0001752724-21-112009.txt : 20210526 0001752724-21-112009.hdr.sgml : 20210526 20210526105824 ACCESSION NUMBER: 0001752724-21-112009 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210331 FILED AS OF DATE: 20210526 PERIOD START: 20210930 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: 21963713 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 2021-09-30 2021-03-31 N 529815590.16 2941347.74 526874242.42 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 12696820.14000000 EUR JPY USD N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 56000.00000000 PA 109864.07000000 0.020852048013 Long DBT NUSS GB N 2 2036-03-07 Fixed 4.25000000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 470000.00000000 PA 945750.37000000 0.179502107686 Long DBT NUSS BE Y 2 2041-03-28 Fixed 4.25000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 297000.00000000 PA 353615.17000000 0.067115668508 Long DBT NUSS FR N 2 2029-11-25 Fixed 0.00000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 2359000.00000000 PA 2916415.47000000 0.553531608720 Long DBT NUSS FR N 2 2023-05-25 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 251.73000000 0.000047778004 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 14000.00000000 EUR 16707.32000000 USD 2021-04-07 251.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -35.85000000 -0.00000680428 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15877.43000000 USD 2021-04-07 -35.85000000 N N N MARRIOTT INTERNATIONAL, INC. 225YDZ14ZO8E1TXUSU86 571903BB8 120000.00000000 PA USD 133566.65000000 0.025350764802 Long DBT CORP US N 2 2028-12-01 Fixed 4.65000000 N N N N N N Bundesrepublik Deutschland N/A N/A -5.00000000 NC -1210789.20000000 -0.22980610979 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Short Germany Govt. Bond Futures EURO BUXL 30Y BND Jun 2021 2021-06-11 -1233269.82000000 EUR 22480.62000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -165.82000000 -0.00003147240 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 13741.65000000 USD 1500000.00000000 JPY 2021-04-07 -165.82000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 195000.00000000 PA 189650.78000000 0.035995454841 Long DBT NUSS AU N 2 2033-04-21 Fixed 4.50000000 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 18330000.00000000 PA 2767424.89000000 0.525253403409 Long DBT NUSS CN N 2 2023-07-02 Fixed 2.36000000 N N N N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 1654000.00000000 PA 202839.20000000 0.038498598653 Long DBT NUSS NO Y 2 2028-04-26 Fixed 2.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -12107.96000000 -0.00229807400 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 447111.66000000 USD 48036335.00000000 JPY 2021-05-20 -12107.96000000 N N N BNP PARIBAS HOME LOAN SFH S.A. 969500O7DJZNM0F0Z036 N/A 400000.00000000 PA 484900.51000000 0.092033443839 Long DBT NUSS FR N 2 2025-05-07 Fixed 0.37500000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087XG4 1205000.00000000 PA 1386049.61000000 0.263070292378 Long DBT NUSS CA N 2 2033-06-01 Fixed 5.75000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -250.47000000 -0.00004753885 N/A DFE SE N 2 JP MORGAN N/A 14018.96000000 USD 120000.00000000 SEK 2021-04-07 -250.47000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 829000.00000000 PA 654372.68000000 0.124199026506 Long DBT NUSS AU N 2 2041-05-21 Fixed 2.75000000 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 F1R15XK69 340000.00000000 PA USD 352760.20000000 0.066953396389 Long DBT NUSS FR N 2 2170-03-14 Fixed 6.75000000 N N N N N N Daimler International Finance B.V. 529900RUGCXMPEENHQ31 N/A 430000.00000000 PA 509069.26000000 0.096620639046 Long DBT NUSS DE N 2 2023-11-06 Fixed 0.25000000 N N N N N N Nordea Bank Abp 529900ODI3047E2LIV03 65557DAL5 200000.00000000 PA USD 217504.00000000 0.041281957341 Long DBT NUSS FI N 2 2168-03-23 Fixed 6.12500000 N N N N N N Bell Canada Inc. N/A 07813ZBF0 80000.00000000 PA 69107.37000000 0.013116482916 Long DBT NUSS CA N 2 2023-09-11 Fixed 4.70000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -67.54000000 -0.00001281899 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 36286.40000000 USD 4000000.00000000 JPY 2021-05-06 -67.54000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 15967000.00000000 PA 800523.36000000 0.151938222738 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 2546000.00000000 PA 136711.63000000 0.025947677641 Long DBT NUSS MX N 2 2038-11-18 Fixed 8.50000000 N N N N N N Smurfit Kappa Acquisitions Unlimited Company 6354002XN4LUSDRPTR29 N/A 265000.00000000 PA 345797.83000000 0.065631948225 Long DBT NUSS IE N 2 2026-01-15 Fixed 2.87500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -297.59000000 -0.00005648216 N/A DFE SE N 2 JP MORGAN N/A 15213.45000000 USD 130000.00000000 SEK 2021-04-07 -297.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1678.99000000 -0.00031866997 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 355000.00000000 NZD 246835.41000000 USD 2021-05-06 -1678.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 39929.23000000 0.007578512439 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 7862000.00000000 DKK 1282492.56000000 USD 2021-04-07 39929.23000000 N N N WM MORRISON SUPERMARKETS P L C 213800IN6LSRGTZSOS29 N/A 225000.00000000 PA 344536.84000000 0.065392614073 Long DBT NUSS GB N 2 2026-07-27 Fixed 3.50000000 N N N N N N Banco de Sabadell, S.A. SI5RG2M0WQQLZCXKRM20 N/A 400000.00000000 PA 472233.65000000 0.089629291390 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 239.83000000 0.000045519401 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 GBP 20935.05000000 USD 2021-04-07 239.83000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 H3698DBW3 286000.00000000 PA USD 302404.96000000 0.057396041721 Long DBT NUSS CH N 2 2170-01-17 Fixed 7.50000000 N N N N N N Prologis International Funding II S.A. 213800JNRWW2C9DWI388 N/A 200000.00000000 PA 273145.68000000 0.051842670984 Long DBT NUSS LU N 2 2030-11-14 Fixed 2.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -35.56000000 -0.00000674923 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 37567.83000000 SGD 27924.33000000 USD 2021-05-21 -35.56000000 N N N HUNGARIAN FORINT N/A N/A 1.00000000 NC 3217.52000000 0.000610680830 N/A DFE HU N 2 MORGAN STANLEY & CO, INC N/A 1017655.81000000 USD 314649000.00000000 HUF 2021-04-07 3217.52000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 25844600.00000000 PA 1274981.74000000 0.241989764795 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC 538.38000000 0.000102183776 N/A DFE CN N 2 ROYAL BANK OF SCOTLAND N/A 241083.48000000 USD 1587669.73000000 CNY 2021-04-22 538.38000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 53.07000000 0.000010072612 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 8699.24000000 USD 11000.00000000 CAD 2021-04-07 53.07000000 N N N EURO N/A N/A 1.00000000 NC -2751.97000000 -0.00052232008 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 143799.84000000 USD 120000.00000000 EUR 2021-04-07 -2751.97000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 500000.00000000 PA 596158.05000000 0.113149970524 Long DBT NUSS US N 2 2024-04-26 Fixed 0.50000000 N N N N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 355000.00000000 PA 444489.96000000 0.084363577531 Long DBT NUSS FI Y 2 2025-09-15 Fixed 0.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 279.27000000 0.000053005058 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15512.12000000 USD 2021-04-07 279.27000000 N N N CAISSE FRANCAISE DE FINANCEMENT LOCAL SA 549300E6W08778I4OW85 N/A 100000.00000000 PA 145305.28000000 0.027578740485 Long DBT NUSS FR N 2 2028-10-02 Fixed 3.00000000 N N N N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 276000.00000000 PA 133651.38000000 0.025366846438 Long DBT NUSS IL N 2 2042-01-31 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -71.31000000 -0.00001353453 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15841.97000000 USD 2021-04-07 -71.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 247.38000000 0.000046952380 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 GBP 20942.60000000 USD 2021-04-07 247.38000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 5355900.00000000 PA 262594.98000000 0.049840162767 Long DBT NUSS MX N 2 2021-06-10 Floating 6.50000160 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -420.98000000 -0.00007990141 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 15806.92000000 USD 1700000.00000000 JPY 2021-04-07 -420.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 993.71000000 0.000188604778 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 947000.00000000 CNY 145410.44000000 USD 2021-04-07 993.71000000 N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 59217GEE5 1000000.00000000 PA USD 1027013.79000000 0.194925792022 Long DBT CORP US Y 2 2023-01-13 Fixed 1.95000000 N N N N N N Caixabank, S.A. 7CUNS533WID6K7DGFI87 N/A 300000.00000000 PA 367017.74000000 0.069659457694 Long DBT NUSS ES N 2 2026-06-19 Fixed 1.37500000 N N N N N N ONEOK, INC. 2T3D6M0JSY48PSZI1Q41 682680BE2 89000.00000000 PA USD 111421.38000000 0.021147623290 Long DBT CORP US N 2 2031-01-15 Fixed 6.35000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 79000.00000000 PA 107012.87000000 0.020310894210 Long DBT NUSS GB N 2 2041-10-22 Fixed 1.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -311.08000000 -0.00005904255 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 23765.66000000 USD 17000.00000000 GBP 2021-04-07 -311.08000000 N N N Wepa Hygieneprodukte GmbH 529900KQ44OJDIDU6J81 N/A 298000.00000000 PA 349947.30000000 0.066419511873 Long DBT NUSS DE N 2 2027-12-15 Fixed 2.87500000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 683234B98 540000.00000000 PA 559793.77000000 0.106248080648 Long DBT NUSS CA N 2 2041-06-02 Fixed 4.65000000 N N N N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 199371.00000000 PA 270387.71000000 0.051319212106 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 725.37000000 0.000137674219 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2200000.00000000 JPY 20636.58000000 USD 2021-04-07 725.37000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -180.46000000 -0.00003425105 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 13756.29000000 USD 1500000.00000000 JPY 2021-04-07 -180.46000000 N N N United States of America N/A N/A -100.00000000 NC USD -14368750.00000000 -2.72716880863 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2021 2021-06-24 -14705392.78000000 USD 336642.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3529.63000000 -0.00066991887 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 314649000.00000000 HUF 1017274.16000000 USD 2021-05-06 -3529.63000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 4719000000.00000000 PA 318162.94000000 0.060386884456 Long DBT NUSS ID N 2 2031-02-15 Fixed 6.50000000 N N N N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAA7 400000.00000000 PA USD 454992.58000000 0.086356960232 Long DBT NUSS ES N 2 2025-11-19 Fixed 5.17900000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 69.78000000 0.000013244147 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 35000.00000000 CAD 27918.03000000 USD 2021-04-07 69.78000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -392.73000000 -0.00007453960 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 21401.70000000 USD 30000.00000000 NZD 2021-04-07 -392.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 48366.28000000 0.009179852819 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 126281452.00000000 JPY 1191936.00000000 USD 2021-05-20 48366.28000000 N N N Province de Quebec 549300WN65YFEQH74Y36 74814ZEW9 520000.00000000 PA 473153.04000000 0.089803790336 Long DBT NUSS CA N 2 2048-12-01 Fixed 3.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 380.94000000 0.000072301883 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 47358.91000000 USD 60000.00000000 CAD 2021-04-07 380.94000000 N N N Bundesrepublik Deutschland N/A N/A -59.00000000 NC -7773285.54000000 -1.47535880750 N/A DIR DE N 1 MORGAN STANLEY & CO, INC N/A Short Germany Govt. Bond Futures Euro-Schatz Future Jun 2021 2021-06-11 -7938227.28000000 EUR 164941.74000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -45.81000000 -0.00000869467 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 19086.88000000 USD 25000.00000000 AUD 2021-04-07 -45.81000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 972000.00000000 PA 592327.49000000 0.112422935552 Long DBT NUSS AU N 2 2051-06-21 Fixed 1.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 330000.00000000 PA 403676.28000000 0.076617197710 Long DBT NUSS US N 2 2023-03-30 Fixed 1.87500000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BZ2 355000.00000000 PA USD 346520.76000000 0.065769159336 Long DBT NUSS GB Y 2 2027-01-14 Fixed 1.45600000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -45.39000000 -0.00000861495 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 16601.57000000 USD 12000.00000000 GBP 2021-04-07 -45.39000000 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAG4 200000.00000000 PA USD 190285.55000000 0.036115933306 Long DBT NUSS ES N 2 2030-12-03 Fixed 2.74900000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 122000.00000000 PA 186334.16000000 0.035365964968 Long DBT NUSS IT Y 2 2040-03-01 Fixed 3.10000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967JZ5 210000.00000000 PA USD 208950.00000000 0.039658420013 Long DBT CORP US N 2 2170-02-15 Floating 4.28874840 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HHA1 91000.00000000 PA USD 90840.75000000 0.017241448278 Long DBT CORP US N 2 2169-10-30 Floating 3.68150040 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -476.32000000 -0.00009040487 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 14052.15000000 USD 1500000.00000000 JPY 2021-04-07 -476.32000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AT6 200000.00000000 PA USD 220400.00000000 0.041831614122 Long DBT NUSS GB N 2 2169-09-30 Fixed 6.37500000 N N N Y Y HSBC HOLDINGS PLC GBP XXXX N N N JAPANESE YEN N/A N/A 1.00000000 NC -250.03000000 -0.00004745534 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 15635.97000000 USD 1700000.00000000 JPY 2021-04-07 -250.03000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087G73 525000.00000000 PA 422556.39000000 0.080200616386 Long DBT NUSS CA N 2 2022-09-01 Fixed 1.00000000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 166000.00000000 PA 316392.08000000 0.060050777685 Long DBT NUSS NL Y 2 2037-01-15 Fixed 4.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 418.67000000 0.000079462984 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15651.52000000 USD 2021-04-07 418.67000000 N N N BPCE S.A. 9695005MSX1OYEMGDF46 05578AAP3 950000.00000000 PA USD 926595.10000000 0.175866464024 Long DBT NUSS FR Y 2 2026-01-20 Fixed 1.00000000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3430000.00000000 PA 848835.45000000 0.161107790371 Long DBT NUSS MY N 2 2022-09-30 Fixed 3.79500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 189.19000000 0.000035907999 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 14000.00000000 EUR 16644.78000000 USD 2021-04-07 189.19000000 N N N CRH Funding B.V. 549300XYDB6706OPOS81 N/A 310000.00000000 PA 382131.61000000 0.072528049244 Long DBT NUSS IE N 2 2024-01-09 Fixed 1.87500000 N N N N N N LEVEL 3 FINANCING, INC. N/A 527298BT9 150000.00000000 PA USD 146797.50000000 0.027861961770 Long DBT CORP US Y 2 2029-07-15 Fixed 3.75000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 N/A 350000.00000000 PA 487413.41000000 0.092510388771 Long DBT NUSS FR N 2 2025-11-12 Fixed 4.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 9710.09000000 0.001842961606 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 1186173.15000000 USD 1503000.00000000 CAD 2021-04-07 9710.09000000 N N N Magyarorszag 5299003F3UFKGCCMAP43 N/A 297650000.00000000 PA 1013332.24000000 0.192329052820 Long DBT NUSS HU N 2 2024-06-26 Fixed 3.00000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -5.48000000 -0.00000104009 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 19921.25000000 USD 170000.00000000 NOK 2021-04-07 -5.48000000 N N N EURO N/A N/A 1.00000000 NC -166.33000000 -0.00003156920 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16621.92000000 USD 14000.00000000 EUR 2021-04-07 -166.33000000 N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AF2 375000.00000000 PA 479881.00000000 0.091080747807 Long DBT NUSS US N 2 2027-03-09 Fixed 1.75000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 108000.00000000 PA 250837.57000000 0.047608622666 Long DBT NUSS GB N 2 2049-12-07 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 276.93000000 0.000052560929 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15509.78000000 USD 2021-04-07 276.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 264.13000000 0.000050131507 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CHF 21518.19000000 USD 2021-04-07 264.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6822.26000000 -0.00129485547 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 4905704.11000000 NOK 567932.11000000 USD 2021-04-15 -6822.26000000 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -17983.81000000 -0.00341330217 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 984816.26000000 USD 73505208.20000000 RUB 2021-05-25 -17983.81000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 N/A 600000.00000000 PA 700503.26000000 0.132954546569 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 1269.32000000 0.000240915174 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 43000.00000000 EUR 51811.47000000 USD 2021-04-07 1269.32000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -448.88000000 -0.00008519680 N/A DFE SE N 2 JP MORGAN N/A 19954.24000000 USD 170000.00000000 SEK 2021-04-07 -448.88000000 N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 11360000.00000000 PA 1727118.60000000 0.327804713334 Long DBT NUSS CN N 2 2025-01-10 Fixed 3.23000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1283.87000000 0.000243676744 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 7700000.00000000 JPY 70973.11000000 USD 2021-04-07 1283.87000000 N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 N/A 300000.00000000 PA 363498.38000000 0.068991488050 Long DBT NUSS FR N 2 2025-01-17 Fixed 0.50000000 N N N N N N Development Bank of Japan Inc. 5493001HGBABMWFZUI25 25159MAG2 220000000.00000000 PA 2210941.86000000 0.419633696618 Long DBT NUSS JP N 2 2026-03-19 Fixed 2.30000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 238000.00000000 PA 347314.69000000 0.065919846148 Long DBT NUSS FR N 2 2030-05-25 Fixed 2.50000000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 64000.00000000 PA 124955.44000000 0.023716369095 Long DBT NUSS BE Y 2 2035-03-28 Fixed 5.00000000 N N N N N N B.A.T. INTERNATIONAL FINANCE P.L.C. 21380041YBGOQDFAC823 N/A 100000.00000000 PA 99975.17000000 0.018975148517 Long DBT NUSS GB N 2 2052-09-09 Fixed 2.25000000 N N N N N N Konungariket Sverige ERE94C0BSULG2RM19605 N/A 4810000.00000000 PA 536006.64000000 0.101733316386 Long DBT NUSS SE Y 2 2031-05-12 Fixed 0.12500000 N N N N N N Medtronic Global Holdings S.C.A. 549300JXMTTP8GKYIX14 N/A 110000.00000000 PA 131324.11000000 0.024925133822 Long DBT NUSS US N 2 2040-10-15 Fixed 1.37500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 393000.00000000 PA 508726.80000000 0.096555640614 Long DBT NUSS ES Y 2 2027-04-30 Fixed 1.50000000 N N N N N N OEC FINANCE LIMITED N/A G6714RAD9 102710.00000000 PA USD 16434.63000000 0.003119269965 Long DBT NUSS BR N 2 2029-10-25 Fixed 4.37500000 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAK7 51000.00000000 PA USD 49667.52000000 0.009426826365 Long DBT CORP US Y 2 2026-01-30 Fixed 1.95000000 N N N N N N CNP ASSURANCES SA 969500QKVPV2H8UXM738 N/A 200000.00000000 PA 241745.55000000 0.045882969888 Long DBT NUSS FR N 2 2022-10-20 Fixed 1.87500000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087D35 400000.00000000 PA 373657.95000000 0.070919760336 Long DBT CORP CA N 2 2048-12-01 Fixed 2.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 332.36000000 0.000063081466 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 51385.81000000 USD 65000.00000000 CAD 2021-04-07 332.36000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 70000.00000000 PA 133508.00000000 0.025339633113 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 -63.79000000 -0.00001210725 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 SGD 18543.17000000 USD 2021-04-07 -63.79000000 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -30106.95000000 -0.00571425732 N/A DFE ID N 2 STANDARD CHARTERED BANK N/A 862717.30000000 USD 12116864525.00000000 IDR 2021-04-15 -30106.95000000 N N N THE WESTERN UNION COMPANY 28ID94QU1140NC23S047 959802BA6 355000.00000000 PA USD 339331.29000000 0.064404607908 Long DBT CORP US N 2 2031-03-15 Fixed 2.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 442.65000000 0.000084014355 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15675.50000000 USD 2021-04-07 442.65000000 N N N ARDAGH METAL PACKAGING FINANCE USA LLC 635400YUJMWFYRBL5293 N/A 250000.00000000 PA 293898.45000000 0.055781517929 Long DBT NUSS US Y 2 2028-09-01 Fixed 2.00000000 N N N N N N Telefonica Europe B.V. 7245007FZS0M65WUGP67 N/A 300000.00000000 PA 383118.53000000 0.072715365291 Long DBT NUSS ES N 2 2170-03-14 Fixed 4.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 456.67000000 0.000086675332 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15689.52000000 USD 2021-04-07 456.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 54876.68000000 0.010415517704 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 67107050.00000000 THB 2202325.16000000 USD 2021-04-12 54876.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 303.86000000 0.000057672206 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1900000.00000000 JPY 17499.91000000 USD 2021-04-07 303.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 307.24000000 0.000058313725 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2200000.00000000 JPY 20218.45000000 USD 2021-04-07 307.24000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 96.00000000 0.000018220666 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 15817.28000000 USD 20000.00000000 CAD 2021-04-07 96.00000000 N N N EURO N/A N/A 1.00000000 NC -225.75000000 -0.00004284703 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 20207.53000000 USD 17000.00000000 EUR 2021-04-07 -225.75000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 890.84000000 0.000169080195 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CHF 22144.90000000 USD 2021-04-07 890.84000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 230.05000000 0.000043663170 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16143.33000000 USD 2021-04-07 230.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 564.27000000 0.000107097662 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 17000.00000000 EUR 20546.05000000 USD 2021-04-07 564.27000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -161504.65000000 -0.03065335842 N/A DFE SE N 2 JP MORGAN N/A 5047091.21000000 USD 42575500.00000000 SEK 2021-04-14 -161504.65000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 1178530000.00000000 PA 994344.94000000 0.188725289631 Long DBT NUSS KR N 2 2030-12-10 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11971.48000000 0.002272170289 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 746000.00000000 GBP 1041213.83000000 USD 2021-04-07 11971.48000000 N N N SK hynix Inc. 988400XAIK6XISWQV045 78392BAB3 285000.00000000 PA USD 280348.80000000 0.053209813163 Long DBT NUSS KR Y 2 2026-01-19 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 509.45000000 0.000096692902 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 603000.00000000 NOK 71151.87000000 USD 2021-04-07 509.45000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -583.73000000 -0.00011079114 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 18091.20000000 USD 25000.00000000 NZD 2021-04-07 -583.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -801.37000000 -0.00015209891 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 4789000.00000000 SEK 548934.74000000 USD 2021-05-06 -801.37000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -204.57000000 -0.00003882710 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 13780.40000000 USD 1500000.00000000 JPY 2021-04-07 -204.57000000 N N N TOTAL SE 529900S21EQ1BO4ESM68 N/A 260000.00000000 PA 337879.30000000 0.064129022221 Long DBT NUSS FR N 2 2169-10-06 Fixed 3.36900000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -303.58000000 -0.00005761906 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16244.13000000 USD 15000.00000000 CHF 2021-04-07 -303.58000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -239.85000000 -0.00004552319 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20151.06000000 USD 2200000.00000000 JPY 2021-04-07 -239.85000000 N N N MATTEL, INC. 549300VELLG24KHTJ564 577081BF8 138000.00000000 PA USD 139628.40000000 0.026501276539 Long DBT CORP US Y 2 2029-04-01 Fixed 3.75000000 N N N N N N EURO N/A N/A 1.00000000 NC -31652.11000000 -0.00600752655 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 2416536.57000000 USD 2029000.00000000 EUR 2021-04-07 -31652.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 304.61000000 0.000057814555 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 17000.00000000 EUR 20286.39000000 USD 2021-04-07 304.61000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 25.51000000 0.000004841762 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 22302.84000000 USD 30000.00000000 SGD 2021-04-07 25.51000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -6880.81000000 -0.00130596818 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 421976.06000000 USD 545000.00000000 AUD 2021-04-07 -6880.81000000 N N N Swiss Re Finance (Luxembourg) S.A. 549300CLQZ6TM98LW631 87089NAA8 200000.00000000 PA USD 226500.00000000 0.042989385656 Long DBT NUSS CH Y 2 2049-04-02 Fixed 5.00000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 N/A 170000.00000000 PA 213129.67000000 0.040451715578 Long DBT NUSS US N 2 2026-07-27 Fixed 1.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9379.74000000 0.001780261634 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2341000.00000000 SEK 277979.97000000 USD 2021-04-07 9379.74000000 N N N TURKIYE VAKIFLAR BANKASI TURK ANONIM ORTAKLIGI 789000KAIHOLSQKQ9858 N/A 265000.00000000 PA 310372.51000000 0.058908271654 Long DBT NUSS TR N 2 2021-05-04 Fixed 2.37500000 N N N N N N EURO N/A N/A 1.00000000 NC -238.15000000 -0.00004520053 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16693.74000000 USD 14000.00000000 EUR 2021-04-07 -238.15000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 351000.00000000 PA 498149.79000000 0.094548138795 Long DBT NUSS BE Y 2 2047-06-22 Fixed 1.60000000 N N N N N N THE CHARLES SCHWAB CORPORATION 549300VSGCJ7E698NM85 808513BN4 420000.00000000 PA USD 422148.04000000 0.080123112122 Long DBT CORP US N 2 2024-03-18 Fixed 0.75000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -217.97000000 -0.00004137040 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16158.52000000 USD 15000.00000000 CHF 2021-04-07 -217.97000000 N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RBM3 79000.00000000 PA USD 78715.52000000 0.014940096452 Long DBT CORP US N 2 2029-12-15 Fixed 3.55000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 165.63000000 0.000031436344 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 270000.00000000 NOK 31796.56000000 USD 2021-04-07 165.63000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 300000.00000000 PA 363201.50000000 0.068935140638 Long DBT NUSS ID N 2 2026-09-18 Fixed 1.45000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 86.64000000 0.000016444151 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 13919.34000000 USD 20000.00000000 NZD 2021-04-07 86.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -58922.84000000 -0.01118347325 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 72818600.00000000 MXN 3493076.79000000 USD 2021-04-21 -58922.84000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -38.78000000 -0.00000736039 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 15952.06000000 USD 20000.00000000 CAD 2021-04-07 -38.78000000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816BL2 29000.00000000 PA USD 28737.90000000 0.005454413536 Long DBT CORP US N 2 2169-09-15 Floating 3.46888080 N N N N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 N/A 400000.00000000 PA 476271.02000000 0.090395578613 Long DBT NUSS ES N 2 2022-03-03 Fixed 1.00000000 N N N N N N ANHEUSER-BUSCH INBEV WORLDWIDE INC. 549300CRGMZK3K53BF92 035240AL4 495000.00000000 PA USD 551370.10000000 0.104649279772 Long DBT CORP BE N 2 2028-04-13 Fixed 4.00000000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172BH1 170000.00000000 PA 225680.32000000 0.042833811530 Long DBT NUSS US N 2 2026-03-03 Fixed 2.87500000 N N N N N N Canada N/A N/A -18.00000000 NC -1802649.48000000 -0.34214036953 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A Short Canada Govt. Bond Futures Canadian Govt 5 Year Bond Future Jun 2021 2021-06-24 -1818911.19000000 CAD 16261.71000000 N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773DB3 65000.00000000 PA USD 69030.00000000 0.013101798198 Long DBT CORP US N 2 2169-09-30 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 433.13000000 0.000082207472 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15665.98000000 USD 2021-04-07 433.13000000 N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620MBL9 185000.00000000 PA 222131.33000000 0.042160218153 Long DBT NUSS US N 2 2025-12-03 Fixed 0.62500000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087B45 1546000.00000000 PA 1307626.81000000 0.248185753775 Long DBT NUSS CA N 2 2024-06-01 Fixed 2.50000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 460000.00000000 PA 613777.59000000 0.116494134763 Long DBT NUSS GB N 2 2028-01-31 Fixed 0.12500000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 6123800.00000000 PA 318765.03000000 0.060501160302 Long DBT NUSS MX N 2 2027-06-03 Floating 7.49999880 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -452.36000000 -0.00008585730 N/A DFE SE N 2 JP MORGAN N/A 15368.22000000 USD 130000.00000000 SEK 2021-04-07 -452.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 27.24000000 0.000005170114 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14085.43000000 USD 2021-04-07 27.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 521.20000000 0.000098923036 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 150000.00000000 SEK 17731.81000000 USD 2021-04-07 521.20000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CB3 167000.00000000 PA 247235.11000000 0.046924880757 Long DBT NUSS GB N 2 2028-07-22 Fixed 3.00000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 EC4532734 43000.00000000 PA 70362.43000000 0.013354691562 Long DBT NUSS GB N 2 2025-03-07 Fixed 5.00000000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 3522000.00000000 PA 123296.14000000 0.023401436258 Long DBT NUSS TH N 2 2038-06-17 Fixed 3.30000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -61370.46000000 -0.01164802813 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 134523000.00000000 CNY 20408897.06000000 USD 2021-05-06 -61370.46000000 N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 902973AY2 136000.00000000 PA USD 136170.00000000 0.025844877019 Long DBT CORP US N 2 2170-01-15 Floating 3.72724920 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 104.51000000 0.000019835852 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 20020.28000000 USD 2021-04-07 104.