0001752724-22-123690.txt : 20220526
0001752724-22-123690.hdr.sgml : 20220526
20220526115049
ACCESSION NUMBER: 0001752724-22-123690
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220331
FILED AS OF DATE: 20220526
PERIOD START: 20220930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INTERNATIONAL TRUST
CENTRAL INDEX KEY: 0000835597
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05601
FILM NUMBER: 22967261
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
2022-09-30
2022-03-31
N
574763558.68
20199472.08
554564086.60
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
14654474.70000000
CNY
EUR
JPY
USD
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 1.456000% 01/14/2027
853254BZ2
355000.00000000
PA
USD
322734.05000000
0.058195988128
Long
DBT
NUSS
GB
N
2
2027-01-14
Fixed
1.45600000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
32335000.00000000
PA
1510966.46000000
0.272460207306
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 0.875000% 09/15/2026
N/A
2600000.00000000
PA
3288255.43000000
0.592944171729
Long
DBT
NUSS
DE
N
2
2026-09-15
Fixed
0.87500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1504.57000000
0.000271306786
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
278632.41000000
USD
34000000.00000000
JPY
2022-04-06
1504.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-05-23
N/A
1.00000000
NC
USD
-36467.31000000
-0.00657585135
N/A
DFE
US
N
2
JP MORGAN
N/A
8230400.00000000
ILS
2546737.95000000
USD
2022-05-23
-36467.31000000
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.125000% 06/15/2031
02209SAZ6
310000.00000000
PA
345004.52000000
0.062211839593
Long
DBT
NUSS
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-40503.69000000
-0.00730369870
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
256100000.00000000
JPY
2069586.93000000
USD
2022-04-06
-40503.69000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.650000% 05/21/2029
N/A
18120000.00000000
PA
2948076.29000000
0.531602453392
Long
DBT
NUSS
CN
N
2
2029-05-21
Fixed
3.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
-5412.33000000
-0.00097596114
N/A
DFE
US
N
2
JP MORGAN
N/A
15104560781.00000000
IDR
1046892.21000000
USD
2022-04-28
-5412.33000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8382.69000000
0.001511581835
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
556726.11000000
USD
520000.00000000
CHF
2022-04-06
8382.69000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 1.500000% 07/22/2047
N/A
194000.00000000
PA
239657.51000000
0.043215476045
Long
DBT
NUSS
GB
N
2
2047-07-22
Fixed
1.50000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.250000% 05/21/2028
N/A
33000.00000000
PA
24146.58000000
0.004354155017
Long
DBT
NUSS
AU
N
2
2028-05-21
Fixed
2.25000000
N
N
N
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC 1.450000% 08/01/2039
718172CM9
115000.00000000
PA
97183.68000000
0.017524337105
Long
DBT
NUSS
US
N
2
2039-08-01
Fixed
1.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
4240.23000000
0.000764605949
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
5649000.00000000
DKK
849282.12000000
USD
2022-04-06
4240.23000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE OATI/L 0.10% 07/25/2031
N/A
163000.00000000
PA
222610.50000000
0.040141528342
Long
DBT
USGA
FR
N
2
2031-07-25
Fixed
0.10000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
567000.00000000
PA
391324.69000000
0.070564376499
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
2804000.00000000
PA
127879.95000000
0.023059544079
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-25
N/A
1.00000000
NC
USD
-5281.87000000
-0.00095243635
N/A
DFE
US
N
2
JP MORGAN
N/A
216574000.00000000
JPY
1779952.99000000
USD
2022-04-25
-5281.87000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.250000% 07/31/2031
N/A
536000.00000000
PA
623812.82000000
0.112487056964
Long
DBT
NUSS
GB
N
2
2031-07-31
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
-6301.88000000
-0.00113636640
N/A
DFE
US
N
2
JP MORGAN
N/A
458263.28000000
EUR
504141.85000000
USD
2022-05-12
-6301.88000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
305950000.00000000
PA
2843980.13000000
0.512831645380
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
E.ON SE
Q9MAIUP40P25UFBFG033
E.ON SE MTN 0.000000% 12/18/2023
N/A
550000.00000000
PA
609078.06000000
0.109830058367
Long
DBT
NUSS
DE
N
2
2023-12-18
Fixed
0.00000000
N
N
N
N
N
N
BG ENERGY CAPITAL PLC
S2M8QDKEE05NZN8JD460
BG ENERGY CAPITAL PLC MTN 2.250000% 11/21/2029
N/A
400000.00000000
PA
454607.68000000
0.081975679814
Long
DBT
NUSS
GB
N
2
2029-11-21
Fixed
2.25000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5564.49000000
0.001003398909
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
282654.26000000
USD
360000.00000000
CAD
2022-04-06
5564.49000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
7319000.00000000
PA
1780892.54000000
0.321133766688
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
WPC Eurobond B.V.
5493005XDMOLBARL5M14
WPC EUROBOND BV 1.350000% 04/15/2028
N/A
530000.00000000
PA
556871.51000000
0.100416078764
Long
DBT
NUSS
US
N
2
2028-04-15
Fixed
1.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6159.49000000
-0.00111069038
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
905000.00000000
PLN
210976.12000000
USD
2022-04-06
-6159.49000000
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.300000% 11/21/2022
00287YBM0
800000.00000000
PA
USD
802697.02000000
0.144743779735
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.680000% 05/21/2030
N/A
9380000.00000000
PA
1456102.63000000
0.262567062163
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 0.400000% 03/20/2056
N/A
331950000.00000000
PA
2317893.01000000
0.417966663548
Long
DBT
NUSS
JP
N
2
2056-03-20
Fixed
0.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-06-17
N/A
1.00000000
NC
USD
-22265.50000000
-0.00401495526
N/A
DFE
US
N
2
JP MORGAN
N/A
19365420.20000000
SEK
2060302.54000000
USD
2022-06-17
-22265.50000000
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.250000% 06/11/2024
N/A
739000.00000000
PA
827310.60000000
0.149182145037
Long
DBT
NUSS
CH
N
2
2024-06-11
Fixed
1.25000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 5.000000% 09/01/2040
N/A
579000.00000000
PA
906856.91000000
0.163526079656
Long
DBT
NUSS
IT
N
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORMATION SERVICES INC 0.625000% 12/03/2025
31620MBL9
185000.00000000
PA
200684.53000000
0.036187797740
Long
DBT
NUSS
US
N
2
2025-12-03
Fixed
0.62500000
N
N
N
N
N
N
COMPAGNIE DE FINANCEMENT FONCIER S.A.
DKGVVH5FKILG8R13CO13
CIE DE FINANCEMENT FONCIER SA MTN 5.500000% 01/26/2027
N/A
387000.00000000
PA
588830.06000000
0.106178902353
Long
DBT
NUSS
FR
N
2
2027-01-26
Fixed
5.50000000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.000000% 10/22/2031
B1121KCJ2
266000.00000000
PA
270435.31000000
0.048765384656
Long
DBT
NUSS
BE
N
2
2031-10-22
Fixed
0.00000000
N
N
N
N
N
N
CREDIT AGRICOLE HOME LOAN SFH SA
969500C9913Z7PKUGB44
CREDIT AGRICOLE HOME LOAN SFH SA MTN 1.250000% 03/24/2031
N/A
300000.00000000
PA
334508.88000000
0.060319246789
Long
DBT
NUSS
FR
N
2
2031-03-24
Fixed
1.25000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.750000% 10/20/2026
N/A
1118000.00000000
PA
1258659.32000000
0.226963727080
Long
DBT
NUSS
AT
N
2
2026-10-20
Fixed
0.75000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5098.40000000
0.000919352717
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
277123.60000000
USD
2630000.00000000
SEK
2022-04-06
5098.40000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
91.59000000
0.000016515674
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
7397.44000000
USD
110000.00000000
TRY
2022-04-06
91.59000000
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 1.250000% 05/27/2036
N/A
281000.00000000
PA
307876.27000000
0.055516806341
Long
DBT
NUSS
NL
N
2
2036-05-27
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
1715.17000000
0.000309282559
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
212000.00000000
GBP
280838.58000000
USD
2022-04-06
1715.17000000
N
N
N
Kraft Heinz Foods Company
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 2.250000% 05/25/2028
N/A
175000.00000000
PA
198923.96000000
0.035870328570
Long
DBT
NUSS
US
N
2
2028-05-25
Fixed
2.25000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.384000% 04/02/2026
06051GKM0
700000.00000000
PA
USD
699057.60000000
0.126055331906
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 4.500000% 04/25/2041
N/A
239000.00000000
PA
411660.45000000
0.074231357555
Long
DBT
NUSS
FR
N
2
2041-04-25
Fixed
4.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
5364000.00000000
PA
273012.05000000
0.049230027078
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: Overnight Brazilian Interbank Deposit Rate
N/A
9677642.98000000
NC
-114080.61000000
-0.02057122211
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-9677642.98000000
BRL
-114080.61000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 05/25/2066
N/A
84000.00000000
PA
101253.29000000
0.018258176547
Long
DBT
NUSS
FR
N
2
2066-05-25
Fixed
1.75000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC MATURITY: PERPETUAL
639057AA6
200000.00000000
PA
USD
200000.00000000
0.036064362051
Long
DBT
NUSS
GB
N
2
2170-03-31
Floating
3.32600040
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
15249.68000000
0.002749849903
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
281995.55000000
USD
2770000.00000000
SEK
2022-04-06
15249.68000000
N
N
N
CYRUSONE LP
549300TDXOX1X4TWIB58
CYRUSONE LP / CYRUSONE FINANCE CORP 1.450000% 01/22/2027
23283PAS3
254000.00000000
PA
290715.76000000
0.052422392113
Long
DBT
CORP
US
N
2
2027-01-22
Fixed
1.45000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2022-05-18
N/A
1.00000000
NC
128.48000000
0.000023167746
N/A
DFE
CN
N
2
CITIGROUP GLOBAL MARKETS
N/A
223324.92000000
USD
1422294.53000000
CNY
2022-05-18
128.48000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
60000.00000000
PA
99237.79000000
0.017894737938
Long
DBT
NUSS
ES
N
2
2041-07-30
Fixed
4.70000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
5240000.00000000
PA
4052677.80000000
0.730786197289
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-06-09
N/A
1.00000000
NC
USD
-20525.23000000
-0.00370114662
N/A
DFE
US
N
2
JP MORGAN
N/A
2135999.89000000
GBP
2790459.58000000
USD
2022-06-09
-20525.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4483.94000000
-0.00080855217
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3095000.00000000
TRY
206230.22000000
USD
2022-04-06
-4483.94000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4292.20000000
0.000773977273
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
562071.39000000
USD
509000.00000000
EUR
2022-04-06
4292.20000000
N
N
N
Volkswagen International Finance N.V.
5299004PWNHKYTR23649
VOLKSWAGEN INTERNATIONAL FINANCE NV 1.125000% 10/02/2023
N/A
400000.00000000
PA
447899.77000000
0.080766097340
Long
DBT
NUSS
DE
N
2
2023-10-02
Fixed
1.12500000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.250000% 10/14/2024
N/A
156000.00000000
PA
172887.21000000
0.031175334677
Long
DBT
NUSS
XX
N
2
2024-10-14
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
-2482.25000000
-0.00044760381
N/A
DFE
US
N
2
JP MORGAN
N/A
14986096223.00000000
IDR
1041569.10000000
USD
2022-04-28
-2482.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6908.16000000
-0.00124569191
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
410000.00000000
NZD
278248.55000000
USD
2022-04-06
-6908.16000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
498.25000000
0.000089845341
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
282575.02000000
USD
215000.00000000
GBP
2022-04-06
498.25000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.500000% 06/25/2044
N/A
1380000.00000000
PA
1296794.03000000
0.233840247021
Long
DBT
NUSS
FR
N
2
2044-06-25
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7285.19000000
-0.00131367864
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
569000.00000000
EUR
625840.31000000
USD
2022-04-06
-7285.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-06-09
N/A
1.00000000
NC
USD
87934.33000000
0.015856477569
N/A
DFE
US
N
2
JP MORGAN
N/A
11578518.11000000
GBP
15325312.68000000
USD
2022-06-09
87934.33000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
812000.00000000
PA
583553.10000000
0.105227351373
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
19.00000000
NC
23433985.58000000
4.225658701354
N/A
DIR
JP
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Jun 2022
2022-06-16
24640589.03000000
JPY
-1206603.45000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-859.86000000
-0.00015505151
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
504524.53000000
USD
3195000.00000000
CNY
2022-04-06
-859.86000000
N
N
N
Becton Dickinson Euro Finance S.a r.l.
