 0.447253811273 Long DBT NUSS DE N 2 2026-08-15 Fixed 0.00000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 311.34000000 0.000060507295 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 14995.92000000 USD 137000.00000000 SEK 2020-10-02 311.34000000 N N N MIZUHO FINANCIAL GROUP (CAYMAN) 3 LIMITED 549300AM6U7J7ZZI1G88 60688UAB2 450000.00000000 PA USD 493765.92000000 0.095960815911 Long DBT NUSS JP Y 2 2024-03-27 Fixed 4.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 33.09000000 0.000006430867 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14891.42000000 USD 2020-10-02 33.09000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 180000.00000000 PA 245398.15000000 0.047691842922 Long DBT NUSS GB N 2 2021-05-21 Fixed 10.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -58.30000000 -0.00001133029 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14800.03000000 USD 2020-10-02 -58.30000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1690100000.00000000 PA 463247.12000000 0.090029647254 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 47505.39000000 0.009232423300 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 314649000.00000000 HUF 1063470.44000000 USD 2020-10-02 47505.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -61546.40000000 -0.01196121992 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 6556103000.00000000 JPY 62063943.98000000 USD 2020-10-02 -61546.40000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -778.73000000 -0.00015134208 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 22231.24000000 USD 192000.00000000 SEK 2020-10-02 -778.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -64.27000000 -0.00001249053 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2570000.00000000 ZAR 154012.47000000 USD 2020-10-02 -64.27000000 N N N Simon International Finance SCA 549300KMCOJGU910PF77 N/A 134000.00000000 PA 159269.71000000 0.030953232498 Long DBT NUSS US N 2 2025-05-13 Fixed 1.25000000 N N N N N N IQVIA INC. 549300PLWY28YB00C717 N/A 180000.00000000 PA 213187.61000000 0.041431893472 Long DBT CORP US Y 2 2028-06-15 Fixed 2.87500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1.29000000 -0.00000025070 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 14977.63000000 USD 20000.00000000 CAD 2020-11-04 -1.29000000 N N N CHILEAN PESO N/A N/A 1.00000000 NC -2.37000000 -0.00000046059 N/A DFE CL N 2 GOLDMAN, SACHS & CO. N/A CHILEAN PESO N/A 101.00000000 USD 77644.00000000 CLP 2020-11-13 -2.37000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC 2599.31000000 0.000505162260 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A TURKISH LIRA N/A 141049.97000000 USD 1115000.00000000 TRY 2020-11-04 2599.31000000 N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 N/A 130000.00000000 PA 155779.26000000 0.030274881854 Long DBT NUSS GB N 2 2027-11-08 Fixed 0.83100000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94989NBD8 74524.33600000 PA USD 82235.49000000 0.015982036016 Long ABS-MBS US N 2 2058-09-15 Fixed 3.41100000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 286.97000000 0.000055771113 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 16519.75000000 USD 13000.00000000 GBP 2020-11-04 286.97000000 N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620MBL9 185000.00000000 PA 220853.25000000 0.042921670387 Long DBT NUSS US N 2 2025-12-03 Fixed 0.62500000 N N N N N N BHP BILLITON FINANCE LIMITED 549300KZMIS43NMT0A66 N/A 101000.00000000 PA 120806.31000000 0.023478072514 Long DBT NUSS AU N 2 2076-04-22 Fixed 4.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -321.34000000 -0.00006245074 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15373.05000000 USD 21000.00000000 AUD 2020-10-02 -321.34000000 N N N EURO N/A N/A 1.00000000 NC -4633.43000000 -0.00090048281 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 219228.22000000 USD 183000.00000000 EUR 2020-10-02 -4633.43000000 N N N LIBERTY MUTUAL GROUP INC. QUR0DG15Z6FFGYCHH861 N/A 300000.00000000 PA 346869.61000000 0.067412288783 Long DBT NUSS US N 2 2059-05-23 Fixed 3.62500000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 42309.73000000 0.008222674039 N/A DFE SG N 2 J P MORGAN CHASE BANK N/A SINGAPORE DOLLAR N/A 5004939.56000000 USD 6890000.00000000 SGD 2020-10-02 42309.73000000 N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 2520822.00000000 PA 812175.42000000 0.157842031637 Long DBT NUSS IL N 2 2023-03-31 Fixed 4.25000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 N/A 352000.00000000 PA 434781.52000000 0.084497507244 Long DBT NUSS US N 2 2023-07-27 Fixed 2.00000000 N N N N N N Stadshypotek AB 549300UOX05QGUJJ5707 N/A 485000.00000000 PA 580583.85000000 0.112833425099 Long DBT NUSS SE N 2 2023-02-22 Fixed 0.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -188.31000000 -0.00003659706 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14409.20000000 USD 11000.00000000 GBP 2020-10-02 -188.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 719.68000000 0.000139866032 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 141000.00000000 NOK 15789.26000000 USD 2020-10-02 719.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -555479.81000000 -0.10795458663 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 66949000.00000000 EUR 77995779.15000000 USD 2020-11-04 -555479.