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1801.88000000 0.000341994323 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2269159.46000000 PLN 577276.19000000 USD 2021-06-24 1801.88000000 N N N AT&T INC. 549300Z40J86GGSTL398 N/A 365000.00000000 PA 462603.02000000 0.087801411182 Long DBT NUSS US N 2 2026-09-05 Fixed 1.80000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -189.29000000 -0.00003592697 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 10816.32000000 USD 10000.00000000 CHF 2021-04-07 -189.29000000 N N N CADENT FINANCE PLC 5493005M8TJ0J6IMUF67 N/A 100000.00000000 PA 140441.97000000 0.026655690996 Long DBT NUSS GB N 2 2038-09-22 Fixed 2.62500000 N N N N N N KOREAN WON N/A N/A 1.00000000 NC -19452.55000000 -0.00369206699 N/A DFE KR N 2 CITIGROUP GLOBAL MARKETS N/A 570961.00000000 USD 622347109.00000000 KRW 2021-04-22 -19452.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -581.19000000 -0.00011030905 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 8393665.45000000 ZAR 567426.25000000 USD 2021-04-08 -581.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -11085.79000000 -0.00210406755 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 3668000.00000000 CAD 2907861.69000000 USD 2021-05-06 -11085.79000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 112000.00000000 PA 96195.30000000 0.018257734437 Long DBT NUSS SG N 2 2033-09-01 Fixed 3.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4579.29000000 -0.00086914288 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 6040000.00000000 MXN 290471.20000000 USD 2021-04-07 -4579.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -126.76000000 -0.00002405887 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15786.52000000 USD 2021-04-07 -126.76000000 N N N United Kingdom of Great Britain and Northern Ireland N/A N/A 3.00000000 NC 528104.30000000 0.100233463221 N/A DIR GB N 1 MORGAN STANLEY & CO, INC N/A Long U.K. Gilt Futures U.K. Long Gilt Future Jun 2021 2021-07-01 544369.98000000 GBP -16265.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 36.80000000 0.000006984588 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14094.99000000 USD 2021-04-07 36.80000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 242000.00000000 PA 343526.52000000 0.065200856739 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 179.58000000 0.000034084034 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1500000.00000000 JPY 13755.41000000 USD 2021-04-07 179.58000000 N N N REPUBLIKA SLOVENIJA 485100000LWQHIX4XX88 N/A 556000.00000000 PA 716590.13000000 0.136007812169 Long DBT NUSS SI N 2 2027-03-22 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 131.82000000 0.000025019253 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 CHF 16072.37000000 USD 2021-04-07 131.82000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087J39 1314000.00000000 PA 1118664.23000000 0.212320918339 Long DBT NUSS CA N 2 2029-06-01 Fixed 2.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -82.59000000 -0.00001567546 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13879.40000000 USD 10000.00000000 GBP 2021-04-07 -82.59000000 N N N BPCE S.A. 9695005MSX1OYEMGDF46 N/A 440000.00000000 PA 343982.36000000 0.065287374539 Long DBT NUSS FR N 2 2025-06-05 Fixed 2.00000000 N N N N N N Telefonica Europe B.V. 7245007FZS0M65WUGP67 N/A 100000.00000000 PA 120770.05000000 0.022921987881 Long DBT NUSS ES N 2 2170-03-15 Fixed 3.75000000 N N N N N N Volcan Compania Minera S.A.A. 549300XKJ91C4SZLG750 92863UAB2 21000.00000000 PA USD 21556.50000000 0.004091393783 Long DBT NUSS PE Y 2 2026-02-11 Fixed 4.37500000 N N N N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 925000.00000000 PA 299145.89000000 0.056777474758 Long DBT NUSS IL N 2 2027-03-31 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -145.74000000 -0.00002766124 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15767.54000000 USD 2021-04-07 -145.74000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 74000.00000000 PA 109631.90000000 0.020807982469 Long DBT NUSS GB N 2 2037-09-07 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 669.30000000 0.000127032211 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 60000.00000000 NZD 42687.24000000 USD 2021-04-07 669.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2633.00000000 -0.00049973974 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 969354510.62000000 COP 261297.03000000 USD 2021-04-22 -2633.00000000 N N N Intertrust Group B.V. 724500E2H60ZHP192G28 N/A 180000.00000000 PA 216841.98000000 0.041156306864 Long DBT NUSS NL Y 2 2025-11-15 Fixed 3.37500000 N N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200KA8 275000.00000000 PA USD 298969.68000000 0.056744030345 Long DBT CORP US N 2 2029-05-15 Fixed 3.50000000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 3592000.00000000 PA 2773133.08000000 0.526336809949 Long DBT NUSS SG N 2 2022-09-01 Fixed 3.12500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 104000.00000000 PA 141614.79000000 0.026878290604 Long DBT NUSS ES Y 2 2030-07-30 Fixed 1.95000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -22904.46000000 -0.00434723472 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 44332000.00000000 MXN 2142687.98000000 USD 2021-04-07 -22904.46000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -69.99000000 -0.00001328400 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 30166.28000000 USD 21814.00000000 GBP 2021-04-09 -69.99000000 N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 N/A 200000.00000000 PA 266886.06000000 0.050654603795 Long DBT NUSS FR N 2 2170-01-29 Fixed 5.37500000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 1050000.00000000 PA 1261166.19000000 0.239367592579 Long DBT NUSS BE Y 2 2023-10-22 Fixed 0.20000000 N N N N N N SUEZ SA 549300JQIZM6CL7POC81 N/A 300000.00000000 PA 365810.66000000 0.069430355585 Long DBT NUSS FR N 2 2169-04-19 Fixed 2.87500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 200000.00000000 PA 317872.42000000 0.060331744163 Long DBT NUSS ES Y 2 2048-10-31 Fixed 2.70000000 N N N N N N Japan N/A N/A 23.00000000 NC 31463167.42000000 5.971665510822 N/A DIR JP N 1 GOLDMAN, SACHS & CO. N/A Long Japan Govt. Bond Futures Japan Govt 10 Year Bond Future (TSE) Jun 2021 2021-06-17 31847354.89000000 JPY -384187.47000000 N N N EURO N/A N/A 1.00000000 NC -75.56000000 -0.00001434118 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14180.35000000 USD 12000.00000000 EUR 2021-04-07 -75.56000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 85.69000000 0.000016263843 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 16470.49000000 USD 12000.00000000 GBP 2021-04-07 85.69000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -285.26000000 -0.00005414195 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 14291.24000000 USD 20000.00000000 NZD 2021-04-07 -285.26000000 N N N J.P. MORGAN MORTGAGE TRUST N/A 466247FZ1 24685.51300000 PA USD 25678.82000000 0.004873804398 Long ABS-MBS US N 2 2034-12-25 Floating 2.53482840 N N N N N N EURO N/A N/A 1.00000000 NC -251.03000000 -0.00004764514 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16706.62000000 USD 14000.00000000 EUR 2021-04-07 -251.03000000 N N N European Financial Stability Facility SA 222100OW6UHQXNHKN143 N/A 695000.00000000 PA 851614.95000000 0.161635335614 Long DBT NUSS XX N 2 2025-07-11 Fixed 0.50000000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 176100000.00000000 PA 46684.77000000 0.008860704555 Long DBT NUSS CO N 2 2027-11-03 Fixed 5.75000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -370.28000000 -0.00007027863 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20281.49000000 USD 2200000.00000000 JPY 2021-04-07 -370.28000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 63.20000000 0.000011995272 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 188000.00000000 CNY 28733.05000000 USD 2021-04-07 63.20000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 15.42000000 0.000002926694 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 17492.05000000 USD 25000.00000000 NZD 2021-04-07 15.42000000 N N N Cenovus Energy Inc. 549300EIRQ0Z2B9C1W06 15135UAS8 35000.00000000 PA USD 39319.59000000 0.007462803613 Long DBT NUSS CA N 2 2025-07-15 Fixed 5.37500000 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 N/A 100000.00000000 PA 121492.95000000 0.023059193298 Long DBT NUSS FR N 2 2025-01-23 Fixed 1.12500000 N N N N N N EURO N/A N/A 1.00000000 NC -29176.60000000 -0.00553767818 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 828447.88000000 USD 680000.00000000 EUR 2021-04-07 -29176.60000000 N N N Ireland 549300KXBEJAOJ9OVF93 N/A 250000.00000000 PA 350734.56000000 0.066568932728 Long DBT NUSS IE N 2 2050-05-15 Fixed 1.50000000 N N N N N N Heineken N.V. 724500K5PTPSST86UQ23 N/A 335000.00000000 PA 411858.85000000 0.078170238140 Long DBT NUSS NL N 2 2026-05-04 Fixed 1.00000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -13.93000000 -0.00000264389 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 14899.50000000 USD 20000.00000000 SGD 2021-04-07 -13.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 726.97000000 0.000137977897 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 35000.00000000 NZD 25237.43000000 USD 2021-04-07 726.97000000 N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC -2437.36000000 -0.00046260754 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 430655.06000000 USD 2808000.00000000 CNY 2021-04-07 -2437.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 91890.02000000 0.017440598268 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2490000.00000000 CHF 2738020.89000000 USD 2021-04-07 91890.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13075.97000000 0.002481800958 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 736000.00000000 EUR 878169.59000000 USD 2021-04-07 13075.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1087.29000000 0.000206366133 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 4438000.00000000 ILS 1333073.41000000 USD 2021-05-06 1087.29000000 N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 N/A 200000.00000000 PA 242256.10000000 0.045979871569 Long DBT NUSS FR N 2 2024-02-03 Fixed 0.62500000 N N N N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 138000.00000000 PA 171500.50000000 0.032550556886 Long DBT NUSS DE N 2 2026-02-15 Fixed 0.50000000 N N N N N N ENGIE SA LAXUQCHT4FH58LRZDY46 N/A 100000.00000000 PA 118695.66000000 0.022528271538 Long DBT NUSS FR N 2 2023-02-28 Fixed 0.37500000 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAC5 12000.00000000 PA USD 12524.89000000 0.002377206739 Long DBT CORP US Y 2 2023-05-01 Fixed 3.87500000 N N N N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCB9 291000.00000000 PA 349628.88000000 0.066359076198 Long DBT NUSS US N 2 2024-06-12 Fixed 0.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2519.05000000 -0.00047811219 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2190000.00000000 ZAR 145698.99000000 USD 2021-04-07 -2519.05000000 N N N Japan 353800WZS8AXZXFUC241 N/A 252050000.00000000 PA 2956056.09000000 0.561055343381 Long DBT NUSS JP N 2 2042-03-20 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 557.06000000 0.000105729214 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1500000.00000000 JPY 14132.89000000 USD 2021-04-07 557.06000000 N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 408000.00000000 PA 572765.85000000 0.108710163428 Long DBT NUSS CH N 2 2042-04-30 Fixed 1.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -552.05000000 -0.00010477832 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20463.26000000 USD 2200000.00000000 JPY 2021-04-07 -552.05000000 N N N Caixabank, S.A. 7CUNS533WID6K7DGFI87 N/A 500000.00000000 PA 636156.78000000 0.120741673967 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 344.30000000 0.000065347662 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2200000.00000000 JPY 20255.51000000 USD 2021-04-07 344.30000000 N N N European Stability Mechanism 222100W4EEAQ77386N50 N/A 570000.00000000 PA 714591.15000000 0.135628408539 Long DBT NUSS XX N 2 2025-09-23 Fixed 1.00000000 N N N N N N Vertical Midco GmbH 254900K869UN2ZWVB351 N/A 240000.00000000 PA 296230.83000000 0.056224200416 Long DBT NUSS DE Y 2 2027-07-15 Fixed 4.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 387.82000000 0.000073607697 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15620.67000000 USD 2021-04-07 387.82000000 N N N EURO N/A N/A 1.00000000 NC -27645.09000000 -0.00524699971 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1025558.80000000 USD 849000.00000000 EUR 2021-04-07 -27645.09000000 N N N BRK: CITIGROUP N/A N/A 900000.00000000 NC -248583.08000000 -0.04718072359 N/A DIR XX N 2 BRK: CITIGROUP N/A Y 2050-07-20 0.00000000 GBP 0.00000000 GBP -900000.00000000 GBP -248583.08000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -3704.14000000 -0.00070304063 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 144608.03000000 USD 185000.00000000 AUD 2021-04-07 -3704.14000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -211.59000000 -0.00004015948 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 15597.53000000 USD 1700000.00000000 JPY 2021-04-07 -211.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 164.73000000 0.000031265525 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 114000.00000000 CNY 17549.64000000 USD 2021-04-07 164.73000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 1474000.00000000 PA 171286.77000000 0.032509991229 Long DBT NUSS NO Y 2 2030-08-19 Fixed 1.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 21.41000000 0.000004063588 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 150000.00000000 NOK 17594.15000000 USD 2021-04-07 21.41000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -3581.17000000 -0.00067970109 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 267100.32000000 USD 191000.00000000 GBP 2021-04-07 -3581.17000000 N N N BRK: GOLDMAN SACHS INTERNATIONAL N/A N/A 9677642.98000000 NC -38922.56000000 -0.00738744787 N/A DIR XX N 2 BRK: GOLDMAN SACHS INTERNATIONAL N/A Y 2023-01-02 0.00000000 BRL 0.00000000 BRL -9677642.98000000 BRL -38922.56000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 2408000000.00000000 PA 169599.46000000 0.032189742132 Long DBT NUSS ID N 2 2025-06-15 Fixed 6.50000000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 5375000.00000000 PA 183988.19000000 0.034920703117 Long DBT NUSS TH N 2 2023-06-16 Fixed 3.62500000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 19000.00000000 PA 27580.26000000 0.005234695071 Long DBT NUSS GB N 2 2023-09-07 Fixed 2.25000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 110000.00000000 PA 168448.61000000 0.031971312400 Long DBT NUSS AT Y 2 2034-05-23 Fixed 2.40000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 280000.00000000 PA 335160.84000000 0.063613062286 Long DBT NUSS MX N 2 2039-04-08 Fixed 2.87500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -3124.60000000 -0.00059304474 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 2090838.38000000 USD 1513200.00000000 GBP 2021-04-14 -3124.60000000 N N N Ontario Teachers' Finance Trust 635400ZZE5J8OXXBBY26 N/A 1066000.00000000 PA 1293617.97000000 0.245526895385 Long DBT NUSS CA N 2 2025-05-06 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7736.78000000 -0.00146843010 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 8712000.00000000 MYR 2096801.37000000 USD 2021-05-06 -7736.78000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 277000.00000000 PA 494582.89000000 0.093871146125 Long DBT NUSS PT Y 2 2037-04-15 Fixed 4.10000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -388.92000000 -0.00007381647 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 17584.97000000 USD 1900000.00000000 JPY 2021-04-07 -388.92000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 795000.00000000 PA 956917.07000000 0.181621531848 Long DBT NUSS FR N 2 2026-02-25 Fixed 0.00000000 N N N N N N TAIWAN DOLLAR N/A N/A 1.00000000 NC -1267.93000000 -0.00024065135 N/A DFE TW N 2 MORGAN STANLEY & CO, INC N/A 42265.05000000 USD 1164402.00000000 TWD 2021-04-27 -1267.93000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 635000.00000000 PA 160591.68000000 0.030480077990 Long DBT NUSS MY N 2 2031-06-30 Fixed 4.23200000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 110.92000000 0.000021052462 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16667.10000000 USD 2021-04-07 110.92000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -30.45000000 -0.00000577936 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 19071.52000000 USD 25000.00000000 AUD 2021-04-07 -30.45000000 N N N Landwirtschaftliche Rentenbank 529900Z3J0N6S0F7CT25 N/A 225000.00000000 PA 280323.79000000 0.053205066300 Long DBT NUSS DE N 2 2027-05-18 Fixed 0.62500000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 N/A 200000.00000000 PA 234570.14000000 0.044521087028 Long DBT CORP US N 2 2169-05-01 Fixed 2.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 147.80000000 0.000028052234 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 109000.00000000 CNY 16770.21000000 USD 2021-04-07 147.80000000 N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAN1 400000.00000000 PA USD 426640.00000000 0.080975679896 Long DBT CORP US N 2 2028-08-09 Fixed 4.68200000 N N N N N N ANGLO AMERICAN CAPITAL PLC TINT358G1SSHR3L3PW36 N/A 220000.00000000 PA 273695.15000000 0.051946959627 Long DBT NUSS ZA N 2 2025-09-18 Fixed 1.62500000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 166850000.00000000 PA 1932923.28000000 0.366866155977 Long DBT NUSS JP N 2 2042-09-20 Fixed 1.90000000 N N N N N N BERKSHIRE HATHAWAY FINANCE CORPORATION 549300RLHFT5RU20WM87 084664CT6 144000.00000000 PA 221539.07000000 0.042047808027 Long DBT NUSS US N 2 2059-06-19 Fixed 2.62500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -34.68000000 -0.00000658221 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 22661.06000000 USD 2500000.00000000 JPY 2021-04-07 -34.68000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -310.63000000 -0.00005895714 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16251.18000000 USD 15000.00000000 CHF 2021-04-07 -310.63000000 N N N CADENT FINANCE PLC 5493005M8TJ0J6IMUF67 N/A 100000.00000000 PA 139717.26000000 0.026518142044 Long DBT NUSS GB N 2 2046-09-22 Fixed 2.75000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1243000.00000000 PA 1016352.63000000 0.192902318650 Long DBT NUSS AU N 2 2035-06-21 Fixed 2.75000000 N N N N N N New Zealand 549300237GPHG2AI7C34 N/A 345000.00000000 PA 268582.74000000 0.050976631305 Long DBT NUSS NZ N 2 2029-04-20 Fixed 3.00000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -129.80000000 -0.00002463585 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16070.35000000 USD 15000.00000000 CHF 2021-04-07 -129.80000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -469.55000000 -0.00008911993 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16410.10000000 USD 15000.00000000 CHF 2021-04-07 -469.55000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 20797000000.00000000 PA 1566139.38000000 0.297251080790 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.37500000 N N N N N N AMERICAN TOWER CORPORATION 5493006ORUSIL88JOE18 03027XBB5 535000.00000000 PA USD 532472.42000000 0.101062526335 Long DBT CORP US N 2 2025-09-15 Fixed 1.30000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 63.78000000 0.000012105355 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 110000.00000000 NOK 12950.46000000 USD 2021-04-07 63.78000000 N N N NATIONAL AUSTRALIA BANK LIMITED F8SB4JFBSYQFRQEH3Z21 N/A 750000.00000000 PA 644229.74000000 0.122273910571 Long DBT NUSS AU N 2 2024-03-11 Fixed 5.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 204.96000000 0.000038901123 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 15708.32000000 USD 20000.00000000 CAD 2021-04-07 204.96000000 N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AA4 325000.00000000 PA 409733.38000000 0.077766826884 Long DBT NUSS US N 2 2028-03-15 Fixed 1.55000000 N N N N N N Volkswagen Leasing Gesellschaft mit beschraenkter Haftung 5299004GLEUX88BSNB74 N/A 520000.00000000 PA 629935.52000000 0.119560887453 Long DBT NUSS DE N 2 2024-04-04 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18.67000000 0.000003543540 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 GBP 20713.89000000 USD 2021-04-07 18.67000000 N N N Japan 353800WZS8AXZXFUC241 N/A 50000000.00000000 PA 498126.70000000 0.094543756345 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 327.92000000 0.000062238760 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 GBP 21023.14000000 USD 2021-04-07 327.92000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 902000.00000000 PA 1781142.73000000 0.338058418232 Long DBT NUSS GB N 2 2045-01-22 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 383.59000000 0.000072804849 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1389573.07000000 CNY 212058.40000000 USD 2021-04-22 383.59000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 170000.00000000 PA 207028.57000000 0.039293735265 Long DBT NUSS EG Y 2 2025-04-11 Fixed 4.75000000 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 9380000.00000000 PA 1365800.78000000 0.259227092546 Long DBT NUSS CN N 2 2030-05-21 Fixed 2.68000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 116.25000000 0.000022064088 N/A DFE MX N 2 GOLDMAN, SACHS & CO. N/A 10874.87000000 USD 225000.00000000 MXN 2021-04-07 116.25000000 N N N Simon International Finance SCA 549300KMCOJGU910PF77 N/A 134000.00000000 PA 164941.98000000 0.031305758892 Long DBT NUSS US N 2 2025-05-13 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4779.41000000 -0.00090712538 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2390000.00000000 TRY 283175.79000000 USD 2021-04-07 -4779.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -98.48000000 -0.00001869136 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 CAD 19793.12000000 USD 2021-04-07 -98.48000000 N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCC7 300000.00000000 PA 374450.55000000 0.071070194716 Long DBT NUSS US N 2 2029-06-12 Fixed 1.65000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 40300000.00000000 PA 425841.53000000 0.080824131398 Long DBT NUSS JP N 2 2033-03-20 Fixed 1.60000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 99000.00000000 PA 188231.83000000 0.035726140100 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 22203.72000000 0.004214235241 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2035348330.95000000 COP 576199.08000000 USD 2021-05-20 22203.72000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 51000.00000000 PA 109738.87000000 0.020828285227 Long DBT NUSS GB N 2 2038-12-07 Fixed 4.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 4022.34000000 0.000763434549 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 1129799.09000000 USD 1425000.00000000 CAD 2021-04-07 4022.34000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -59.13000000 -0.00001122279 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 21068.10000000 USD 30000.00000000 NZD 2021-04-07 -59.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 770.32000000 0.000146205666 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 EUR 24278.30000000 USD 2021-04-07 770.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10760.07000000 0.002042246352 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 355000.00000000 EUR 428026.70000000 USD 2021-04-07 10760.07000000 N N N Federal National Mortgage Association N/A 30711XDA9 61741.16510000 PA USD 64235.00000000 0.012191713852 Long DBT USGA US N 2 2029-01-25 Floating 4.35863160 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 3567200000.00000000 PA 1020586.86000000 0.193705969628 Long DBT NUSS CO N 2 2030-09-18 Fixed 7.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -459.01000000 -0.00008711946 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 19500.08000000 USD 25000.00000000 AUD 2021-04-07 -459.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19.52000000 0.000003704868 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 14000.00000000 AUD 10682.52000000 USD 2021-04-07 19.52000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -272.68000000 -0.00005175428 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 15658.62000000 USD 1700000.00000000 JPY 2021-04-07 -272.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7175.10000000 0.001361824022 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 63039579.00000000 JPY 578044.00000000 USD 2021-05-20 7175.10000000 N N N EURO N/A N/A 1.00000000 NC -280.05000000 -0.00005315310 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14384.84000000 USD 12000.00000000 EUR 2021-04-07 -280.05000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -732.16000000 -0.00013896295 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 18239.63000000 USD 25000.00000000 NZD 2021-04-07 -732.16000000 N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693476BN2 150000.00000000 PA USD 153835.22000000 0.029197711259 Long DBT CORP US N 2 2022-03-08 Fixed 3.30000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 74300000.00000000 PA 678617.87000000 0.128800729920 Long DBT NUSS JP N 2 2026-06-20 Fixed 0.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -95.71000000 -0.00001816562 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 670000.00000000 SEK 76778.34000000 USD 2021-04-07 -95.71000000 N N N SNCF RESEAU SA 969500VZN4KDEZ14C105 N/A 205000.00000000 PA 292578.67000000 0.055531025516 Long DBT NUSS FR N 2 2021-12-01 Fixed 5.50000000 N N N N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 N/A 130000.00000000 PA 157755.84000000 0.029941839493 Long DBT NUSS GB N 2 2027-11-08 Fixed 0.83100000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 279000.00000000 PA 613400.21000000 0.116422508563 Long DBT NUSS GB N 2 2042-12-07 Fixed 4.50000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 32.25000000 0.000006121005 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15200.60000000 USD 20000.00000000 AUD 2021-04-07 32.25000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 2308000.00000000 PA 1869435.31000000 0.354816227381 Long DBT NUSS AU N 2 2047-03-21 Fixed 3.00000000 N N N N N N Q-Park Holding I B.V. 2549003839B7HE3NDP48 N/A 122000.00000000 PA 136692.77000000 0.025944098039 Long DBT NUSS NL Y 2 2027-03-01 Fixed 2.00000000 N N N N N N Canada Housing Trust No. 1 549300M44WH89JG50067 13509PFY4 2465000.00000000 PA 1996986.35000000 0.379025237754 Long DBT NUSS CA Y 2 2022-06-15 Fixed 1.75000000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 550000.00000000 PA 845740.14000000 0.160520304829 Long DBT NUSS NL Y 2 2033-01-15 Fixed 2.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 571.46000000 0.000108462314 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 AUD 19612.53000000 USD 2021-04-07 571.46000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2842.60000000 0.000539521534 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 7600000.00000000 JPY 71626.78000000 USD 2021-04-07 2842.60000000 N N N EURO N/A N/A 1.00000000 NC -306.60000000 -0.00005819225 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 15586.79000000 USD 13000.00000000 EUR 2021-04-07 -306.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7806.16000000 0.001481598334 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 23417000.00000000 JPY 219742.89000000 USD 2021-04-07 7806.16000000 N N N DANISH KRONE N/A N/A 1.00000000 NC 228.29000000 0.000043329125 N/A DFE DK N 2 BARCLAYS CAPITAL INC. N/A 1242335.04000000 USD 7862000.00000000 DKK 2021-04-07 228.29000000 N N N Province de Quebec 549300WN65YFEQH74Y36 N/A 568000.00000000 PA 482804.10000000 0.091635548130 Long DBT NUSS CA N 2 2026-05-20 Fixed 3.70000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -29.28000000 -0.00000555730 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 15969.83000000 USD 15000.00000000 CHF 2021-04-07 -29.28000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -1097.48000000 -0.00020830018 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 2360298.50000000 USD 2220000.00000000 CHF 2021-04-07 -1097.48000000 N N N GILEAD SCIENCES, INC. 549300WTZWR07K8MNV44 375558BW2 725000.00000000 PA USD 725791.90000000 0.137754295345 Long DBT CORP US N 2 2023-09-29 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12726.42000000 0.002415456853 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 37900064970.00000000 IDR 2614338.48000000 USD 2021-04-22 12726.42000000 N N N CZECH REPUBLIC KORUNA N/A N/A 1.00000000 NC 1390.69000000 0.000263951031 N/A DFE CZ N 2 MORGAN STANLEY & CO, INC N/A 1123910.11000000 USD 25007000.00000000 CZK 2021-04-07 1390.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 301.28000000 0.000057182525 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1900000.00000000 JPY 17497.33000000 USD 2021-04-07 301.28000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -90.52000000 -0.00001718057 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16465.66000000 USD 2021-04-07 -90.52000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -529.99000000 -0.00010059136 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 15915.93000000 USD 1700000.00000000 JPY 2021-04-07 -529.99000000 N N N KfW 549300GDPG70E3MBBU98 500769CG7 160000000.00000000 PA 2012114.43000000 0.381896526343 Long DBT NUSS DE N 2 2037-06-20 Fixed 2.60000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -94.77000000 -0.00001798721 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 13670.60000000 USD 1500000.00000000 JPY 2021-04-07 -94.77000000 N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 355000.00000000 PA USD 361576.11000000 0.068626643872 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746TD3 132000.00000000 PA USD 133306.80000000 0.025301445632 Long DBT CORP US N 2 2170-03-15 Fixed 3.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 253510.45000000 0.048115931580 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2083088051.00000000 JPY 19111127.48000000 USD 2021-04-21 253510.45000000 N N N Japan 353800WZS8AXZXFUC241 N/A 74600000.00000000 PA 629036.65000000 0.119390283174 Long DBT NUSS JP N 2 2046-06-20 Fixed 0.30000000 N N N N N N LA BANQUE TORONTO-DOMINION PT3QB789TSUIDF371261 N/A 490000.00000000 PA 582845.74000000 0.110623312561 Long DBT NUSS CA N 2 2024-02-09 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 276.43000000 0.000052466030 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 GBP 20971.65000000 USD 2021-04-07 276.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -166.00000000 -0.00003150656 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 225000.00000000 MXN 10825.12000000 USD 2021-04-07 -166.