549300W40NLZ25XUTH09
BECTON DICKINSON EURO FINANCE SARL 1.213000% 02/12/2036
N/A
129000.00000000
PA
126171.29000000
0.022751435415
Long
DBT
NUSS
US
N
2
2036-02-12
Fixed
1.21300000
N
N
N
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLOBAL FUNDING I MTN 1.950000% 01/13/2023
59217GEE5
1000000.00000000
PA
USD
1000123.40000000
0.180344061969
Long
DBT
CORP
US
N
2
2023-01-13
Fixed
1.95000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-13
N/A
1.00000000
NC
5420.73000000
0.000977475846
N/A
DFE
CH
N
2
CITIGROUP GLOBAL MARKETS
N/A
1048191.65000000
USD
969239.76000000
CHF
2022-04-13
5420.73000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2467.45000000
0.000444935050
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
210057.98000000
USD
191000.00000000
EUR
2022-04-06
2467.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-5021.15000000
-0.00090542285
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
415000.00000000
NZD
283613.08000000
USD
2022-04-06
-5021.15000000
N
N
N
N/A
N/A
AUST 10YR BND FUTR JUN 2022
N/A
52.00000000
NC
4949225.39000000
0.892453281701
N/A
DIR
AU
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Australia Govt. Bond Futures
AUST 10Y BOND (consolidated) Jun 2022
2022-06-15
5032359.95000000
AUD
-83134.56000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
2199000000.00000000
PA
157058.74000000
0.028321116313
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
287.69000000
0.000051876781
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
92000.00000000
GBP
121416.72000000
USD
2022-04-06
287.69000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.900000% 10/31/2052
N/A
610000.00000000
PA
648238.68000000
0.116891572257
Long
DBT
NUSS
ES
N
2
2052-10-31
Fixed
1.90000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.250000% 06/28/2023
N/A
2655000.00000000
PA
592413.61000000
0.106825094576
Long
DBT
NUSS
RO
N
2
2023-06-28
Fixed
4.25000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 1.900000% 01/26/2026
N/A
50000000.00000000
PA
441504.07000000
0.079612813138
Long
DBT
NUSS
XX
N
2
2026-01-26
Fixed
1.90000000
N
N
N
N
N
N
CAISSE FRANCAISE DE FINANCEMENT LOCAL SA
549300E6W08778I4OW85
CAISSE FRANCAISE DE FINANCEMENT LOCAL MTN 3.000000% 10/02/2028
N/A
100000.00000000
PA
124541.37000000
0.022457525290
Long
DBT
NUSS
FR
N
2
2028-10-02
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-829.52000000
-0.00014958054
N/A
DFE
US
N
2
JP MORGAN
N/A
8294400.00000000
CHF
9041893.32000000
USD
2022-06-13
-829.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1257.45000000
-0.00022674566
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
868000.00000000
NOK
98010.18000000
USD
2022-04-06
-1257.45000000
N
N
N
LAS VEGAS SANDS CORP.
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP 3.900000% 08/08/2029
517834AF4
275000.00000000
PA
USD
252175.51000000
0.045472744466
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDEN GOVERNMENT BOND 144A 0.125000% 05/12/2031
N/A
5545000.00000000
PA
540015.93000000
0.097376650065
Long
DBT
NUSS
SE
N
2
2031-05-12
Fixed
0.12500000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2022-04-29
N/A
1.00000000
NC
5168.07000000
0.000931915737
N/A
DFE
TW
N
2
MORGAN STANLEY & CO, INC
N/A
986514.34000000
USD
28352422.00000000
TWD
2022-04-29
5168.07000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 1.000000% 03/31/2030
N/A
593000.00000000
PA
172014.13000000
0.031017899311
Long
DBT
NUSS
IL
N
2
2030-03-31
Fixed
1.00000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-11080.75000000
-0.00199810089
N/A
DFE
KR
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
1051569.00000000
USD
1262164769.00000000
KRW
2022-04-28
-11080.75000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-04-06
N/A
1.00000000
NC
6309.83000000
0.001137799968
N/A
DFE
MX
N
2
BANK OF AMERICA
N/A
140066.10000000
USD
2920000.00000000
MXN
2022-04-06
6309.83000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 09/05/2024
N/A
6750000.00000000
PA
334873.38000000
0.060384974088
Long
DBT
NUSS
MX
N
2
2024-09-05
Fixed
8.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-06
N/A
1.00000000
NC
-26197.54000000
-0.00472398783
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
9958063.50000000
USD
8919000.00000000
EUR
2022-05-06
-26197.54000000
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 3.500000% 11/01/2027
05369AAA9
8000.00000000
PA
USD
7570.93000000
0.001365203802
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-35141.23000000
-0.00633673020
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
5069000.00000000
PLN
1178124.86000000
USD
2022-05-06
-35141.23000000
N
N
N
PERUVIAN INTI
N/A
FX Forward Contract: PEN/USD SETTLE 2022-04-25
N/A
1.00000000
NC
13255.94000000
0.002390335097
N/A
DFE
PE
N
2
JP MORGAN
N/A
1265629.16000000
USD
4757500.00000000
PEN
2022-04-25
13255.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-06-13
N/A
1.00000000
NC
USD
261.75000000
0.000047199233
N/A
DFE
US
N
2
JP MORGAN
N/A
515100.00000000
CAD
412641.85000000
USD
2022-06-13
261.75000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
11579.97000000
0.002088121153
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
558962.57000000
USD
525000.00000000
CHF
2022-04-06
11579.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
6972.57000000
0.001257306444
N/A
DFE
US
N
2
JP MORGAN
N/A
195741.15000000
EUR
225001.91000000
USD
2022-05-12
6972.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1524.86000000
-0.00027496551
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
191000.00000000
EUR
211000.57000000
USD
2022-04-06
-1524.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-05-06
N/A
1.00000000
NC
USD
5084.72000000
0.000916885915
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2400000.00000000
NOK
279538.77000000
USD
2022-05-06
5084.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-8935.51000000
-0.00161126733
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2720000.00000000
SEK
282944.28000000
USD
2022-04-06
-8935.51000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
220000.00000000
PA
181791.28000000
0.032780932698
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
31000000.00000000
NC
59029.85000000
0.010644369411
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-09-09
0.00000000
CNY
0.00000000
CNY
-31000000.00000000
CNY
59029.85000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-22
N/A
1.00000000
NC
17783.04000000
0.003206669964
N/A
DFE
CA
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
1132888.97000000
USD
1437259.99000000
CAD
2022-04-22
17783.04000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.000000% 06/01/2027
135087F82
1375000.00000000
PA
1027950.24000000
0.185361848132
Long
DBT
NUSS
CA
N
2
2027-06-01
Fixed
1.00000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.750000% 04/21/2037
N/A
393000.00000000
PA
320497.71000000
0.057792727250
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE 0.000000% 02/09/2024
N/A
490000.00000000
PA
540347.72000000
0.097436479039
Long
DBT
NUSS
CA
N
2
2024-02-09
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7972.73000000
-0.00143765710
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2570000.00000000
NOK
285941.80000000
USD
2022-04-06
-7972.73000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.250000% 07/31/2051
N/A
761000.00000000
PA
882449.39000000
0.159124871466
Long
DBT
NUSS
GB
N
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-5630.33000000
-0.00101527129
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
415000.00000000
NZD
283003.90000000
USD
2022-04-06
-5630.33000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1019.06000000
0.000183758743
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
283370.83000000
USD
216000.00000000
GBP
2022-04-06
1019.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-5383.52000000
-0.00097076607
N/A
DFE
US
N
2
JP MORGAN
N/A
428000.00000000
CHF
461230.75000000
USD
2022-06-13
-5383.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
57.90000000
0.000010440632
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
214000.00000000
GBP
281814.55000000
USD
2022-04-06
57.90000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
2620000.00000000
NC
-38109.81000000
-0.00687202992
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2024-11-02
0.00000000
NZD
0.00000000
NZD
-2620000.00000000
NZD
-38109.81000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.800000% 03/01/2041
N/A
247000.00000000
PA
252644.87000000
0.045557380310
Long
DBT
NUSS
IT
N
2
2041-03-01
Fixed
1.80000000
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 5.375000% MATURITY: PERPETUAL
808513BD6
395000.00000000
PA
USD
406850.00000000
0.073363928503
Long
DBT
CORP
US
N
2
2170-09-01
Fixed
5.37500000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
863000.00000000
PA
608586.13000000
0.109741352659
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2040
N/A
1156000.00000000
PA
2109093.77000000
0.380315606611
Long
DBT
NUSS
GB
N
2
2040-12-07
Fixed
4.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-06-13
N/A
1.00000000
NC
563.25000000
0.000101566259
N/A
DFE
GB
N
2
JP MORGAN
N/A
278430.62000000
USD
212000.00000000
GBP
2022-06-13
563.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-858.18000000
-0.00015474857
N/A
DFE
US
N
2
JP MORGAN
N/A
490000.00000000
EUR
544457.62000000
USD
2022-04-13
-858.18000000
N
N
N
Prologis International Funding II S.A.
213800JNRWW2C9DWI388
PROLOGIS INTERNATIONAL FUNDING II SA 2.375000% 11/14/2030
N/A
200000.00000000
PA
228216.65000000
0.041152439459
Long
DBT
NUSS
LU
N
2
2030-11-14
Fixed
2.37500000
N
N
N
N
N
N
CCO HOLDINGS, LLC
N/A
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 144A 4.500000% 06/01/2033
1248EPCL5
127000.00000000
PA
USD
113982.50000000
0.020553530737
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Japan Finance Organization for Municipalities
5493007YYYNZ4NMEOD64
JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES MTN 0.050000% 02/12/2027
N/A
440000.00000000
PA
465780.41000000
0.083990366714
Long
DBT
NUSS
JP
N
2
2027-02-12
Fixed
0.05000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4118.34000000
0.000742626524
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
1158960.82000000
USD
7378000.00000000
CNY
2022-04-06
4118.34000000
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 5.625000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
201302.40000000
0.036299213177
Long
DBT
NUSS
SE
N
2
2171-03-17
Fixed
5.62500000
N
N
N
Y
Y
Swedbank AB
SWEDX 5.625 PERP
SEK
XXXX
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-06-15
N/A
1.00000000
NC
USD
-36442.44000000
-0.00657136675
N/A
DFE
US
N
2
JP MORGAN
N/A
2852272263.00000000
KRW
2314066.64000000
USD
2022-06-15
-36442.44000000
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.000000% 05/24/2023
N/A
2680000.00000000
PA
307648.31000000
0.055475700182
Long
DBT
NUSS
NO
N
2
2023-05-24
Fixed
2.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-28
N/A
1.00000000
NC
16034.19000000
0.002891314166
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
1160791.42000000
USD
1566940.94000000
AUD
2022-04-28
16034.19000000
N
N
N
GILEAD SCIENCES, INC.