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -165.36000000 -0.00003213684 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2350000.00000000 ZAR 140721.93000000 USD 2020-10-02 -165.36000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 500000.00000000 PA 587609.79000000 0.114198879675 Long DBT NUSS US N 2 2024-04-26 Fixed 0.50000000 N N N N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 300000.00000000 PA 458726.27000000 0.089151043776 Long DBT NUSS FR N 2 2048-02-05 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -190.40000000 -0.00003700324 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14030.49000000 USD 2020-10-02 -190.40000000 N N N International Bank for Reconstruction and Development ZTMSNXROF84AHWJNKQ93 N/A 1230000.00000000 PA 888008.64000000 0.172579820070 Long DBT NUSS XX N 2 2021-01-13 Fixed 2.80000000 N N N N N N ENI S.P.A. BUCRF72VH5RBN7X3VL35 26874RAJ7 515000.00000000 PA USD 579774.70000000 0.112676171041 Long DBT NUSS IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 400000.00000000 PA 496133.21000000 0.096420886302 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.62500000 N N N N N N EURO N/A N/A 1.00000000 NC -37854.01000000 -0.00735672823 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1707706.37000000 USD 1424000.00000000 EUR 2020-10-02 -37854.01000000 N N N United Kingdom of Great Britain and Northern Ireland N/A N/A 76.00000000 NC 13373272.43000000 2.599025331241 N/A DIR GB N 1 GOLDMAN, SACHS & CO. N/A LONG GILT FUTURE DEC20 N/A Long U.K. Gilt Futures U.K. Long Gilt Future Dec 2020 2021-01-01 13361809.91000000 GBP 11462.52000000 N N N EURO N/A N/A 1.00000000 NC 37407.11000000 0.007269875564 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 6645709.46000000 USD 5696000.00000000 EUR 2020-11-04 37407.11000000 N N N Japan 353800WZS8AXZXFUC241 N/A 207550000.00000000 PA 2526591.33000000 0.491029768722 Long DBT NUSS JP N 2 2043-03-20 Fixed 1.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 55.21000000 0.000010729773 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15299.65000000 USD 2020-10-02 55.21000000 N N N ANGLO AMERICAN CAPITAL PLC TINT358G1SSHR3L3PW36 N/A 220000.00000000 PA 269905.74000000 0.052454764454 Long DBT NUSS ZA N 2 2025-09-18 Fixed 1.62500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 141000.00000000 PA 193418.86000000 0.037589940630 Long DBT NUSS ES Y 2 2030-07-30 Fixed 1.95000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 665000.00000000 PA 972276.99000000 0.188956931762 Long DBT NUSS IT Y 2 2030-03-01 Fixed 3.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -1592.99000000 -0.00030958924 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 224894.42000000 USD 23565000.00000000 JPY 2020-10-02 -1592.99000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -205.30000000 -0.00003989897 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15443.40000000 USD 14000.00000000 CHF 2020-10-02 -205.30000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -55.44000000 -0.00001077447 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14276.33000000 USD 11000.00000000 GBP 2020-10-02 -55.44000000 N N N European Stability Mechanism 222100W4EEAQ77386N50 N/A 570000.00000000 PA 718427.13000000 0.139622543344 Long DBT NUSS XX N 2 2025-09-23 Fixed 1.00000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 110000.00000000 PA 174833.66000000 0.033978004521 Long DBT NUSS AT Y 2 2034-05-23 Fixed 2.40000000 N N N N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 N/A 220000.00000000 PA 260432.61000000 0.050613711342 Long DBT NUSS AU N 2 2021-03-24 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2948.78000000 0.000573079921 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1060000.00000000 TRY 140536.96000000 USD 2020-10-02 2948.78000000 N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 N/A 305000.00000000 PA USD 343460.50000000 0.066749746141 Long DBT NUSS NL N 2 2025-07-28 Fixed 4.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 850000.00000000 PA 999110.08000000 0.194171802018 Long DBT NUSS US N 2 2021-05-21 Floating 0.14100120 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 9054.60000000 0.001759714003 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 559306.89000000 USD 439599.19000000 GBP 2020-11-19 9054.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3556.96000000 0.000691276513 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1060000.00000000 TRY 141145.14000000 USD 2020-10-02 3556.96000000 N N N Japan 353800WZS8AXZXFUC241 N/A 451400000.00000000 PA 4414720.23000000 0.857977713994 Long DBT NUSS JP N 2 2036-09-20 Fixed 0.50000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 835000.00000000 PA 1058368.40000000 0.205688345600 Long DBT NUSS US N 2 2024-06-19 Fixed 2.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -60.92000000 -0.00001183948 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1575000.00000000 JPY 14863.75000000 USD 2020-10-02 -60.92000000 N N N Deutsche Telekom International Finance B.V. 529900ERDFHS6C1M4U58 N/A 330000.00000000 PA 393862.35000000 0.076545081245 Long DBT NUSS DE N 2 2023-04-03 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1018.55000000 -0.00019794984 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2570000.00000000 ZAR 153058.19000000 USD 2020-10-02 -1018.55000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 312500000.00000000 PA 86721.24000000 0.016853817993 Long DBT NUSS CO N 2 2022-05-04 Fixed 7.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 251.82000000 0.000048939895 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19000.00000000 CAD 14476.04000000 USD 2020-10-02 251.82000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1830000.00000000 PA 2210270.55000000 0.429554484769 Long DBT NUSS DE N 2 2024-10-18 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 318.55000000 0.000061908521 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14860.54000000 USD 2020-10-02 318.55000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 5637.40000000 0.001095599112 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 848956.17000000 USD 661036.67000000 GBP 2020-10-01 5637.40000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -139.36000000 -0.00002708388 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 15026.12000000 USD 1571000.00000000 JPY 2020-10-02 -139.36000000 N N N KOREAN WON N/A N/A 1.00000000 NC 2319.70000000 0.000450821524 N/A DFE KR N 2 JP MORGAN N/A KOREAN WON N/A 880313.46000000 USD 1031806600.00000000 KRW 2020-10-05 2319.70000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -14.13000000 -0.00000274609 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 20699.06000000 USD 16000.00000000 GBP 2020-10-02 -14.13000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1509000.00000000 PA 1903834.68000000 0.370000281211 Long DBT NUSS IT Y 2 2030-12-01 Fixed 1.65000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 5355900.00000000 PA 245795.31000000 0.047769028884 Long DBT NUSS MX N 2 2021-06-10 Floating 6.50000160 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 592.59000000 0.000115166757 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14813.48000000 USD 2020-10-02 592.59000000 N N N United States of America N/A N/A -33.00000000 NC USD -5277421.88000000 -1.02563925333 N/A DIR US N 1 MORGAN STANLEY & CO, INC N/A US 10YR ULTRA FUT DEC20 N/A Short U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Dec 2020 2020-12-24 -5263268.29000000 USD -14153.59000000 N N N Takeda Pharmaceutical Company Limited 549300ZLMVP4X0OGR454 N/A 430000.00000000 PA 515297.09000000 0.100145285833 Long DBT NUSS JP Y 2 2022-11-21 Fixed 1.12500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 11025.01000000 0.002142652848 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 613401.31000000 USD 483000.00000000 GBP 2020-10-02 11025.