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1359.94000000 0.000258114724 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 370000.00000000 SEK 43812.77000000 USD 2021-04-07 1359.94000000 N N N Province of Alberta LQPXMHHNJKIPJYE53543 N/A 650000.00000000 PA 901283.11000000 0.171062283451 Long DBT NUSS CA N 2 2021-11-15 Fixed 1.00000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 63.50000000 0.000012052211 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 14822.07000000 USD 20000.00000000 SGD 2021-04-07 63.50000000 N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SAY9 330000.00000000 PA 418444.73000000 0.079420229024 Long DBT NUSS US N 2 2027-06-15 Fixed 2.20000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1973.06000000 -0.00037448404 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 345000.00000000 CAD 272531.08000000 USD 2021-04-07 -1973.06000000 N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 N/A 125000.00000000 PA 148752.72000000 0.028233059812 Long DBT NUSS US N 2 2026-02-26 Fixed 0.85000000 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 92928QAH1 285000.00000000 PA USD 283146.68000000 0.053740846904 Long DBT CORP FR Y 2 2027-01-15 Fixed 2.87500000 N N N N N N TENCENT HOLDINGS LIMITED 254900N4SLUMW4XUYY11 88032XAU8 285000.00000000 PA USD 275049.15000000 0.052203946948 Long DBT NUSS CN N 2 2030-06-03 Fixed 2.39000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -116037.89000000 -0.02202383048 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 14790757.84000000 CAD 11653515.05000000 USD 2021-04-22 -116037.89000000 N N N Takeda Pharmaceutical Company Limited 549300ZLMVP4X0OGR454 874060BA3 125000.00000000 PA 150686.08000000 0.028600008857 Long DBT NUSS JP N 2 2027-07-09 Fixed 0.75000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -484.98000000 -0.00009204853 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16425.53000000 USD 15000.00000000 CHF 2021-04-07 -484.98000000 N N N EURO N/A N/A 1.00000000 NC -13093.40000000 -0.00248510914 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 365713.08000000 USD 300000.00000000 EUR 2021-04-07 -13093.40000000 N N N United States of America 254900HROIFWPRGM1V77 912828ZF0 94000.00000000 PA USD 93361.09000000 0.017719805312 Long SN UST US N 2 2025-03-31 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 650.99000000 0.000123556998 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 CHF 16591.54000000 USD 2021-04-07 650.99000000 N N N Canada N/A N/A 17.00000000 NC 1876986.12000000 0.356249360640 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A Long Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Jun 2021 2021-06-24 1898446.23000000 CAD -21460.11000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -181.96000000 -0.00003453575 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 17689.43000000 USD 25000.00000000 NZD 2021-04-07 -181.96000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 3010000.00000000 PA 4214817.29000000 0.799966472196 Long DBT NUSS GB N 2 2023-07-22 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 114.32000000 0.000021697777 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16670.50000000 USD 2021-04-07 114.32000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -203.10000000 -0.00003854809 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 20898.32000000 USD 15000.00000000 GBP 2021-04-07 -203.10000000 N N N United States of America N/A N/A 25.00000000 NC USD 3864843.75000000 0.733541980008 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US Long Bond (CBT) Jun 2021 2021-06-24 3911786.75000000 USD -46943.00000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -19105.35000000 -0.00362616891 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 1431899.14000000 USD 1024000.00000000 GBP 2021-04-07 -19105.35000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -130.54000000 -0.00002477631 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 17326.59000000 USD 1900000.00000000 JPY 2021-04-07 -130.54000000 N N N SNCF RESEAU SA 969500VZN4KDEZ14C105 N/A 300000.00000000 PA 379777.40000000 0.072081223453 Long DBT NUSS FR N 2 2027-05-19 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 212.86000000 0.000040400532 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16769.04000000 USD 2021-04-07 212.86000000 N N N MERCADOLIBRE, INC. 549300DKPDN9M5S8GB14 58733RAE2 200000.00000000 PA USD 198540.00000000 0.037682616460 Long DBT CORP AR N 2 2026-01-14 Fixed 2.37500000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1100600000.00000000 PA 323625.37000000 0.061423646089 Long DBT NUSS CO N 2 2026-08-26 Fixed 7.50000000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ABV6 138000.00000000 PA USD 139421.40000000 0.026461988226 Long DBT CORP US N 2 2029-04-15 Fixed 3.37500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -215.34000000 -0.00004087123 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 19256.41000000 USD 25000.00000000 AUD 2021-04-07 -215.34000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 19502000.00000000 PA 1015556.61000000 0.192751235159 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 572300000.00000000 PA 5412559.62000000 1.027296304169 Long DBT NUSS JP N 2 2047-09-20 Fixed 0.80000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 220.42000000 0.000041835410 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 19671.18000000 USD 25000.00000000 CAD 2021-04-07 220.42000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -354.94000000 -0.00006736711 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16295.49000000 USD 15000.00000000 CHF 2021-04-07 -354.94000000 N N N Bundesrepublik Deutschland N/A N/A 68.00000000 NC 13688711.29000000 2.598098405252 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Germany Govt. Bond Futures Euro-Bund Future Jun 2021 2021-06-11 13966210.60000000 EUR -277499.31000000 N N N ELIS SA 969500UX71LCE8MAY492 N/A 100000.00000000 PA 115449.26000000 0.021912109324 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 -115.68000000 -0.00002195590 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15797.60000000 USD 2021-04-07 -115.68000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -489.63000000 -0.00009293109 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16430.18000000 USD 15000.00000000 CHF 2021-04-07 -489.63000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 277000.00000000 PA 426817.98000000 0.081009460253 Long DBT NUSS FR Y 2 2066-05-25 Fixed 1.75000000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 7336000.00000000 PA 246264.79000000 0.046740715368 Long DBT NUSS TH N 2 2026-12-17 Fixed 2.12500000 N N N N N N FCA Bank SpA (Dublin Branch) N/A N/A 700000.00000000 PA 829278.49000000 0.157395906505 Long DBT NUSS IT N 2 2021-11-15 Fixed 1.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -20.84000000 -0.00000395540 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 13596.67000000 USD 1500000.00000000 JPY 2021-04-07 -20.84000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 17138.32000000 0.003252829350 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 8093212093.00000000 IDR 573263.39000000 USD 2021-04-15 17138.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 344.91000000 0.000065463439 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 45000.00000000 GBP 62430.57000000 USD 2021-04-07 344.91000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 345000.00000000 PA 491287.04000000 0.093245598369 Long DBT NUSS US N 2 2023-12-20 Fixed 2.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -49.21000000 -0.00000933998 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 10000.00000000 GBP 13747.60000000 USD 2021-04-07 -49.21000000 N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 N/A 160000.00000000 PA 210233.32000000 0.039901992368 Long DBT NUSS GB N 2 2049-08-09 Fixed 2.75000000 N N N N N N EURO N/A N/A 1.00000000 NC -242.79000000 -0.00004608120 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16698.38000000 USD 14000.00000000 EUR 2021-04-07 -242.79000000 N N N Ceska republika 3157007EFDLQABN47912 N/A 7470000.00000000 PA 355447.79000000 0.067463497241 Long DBT NUSS CZ N 2 2022-09-12 Fixed 4.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11.55000000 0.000002192173 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 10000.00000000 GBP 13808.36000000 USD 2021-04-07 11.55000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 8114000.00000000 PA 445009.90000000 0.084462261422 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244AY5 350000.00000000 PA USD 353579.91000000 0.067108976209 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 -29.01000000 -0.00000550605 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 130000.00000000 NOK 15200.70000000 USD 2021-04-07 -29.01000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 4630000.00000000 PA 5541198.80000000 1.051711842003 Long DBT NUSS IT N 2 2022-04-15 Fixed 1.35000000 N N N N N N LEVI STRAUSS & CO. MB0UERO0RDFKU8258G77 52736RBJ0 47000.00000000 PA USD 45355.00000000 0.008608316055 Long DBT CORP US Y 2 2031-03-01 Fixed 3.50000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087F82 1375000.00000000 PA 1087561.16000000 0.206417598819 Long DBT NUSS CA N 2 2027-06-01 Fixed 1.00000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 45866FAM6 535000.00000000 PA USD 536702.91000000 0.101865467466 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 -3813.63000000 -0.00072382168 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 9646000.00000000 NOK 1126490.81000000 USD 2021-05-06 -3813.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1931589.67000000 0.366613038649 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 5935231000.00000000 JPY 55648694.60000000 USD 2021-04-07 1931589.67000000 N N N THE INTERPUBLIC GROUP OF COMPANIES, INC. 5493008IUOJ5VWTRC333 460690BT6 101000.00000000 PA USD 98572.61000000 0.018708944576 Long DBT CORP US N 2 2031-03-01 Fixed 2.40000000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1690100000.00000000 PA 449642.79000000 0.085341577514 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 41.74000000 0.000007922194 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 NZD 14047.72000000 USD 2021-04-07 41.74000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -59.59000000 -0.00001131009 N/A DFE SE N 2 JP MORGAN N/A 20712.32000000 USD 180000.00000000 SEK 2021-04-07 -59.59000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 1456000.00000000 PA 1750417.11000000 0.332226738198 Long DBT NUSS FR N 2 2025-03-25 Fixed 0.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -138.27000000 -0.00002624345 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20954.54000000 USD 2300000.00000000 JPY 2021-04-07 -138.27000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 362.63000000 0.000068826670 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 17000.00000000 EUR 20344.41000000 USD 2021-04-07 362.63000000 N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 N/A 160000.00000000 PA 210663.69000000 0.039983675996 Long DBT NUSS FR N 2 2026-10-01 Fixed 2.87500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -22976.29000000 -0.00436086795 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 636603.58000000 USD 67800000.00000000 JPY 2021-04-07 -22976.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 99.14000000 0.000018816634 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16012.42000000 USD 2021-04-07 99.14000000 N N N Japan 353800WZS8AXZXFUC241 N/A 212700000.00000000 PA 2469995.59000000 0.468801735050 Long DBT NUSS JP N 2 2040-09-20 Fixed 2.00000000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 114000.00000000 PA 94222.24000000 0.017883250387 Long DBT NUSS SG N 2 2042-04-01 Fixed 2.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 38371.18000000 0.007282796711 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1180000.00000000 EUR 1425341.94000000 USD 2021-04-07 38371.18000000 N N N BPCE SFH SA 969500T1UBNNTYVWOS04 N/A 200000.00000000 PA 239489.92000000 0.045454854444 Long DBT NUSS FR N 2 2021-09-13 Fixed 3.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 65.70000000 0.000012469768 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 23804.22000000 USD 30000.00000000 CAD 2021-04-07 65.70000000 N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAT8 261000.00000000 PA USD 284246.84000000 0.053949655746 Long DBT NUSS US Y 2 2025-08-11 Fixed 5.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 341.06000000 0.000064732714 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 111511.15000000 EUR 131542.23000000 USD 2021-05-27 341.06000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 360000.00000000 PA 449118.88000000 0.085242140123 Long DBT CORP US N 2 2026-10-27 Fixed 1.37500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 684.15000000 0.000129850720 N/A DFE SE N 2 JP MORGAN N/A 548793.21000000 USD 4789000.00000000 SEK 2021-04-07 684.15000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 635000.00000000 PA 821299.01000000 0.155881412275 Long DBT NUSS ES Y 2 2028-04-30 Fixed 1.40000000 N N N N N N United States of America N/A N/A -77.00000000 NC USD -16995945.31000000 -3.22580683237 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Short U.S. Treasury Futures US 2-YEAR NOTE (Globex) Jun 2021 2021-07-03 -17007411.07000000 USD 11465.76000000 N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 N/A 350000.00000000 PA 420383.38000000 0.079788182103 Long DBT NUSS IT N 2 2024-12-04 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4774.94000000 0.000906276985 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 288000.00000000 EUR 343289.84000000 USD 2021-04-07 4774.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -38.51000000 -0.00000730914 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 19877.26000000 USD 2021-04-07 -38.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3982.82000000 0.000755933708 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 332600.00000000 AUD 257302.02000000 USD 2021-04-14 3982.82000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -275.00000000 -0.00005219461 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 17471.05000000 USD 1900000.00000000 JPY 2021-04-07 -275.00000000 N N N KOREAN WON N/A N/A 1.00000000 NC -2781.55000000 -0.00052793432 N/A DFE KR N 2 CITIGROUP GLOBAL MARKETS N/A 295761.00000000 USD 330611274.00000000 KRW 2021-04-22 -2781.55000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -166.49000000 -0.00003159957 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16107.04000000 USD 15000.00000000 CHF 2021-04-07 -166.49000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 330000.00000000 PA 350315.45000000 0.066489386232 Long DBT NUSS NL Y 2 2052-01-15 Fixed 0.00000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 52000.00000000 PA 73578.13000000 0.013965026960 Long DBT NUSS GB N 2 2024-04-22 Fixed 1.00000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 98.07000000 0.000018613549 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 13960.12000000 USD 120000.00000000 NOK 2021-04-07 98.07000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 275000.00000000 PA 487821.45000000 0.092587834197 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 27737.80000000 0.005264595944 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 7208100.00000000 ILS 2190630.87000000 USD 2021-04-26 27737.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 239798.21000000 0.045513367459 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 140139000.00000000 CNY 21610881.08000000 USD 2021-04-07 239798.21000000 N N N WESTERN POWER DISTRIBUTION (WEST MIDLANDS) PLC 549300L22M2RCLXON143 N/A 230000.00000000 PA 347563.38000000 0.065967047165 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 239.52000000 0.000045460563 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 EUR 14344.31000000 USD 2021-04-07 239.52000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -329.45000000 -0.00006252915 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15562.30000000 USD 20000.00000000 AUD 2021-04-07 -329.45000000 N N N Japan 353800WZS8AXZXFUC241 N/A 38700000.00000000 PA 472367.65000000 0.089654724404 Long DBT NUSS JP N 2 2053-03-20 Fixed 1.90000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -169.62000000 -0.00003219364 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 19485.16000000 USD 14000.00000000 GBP 2021-04-07 -169.62000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -460.65000000 -0.00008743073 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 14036.48000000 USD 1500000.00000000 JPY 2021-04-07 -460.65000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -322.20000000 -0.00006115311 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16262.75000000 USD 15000.00000000 CHF 2021-04-07 -322.20000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 38190300.00000000 PA 2132426.30000000 0.404731552297 Long DBT NUSS MX N 2 2024-12-05 Floating 10.00000080 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 187.42000000 0.000035572055 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14245.61000000 USD 2021-04-07 187.42000000 N N N BRK: J.P. MORGAN CHASE N/A N/A 1230000.00000000 NC 817.26000000 0.000155114813 N/A DIR XX N 2 BRK: J.P. MORGAN CHASE N/A Y 2025-02-28 0.00000000 GBP 0.00000000 GBP -1230000.00000000 GBP 817.26000000 N N N LAS VEGAS SANDS CORP. 549300DUOO1KXOHPM605 517834AF4 245000.00000000 PA USD 252249.41000000 0.047876587938 Long DBT CORP US N 2 2029-08-08 Fixed 3.90000000 N N N N N N ROSS STORES, INC. 549300ENZFLPGRDFZQ60 778296AC7 265000.00000000 PA USD 301453.94000000 0.057215539445 Long DBT CORP US N 2 2027-04-15 Fixed 4.70000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -24.78000000 -0.00000470320 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 18631.74000000 USD 25000.00000000 SGD 2021-04-07 -24.78000000 N N N Ireland 549300KXBEJAOJ9OVF93 N/A 670000.00000000 PA 869162.88000000 0.164965908374 Long DBT NUSS IE N 2 2029-05-15 Fixed 1.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -27.12000000 -0.00000514733 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15886.16000000 USD 2021-04-07 -27.12000000 N N N Ireland 549300KXBEJAOJ9OVF93 N/A 351000.00000000 PA 509973.69000000 0.096792298605 Long DBT NUSS IE N 2 2025-03-13 Fixed 5.40000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 207550000.00000000 PA 2373789.74000000 0.450541998237 Long DBT NUSS JP N 2 2043-03-20 Fixed 1.80000000 N N N N N N TOTAL SE 529900S21EQ1BO4ESM68 N/A 115000.00000000 PA 137862.14000000 0.026166042842 Long DBT NUSS FR N 2 2169-04-04 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 648.55000000 0.000123093889 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 CHF 16589.10000000 USD 2021-04-07 648.55000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 200000.00000000 PA 240347.89000000 0.045617695960 Long DBT NUSS NL N 2 2169-12-29 Fixed 3.25000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -19.15000000 -0.00000363464 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 15959.70000000 USD 15000.00000000 CHF 2021-04-07 -19.15000000 N N N CNH INDUSTRIAL FINANCE EUROPE S.A. 5493007GVB1I2FDSS786 N/A 220000.00000000 PA 274144.54000000 0.052032253226 Long DBT NUSS GB N 2 2023-05-17 Fixed 2.87500000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 1350Z78Q0 3669000.00000000 PA 2918677.31000000 0.553960902813 Long DBT NUSS CA N 2 2021-06-10 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 113.07000000 0.000021460529 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 110000.00000000 NOK 12999.75000000 USD 2021-04-07 113.07000000 N N N INEOS QUATTRO FINANCE 2 PLC 213800V48W4Y5MT5Q131 N/A 235000.00000000 PA 276111.54000000 0.052405587096 Long DBT NUSS GB Y 2 2026-01-15 Fixed 2.50000000 N N N N N N MASSMUTUAL GLOBAL FUNDING II 549300K1IE3K7YU6VG29 57629WCU2 998000.00000000 PA USD 1006277.05000000 0.190989987549 Long DBT CORP US Y 2 2023-06-09 Fixed 0.85000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -341.30000000 -0.00006477826 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 14347.28000000 USD 20000.00000000 NZD 2021-04-07 -341.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 25311.04000000 0.004804000264 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2713000.00000000 SGD 2044538.23000000 USD 2021-04-07 25311.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 22609.04000000 0.004291164414 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1377000.00000000 EUR 1641133.39000000 USD 2021-04-07 22609.04000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 835000.00000000 PA 1056607.44000000 0.200542625721 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 -598.04000000 -0.00011350716 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1757401.78000000 CNY 266854.74000000 USD 2021-04-22 -598.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 173.05000000 0.000032844649 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 13000.00000000 GBP 18108.91000000 USD 2021-04-07 173.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8.01000000 0.000001520286 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15240.86000000 USD 2021-04-07 8.01000000 N N N S.P.C.M. SA 969500F7036FEDYPRV54 N/A 117000.00000000 PA 139638.20000000 0.026503136566 Long DBT NUSS FR Y 2 2026-02-01 Fixed 2.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -540.66000000 -0.00010261651 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20451.87000000 USD 2200000.00000000 JPY 2021-04-07 -540.66000000 N N N ADLER Group S.A. 391200OYYFJ3DWAMEC69 N/A 200000.00000000 PA 245100.78000000 0.046519787886 Long DBT NUSS DE N 2 2025-08-05 Fixed 3.25000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087F58 655000.00000000 PA 522535.58000000 0.099176527894 Long DBT NUSS CA N 2 2021-09-01 Fixed 0.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 23.22000000 0.000004407123 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15209.63000000 USD 20000.00000000 AUD 2021-04-07 23.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 487.25000000 0.000092479373 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 AUD 19528.32000000 USD 2021-04-07 487.25000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 218.22000000 0.000041417853 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 13839.97000000 USD 120000.00000000 NOK 2021-04-07 218.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 77.88000000 0.000014781515 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 150000.00000000 NOK 17650.62000000 USD 2021-04-07 77.88000000 N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 N/A 885000.00000000 PA 1112130.41000000 0.211080808371 Long DBT NUSS US N 2 2024-09-30 Fixed 2.12500000 N N N N N N IHO Verwaltungs GmbH 529900JL0HDVGZMUJF32 ZS8102544 175000.00000000 PA 209288.36000000 0.039722640271 Long DBT NUSS DE Y 2 2025-05-15 Fixed 3.62500000 N N Y N N N Deutsche Bank AG (New York Branch) N/A 251526CE7 415000.00000000 PA USD 415835.24000000 0.078924951443 Long DBT NUSS DE N 2 2026-11-24 Fixed 2.12900000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6030.41000000 0.001144563448 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 729000.00000000 GBP 1011818.17000000 USD 2021-04-07 6030.41000000 N N N IMPERIAL BRANDS FINANCE PLC 2138008L3B3MCG1DFS50 N/A 150000.00000000 PA 176535.82000000 0.033506253634 Long DBT NUSS GB N 2 2021-07-27 Fixed 0.50000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -467.65000000 -0.00008875932 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16408.20000000 USD 15000.00000000 CHF 2021-04-07 -467.65000000 N N N Japan N/A N/A 8.00000000 NC 1092850.67000000 0.207421540476 N/A DIR SG N 1 CITIGROUP GLOBAL MARKETS N/A Long Japan Govt. Bond Futures 10YR MINI JGB FUT Jun 2021 2021-06-14 1109046.20000000 JPY -16195.53000000 N N N MIZUHO FINANCIAL GROUP (CAYMAN) 3 LIMITED 549300AM6U7J7ZZI1G88 60688UAB2 450000.00000000 PA USD 492078.42000000 0.093395801195 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 38237.68000000 0.007257458596 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 3853900.00000000 AUD 2973495.81000000 USD 2021-04-14 38237.68000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 2246000000.00000000 PA 156391.18000000 0.029682828919 Long DBT NUSS ID N 2 2030-09-15 Fixed 7.00000000 N N N N N N CREDIT AGRICOLE HOME LOAN SFH SA 969500C9913Z7PKUGB44 N/A 700000.00000000 PA 839950.64000000 0.159421465764 Long DBT NUSS FR N 2 2024-02-23 Fixed 0.25000000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 345000.00000000 PA 441395.64000000 0.083776279890 Long DBT NUSS NL Y 2 2024-07-15 Fixed 2.00000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 209000.00000000 PA 265473.61000000 0.050386522746 Long DBT NUSS ES Y 2 2025-04-30 Fixed 1.60000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -89.73000000 -0.00001703062 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 20784.95000000 USD 15000.00000000 GBP 2021-04-07 -89.73000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1835000.00000000 PA 2236135.72000000 0.424415456282 Long DBT NUSS DE N 2 2030-08-15 Fixed 0.00000000 N N N N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC -1207.24000000 -0.00022913247 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 143641.48000000 USD 934000.00000000 CNY 2021-04-07 -1207.24000000 N N N NATIONAL GRID NORTH AMERICA INC. 5Q3U0WRKWZZGRMPYFT08 N/A 300000.00000000 PA 363702.18000000 0.069030169007 Long DBT NUSS US N 2 2024-07-12 Fixed 1.00000000 N N N N N N BNG BANK N.V. 529900GGYMNGRQTDOO93 N/A 1260000.00000000 PA 1503372.44000000 0.285338002688 Long DBT NUSS NL N 2 2023-02-22 Fixed 0.25000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -400.89000000 -0.00007608836 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 42418.83000000 USD 60000.00000000 NZD 2021-04-07 -400.89000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -483.65000000 -0.00009179609 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20394.86000000 USD 2200000.00000000 JPY 2021-04-07 -483.65000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 667.38000000 0.000126667797 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 NZD 14673.36000000 USD 2021-04-07 667.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 107.22000000 0.000020350207 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16020.50000000 USD 2021-04-07 107.22000000 N N N ALLEGHANY CORPORATION 549300DCJE6AYX159479 017175AE0 336000.00000000 PA USD 362046.53000000 0.068715928935 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 23882.47000000 0.004532859661 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 314649000.00000000 HUF 1044755.80000000 USD 2021-04-07 23882.47000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 569.83000000 0.000108152943 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1500000.00000000 JPY 14145.66000000 USD 2021-04-07 569.83000000 N N N UNEDIC 969500V3L9W19NIA5E82 N/A 700000.00000000 PA 924796.38000000 0.175525069464 Long DBT NUSS FR N 2 2033-05-25 Fixed 1.25000000 N N N N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FBD2 185000.00000000 PA USD 210270.95000000 0.039909134489 Long DBT CORP US N 2 2030-04-15 Fixed 5.00000000 N N N N N N SNCF RESEAU SA 969500VZN4KDEZ14C105 N/A 200000.00000000 PA 292876.54000000 0.055587560829 Long DBT NUSS FR N 2 2026-10-07 Fixed 4.25000000 N N N N N N ROMANIAN LEU N/A N/A 1.00000000 NC -519.70000000 -0.00009863833 N/A DFE RO N 2 J P MORGAN CHASE BANK N/A 373564.37000000 USD 1562000.00000000 RON 2021-04-07 -519.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 80188.09000000 0.015219588194 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 79079000.00000000 THB 2610729.61000000 USD 2021-04-07 80188.09000000 N N N Swedbank AB M312WZV08Y7LYUC71685 N/A 200000.00000000 PA USD 213750.00000000 0.040569453351 Long DBT NUSS SE N 2 2170-03-17 Fixed 5.62500000 N N N Y Y Swedbank AB SEK XXXX N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 162.23000000 0.000030791028 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1878000.00000000 CNY 286555.69000000 USD 2021-04-07 162.23000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 188000.00000000 PA 226654.84000000 0.043018774073 Long DBT NUSS ES Y 2 2030-04-30 Fixed 0.50000000 N N N N N N Slovenska Republika 097900BHFM0000074794 N/A 75000.00000000 PA 100770.88000000 0.019126173171 Long DBT NUSS SK N 2 2024-11-15 Fixed 3.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 92.10000000 0.000017480452 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16005.38000000 USD 2021-04-07 92.10000000 N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC -8419.80000000 -0.00159806635 N/A DFE CN N 2 ROYAL BANK OF SCOTLAND N/A 406518.20000000 USD 2615859.25000000 CNY 2021-04-22 -8419.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -12044.65000000 -0.00228605785 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2030693211.00000000 KRW 1786717.00000000 USD 2021-04-19 -12044.65000000 N N N HARLEY-DAVIDSON FINANCIAL SERVICES, INC. RLUFFFFW4GRYU77BTS24 N/A 335000.00000000 PA 400046.34000000 0.075928240136 Long DBT NUSS US N 2 2024-11-19 Fixed 0.90000000 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAQ4 22000.00000000 PA USD 23236.84000000 0.004410319983 Long DBT NUSS US N 2 2024-05-01 Fixed 4.12500000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 1818.30000000 0.000345110816 N/A DFE ZA N 2 BARCLAYS CAPITAL INC. N/A 143692.56000000 USD 2150000.00000000 ZAR 2021-04-07 1818.30000000 N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 124857AX1 180000.00000000 PA USD 194642.55000000 0.036942885859 Long DBT CORP US N 2 2028-06-01 Fixed 3.70000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -109622.63000000 -0.02080622303 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 53399695.46000000 USD 5888048000.00000000 JPY 2021-04-07 -109622.63000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -180.49000000 -0.00003425675 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 32061.58000000 USD 30000.00000000 CHF 2021-04-07 -180.49000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VBX1 170000.00000000 PA 301964.38000000 0.057312420249 Long DBT NUSS US N 2 2034-02-17 Fixed 4.75000000 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES, INC. RLUFFFFW4GRYU77BTS24 N/A 110000.00000000 PA 139188.11000000 0.026417710108 Long DBT NUSS US N 2 2023-05-19 Fixed 3.87500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 135000.00000000 PA 184060.76000000 0.034934476803 Long DBT NUSS ES Y 2 2035-07-30 Fixed 1.85000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -571.08000000 -0.00010839019 N/A DFE SE N 2 JP MORGAN N/A 14339.57000000 USD 120000.00000000 SEK 2021-04-07 -571.08000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -329.49000000 -0.00006253674 N/A DFE SE N 2 JP MORGAN N/A 17540.10000000 USD 150000.00000000 SEK 2021-04-07 -329.49000000 N N N Federal National Mortgage Association N/A 30711XAR5 135024.43590000 PA USD 136227.03000000 0.025855701234 Long DBT USGA US N 2 2024-11-25 Floating 5.10863040 N N N N N N New Zealand 549300237GPHG2AI7C34 N/A 437000.00000000 PA 262785.78000000 0.049876376342 Long DBT NUSS NZ N 2 2041-05-15 Fixed 1.75000000 N N N N N N SNCF RESEAU SA 969500VZN4KDEZ14C105 N/A 300000.00000000 PA 425275.43000000 0.080716686404 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 56.51000000 0.000010725519 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 19972.28000000 USD 2021-04-07 56.51000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 1140000.00000000 PA 1393888.32000000 0.264558068657 Long DBT NUSS ES Y 2 2040-10-31 Fixed 1.20000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 573.95000000 0.000108934913 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1800000.00000000 JPY 16864.94000000 USD 2021-04-07 573.95000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -135.12000000 -0.00002564558 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16075.67000000 USD 15000.00000000 CHF 2021-04-07 -135.12000000 N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 N/A 375000.00000000 PA 460521.24000000 0.087406292227 Long DBT NUSS FR N 2 2025-03-19 Fixed 1.25000000 N N N N N N BERKSHIRE HATHAWAY INC. 5493000C01ZX7D35SD85 N/A 170000.00000000 PA 177981.22000000 0.033780588548 Long DBT NUSS US N 2 2041-01-15 Fixed 0.50000000 N N N N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857LAR9 80000.00000000 PA USD 93127.45000000 0.017675460765 Long DBT CORP US N 2 2030-04-13 Fixed 4.62500000 N N N N N N CARNIVAL PLC 4DR1VPDQMHD3N3QW8W95 N/A 316000.00000000 PA 284650.69000000 0.054026305915 Long DBT NUSS US N 2 2029-10-28 Fixed 1.00000000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 246000.00000000 PA 358827.22000000 0.068104908365 Long DBT NUSS BE Y 2 2050-06-22 Fixed 1.70000000 N N N N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 50000000.00000000 PA 496025.23000000 0.094144900255 Long DBT NUSS XX N 2 2026-01-26 Fixed 1.90000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -351.31000000 -0.00006667815 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15584.16000000 USD 20000.00000000 AUD 2021-04-07 -351.31000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 EK7974596 3440000.00000000 PA 873916.80000000 0.165868195792 Long DBT NUSS MY N 2 2025-09-15 Fixed 3.95500000 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324PDW9 175000.00000000 PA USD 174986.44000000 0.033212183460 Long DBT CORP US N 2 2026-01-15 Fixed 1.25000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 515000.00000000 PA 641278.96000000 0.121713856622 Long DBT NUSS AT Y 2 2051-03-20 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -133854.31000000 -0.02540536227 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 7810552.51000000 GBP 10642190.22000000 USD 2021-04-09 -133854.31000000 N N N Japan 353800WZS8AXZXFUC241 N/A 79100000.00000000 PA 703066.57000000 0.133441059249 Long DBT NUSS JP N 2 2050-09-20 Fixed 0.60000000 N N N N N N THAMES WATER UTILITIES FINANCE PLC 213800ESMPQ4RQ7G8351 N/A 155000.00000000 PA 292624.52000000 0.055539727783 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 183.19000000 0.000034769207 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1500000.00000000 JPY 13759.02000000 USD 2021-04-07 183.19000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 P6S32JS68 164600000.00000000 PA 43790.68000000 0.008311410290 Long DBT NUSS CO N 2 2034-10-18 Fixed 7.25000000 N N N N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 130000.00000000 PA 189420.93000000 0.035951829630 Long DBT NUSS FI Y 2 2047-04-15 Fixed 1.