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 0.750000% 09/29/2023
375558BW2
545000.00000000
PA
USD
532257.64000000
0.095977661168
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3401.44000000
-0.00061335381
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
279152.96000000
USD
2022-04-06
-3401.44000000
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.200000% 10/22/2023
N/A
933000.00000000
PA
1044092.98000000
0.188272736231
Long
DBT
NUSS
BE
N
2
2023-10-22
Fixed
0.20000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.450000% 07/30/2066
N/A
272000.00000000
PA
393906.09000000
0.071029859220
Long
DBT
NUSS
ES
N
2
2066-07-30
Fixed
3.45000000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA 0.125000% 10/15/2029
N/A
270000.00000000
PA
276576.66000000
0.049872804006
Long
DBT
NUSS
AU
N
2
2029-10-15
Fixed
0.12500000
N
N
N
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 0.500000% 07/11/2025
N/A
1420000.00000000
PA
1576260.67000000
0.284234177453
Long
DBT
NUSS
XX
N
2
2025-07-11
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
5080.33000000
0.000916094302
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
425000.00000000
GBP
564643.78000000
USD
2022-04-06
5080.33000000
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 1.150000% 10/29/2023
00774MAT2
1000000.00000000
PA
USD
957238.90000000
0.172611051297
Long
DBT
NUSS
IE
N
2
2023-10-29
Fixed
1.15000000
N
N
N
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 1.100000% 05/15/2029
N/A
670000.00000000
PA
761366.48000000
0.137290981943
Long
DBT
NUSS
IE
N
2
2029-05-15
Fixed
1.10000000
N
N
N
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 2.000000% 03/31/2027
N/A
925000.00000000
PA
293621.80000000
0.052946414507
Long
DBT
NUSS
IL
N
2
2027-03-31
Fixed
2.00000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.500000% 04/21/2033
N/A
195000.00000000
PA
168994.56000000
0.030473404983
Long
DBT
NUSS
AU
N
2
2033-04-21
Fixed
4.50000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 2.125000% 09/30/2024
N/A
885000.00000000
PA
1011314.07000000
0.182361983842
Long
DBT
NUSS
US
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 1.250000% 03/19/2025
N/A
375000.00000000
PA
417691.32000000
0.075318854951
Long
DBT
NUSS
FR
N
2
2025-03-19
Fixed
1.25000000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 3.650000% 03/25/2041
68389XBZ7
160000.00000000
PA
USD
139749.75000000
0.025199927903
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.875000% 06/10/2029
N/A
496110000.00000000
PA
379067.85000000
0.068354200922
Long
DBT
NUSS
KR
N
2
2029-06-10
Fixed
1.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6364.59000000
-0.00114767439
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
429000.00000000
GBP
558465.34000000
USD
2022-04-06
-6364.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-41745.80000000
-0.00752767822
N/A
DFE
US
N
2
JP MORGAN
N/A
4612100.00000000
CAD
3650621.27000000
USD
2022-06-13
-41745.80000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
9565500.00000000
PA
460349.88000000
0.083011123713
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
10889000.00000000
PA
1198791.23000000
0.216168204715
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.625000% 02/15/2029
87264ABS3
87000.00000000
PA
USD
79407.51000000
0.014318905951
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.000000% 10/22/2027
N/A
1133000.00000000
PA
1220880.75000000
0.220151426949
Long
DBT
NUSS
BE
N
2
2027-10-22
Fixed
0.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-05-06
N/A
1.00000000
NC
564.09000000
0.000101717729
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
277135.21000000
USD
211000.00000000
GBP
2022-05-06
564.09000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 4.150000% 03/15/2037
N/A
561000.00000000
PA
893466.59000000
0.161111512914
Long
DBT
NUSS
AT
Y
2
2037-03-15
Fixed
4.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
-3513.99000000
-0.00063364903
N/A
DFE
US
N
2
JP MORGAN
N/A
645877.75000000
EUR
715907.05000000
USD
2022-05-12
-3513.99000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
980000.00000000
NC
-12930.76000000
-0.00233169805
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2024-11-01
0.00000000
NZD
0.00000000
NZD
-980000.00000000
NZD
-12930.76000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1002.90000000
0.000180844743
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
282070.37000000
USD
215000.00000000
GBP
2022-04-06
1002.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-5341.35000000
-0.00096316190
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
255000.00000000
EUR
278396.79000000
USD
2022-04-06
-5341.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
3191.41000000
0.000575480828
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
211000.00000000
GBP
280998.20000000
USD
2022-04-06
3191.41000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 0.529000% 01/25/2024
6174468W2
1000000.00000000
PA
USD
983730.47000000
0.177388059156
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.52900000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-1.00000000
NC
-159618.17000000
-0.02878263736
N/A
DIR
GB
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2022
2022-07-01
-166162.42000000
GBP
6544.25000000
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES MTN 2.500000% 06/30/2051
N/A
200000.00000000
PA
212444.08000000
0.038308301084
Long
DBT
NUSS
FR
N
2
2051-06-30
Fixed
2.50000000
N
N
N
N
N
N
Volkswagen International Finance N.V.
5299004PWNHKYTR23649
VOLKSWAGEN INTERNATIONAL FINANCE NV 3.875000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
328369.09000000
0.059212108741
Long
DBT
NUSS
DE
N
2
2170-06-17
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6696.03000000
-0.00120744025
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
410000.00000000
NZD
278460.68000000
USD
2022-04-06
-6696.03000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5376.23000000
0.000969451525
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
285038.10000000
USD
261000.00000000
EUR
2022-04-06
5376.23000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.200000% 06/20/2036
N/A
89650000.00000000
PA
714932.44000000
0.128917911793
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-317976.62000000
-0.05733811973
N/A
DFE
US
N
2
JP MORGAN
N/A
18167100.00000000
NZD
12295584.12000000
USD
2022-06-13
-317976.62000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.690000% 08/12/2026
Y6S39BF47
16200000.00000000
PA
2565219.21000000
0.462564971656
Long
DBT
NUSS
CN
N
2
2026-08-12
Fixed
2.69000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-31319.81000000
-0.00564764483
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
568523.67000000
USD
65200000.00000000
JPY
2022-04-06
-31319.81000000
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 0.537000% 11/13/2023
110122DT2
950000.00000000
PA
USD
923512.45000000
0.166529436780
Long
DBT
CORP
US
N
2
2023-11-13
Fixed
0.53700000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 3.187000% 11/15/2036
11135FBQ3
185000.00000000
PA
USD
160596.45000000
0.028959042585
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD 144A 2.990000% 05/21/2031
632525AY7
520000.00000000
PA
USD
471857.38000000
0.085086176945
Long
DBT
NUSS
AU
N
2
2031-05-21
Fixed
2.99000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.000000% 08/01/2029
N/A
1609000.00000000
PA
1956020.96000000
0.352713240410
Long
DBT
NUSS
IT
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
GLENCORE FINANCE (EUROPE) LIMITED
213800WHKNIC1JQQG433
GLENCORE FINANCE EUROPE LTD MTN 1.500000% 10/15/2026
ZS1069690
120000.00000000
PA
130720.10000000
0.023571685069
Long
DBT
NUSS
AU
N
2
2026-10-15
Fixed
1.50000000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 3.100000% 12/01/2051
74814ZFE8
780000.00000000
PA
606214.96000000
0.109313778992
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
3.10000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
46.00000000
NC
6595264.58000000
1.189270048198
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2022
2022-06-11
6585201.60000000
EUR
10062.98000000
N
N
N
JAB Holdings B.V.
529900RRNKUM3INJGF98
JAB HOLDINGS BV 1.000000% 12/20/2027
N/A
400000.00000000
PA
419835.33000000
0.075705466716
Long
DBT
NUSS
AT
N
2
2027-12-20
Fixed
1.00000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2037
N/A
80000.00000000
PA
51906.99000000
0.009359962401
Long
DBT
NUSS
NZ
N
2
2037-04-15
Fixed
2.75000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN22 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
2486091.95000000
0.448296600892
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2022
2022-06-11
2638031.60000000
EUR
-151939.65000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 0.500000% 09/21/2026
N/A
682000.00000000
PA
467319.54000000
0.084267905421
Long
DBT
NUSS
AU
N
2
2026-09-21
Fixed
0.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-28
N/A
1.00000000
NC
320.15000000
0.000057730027
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
301437.85000000
USD
401790.17000000
AUD
2022-04-28
320.15000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
1215000.00000000
PA
873173.67000000
0.157452256844
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 4.017000% 03/28/2028
456837BB8
290000.00000000
PA
USD
291593.91000000
0.052580741711
Long
DBT
NUSS
NL
N
2
2028-03-28
Fixed
4.01700000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
341582.08000000
0.061594699017
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
56728000.00000000
EUR
63462748.16000000
USD
2022-04-06
341582.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
4430.41000000
0.000798899551
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
33400000.00000000
JPY
279623.80000000
USD
2022-04-06
4430.41000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-6494.49000000
-0.00117109819
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
279216.08000000
USD
33100000.00000000
JPY
2022-04-06
-6494.49000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
3221.62000000
0.000580928350
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
276915.36000000
USD
34000000.00000000
JPY
2022-04-06
3221.62000000
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP MTN 0.625000% 11/21/2024
N/A
465000.00000000
PA
513528.13000000
0.092600322020
Long
DBT
NUSS
US
N
2
2024-11-21
Fixed
0.62500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2030
N/A
1797120000.00000000
PA
1312353.10000000
0.236645886690
Long
DBT
NUSS
KR
N
2
2030-12-10
Fixed
1.50000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.000000% 07/15/2024
N/A
491000.00000000
PA
570823.28000000
0.102931887187
Long
DBT
NUSS
NL
N
2
2024-07-15
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3504.98000000
-0.00063202433
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
355000.00000000
CAD
280710.74000000
USD
2022-04-06
-3504.98000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-05-06
N/A
1.00000000
NC
3572.02000000
0.000644113112
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
279326.61000000
USD
260000.00000000
CHF
2022-05-06
3572.02000000
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BANK OF JAPAN INC MTN 0.875000% 10/10/2025
N/A
1145000.00000000
PA
1266320.88000000
0.228345273449
Long
DBT
NUSS
JP
N
2
2025-10-10
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-14660.49000000
-0.00264360609
N/A
DFE
US
N
2
JP MORGAN
N/A
42281808436.00000000
IDR
2929929.21000000
USD
2022-04-13
-14660.49000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-38.00000000
NC
-6708220.21000000
-1.20963841187
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Jun 2022
2022-06-11
-6954862.77000000
EUR
246642.56000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.875000% 12/15/2023
N/A
2075000.00000000
PA
2695183.21000000
0.486000315405
Long
DBT
NUSS
XX
N
2
2023-12-15
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7133.63000000
-0.00128634907
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
620000.00000000
NZD
424078.95000000
USD
2022-04-06
-7133.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6363.63000000
-0.00114750128
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
390000.00000000
AUD
286508.90000000
USD
2022-04-06
-6363.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-01
N/A
1.00000000
NC
USD
569.67000000
0.000102723925
N/A
DFE
US
N
2
JP MORGAN
N/A
515900.00000000
NOK
59570.13000000
USD
2022-04-01
569.67000000
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.700000% 06/02/2037
683234YD4
1355000.00000000
PA
1266098.63000000
0.228305196927
Long
DBT
NUSS
CA
N
2
2037-06-02
Fixed
4.70000000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA MTN 3.000000% 05/03/2022
N/A
330000.00000000
PA
368193.29000000
0.066393280577
Long
DBT
NUSS
AU
N
2
2022-05-03
Fixed
3.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 03/20/2029
N/A
35900000.00000000
PA
295659.24000000
0.053313809376
Long
DBT
NUSS
JP
N
2
2029-03-20
Fixed
0.10000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 09/20/2032
N/A
33600000.00000000
PA
318510.01000000
0.057434301588
Long
DBT
NUSS
JP
N
2
2032-09-20
Fixed
1.70000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 5.500000% 12/15/2024
05369AAH4
80000.00000000
PA
USD
82339.53000000
0.014847613105
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
CAISSE FRANCAISE DE FINANCEMENT LOCAL SA
549300E6W08778I4OW85
CAISSE FRANCAISE DE FINANCEMENT LOCAL MTN 0.500000% 01/19/2026
N/A
500000.00000000
PA
547841.47000000
0.098787765605
Long
DBT
NUSS
FR
N
2
2026-01-19
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-2556.38000000
-0.00046097106
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
355000.00000000
CAD
281659.34000000
USD
2022-04-06
-2556.38000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033
N/A
21450000.00000000
PA
200250.66000000
0.036109561516
Long
DBT
NUSS
JP
N
2
2033-03-20
Fixed
1.50000000
N
N
N
N
N
N
THE SOUTHERN COMPANY
549300FC3G3YU2FBZD92
SOUTHERN CO/THE 1.875000% 09/15/2081
BR3544508
200000.00000000
PA
198157.02000000
0.035732032561
Long
DBT
NUSS
US
N
2
2081-09-15
Fixed
1.87500000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 4.000000% 01/15/2037
N/A
236000.00000000
PA
377073.26000000
0.067994532843
Long
DBT
NUSS
NL
N
2
2037-01-15
Fixed
4.00000000
N
N
N
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA MTN 1.500000% 12/03/2026
N/A
300000.00000000
PA
371059.91000000
0.066910194685
Long
DBT
NUSS
ES
N
2
2026-12-03
Fixed
1.50000000
N
N
N
N
N
N
ENGIE SA
LAXUQCHT4FH58LRZDY46
ENGIE SA MTN 0.875000% 03/27/2024
N/A
300000.00000000
PA
334982.20000000
0.060404596708
Long
DBT
NUSS
FR
N
2
2024-03-27
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-17357.50000000
-0.00312993582
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
760000.00000000
AUD
553368.46000000
USD
2022-04-06
-17357.50000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 0.500000% 04/26/2024
N/A
500000.00000000
PA
552610.26000000
0.099647682450
Long
DBT
NUSS
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 2.750000% 09/07/2024
N/A
110000.00000000
PA
149472.38000000
0.026953130145
Long
DBT
NUSS
GB
N
2
2024-09-07
Fixed
2.75000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 01/31/2028
N/A
3295000.00000000
PA
3469293.03000000
0.625589199486
Long
DBT
NUSS
ES
N
2
2028-01-31
Fixed
0.00000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD 5.000000% 03/11/2024
N/A
750000.00000000
PA
588654.83000000
0.106147304562
Long
DBT
NUSS
AU
N
2
2024-03-11
Fixed
5.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-28
N/A
1.00000000
NC
2394.26000000
0.000431737297
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
536657.66000000
USD
717746.55000000
AUD
2022-04-28
2394.26000000
N
N
N
MAGALLANES, INC.