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 131.68000000 0.000025591317 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14673.67000000 USD 2020-10-02 131.68000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 56000.00000000 PA 112138.19000000 0.021793468871 Long DBT NUSS GB N 2 2036-03-07 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -102.32000000 -0.00001988535 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14756.01000000 USD 2020-10-02 -102.32000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 192000.00000000 PA 390314.97000000 0.075855666554 Long DBT NUSS ES Y 2 2066-07-30 Fixed 3.45000000 N N N N N N Japan Bank for International Cooperation 549300TJ3QFYVCTSCJ29 471048BN7 2200000.00000000 PA USD 2204949.36000000 0.428520339411 Long DBT NUSS JP N 2 2020-11-16 Fixed 2.12500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2419.35000000 0.000470187978 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 205722.76000000 USD 161000.00000000 GBP 2020-10-02 2419.35000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 286.84000000 0.000055745849 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 23000.00000000 NZD 15489.83000000 USD 2020-10-02 286.84000000 N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 N/A 280000.00000000 PA 329403.61000000 0.064017863322 Long DBT NUSS CA N 2 2021-04-19 Fixed 0.12500000 N N N N N N EURO N/A N/A 1.00000000 NC -16478.00000000 -0.00320241284 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1647799.20000000 USD 1390844.80000000 EUR 2020-10-15 -16478.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 55.46000000 0.000010778360 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 128000.00000000 NOK 13735.64000000 USD 2020-10-02 55.46000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 195000.00000000 PA 254554.01000000 0.049471236275 Long DBT NUSS US N 2 2022-06-30 Fixed 1.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 190.81000000 0.000037082922 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 CHF 15428.91000000 USD 2020-10-02 190.81000000 N N N BPCE S.A. 9695005MSX1OYEMGDF46 N/A 300000.00000000 PA 359669.31000000 0.069899843322 Long DBT NUSS FR N 2 2023-01-18 Fixed 1.12500000 N N N N N N EURO N/A N/A 1.00000000 NC -30.43000000 -0.00000591391 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 18792.82000000 USD 16000.00000000 EUR 2020-10-02 -30.43000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3380000.00000000 PA 831808.78000000 0.161657672143 Long DBT NUSS MY N 2 2021-09-30 Fixed 4.04800000 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 N/A 455000.00000000 PA 547143.94000000 0.106334554039 Long DBT NUSS AU N 2 2024-04-11 Fixed 0.37500000 N N N N N N DP WORLD CRESCENT LIMITED 21380096JRTWB8TL9236 N/A 265000.00000000 PA USD 293381.50000000 0.057017155240 Long DBT NUSS AE N 2 2028-09-26 Fixed 4.84800000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087XW9 816000.00000000 PA 1003678.47000000 0.195059644646 Long DBT NUSS CA N 2 2037-06-01 Fixed 5.00000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 44.94000000 0.000008733853 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 6419.10000000 USD 5000.00000000 GBP 2020-10-02 44.94000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 82.70000000 0.000016072311 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14138.19000000 USD 11000.00000000 GBP 2020-10-02 82.70000000 N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620MBK1 500000.00000000 PA 588318.07000000 0.114336530176 Long DBT NUSS US N 2 2022-12-03 Fixed 0.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6005.84000000 0.001167203493 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 25861899.10000000 ZAR 1546625.55000000 USD 2020-11-27 6005.84000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 2939.96000000 0.000571365800 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 551376.35000000 USD 58497000.00000000 JPY 2020-10-02 2939.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -11557.38000000 -0.00224611616 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 7406751.99000000 CNY 1078355.40000000 USD 2020-10-21 -11557.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 474.41000000 0.000092199094 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 31000.00000000 AUD 22693.61000000 USD 2020-10-02 474.41000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 5358000.00000000 PA 600057.52000000 0.116618030691 Long DBT NUSS NO Y 2 2023-05-24 Fixed 2.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -4781.04000000 -0.00092917003 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 219375.83000000 USD 183000.00000000 EUR 2020-10-02 -4781.04000000 N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 156000.00000000 PA 189288.37000000 0.036787201570 Long DBT NUSS XX N 2 2024-10-14 Fixed 0.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1183.05000000 -0.00022991956 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 161000.00000000 GBP 206959.06000000 USD 2020-10-02 -1183.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 173980.57000000 0.033812210955 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14787927.94000000 EUR 17524655.82000000 USD 2020-11-04 173980.57000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 29.22000000 0.000005678753 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11000.00000000 GBP 14250.11000000 USD 2020-10-02 29.22000000 N N N Province of Alberta LQPXMHHNJKIPJYE53543 N/A 650000.00000000 PA 846886.47000000 0.164587942086 Long DBT NUSS CA N 2 2021-11-15 Fixed 1.