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 58.03000000 0.000011014013 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 150000.00000000 NOK 17630.77000000 USD 2021-04-07 58.03000000 N N N People's Republic of China 300300CHN201808MOF68 N/A 12140000.00000000 PA 1864554.99000000 0.353889949418 Long DBT NUSS CN N 2 2030-11-19 Fixed 3.27000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JQK8 23000.00000000 PA USD 23034.38000000 0.004371893356 Long DBT CORP US N 2 2169-07-15 Floating 3.85125120 N N N N N N Rzeczpospolita Polska 259400R9L8QEP0TPXS31 N/A 1493000.00000000 PA 418728.61000000 0.079474109054 Long DBT NUSS PL N 2 2029-10-25 Fixed 2.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 225.55000000 0.000042809076 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1800000.00000000 JPY 16516.54000000 USD 2021-04-07 225.55000000 N N N ALIBABA GROUP HOLDING LIMITED 5493001NTNQJDH60PM02 01609WAT9 260000.00000000 PA USD 278776.22000000 0.052911339662 Long DBT NUSS CN N 2 2027-12-06 Fixed 3.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5.43000000 -0.00000103060 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 30000.00000000 SGD 22322.92000000 USD 2021-04-07 -5.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 102.22000000 0.000019401214 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16658.40000000 USD 2021-04-07 102.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4751.10000000 0.000901752186 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2186403.91000000 PLN 559238.04000000 USD 2021-06-24 4751.10000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 200000.00000000 PA 166493.00000000 0.031600140336 Long DBT NUSS SG N 2 2046-03-01 Fixed 2.75000000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1013000.00000000 PA 789757.00000000 0.149894782552 Long DBT NUSS SG N 2 2023-07-01 Fixed 2.75000000 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAP6 4000.00000000 PA USD 4263.26000000 0.000809160831 Long DBT CORP US N 2 2023-04-01 Fixed 5.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -860.99000000 -0.00016341470 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 280754.32000000 USD 238000.00000000 EUR 2021-05-06 -860.99000000 N N N Sinopec Group Overseas Development (2018) Limited 549300C6OZZ8LTVR8209 G82016AP4 280000.00000000 PA USD 278040.29000000 0.052771661169 Long DBT NUSS CN N 2 2030-05-13 Fixed 2.70000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967ML2 215000.00000000 PA USD 215865.61000000 0.040970993193 Long DBT CORP US N 2 2031-01-29 Fixed 2.66600000 N N N N N N KfW 549300GDPG70E3MBBU98 N/A 510000.00000000 PA 631281.52000000 0.119816356385 Long DBT NUSS DE N 2 2027-09-15 Fixed 0.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 73.07000000 0.000013868584 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 13985.12000000 USD 120000.00000000 NOK 2021-04-07 73.07000000 N N N CHEPLAPHARM Arzneimittel GmbH 529900ONXKBELT7EW052 N/A 191000.00000000 PA 227399.66000000 0.043160139876 Long DBT NUSS DE Y 2 2027-02-11 Fixed 3.50000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -3519.31000000 -0.00066796015 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 403440.24000000 USD 375974.43000000 CHF 2021-05-06 -3519.31000000 N N N EURO N/A N/A 1.00000000 NC -238.31000000 -0.00004523090 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 20220.09000000 USD 17000.00000000 EUR 2021-04-07 -238.31000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -29.45000000 -0.00000558956 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 19921.05000000 USD 25000.00000000 CAD 2021-04-07 -29.45000000 N N N DIGITAL EURO FINCO, LLC 635400OUEAPTXSW3SC91 N/A 510000.00000000 PA 616969.03000000 0.117099865646 Long DBT NUSS US N 2 2028-04-09 Fixed 1.12500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 850000.00000000 PA 999600.40000000 0.189722768645 Long DBT NUSS US N 2 2021-05-21 Floating 0.14100120 N N N N N N N/A N/A N/A -17.00000000 NC -1515482.53000000 -0.28763648096 N/A DIR AU N 1 CITIGROUP GLOBAL MARKETS N/A Short Australia Govt. Bond Futures AUST 3YR BOND FUT (consolidated) Jun 2021 2021-06-18 -1534045.60000000 AUD 18563.07000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 346000.00000000 PA 557690.11000000 0.105848808899 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 214.30000000 0.000040673842 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1500000.00000000 JPY 13790.13000000 USD 2021-04-07 214.30000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -152.43000000 -0.00002893100 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15385.28000000 USD 20000.00000000 AUD 2021-04-07 -152.43000000 N N N Canada Housing Trust No. 1 549300M44WH89JG50067 13509PFD0 2235000.00000000 PA 1865389.66000000 0.354048368626 Long DBT NUSS CA Y 2 2025-12-15 Fixed 2.25000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 3714000.00000000 PA 190705.43000000 0.036195625947 Long DBT NUSS MX N 2 2034-11-23 Fixed 7.75000000 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 55350000.00000000 PA 8497728.70000000 1.612857113866 Long DBT NUSS CN N 2 2027-12-03 Fixed 3.28000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 239966.83000000 0.045545371301 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 14317100.00000000 NZD 10265217.53000000 USD 2021-04-14 239966.83000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -3992.11000000 -0.00075769693 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A 130499.63000000 USD 1050000.00000000 TRY 2021-04-07 -3992.11000000 N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 05565QDU9 470000.00000000 PA USD 497166.00000000 0.094361416818 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 39.58000000 0.000007512229 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16595.76000000 USD 2021-04-07 39.58000000 N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAS0 4000.00000000 PA USD 4233.22000000 0.000803459281 Long DBT NUSS US N 2 2026-06-15 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2035.26000000 -0.00038628952 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 6040000.00000000 MXN 293015.23000000 USD 2021-04-07 -2035.26000000 N N N Japan 353800WZS8AXZXFUC241 N/A 1207550000.00000000 PA 12914556.01000000 2.451164807503 Long DBT NUSS JP N 2 2033-06-20 Fixed 1.70000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 119300000.00000000 PA 1442029.30000000 0.273695159850 Long DBT NUSS JP N 2 2038-09-20 Fixed 2.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7.06000000 0.000001339978 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16563.24000000 USD 2021-04-07 7.06000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 525.23000000 0.000099687925 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1500000.00000000 JPY 14101.06000000 USD 2021-04-07 525.23000000 N N N Takeda Pharmaceutical Company Limited 549300ZLMVP4X0OGR454 N/A 430000.00000000 PA 516075.81000000 0.097950472513 Long DBT NUSS JP Y 2 2022-11-21 Fixed 1.12500000 N N N N N N ODEBRECHT HOLDCO FINANCE LIMITED N/A G6714UAA8 310752.00000000 PA USD 8001.86000000 0.001518741922 Long DBT NUSS KY N 2 2058-09-10 Fixed 0.00000000 N N N N N N EMERSON ELECTRIC CO. FGLT0EWZSUIRRITFOA30 291011BK9 350000.00000000 PA 418091.32000000 0.079353152296 Long DBT CORP US N 2 2024-05-22 Fixed 0.37500000 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAR2 50000.00000000 PA USD 53248.49000000 0.010106489502 Long DBT CORP US N 2 2023-09-25 Fixed 4.40000000 N N N N N N NORTHUMBRIAN WATER FINANCE PLC 213800JTFA6F3S7XX781 N/A 190000.00000000 PA 291155.12000000 0.055260837702 Long DBT NUSS GB N 2 2023-02-06 Fixed 6.87500000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1730000.00000000 PA 2012556.61000000 0.381980451493 Long DBT NUSS IT Y 2 2031-08-01 Fixed 0.60000000 N N N N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 665210000.00000000 PA 576633.21000000 0.109444182989 Long DBT NUSS KR N 2 2025-09-10 Fixed 1.12500000 N N N N N N DH Europe Finance II S.a r.l. 222100KDGL314CKTZ511 N/A 105000.00000000 PA 130566.02000000 0.024781249392 Long DBT NUSS US N 2 2049-09-18 Fixed 1.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15577.65000000 0.002956616350 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 459000.00000000 EUR 555085.77000000 USD 2021-04-07 15577.65000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5735.19000000 -0.00108853110 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2963000.00000000 SGD 2199652.42000000 USD 2021-05-06 -5735.19000000 N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC -15797.29000000 -0.00299830371 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 1423669.74000000 USD 9232000.00000000 CNY 2021-04-07 -15797.29000000 N N N EURO N/A N/A 1.00000000 NC -23.53000000 -0.00000446596 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14128.32000000 USD 12000.00000000 EUR 2021-04-07 -23.53000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 52000.00000000 PA 72778.81000000 0.013813317133 Long DBT NUSS GB N 2 2025-06-07 Fixed 0.62500000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 370000.00000000 PA 469300.11000000 0.089072509569 Long DBT NUSS BE Y 2 2026-06-22 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -50.05000000 -0.00000949942 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 10000.00000000 GBP 13746.76000000 USD 2021-04-07 -50.05000000 N N N CK Hutchison Group Telecom Finance S.A. 254900OM17Q9YNDIUG82 N/A 330000.00000000 PA 405745.83000000 0.077009995428 Long DBT NUSS GB N 2 2031-10-17 Fixed 1.50000000 N N N N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 3600000.00000000 PA 433521.59000000 0.082281796128 Long DBT NUSS NO Y 2 2029-09-06 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 306.97000000 0.000058262479 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1900000.00000000 JPY 17503.02000000 USD 2021-04-07 306.97000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -3731.99000000 -0.00070832652 N/A DFE SE N 2 JP MORGAN N/A 140269.48000000 USD 1190000.00000000 SEK 2021-04-07 -3731.99000000 N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693475AK1 27000.00000000 PA USD 27386.10000000 0.005197843772 Long DBT CORP US N 2 2170-02-01 Fixed 6.75000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -732.73000000 -0.00013907113 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 18240.20000000 USD 25000.00000000 NZD 2021-04-07 -732.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 570.10000000 0.000108204188 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 140000.00000000 SEK 16633.33000000 USD 2021-04-07 570.10000000 N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBM0 800000.00000000 PA USD 823123.48000000 0.156227694149 Long DBT CORP US N 2 2022-11-21 Fixed 2.30000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -94.08000000 -0.00001785625 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 13964.11000000 USD 2021-04-07 -94.08000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 843000.00000000 PA 712850.46000000 0.135298027993 Long DBT NUSS AU N 2 2025-04-21 Fixed 3.25000000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 312500000.00000000 PA 89137.89000000 0.016918247813 Long DBT NUSS CO N 2 2022-05-04 Fixed 7.00000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1567.41000000 -0.00029749224 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 143674.60000000 USD 103000.00000000 GBP 2021-04-07 -1567.41000000 N N N NTT FINANCE CORPORATION 3538007PR116187GD960 62954WAC9 345000.00000000 PA USD 340285.40000000 0.064585696662 Long DBT NUSS JP Y 2 2026-04-03 Fixed 1.16200000 N N N N N N SNCF RESEAU SA 969500VZN4KDEZ14C105 N/A 300000.00000000 PA 450929.72000000 0.085585835042 Long DBT NUSS FR N 2 2047-12-20 Fixed 2.25000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -477.92000000 -0.00009070855 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16418.47000000 USD 15000.00000000 CHF 2021-04-07 -477.92000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -66393.43000000 -0.01260138087 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 47581000.00000000 EUR 55889927.29000000 USD 2021-05-06 -66393.43000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -414.65000000 -0.00007869999 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 72024.42000000 USD 90000.00000000 CAD 2021-04-07 -414.65000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -439.27000000 -0.00008337283 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 17946.74000000 USD 25000.00000000 NZD 2021-04-07 -439.27000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 133.95000000 0.000025423524 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 20875.02000000 USD 30000.00000000 NZD 2021-04-07 133.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -17.47000000 -0.00000331578 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 CAD 19874.13000000 USD 2021-04-07 -17.47000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -399.28000000 -0.00007578278 N/A DFE SE N 2 JP MORGAN N/A 15315.14000000 USD 130000.00000000 SEK 2021-04-07 -399.28000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 325000.00000000 PA 385022.92000000 0.073076815870 Long DBT NUSS DE N 2 2035-05-15 Fixed 0.00000000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ABU8 131000.00000000 PA USD 133292.50000000 0.025298731512 Long DBT CORP US N 2 2026-04-15 Fixed 2.62500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -138.41000000 -0.00002627002 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 18074.27000000 USD 13000.00000000 GBP 2021-04-07 -138.41000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -223.56000000 -0.00004243137 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 14229.54000000 USD 20000.00000000 NZD 2021-04-07 -223.56000000 N N N BEAR STEARNS ARM TRUST N/A 07384MW81 9229.99290000 PA USD 8471.17000000 0.001607816309 Long ABS-MBS US N 2 2034-09-25 Floating 2.63628360 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 39450000.00000000 PA 6125492.68000000 1.162610009528 Long DBT NUSS CN N 2 2050-09-14 Fixed 3.81000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -315.42000000 -0.00005986627 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 19356.49000000 USD 25000.00000000 AUD 2021-04-07 -315.42000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 382000.00000000 PA 476704.21000000 0.090477797474 Long DBT NUSS NL Y 2 2040-01-15 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 331.30000000 0.000062880280 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2200000.00000000 JPY 20242.51000000 USD 2021-04-07 331.30000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 107.42000000 0.000020388166 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 13950.77000000 USD 120000.00000000 NOK 2021-04-07 107.42000000 N N N SKY LIMITED 2138003TS48MQKF4BZ29 N/A 275000.00000000 PA 357398.19000000 0.067833680454 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 -31.64000000 -0.00000600522 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14026.55000000 USD 2021-04-07 -31.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 365249.38000000 0.069323825420 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20253445.26000000 EUR 24174066.69000000 USD 2021-04-14 365249.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 62.76000000 0.000011911760 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 101000.00000000 CNY 15465.18000000 USD 2021-04-07 62.76000000 N N N US LONG BOND(CBT) JUN21 N/A N/A -6.00000000 NC USD -927562.50000000 -0.17605007520 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Short N/A N/A 2021-06-24 -927145.64000000 USD -416.86000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 386000.00000000 PA 454979.61000000 0.086354498544 Long DBT NUSS IT Y 2 2021-05-01 Fixed 3.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6102.42000000 0.001158230846 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 3945380761.00000000 IDR 277209.26000000 USD 2021-04-15 6102.42000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -490.45000000 -0.00009308672 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 32371.54000000 USD 30000.00000000 CHF 2021-04-07 -490.45000000 N N N Japan 353800WZS8AXZXFUC241 N/A 87200000.00000000 PA 912064.65000000 0.173108604780 Long DBT NUSS JP N 2 2033-03-20 Fixed 1.50000000 N N N N N N BANQUE CANADIENNE IMPERIALE DE COMMERCE 2IGI19DL77OX0HC3ZE78 N/A 445000.00000000 PA 526349.46000000 0.099900397024 Long DBT NUSS CA N 2 2022-07-25 Fixed 0.00000000 N N N N N N BRK: BANK OF AMERICA N/A N/A 5657692.06000000 NC -22363.86000000 -0.00424462959 N/A DIR XX N 2 BRK: BANK OF AMERICA N/A Y 2023-01-02 0.00000000 BRL 0.00000000 BRL -5657692.06000000 BRL -22363.86000000 N N N SLM CORPORATION N/A 78442PGD2 165000.00000000 PA USD 173253.28000000 0.032883232098 Long DBT CORP US N 2 2025-10-29 Fixed 4.20000000 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 12970000.00000000 PA 1898566.61000000 0.360345307692 Long DBT NUSS CN N 2 2025-04-09 Fixed 1.99000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3036.04000000 0.000576236178 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 275000.00000000 AUD 212487.77000000 USD 2021-04-07 3036.04000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -581.89000000 -0.00011044191 N/A DFE SE N 2 JP MORGAN N/A 20087.25000000 USD 170000.00000000 SEK 2021-04-07 -581.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2.88000000 0.000000546620 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 GBP 20698.10000000 USD 2021-04-07 2.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 348.26000000 0.000066099264 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 40000.00000000 SGD 30119.39000000 USD 2021-04-07 348.26000000 N N N CREDIT AGRICOLE ASSURANCES SA 969500K2MUPSI57XK083 N/A 200000.00000000 PA 287445.82000000 0.054556817710 Long DBT NUSS FR N 2 2048-09-27 Fixed 4.75000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 194000.00000000 PA 274302.79000000 0.052062288856 Long DBT NUSS GB N 2 2047-07-22 Fixed 1.50000000 N N N N N N COMPAGNIE DE FINANCEMENT FONCIER S.A. DKGVVH5FKILG8R13CO13 N/A 387000.00000000 PA 669689.40000000 0.127106118705 Long DBT NUSS FR N 2 2027-01-26 Fixed 5.50000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 211000.00000000 PA 311922.90000000 0.059202533524 Long DBT NUSS IT Y 2 2030-03-01 Fixed 3.50000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 35900000.00000000 PA 327183.83000000 0.062099036858 Long DBT NUSS JP N 2 2029-03-20 Fixed 0.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 234.19000000 0.000044448936 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1500000.00000000 JPY 13810.02000000 USD 2021-04-07 234.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -32.07000000 -0.00000608684 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 19883.70000000 USD 2021-04-07 -32.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 666.79000000 0.000126555816 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 CHF 16607.34000000 USD 2021-04-07 666.79000000 N N N DNB BANK ASA 549300GKFG0RYRRQ1414 N/A 355000.00000000 PA USD 368312.50000000 0.069905201345 Long DBT NUSS NO N 2 2170-03-26 Fixed 6.50000000 N N N N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 735000.00000000 PA 782287.10000000 0.148477005899 Long DBT NUSS CH N 2 2021-04-28 Fixed 2.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -224.50000000 -0.00004260978 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14329.29000000 USD 12000.00000000 EUR 2021-04-07 -224.50000000 N N N AT&T INC. 549300Z40J86GGSTL398 00206RJU7 170000.00000000 PA 213268.73000000 0.040478108973 Long DBT NUSS US N 2 2028-05-19 Fixed 1.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2030.19000000 -0.00038532724 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 8356293.22000000 ZAR 563448.24000000 USD 2021-04-08 -2030.19000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 5033.99000000 0.000955444315 N/A DFE ZA N 2 BARCLAYS CAPITAL INC. N/A 143184.05000000 USD 2190000.00000000 ZAR 2021-04-07 5033.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 415.99000000 0.000078954324 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 459000.00000000 SGD 342045.69000000 USD 2021-04-14 415.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 187230.36000000 0.035536062484 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 9954019.67000000 EUR 11898875.85000000 USD 2021-05-27 187230.36000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 4593.21000000 0.000871784883 N/A DFE MX N 2 UBS SECURITIES LLC N/A 548238.15000000 USD 11327586.91000000 MXN 2021-04-16 4593.21000000 N N N Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 N/A 460000.00000000 PA 552664.98000000 0.104895046199 Long DBT NUSS SE N 2 2024-06-20 Fixed 0.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 35.14000000 0.000006669523 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15948.42000000 USD 2021-04-07 35.14000000 N N N SKYMILES IP LTD. N/A 830867AA5 124888.00000000 PA USD 132987.83000000 0.025240905569 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 -3573.25000000 -0.00067819789 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 212731.98000000 USD 177769.22000000 EUR 2021-05-27 -3573.25000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1341000.00000000 PA 1125318.18000000 0.213583828814 Long DBT NUSS SG N 2 2027-03-01 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6.13000000 0.000001163465 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15919.41000000 USD 2021-04-07 6.13000000 N N N EURO N/A N/A 1.00000000 NC -234.78000000 -0.00004456091 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 15514.97000000 USD 13000.00000000 EUR 2021-04-07 -234.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12649.07000000 0.002400775931 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 11337958.87000000 AUD 8648751.49000000 USD 2021-06-04 12649.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2172.78000000 -0.00041239062 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 4784000.00000000 CNY 727383.31000000 USD 2021-04-07 -2172.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -135.05000000 -0.00002563230 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 CAD 19756.55000000 USD 2021-04-07 -135.05000000 N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 N/A 295000.00000000 PA 351090.11000000 0.066636415624 Long DBT NUSS CH N 2 2022-04-14 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -58.39000000 -0.00001108234 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 35000.00000000 SGD 25991.35000000 USD 2021-04-07 -58.39000000 N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 156000.00000000 PA 188804.64000000 0.035834858643 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 8331.22000000 0.001581253993 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 4315761.29000000 BRL 773004.48000000 USD 2021-04-05 8331.22000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -292.18000000 -0.00005545535 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 19036.44000000 USD 160000.00000000 NOK 2021-04-07 -292.18000000 N N N Japan 353800WZS8AXZXFUC241 N/A 451400000.00000000 PA 4189972.42000000 0.795250950351 Long DBT NUSS JP N 2 2036-09-20 Fixed 0.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -2742.25000000 -0.00052047524 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 360403.53000000 USD 39500000.00000000 JPY 2021-05-06 -2742.25000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -70.58000000 -0.00001339598 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15303.43000000 USD 20000.00000000 AUD 2021-04-07 -70.58000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 68.04000000 0.000012913897 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 13990.15000000 USD 120000.00000000 NOK 2021-04-07 68.04000000 N N N SWAPTION PUT 584816 N/A N/A 2000000.00000000 NC 0.01000000 0.000000001897 N/A DO XX N 2 GOLDMAN, SACHS & CO. N/A Put Purchased N/A N/A 0.00000000 0.02750000 EUR 2021-04-21 XXXX -18442.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -132.16000000 -0.00002508378 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 19783.61000000 USD 2021-04-07 -132.16000000 N N N LEAR CORPORATION 549300UPNBTXA1SYTQ33 521865BA2 35000.00000000 PA USD 38752.94000000 0.007355254229 Long DBT CORP US N 2 2029-05-15 Fixed 4.25000000 N N N N N N AyT Cedulas Cajas Global, Fondo de Titulizacion de Activos 959800XDZEM9FGN2F384 N/A 600000.00000000 PA 754610.10000000 0.143223949710 Long DBT NUSS ES N 2 2022-12-14 Fixed 3.75000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC 583.37000000 0.000110722816 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A 34356.80000000 USD 290000.00000000 TRY 2021-04-07 583.37000000 N N N N/A N/A N/A -240.00000000 NC USD -35226000.00000000 -6.68584591233 N/A DFE US N 1 GOLDMAN, SACHS & CO. N/A Short Currency Futures EUR/USD Future (Consolidated) (IMM) Jun 2021 2021-06-17 -36239587.40000000 USD 1013587.40000000 N N N Kommunekredit 529900D8QLTZ6PRLJL76 N/A 275000.00000000 PA 295736.91000000 0.056130455085 Long DBT NUSS DK N 2 2040-09-26 Fixed 0.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -108.13000000 -0.00002052292 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 150000.00000000 NOK 17464.61000000 USD 2021-04-07 -108.13000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -472.50000000 -0.00008967984 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 42105.03000000 USD 4600000.00000000 JPY 2021-04-07 -472.50000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -60.71000000 -0.00001152267 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15293.56000000 USD 20000.00000000 AUD 2021-04-07 -60.71000000 N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 N/A 235000.00000000 PA 282008.29000000 0.053524782062 Long DBT NUSS GB N 2 2022-05-23 Fixed 1.87500000 N N N N N N Siemens Financieringsmaatschappij N.V. TAFO772JB70PDRN5VS48 82620KAZ6 775000.00000000 PA USD 765645.37000000 0.145318428641 Long DBT NUSS DE Y 2 2026-03-11 Fixed 1.20000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 33971.46000000 0.006447735961 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 22925307.24000000 USD 16641000.00000000 GBP 2021-04-07 33971.46000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 401030000.00000000 PA 353149.04000000 0.067027197681 Long DBT NUSS KR N 2 2029-06-10 Fixed 1.87500000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 922421.00000000 PA 1125476.12000000 0.213613805607 Long DBT NUSS NL Y 2 2025-07-15 Fixed 0.25000000 N N N N N N CENTRICA PLC E26EDV109X6EEPBKVH76 N/A 164000.00000000 PA 267590.62000000 0.050788328305 Long DBT NUSS GB N 2 2029-03-13 Fixed 4.37500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -124.96000000 -0.00002371723 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 19166.03000000 USD 25000.00000000 AUD 2021-04-07 -124.96000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -95.58000000 -0.00001814095 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 14101.56000000 USD 20000.00000000 NZD 2021-04-07 -95.58000000 N N N SOCIETE NATIONALE SNCF SA 969500A4MXJ3ESPHK698 N/A 400000.00000000 PA 473087.38000000 0.089791328159 Long DBT NUSS FR N 2 2040-05-25 Fixed 1.00000000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 263000.00000000 PA 327250.70000000 0.062111728692 Long DBT NUSS BE Y 2 2025-06-22 Fixed 0.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 494.89000000 0.000093929435 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 13000.00000000 EUR 15775.08000000 USD 2021-04-07 494.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 177.87000000 0.000033759479 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15410.72000000 USD 2021-04-07 177.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 92.16000000 0.000017491840 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 5000.00000000 AUD 3900.37000000 USD 2021-04-07 92.16000000 N N N EURO N/A N/A 1.00000000 NC -186.76000000 -0.00003544678 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16642.35000000 USD 14000.00000000 EUR 2021-04-07 -186.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 353315.95000000 0.067058876967 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 18373144.94000000 EUR 21977516.86000000 USD 2021-06-11 353315.95000000 N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 N/A 330000.00000000 PA 416125.40000000 0.078980023409 Long DBT NUSS IT N 2 2025-05-26 Fixed 2.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2747.10000000 0.000521395767 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 627836373.00000000 KRW 559120.00000000 USD 2021-04-22 2747.10000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 247000.00000000 PA 311925.13000000 0.059202956775 Long DBT NUSS IT Y 2 2041-03-01 Fixed 1.80000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -416.62000000 -0.00007907389 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16357.17000000 USD 15000.00000000 CHF 2021-04-07 -416.62000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -110.05000000 -0.00002088733 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15342.90000000 USD 20000.00000000 AUD 2021-04-07 -110.05000000 N N N DP WORLD CRESCENT LIMITED 21380096JRTWB8TL9236 N/A 265000.00000000 PA USD 295806.25000000 0.056143615721 Long DBT NUSS AE N 2 2028-09-26 Fixed 4.84800000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 2032000.00000000 PA 510496.60000000 0.096891546198 Long DBT NUSS MY N 2 2029-08-15 Fixed 3.88500000 N N N N N N EURO N/A N/A 1.00000000 NC -6508.12000000 -0.00123523214 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 200448.95000000 USD 165000.00000000 EUR 2021-04-07 -6508.