549300DXR29GD4N0A520
MAGALLANES INC 144A 4.054000% 03/15/2029
55903VAJ2
92000.00000000
PA
USD
92456.29000000
0.016671885582
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-05-23
N/A
1.00000000
NC
USD
202.72000000
0.000036554837
N/A
DFE
US
N
2
JP MORGAN
N/A
54168000.00000000
CLP
68478.67000000
USD
2022-05-23
202.72000000
N
N
N
Orsted A/S
W9NG6WMZIYEU8VEDOG48
ORSTED AS 6.250000% 06/26/3013
N/A
210000.00000000
PA
245630.09000000
0.044292462482
Long
DBT
NUSS
DK
N
2
2099-06-26
Fixed
6.25000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij N.V.
TAFO772JB70PDRN5VS48
SIEMENS FINANCIERINGSMAATSCHAPPIJ NV 144A 1.200000% 03/11/2026
82620KAZ6
775000.00000000
PA
USD
719457.35000000
0.129733851755
Long
DBT
NUSS
DE
N
2
2026-03-11
Fixed
1.20000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.400000% 12/20/2049
N/A
142950000.00000000
PA
1033668.36000000
0.186392949882
Long
DBT
NUSS
JP
N
2
2049-12-20
Fixed
0.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7908.98000000
-0.00142616159
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2530000.00000000
NOK
281431.00000000
USD
2022-04-06
-7908.98000000
N
N
N
CENTENE CORPORATION
549300Z7JJ4TQSQGT333
CENTENE CORP 2.625000% 08/01/2031
15135BAZ4
128000.00000000
PA
USD
113920.00000000
0.020542260624
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-5422.03000000
-0.00097771026
N/A
DFE
US
N
2
JP MORGAN
N/A
956275.55000000
CHF
1034097.60000000
USD
2022-04-13
-5422.03000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2356.61000000
0.000424948181
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
278043.44000000
USD
252000.00000000
EUR
2022-04-06
2356.61000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-2082.55000000
-0.00037552918
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
561646.00000000
USD
425000.00000000
GBP
2022-04-06
-2082.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1695.09000000
-0.00030566169
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2490000.00000000
NOK
283070.35000000
USD
2022-04-06
-1695.09000000
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 1.875000% 08/15/2026
00914AAM4
110000.00000000
PA
USD
101333.13000000
0.018272573440
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.87500000
N
N
N
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.000000% 04/26/2028
N/A
3667000.00000000
PA
405366.22000000
0.073096370607
Long
DBT
NUSS
NO
N
2
2028-04-26
Fixed
2.00000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
3690.75000000
0.000665522721
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
207023.41000000
USD
3095000.00000000
TRY
2022-04-06
3690.75000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.800000% 09/20/2047
N/A
709500000.00000000
PA
5795540.89000000
1.045062424711
Long
DBT
NUSS
JP
N
2
2047-09-20
Fixed
0.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-21
N/A
1.00000000
NC
USD
953.61000000
0.000171956681
N/A
DFE
US
N
2
JP MORGAN
N/A
12409000.00000000
MXN
614543.62000000
USD
2022-06-21
953.61000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7051.59000000
0.001271555473
N/A
DFE
NO
N
2
MORGAN STANLEY & CO, INC
N/A
280001.12000000
USD
2510000.00000000
NOK
2022-04-06
7051.59000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.300000% 06/20/2046
N/A
85800000.00000000
PA
627981.78000000
0.113238811378
Long
DBT
NUSS
JP
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.500000% 07/15/2026
N/A
280000.00000000
PA
313338.56000000
0.056501776362
Long
DBT
NUSS
NL
N
2
2026-07-15
Fixed
0.50000000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.400000% 06/02/2026
68323ADM3
585000.00000000
PA
461194.79000000
0.083163479414
Long
DBT
NUSS
CA
N
2
2026-06-02
Fixed
2.40000000
N
N
N
N
N
N
NISSAN MOTOR CO.,LTD.
353800DRBDH1LUTNAY26
NISSAN MOTOR CO LTD 2.652000% 03/17/2026
N/A
165000.00000000
PA
184959.87000000
0.033352298583
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
MEDTRONIC GLOBAL HOLDINGS SCA 1.125000% 03/07/2027
58507LAH2
400000.00000000
PA
442819.00000000
0.079849923696
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
UK TSY GILT 4.250000% 09/07/2039
N/A
53000.00000000
PA
95365.11000000
0.017196409270
Long
DBT
NUSS
GB
N
2
2039-09-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-04-21
N/A
1.00000000
NC
USD
-8133.46000000
-0.00146664023
N/A
DFE
US
N
2
JP MORGAN
N/A
16186244.73000000
ZAR
1097347.80000000
USD
2022-04-21
-8133.46000000
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP MTN 0.850000% 06/07/2024
902973BB1
226000.00000000
PA
251623.03000000
0.045373120272
Long
DBT
NUSS
US
N
2
2024-06-07
Fixed
0.85000000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
41000.00000000
PA
46963.06000000
0.008468463994
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
Volkswagen Leasing Gesellschaft mit beschraenkter Haftung
5299004GLEUX88BSNB74
VOLKSWAGEN LEASING GMBH MTN 1.125000% 04/04/2024
N/A
520000.00000000
PA
579891.76000000
0.104567131917
Long
DBT
NUSS
DE
N
2
2024-04-04
Fixed
1.12500000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
9338.79000000
0.001683987518
N/A
DFE
ID
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
1032181.65000000
USD
14949768111.00000000
IDR
2022-04-28
9338.79000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-28
N/A
1.00000000
NC
6312.57000000
0.001138294049
N/A
DFE
ID
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
1051057.40000000
USD
15177268907.00000000
IDR
2022-04-28
6312.57000000
N
N
N
Heimstaden Bostad Treasury B.V.
549300ORG6UYMJBCV938
HEIMSTADEN BOSTAD TREASURY BV MTN 1.375000% 03/03/2027
N/A
380000.00000000
PA
403409.01000000
0.072743442957
Long
DBT
NUSS
SE
N
2
2027-03-03
Fixed
1.37500000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 5.750000% 06/01/2033
135087XG4
1205000.00000000
PA
1274528.32000000
0.229825253887
Long
DBT
NUSS
CA
N
2
2033-06-01
Fixed
5.75000000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
BELGIUM KINGDOM 3.750000% 06/22/2045
N/A
419000.00000000
PA
681777.09000000
0.122939279061
Long
DBT
NUSS
BE
N
2
2045-06-22
Fixed
3.75000000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-04-04
N/A
1.00000000
NC
19888.15000000
0.003586267210
N/A
DFE
BR
N
2
GOLDMAN, SACHS & CO.
N/A
265724.25000000
USD
1357215.84000000
BRL
2022-04-04
19888.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
5527.88000000
0.000996797328
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
33100000.00000000
JPY
278249.47000000
USD
2022-04-06
5527.88000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 2.875000% 04/08/2039
N/A
280000.00000000
PA
278828.61000000
0.050278879707
Long
DBT
NUSS
MX
N
2
2039-04-08
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-2433.91000000
-0.00043888705
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
355000.00000000
CAD
281781.81000000
USD
2022-04-06
-2433.91000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.125000% 09/01/2022
N/A
4839000.00000000
PA
3601793.65000000
0.649481951145
Long
DBT
NUSS
SG
N
2
2022-09-01
Fixed
3.12500000
N
N
N
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
DEUTSCHE TELEKOM AG MTN 1.750000% 12/09/2049
N/A
100000.00000000
PA
106182.96000000
0.019147103565
Long
DBT
NUSS
DE
N
2
2049-12-09
Fixed
1.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
-15389.23000000
-0.00277501381
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
539814.11000000
USD
470815.20000000
EUR
2022-05-12
-15389.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3211.30000000
-0.00057906742
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
255000.00000000
EUR
280526.84000000
USD
2022-04-06
-3211.30000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.478000% 06/14/2024
N/A
1305000.00000000
PA
314162.13000000
0.056650283996
Long
DBT
NUSS
MY
N
2
2024-06-14
Fixed
3.47800000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
179000.00000000
PA
126230.50000000
0.022762112269
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.250000% 05/25/2036
N/A
340000.00000000
PA
383572.48000000
0.069166483958
Long
DBT
NUSS
FR
N
2
2036-05-25
Fixed
1.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-04-06
N/A
1.00000000
NC
72961.33000000
0.013156519104
N/A
DFE
MX
N
2
BANK OF AMERICA
N/A
2281084.39000000
USD
46960000.00000000
MXN
2022-04-06
72961.33000000
N
N
N
N/A
N/A
EURO FX CURR FUT JUN22 CURRENCY FUTURE.
N/A
-240.00000000
NC
USD
-33297000.00000000
-6.00417531617
N/A
DFE
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Currency Futures
EUR/USD Future (Consolidated) (IMM) Jun 2022
2022-06-16
-33369037.40000000
USD
72037.40000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
1329000.00000000
PA
917231.95000000
0.165396925650
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-2818.48000000
-0.00050823341
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
519000.00000000
EUR
574672.09000000
USD
2022-04-06
-2818.48000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 5.000000% 03/07/2025
EC4532734
43000.00000000
PA
62308.41000000
0.011235565285
Long
DBT
NUSS
GB
N
2
2025-03-07
Fixed
5.00000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.600000% 10/31/2029
N/A
174000.00000000
PA
186793.87000000
0.033683008783
Long
DBT
NUSS
ES
N
2
2029-10-31
Fixed
0.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-06
N/A
1.00000000
NC
USD
-3010.26000000
-0.00054281553
N/A
DFE
US
N
2
JP MORGAN
N/A
11096000.00000000
THB
331010.45000000
USD
2022-06-06
-3010.26000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
3477000.00000000
PA
2689152.80000000
0.484912900957
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
ODEBRECHT HOLDCO FINANCE LIMITED
N/A
ODEBRECHT HOLDCO FINANCE LTD ZERO COUPON 09/10/2058
G6714UAA8
310752.00000000
PA
USD
2019.89000000
0.000364230221
Long
DBT
NUSS
KY
N
2
2058-09-10
Fixed
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-2324.26000000
-0.00041911477
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
431825.92000000
USD
386000.00000000
EUR
2022-04-06
-2324.26000000
N
N
N
HeidelbergCement Finance Luxembourg S.A.
529900RYHTCF5X9DD509
HEIDELBERGCEMENT FINANCE LUXEMBOURG SA MTN 1.625000% 04/07/2026
N/A
400000.00000000
PA
447232.19000000
0.080645718106
Long
DBT
NUSS
DE
N
2
2026-04-07
Fixed
1.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1628.33000000
-0.00029362341
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
375000.00000000
AUD
279979.88000000
USD
2022-04-06
-1628.33000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.500000% 04/30/2027
N/A
393000.00000000
PA
450684.54000000
0.081268252108
Long
DBT
NUSS
ES
N
2
2027-04-30
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
503.50000000
0.000090792031
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
283057.90000000
USD
2022-04-06
503.50000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-04-13
N/A
1.00000000
NC
1228.82000000
0.000221583046
N/A
DFE
CO
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
218340.13000000
USD
824889000.00000000
COP
2022-04-13
1228.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-13
N/A
1.00000000
NC
USD
1267.68000000
0.000228590352
N/A
DFE
US
N
2
JP MORGAN
N/A
967381.00000000
CHF
1052859.50000000
USD
2022-04-13
1267.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3826.50000000
-0.00069000140
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
255000.00000000
EUR
279911.64000000
USD
2022-04-06
-3826.50000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.000000% 05/15/2032
N/A
1154000.00000000
PA
717783.49000000
0.129432018290
Long
DBT
NUSS
NZ
N
2
2032-05-15
Fixed
2.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 3.900000% MATURITY: PERPETUAL
949746TD3
132000.00000000
PA
USD
126528.60000000
0.022815866201
Long
DBT
CORP
US
N
2
2171-03-15
Fixed
3.90000000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: Daily GBP Overnight Index Ave (SONIA) Rate
N/A
210000.00000000
NC
-32596.87000000
-0.00587792660
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2052-01-07
0.00000000
GBP
0.00000000
GBP
-210000.00000000
GBP
-32596.87000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-05-06
N/A
1.00000000
NC
2622.20000000
0.000472839850
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
555408.62000000
USD
424000.00000000
GBP
2022-05-06
2622.20000000
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.300000% 01/30/2032
00774MAX3
450000.00000000
PA
USD
405656.82000000
0.073148772126
Long
DBT
NUSS
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
297650000.00000000
PA
2471396.23000000
0.445646642059
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.750000% 12/01/2048
135087D35
300000.00000000
PA
256651.86000000
0.046279928001
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 1.550000% 03/15/2028
171239AA4
325000.00000000
PA
358050.37000000
0.064564290882
Long
DBT
NUSS
US
N
2
2028-03-15
Fixed
1.55000000
N
N
N
N
N
N
PSP Capital Inc.