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -177.84000000 -0.00003456227 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 14719.83000000 USD 22000.00000000 NZD 2020-10-02 -177.84000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 4315.30000000 0.000838655913 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 140829.56000000 USD 2430000.00000000 ZAR 2020-11-04 4315.30000000 N N N EURO N/A N/A 1.00000000 NC -8039.13000000 -0.00156236273 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 1233475.64000000 USD 1044792.40000000 EUR 2020-10-15 -8039.13000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 279000.00000000 PA 639841.35000000 0.124349809317 Long DBT NUSS GB N 2 2042-12-07 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -24.64000000 -0.00000478865 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 35027.72000000 GBP 45262.99000000 USD 2020-11-19 -24.64000000 N N N EURO N/A N/A 1.00000000 NC -5123.51000000 -0.00099572728 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 227926.85000000 USD 190000.00000000 EUR 2020-10-02 -5123.51000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 389000.00000000 PA 776025.74000000 0.150816530995 Long DBT NUSS NL Y 2 2037-01-15 Fixed 4.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 1287.80000000 0.000250277173 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 107742.20000000 USD 165000.00000000 NZD 2020-11-04 1287.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1580.77000000 -0.00030721435 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 51966956.35000000 INR 702740.49000000 USD 2020-10-15 -1580.77000000 N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172CF4 285000.00000000 PA 340953.27000000 0.066262479145 Long DBT NUSS US N 2 2024-11-08 Fixed 0.62500000 N N N N N N Nederlandse Waterschapsbank N.V. JLP5FSPH9WPSHY3NIM24 N/A 281000.00000000 PA 387172.18000000 0.075244881807 Long DBT NUSS NL N 2 2036-05-27 Fixed 1.25000000 N N N N N N EURO N/A N/A 1.00000000 NC -4123.49000000 -0.00080137864 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 423571.51000000 USD 357616.33000000 EUR 2020-10-15 -4123.49000000 N N N United States of America N/A N/A -95.00000000 NC USD -11972968.75000000 -2.32688365800 N/A DIR US N 1 MORGAN STANLEY & CO, INC N/A US 5YR NOTE (CBT) DEC20 N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Dec 2020 2021-01-03 -11957405.65000000 USD -15563.10000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 28000.00000000 PA 57961.26000000 0.011264466775 Long DBT NUSS ES Y 2 2040-07-30 Fixed 4.90000000 N N N N N N Rogers Communications Inc. 54930030NVF3Y2OL0A78 775109AV3 165000.00000000 PA 130033.46000000 0.025271320704 Long DBT NUSS CA N 2 2022-06-06 Fixed 4.00000000 N N N N N N CAISSE FRANCAISE DE FINANCEMENT LOCAL SA 549300E6W08778I4OW85 N/A 100000.00000000 PA 148344.34000000 0.028829944160 Long DBT NUSS FR N 2 2028-10-02 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 21107.18000000 0.004102069689 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 506000.00000000 GBP 675268.08000000 USD 2020-10-02 21107.18000000 N N N United States of America N/A N/A -66.00000000 NC USD -14583421.88000000 -2.83421152756 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A US 2YR NOTE (CBT) DEC20 N/A Short U.S. Treasury Futures US 2-YEAR NOTE (Globex) Dec 2020 2021-01-03 -14580163.65000000 USD -3258.23000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1546000.00000000 PA 1859640.57000000 0.361411387806 Long DBT NUSS IT N 2 2023-03-01 Fixed 0.95000000 N N N N N N AUTONATION, INC. N/A 05329WAQ5 172000.00000000 PA USD 202652.90000000 0.039384527856 Long DBT CORP US N 2 2030-06-01 Fixed 4.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -12677.30000000 -0.00246376674 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 8528000.00000000 SEK 940835.07000000 USD 2020-11-04 -12677.30000000 N N N N/A N/A N/A -14.00000000 NC -1499078.61000000 -0.29133806263 N/A DIR AU N 1 CITIGROUP GLOBAL MARKETS N/A AUST 10Y BOND FUT DEC20 N/A Short Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Dec 2020 2020-12-18 -1506938.77000000 AUD 7860.16000000 N N N Bundesrepublik Deutschland N/A N/A -10.00000000 NC -1585069.83000000 -0.30805000507 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A EURO-BOBL FUTURE DEC20 N/A Short Germany Govt. Bond Futures Euro-BOBL Future Dec 2020 2020-12-11 -1588505.83000000 EUR 3436.00000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC 250.40000000 0.000048663926 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A TURKISH LIRA N/A 139284.79000000 USD 1075000.00000000 TRY 2020-10-02 250.40000000 N N N SKY LIMITED 2138003TS48MQKF4BZ29 N/A 275000.00000000 PA 358580.63000000 0.069688264076 Long DBT NUSS GB N 2 2025-11-17 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3803.14000000 0.000739120305 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 316704.61000000 EUR 375265.83000000 USD 2020-10-15 3803.14000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 9000.00000000 PA 12972.95000000 0.002521224767 Long DBT NUSS AT Y 2 2120-06-30 Fixed 0.85000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 1869000.00000000 PA 2215417.13000000 0.430554695589 Long DBT NUSS ES N 2 2023-04-30 Fixed 0.00000000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VBX1 170000.00000000 PA 300196.12000000 0.058341540883 Long DBT NUSS US N 2 2034-02-17 Fixed 4.75000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 8146.21000000 0.001583173172 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 459438.17000000 USD 4375000.00000000 NOK 2020-10-02 8146.21000000 N N N Japan 353800WZS8AXZXFUC241 N/A 406050000.00000000 PA 4002707.23000000 0.777905149152 Long DBT NUSS JP N 2 2022-09-20 Fixed 1.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -91.20000000 -0.00001772424 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 EUR 16325.89000000 USD 2020-10-02 -91.