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1268.04000000 0.000240672232 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 934000.00000000 CNY 143702.28000000 USD 2021-04-07 1268.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 680.81000000 0.000129216793 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2200000.00000000 JPY 20592.02000000 USD 2021-04-07 680.81000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 221000.00000000 PA 243158.44000000 0.046151134449 Long DBT NUSS ES Y 2 2050-10-31 Fixed 1.00000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -164.83000000 -0.00003128450 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 15050.40000000 USD 20000.00000000 SGD 2021-04-07 -164.83000000 N N N Japan 353800WZS8AXZXFUC241 N/A 91350000.00000000 PA 970351.95000000 0.184171453427 Long DBT NUSS JP N 2 2032-09-20 Fixed 1.70000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 3799.56000000 0.000721151214 N/A DFE ZA N 2 BARCLAYS CAPITAL INC. N/A 144418.48000000 USD 2190000.00000000 ZAR 2021-04-07 3799.56000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -98.83000000 -0.00001875779 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15331.68000000 USD 20000.00000000 AUD 2021-04-07 -98.83000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 7440.01000000 0.001412103572 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 649077.56000000 USD 5604000.00000000 NOK 2021-04-07 7440.01000000 N N N LSTAR COMMERCIAL MORTGAGE TRUST N/A 50219QAC8 139493.15220000 PA USD 141602.39000000 0.026875937102 Long ABS-MBS US N 2 2049-03-10 Fixed 2.57900000 N N N N N N Bundesrepublik Deutschland N/A N/A 31.00000000 NC 4921525.54000000 0.934098717256 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Germany Govt. Bond Futures Euro-BOBL Future Jun 2021 2021-06-11 5016259.28000000 EUR -94733.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -595.12000000 -0.00011295295 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1608000.00000000 NOK 187784.65000000 USD 2021-04-07 -595.12000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 80000.00000000 PA 137568.78000000 0.026110363522 Long DBT NUSS ES N 2 2029-01-31 Fixed 6.00000000 N N N N N N GLENCORE FINANCE (EUROPE) LIMITED 213800WHKNIC1JQQG433 N/A 240000.00000000 PA 284712.18000000 0.054037976632 Long DBT NUSS AU N 2 2022-01-18 Fixed 1.62500000 N N N N N N Canada N/A N/A -36.00000000 NC -3974794.13000000 -0.75441040953 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A Short Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Jun 2021 2021-06-24 -4063802.13000000 CAD 89008.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1092.84000000 0.000207419515 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 3500000.00000000 JPY 32769.77000000 USD 2021-04-07 1092.84000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 5264.95000000 0.000999280203 N/A DFE MX N 2 GOLDMAN, SACHS & CO. N/A 289785.54000000 USD 6040000.00000000 MXN 2021-04-07 5264.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 222.44000000 0.000042218803 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 30000.00000000 GBP 41612.88000000 USD 2021-04-07 222.44000000 N N N IQVIA INC. 549300PLWY28YB00C717 N/A 180000.00000000 PA 217392.02000000 0.041260703693 Long DBT CORP US Y 2 2028-06-15 Fixed 2.87500000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 387700000.00000000 PA 4631172.99000000 0.878990206226 Long DBT NUSS JP N 2 2039-03-20 Fixed 2.30000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 175000.00000000 PA 478287.13000000 0.090778233493 Long DBT USGA GB N 2 2027-11-22 Fixed 1.25000000 N N N N N N TEMASEK FINANCIAL (I) LIMITED 549300XMGMDF3VRJMF12 87973PAC8 495000.00000000 PA USD 512539.72000000 0.097279327538 Long DBT NUSS SG Y 2 2023-01-23 Fixed 2.37500000 N N N N N N NETFLIX, INC. 549300Y7VHGU0I7CE873 N/A 200000.00000000 PA 268813.07000000 0.051020347619 Long DBT NUSS US N 2 2027-05-15 Fixed 3.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912803FT5 1229000.00000000 PA USD 589767.54000000 0.111937060595 Long DBT UST US N 2 2050-11-15 Fixed 0.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 163.24000000 0.000030982725 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 62694.23000000 USD 79000.00000000 CAD 2021-04-07 163.24000000 N N N Banco Bilbao Vizcaya Argentaria, S.A. K8MS7FD7N5Z2WQ51AZ71 N/A 200000.00000000 PA 255415.17000000 0.048477444793 Long DBT NUSS ES N 2 2024-06-12 Fixed 2.25000000 N N N N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 775000.00000000 PA 950430.45000000 0.180390380375 Long DBT NUSS PT Y 2 2022-10-17 Fixed 2.20000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -327.93000000 -0.00006224065 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 25669.47000000 USD 2800000.00000000 JPY 2021-04-07 -327.93000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 973000.00000000 PA 1159984.33000000 0.220163415974 Long DBT NUSS ES N 2 2025-01-31 Fixed 0.00000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -16.23000000 -0.00000308043 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 14901.80000000 USD 20000.00000000 SGD 2021-04-07 -16.23000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -219.81000000 -0.00004171963 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 17415.86000000 USD 1900000.00000000 JPY 2021-04-07 -219.81000000 N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 N/A 165000.00000000 PA 200534.20000000 0.038061112852 Long DBT NUSS GB N 2 2024-01-25 Fixed 1.11700000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 33.55000000 0.000006367743 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 SGD 18640.51000000 USD 2021-04-07 33.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 166.10000000 0.000031525549 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 91000.00000000 CNY 14043.53000000 USD 2021-04-07 166.10000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 40.91000000 0.000007764661 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16597.09000000 USD 2021-04-07 40.91000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -275.38000000 -0.00005226674 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 17471.43000000 USD 1900000.00000000 JPY 2021-04-07 -275.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 432.42000000 0.000082072715 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 150000.00000000 SEK 17643.03000000 USD 2021-04-07 432.42000000 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AA6 200000.00000000 PA USD 194876.00000000 0.036987194345 Long DBT NUSS GB N 2 2170-03-31 Floating 2.52249840 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 190.23000000 0.000036105389 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16746.41000000 USD 2021-04-07 190.23000000 N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 N/A 220000.00000000 PA 282482.22000000 0.053614733319 Long DBT NUSS IT N 2 2029-02-20 Fixed 4.87500000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 N/A 1533000.00000000 PA 2053712.39000000 0.389791761420 Long DBT NUSS CA N 2 2026-12-15 Fixed 0.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3272.36000000 -0.00062108938 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 922000.00000000 CAD 730330.00000000 USD 2021-04-07 -3272.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 222.55000000 0.000042239681 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 34000.00000000 EUR 40186.11000000 USD 2021-04-07 222.55000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 1007000.00000000 PA 1198448.94000000 0.227463945569 Long DBT NUSS FR N 2 2023-02-25 Fixed 0.00000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -54.61000000 -0.00001036490 N/A DFE SE N 2 JP MORGAN N/A 13823.10000000 USD 120000.00000000 SEK 2021-04-07 -54.61000000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254AA8 500000.00000000 PA USD 467500.00000000 0.088730851189 Long DBT NUSS GB Y 2 2169-07-30 Floating 1.72149840 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 41.32000000 0.000007842478 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15191.53000000 USD 20000.00000000 AUD 2021-04-07 41.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 519.30000000 0.000098562419 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 17000.00000000 EUR 20501.08000000 USD 2021-04-07 519.30000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -568.58000000 -0.00010791569 N/A DFE SE N 2 JP MORGAN N/A 16631.81000000 USD 140000.00000000 SEK 2021-04-07 -568.58000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -452.94000000 -0.00008596738 N/A DFE SE N 2 JP MORGAN N/A 15368.80000000 USD 130000.00000000 SEK 2021-04-07 -452.94000000 N N N EURO N/A N/A 1.00000000 NC -29.16000000 -0.00000553452 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16484.75000000 USD 14000.00000000 EUR 2021-04-07 -29.16000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -44.76000000 -0.00000849538 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 16600.94000000 USD 12000.00000000 GBP 2021-04-07 -44.76000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 364.11000000 0.000069107572 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 69999.64000000 USD 51000.00000000 GBP 2021-04-07 364.11000000 N N N LIBERTY MUTUAL GROUP INC. QUR0DG15Z6FFGYCHH861 N/A 300000.00000000 PA 359347.71000000 0.068203696644 Long DBT NUSS US N 2 2059-05-23 Fixed 3.62500000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 15343.16000000 0.002912110474 N/A DFE MX N 2 GOLDMAN, SACHS & CO. N/A 279707.33000000 USD 6040000.00000000 MXN 2021-04-07 15343.16000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -87.10000000 -0.00001653145 N/A DFE SE N 2 JP MORGAN N/A 3988.17000000 USD 34000.00000000 SEK 2021-04-07 -87.10000000 N N N FEDEX CORPORATION 549300E707U7WNPZN687 31428XBT2 108000.00000000 PA 128157.04000000 0.024324028331 Long DBT CORP US N 2 2022-05-13 Fixed 0.70000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -3206.84000000 -0.00060865378 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 157058.66000000 USD 202000.00000000 AUD 2021-04-07 -3206.84000000 N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC 61097.21000000 0.011596165665 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 20453550.25000000 USD 134523000.00000000 CNY 2021-04-07 61097.21000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 202.83000000 0.000038496852 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 13855.36000000 USD 120000.00000000 NOK 2021-04-07 202.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 258.55000000 0.000049072431 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15491.40000000 USD 2021-04-07 258.55000000 N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 N/A 200000.00000000 PA 251188.81000000 0.047675287530 Long DBT NUSS IT N 2 2022-12-05 Fixed 3.62500000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 17119000.00000000 PA 723619.70000000 0.137342014799 Long DBT NUSS TH N 2 2044-06-29 Fixed 4.67500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 68.56000000 0.000013012592 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 CAD 19960.16000000 USD 2021-04-07 68.56000000 N N N Japan 353800WZS8AXZXFUC241 N/A 169400000.00000000 PA 1504915.87000000 0.285630943560 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 -131.01000000 -0.00002486551 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14235.80000000 USD 12000.00000000 EUR 2021-04-07 -131.01000000 N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172CM9 115000.00000000 PA 128906.23000000 0.024466223554 Long DBT NUSS US N 2 2039-08-01 Fixed 1.45000000 N N N N N N Exportation et developpement Canada Z6MHCSLXHKYG4B6PHW02 N/A 1259000.00000000 PA 962705.90000000 0.182720243748 Long DBT NUSS CA N 2 2021-06-07 Fixed 2.40000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1862.52000000 -0.00035350371 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 277096.69000000 USD 199491.65000000 GBP 2021-04-09 -1862.52000000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 N/A 570000.00000000 PA 673643.06000000 0.127856517886 Long DBT NUSS CA N 2 2021-09-17 Fixed 0.75000000 N N N N N N United States of America N/A N/A -30.00000000 NC USD -3928125.00000000 -0.74555267343 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Short U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2021 2021-06-24 -3946414.20000000 USD 18289.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 32921.71000000 0.006248494868 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 67107050.00000000 THB 2180393.14000000 USD 2021-04-22 32921.71000000 N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857LAT5 110000.00000000 PA 130057.30000000 0.024684695042 Long DBT NUSS US N 2 2028-03-08 Fixed 0.50000000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1833400000.00000000 PA 583269.15000000 0.110703675192 Long DBT NUSS CO N 2 2024-07-24 Fixed 10.00000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087E67 7545000.00000000 PA 6150419.14000000 1.167341017042 Long DBT NUSS CA N 2 2026-06-01 Fixed 1.50000000 N N N N N N BRK: DEUTSCHE BANK N/A N/A 23220000.00000000 NC 38181.78000000 0.007246848854 N/A DIR XX N 2 BRK: DEUTSCHE BANK N/A Y 2024-06-03 0.00000000 CNY 0.00000000 CNY -23220000.00000000 CNY 38181.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -331.58000000 -0.00006293342 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 40000.00000000 GBP 54855.68000000 USD 2021-04-07 -331.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 437.11000000 0.000082962871 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 SEK 19942.47000000 USD 2021-04-07 437.11000000 N N N EURO N/A N/A 1.00000000 NC -2965.32000000 -0.00056281362 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 217873.04000000 USD 182655.43000000 EUR 2021-05-27 -2965.32000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -429.83000000 -0.00008158113 N/A DFE SE N 2 JP MORGAN N/A 19935.19000000 USD 170000.00000000 SEK 2021-04-07 -429.83000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1084.15000000 -0.00020577016 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 73488.55000000 USD 8000000.00000000 JPY 2021-04-07 -1084.15000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 97.06000000 0.000018421853 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 19794.54000000 USD 25000.00000000 CAD 2021-04-07 97.06000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -12901.55000000 -0.00244869628 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 11264544.53000000 MXN 536853.09000000 USD 2021-04-16 -12901.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 25311.04000000 0.004804000264 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2713000.00000000 SGD 2044538.23000000 USD 2021-04-07 25311.04000000 N N N SNCF RESEAU SA 969500VZN4KDEZ14C105 N/A 200000.00000000 PA 255081.39000000 0.048414093812 Long DBT NUSS FR N 2 2030-05-25 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -88.69000000 -0.00001683323 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15824.59000000 USD 2021-04-07 -88.69000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 568000.00000000 PA 139538.55000000 0.026484223134 Long DBT NUSS MY N 2 2022-03-10 Fixed 3.88200000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967MU2 71000.00000000 PA USD 71692.25000000 0.013607089553 Long DBT CORP US N 2 2170-03-10 Fixed 4.00000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -4583.36000000 -0.00086991536 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 110853.68000000 USD 100000.00000000 CHF 2021-04-07 -4583.36000000 N N N Sultanate of Oman 549300SZ20F0QTKNQC75 68205LAS2 200000.00000000 PA USD 209000.00000000 0.039667909943 Long DBT NUSS OM Y 2 2031-01-25 Fixed 6.25000000 N N N N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 1206590000.00000000 PA 1125119.63000000 0.213546144300 Long DBT NUSS KR N 2 2024-09-10 Fixed 3.00000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 17044000.00000000 PA 1040508.27000000 0.197487025598 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -84.94000000 -0.00001612149 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 25943.72000000 USD 22000.00000000 EUR 2021-04-07 -84.94000000 N N N EURO N/A N/A 1.00000000 NC -218.31000000 -0.00004143493 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14323.10000000 USD 12000.00000000 EUR 2021-04-07 -218.31000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 80000.00000000 PA 177612.36000000 0.033710579432 Long DBT NUSS GB N 2 2052-07-22 Fixed 3.75000000 N N N N N N ISRAELI SHEKEL N/A N/A 1.00000000 NC -1685.29000000 -0.00031986570 N/A DFE IL N 2 BARCLAYS CAPITAL INC. N/A 1332712.72000000 USD 4438000.00000000 ILS 2021-04-07 -1685.29000000 N N N EURO N/A N/A 1.00000000 NC -68715.62000000 -0.01304212931 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 2115085.19000000 USD 1741000.00000000 EUR 2021-04-07 -68715.62000000 N N N Japan 353800WZS8AXZXFUC241 N/A 38450000.00000000 PA 366893.03000000 0.069635787909 Long DBT NUSS JP N 2 2037-03-20 Fixed 0.70000000 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 F22797RT7 200000.00000000 PA USD 224250.00000000 0.042562338779 Long DBT NUSS FR N 2 2168-03-23 Fixed 7.87500000 N N N N N N GE Capital UK Funding Unlimited Company BR7Z6BPTFF652NNO9651 N/A 160000.00000000 PA 297843.29000000 0.056530243086 Long DBT NUSS US N 2 2033-01-18 Fixed 5.87500000 N N N N N N CAISSE AMORTISSEMENT DE LA DETTE SOCIALE 969500P04DQJS4BPM574 12802D2C9 953000.00000000 PA USD 903266.94000000 0.171438811632 Long DBT NUSS FR Y 2 2031-01-20 Fixed 1.37500000 N N N N N N Swedbank Hypotek AB 549300TJREQ7GHIXWR36 N/A 360000.00000000 PA 426698.48000000 0.080986779319 Long DBT NUSS SE N 2 2022-03-11 Fixed 0.37500000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 11020000.00000000 PA 360910.19000000 0.068500253180 Long DBT NUSS TH N 2 2021-12-17 Fixed 3.65000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -340.64000000 -0.00006465299 N/A DFE SE N 2 JP MORGAN N/A 15256.50000000 USD 130000.00000000 SEK 2021-04-07 -340.64000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -3201.50000000 -0.00060764025 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 177617.67000000 USD 229000.00000000 AUD 2021-04-07 -3201.50000000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAA9 8000.00000000 PA USD 8231.51000000 0.001562329174 Long DBT CORP US Y 2 2027-11-01 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 157310.00000000 0.029857219680 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 78942870.84000000 CNY 12171347.16000000 USD 2021-04-22 157310.00000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 6538.16000000 0.001240933694 N/A DFE ZA N 2 BARCLAYS CAPITAL INC. N/A 141679.88000000 USD 2190000.00000000 ZAR 2021-04-07 6538.16000000 N N N EURO N/A N/A 1.00000000 NC -331.67000000 -0.00006295050 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 20313.45000000 USD 17000.00000000 EUR 2021-04-07 -331.67000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 14711200.00000000 PA 712900.56000000 0.135307536903 Long DBT NUSS MX N 2 2026-03-05 Fixed 5.75000000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1259000.00000000 PA 985573.24000000 0.187060433144 Long DBT NUSS SG N 2 2026-06-01 Fixed 2.12500000 N N N N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 300000.00000000 PA 396940.71000000 0.075338795872 Long DBT NUSS NL N 2 2032-05-31 Fixed 1.25000000 N N N N N N ENI S.P.A. BUCRF72VH5RBN7X3VL35 26874RAJ7 515000.00000000 PA USD 574599.65000000 0.109058216123 Long DBT NUSS IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 780.06000000 0.000148054305 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 60000.00000000 EUR 71304.00000000 USD 2021-04-07 780.06000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 100.88000000 0.000019146883 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 13957.31000000 USD 120000.00000000 NOK 2021-04-07 100.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 135.26000000 0.000025672160 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14193.45000000 USD 2021-04-07 135.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 129.34000000 0.000024548552 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 11000.00000000 AUD 8507.41000000 USD 2021-04-07 129.34000000 N N N EURO N/A N/A 1.00000000 NC -3969.64000000 -0.00075343216 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 142666.72000000 USD 118000.00000000 EUR 2021-04-07 -3969.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 405.89000000 0.000077037358 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CHF 21659.95000000 USD 2021-04-07 405.89000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -723.32000000 -0.00013728513 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 38805.45000000 USD 50000.00000000 AUD 2021-04-07 -723.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8151.60000000 0.001547162366 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 345033.66000000 EUR 414109.40000000 USD 2021-05-27 8151.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -92.12000000 -0.00001748424 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 13966.07000000 USD 2021-04-07 -92.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 93539.35000000 0.017753638813 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 6808900.00000000 CHF 7331030.67000000 USD 2021-04-14 93539.35000000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAF8 27000.00000000 PA USD 28699.93000000 0.005447206883 Long DBT CORP US Y 2 2024-01-30 Fixed 4.37500000 N N N N N N Freddie Mac N/A 3137G0NX3 470000.00000000 PA USD 487050.38000000 0.092441486181 Long DBT USGA US N 2 2029-10-25 Floating 3.55862880 N N N N N N MATTEL, INC. 549300VELLG24KHTJ564 577081BE1 138000.00000000 PA USD 142476.72000000 0.027041883722 Long DBT CORP US Y 2 2026-04-01 Fixed 3.37500000 N N N N N N New Zealand 549300237GPHG2AI7C34 N/A 1997000.00000000 PA 1545714.87000000 0.293374537138 Long DBT NUSS NZ N 2 2023-04-15 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 49186.48000000 0.009335525641 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 3559000.00000000 PLN 951171.93000000 USD 2021-04-07 49186.48000000 N N N EURO N/A N/A 1.00000000 NC -517.38000000 -0.00009819800 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 20499.16000000 USD 17000.00000000 EUR 2021-04-07 -517.38000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 2583000.00000000 PA 3108343.07000000 0.589959200837 Long DBT NUSS IT N 2 2026-02-01 Fixed 0.50000000 N N N N N N Federal National Mortgage Association N/A 30711XEC4 84635.73780000 PA USD 88081.00000000 0.016717651558 Long DBT USGA US N 2 2029-05-25 Floating 4.45862880 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 449000.00000000 PA 540939.33000000 0.102669534102 Long DBT NUSS IT N 2 2023-03-01 Fixed 0.95000000 N N N N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 904678AJ8 350000.00000000 PA USD 364853.30000000 0.069248649986 Long DBT NUSS IT Y 2 2022-01-14 Fixed 6.57200000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -169.53000000 -0.00003217655 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 17677.00000000 USD 25000.00000000 NZD 2021-04-07 -169.53000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -169.28000000 -0.00003212910 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 18776.24000000 USD 25000.00000000 SGD 2021-04-07 -169.28000000 N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SAZ6 310000.00000000 PA 419416.16000000 0.079604605090 Long DBT NUSS US N 2 2031-06-15 Fixed 3.12500000 N N N N N N Commerzbank Aktiengesellschaft 851WYGNLUQLFZBSYGB56 N/A 200000.00000000 PA 256214.37000000 0.048629131844 Long DBT NUSS DE N 2 2030-12-05 Fixed 4.00000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EL4 67000.00000000 PA USD 75040.00000000 0.014242487857 Long DBT CORP US N 2 2169-04-23 Fixed 6.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -327.85000000 -0.00006222547 N/A DFE SE N 2 JP MORGAN N/A 19833.21000000 USD 170000.00000000 SEK 2021-04-07 -327.85000000 N N N HILTON DOMESTIC OPERATING COMPANY INC. 5493003EG7H0N1E4XV50 432833AN1 215000.00000000 PA USD 208679.00000000 0.039606984589 Long DBT CORP US Y 2 2032-02-15 Fixed 3.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 35314.48000000 0.006702639293 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1423714.99000000 NZD 1031904.35000000 USD 2021-05-27 35314.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 556.21000000 0.000105567886 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 93000.00000000 CAD 74552.98000000 USD 2021-04-07 556.21000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VEU4 391000.00000000 PA USD 436835.62000000 0.082910794422 Long DBT CORP US N 2 2029-12-03 Fixed 4.01600000 N N N N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 2516000.00000000 PA 314056.79000000 0.059607542884 Long DBT NUSS NO Y 2 2024-03-14 Fixed 3.00000000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 570000.00000000 PA 708130.46000000 0.134402178544 Long DBT NUSS NL Y 2 2026-07-15 Fixed 0.50000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -10526.98000000 -0.00199800619 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 455840.18000000 USD 636168.50000000 NZD 2021-05-27 -10526.98000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 195000.00000000 PA 322742.76000000 0.061256127936 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 -27.53000000 -0.00000522515 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 SGD 14858.04000000 USD 2021-04-07 -27.53000000 N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC 2676.35000000 0.000507967515 N/A DFE MY N 2 BNP PARIBAS N/A 2099024.21000000 USD 8712000.00000000 MYR 2021-04-07 2676.35000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 151.80000000 0.000028811429 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 SGD 18758.76000000 USD 2021-04-07 151.80000000 N N N Ceska republika 3157007EFDLQABN47912 N/A 14630000.00000000 PA 691036.38000000 0.131157745883 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 36307.01000000 0.006891020110 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25007000.00000000 CZK 1161607.81000000 USD 2021-04-07 36307.01000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 105.96000000 0.000020111060 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 13952.23000000 USD 120000.00000000 NOK 2021-04-07 105.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -80.73000000 -0.00001532244 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 NZD 17426.74000000 USD 2021-04-07 -80.73000000 N N N People's Republic of China 300300CHN201808MOF68 N/A 11370000.00000000 PA 1629179.63000000 0.309216032751 Long DBT NUSS CN N 2 2050-03-16 Fixed 3.39000000 N N N N N N CREDIT AGRICOLE HOME LOAN SFH SA 969500C9913Z7PKUGB44 N/A 300000.00000000 PA 394562.85000000 0.074887481344 Long DBT NUSS FR N 2 2031-03-24 Fixed 1.25000000 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 N/A 290000000.00000000 PA 3032304.01000000 0.575527092778 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 370809.23000000 0.070379077234 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 13438080.48000000 EUR 16173939.28000000 USD 2021-05-05 370809.23000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 457000.00000000 PA 862417.51000000 0.163685646510 Long DBT NUSS GB N 2 2044-01-22 Fixed 3.25000000 N N N N N N ING Groep N.V. 549300NYKK9MWM7GGW15 456837AR4 200000.00000000 PA USD 218150.00000000 0.041404567245 Long DBT NUSS NL N 2 2169-11-16 Fixed 5.75000000 N N N Y Y ING Groep N.V. EUR XXXX N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ABT1 77000.00000000 PA USD 74420.50000000 0.014124907617 Long DBT CORP US N 2 2031-02-15 Fixed 2.87500000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 1014000.00000000 PA 1211406.15000000 0.229923206045 Long DBT NUSS NL Y 2 2031-07-15 Fixed 0.00000000 N N N N N N PIONEER NATURAL RESOURCES COMPANY FY8JBF7CCL2VE4F1B628 723787AR8 196000.00000000 PA USD 183886.37000000 0.034901377823 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 1355000.00000000 PA 1613419.05000000 0.306224696540 Long DBT NUSS ES N 2 2024-05-31 Fixed 0.00000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 1197000.00000000 PA 2336282.74000000 0.443423221691 Long DBT NUSS GB N 2 2065-07-22 Fixed 2.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -10090.56000000 -0.00191517428 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1200800.00000000 CAD 945383.77000000 USD 2021-04-14 -10090.56000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -22.39000000 -0.00000424959 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13819.20000000 USD 10000.00000000 GBP 2021-04-07 -22.39000000 N N N Volkswagen International Finance N.V. 5299004PWNHKYTR23649 N/A 400000.00000000 PA 483512.72000000 0.091770043223 Long DBT NUSS DE N 2 2023-10-02 Fixed 1.12500000 N N N N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC -1125.90000000 -0.00021369425 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 145237.63000000 USD 945000.00000000 CNY 2021-04-07 -1125.90000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1549000.00000000 PA 1773198.57000000 0.336550627689 Long DBT NUSS IT Y 2 2037-03-01 Fixed 0.95000000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 305000.00000000 PA 391826.69000000 0.074368161973 Long DBT NUSS BE Y 2 2029-06-22 Fixed 0.90000000 N N N N N N CK HUTCHISON FINANCE (16) (II) LIMITED 254900X1B76DSAVBLZ88 N/A 212000.00000000 PA 256339.48000000 0.048652877548 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 4460.53000000 0.000846602403 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 130000.00000000 CHF 142611.94000000 USD 2021-04-07 4460.53000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 617474AA9 192000.00000000 PA USD 192000.00000000 0.036441333536 Long DBT CORP US N 2 2169-07-15 Floating 4.05124920 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 270000.00000000 PA 318916.38000000 0.060529886322 Long DBT NUSS FR N 2 2030-11-25 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -119.87000000 -0.00002275115 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15793.41000000 USD 2021-04-07 -119.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 55.72000000 0.000010575578 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15969.00000000 USD 2021-04-07 55.72000000 N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323AFH2 630000.00000000 PA USD 601737.68000000 0.114208976555 Long DBT NUSS CA N 2 2031-02-25 Fixed 1.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 23154.68000000 0.004394726129 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 375460.36000000 CHF 422528.80000000 USD 2021-05-06 23154.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1490.54000000 0.000282902423 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 400000.00000000 SEK 47385.50000000 USD 2021-04-07 1490.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 223.38000000 0.000042397213 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1500000.00000000 JPY 13799.21000000 USD 2021-04-07 223.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 14115.95000000 0.002679187719 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 8067570750.00000000 IDR 568479.07000000 USD 2021-04-15 14115.