549300B456N0WEIC5249
PSP CAPITAL INC 144A 1.625000% 10/26/2028
69376P2B0
1814000.00000000
PA
USD
1699372.25000000
0.306433880422
Long
DBT
NUSS
CA
N
2
2028-10-26
Fixed
1.62500000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.350000% 06/22/2032
N/A
620000.00000000
PA
645133.34000000
0.116331611726
Long
DBT
NUSS
BE
N
2
2032-06-22
Fixed
0.35000000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 2.8%
N/A
12090000.00000000
NC
28294.98000000
0.005102202014
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2026-04-02
0.00000000
CNY
0.00000000
CNY
-12090000.00000000
CNY
28294.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-3072.63000000
-0.00055406220
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
805000.00000000
NZD
556263.05000000
USD
2022-05-06
-3072.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-215562.83000000
-0.03887067973
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
14587000.00000000
CAD
11462900.97000000
USD
2022-04-06
-215562.83000000
N
N
N
WESTERN DIGITAL CORPORATION
549300QQXOOYEF89IC56
WESTERN DIGITAL CORP 3.100000% 02/01/2032
958102AR6
150000.00000000
PA
USD
134305.50000000
0.024218210887
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
3.10000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 06/21/2035
N/A
1243000.00000000
PA
911425.86000000
0.164349960991
Long
DBT
NUSS
AU
N
2
2035-06-21
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
7808.78000000
0.001408093345
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
493834000.00000000
HUF
1503666.04000000
USD
2022-04-06
7808.78000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 1.250000% 01/14/2033
N/A
310000.00000000
PA
340450.89000000
0.061390720788
Long
DBT
NUSS
AU
N
2
2033-01-14
Fixed
1.25000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.000000% MATURITY: PERPETUAL
172967MU2
71000.00000000
PA
USD
68160.00000000
0.012290734587
Long
DBT
CORP
US
N
2
2171-03-10
Fixed
4.00000000
N
N
N
N
N
N
BNG BANK N.V.
529900GGYMNGRQTDOO93
BNG BANK NV MTN 0.250000% 02/22/2023
N/A
1260000.00000000
PA
1407867.33000000
0.253869185549
Long
DBT
NUSS
NL
N
2
2023-02-22
Fixed
0.25000000
N
N
N
N
N
N
WEIBO CORPORATION
549300Q9ID4640FE0422
WEIBO CORP 3.500000% 07/05/2024
948596AD3
200000.00000000
PA
USD
195252.00000000
0.035208194096
Long
DBT
NUSS
CN
N
2
2024-07-05
Fixed
3.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.800000% 03/01/2067
N/A
359000.00000000
PA
403162.00000000
0.072698901667
Long
DBT
NUSS
IT
N
2
2067-03-01
Fixed
2.80000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.850000% 07/30/2035
N/A
167000.00000000
PA
191782.80000000
0.034582621672
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-05-06
N/A
1.00000000
NC
1470.31000000
0.000265128960
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
277545.10000000
USD
212000.00000000
GBP
2022-05-06
1470.31000000
N
N
N
CRH Funding B.V.
549300XYDB6706OPOS81
CRH FUNDING BV MTN 1.875000% 01/09/2024
N/A
310000.00000000
PA
351408.99000000
0.063366705217
Long
DBT
NUSS
IE
N
2
2024-01-09
Fixed
1.87500000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC CANADA MTN 3.700000% 05/20/2026
N/A
568000.00000000
PA
431701.82000000
0.077845253674
Long
DBT
NUSS
CA
N
2
2026-05-20
Fixed
3.70000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2249.20000000
0.000405579815
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
838820.64000000
USD
1120000.00000000
AUD
2022-04-06
2249.20000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7468.81000000
0.001346789339
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
1380980.71000000
USD
168515000.00000000
JPY
2022-04-06
7468.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
1108.26000000
0.000199843449
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1460000.00000000
NOK
168079.16000000
USD
2022-04-06
1108.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-6588.33000000
-0.00118801959
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
520000.00000000
CHF
559208.93000000
USD
2022-05-06
-6588.33000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-957.66000000
-0.00017268698
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
277798.91000000
USD
33600000.00000000
JPY
2022-04-06
-957.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
3531.39000000
0.000636786637
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
399000.00000000
EUR
447498.13000000
USD
2022-04-06
3531.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-06-21
N/A
1.00000000
NC
USD
-280286.11000000
-0.05054169874
N/A
DFE
US
N
2
JP MORGAN
N/A
115359200.00000000
MXN
5423900.56000000
USD
2022-06-21
-280286.11000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2603.64000000
0.000469493078
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
141505.74000000
USD
180000.00000000
CAD
2022-04-06
2603.64000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 10/31/2031
N/A
1239000.00000000
PA
1272670.10000000
0.229490176293
Long
DBT
NUSS
ES
N
2
2031-10-31
Fixed
0.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
2316000.00000000
PA
548910.87000000
0.098980601748
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
EMERSON ELECTRIC CO.
FGLT0EWZSUIRRITFOA30
EMERSON ELECTRIC CO 0.375000% 05/22/2024
291011BK9
350000.00000000
PA
386395.70000000
0.069675572100
Long
DBT
CORP
US
N
2
2024-05-22
Fixed
0.37500000
N
N
N
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 4.100000% 04/15/2037
N/A
277000.00000000
PA
409413.61000000
0.073826203299
Long
DBT
NUSS
PT
N
2
2037-04-15
Fixed
4.10000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2046
N/A
476000.00000000
PA
928548.08000000
0.167437470697
Long
DBT
NUSS
GB
N
2
2046-12-07
Fixed
4.25000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.350000% 07/30/2033
N/A
262000.00000000
PA
318635.10000000
0.057456858043
Long
DBT
NUSS
ES
N
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
BNG BANK N.V.
529900GGYMNGRQTDOO93
BNG BANK NV MTN 0.000000% 01/20/2031
N/A
900000.00000000
PA
908912.28000000
0.163896707695
Long
DBT
NUSS
NL
N
2
2031-01-20
Fixed
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
3621.48000000
0.000653031829
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
281741.50000000
USD
380000.00000000
AUD
2022-04-06
3621.48000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.270000% 11/19/2030
N/A
13260000.00000000
PA
2154763.07000000
0.388550777460
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.384000% 04/02/2026
06051GKM0
67000.00000000
PA
USD
66909.80000000
0.012065296260
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.125000% 05/01/2024
00928QAQ4
22000.00000000
PA
USD
21963.71000000
0.003960535947
Long
DBT
NUSS
US
N
2
2024-05-01
Fixed
4.12500000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-01-13
N/A
1.00000000
NC
3726.25000000
0.000671924145
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
285547.16000000
USD
1855000.00000000
CNY
2023-01-13
3726.25000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
17.00000000
NC
USD
3011125.00000000
0.542971510914
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2022
2022-06-24
3007385.52000000
USD
3739.48000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-13409.06000000
-0.00241794597
N/A
DFE
NO
N
2
MORGAN STANLEY & CO, INC
N/A
1246820.81000000
USD
10785000.00000000
NOK
2022-04-06
-13409.06000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 1.000000% 08/15/2024
N/A
328000.00000000
PA
373630.09000000
0.067373654195
Long
DBT
NUSS
DE
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4951.13000000
0.000892796724
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
287921.40000000
USD
390000.00000000
AUD
2022-04-06
4951.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-14
N/A
1.00000000
NC
USD
249934.99000000
0.045068729843
N/A
DFE
US
N
2
JP MORGAN
N/A
11606766.52000000
EUR
13167298.60000000
USD
2022-04-14
249934.99000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 6.000000% 01/31/2029
N/A
80000.00000000
PA
118695.98000000
0.021403473983
Long
DBT
NUSS
ES
N
2
2029-01-31
Fixed
6.00000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
61.36000000
0.000011064546
N/A
DFE
SG
N
2
BARCLAYS CAPITAL INC.
N/A
144026.77000000
USD
195000.00000000
SGD
2022-04-06
61.36000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 2.632000% 04/15/2031
N/A
1040000.00000000
PA
221553.99000000
0.039951016546
Long
DBT
NUSS
MY
N
2
2031-04-15
Fixed
2.63200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-2978.31000000
-0.00053705425
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
410000.00000000
NZD
282178.40000000
USD
2022-04-06
-2978.31000000
N
N
N
Swedbank Hypotek AB
549300TJREQ7GHIXWR36
SWEDBANK HYPOTEK AB MTN 0.050000% 05/28/2025
N/A
195000.00000000
PA
211702.01000000
0.038174489678
Long
DBT
NUSS
SE
N
2
2025-05-28
Fixed
0.05000000
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A 2.797000% 01/19/2028
83368RBH4
300000.00000000
PA
USD
280769.18000000
0.050628806802
Long
DBT
NUSS
FR
N
2
2028-01-19
Fixed
2.79700000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 5.250000% 09/14/2027
N/A
195000.00000000
PA
280846.21000000
0.050642696991
Long
DBT
NUSS
NL
N
2
2027-09-14
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
910.85000000
0.000164246120
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
283465.25000000
USD
2022-04-06
910.85000000
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 4.500000% 09/15/2023
00774MAP0
205000.00000000
PA
USD
206541.26000000
0.037243893896
Long
DBT
NUSS
IE
N
2
2023-09-15
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
1279.90000000
0.000230793884
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1375000.00000000
NZD
957598.13000000
USD
2022-04-06
1279.90000000
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 1.125000% 12/15/2025
N/A
230000.00000000
PA
286580.91000000
0.051676788476
Long
DBT
NUSS
CA
N
2
2025-12-15
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
650953.89000000
0.117381183839
N/A
DFE
US
N
2
JP MORGAN
N/A
21181733.61000000
EUR
24244559.34000000
USD
2022-05-12
650953.89000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.125000% 01/31/2024
N/A
885000.00000000
PA
1138301.11000000
0.205260516774
Long
DBT
NUSS
GB
N
2
2024-01-31
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-05-23
N/A
1.00000000
NC
USD
-132.81000000
-0.00002394853
N/A
DFE
US
N
2
JP MORGAN
N/A
475000.00000000
ILS
148951.38000000
USD
2022-05-23
-132.81000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC MTN 6.000000% 03/29/2040
N/A
70000.00000000
PA
112347.83000000
0.020258764084
Long
DBT
NUSS
GB
N
2
2040-03-29
Fixed
6.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-06
N/A
1.00000000
NC
-23.47000000
-0.00000423215
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
10045.53000000
USD
9000.00000000
EUR
2022-05-06
-23.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2022-04-29
N/A
1.00000000
NC
USD
24166.65000000
0.004357774075
N/A
DFE
US
N
2
JP MORGAN
N/A
28607709.00000000
TWD
1024778.23000000
USD
2022-04-29
24166.65000000
N
N
N
HOCHTIEF Aktiengesellschaft
529900Y25S8NZIYTT924
HOCHTIEF AG MTN 1.750000% 07/03/2025
N/A
400000.00000000
PA
448189.06000000
0.080818262637
Long
DBT
NUSS
DE
N
2
2025-07-03
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-12612.91000000
-0.00227438276
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
9582000.00000000
MYR
2267928.99000000
USD
2022-05-06
-12612.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
9902.27000000
0.001785595252
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
32550000.00000000
JPY
278092.23000000
USD
2022-04-06
9902.27000000
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED
JHE42UYNWWTJB8YTTU19
AUSTRALIA & NEW ZEALAND BANKING GROUP LTD MTN 5.000000% 08/16/2023
N/A
750000.00000000
PA
585789.73000000
0.105630664544
Long
DBT
NUSS
AU
N
2
2023-08-16
Fixed
5.00000000
N
N
N
N
N
N
PVH CORP.
123WALMHY1GZXG2YDL90
PVH CORP 4.625000% 07/10/2025
693656AC4
348000.00000000
PA
USD
354994.22000000
0.064013200381
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
4.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
6485.24000000
0.001169430216
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
336802.77000000
USD
308195.17000000
EUR
2022-05-12
6485.24000000
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 1.650000% 06/12/2029
14040HCC7
300000.00000000
PA
319106.32000000
0.057541829287
Long
DBT
NUSS
US
N
2
2029-06-12
Fixed
1.65000000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 0.5475%
N/A
170000.00000000
NC
47137.72000000
0.008499959001
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2051-08-04
0.00000000
GBP
0.00000000
GBP
-170000.00000000
GBP
47137.72000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.900000% 09/20/2042
N/A
166850000.00000000
PA
1685078.47000000
0.303856400137
Long
DBT
NUSS
JP
N
2
2042-09-20
Fixed
1.90000000
N
N
N
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.250000% 11/17/2025
N/A
275000.00000000
PA
318638.46000000
0.057457463925
Long
DBT
NUSS
GB
N
2
2025-11-17
Fixed
2.25000000
N
N
N
N
N
N
SCHLUMBERGER FINANCE FRANCE SAS
9695001SZIOZQ9ZXF834
SCHLUMBERGER FINANCE FRANCE SAS 1.000000% 02/18/2026
N/A
305000.00000000
PA
337312.16000000
0.060824739313
Long
DBT
NUSS
US
N
2
2026-02-18
Fixed
1.00000000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 0.875000% 05/21/2029
03027XBP4
420000.00000000
PA
427143.31000000
0.077023254898
Long
DBT
NUSS
US
N
2
2029-05-21
Fixed
0.87500000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-04-04
N/A
1.00000000
NC
77659.00000000
0.014003611462
N/A
DFE
BR
N
2
GOLDMAN, SACHS & CO.