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 136.12000000 0.000026454207 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 13000.00000000 EUR 15380.56000000 USD 2020-10-02 136.12000000 N N N CATALENT PHARMA SOLUTIONS, INC. 549300HALRZ339MSTH85 14879EAG3 119000.00000000 PA 133963.44000000 0.026035091698 Long DBT CORP US Y 2 2028-03-01 Fixed 2.37500000 N N N N N N Mitsubishi UFJ Financial Group, Inc. 353800V2V8PUY9TK3E06 N/A 250000.00000000 PA 294550.70000000 0.057244383126 Long DBT NUSS JP N 2 2024-07-19 Fixed 0.33900000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 67.57000000 0.000013131874 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14762.34000000 USD 1565000.00000000 JPY 2020-10-02 67.57000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 2337000.00000000 PA 609262.17000000 0.118406906124 Long DBT NUSS MY N 2 2034-07-05 Fixed 3.82800000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -13339.02000000 -0.00259236855 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 11398682.70000000 ZAR 665692.14000000 USD 2020-11-27 -13339.02000000 N N N Repubblica Italiana N/A N/A 23.00000000 NC 3054997.24000000 0.593722684944 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A SHORT EURO-BTP FU DEC20 N/A Long Italy Govt. Bond Futures Short Term Euro-BTP Futures Dec 2020 2020-12-11 3055021.25000000 EUR -24.01000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 2032000.00000000 PA 535434.81000000 0.104058946058 Long DBT NUSS MY N 2 2029-08-15 Fixed 3.88500000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 351000.00000000 PA 541805.34000000 0.105297025139 Long DBT NUSS BE Y 2 2047-06-22 Fixed 1.60000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC 974.94000000 0.000189474473 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A TURKISH LIRA N/A 142674.34000000 USD 1115000.00000000 TRY 2020-11-04 974.94000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -173.37000000 -0.00003369354 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 14715.36000000 USD 22000.00000000 NZD 2020-10-02 -173.37000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 126.08000000 0.000024502986 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 23696.53000000 USD 2514000.00000000 JPY 2020-10-02 126.08000000 N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 300000.00000000 PA 382694.28000000 0.074374625436 Long DBT NUSS FR N 2 2027-05-19 Fixed 1.12500000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 635000.00000000 PA 172080.57000000 0.033442955924 Long DBT NUSS MY N 2 2031-06-30 Fixed 4.23200000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 263000.00000000 PA 329261.81000000 0.063990305236 Long DBT NUSS BE Y 2 2025-06-22 Fixed 0.80000000 N N N N N N LEAR CORPORATION 549300UPNBTXA1SYTQ33 521865BB0 42000.00000000 PA USD 42995.69000000 0.008355986766 Long DBT CORP US N 2 2030-05-30 Fixed 3.50000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -121.99000000 -0.00002370811 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15173.70000000 USD 21000.00000000 AUD 2020-10-02 -121.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -97.23000000 -0.00001889614 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 6100340.00000000 KRW 5141.00000000 USD 2020-11-10 -97.23000000 N N N BANQUE ROYALE DU CANADA ES7IP3U3RHIGC71XBU11 N/A 1000000.00000000 PA 1174947.52000000 0.228344885916 Long DBT NUSS CA N 2 2020-12-16 Fixed 0.50000000 N N N N N N Development Bank of Japan Inc. 5493001HGBABMWFZUI25 25159MAD9 10000000.00000000 PA 97177.00000000 0.018885840091 Long DBT NUSS JP N 2 2023-06-20 Fixed 1.05000000 N N N N N N BPCE S.A. 9695005MSX1OYEMGDF46 05578UAB0 310000.00000000 PA USD 347207.44000000 0.067477944271 Long DBT NUSS FR N 2 2024-07-21 Fixed 5.15000000 N N N N N N TEMASEK FINANCIAL (I) LIMITED 549300XMGMDF3VRJMF12 87973PAC8 495000.00000000 PA USD 516210.99000000 0.100322897503 Long DBT NUSS SG Y 2 2023-01-23 Fixed 2.37500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -658.17000000 -0.00012791188 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 14445.23000000 USD 129000.00000000 NOK 2020-10-02 -658.17000000 N N N EURO N/A N/A 1.00000000 NC -344.71000000 -0.00006699257 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 15589.15000000 USD 13000.00000000 EUR 2020-10-02 -344.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18152.71000000 0.003527883946 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1770084.92000000 CAD 1343384.00000000 USD 2020-10-09 18152.71000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 361670000.00000000 PA 336962.14000000 0.065486823970 Long DBT NUSS KR N 2 2049-03-10 Fixed 2.00000000 N N N N N N New Zealand 549300237GPHG2AI7C34 N/A 687000.00000000 PA 582133.12000000 0.113134517595 Long DBT NUSS NZ N 2 2037-04-15 Fixed 2.75000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ADM3 585000.00000000 PA 475458.39000000 0.092402843509 Long DBT NUSS CA N 2 2026-06-02 Fixed 2.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5483.54000000 -0.00106569722 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 661000.00000000 GBP 849073.67000000 USD 2020-11-04 -5483.54000000 N N N N/A N/A N/A 12.00000000 NC 1008949.63000000 0.196084066935 N/A DIR AU N 1 GOLDMAN, SACHS & CO. N/A AUST 3YR BOND FUT DEC20 N/A Long Australia Govt. Bond Futures AUST 3YR BOND FUT (consolidated) Dec 2020 2020-12-18 1021581.98000000 AUD -12632.35000000 N N N Kommuninvest i Sverige Aktiebolag EV2XZWMLLXF2QRX0CD47 N/A 5830000.00000000 PA 676068.07000000 0.131390282279 Long DBT NUSS SE N 2 2024-10-02 Fixed 1.00000000 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 N/A 295000.00000000 PA 352677.16000000 0.068540955655 Long DBT NUSS CH N 2 2022-04-14 Fixed 1.25000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 2222.44000000 0.000431919553 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 143461.01000000 USD 2430000.00000000 ZAR 2020-10-02 2222.44000000 N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857LAR9 80000.00000000 PA USD 96111.47000000 0.018678759926 Long DBT CORP US N 2 2030-04-13 Fixed 4.