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 255.96000000 0.000048580852 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16812.14000000 USD 2021-04-07 255.96000000 N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AE6 190000.00000000 PA 225376.60000000 0.042776165895 Long DBT CORP US N 2 2024-12-15 Fixed 0.30000000 N N N N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -11597.30000000 -0.00220115144 N/A DFE ID N 2 STANDARD CHARTERED BANK N/A 556305.77000000 USD 7927067945.00000000 IDR 2021-04-15 -11597.30000000 N N N Mizuho Financial Group, Inc. 353800CI5L6DDAN5XZ33 N/A 385000.00000000 PA 467123.08000000 0.088659312297 Long DBT NUSS JP N 2 2024-10-16 Fixed 0.95600000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -259.08000000 -0.00004917302 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 19300.15000000 USD 25000.00000000 AUD 2021-04-07 -259.08000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 9000.00000000 PA 10237.53000000 0.001943068986 Long DBT NUSS AT Y 2 2120-06-30 Fixed 0.85000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -813.14000000 -0.00015433284 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 32694.23000000 USD 30000.00000000 CHF 2021-04-07 -813.14000000 N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00774MAP0 205000.00000000 PA USD 220490.24000000 0.041848741549 Long DBT NUSS IE N 2 2023-09-15 Fixed 4.50000000 N N N N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 6520000.00000000 PA 742253.54000000 0.140878691771 Long DBT NUSS NO Y 2 2031-09-17 Fixed 1.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 15061.43000000 0.002858638511 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 1078434.30000000 USD 792573.36000000 GBP 2021-04-09 15061.43000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 770000.00000000 PA 866747.19000000 0.164507413765 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.62500000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 1035000.00000000 PA 1451435.29000000 0.275480403698 Long DBT NUSS FR Y 2 2050-05-25 Fixed 1.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -554.76000000 -0.00010529267 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 16845.75000000 USD 1800000.00000000 JPY 2021-04-07 -554.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1364.20000000 0.000258923266 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 123000.00000000 EUR 145938.27000000 USD 2021-04-07 1364.20000000 N N N CPUK FINANCE LIMITED 6354003CVDDPNXREIR29 N/A 215000.00000000 PA 317947.92000000 0.060346073958 Long DBT NUSS GB N 2 2025-08-28 Fixed 3.58800000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 88229.92000000 0.016745916367 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 6311000.00000000 AUD 4894956.75000000 USD 2021-04-07 88229.92000000 N N N BRK: JPMORGAN CHASE BANK N/A N/A 5061985.46000000 NC -19941.82000000 -0.00378492976 N/A DIR XX N 2 BRK: JPMORGAN CHASE BANK N/A Y 2023-01-02 0.00000000 BRL 0.00000000 BRL -5061985.46000000 BRL -19941.82000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 50000.00000000 PA 102385.85000000 0.019432692235 Long DBT NUSS AT Y 2 2117-09-20 Fixed 2.10000000 N N N N N N APPLE INC. HWUPKR0MPOU8FGXBT394 037833EB2 880000.00000000 PA USD 862897.32000000 0.163776713782 Long DBT CORP US N 2 2026-02-08 Fixed 0.70000000 N N N N N N GLENCORE FINANCE (EUROPE) LIMITED 213800WHKNIC1JQQG433 ZS1069690 120000.00000000 PA 148214.99000000 0.028130999404 Long DBT NUSS AU N 2 2026-10-15 Fixed 1.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -68.29000000 -0.00001296134 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13865.10000000 USD 10000.00000000 GBP 2021-04-07 -68.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4971.95000000 0.000943669209 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 5081346.03000000 ZAR 348831.54000000 USD 2021-04-08 4971.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 151.19000000 0.000028695652 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14209.38000000 USD 2021-04-07 151.19000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 116000.00000000 PA 141503.86000000 0.026857236244 Long DBT NUSS ES Y 2 2029-10-31 Fixed 0.60000000 N N N N N N INTERNATIONAL FLAVORS & FRAGRANCES INC. BZLRL03D3GPGMOGFO832 459506AH4 100000.00000000 PA 126026.21000000 0.023919599755 Long DBT NUSS US N 2 2026-09-25 Fixed 1.80000000 N N N N N N NOV INC. 549300EHF3IW1AR6U008 637071AM3 205000.00000000 PA USD 206034.93000000 0.039105143772 Long DBT CORP US N 2 2029-12-01 Fixed 3.60000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 669000.00000000 PA 695242.01000000 0.131955968621 Long DBT NUSS GB N 2 2061-10-22 Fixed 0.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 330.77000000 0.000062779686 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 51387.40000000 USD 65000.00000000 CAD 2021-04-07 330.77000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 1194000.00000000 PA 1500955.60000000 0.284879289810 Long DBT NUSS AT Y 2 2026-10-20 Fixed 0.75000000 N N N N N N New Zealand 549300237GPHG2AI7C34 N/A 1289000.00000000 PA 975276.47000000 0.185106120489 Long DBT NUSS NZ N 2 2025-04-15 Fixed 2.75000000 N N N N N N BRK: DEUTSCHE BANK N/A N/A 31000000.00000000 NC 16414.31000000 0.003115413257 N/A DIR XX N 2 BRK: DEUTSCHE BANK N/A Y 2024-09-09 0.00000000 CNY 0.00000000 CNY -31000000.00000000 CNY 16414.31000000 N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 18120000.00000000 PA 2767435.01000000 0.525255324171 Long DBT NUSS CN N 2 2029-05-21 Fixed 3.65000000 N N N N N N Romania 315700IASY927EDWBK92 N/A 287000.00000000 PA 334806.91000000 0.063545886863 Long DBT NUSS RO N 2 2029-12-02 Fixed 1.37500000 N N N N N N Republique Francaise N/A N/A 51.00000000 NC 9707292.70000000 1.842430682398 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long France Govt. Bond Future Eurex Long Term Euro OAT Bond Future Jun 2021 2021-06-11 9902110.15000000 EUR -194817.45000000 N N N EURO N/A N/A 1.00000000 NC -11094.87000000 -0.00210579092 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 276735.03000000 USD 226000.00000000 EUR 2021-04-07 -11094.87000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -19.01000000 -0.00000360807 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 19934.78000000 USD 170000.00000000 NOK 2021-04-07 -19.01000000 N N N Japan 353800WZS8AXZXFUC241 N/A 1273650000.00000000 PA 11527784.36000000 2.187957472935 Long DBT NUSS JP N 2 2021-05-17 None 0.00000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -21965.61000000 -0.00416904229 N/A DFE SE N 2 JP MORGAN N/A 569431.27000000 USD 4770814.19000000 SEK 2021-04-15 -21965.61000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -397.31000000 -0.00007540888 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 70427.20000000 USD 100000.00000000 NZD 2021-04-07 -397.31000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 3147.46000000 0.000597383539 N/A DFE ZA N 2 BARCLAYS CAPITAL INC. N/A 145070.58000000 USD 2190000.00000000 ZAR 2021-04-07 3147.46000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -190.34000000 -0.00003612626 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15722.94000000 USD 2021-04-07 -190.34000000 N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 48127FAA1 46000.00000000 PA USD 45793.00000000 0.008691447847 Long DBT CORP US N 2 2170-01-01 Floating 3.50876880 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 162.65000000 0.000030870744 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 110000.00000000 CNY 16937.56000000 USD 2021-04-07 162.65000000 N N N WEIBO CORPORATION 549300Q9ID4640FE0422 948596AD3 200000.00000000 PA USD 210715.67000000 0.039993541728 Long DBT NUSS CN N 2 2024-07-05 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1785.58000000 -0.00033890060 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2190000.00000000 ZAR 146432.46000000 USD 2021-04-07 -1785.58000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -172.10000000 -0.00003266434 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 21259.39000000 USD 180000.00000000 NOK 2021-04-07 -172.10000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 99964.89000000 0.018973197387 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 5888048000.00000000 JPY 53414567.32000000 USD 2021-05-06 99964.89000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 7477000.00000000 PA 1859894.36000000 0.353005368312 Long DBT NUSS MY N 2 2027-05-31 Fixed 3.50200000 N N N N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 N/A 460000.00000000 PA 557145.62000000 0.105745465453 Long DBT NUSS IT N 2 2026-06-16 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4912.01000000 0.000932292680 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15300000.00000000 JPY 143385.43000000 USD 2021-04-07 4912.01000000 N N N LEAR CORPORATION 549300UPNBTXA1SYTQ33 521865BB0 42000.00000000 PA USD 43758.72000000 0.008305344326 Long DBT CORP US N 2 2030-05-30 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8.44000000 0.000001601900 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14066.63000000 USD 2021-04-07 8.44000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -85.70000000 -0.00001626574 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 72491.14000000 USD 91000.00000000 CAD 2021-04-07 -85.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1925980.44000000 0.365548414580 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 49057000.00000000 EUR 59587526.56000000 USD 2021-04-07 1925980.44000000 N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBJ7 325000.00000000 PA USD 351814.73000000 0.066773947495 Long DBT NUSS FR Y 2 2025-04-14 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 168.50000000 0.000031981066 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 SGD 15054.07000000 USD 2021-04-07 168.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1504.78000000 0.000285605155 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 458100.00000000 AUD 350408.94000000 USD 2021-04-14 1504.78000000 N N N ORANGE SA 969500MCOONR8990S771 N/A 500000.00000000 PA 618492.10000000 0.117388942218 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 -1780.22000000 -0.00033788328 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25007000.00000000 CZK 1123970.73000000 USD 2021-05-06 -1780.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1335.82000000 0.000253536782 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 145000.00000000 SGD 109256.18000000 USD 2021-04-07 1335.82000000 N N N GATWICK FUNDING LIMITED 213800NK8FA3GKS6X167 N/A 250000.00000000 PA 381367.77000000 0.072383073472 Long DBT NUSS GB N 2 2024-01-23 Fixed 5.25000000 N N N N N N EURO N/A N/A 1.00000000 NC -1044.36000000 -0.00019821807 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 70392.90000000 USD 59000.00000000 EUR 2021-04-07 -1044.36000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087D35 300000.00000000 PA 280243.47000000 0.053189821676 Long DBT NUSS CA N 2 2048-12-01 Fixed 2.75000000 N N N N N N EURO N/A N/A 1.00000000 NC -2137.82000000 -0.00040575526 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 71486.36000000 USD 59000.00000000 EUR 2021-04-07 -2137.82000000 N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 16455000.00000000 PA 654319.35000000 0.124188904546 Long DBT NUSS TH N 2 2029-06-22 Fixed 4.87500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 225.09000000 0.000042721769 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 71384.68000000 USD 90000.00000000 CAD 2021-04-07 225.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 59.62000000 0.000011315793 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 CHF 26627.20000000 USD 2021-04-07 59.62000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -673.14000000 -0.00012776103 N/A DFE SE N 2 JP MORGAN N/A 20178.50000000 USD 170000.00000000 SEK 2021-04-07 -673.14000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 48.42000000 0.000009190048 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 29239.48000000 USD 250000.00000000 NOK 2021-04-07 48.42000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 195000.00000000 PA 271314.20000000 0.051495058622 Long DBT NUSS US N 2 2022-06-30 Fixed 1.37500000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 71550000.00000000 PA 653682.10000000 0.124067955381 Long DBT NUSS JP N 2 2027-03-20 Fixed 0.10000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ADZ4 2200000.00000000 PA 1761505.35000000 0.334331270761 Long DBT NUSS CA N 2 2048-06-02 Fixed 2.80000000 N N N N N N HYUNDAI CAPITAL SERVICES, INC. 549300MALMDAGL2ZJJ27 N/A 680000.00000000 PA 530112.75000000 0.100614664244 Long DBT NUSS KR N 2 2022-03-30 Fixed 3.50000000 N N N N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 5565000.00000000 PA 672714.16000000 0.127680213955 Long DBT NUSS NO Y 2 2027-02-17 Fixed 1.75000000 N N N N N N VODAFONE GROUP PUBLIC LIMITED COMPANY 213800TB53ELEUKM7Q61 N/A 490000.00000000 PA 412216.77000000 0.078238170859 Long DBT NUSS GB N 2 2027-12-13 Fixed 4.20000000 N N N N N N EURO N/A N/A 1.00000000 NC -2587.14000000 -0.00049103558 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1300915.84000000 USD 1104000.00000000 EUR 2021-05-06 -2587.14000000 N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 902973BB1 226000.00000000 PA 273444.46000000 0.051899379013 Long DBT NUSS US N 2 2024-06-07 Fixed 0.85000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796D97 14556000.00000000 PA USD 14555846.29000000 2.762679424817 Long DBT UST US N 2 2021-04-20 None 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 26931.01000000 0.005111468322 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1047000.00000000 NZD 760143.99000000 USD 2021-04-07 26931.01000000 N N N BRK: GOLDMAN SACHS N/A N/A 460000.00000000 NC -61955.50000000 -0.01175906791 N/A DIR XX N 2 BRK: GOLDMAN SACHS N/A Y 2047-10-03 0.00000000 GBP 0.00000000 GBP -460000.00000000 GBP -61955.50000000 N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 N/A 280000.00000000 PA 329148.50000000 0.062471928498 Long DBT NUSS CA N 2 2021-04-19 Fixed 0.12500000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 1045000.00000000 PA 1282759.15000000 0.243465906419 Long DBT NUSS AT Y 2 2022-04-20 Fixed 3.65000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 210.23000000 0.000039901362 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 CHF 16150.78000000 USD 2021-04-07 210.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -17231.77000000 -0.00327056603 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 22598000.00000000 ZAR 1512188.92000000 USD 2021-04-07 -17231.77000000 N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122DT2 950000.00000000 PA USD 950083.41000000 0.180324512664 Long DBT CORP US N 2 2023-11-13 Fixed 0.53700000 N N N N N N COMPAGNIE DE FINANCEMENT FONCIER S.A. DKGVVH5FKILG8R13CO13 N/A 300000.00000000 PA 363037.20000000 0.068903956726 Long DBT NUSS FR N 2 2024-12-11 Fixed 0.37500000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 60000.00000000 PA 87073.30000000 0.016526391497 Long DBT NUSS FR Y 2 2039-06-25 Fixed 1.75000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 31.82000000 0.000006039391 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 14026.37000000 USD 120000.00000000 NOK 2021-04-07 31.82000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -46.84000000 -0.00000889016 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13843.65000000 USD 10000.00000000 GBP 2021-04-07 -46.84000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -207.10000000 -0.00003930729 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 15593.04000000 USD 1700000.00000000 JPY 2021-04-07 -207.10000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 768.66000000 0.000145890601 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2220000.00000000 CHF 2362164.51000000 USD 2021-05-06 768.66000000 N N N United States of America N/A N/A -16.00000000 NC USD -2899500.00000000 -0.55032107599 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Short U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Jun 2021 2021-06-24 -2962687.45000000 USD 63187.45000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 4215.01000000 0.000800003048 N/A DFE ZA N 2 BARCLAYS CAPITAL INC. N/A 141295.85000000 USD 2150000.00000000 ZAR 2021-04-07 4215.01000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 200000.00000000 PA 255920.55000000 0.048573365216 Long DBT NUSS GB N 2 2168-03-29 Fixed 6.00000000 N N N Y Y HSBC HOLDINGS PLC GBP XXXX N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -394.94000000 -0.00007495906 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 21403.91000000 USD 30000.00000000 NZD 2021-04-07 -394.94000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 31.94000000 0.000006062167 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 9772.25000000 USD 14000.00000000 NZD 2021-04-07 31.94000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 61.76000000 0.000011721962 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 15851.52000000 USD 20000.00000000 CAD 2021-04-07 61.76000000 N N N Becton Dickinson Euro Finance S.a r.l. 549300W40NLZ25XUTH09 N/A 129000.00000000 PA 150560.90000000 0.028576249867 Long DBT NUSS US N 2 2036-02-12 Fixed 1.21300000 N N N N N N GE Capital UK Funding Unlimited Company BR7Z6BPTFF652NNO9651 N/A 165000.00000000 PA 331008.49000000 0.062824952018 Long DBT NUSS US N 2 2038-05-05 Fixed 6.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -35.35000000 -0.00000670938 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15877.93000000 USD 2021-04-07 -35.35000000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 N/A 465000.00000000 PA 561322.79000000 0.106538286521 Long DBT NUSS US N 2 2024-11-21 Fixed 0.62500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -702.30000000 -0.00013329556 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 62246.04000000 USD 6800000.00000000 JPY 2021-04-07 -702.30000000 N N N Bundesrepublik Deutschland N/A N/A 4.00000000 NC 805218.32000000 0.152829319630 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Germany Govt. Bond Futures Euro-Bund Future Jun 2021 2021-06-11 811348.85000000 EUR -6130.53000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 90000.00000000 PA 132130.39000000 0.025078164647 Long DBT NUSS IT Y 2 2067-03-01 Fixed 2.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 91.68000000 0.000017400736 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 20007.45000000 USD 2021-04-07 91.68000000 N N N Rzeczpospolita Polska 259400R9L8QEP0TPXS31 N/A 1860000.00000000 PA 511406.67000000 0.097064276221 Long DBT NUSS PL N 2 2027-07-25 Fixed 2.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 126.41000000 0.000023992442 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 20042.18000000 USD 2021-04-07 126.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 772242.42000000 0.146570539575 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20642623.04000000 EUR 25041978.86000000 USD 2021-04-22 772242.42000000 N N N Bpifrance SA 969500STN7T9MRUMJ267 N/A 600000.00000000 PA 710694.72000000 0.134888871533 Long DBT NUSS FR N 2 2022-11-25 Fixed 0.00000000 N N N N N N POLISH ZLOTY N/A N/A 1.00000000 NC 5557.06000000 0.001054722275 N/A DFE PA N 2 BARCLAYS CAPITAL INC. N/A 896428.39000000 USD 3559000.00000000 PLN 2021-04-07 5557.06000000 N N N Japan 353800WZS8AXZXFUC241 N/A 64950000.00000000 PA 600455.40000000 0.113965601590 Long DBT NUSS JP N 2 2025-06-20 Fixed 0.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 334.24000000 0.000063438288 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1562000.00000000 RON 372986.24000000 USD 2021-05-06 334.24000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 915000.00000000 PA 1112369.43000000 0.211126174035 Long DBT NUSS DE N 2 2026-08-15 Fixed 0.00000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -235.47000000 -0.00004469187 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 13811.30000000 USD 1500000.00000000 JPY 2021-04-07 -235.47000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 195000.00000000 PA 446424.75000000 0.084730797988 Long DBT NUSS FR Y 2 2055-04-25 Fixed 4.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4634.28000000 0.000879579912 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1222000.00000000 SEK 144843.37000000 USD 2021-04-07 4634.28000000 N N N N/A N/A N/A 6.00000000 NC 631168.34000000 0.119794874978 N/A DIR AU N 1 CITIGROUP GLOBAL MARKETS N/A Long Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Jun 2021 2021-06-18 642022.08000000 AUD -10853.74000000 N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC -903.78000000 -0.00017153618 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 145320.51000000 USD 947000.00000000 CNY 2021-04-07 -903.78000000 N N N SPIRIT REALTY, L.P. 549300GTBVIBJRX5BW73 84861TAH1 355000.00000000 PA USD 344891.71000000 0.065459967907 Long DBT CORP US N 2 2028-03-15 Fixed 2.10000000 N N N N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 130000.00000000 PA 210747.79000000 0.039999638060 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 -126.62000000 -0.00002403230 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20037.83000000 USD 2200000.00000000 JPY 2021-04-07 -126.62000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1285000.00000000 PA 2460657.58000000 0.467029393712 Long DBT NUSS IT Y 2 2040-09-01 Fixed 5.00000000 N N N N N N Naturgy Finance B.V. 2138005FTXOJUBQ5J563 N/A 300000.00000000 PA 371272.26000000 0.070466959685 Long DBT NUSS ES N 2 2026-04-19 Fixed 1.25000000 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 10600000.00000000 PA 1746417.37000000 0.331467593097 Long DBT NUSS CN N 2 2028-02-09 Fixed 4.88000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 397.87000000 0.000075515173 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 AUD 19438.94000000 USD 2021-04-07 397.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 108.29000000 0.000020553291 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16021.57000000 USD 2021-04-07 108.29000000 N N N KfW 549300GDPG70E3MBBU98 N/A 1020000.00000000 PA 1218878.72000000 0.231341489460 Long DBT NUSS DE N 2 2023-06-07 Fixed 0.12500000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 4204000.00000000 PA 3367017.27000000 0.639055205002 Long DBT NUSS SG N 2 2024-09-01 Fixed 3.00000000 N N N N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 240610000.00000000 PA 224556.84000000 0.042620576585 Long DBT NUSS KR N 2 2035-09-10 Fixed 2.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 268.90000000 0.000051036846 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15501.75000000 USD 2021-04-07 268.90000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 162000.00000000 PA 123569.01000000 0.023453226605 Long DBT NUSS SG N 2 2036-08-01 Fixed 2.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -84.51000000 -0.00001603988 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13881.32000000 USD 10000.00000000 GBP 2021-04-07 -84.51000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087H72 117000.00000000 PA 94375.44000000 0.017912327535 Long DBT NUSS CA N 2 2051-12-01 Fixed 2.00000000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 914000.00000000 PA 1079401.94000000 0.204868990186 Long DBT NUSS NL Y 2 2022-01-15 Fixed 0.00000000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VEV2 175000.00000000 PA 213665.16000000 0.040553350837 Long DBT NUSS US N 2 2027-04-08 Fixed 0.87500000 N N N N N N New Zealand 549300237GPHG2AI7C34 N/A 80000.00000000 PA 58896.53000000 0.011178479655 Long DBT NUSS NZ N 2 2037-04-15 Fixed 2.75000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 369000.00000000 PA 768572.98000000 0.145874084956 Long DBT NUSS FR N 2 2041-04-25 Fixed 4.50000000 N N N N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620MBK1 500000.00000000 PA 590350.83000000 0.112047768228 Long DBT NUSS US N 2 2022-12-03 Fixed 0.12500000 N N N N N N Rogers Communications Inc. 54930030NVF3Y2OL0A78 775109AV3 165000.00000000 PA 136067.07000000 0.025825341048 Long DBT NUSS CA N 2 2022-06-06 Fixed 4.00000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RKG6 870000.00000000 PA USD 841281.38000000 0.159674038369 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -25.38000000 -0.00000481708 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 130000.00000000 NOK 15204.33000000 USD 2021-04-07 -25.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 303.32000000 0.000057569715 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 CHF 16243.87000000 USD 2021-04-07 303.32000000 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 026657AM8 375000.00000000 PA 444361.23000000 0.084339144756 Long DBT NUSS US N 2 2022-08-26 Fixed 0.35000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1183000.00000000 PA 1396853.48000000 0.265120851910 Long DBT NUSS IT Y 2 2045-04-30 Fixed 1.50000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 361000.00000000 PA 429118.41000000 0.081446078675 Long DBT NUSS IT Y 2 2051-09-01 Fixed 1.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -19.36000000 -0.00000367450 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 CAD 19872.24000000 USD 2021-04-07 -19.36000000 N N N EURO N/A N/A 1.00000000 NC -415.84000000 -0.00007892585 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16871.43000000 USD 14000.00000000 EUR 2021-04-07 -415.84000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4178.05000000 -0.00079298809 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 31437892.31000000 INR 424778.41000000 USD 2021-04-15 -4178.05000000 N N N Bundesrepublik Deutschland N/A N/A 4.00000000 NC 968631.37000000 0.183844889731 N/A DIR DE N 1 CITIGROUP GLOBAL MARKETS N/A Long Germany Govt. Bond Futures EURO BUXL 30Y BND Jun 2021 2021-06-11 993582.39000000 EUR -24951.02000000 N N N NEWELL BRANDS INC. 549300LWGYFM1TVO1Z12 651229AW6 56000.00000000 PA USD 61928.16000000 0.011753878822 Long DBT CORP US N 2 2026-04-01 Fixed 4.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 201.36000000 0.000038217848 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 SGD 18808.32000000 USD 2021-04-07 201.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -10472.95000000 -0.00198775137 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 13918000.00000000 ZAR 928021.34000000 USD 2021-05-06 -10472.95000000 N N N PRUDENTIAL FINANCIAL, INC. 5PRBRS5FEH7NREC8OR45 744320AL6 199000.00000000 PA USD 210111.92000000 0.039878950816 Long DBT CORP US N 2 2042-09-15 Fixed 5.87500000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 N/A 275000.00000000 PA 329293.47000000 0.062499443602 Long DBT NUSS US N 2 2023-09-07 Fixed 0.95500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 125.09000000 0.000023741908 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 130000.00000000 NOK 15354.80000000 USD 2021-04-07 125.09000000 N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 N/A 885000.00000000 PA 1068800.41000000 0.202856834505 Long DBT NUSS AU N 2 2024-05-17 Fixed 0.50000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -204.58000000 -0.00003882900 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 17712.05000000 USD 25000.00000000 NZD 2021-04-07 -204.58000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -471.04000000 -0.00008940273 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 42103.57000000 USD 4600000.00000000 JPY 2021-04-07 -471.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -72.05000000 -0.00001367499 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15841.23000000 USD 2021-04-07 -72.05000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 5267.08000000 0.000999684474 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 2200029.70000000 USD 2963000.00000000 SGD 2021-04-07 5267.08000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 5358000.00000000 PA 646997.67000000 0.122799259843 Long DBT NUSS NO Y 2 2023-05-24 Fixed 2.00000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ACX0 1614000.00000000 PA 1358682.75000000 0.257876100330 Long DBT NUSS CA N 2 2025-06-02 Fixed 2.60000000 N N N N N N CNH INDUSTRIAL FINANCE EUROPE S.A. 5493007GVB1I2FDSS786 N/A 130000.00000000 PA 163019.10000000 0.030940798937 Long DBT NUSS GB N 2 2025-09-12 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -497.99000000 -0.00009451781 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 180000.00000000 CAD 142721.56000000 USD 2021-04-07 -497.99000000 N N N ENABLE MIDSTREAM PARTNERS, LP 549300TLGDBYE711G509 292480AK6 214000.00000000 PA USD 231198.57000000 0.043881167721 Long DBT CORP US N 2 2027-03-15 Fixed 4.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5721.31000000 -0.00108589669 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 3559000.00000000 PLN 896579.70000000 USD 2021-05-06 -5721.31000000 N N N COLOMBIA PESO N/A N/A 1.00000000 NC -12959.11000000 -0.00245962109 N/A DFE CO N 2 CITI N/A 546006.51000000 USD 1957760943.57000000 COP 2021-04-22 -12959.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 547347.55000000 0.103885805365 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1273650000.00000000 JPY 12080894.04000000 USD 2021-05-17 547347.55000000 N N N N/A N/A N/A -16.00000000 NC -1683115.55000000 -0.31945299551 N/A DIR AU N 1 GOLDMAN, SACHS & CO. N/A Short Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Jun 2021 2021-06-18 -1707334.50000000 AUD 24218.95000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -593.58000000 -0.00011266066 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20504.79000000 USD 2200000.00000000 JPY 2021-04-07 -593.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 776.43000000 0.000147365336 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 603000.00000000 NOK 71418.85000000 USD 2021-04-07 776.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -21.81000000 -0.00000413950 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15211.04000000 USD 2021-04-07 -21.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9.60000000 0.000001822066 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 SGD 14895.17000000 USD 2021-04-07 9.60000000 N N N SWAPTION PUT 584817 N/A N/A -2000000.00000000 NC 0.01000000 0.000000001897 N/A DO XX N 2 GOLDMAN, SACHS & CO. N/A Put Written N/A N/A 0.00000000 0.04000000 EUR 2021-04-21 XXXX 4071.72000000 N N N Medtronic Global Holdings S.C.A. 549300JXMTTP8GKYIX14 58507LAH2 400000.00000000 PA 495044.72000000 0.093958800818 Long DBT NUSS US N 2 2027-03-07 Fixed 1.12500000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 1858000.00000000 PA 2531688.55000000 0.480510973239 Long DBT NUSS GB N 2 2026-01-30 Fixed 0.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 554.03000000 0.000105154125 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 17000.00000000 EUR 20535.81000000 USD 2021-04-07 554.03000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -488.38000000 -0.00009269384 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 14064.21000000 USD 1500000.00000000 JPY 2021-04-07 -488.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 73.83000000 0.000014012831 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 4000000.00000000 JPY 36276.03000000 USD 2021-04-07 73.83000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 3843000.00000000 PA 459358.33000000 0.087185573523 Long DBT NUSS NO Y 2 2026-02-19 Fixed 1.50000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -172.51000000 -0.00003274215 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16113.06000000 USD 15000.00000000 CHF 2021-04-07 -172.51000000 N N N CAISSE FRANCAISE DE FINANCEMENT LOCAL SA 549300E6W08778I4OW85 N/A 500000.00000000 PA 611477.93000000 0.116057662487 Long DBT NUSS FR N 2 2026-01-19 Fixed 0.50000000 N N N N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 80413TAA7 275000.00000000 PA USD 277876.50000000 0.052740574054 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 7736.76000000 0.001468426310 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 356688.90000000 EUR 427407.82000000 USD 2021-05-27 7736.