N/A
1014799.10000000
USD
5191306.29000000
BRL
2022-04-04
77659.00000000
N
N
N
Deutsche Telekom International Finance B.V.
529900ERDFHS6C1M4U58
DEUTSCHE TELEKOM INTERNATIONAL FINANCE BV MTN 0.625000% 04/03/2023
N/A
225000.00000000
PA
251855.50000000
0.045415039683
Long
DBT
NUSS
DE
N
2
2023-04-03
Fixed
0.62500000
N
N
N
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA 1.375000% 10/15/2040
N/A
110000.00000000
PA
108535.96000000
0.019571400785
Long
DBT
NUSS
US
N
2
2040-10-15
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-8130.96000000
-0.00146618942
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3160000.00000000
ZAR
208071.32000000
USD
2022-04-06
-8130.96000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.795000% 09/30/2022
N/A
4878000.00000000
PA
1171788.35000000
0.211298996511
Long
DBT
NUSS
MY
N
2
2022-09-30
Fixed
3.79500000
N
N
N
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC 3.625000% MATURITY: PERPETUAL
N/A
281000.00000000
PA
307958.19000000
0.055531578304
Long
DBT
NUSS
GB
N
2
2170-06-22
Fixed
3.62500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-04-06
N/A
1.00000000
NC
10306.73000000
0.001858528211
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
208028.53000000
USD
910000.00000000
PLN
2022-04-06
10306.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1585.21000000
-0.00028584793
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
375000.00000000
AUD
280023.00000000
USD
2022-04-06
-1585.21000000
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.650000% 06/02/2041
683234B98
540000.00000000
PA
512611.99000000
0.092435121996
Long
DBT
NUSS
CA
N
2
2041-06-02
Fixed
4.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-13
N/A
1.00000000
NC
USD
6848.74000000
0.001234977194
N/A
DFE
US
N
2
JP MORGAN
N/A
971620.71000000
CHF
1063049.33000000
USD
2022-04-13
6848.74000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 1.500000% 05/15/2031
N/A
548000.00000000
PA
329373.27000000
0.059393184297
Long
DBT
NUSS
NZ
N
2
2031-05-15
Fixed
1.50000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.625000% 06/07/2025
N/A
78000.00000000
PA
100347.33000000
0.018094812200
Long
DBT
NUSS
GB
N
2
2025-06-07
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-2854.98000000
-0.00051481516
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1855000.00000000
CNY
289504.49000000
USD
2022-04-13
-2854.98000000
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC MTN 3.625000% 01/14/2026
N/A
100000.00000000
PA
134205.66000000
0.024200207558
Long
DBT
NUSS
GB
N
2
2026-01-14
Fixed
3.62500000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 6.350000% 01/15/2031
682680BE2
89000.00000000
PA
USD
102925.89000000
0.018559782807
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
6.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-42830.32000000
-0.00772324083
N/A
DFE
US
N
2
JP MORGAN
N/A
16427550.00000000
SGD
12098785.89000000
USD
2022-06-13
-42830.32000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
74900000.00000000
PA
797534.58000000
0.143812879209
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.250000% 10/22/2041
N/A
163000.00000000
PA
194189.37000000
0.035016578731
Long
DBT
NUSS
GB
N
2
2041-10-22
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-04-28
N/A
1.00000000
NC
USD
12929.91000000
0.002331544777
N/A
DFE
US
N
2
JP MORGAN
N/A
1256495991.00000000
KRW
1048745.00000000
USD
2022-04-28
12929.91000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG MTN 1.000000% 11/19/2025
N/A
400000.00000000
PA
436329.16000000
0.078679663999
Long
DBT
NUSS
DE
N
2
2025-11-19
Fixed
1.00000000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA MTN 0.375000% 04/11/2024
N/A
455000.00000000
PA
504122.75000000
0.090904326872
Long
DBT
NUSS
AU
N
2
2024-04-11
Fixed
0.37500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
308.15000000
0.000055566165
N/A
DFE
NO
N
2
MORGAN STANLEY & CO, INC
N/A
166662.75000000
USD
1460000.00000000
NOK
2022-04-06
308.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
13150.34000000
0.002371293114
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
32700000.00000000
JPY
282576.20000000
USD
2022-04-06
13150.34000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-6803.81000000
-0.00122687533
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
279525.40000000
USD
33100000.00000000
JPY
2022-04-06
-6803.81000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
1379900000.00000000
PA
303362.91000000
0.054702949096
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-04-04
N/A
1.00000000
NC
USD
-67577.93000000
-0.01218577467
N/A
DFE
US
N
2
JP MORGAN
N/A
5223871.08000000
BRL
1031733.11000000
USD
2022-04-04
-67577.93000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8613.89000000
0.001553272238
N/A
DFE
RO
N
2
J P MORGAN CHASE BANK
N/A
602086.11000000
USD
2713000.00000000
RON
2022-04-06
8613.89000000
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.875000% 02/15/2031
87264ABT1
77000.00000000
PA
USD
69371.61000000
0.012509214295
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
B.A.T. INTERNATIONAL FINANCE P.L.C.
21380041YBGOQDFAC823
BAT INTERNATIONAL FINANCE PLC MTN 1.250000% 03/13/2027
N/A
333000.00000000
PA
347833.01000000
0.062721878030
Long
DBT
NUSS
GB
N
2
2027-03-13
Fixed
1.25000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
6800000.00000000
PA
1605254.60000000
0.289462415397
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-06-09
N/A
1.00000000
NC
USD
-330.47000000
-0.00005959094
N/A
DFE
US
N
2
JP MORGAN
N/A
670071.00000000
GBP
881485.77000000
USD
2022-06-09
-330.47000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-05-25
N/A
1.00000000
NC
23046.73000000
0.004155828074
N/A
DFE
CO
N
2
CITIGROUP GLOBAL MARKETS
N/A
1000749.53000000
USD
3865395045.32000000
COP
2022-05-25
23046.73000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-06-13
N/A
1.00000000
NC
-2727.19000000
-0.00049177183
N/A
DFE
NO
N
2
JP MORGAN
N/A
276937.42000000
USD
2398000.00000000
NOK
2022-06-13
-2727.19000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
513.18000000
0.000092537546
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
284337.66000000
USD
256000.00000000
EUR
2022-04-06
513.18000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: Overnight Brazilian Interbank Deposit Rate
N/A
5061985.46000000
NC
-59436.97000000
-0.01071778202
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-5061985.46000000
BRL
-59436.97000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-01
N/A
1.00000000
NC
1231.88000000
0.000222134831
N/A
DFE
CN
N
2
JP MORGAN
N/A
434832.50000000
USD
2766000.00000000
CNY
2022-04-01
1231.88000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.500000% 06/01/2024
135087B45
2460000.00000000
PA
1978418.64000000
0.356752030613
Long
DBT
NUSS
CA
N
2
2024-06-01
Fixed
2.50000000
N
N
N
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 03/13/2025
N/A
1213000.00000000
PA
136021.36000000
0.024527617869
Long
DBT
NUSS
NO
N
2
2025-03-13
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-8392.43000000
-0.00151333817
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2720000.00000000
SEK
283487.36000000
USD
2022-04-06
-8392.43000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-04-04
N/A
1.00000000
NC
86473.58000000
0.015593072485
N/A
DFE
BR
N
2
GOLDMAN, SACHS & CO.
N/A
1020280.80000000
USD
5259241.46000000
BRL
2022-04-04
86473.58000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.000000% 04/22/2024
N/A
77000.00000000
PA
100636.55000000
0.018146964874
Long
DBT
NUSS
GB
N
2
2024-04-22
Fixed
1.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
-17197.44000000
-0.00310107351
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
741271.55000000
USD
650055.16000000
EUR
2022-05-12
-17197.44000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 1.500000% 08/23/2023
N/A
183970000.00000000
PA
522994.69000000
0.094307349256
Long
DBT
NUSS
HU
N
2
2023-08-23
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
528.77000000
0.000095348763
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
283083.17000000
USD
2022-04-06
528.77000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-5559.35000000
-0.00100247205
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
282049.53000000
USD
210000.00000000
GBP
2022-04-06
-5559.35000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1249.58000000
0.000225326527
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
280455.82000000
USD
1787000.00000000
CNY
2022-04-06
1249.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-11597.05000000
-0.00209120104
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
385000.00000000
AUD
277520.71000000
USD
2022-04-06
-11597.05000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.400000% 06/20/2025
N/A
516200000.00000000
PA
4310817.57000000
0.777334427916
Long
DBT
NUSS
JP
N
2
2025-06-20
Fixed
0.40000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.810000% 09/14/2050
N/A
11230000.00000000
PA
1891958.13000000
0.341161314934
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
-2034.92000000
-0.00036694045
N/A
DFE
US
N
2
JP MORGAN
N/A
936175.57000000
EUR
1040738.89000000
USD
2022-05-12
-2034.92000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
10282.73000000
0.001854200487
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
282670.15000000
USD
2730000.00000000
SEK
2022-04-06
10282.73000000
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TOTALENERGIES SE MTN 1.625000% MATURITY: PERPETUAL
N/A
125000.00000000
PA
127432.52000000
0.022978862692
Long
DBT
NUSS
FR
N
2
2171-01-25
Fixed
1.62500000
N
N
N
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORMATION SERVICES INC 0.125000% 12/03/2022
31620MBK1
500000.00000000
PA
556848.32000000
0.100411897101
Long
DBT
NUSS
US
N
2
2022-12-03
Fixed
0.12500000
N
N
N
N
N
N
Becton Dickinson Euro Finance S.a r.l.
549300W40NLZ25XUTH09
BECTON DICKINSON EURO FINANCE SARL 0.632000% 06/04/2023
ZS7774319
200000.00000000
PA
223462.55000000
0.040295171540
Long
DBT
NUSS
US
N
2
2023-06-04
Fixed
0.63200000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2416.05000000
0.000435666509
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
279096.70000000
USD
253000.00000000
EUR
2022-04-06
2416.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1725.47000000
-0.00031113987
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
785000.00000000
CHF
851371.47000000
USD
2022-04-06
-1725.47000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.600000% 03/20/2033
N/A
40300000.00000000
PA
379771.26000000
0.068481041087
Long
DBT
NUSS
JP
N
2
2033-03-20
Fixed
1.60000000
N
N
N
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.125000% 05/18/2032
N/A
3550000.00000000
PA
390483.76000000
0.070412738479
Long
DBT
NUSS
NO
N
2
2032-05-18
Fixed
2.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-1249797.75000000
-0.22536579273
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
7851336000.00000000
JPY
63487207.69000000
USD
2022-05-06
-1249797.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6488.18000000
-0.00116996036
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
415000.00000000
NZD
282146.05000000
USD
2022-04-06
-6488.18000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2505.36000000
0.000451771050
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
280567.91000000
USD
215000.00000000
GBP
2022-04-06
2505.36000000
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 3.900000% 06/01/2052
161175CA0
225000.00000000
PA
USD
189744.80000000
0.034215125823
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 0.000000% 10/18/2031
N/A
304000.00000000
PA
306925.13000000
0.055345295055
Long
DBT
NUSS
IE
N
2
2031-10-18
Fixed
0.00000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C07 2M2
30711XEC4
81204.31090000
PA
USD
84608.82000000
0.015256815586
Long
DBT
USGA
US
N
2
2029-05-25
Floating
4.80656880
N
N
N
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 1.500000% 05/15/2050
N/A
250000.00000000
PA
281740.95000000
0.050804038127
Long
DBT
NUSS
IE
N
2
2050-05-15
Fixed
1.50000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 2.750000% 10/25/2027
N/A
339000.00000000
PA
422054.17000000
0.076105571961
Long
DBT
NUSS
FR
N
2
2027-10-25
Fixed
2.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
632.85000000
0.000114116657
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
283757.04000000
USD
216000.00000000
GBP
2022-04-06
632.85000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-06-13
N/A
1.00000000
NC
-19692.00000000
-0.00355089708
N/A
DFE
GB
N
2
JP MORGAN
N/A
1193308.66000000
USD
891800.00000000
GBP
2022-06-13
-19692.00000000
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.625000% 09/22/2038
N/A
100000.00000000
PA
118193.55000000
0.021312874896
Long
DBT
NUSS
GB
N
2
2038-09-22
Fixed
2.62500000
N
N
N
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.875000% 09/15/2025
N/A
355000.00000000
PA
402503.71000000
0.072580197622
Long
DBT
NUSS
FI
N
2
2025-09-15
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-252.00000000
-0.00004544109
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
255000.00000000
EUR
283486.14000000
USD
2022-04-06
-252.00000000
N
N
N
GLOBAL PAYMENTS INC.