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -45325.84000000 -0.00880883919 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19796296.07000000 SEK 2167234.03000000 USD 2020-10-16 -45325.84000000 N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172BG3 300000.00000000 PA 354656.24000000 0.068925579469 Long DBT NUSS US N 2 2021-03-03 Fixed 1.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -65.43000000 -0.00001271597 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14821.33000000 USD 2020-10-02 -65.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 61900.82000000 0.012030099592 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 25007000.00000000 CZK 1144443.22000000 USD 2020-10-02 61900.82000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1341000.00000000 PA 1157203.14000000 0.224896358763 Long DBT NUSS SG N 2 2027-03-01 Fixed 3.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -507.65000000 -0.00009865911 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 16021.35000000 USD 12000.00000000 GBP 2020-10-02 -507.65000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 179.02000000 0.000034791597 N/A DFE NZ N 2 BARCLAYS CAPITAL INC. N/A NEW ZEALAND DOLLAR N/A 13500.06000000 USD 20700.00000000 NZD 2020-10-27 179.02000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -297.15000000 -0.00005774954 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15348.86000000 USD 21000.00000000 AUD 2020-10-02 -297.15000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 885000.00000000 PA 1120261.78000000 0.217716999267 Long DBT NUSS AT Y 2 2029-02-20 Fixed 0.50000000 N N N N N N Banco Bilbao Vizcaya Argentaria, S.A. K8MS7FD7N5Z2WQ51AZ71 N/A 200000.00000000 PA 230718.72000000 0.044838972720 Long DBT NUSS ES N 2 2168-12-24 Fixed 5.87500000 N N N Y Y Banco Bilbao Vizcaya Argentaria, S.A. EUR XXXX N N N EURO N/A N/A 1.00000000 NC -3159.98000000 -0.00061412553 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 147395.82000000 USD 123000.00000000 EUR 2020-10-02 -3159.98000000 N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 16455000.00000000 PA 669304.94000000 0.130075903447 Long DBT NUSS TH N 2 2029-06-22 Fixed 4.87500000 N N N N N N TOYOTA CREDIT CANADA INC. HJZQGXYTVV2NWJZLPW74 892329AV5 1500000.00000000 PA 1131027.51000000 0.219809262408 Long DBT NUSS CA N 2 2021-02-25 Fixed 2.20000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 38278.12000000 0.007439151788 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 9125000.00000000 SEK 1057831.19000000 USD 2020-10-02 38278.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 228.79000000 0.000044464136 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 2382713.52000000 AUD 1707803.24000000 USD 2020-10-29 228.79000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 1940.92000000 0.000377207618 N/A DFE ZA N 2 UBS SECURITIES LLC N/A SOUTH AFRICAN RAND N/A 152135.82000000 USD 2570000.00000000 ZAR 2020-10-02 1940.92000000 N N N KOREAN WON N/A N/A 1.00000000 NC -154.96000000 -0.00003011566 N/A DFE KR N 2 JP MORGAN N/A KOREAN WON N/A 44080.18000000 USD 51349000.00000000 KRW 2020-10-05 -154.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -95.79000000 -0.00001861628 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14629.88000000 USD 2020-10-02 -95.79000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 285.06000000 0.000055399915 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 15746.40000000 USD 150000.00000000 NOK 2020-10-02 285.06000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 85.79000000 0.000016672836 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14772.54000000 USD 1568000.00000000 JPY 2020-10-02 85.79000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 4149000.00000000 PA 480655.39000000 0.093412853192 Long DBT NUSS NO Y 2 2027-02-17 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 77.74000000 0.000015108361 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 24000.00000000 SGD 17658.87000000 USD 2020-10-02 77.74000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 401030000.00000000 PA 355540.38000000 0.069097407439 Long DBT NUSS KR N 2 2029-06-10 Fixed 1.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 252.72000000 0.000049114806 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14794.71000000 USD 2020-10-02 252.72000000 N N N Telefonica Europe B.V. 7245007FZS0M65WUGP67 N/A 300000.00000000 PA 370425.79000000 0.071990308774 Long DBT NUSS ES N 2 2169-03-14 Fixed 4.37500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 79041.14000000 0.015361230853 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 5002704.00000000 USD 7090000.00000000 AUD 2020-10-02 79041.14000000 N N N Daimler International Finance B.V. 529900RUGCXMPEENHQ31 N/A 430000.00000000 PA 503689.51000000 0.097889413561 Long DBT NUSS DE N 2 2023-11-06 Fixed 0.25000000 N N N N N N COMPAGNIE DE FINANCEMENT FONCIER S.A. DKGVVH5FKILG8R13CO13 N/A 300000.00000000 PA 363484.18000000 0.070641243291 Long DBT NUSS FR N 2 2024-12-11 Fixed 0.37500000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 25844600.00000000 PA 1267507.25000000 0.246333383809 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N CHEPLAPHARM Arzneimittel GmbH 529900ONXKBELT7EW052 N/A 191000.00000000 PA 215576.88000000 0.041896235561 Long DBT NUSS DE Y 2 2027-02-11 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 889.37000000 0.000172844393 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 127000.00000000 NOK 14462.68000000 USD 2020-10-02 889.37000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 128.38000000 0.000024949979 N/A DFE CH N 2 MORGAN STANLEY & CO, INC N/A SWISS FRANC N/A 15109.72000000 USD 14000.00000000 CHF 2020-10-02 128.38000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 1009000.00000000 PA 1308144.47000000 0.254231014304 Long DBT NUSS ES Y 2 2028-04-30 Fixed 1.40000000 N N N N N N KfW 549300GDPG70E3MBBU98 N/A 1135000.00000000 PA 1357948.57000000 0.263910179832 Long DBT NUSS DE N 2 2023-06-07 Fixed 0.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -27.36000000 -0.00000531727 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 6377.74000000 MYR 1509.17000000 USD 2020-10-27 -27.