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 832.99000000 0.000158100345 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 SEK 20338.35000000 USD 2021-04-07 832.99000000 N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 N/A 350000.00000000 PA 411670.09000000 0.078134411754 Long DBT NUSS GB N 2 2021-04-12 Fixed 4.25000000 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 23680000.00000000 PA 3574794.94000000 0.678491118408 Long DBT NUSS CN N 2 2029-01-08 Fixed 3.48000000 N N N N N N United States of America N/A N/A -123.00000000 NC USD -15178007.81000000 -2.88076481785 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Jun 2021 2021-07-03 -15317221.41000000 USD 139213.60000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 820000.00000000 PA 762239.24000000 0.144671949894 Long DBT NUSS AU N 2 2027-04-21 Fixed 4.75000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -838.20000000 -0.00015908919 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 21847.17000000 USD 30000.00000000 NZD 2021-04-07 -838.20000000 N N N Naturgy Finance B.V. 2138005FTXOJUBQ5J563 N/A 200000.00000000 PA 247145.80000000 0.046907929843 Long DBT NUSS ES N 2 2169-11-18 Fixed 4.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 188.70000000 0.000035814998 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 150000.00000000 NOK 17761.44000000 USD 2021-04-07 188.70000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -78.27000000 -0.00001485553 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13875.08000000 USD 10000.00000000 GBP 2021-04-07 -78.27000000 N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC 2182.50000000 0.000414235471 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 725795.32000000 USD 4784000.00000000 CNY 2021-05-06 2182.50000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3360000.00000000 PA 855128.57000000 0.162302215813 Long DBT NUSS MY N 2 2024-07-15 Fixed 4.18100000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 478000.00000000 PA 949676.15000000 0.180247215281 Long DBT NUSS ES Y 2 2041-07-30 Fixed 4.70000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -129.44000000 -0.00002456753 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20040.65000000 USD 2200000.00000000 JPY 2021-04-07 -129.44000000 N N N Statsministeriet, Departementet 549300PTO6LS1PTM6607 N/A 4025000.00000000 PA 669666.57000000 0.127101785603 Long DBT NUSS DK N 2 2023-11-15 Fixed 1.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -6720.85000000 -0.00127560800 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 1575191.25000000 USD 13387500.00000000 NOK 2021-04-14 -6720.85000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 1.94000000 0.000000368209 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 15938.61000000 USD 15000.00000000 CHF 2021-04-07 1.94000000 N N N Romania 315700IASY927EDWBK92 N/A 1540000.00000000 PA 383901.99000000 0.072864064911 Long DBT NUSS RO N 2 2025-07-28 Fixed 3.65000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -153.28000000 -0.00002909233 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 20848.50000000 USD 15000.00000000 GBP 2021-04-07 -153.28000000 N N N Province of Ontario C7PVKCRGLG18EBQGZV36 683234YD4 1355000.00000000 PA 1383418.51000000 0.262570913249 Long DBT NUSS CA N 2 2037-06-02 Fixed 4.70000000 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 026657AR7 159000.00000000 PA 200026.62000000 0.037964774873 Long DBT NUSS US N 2 2024-10-18 Fixed 1.95000000 N N N N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857LAC2 355000.00000000 PA 449491.71000000 0.085312902740 Long DBT NUSS US N 2 2024-09-23 Fixed 2.37500000 N N N N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 2160000.00000000 PA 2667265.53000000 0.506243295885 Long DBT NUSS DE N 2 2027-02-15 Fixed 0.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -106.84000000 -0.00002027808 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 15283.34000000 USD 11000.00000000 GBP 2021-04-07 -106.84000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -49.72000000 -0.00000943678 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15863.56000000 USD 2021-04-07 -49.72000000 N N N Japan 353800WZS8AXZXFUC241 N/A 406050000.00000000 PA 3783136.62000000 0.718034080129 Long DBT NUSS JP N 2 2022-09-20 Fixed 1.90000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -303.98000000 -0.00005769498 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 21558.04000000 USD 20000.00000000 CHF 2021-04-07 -303.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 452.32000000 0.000085849708 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 SEK 14220.81000000 USD 2021-04-07 452.32000000 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -44447.07000000 -0.00843599220 N/A DFE RU N 2 GOLDMAN, SACHS & CO. N/A 1671192.48000000 USD 123159700.00000000 RUB 2021-04-21 -44447.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 101.00000000 0.000019169659 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16014.28000000 USD 2021-04-07 101.00000000 N N N DS SMITH PLC 39RSBE4RCI4M15BLWH36 N/A 430000.00000000 PA 524607.58000000 0.099569790618 Long DBT NUSS GB N 2 2024-07-26 Fixed 1.37500000 N N N N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 N/A 1200000.00000000 PA 1428406.89000000 0.271109645337 Long DBT NUSS FR N 2 2024-05-29 Fixed 0.00000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 2090000.00000000 PA 2954309.58000000 0.560723858207 Long DBT NUSS GB N 2 2022-09-07 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -12806.27000000 -0.00243061227 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 9646000.00000000 NOK 1117238.07000000 USD 2021-04-07 -12806.27000000 N N N KfW 549300GDPG70E3MBBU98 N/A 1744000.00000000 PA 2095210.46000000 0.397668037514 Long DBT NUSS DE N 2 2026-09-30 Fixed 0.00000000 N N N N N N Mitsubishi UFJ Financial Group, Inc. 353800V2V8PUY9TK3E06 N/A 250000.00000000 PA 297141.09000000 0.056396966500 Long DBT NUSS JP N 2 2024-07-19 Fixed 0.33900000 N N N N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AC0 115000.00000000 PA 139950.07000000 0.026562329059 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 10461.22000000 0.001985525037 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 61350909.00000000 JPY 566038.00000000 USD 2021-05-20 10461.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 135.06000000 0.000025634200 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16048.34000000 USD 2021-04-07 135.06000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -0.73000000 -0.00000013855 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14057.46000000 USD 2021-04-07 -0.73000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 10369.84000000 0.001968181240 N/A DFE ZA N 2 BARCLAYS CAPITAL INC. N/A 931593.04000000 USD 13918000.00000000 ZAR 2021-04-07 10369.84000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 7641000000.00000000 PA 522486.58000000 0.099167227762 Long DBT NUSS ID N 2 2048-05-15 Fixed 7.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 280.87000000 0.000053308736 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 33000.00000000 AUD 25415.08000000 USD 2021-04-07 280.87000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -7652.72000000 -0.00145247563 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 596429.67000000 USD 5025391.16000000 NOK 2021-04-15 -7652.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 202.52000000 0.000038438014 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 30000.00000000 GBP 41592.96000000 USD 2021-04-07 202.52000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 12.84000000 0.000002437014 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 15900.44000000 USD 20000.00000000 CAD 2021-04-07 12.84000000 N N N Nordea Kiinnitysluottopankki Oyj 7437001LESKGLAEOEU84 N/A 480000.00000000 PA 581480.07000000 0.110364110291 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 148.04000000 0.000028097786 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 20063.81000000 USD 2021-04-07 148.04000000 N N N Japan 353800WZS8AXZXFUC241 N/A 331950000.00000000 PA 2739774.11000000 0.520005323740 Long DBT NUSS JP N 2 2056-03-20 Fixed 0.40000000 N N N N N N Stadshypotek AB 549300UOX05QGUJJ5707 N/A 485000.00000000 PA 579646.96000000 0.110016188557 Long DBT NUSS SE N 2 2023-02-22 Fixed 0.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828ZG8 1081000.00000000 PA USD 1084124.76000000 0.205765374868 Long SN UST US N 2 2022-03-31 Fixed 0.37500000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 136000.00000000 PA 111342.66000000 0.021132682343 Long DBT NUSS SG N 2 2029-07-01 Fixed 2.87500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -187.25000000 -0.00003553979 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15420.10000000 USD 20000.00000000 AUD 2021-04-07 -187.25000000 N N N AGEAS SA 5493005DJBML6LY3RV36 N/A 200000.00000000 PA 232344.93000000 0.044098745258 Long DBT NUSS BE N 2 2051-11-24 Fixed 1.87500000 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 100000.00000000 PA 15260.26000000 0.002896376169 Long DBT NUSS CN N 2 2025-10-22 Fixed 3.02000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 38931.46000000 0.007389137077 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 27310000.00000000 CNY 4201538.46000000 USD 2021-04-14 38931.46000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -954.34000000 -0.00018113240 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 290000.00000000 TRY 33393.47000000 USD 2021-05-06 -954.34000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 63.95000000 0.000012137621 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120791.27000000 NOK 14215.91000000 USD 2021-04-15 63.95000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -284.05000000 -0.00005391229 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 53419.21000000 USD 50000.00000000 CHF 2021-04-07 -284.05000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 112.11000000 0.000021278322 N/A DFE SE N 2 JP MORGAN N/A 76798.14000000 USD 670000.00000000 SEK 2021-05-06 112.11000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -229.82000000 -0.00004361951 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15462.67000000 USD 20000.00000000 AUD 2021-04-07 -229.82000000 N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAJ1 113000.00000000 PA USD 117201.20000000 0.022244625104 Long DBT CORP US N 2 2026-01-15 Fixed 2.87500000 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 N/A 330000.00000000 PA 402433.61000000 0.076381340668 Long DBT NUSS AU N 2 2022-05-03 Fixed 3.00000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 30.22000000 0.000005735714 N/A DFE SG N 2 CITIGROUP GLOBAL MARKETS N/A 14855.35000000 USD 20000.00000000 SGD 2021-04-07 30.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 93.09000000 0.000017668352 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15325.94000000 USD 2021-04-07 93.09000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -321.34000000 -0.00006098988 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 17517.39000000 USD 1900000.00000000 JPY 2021-04-07 -321.34000000 N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 N/A 300000.00000000 PA 371270.14000000 0.070466557312 Long DBT NUSS AU N 2 2022-07-18 Fixed 3.62500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -160.86000000 -0.00003053100 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 13736.69000000 USD 1500000.00000000 JPY 2021-04-07 -160.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6.61000000 0.000001254568 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15919.89000000 USD 2021-04-07 6.61000000 N N N INDIA RUPEE N/A N/A 1.00000000 NC 10342.67000000 0.001963024412 N/A DFE IN N 2 DEUTSCHE BANK N/A 704622.89000000 USD 52399281.51000000 INR 2021-04-15 10342.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2812.52000000 0.000533812392 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 7600000.00000000 JPY 71596.70000000 USD 2021-04-07 2812.52000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 323.98000000 0.000061490954 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2200000.00000000 JPY 20235.19000000 USD 2021-04-07 323.98000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 247.98000000 0.000047066259 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 19643.62000000 USD 25000.00000000 CAD 2021-04-07 247.98000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 200000.00000000 PA USD 211472.00000000 0.040137092113 Long DBT NUSS CH Y 2 2170-01-17 Fixed 7.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 502.23000000 0.000095322556 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 140000.00000000 SEK 16565.46000000 USD 2021-04-07 502.23000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -469.65000000 -0.00008913891 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15702.50000000 USD 20000.00000000 AUD 2021-04-07 -469.65000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 190.71000000 0.000036196493 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 CAD 20082.31000000 USD 2021-04-07 190.71000000 N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 N/A 305000.00000000 PA USD 341249.86000000 0.064768749831 Long DBT NUSS NL N 2 2025-07-28 Fixed 4.75000000 N N N N N N United States of America N/A N/A 26.00000000 NC USD 3404375.00000000 0.646145650309 N/A DIR US N 1 MORGAN STANLEY & CO, INC N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2021 2021-06-24 3490318.84000000 USD -85943.84000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 46.00000000 0.000008730736 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 19845.60000000 USD 25000.00000000 CAD 2021-04-07 46.00000000 N N N EURO N/A N/A 1.00000000 NC -16.47000000 -0.00000312598 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14121.26000000 USD 12000.00000000 EUR 2021-04-07 -16.47000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -185.01000000 -0.00003511464 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 20076.61000000 USD 25000.00000000 CAD 2021-04-07 -185.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 290.21000000 0.000055081455 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 CHF 16230.76000000 USD 2021-04-07 290.21000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -4164.57000000 -0.00079042960 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 574148.90000000 USD 413128.63000000 GBP 2021-04-09 -4164.57000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 N/A 680000.00000000 PA 572691.54000000 0.108696059494 Long DBT CORP US N 2 2025-02-17 Fixed 4.05000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -106.36000000 -0.00002018698 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 17613.83000000 USD 25000.00000000 NZD 2021-04-07 -106.36000000 N N N JOHNSON CONTROLS INTERNATIONAL PLC 549300XQ6S1GYKGBL205 478375AT5 395000.00000000 PA 487273.60000000 0.092483853027 Long DBT NUSS US N 2 2025-02-25 Fixed 1.37500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 N/A 500000.00000000 PA 404892.84000000 0.076848099110 Long DBT NUSS GB N 2 2029-06-26 Fixed 4.00000000 N N N N N N ENABLE MIDSTREAM PARTNERS, LP 549300TLGDBYE711G509 292480AL4 39000.00000000 PA USD 42969.74000000 0.008155597017 Long DBT CORP US N 2 2028-05-15 Fixed 4.95000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -424.08000000 -0.00008048979 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16364.63000000 USD 15000.00000000 CHF 2021-04-07 -424.08000000 N N N Kommuninvest i Sverige Aktiebolag EV2XZWMLLXF2QRX0CD47 N/A 5830000.00000000 PA 687648.78000000 0.130514784105 Long DBT NUSS SE N 2 2024-10-02 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2267.80000000 -0.00043042529 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 3580800.00000000 MXN 172399.12000000 USD 2021-04-21 -2267.80000000 N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 052528AH9 200000.00000000 PA USD 219684.30000000 0.041695775255 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 NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -186.90000000 -0.00003547336 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 14192.88000000 USD 20000.00000000 NZD 2021-04-07 -186.90000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -71.98000000 -0.00001366170 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 17579.45000000 USD 25000.00000000 NZD 2021-04-07 -71.98000000 N N N EURO N/A N/A 1.00000000 NC -3763.16000000 -0.00071424254 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 154214.23000000 USD 128000.00000000 EUR 2021-04-07 -3763.16000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 923000.00000000 PA 754623.70000000 0.143226530971 Long DBT NUSS AU N 2 2030-05-21 Fixed 2.50000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 326000.00000000 PA 622628.01000000 0.118173932196 Long DBT NUSS AT Y 2 2037-03-15 Fixed 4.15000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC -3322.46000000 -0.00063059829 N/A DFE TR N 2 GOLDMAN, SACHS & CO. N/A 129829.98000000 USD 1050000.00000000 TRY 2021-04-07 -3322.46000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 332.05000000 0.000063022629 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 43429.48000000 USD 55000.00000000 CAD 2021-04-07 332.05000000 N N N United States of America 254900HROIFWPRGM1V77 91282CAX9 8322000.00000000 PA USD 8319724.43000000 1.579072150459 Long SN UST US N 1 2022-11-30 Fixed 0.12500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -582.41000000 -0.00011054060 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20493.62000000 USD 2200000.00000000 JPY 2021-04-07 -582.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 868.09000000 0.000164762277 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 61000.00000000 EUR 72567.43000000 USD 2021-04-07 868.09000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -4564.51000000 -0.00086633766 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 673131.84000000 USD 840186.33000000 CAD 2021-04-22 -4564.51000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 53000.00000000 PA 109022.14000000 0.020692250867 Long DBT NUSS GB N 2 2039-09-07 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1198.18000000 0.000227412901 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 934000.00000000 CNY 143632.42000000 USD 2021-04-07 1198.18000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -31053.31000000 -0.00589387514 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 16641000.00000000 GBP 22927686.90000000 USD 2021-05-06 -31053.31000000 N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040QAB0 140000.00000000 PA 230124.61000000 0.043677331604 Long DBT NUSS US N 2 2034-12-01 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -665.86000000 -0.00012637930 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 475800.00000000 SGD 353467.93000000 USD 2021-04-14 -665.86000000 N N N SCHLUMBERGER FINANCE FRANCE SAS 9695001SZIOZQ9ZXF834 N/A 305000.00000000 PA 374954.46000000 0.071165836135 Long DBT NUSS US N 2 2026-02-18 Fixed 1.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 24.04000000 0.000004562758 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 13981.94000000 USD 20000.00000000 NZD 2021-04-07 24.04000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 344000.00000000 PA 420473.64000000 0.079805313326 Long DBT NUSS DK N 2 2169-10-06 Fixed 5.87500000 N N N N N N United Kingdom of Great Britain and Northern Ireland N/A N/A -8.00000000 NC -1408278.15000000 -0.26728923842 N/A DIR GB N 1 GOLDMAN, SACHS & CO. N/A Short U.K. Gilt Futures U.K. Long Gilt Future Jun 2021 2021-07-01 -1414233.94000000 GBP 5955.79000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 523000.00000000 PA 749011.48000000 0.142161339404 Long DBT NUSS ES Y 2 2033-07-30 Fixed 2.35000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -140.81000000 -0.00002672554 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 16696.99000000 USD 12000.00000000 GBP 2021-04-07 -140.81000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 381000.00000000 PA 499644.88000000 0.094831904802 Long DBT NUSS IT N 2 2028-02-01 Fixed 2.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -58.34000000 -0.00001107285 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 18864.72000000 USD 16000.00000000 EUR 2021-04-07 -58.34000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -212.49000000 -0.00004033030 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15445.34000000 USD 20000.00000000 AUD 2021-04-07 -212.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 398.91000000 0.000075712564 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2200000.00000000 JPY 20310.12000000 USD 2021-04-07 398.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8764.24000000 -0.00166344058 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1413000.00000000 GBP 1940679.90000000 USD 2021-05-06 -8764.24000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 13.45000000 0.000002552791 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 20681.77000000 USD 15000.00000000 GBP 2021-04-07 13.45000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -407.43000000 -0.00007732964 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15640.28000000 USD 20000.00000000 AUD 2021-04-07 -407.43000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 66.14000000 0.000012553280 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 20629.08000000 USD 15000.00000000 GBP 2021-04-07 66.14000000 N N N E.ON SE Q9MAIUP40P25UFBFG033 N/A 550000.00000000 PA 648921.78000000 0.123164453251 Long DBT NUSS DE N 2 2023-12-18 Fixed 0.00000000 N N N N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 N/A 110000.00000000 PA 138493.86000000 0.026285942422 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 5919.81000000 0.001123571722 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 321997558.00000000 KRW 291266.00000000 USD 2021-04-22 5919.81000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -448.72000000 -0.00008516643 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 14454.70000000 USD 20000.00000000 NZD 2021-04-07 -448.72000000 N N N Japan 353800WZS8AXZXFUC241 N/A 297250000.00000000 PA 2714874.37000000 0.515279387644 Long DBT NUSS JP N 2 2027-09-20 Fixed 0.10000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -143.52000000 -0.00002723989 N/A DFE SE N 2 JP MORGAN N/A 26533.12000000 USD 230000.00000000 SEK 2021-04-07 -143.52000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 3099000.00000000 PA 3850299.44000000 0.730781490155 Long DBT NUSS ES Y 2 2027-07-30 Fixed 0.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 14293.55000000 0.002712895952 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 4438000.00000000 ILS 1345320.98000000 USD 2021-04-07 14293.55000000 N N N Digital Dutch Finco B.V. 549300ONZ5IS6B6IMJ70 N/A 350000.00000000 PA 419457.01000000 0.079612358363 Long DBT NUSS US N 2 2025-07-15 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 180.74000000 0.000034304201 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 EUR 14285.53000000 USD 2021-04-07 180.74000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 1896.98000000 0.000360044171 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 618721.07000000 USD 780000.00000000 CAD 2021-04-07 1896.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3046.77000000 -0.00057827271 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20654952.86000000 INR 278781.14000000 USD 2021-04-15 -3046.77000000 N N N B.A.T. INTERNATIONAL FINANCE P.L.C. 21380041YBGOQDFAC823 N/A 333000.00000000 PA 403055.83000000 0.076499437161 Long DBT NUSS GB N 2 2027-03-13 Fixed 1.25000000 N N N N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 259000.00000000 PA 516079.84000000 0.097951237401 Long DBT NUSS BE N 2 2045-06-22 Fixed 3.75000000 N N N N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1626000.00000000 PA 2436571.08000000 0.462457809440 Long DBT NUSS DE N 2 2048-08-15 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 745.56000000 0.000141506253 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 NZD 18253.03000000 USD 2021-04-07 745.56000000 N N N Bankia S.A. 549300685QG7DJS55M76 N/A 300000.00000000 PA 362205.09000000 0.068746023403 Long DBT NUSS ES N 2 2026-11-12 Fixed 1.12500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -4171.43000000 -0.00079173162 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 355521.02000000 USD 254660.64000000 GBP 2021-04-09 -4171.43000000 N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC -2812.15000000 -0.00053374216 N/A DFE CN N 2 CITIGROUP GLOBAL MARKETS N/A 431029.85000000 USD 2808000.00000000 CNY 2021-04-07 -2812.15000000 N N N ASR Nederland N.V. 7245000G0HS48PZWUD53 N/A 255000.00000000 PA 334495.50000000 0.063486781677 Long DBT NUSS NL N 2 2049-05-02 Fixed 3.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 220.86000000 0.000041918921 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16134.14000000 USD 2021-04-07 220.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -10928.97000000 -0.00207430333 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 5235496.35000000 ZAR 343362.12000000 USD 2021-04-08 -10928.97000000 N N N TYCO ELECTRONICS GROUP S.A. C33G1C5SYE2YM95EE712 902133AX5 308000.00000000 PA 349429.86000000 0.066321302479 Long DBT NUSS CH N 2 2029-02-16 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 130.90000000 0.000024844638 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 CAD 20022.50000000 USD 2021-04-07 130.90000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 810000.00000000 PA 965855.86000000 0.183318101785 Long DBT NUSS AT Y 2 2030-02-20 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 403.76000000 0.000076633087 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 NZD 14409.74000000 USD 2021-04-07 403.76000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -231.21000000 -0.00004388333 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 13807.04000000 USD 1500000.00000000 JPY 2021-04-07 -231.21000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1463000.00000000 PA 1335958.12000000 0.253562997094 Long DBT NUSS AU N 2 2037-04-21 Fixed 3.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 350.83000000 0.000066587047 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15583.68000000 USD 2021-04-07 350.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 27.96000000 0.000005306769 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15260.81000000 USD 2021-04-07 27.96000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 1380000.00000000 PA 1588687.59000000 0.301530699755 Long DBT NUSS FR Y 2 2044-06-25 Fixed 0.50000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC 15956.50000000 0.003028521555 N/A DFE ZA N 2 BARCLAYS CAPITAL INC. N/A 684149.68000000 USD 10345739.53000000 ZAR 2021-04-08 15956.50000000 N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 N/A 310000.00000000 PA 404127.87000000 0.076702908865 Long DBT NUSS AU N 2 2033-01-14 Fixed 1.25000000 N N N N N N Deutsche Telekom AG 549300V9QSIG4WX4GJ96 N/A 100000.00000000 PA 120959.98000000 0.022958036332 Long DBT NUSS DE N 2 2049-12-09 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -95.41000000 -0.00001810868 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15817.87000000 USD 2021-04-07 -95.41000000 N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 N/A 490000.00000000 PA 739371.33000000 0.140331652313 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 301.01000000 0.000057131280 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 17000.00000000 EUR 20282.79000000 USD 2021-04-07 301.01000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 267000.00000000 PA 326307.05000000 0.061932625231 Long DBT NUSS BE Y 2 2024-10-22 Fixed 0.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 3569.97000000 0.000677575351 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 1126474.37000000 USD 9646000.00000000 NOK 2021-04-07 3569.97000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 635.73000000 0.000120660671 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 187787.40000000 USD 1608000.00000000 NOK 2021-05-06 635.73000000 N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 9530000.00000000 PA 1441157.15000000 0.273529626990 Long DBT NUSS CN N 2 2027-07-10 Fixed 3.39000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 57.09000000 0.000010835602 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16613.27000000 USD 2021-04-07 57.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 284.75000000 0.000054045154 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15517.60000000 USD 2021-04-07 284.75000000 N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 13180000.00000000 PA 1573047.51000000 0.298562234277 Long DBT NUSS XX N 2 2025-05-12 Fixed 1.25000000 N N N N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 2520822.00000000 PA 817230.73000000 0.155109258377 Long DBT NUSS IL N 2 2023-03-31 Fixed 4.25000000 N N N N N N Nederlandse Waterschapsbank N.V. JLP5FSPH9WPSHY3NIM24 N/A 281000.00000000 PA 371375.10000000 0.070486478574 Long DBT NUSS NL N 2 2036-05-27 Fixed 1.25000000 N N N N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 954000.00000000 PA 1878132.63000000 0.356466966647 Long DBT NUSS DE N 2 2042-07-04 Fixed 3.25000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 525000.00000000 PA 879819.42000000 0.166988504877 Long DBT NUSS AT N 2 2027-07-15 Fixed 6.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -61.86000000 -0.00001174094 N/A DFE SE N 2 JP MORGAN N/A 14977.72000000 USD 130000.00000000 SEK 2021-04-07 -61.86000000 N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 405000.00000000 PA 458008.25000000 0.086929330212 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 350.71000000 0.000066564271 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15583.56000000 USD 2021-04-07 350.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8.08000000 -0.00000153357 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 SGD 14877.49000000 USD 2021-04-07 -8.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -65.03000000 -0.00001234260 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15848.25000000 USD 2021-04-07 -65.03000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 353000.00000000 PA 438578.80000000 0.083241647567 Long DBT NUSS ES Y 2 2027-07-30 Fixed 0.80000000 N N N N N N Merck Financial Services GmbH 549300OELEN3ZS5RB682 N/A 400000.00000000 PA 474325.67000000 0.090026353883 Long DBT NUSS DE N 2 2025-07-16 Fixed 0.12500000 N N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200JX0 990000.00000000 PA USD 1018196.12000000 0.193252210493 Long DBT CORP US N 2 2022-05-13 Fixed 2.85000000 N N N N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 409000.00000000 PA 487272.66000000 0.092483674616 Long DBT NUSS FI Y 2 2030-09-15 Fixed 0.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -3820.98000000 -0.00072521670 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 271938.55000000 USD 227879.81000000 EUR 2021-05-27 -3820.