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 2.900000% 11/15/2031
37940XAH5
455000.00000000
PA
USD
414535.46000000
0.074749784563
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.90000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.120000% 09/13/2031
N/A
9540000.00000000
PA
1503815.99000000
0.271170821612
Long
DBT
NUSS
CN
N
2
2031-09-13
Fixed
3.12000000
N
N
N
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 1.950000% 06/15/2029
N/A
492371.00000000
PA
579175.24000000
0.104437927733
Long
DBT
NUSS
PT
N
2
2029-06-15
Fixed
1.95000000
N
N
N
N
N
N
WESTFIELD AMERICA MANAGEMENT PTY LIMITED
875500W7WGQNQWSP6E89
WESTFIELD AMERICA MANAGEMENT LTD 2.125000% 03/30/2025
N/A
210000.00000000
PA
266214.75000000
0.048004325637
Long
DBT
NUSS
FR
N
2
2025-03-30
Fixed
2.12500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.125000% 12/17/2026
N/A
7336000.00000000
PA
225364.95000000
0.040638215752
Long
DBT
NUSS
TH
N
2
2026-12-17
Fixed
2.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-04-07
N/A
1.00000000
NC
USD
-12465.69000000
-0.00224783578
N/A
DFE
US
N
2
JP MORGAN
N/A
77909035.33000000
INR
1015305.16000000
USD
2022-04-07
-12465.69000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1064.37000000
0.000191929125
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
279375.66000000
USD
213000.00000000
GBP
2022-04-06
1064.37000000
N
N
N
NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LIMITED
254900ZJG39H1CAH6K02
NZ LOCAL GOVT FUND AGENC 4.500000% 04/15/2027
N/A
803000.00000000
PA
577684.55000000
0.104169123814
Long
DBT
NUSS
NZ
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
GLP Capital, L.P.
2549005PXW31DRW8EC44
GLP CAPITAL LP / GLP FINANCING II INC 3.250000% 01/15/2032
361841AR0
189000.00000000
PA
USD
171479.70000000
0.030921529926
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-05-03
N/A
1.00000000
NC
USD
-3472.61000000
-0.00062618732
N/A
DFE
US
N
2
JP MORGAN
N/A
5183839.60000000
BRL
1078775.44000000
USD
2022-05-03
-3472.61000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.016000% 12/03/2029
92343VEU4
391000.00000000
PA
USD
405800.05000000
0.073174599618
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
4.01600000
N
N
N
N
N
N
CDW LLC
549300RU2J599RPFD076
CDW LLC / CDW FINANCE CORP 2.670000% 12/01/2026
12513GBG3
305000.00000000
PA
USD
287470.13000000
0.051837134236
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
2.67000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2038
N/A
1437000.00000000
PA
1388074.59000000
0.250300122842
Long
DBT
NUSS
NL
N
2
2038-01-15
Fixed
0.00000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-497.34000000
-0.00008968124
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
169016.13000000
USD
1069000.00000000
CNY
2022-04-06
-497.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
11467.50000000
0.002067840359
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
66200000.00000000
JPY
556910.68000000
USD
2022-04-06
11467.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-05-25
N/A
1.00000000
NC
USD
8540.65000000
0.001540065468
N/A
DFE
US
N
2
JP MORGAN
N/A
519431650.00000000
CLP
663037.00000000
USD
2022-05-25
8540.65000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 09/20/2040
N/A
301350000.00000000
PA
3061194.61000000
0.552000153628
Long
DBT
NUSS
JP
N
2
2040-09-20
Fixed
2.00000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC MTN 1.625000% 03/11/2026
N/A
230000.00000000
PA
252937.05000000
0.045610066737
Long
DBT
NUSS
ZA
N
2
2026-03-11
Fixed
1.62500000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 1.650000% 02/01/2028
00206RKG6
870000.00000000
PA
USD
792663.84000000
0.142934578555
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
Canada
N/A
CAN 5YR BOND FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-20.00000000
NC
-1878867.94000000
-0.33880086817
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Jun 2022
2022-06-24
-1894787.32000000
CAD
15919.38000000
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.000000% 05/24/2023
N/A
3313000.00000000
PA
380313.00000000
0.068578728624
Long
DBT
NUSS
NO
N
2
2023-05-24
Fixed
2.00000000
N
N
N
N
N
N
EDP Finance B.V.
5299007L43AQDFOW5739
EDP FINANCE BV MTN 0.375000% 09/16/2026
N/A
440000.00000000
PA
469124.13000000
0.084593312357
Long
DBT
NUSS
PT
N
2
2026-09-16
Fixed
0.37500000
N
N
N
N
N
N
DEXIA CREDIT LOCAL SA
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.500000% 01/17/2025
N/A
300000.00000000
PA
331792.47000000
0.059829418820
Long
DBT
NUSS
FR
N
2
2025-01-17
Fixed
0.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-05-06
N/A
1.00000000
NC
4322.33000000
0.000779410370
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
278576.30000000
USD
260000.00000000
CHF
2022-05-06
4322.33000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 02/25/2024
N/A
2048000.00000000
PA
2279688.60000000
0.411077575177
Long
DBT
NUSS
FR
N
2
2024-02-25
Fixed
0.00000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 3.500000% 12/01/2045
135087ZS6
158000.00000000
PA
150779.60000000
0.027188850422
Long
DBT
NUSS
CA
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 2.551000% 02/04/2028
06051GKJ7
153000.00000000
PA
USD
146188.87000000
0.026361041678
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 2.750000% 06/18/2052
110709AG7
835000.00000000
PA
607847.64000000
0.109608186806
Long
DBT
NUSS
CA
N
2
2052-06-18
Fixed
2.75000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.875000% 07/01/2029
N/A
200000.00000000
PA
152983.34000000
0.027586232808
Long
DBT
NUSS
SG
N
2
2029-07-01
Fixed
2.87500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.500000% 04/15/2026
N/A
5153000000.00000000
PA
359886.60000000
0.064895403199
Long
DBT
NUSS
ID
N
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-4.00000000
NC
-4933470.65000000
-0.88961235846
N/A
DIR
JP
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Jun 2022
2022-06-16
-4856308.86000000
JPY
-77161.79000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
639000.00000000
PA
1056882.50000000
0.190578965630
Long
DBT
NUSS
ES
N
2
2041-07-30
Fixed
4.70000000
N
N
N
N
N
N
Rogers Communications Inc.
54930030NVF3Y2OL0A78
ROGERS COMMUNICATIONS INC 4.000000% 06/06/2022
775109AV3
165000.00000000
PA
132741.08000000
0.023936111841
Long
DBT
NUSS
CA
N
2
2022-06-06
Fixed
4.00000000
N
N
N
N
N
N
SkyMiles IP Ltd.
2549008L7P4I8VB90936
DELTA AIR LINES INC / SKYMILES IP LTD 144A 4.500000% 10/20/2025
830867AA5
479888.00000000
PA
USD
482675.92000000
0.087036995662
Long
DBT
NUSS
US
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 4.375000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
223641.46000000
0.040327432916
Long
DBT
NUSS
NL
N
2
2170-12-29
Fixed
4.37500000
N
N
N
N
N
N
ENI S.P.A.
BUCRF72VH5RBN7X3VL35
ENI SPA MTN 0.375000% 06/14/2028
N/A
130000.00000000
PA
133439.05000000
0.024061971055
Long
DBT
NUSS
IT
N
2
2028-06-14
Fixed
0.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
1068.98000000
0.000192760408
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
57518.28000000
USD
52598.14000000
EUR
2022-05-12
1068.98000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
63595.96000000
0.011467738632
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
2176622.96000000
USD
3221000.00000000
NZD
2022-04-06
63595.96000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (5 YEAR ISSUE) 0.100000% 09/20/2024
N/A
61150000.00000000
PA
505452.93000000
0.091144187338
Long
DBT
NUSS
JP
N
2
2024-09-20
Fixed
0.10000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-6141.05000000
-0.00110736525
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
278038.71000000
USD
33000000.00000000
JPY
2022-04-06
-6141.05000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2376.25000000
0.000428489701
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
280178.15000000
USD
260000.00000000
CHF
2022-04-06
2376.25000000
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
PUBLIC STORAGE 0.500000% 09/09/2030
N/A
260000.00000000
PA
252021.45000000
0.045444964087
Long
DBT
NUSS
US
N
2
2030-09-09
Fixed
0.50000000
N
N
N
N
N
N
PRUDENTIAL FINANCIAL, INC.
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINANCIAL INC 5.875000% 09/15/2042
744320AL6
199000.00000000
PA
USD
200492.50000000
0.036153170543
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-727.58000000
-0.00013119854
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
213000.00000000
GBP
279712.45000000
USD
2022-04-06
-727.58000000
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 0.339000% 07/19/2024
N/A
250000.00000000
PA
274790.27000000
0.049550678927
Long
DBT
NUSS
JP
N
2
2024-07-19
Fixed
0.33900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-05-18
N/A
1.00000000
NC
USD
-91681.16000000
-0.01653211273
N/A
DFE
US
N
2
JP MORGAN
N/A
119105589.91000000
CNY
18620722.58000000
USD
2022-05-18
-91681.16000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 4.625000% 05/23/2029
N/A
130000.00000000
PA
184670.18000000
0.033300061158
Long
DBT
NUSS
NL
N
2
2029-05-23
Fixed
4.62500000
N
N
N
N
N
N
LORCA TELECOM BONDCO SA
9598004HFBAS82YM7X35
LORCA TELECOM BONDCO SA 4.000000% 09/18/2027
N/A
130000.00000000
PA
139219.59000000
0.025104328492
Long
DBT
NUSS
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4787.57000000
-0.00086330328
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
506000.00000000
EUR
558237.92000000
USD
2022-04-06
-4787.57000000
N
N
N
AVIVA PLC
YF0Y5B0IB8SM0ZFG9G81
AVIVA PLC 6.125000% 11/14/2036
N/A
220000.00000000
PA
319382.65000000
0.057591657613
Long
DBT
NUSS
GB
N
2
2036-11-14
Fixed
6.12500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.875000% 06/17/2049
N/A
3746000.00000000
PA
78706.23000000
0.014192449872
Long
DBT
NUSS
TH
N
2
2049-06-17
Fixed
1.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-28
N/A
1.00000000
NC
USD
-74937.43000000
-0.01351285303
N/A
DFE
US
N
2
JP MORGAN
N/A
3194236.77000000
AUD
2324042.35000000
USD
2022-04-28
-74937.43000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-01
N/A
1.00000000
NC
-362.84000000
-0.00006542796
N/A
DFE
CA
N
2
JP MORGAN
N/A
412756.26000000
USD
515100.00000000
CAD
2022-04-01
-362.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3812.64000000
-0.00068750214
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
192000.00000000
EUR
209825.49000000
USD
2022-04-06
-3812.64000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 1.250000% 05/31/2032
N/A
300000.00000000
PA
332295.16000000
0.059920064791
Long
DBT
NUSS
NL
N
2
2032-05-31
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1506.67000000
-0.00027168546
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
128000.00000000
EUR
140918.75000000
USD
2022-04-06
-1506.67000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-05-06
N/A
1.00000000
NC
799.60000000
0.000144185319
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
279542.27000000
USD
34000000.00000000
JPY
2022-05-06
799.60000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 08/15/2050
N/A
101000.00000000
PA
94775.66000000
0.017090118579
Long
DBT
NUSS
DE
N
2
2050-08-15
Fixed
0.00000000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC MTN 1.250000% 09/18/2024
N/A
500000.00000000
PA
563112.51000000
0.101541467182
Long
DBT
NUSS
GB
N
2
2024-09-18
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
74.93000000
0.000013511513
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
214000.00000000
GBP
281831.58000000
USD
2022-04-06
74.93000000
N
N
N
American Medical Systems Europe B.V.
549300AA2JE6ZQ5D2493
AMERICAN MEDICAL SYSTEMS EUROPE BV 1.375000% 03/08/2028
N/A
250000.00000000
PA
272233.41000000
0.049089621304
Long
DBT
NUSS
US
N
2
2028-03-08
Fixed
1.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2513.94000000
0.000453318211
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
281224.20000000
USD
255000.00000000
EUR
2022-04-06
2513.94000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
153189.43000000
0.027623395330
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
22868305.67000000
USD
146037000.00000000
CNY
2022-04-06
153189.43000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.125000% 12/20/2023
N/A
345000.00000000
PA
450609.24000000
0.081254673875
Long
DBT
NUSS
US
N
2
2023-12-20
Fixed
2.12500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.475000% 01/21/2028
61747YEK7
530000.00000000
PA
USD
505260.99000000
0.091109576369
Long
DBT
CORP
US
N
2
2028-01-21
Fixed
2.47500000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FINANCE CORPORATION
549300RLHFT5RU20WM87
BERKSHIRE HATHAWAY FINANCE CORP 2.625000% 06/19/2059
084664CT6
144000.00000000
PA
173275.13000000
0.031245285114
Long
DBT
NUSS
US
N
2
2059-06-19
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-10604.23000000
-0.00191217394
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2713000.00000000
RON
598301.91000000
USD
2022-05-06
-10604.23000000
N
N
N
RIMINI BIDCO S.P.A.