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 326.90000000 0.000063531299 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 20000.00000000 EUR 23779.88000000 USD 2020-10-02 326.90000000 N N N ANHEUSER-BUSCH INBEV NV 5493008H3828EMEXB082 N/A 410000.00000000 PA 536990.04000000 0.104361196849 Long DBT NUSS BE N 2 2027-12-02 Fixed 2.12500000 N N N N N N Landwirtschaftliche Rentenbank 529900Z3J0N6S0F7CT25 N/A 225000.00000000 PA 282942.70000000 0.054988429229 Long DBT NUSS DE N 2 2027-05-18 Fixed 0.62500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 36.48000000 0.000007089696 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 15086.90000000 USD 20200.00000000 CAD 2020-10-09 36.48000000 N N N BNP PARIBAS HOME LOAN SFH S.A. 969500O7DJZNM0F0Z036 N/A 400000.00000000 PA 485925.16000000 0.094437005343 Long DBT NUSS FR N 2 2025-05-07 Fixed 0.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 154284.71000000 0.029984423903 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 6910000.00000000 AUD 5107015.16000000 USD 2020-10-02 154284.71000000 N N N THAMES WATER UTILITIES FINANCE PLC 213800ESMPQ4RQ7G8351 N/A 155000.00000000 PA 291380.20000000 0.056628213085 Long DBT NUSS GB N 2 2046-06-04 Fixed 4.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 225.77000000 0.000043877214 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 22000.00000000 NZD 14767.76000000 USD 2020-10-02 225.77000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 242000.00000000 PA 349846.47000000 0.067990825905 Long DBT NUSS FR N 2 2027-10-25 Fixed 2.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -38.41000000 -0.00000746478 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1568000.00000000 JPY 14819.92000000 USD 2020-10-02 -38.41000000 N N N United States of America 254900HROIFWPRGM1V77 912828YA2 437000.00000000 PA USD 448266.41000000 0.087118224864 Long SN UST US N 2 2022-08-15 Fixed 1.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -177.93000000 -0.00003457976 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14398.82000000 USD 11000.00000000 GBP 2020-10-02 -177.93000000 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAA7 400000.00000000 PA USD 452938.18000000 0.088026158852 Long DBT NUSS ES N 2 2025-11-19 Fixed 5.17900000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 48.87000000 0.000009497628 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15002.84000000 USD 21000.00000000 AUD 2020-10-02 48.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 31.36000000 0.000006094651 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 10090.10000000 BRL 1820.58000000 USD 2020-11-04 31.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 147.74000000 0.000028712493 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 35000.00000000 SGD 25786.89000000 USD 2020-10-02 147.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -105.20000000 -0.00002044506 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14781.56000000 USD 2020-10-02 -105.20000000 N N N Japan N/A N/A 8.00000000 NC 1153112.86000000 0.224101434305 N/A DIR SG N 1 CITIGROUP GLOBAL MARKETS N/A 10YR MINI JGB FUT DEC20 N/A Long Japan Govt. Bond Futures 10YR MINI JGB FUT Dec 2020 2020-12-14 1144031.03000000 JPY 9081.83000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 2174000.00000000 PA 256341.75000000 0.049818674164 Long DBT NUSS NO Y 2 2029-09-06 Fixed 1.75000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 2055000.00000000 PA 2415206.36000000 0.469382684206 Long DBT NUSS FR N 2 2021-02-25 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 468.34000000 0.000091019421 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 18000.00000000 EUR 21576.02000000 USD 2020-10-02 468.34000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 142.84000000 0.000027760204 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 26000.00000000 AUD 18778.29000000 USD 2020-10-02 142.84000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 316.05000000 0.000061422659 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 131893463.00000000 JPY 1250270.00000000 USD 2020-10-08 316.05000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 165000.00000000 PA 291118.38000000 0.056577329742 Long DBT NUSS FR Y 2 2066-05-25 Fixed 1.75000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1250.35000000 0.000242998962 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 116395.19000000 USD 91000.00000000 GBP 2020-10-02 1250.35000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 108000.00000000 PA 267212.42000000 0.051931331843 Long DBT NUSS GB N 2 2049-12-07 Fixed 4.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -12.91000000 -0.00000250899 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14233.80000000 USD 11000.00000000 GBP 2020-10-02 -12.91000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 1608000.00000000 PA 1211085.92000000 0.235368194349 Long DBT NUSS NZ N 2 2023-04-15 Fixed 5.50000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 51000.00000000 PA 112939.64000000 0.021949226473 Long DBT NUSS GB N 2 2038-12-07 Fixed 4.75000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 46389500.00000000 PA 2497340.91000000 0.485345103063 Long DBT NUSS MX N 2 2024-12-05 Floating 10.00000080 N N N N N N SIG Combibloc PurchaseCo S.a r.l. 549300Q95MWZB4BXB866 BK0101778 114000.00000000 PA 135981.33000000 0.026427258032 Long DBT NUSS LU Y 2 2023-06-18 Fixed 1.87500000 N N N N N N REPUBLIKA SLOVENIJA 485100000LWQHIX4XX88 N/A 305000.00000000 PA 391227.76000000 0.076033062501 Long DBT NUSS SI N 2 2027-03-22 Fixed 1.25000000 N N N N N N EURO N/A N/A 1.00000000 NC 11055.11000000 0.002148502625 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 2483380.60000000 USD 2126000.00000000 EUR 2020-11-04 11055.11000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -573.26000000 -0.00011141007 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 15642.84000000 USD 141000.00000000 NOK 2020-10-02 -573.26000000 N N N Swedbank AB M312WZV08Y7LYUC71685 N/A 200000.00000000 PA USD 209250.00000000 0.040666639628 Long DBT NUSS SE N 2 2169-03-17 Fixed 5.62500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 605000.00000000 PA 878657.20000000 0.170762416770 Long DBT NUSS ES Y 2 2033-07-30 Fixed 2.35000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -61.03000000 -0.00001186086 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 12000.00000000 GBP 15452.87000000 USD 2020-11-04 -61.03000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -61166.49000000 -0.01188738640 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A NORWEIGAN KRONE N/A 1096511.99000000 USD 9685878.50000000 NOK 2020-10-16 -61166.49000000 N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 59217GEE5 1000000.00000000 PA USD 1033958.43000000 0.200944396002 Long DBT CORP US Y 2 2023-01-13 Fixed 1.95000000 N N N N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 N/A 750000.00000000 PA 606394.63000000 0.117849614770 Long DBT NUSS AU N 2 2023-08-16 Fixed 5.00000000 N N N N N N ENEL - SPA WOCMU6HCI0OJWNPRZS33 N/A 175000.00000000 PA 217264.15000000 0.042224147633 Long DBT NUSS IT N 2 2080-05-24 Fixed 3.