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 99.47000000 0.000018879267 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 40000.00000000 AUD 30565.18000000 USD 2021-04-07 99.47000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -17.64000000 -0.00000334804 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 11000.00000000 AUD 8360.43000000 USD 2021-04-07 -17.64000000 N N N Becton Dickinson Euro Finance S.a r.l. 549300W40NLZ25XUTH09 ZS7774319 200000.00000000 PA 238425.57000000 0.045252842292 Long DBT NUSS US N 2 2023-06-04 Fixed 0.63200000 N N N N N N Lincoln Financing S.a r.l. 222100831I4WRVCLV609 N/A 170000.00000000 PA 201488.51000000 0.038242239566 Long DBT NUSS NL Y 2 2024-04-01 Fixed 3.62500000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 403000.00000000 PA 786904.57000000 0.149353395297 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 1260.39000000 0.000239220272 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 330000.00000000 SEK 39123.73000000 USD 2021-04-07 1260.39000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -77.40000000 -0.00001469041 N/A DFE NO N 2 CITIGROUP GLOBAL MARKETS N/A 14135.59000000 USD 120000.00000000 NOK 2021-04-07 -77.40000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 411000.00000000 PA 795067.26000000 0.150902662530 Long DBT NUSS DE N 2 2037-01-04 Fixed 4.00000000 N N N N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693475AY1 885000.00000000 PA USD 930422.14000000 0.176592830905 Long DBT CORP US N 2 2024-11-01 Fixed 2.20000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 284000.00000000 PA 352979.10000000 0.066994943305 Long DBT NUSS FR N 2 2029-05-25 Fixed 0.50000000 N N N N N N N/A N/A N/A 12.00000000 NC 1069752.37000000 0.203037515192 N/A DIR AU N 1 GOLDMAN, SACHS & CO. N/A Long Australia Govt. Bond Futures AUST 3YR BOND FUT (consolidated) Jun 2021 2021-06-18 1081996.10000000 AUD -12243.73000000 N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46625HKK5 78000.00000000 PA USD 78148.20000000 0.014832419903 Long DBT CORP US N 2 2169-11-01 Floating 4.00500000 N N N N N N EURO N/A N/A 1.00000000 NC 71321.38000000 0.013536698942 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 55855335.90000000 USD 47581000.00000000 EUR 2021-04-07 71321.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 47.25000000 0.000008967984 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 55000.00000000 CAD 43808.78000000 USD 2021-04-07 47.25000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 2199000000.00000000 PA 154350.88000000 0.029295582811 Long DBT NUSS ID N 2 2035-06-15 Fixed 7.50000000 N N N N N N HOST HOTELS & RESORTS, L.P. FXB7X4WXVA8QPMNOGS12 44107TAZ9 200000.00000000 PA USD 200107.80000000 0.037980182724 Long DBT CORP US N 2 2030-09-15 Fixed 3.50000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 2274000.00000000 PA 2890643.26000000 0.548640079029 Long DBT NUSS IT Y 2 2025-07-01 Fixed 1.85000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 660000.00000000 PA 808205.82000000 0.153396342984 Long DBT NUSS US N 2 2027-03-11 Fixed 1.09000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4818.50000000 -0.00091454461 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 643565320.00000000 KRW 565493.00000000 USD 2021-04-22 -4818.50000000 N N N CYRUSONE LP 549300TDXOX1X4TWIB58 23283PAS3 154000.00000000 PA 182264.98000000 0.034593640251 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 5265.78000000 0.000999437735 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 284076.08000000 EUR 339502.45000000 USD 2021-05-27 5265.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6.58000000 0.000001248874 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 150000.00000000 NOK 17579.32000000 USD 2021-04-07 6.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 20783.16000000 0.003944614924 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 9724300.00000000 SGD 7258494.92000000 USD 2021-04-14 20783.16000000 N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DBN4 105000.00000000 PA USD 119797.42000000 0.022737384057 Long DBT CORP GB N 2 2030-04-02 Fixed 4.90600000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -221.54000000 -0.00004204798 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 20113.14000000 USD 25000.00000000 CAD 2021-04-07 -221.54000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 994000000.00000000 PA 867393.32000000 0.164630048342 Long DBT NUSS KR N 2 2026-12-10 Fixed 1.50000000 N N N N N N INTERNATIONAL FINANCE CORPORATION QKL54NQY28TCDAI75F60 45950KCN8 1000000.00000000 PA 830027.45000000 0.157538058073 Long DBT NUSS XX N 2 2023-07-19 Fixed 2.37500000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3380000.00000000 PA 824247.44000000 0.156441020197 Long DBT NUSS MY N 2 2021-09-30 Fixed 4.04800000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 476000.00000000 PA 1063089.25000000 0.201772864263 Long DBT NUSS GB N 2 2046-12-07 Fixed 4.25000000 N N N N N N Freddie Mac N/A 3137G0JJ9 191874.69500000 PA USD 204743.79000000 0.038860087192 Long DBT USGA US N 2 2028-09-25 Floating 6.45863040 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 N/A 140000.00000000 PA 158497.41000000 0.030082588450 Long DBT NUSS GB N 2 2024-05-09 Fixed 0.87500000 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 N/A 455000.00000000 PA 547303.90000000 0.103877520655 Long DBT NUSS AU N 2 2024-04-11 Fixed 0.37500000 N N N N N N EURO N/A N/A 1.00000000 NC -371.59000000 -0.00007052726 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 15651.78000000 USD 13000.00000000 EUR 2021-04-07 -371.59000000 N N N PRINCIPAL LIFE GLOBAL FUNDING II 635400WSLKBQWSOIIT41 74256LEE5 315000.00000000 PA USD 314261.81000000 0.059646455396 Long DBT CORP US Y 2 2025-06-23 Fixed 1.25000000 N N N N N N OEC FINANCE LIMITED N/A G6714RAF4 151541.00000000 PA USD 24248.08000000 0.004602251931 Long DBT NUSS BR N 2 2046-12-26 Fixed 7.12500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -319.65000000 -0.00006066912 N/A DFE SE N 2 JP MORGAN N/A 14088.14000000 USD 120000.00000000 SEK 2021-04-07 -319.65000000 N N N EURO N/A N/A 1.00000000 NC -6229.25000000 -0.00118230300 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 344744.15000000 USD 288000.00000000 EUR 2021-04-07 -6229.25000000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAH4 80000.00000000 PA USD 89443.31000000 0.016976216105 Long DBT CORP US Y 2 2024-12-15 Fixed 5.50000000 N N N N N N NATIONAL AUSTRALIA BANK LIMITED F8SB4JFBSYQFRQEH3Z21 N/A 206000.00000000 PA 268232.17000000 0.050910093605 Long DBT NUSS AU N 2 2025-06-06 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8701.60000000 0.001651551603 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2350000.00000000 SEK 278334.47000000 USD 2021-04-07 8701.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 426.37000000 0.000080924434 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 EUR 14531.16000000 USD 2021-04-07 426.37000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 98000.00000000 PA 136192.64000000 0.025849174059 Long DBT NUSS IT Y 2 2033-09-01 Fixed 2.45000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 444650000.00000000 PA 4635305.23000000 0.879774499643 Long DBT NUSS JP N 2 2034-09-20 Fixed 1.40000000 N N N N N N BERKSHIRE HATHAWAY INC. 5493000C01ZX7D35SD85 084670BZ0 265000.00000000 PA 315994.86000000 0.059975385881 Long DBT NUSS US N 2 2023-01-17 Fixed 0.62500000 N N N N N N Orsted A/S W9NG6WMZIYEU8VEDOG48 N/A 210000.00000000 PA 277348.09000000 0.052640282570 Long DBT NUSS DK N 2 2099-06-26 Fixed 6.25000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087K94 1874000.00000000 PA 1469349.60000000 0.278880514874 Long DBT NUSS CA N 2 2025-09-01 Fixed 0.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -380.10000000 -0.00007214245 N/A DFE SE N 2 JP MORGAN N/A 39390.81000000 USD 340000.00000000 SEK 2021-04-07 -380.10000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -244.09000000 -0.00004632794 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 19285.16000000 USD 25000.00000000 AUD 2021-04-07 -244.09000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 33000.00000000 PA 26823.81000000 0.005091121911 Long DBT NUSS AU N 2 2028-05-21 Fixed 2.25000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -2807.49000000 -0.00053285770 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 146368.77000000 USD 205000.00000000 NZD 2021-04-07 -2807.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 652.55000000 0.000123853084 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 130000.00000000 SEK 15568.41000000 USD 2021-04-07 652.55000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -55.74000000 -0.00001057937 N/A DFE SE N 2 JP MORGAN N/A 17266.35000000 USD 150000.00000000 SEK 2021-04-07 -55.74000000 N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816BJ7 14000.00000000 PA USD 13982.50000000 0.002653859094 Long DBT CORP US N 2 2169-05-15 Floating 3.62175120 N N N N N N Prosus N.V. 635400Z5LQ5F9OLVT688 74365PAA6 275000.00000000 PA USD 283652.29000000 0.053836810981 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 107.37000000 0.000020378676 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 16020.65000000 USD 2021-04-07 107.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -56.55000000 -0.00001073311 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15856.73000000 USD 2021-04-07 -56.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 720.97000000 0.000136839105 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 2100000.00000000 JPY 19727.13000000 USD 2021-04-07 720.97000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -398.17000000 -0.00007557211 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15631.02000000 USD 20000.00000000 AUD 2021-04-07 -398.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 231388.69000000 0.043917252234 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 16382000.00000000 GBP 22833329.90000000 USD 2021-04-07 231388.69000000 N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XAV6 21000.00000000 PA USD 22080.62000000 0.004190871031 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 55.50000000 0.000010533822 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 7647.79000000 USD 11000.00000000 NZD 2021-04-07 55.50000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 279000.00000000 PA 352784.40000000 0.066957989515 Long DBT NUSS FR N 2 2028-05-25 Fixed 0.75000000 N N N N N N WPC Eurobond B.V. 5493005XDMOLBARL5M14 N/A 405000.00000000 PA 491315.91000000 0.093251077855 Long DBT NUSS US N 2 2028-04-15 Fixed 1.35000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -421.17000000 -0.00007993748 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 7862000.00000000 DKK 1242933.92000000 USD 2021-05-06 -421.17000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -419.75000000 -0.00007966796 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15652.60000000 USD 20000.00000000 AUD 2021-04-07 -419.75000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1227.26000000 -0.00023293224 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 542409.00000000 USD 59761302.00000000 JPY 2021-05-20 -1227.26000000 N N N Husky Energy Inc. N/A 448055AP8 169000.00000000 PA USD 180305.02000000 0.034221642563 Long DBT NUSS CA N 2 2029-04-15 Fixed 4.40000000 N N N N N N BOSTON PROPERTIES LIMITED PARTNERSHIP BVHHEFJI6SHNOKQT2572 10112RBC7 195000.00000000 PA USD 196610.17000000 0.037316337404 Long DBT CORP US N 2 2030-03-15 Fixed 2.90000000 N N N N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -29653.05000000 -0.00562810773 N/A DFE BR N 2 BARCLAYS CAPITAL INC - NY N/A 824722.08000000 USD 4487312.86000000 BRL 2021-04-05 -29653.05000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 243000.00000000 PA 315641.53000000 0.059908324337 Long DBT NUSS BE Y 2 2024-06-22 Fixed 2.60000000 N N N N N N EURO N/A N/A 1.00000000 NC -0.55000000 -0.00000010438 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14105.34000000 USD 12000.00000000 EUR 2021-04-07 -0.55000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -289.64000000 -0.00005497327 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 17485.69000000 USD 1900000.00000000 JPY 2021-04-07 -289.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 185.44000000 0.000035196254 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14243.63000000 USD 2021-04-07 185.44000000 N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GXL3 715000.00000000 PA USD 715057.33000000 0.135716888856 Long DBT CORP US N 2 2023-11-17 Fixed 0.62700000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 601.79000000 0.000114218906 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 SEK 20107.15000000 USD 2021-04-07 601.79000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -285.21000000 -0.00005413246 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16225.76000000 USD 15000.00000000 CHF 2021-04-07 -285.21000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 44.92000000 0.000008525753 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 20650.30000000 USD 15000.00000000 GBP 2021-04-07 44.92000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 16134.29000000 0.003062265850 N/A DFE MX N 2 GOLDMAN, SACHS & CO. N/A 278916.20000000 USD 6040000.00000000 MXN 2021-04-07 16134.29000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 272000.00000000 PA 511040.96000000 0.096994864970 Long DBT NUSS ES Y 2 2066-07-30 Fixed 3.45000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -627.21000000 -0.00011904358 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 21636.18000000 USD 30000.00000000 NZD 2021-04-07 -627.21000000 N N N Nederlandse Waterschapsbank N.V. JLP5FSPH9WPSHY3NIM24 N/A 225000.00000000 PA 278668.39000000 0.052890873677 Long DBT NUSS NL N 2 2027-01-18 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -12.09000000 -0.00000229466 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 AUD 15220.76000000 USD 2021-04-07 -12.09000000 N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NDA6 220000.00000000 PA USD 225043.07000000 0.042712862364 Long DBT CORP US N 2 2030-02-01 Fixed 2.65000000 N N N N N N BOARDWALK PIPELINES, LP 549300W6AQ2GHHCGL606 096630AG3 119000.00000000 PA USD 131470.60000000 0.024952937421 Long DBT CORP US N 2 2029-05-03 Fixed 4.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -57.96000000 -0.00001100072 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 NZD 17449.51000000 USD 2021-04-07 -57.96000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -219.72000000 -0.00004170255 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 14225.70000000 USD 20000.00000000 NZD 2021-04-07 -219.72000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 2337000.00000000 PA 559408.98000000 0.106175048040 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 942.07000000 0.000178803578 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 5900000.00000000 JPY 54340.32000000 USD 2021-04-07 942.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6526.94000000 0.001238804153 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 468000.00000000 EUR 556613.65000000 USD 2021-04-07 6526.94000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 1643000.00000000 PA 1116555.58000000 0.211920699495 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.50000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -353.52000000 -0.00006709760 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 14359.50000000 USD 20000.00000000 NZD 2021-04-07 -353.52000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -128.86000000 -0.00002445744 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 15305.36000000 USD 11000.00000000 GBP 2021-04-07 -128.86000000 N N N People's Republic of China 300300CHN201808MOF68 N/A 12510000.00000000 PA 1870822.75000000 0.355079561568 Long DBT NUSS CN N 2 2027-06-04 Fixed 2.85000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2.67000000 0.000000506762 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15915.95000000 USD 2021-04-07 2.67000000 N N N ENEL Finance International N.V. 0YQH6LCEF474UTUV4B96 N/A 145000.00000000 PA 293391.74000000 0.055685345074 Long DBT NUSS IT N 2 2040-09-14 Fixed 5.75000000 N N N N N N BG ENERGY CAPITAL PLC S2M8QDKEE05NZN8JD460 N/A 400000.00000000 PA 540422.40000000 0.102571421506 Long DBT NUSS GB N 2 2029-11-21 Fixed 2.25000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -431.26000000 -0.00008185254 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 17938.73000000 USD 25000.00000000 NZD 2021-04-07 -431.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1683.94000000 0.000319609474 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 430000.00000000 SEK 51021.02000000 USD 2021-04-07 1683.94000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -394.93000000 -0.00007495716 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15627.78000000 USD 20000.00000000 AUD 2021-04-07 -394.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -127.04000000 -0.00002411201 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15786.24000000 USD 2021-04-07 -127.04000000 N N N EURO N/A N/A 1.00000000 NC -722.41000000 -0.00013711241 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 30107.38000000 USD 25000.00000000 EUR 2021-04-07 -722.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 48020.40000000 0.009114205275 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 8712000.00000000 MYR 2149720.96000000 USD 2021-04-07 48020.40000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 806000.00000000 PA 1209418.35000000 0.229545924364 Long DBT NUSS GB N 2 2024-09-07 Fixed 2.75000000 N N N N N N Province de Quebec 549300WN65YFEQH74Y36 748148QT3 720000.00000000 PA 795600.43000000 0.151003857456 Long DBT NUSS CA N 2 2032-06-01 Fixed 6.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -4.69000000 -0.00000089015 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13801.50000000 USD 10000.00000000 GBP 2021-04-07 -4.69000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 210000.00000000 PA 267767.79000000 0.050821954926 Long DBT NUSS US N 2 2026-04-27 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4434.92000000 0.000841741661 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 144000.00000000 EUR 173692.37000000 USD 2021-04-07 4434.92000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 735000.00000000 PA 910410.04000000 0.172794562098 Long DBT NUSS PT Y 2 2027-10-15 Fixed 0.70000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -137.18000000 -0.00002603657 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13933.99000000 USD 10000.00000000 GBP 2021-04-07 -137.18000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13.45000000 0.000002552791 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 19929.22000000 USD 2021-04-07 13.45000000 N N N ASSICURAZIONI GENERALI - SOCIETA PER AZIONI 549300X5UKJVE386ZB61 N/A 230000.00000000 PA 330463.65000000 0.062721542142 Long DBT NUSS IT N 2 2047-10-27 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 356.28000000 0.000067621449 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 EUR 17987.26000000 USD 2021-04-07 356.28000000 N N N PLAINS ALL AMERICAN PIPELINE, L.P. 5521FA2ITF25TVH63740 72650RBL5 204000.00000000 PA USD 223793.49000000 0.042475693814 Long DBT CORP US N 2 2026-12-15 Fixed 4.50000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 N/A 115000.00000000 PA 138058.12000000 0.026203239574 Long DBT NUSS US N 2 2023-10-26 Fixed 0.75000000 N N N N N N ANHEUSER-BUSCH INBEV SA 5493008H3828EMEXB082 N/A 205000.00000000 PA 293152.26000000 0.055639892102 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 103168.20000000 0.019581181180 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 19987701.44000000 SEK 2396818.66000000 USD 2021-04-15 103168.20000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087A61 107000.00000000 PA 87394.61000000 0.016587375689 Long DBT NUSS CA N 2 2023-06-01 Fixed 1.50000000 N N N N N N Statsministeriet, Departementet 549300PTO6LS1PTM6607 N/A 2040000.00000000 PA 573125.89000000 0.108778498521 Long DBT NUSS DK N 2 2039-11-15 Fixed 4.50000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -397.36000000 -0.00007541837 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 16337.91000000 USD 15000.00000000 CHF 2021-04-07 -397.36000000 N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 75000.00000000 PA 82214.63000000 0.015604222674 Long DBT NUSS CH N 2 2022-05-25 Fixed 2.00000000 N N N N N N Repubblica Italiana N/A N/A -4.00000000 NC -701933.36000000 -0.13322597756 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Short Italy Govt. Bond Futures Euro-BTP Futures Jun 2021 2021-06-11 -714661.18000000 EUR 12727.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -15.23000000 -0.00000289063 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 120000.00000000 NOK 14042.96000000 USD 2021-04-07 -15.23000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 3169.66000000 0.000601597069 N/A DFE CA N 2 J P MORGAN CHASE BANK N/A 438423.95000000 USD 555000.00000000 CAD 2021-04-07 3169.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 163.90000000 0.000031107992 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 15000.00000000 GBP 20859.12000000 USD 2021-04-07 163.90000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 1575000.00000000 PA 2021890.17000000 0.383751948228 Long DBT NUSS ES Y 2 2030-10-31 Fixed 1.25000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 55000.00000000 PA 80351.14000000 0.015250534858 Long DBT NUSS IT Y 2 2047-03-01 Fixed 2.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -137.24000000 -0.00002604796 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15776.04000000 USD 2021-04-07 -137.24000000 N N N COLOMBIA PESO N/A N/A 1.00000000 NC 5153.97000000 0.000978216353 N/A DFE CO N 2 CITI N/A 547974.27000000 USD 2032162585.53000000 COP 2021-05-20 5153.97000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 1425000.00000000 PA 1716414.47000000 0.325773084316 Long DBT NUSS BE Y 2 2027-10-22 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5842.82000000 -0.00110895912 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 925000.00000000 CAD 730146.53000000 USD 2021-04-07 -5842.82000000 N N N Mondelez International, Inc. 549300DV9GIB88LZ5P30 N/A 470000.00000000 PA 548788.32000000 0.104159261511 Long DBT NUSS US N 2 2028-03-17 Fixed 0.25000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -391.08000000 -0.00007422644 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 15623.93000000 USD 20000.00000000 AUD 2021-04-07 -391.08000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 180000.00000000 PA 251125.83000000 0.047663334014 Long DBT NUSS GB N 2 2021-05-21 Fixed 10.00000000 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 N/A 100000.00000000 PA 151489.24000000 0.028752447510 Long DBT NUSS GB N 2 2026-01-14 Fixed 3.62500000 N N N N N N ZURICH FINANCE (UK) PLC 213800LG3O6I2B27MS24 N/A 235000.00000000 PA 348589.82000000 0.066161864052 Long ABS-MBS GB N 2 2049-10-30 Fixed 6.62500000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1230000.00000000 PA 1011746.49000000 0.192028079670 Long DBT NUSS AU N 2 2024-04-21 Fixed 2.75000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -123.16000000 -0.00002337559 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 16679.34000000 USD 12000.00000000 GBP 2021-04-07 -123.16000000 N N N THE CHARLES SCHWAB CORPORATION 549300VSGCJ7E698NM85 808513BD6 395000.00000000 PA USD 437857.50000000 0.083104745828 Long DBT CORP US N 2 2169-09-01 Fixed 5.37500000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172CF4 285000.00000000 PA 341328.07000000 0.064783593981 Long DBT NUSS US N 2 2024-11-08 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -9673.69000000 -0.00183605293 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 6040000.00000000 MXN 285376.80000000 USD 2021-04-07 -9673.69000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 192.00000000 0.000036441333 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 161226.94000000 USD 117000.00000000 GBP 2021-05-06 192.00000000 N N N AXALTA COATING SYSTEMS, LLC 549300G80QONCHILSF69 05453GAC9 210000.00000000 PA USD 204792.00000000 0.038869237383 Long DBT CORP US Y 2 2029-02-15 Fixed 3.37500000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1609000.00000000 PA 2281514.16000000 0.433028221216 Long DBT NUSS IT N 2 2029-08-01 Fixed 3.00000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ADM3 585000.00000000 PA 488493.73000000 0.092715432008 Long DBT NUSS CA N 2 2026-06-02 Fixed 2.40000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -5993.24000000 -0.00113750863 N/A DFE NZ N 2 CITIGROUP GLOBAL MARKETS N/A 169162.89000000 USD 233000.00000000 NZD 2021-04-07 -5993.24000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 968800000.00000000 PA 256605.36000000 0.048703341203 Long DBT NUSS CO N 2 2032-06-30 Fixed 7.00000000 N N N N N N TOTAL CAPITAL INTERNATIONAL SA 549300U37G2I8G4RUG09 N/A 640000.00000000 PA 499110.25000000 0.094730432770 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 177.53000000 0.000033694947 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16733.71000000 USD 2021-04-07 177.53000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 31134.66000000 0.005909315258 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 4673359.03000000 SEK 567417.04000000 USD 2021-04-15 31134.66000000 N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 N/A 750000.00000000 PA 632174.00000000 0.119985747850 Long DBT NUSS AU N 2 2023-08-16 Fixed 5.00000000 N N N N N N BPCE S.A. 9695005MSX1OYEMGDF46 N/A 300000.00000000 PA 360362.46000000 0.068396294786 Long DBT NUSS FR N 2 2023-01-18 Fixed 1.12500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -414.78000000 -0.00007872466 N/A DFE AU N 2 MORGAN STANLEY & CO, INC N/A 27072.27000000 USD 35000.00000000 AUD 2021-04-07 -414.78000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 1049000.00000000 PA 2188614.03000000 0.415395905472 Long DBT NUSS GB N 2 2040-12-07 Fixed 4.25000000 N N N N N N Suncor Energy Inc. 549300W70ZOQDVLCHY06 86721ZAL3 900000.00000000 PA 727934.12000000 0.138160885727 Long DBT NUSS CA N 2 2021-11-26 Fixed 3.10000000 N N N N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 N/A 235000.00000000 PA 281159.17000000 0.053363620265 Long DBT NUSS CA N 2 2022-09-21 Fixed 0.75000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -183.44000000 -0.00003481665 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 10810.47000000 USD 10000.00000000 CHF 2021-04-07 -183.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 182.09000000 0.000034560429 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 170000.00000000 NOK 20097.86000000 USD 2021-04-07 182.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -87.52000000 -0.00001661117 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 12000.00000000 GBP 16468.66000000 USD 2021-04-07 -87.52000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGH1 445000.00000000 PA USD 447308.99000000 0.084898625513 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N EURO N/A N/A 1.00000000 NC -367.84000000 -0.00006981552 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16823.43000000 USD 14000.00000000 EUR 2021-04-07 -367.84000000 N N N ROYAUME DE BELGIQUE 549300SZ25JZFHRHWD76 N/A 490000.00000000 PA 637745.78000000 0.121043263961 Long DBT NUSS BE Y 2 2031-06-22 Fixed 1.00000000 N N N N N N NISSAN MOTOR CO.,LTD. 353800DRBDH1LUTNAY26 N/A 165000.00000000 PA 210209.83000000 0.039897533998 Long DBT NUSS JP N 2 2026-03-17 Fixed 2.65200000 N N N N N N Medtronic Global Holdings S.C.A. 549300JXMTTP8GKYIX14 58507LAM1 115000.00000000 PA 136705.18000000 0.025946453440 Long DBT NUSS US N 2 2025-07-02 Fixed 0.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -39.76000000 -0.00000754639 N/A DFE SE N 2 JP MORGAN N/A 16102.99000000 USD 140000.00000000 SEK 2021-04-07 -39.76000000 N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 N/A 300000.00000000 PA 397831.35000000 0.075507838108 Long DBT NUSS NL N 2 2033-01-10 Fixed 1.25000000 N N N N N N Repubblica Italiana N/A N/A 24.00000000 NC 3191913.97000000 0.605820841675 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Italy Govt. Bond Futures Short Term Euro-BTP Futures Jun 2021 2021-06-11 3274636.69000000 EUR -82722.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -39.63000000 -0.00000752171 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CAD 15873.65000000 USD 2021-04-07 -39.63000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 277000.00000000 PA 350731.46000000 0.066568344352 Long DBT NUSS FR N 2 2028-11-25 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 399.23000000 0.000075773299 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 25000.00000000 AUD 19440.30000000 USD 2021-04-07 399.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 14817.67000000 0.002812373201 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1562000.00000000 RON 387862.34000000 USD 2021-04-07 14817.67000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468W2 1000000.00000000 PA USD 998142.16000000 0.189445996717 Long DBT CORP US N 2 2024-01-25 Fixed 0.52900000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 72.84000000 0.000013824930 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 20000.00000000 CHF 21326.90000000 USD 2021-04-07 72.84000000 N N N BHP BILLITON FINANCE LIMITED 549300KZMIS43NMT0A66 N/A 101000.00000000 PA 118928.94000000 0.022572547758 Long DBT NUSS AU N 2 2076-04-22 Fixed 4.75000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -17.18000000 -0.00000326074 N/A DFE CH N 2 J P MORGAN CHASE BANK N/A 15957.73000000 USD 15000.00000000 CHF 2021-04-07 -17.18000000 N N N NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LIMITED 254900ZJG39H1CAH6K02 N/A 479000.00000000 PA 390304.15000000 0.074079185994 Long DBT NUSS NZ N 2 2027-04-15 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2566.64000000 0.000487144709 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 122000.00000000 EUR 145965.31000000 USD 2021-04-07 2566.64000000 N N N Japan 353800WZS8AXZXFUC241 N/A 859850000.00000000 PA 7877237.59000000 1.495088762323 Long DBT NUSS JP N 2 2022-06-20 Fixed 0.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -54.93000000 -0.00001042563 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 250000.00000000 NOK 29239.71000000 USD 2021-05-06 -54.93000000 N N N UBS Group AG 549300SZJ9VS8SGXAN81 N/A 427000.00000000 PA 518045.82000000 0.098324377677 Long DBT NUSS CH N 2 2022-11-16 Fixed 1.75000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1815.34000000 0.000344549012 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 184459.45000000 USD 135013.27000000 GBP 2021-04-09 1815.34000000 N N N Deutsche Telekom International Finance B.V. 529900ERDFHS6C1M4U58 N/A 225000.00000000 PA 268762.41000000 0.051010732421 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 9336.39000000 0.001772033864 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 276000.00000000 NZD 202618.89000000 USD 2021-04-07 9336.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1140.95000000 0.000216550726 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 79000.00000000 AUD 61310.72000000 USD 2021-04-07 1140.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1337.86000000 0.000253923971 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 1868000.00000000 CNY 286206.33000000 USD 2021-04-07 1337.86000000 N N N ENGIE SA LAXUQCHT4FH58LRZDY46 N/A 300000.00000000 PA 362841.16000000 0.068866748606 Long DBT NUSS FR N 2 2024-03-27 Fixed 0.87500000 N N N N N N JAB Holdings B.V. 529900RRNKUM3INJGF98 N/A 400000.00000000 PA 483355.70000000 0.091740241044 Long DBT NUSS AT N 2 2027-12-20 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -110519.27000000 -0.02097640406 N/A DFE US N 2 MORGAN STANLEY & CO, INC N/A 17107000.00000000 CAD 13500907.58000000 USD 2021-04-07 -110519.27000000 N N N 2021-03-31 SEI INSTITUTIONAL INTERNATIONAL TRUST Peter Rodriguez Peter Rodriguez CFO