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 106.82000000 0.000020759906 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 14817.85000000 USD 1575000.00000000 JPY 2020-10-02 106.82000000 N N N EURO N/A N/A 1.00000000 NC -2648.80000000 -0.00051478038 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 285257.24000000 USD 241000.00000000 EUR 2020-10-02 -2648.80000000 N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RBL5 204000.00000000 PA USD 216902.06000000 0.042153777341 Long DBT CORP US N 2 2026-12-15 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -41.41000000 -0.00000804781 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1554000.00000000 JPY 14684.26000000 USD 2020-10-02 -41.41000000 N N N NORTHUMBRIAN WATER FINANCE PLC 213800JTFA6F3S7XX781 N/A 190000.00000000 PA 280291.94000000 0.054473267931 Long DBT NUSS GB N 2 2023-02-06 Fixed 6.87500000 N N N N N N Akzo Nobel N.V. 724500XYIJUGXAA5QD70 N/A 340000.00000000 PA 418384.56000000 0.081310844098 Long DBT NUSS NL N 2 2022-07-27 Fixed 2.62500000 N N N N N N EURO N/A N/A 1.00000000 NC -10437.03000000 -0.00202838202 N/A DFE XX N 2 CITIGROUP GLOBAL MARKETS N/A EURO N/A 456043.70000000 USD 380000.00000000 EUR 2020-10-02 -10437.03000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -325.52000000 -0.00006326310 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 20884.18000000 USD 184000.00000000 SEK 2020-10-02 -325.52000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 735000.00000000 PA 905250.54000000 0.175930692872 Long DBT NUSS PT Y 2 2027-10-15 Fixed 0.70000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 135000.00000000 PA 187218.09000000 0.036384853514 Long DBT NUSS ES Y 2 2035-07-30 Fixed 1.85000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -103.54000000 -0.00002012245 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1571000.00000000 JPY 14783.22000000 USD 2020-10-02 -103.54000000 N N N Freddie Mac N/A 3137G0JJ9 195660.11500000 PA USD 203520.11000000 0.039553065569 Long DBT USGA US N 2 2028-09-25 Floating 6.52512960 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -1017.22000000 -0.00019769136 N/A DFE JP N 2 CITIGROUP GLOBAL MARKETS N/A JAPANESE YEN N/A 216121.93000000 USD 22700000.00000000 JPY 2020-10-02 -1017.22000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -209.79000000 -0.00004077158 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A AUSTRALIAN DOLLAR N/A 15261.50000000 USD 21000.00000000 AUD 2020-10-02 -209.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1317.89000000 -0.00025612500 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 19375000.00000000 JPY 182279.19000000 USD 2020-10-02 -1317.89000000 N N N Telefonica Europe B.V. 7245007FZS0M65WUGP67 N/A 100000.00000000 PA 119023.89000000 0.023131668539 Long DBT NUSS ES N 2 2169-03-15 Fixed 3.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -189.82000000 -0.00003689052 N/A DFE CA N 2 HSBC N/A CANADIAN DOLLAR N/A 17408.61000000 USD 23000.00000000 CAD 2020-10-02 -189.82000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 40.79000000 0.000007927322 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 15472.91000000 USD 12000.00000000 GBP 2020-10-02 40.79000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -76.12000000 -0.00001479352 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14297.01000000 USD 11000.00000000 GBP 2020-10-02 -76.12000000 N N N ELIS SA 969500UX71LCE8MAY492 N/A 100000.00000000 PA 108821.84000000 0.021148953648 Long DBT NUSS FR N 2 2025-04-03 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -30.17000000 -0.00000586338 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 14000.00000000 GBP 18069.14000000 USD 2020-10-02 -30.17000000 N N N BNG BANK N.V. 529900GGYMNGRQTDOO93 N/A 1505000.00000000 PA 1796000.43000000 0.349043260497 Long DBT NUSS NL N 2 2023-02-22 Fixed 0.25000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 19000.00000000 PA 26234.67000000 0.005098570469 Long DBT NUSS GB N 2 2023-09-07 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 539.99000000 0.000104944223 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 137000.00000000 SEK 15847.25000000 USD 2020-10-02 539.99000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -137.77000000 -0.00002677487 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A BRITISH STERLING POUND N/A 14358.66000000 USD 11000.00000000 GBP 2020-10-02 -137.77000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 461.37000000 0.000089664838 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 21000.00000000 AUD 15513.08000000 USD 2020-10-02 461.37000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 194.41000000 0.000037782563 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A SWEDISH KRONE N/A 14330.73000000 USD 130000.00000000 SEK 2020-10-02 194.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8419.61000000 0.001636307028 N/A DFE US N 2 CITIGROUP GLOBAL MARKETS N/A U.S. DOLLARS N/A 1562000.00000000 RON 384225.60000000 USD 2020-10-02 8419.61000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 914000.00000000 PA 1080315.70000000 0.209953688204 Long DBT NUSS NL Y 2 2022-01-15 Fixed 0.00000000 N N N N N N 2020-09-30 SEI INSTITUTIONAL INTERNATIONAL TRUST James Hoffmayer James Hoffmayer CFO