815600E0EAFAEE1B3F69
RIMINI BIDCO SPA 144A VARIABLE RATE 12/14/2026
BS6180258
200000.00000000
PA
197327.43000000
0.035582439391
Long
DBT
NUSS
IT
N
2
2026-12-14
Floating
5.24999880
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.947000% 02/24/2028
46647PCW4
295000.00000000
PA
USD
287883.49000000
0.051911672060
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-28
N/A
1.00000000
NC
46029.29000000
0.008300084897
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
2299975.30000000
USD
3123700.41000000
AUD
2022-04-28
46029.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-2017.71000000
-0.00036383711
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
257000.00000000
EUR
283945.83000000
USD
2022-04-06
-2017.71000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-04
N/A
1.00000000
NC
5054.56000000
0.000911447409
N/A
DFE
JP
N
2
JP MORGAN
N/A
1779283.24000000
USD
216574000.00000000
JPY
2022-04-04
5054.56000000
N
N
N
Smurfit Kappa Acquisitions Unlimited Company
6354002XN4LUSDRPTR29
SMURFIT KAPPA ACQUISITIONS ULC 2.875000% 01/15/2026
N/A
265000.00000000
PA
308045.25000000
0.055547277121
Long
DBT
NUSS
IE
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039
N/A
255950000.00000000
PA
2696779.88000000
0.486288229829
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-644.53000000
-0.00011622281
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
282323.72000000
USD
405000.00000000
NZD
2022-04-06
-644.53000000
N
N
N
KAPLA HOLDING SAS
894500PJ28XTH66K4X83
KAPLA HOLDING SAS VARIABLE RATE 12/15/2026
N/A
200000.00000000
PA
215941.96000000
0.038939045137
Long
DBT
NUSS
FR
N
2
2026-12-15
Floating
3.25000080
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2040
N/A
262000.00000000
PA
478012.60000000
0.086196097358
Long
DBT
NUSS
GB
N
2
2040-12-07
Fixed
4.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-05-06
N/A
1.00000000
NC
9887.25000000
0.001782886818
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
557160.09000000
USD
5280000.00000000
SEK
2022-05-06
9887.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-25
N/A
1.00000000
NC
USD
690766.33000000
0.124560235091
N/A
DFE
US
N
2
JP MORGAN
N/A
2930682223.00000000
JPY
24848587.97000000
USD
2022-04-25
690766.33000000
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAVISKA ENSKILDA BANKEN AB MTN 0.250000% 06/20/2024
N/A
460000.00000000
PA
507838.44000000
0.091574346819
Long
DBT
NUSS
SE
N
2
2024-06-20
Fixed
0.25000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2022-04-07
N/A
1.00000000
NC
-3805.88000000
-0.00068628317
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
1016217.43000000
USD
76744740.09000000
INR
2022-04-07
-3805.88000000
N
N
N
VISTRA CORP.
549300KP43CPCUJOOG15
VISTRA CORP 144A 7.000000% MATURITY: PERPETUAL
92840MAC6
68000.00000000
PA
USD
66215.00000000
0.011940008666
Long
DBT
CORP
US
N
2
2170-06-15
Fixed
7.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
19584.01000000
0.003531424135
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
48800000.00000000
JPY
421662.97000000
USD
2022-04-06
19584.01000000
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.000000% 12/13/2028
N/A
1085000.00000000
PA
1140971.49000000
0.205742044530
Long
DBT
NUSS
DE
N
2
2028-12-13
Fixed
0.00000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.850000% 07/30/2037
N/A
497000.00000000
PA
487271.91000000
0.087865752899
Long
DBT
NUSS
ES
N
2
2037-07-30
Fixed
0.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4466.74000000
-0.00080545064
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
278087.66000000
USD
2022-04-06
-4466.74000000
N
N
N
S&P GLOBAL INC.
Y6X4K52KMJMZE7I7MY94
S&P GLOBAL INC 144A 4.250000% 05/01/2029
78409VAZ7
72000.00000000
PA
USD
75820.78000000
0.013672140304
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.25000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.800000% 03/20/2043
N/A
207550000.00000000
PA
2068249.65000000
0.372950520954
Long
DBT
NUSS
JP
N
2
2043-03-20
Fixed
1.80000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
STRIP PRINC 0.000000% 11/15/2050
912803FT5
1513000.00000000
PA
USD
745524.32000000
0.134434294974
Long
DBT
UST
US
N
1
2050-11-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
387032.13000000
0.069790334309
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
17861000.00000000
GBP
23903179.83000000
USD
2022-04-06
387032.13000000
N
N
N
DEXIA CREDIT LOCAL SA
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.000000% 05/29/2024
N/A
1200000.00000000
PA
1318985.27000000
0.237841811590
Long
DBT
NUSS
FR
N
2
2024-05-29
Fixed
0.00000000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 4.250000% 03/28/2041
N/A
440000.00000000
PA
725495.75000000
0.130822706974
Long
DBT
NUSS
BE
N
2
2041-03-28
Fixed
4.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1372.95000000
0.000247572829
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
280383.70000000
USD
214000.00000000
GBP
2022-04-06
1372.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-11370.16000000
-0.00205028783
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
26580000.00000000
ZAR
1807192.05000000
USD
2022-04-06
-11370.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-2027.98000000
-0.00036568902
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3085000.00000000
TRY
203630.36000000
USD
2022-05-06
-2027.98000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.75% 12/01/2048
135087D35
400000.00000000
PA
342202.47000000
0.061706568865
Long
DBT
CORP
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1896.45000000
0.000341971297
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
278316.23000000
USD
350000.00000000
CAD
2022-04-06
1896.45000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-8.00000000
NC
USD
-1417000.00000000
-0.25551600513
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2022
2022-06-24
-1490956.48000000
USD
73956.48000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 0.700000% 06/15/2023
45866FAM6
535000.00000000
PA
USD
527059.53000000
0.095040328563
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.70000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
10013.17000000
0.001805592940
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
570312.53000000
USD
5408000.00000000
SEK
2022-04-06
10013.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-73367.97000000
-0.01322984516
N/A
DFE
US
N
2
JP MORGAN
N/A
25587045.26000000
EUR
28402183.15000000
USD
2022-04-13
-73367.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1256.20000000
-0.00022652025
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2713000.00000000
RON
609443.80000000
USD
2022-04-06
-1256.20000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 5.300000% 05/15/2049
25470DBG3
18000.00000000
PA
USD
18825.20000000
0.003394594142
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-19624.14000000
-0.00353866044
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
422527.03000000
USD
48900000.00000000
JPY
2022-04-06
-19624.14000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8437.20000000
0.001521411177
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
283674.55000000
USD
420000.00000000
NZD
2022-04-06
8437.20000000
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.125000% 09/15/2031
N/A
610000.00000000
PA
631406.60000000
0.113856381121
Long
DBT
NUSS
FI
N
2
2031-09-15
Fixed
0.12500000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-154.00000000
NC
USD
-17661875.00000000
-3.18482127255
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2022
2022-07-03
-17823697.29000000
USD
161822.29000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
215.33000000
0.000038828695
N/A
DFE
NO
N
2
MORGAN STANLEY & CO, INC
N/A
7790.12000000
USD
70000.00000000
NOK
2022-04-06
215.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
72.09000000
0.000012999399
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
350000.00000000
CAD
280284.77000000
USD
2022-04-06
72.09000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.250000% 03/10/2026
N/A
101780000.00000000
PA
78933.46000000
0.014233424397
Long
DBT
NUSS
KR
N
2
2026-03-10
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7112.50000000
-0.00128253887
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2530000.00000000
NOK
282227.48000000
USD
2022-04-06
-7112.50000000
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-6.00000000
NC
-627164.64000000
-0.11309146321
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2022
2022-06-24
-642000.26000000
CAD
14835.62000000
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
310000.00000000
PA
355086.52000000
0.064029844084
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033
N/A
76850000.00000000
PA
717448.17000000
0.129371552780
Long
DBT
NUSS
JP
N
2
2033-03-20
Fixed
1.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-06-13
N/A
1.00000000
NC
-903.46000000
-0.00016291354
N/A
DFE
SE
N
2
JP MORGAN
N/A
348535.35000000
USD
3233000.00000000
SEK
2022-06-13
-903.46000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-28
N/A
1.00000000
NC
7352.48000000
0.001325812503
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
370687.92000000
USD
503360.04000000
AUD
2022-04-28
7352.48000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 2.125000% 05/26/2025
N/A
330000.00000000
PA
375980.28000000
0.067797444711
Long
DBT
NUSS
IT
N
2
2025-05-26
Fixed
2.12500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
279700000.00000000
PA
62980.32000000
0.011356725313
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A MATURITY: PERPETUAL
853254AA8
500000.00000000
PA
USD
430000.00000000
0.077538378411
Long
DBT
NUSS
GB
Y
2
2170-07-30
Floating
1.80900000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
820000.00000000
PA
677585.69000000
0.122183478225
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2022-04-07
N/A
1.00000000
NC
10423.56000000
0.001879595208
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
1020724.40000000
USD
78165033.26000000
INR
2022-04-07
10423.56000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-21
N/A
1.00000000
NC
-4319.34000000
-0.00077887120
N/A
DFE
SG
N
2
HSBC
N/A
1039250.57000000
USD
1400522.13000000
SGD
2022-04-21
-4319.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-28754.88000000
-0.00518513201
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
9917000.00000000
NOK
1105389.24000000
USD
2022-04-06
-28754.88000000
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2022-04-01
N/A
1.00000000
NC
-994.28000000
-0.00017929036
N/A
DFE
CO
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
272326.98000000
USD
1018502917.90000000
COP
2022-04-01
-994.28000000
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 144A 3.375000% 04/15/2029
87264ACD5
52000.00000000
PA
USD
49458.76000000
0.008918493136
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.900000% 08/03/2040
N/A
4280000.00000000
PA
710963.37000000
0.128202201905
Long
DBT
NUSS
CN
N
2
2040-08-03
Fixed
3.90000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.000000% 02/01/2028
N/A
542000.00000000
PA
621808.05000000
0.112125553209
Long
DBT
NUSS
IT
N
2
2028-02-01
Fixed
2.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
7551000000.00000000
PA
594627.12000000
0.107224238707
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 09/06/2029
N/A
6471000.00000000
PA
698275.96000000
0.125914385167
Long
DBT
NUSS
NO
N
2
2029-09-06
Fixed
1.75000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5542.19000000
0.000999377733
N/A
DFE
NO
N
2
MORGAN STANLEY & CO, INC
N/A
283797.79000000
USD
2530000.00000000
NOK
2022-04-06
5542.19000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-13
N/A
1.00000000
NC
111.07000000
0.000020028343
N/A
DFE
SG
N
2
JP MORGAN
N/A
57538.80000000
USD
78000.00000000
SGD
2022-06-13
111.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7557.55000000
-0.00136279109
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
420000.00000000
NZD
284554.20000000
USD
2022-04-06
-7557.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7775.09000000
-0.00140201830
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
905000.00000000
PLN
209360.52000000
USD
2022-04-06
-7775.09000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
3632.33000000
0.000654988321
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
278922.07000000
USD
260000.00000000
CHF
2022-04-06
3632.33000000
N
N
N
CNH INDUSTRIAL FINANCE EUROPE S.A.
5493007GVB1I2FDSS786
CNH INDUSTRIAL FINANCE EUROPE SA MTN 1.750000% 09/12/2025
N/A
130000.00000000
PA
146153.81000000
0.026354719595
Long
DBT
NUSS
GB
N
2
2025-09-12
Fixed
1.75000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.500000% 10/22/2061
N/A
828000.00000000
PA
732080.65000000
0.132010108063
Long
DBT
NUSS
GB
N
2
2061-10-22
Fixed
0.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 6.000000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
233098.94000000
0.042032822830
Long
DBT
NUSS
GB
N
2
2171-03-29
Fixed
6.00000000
N
N
N
Y
Y
HSBC HOLDINGS PLC
HSBA 6 PERP
GBP
XXXX
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SA 144A 4.250000% 04/14/2025
83367TBJ7
325000.00000000
PA
USD
323158.10000000
0.058272453591
Long
DBT
NUSS
FR
N
2
2025-04-14
Fixed
4.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-370.07000000
-0.00006673169
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
409838.85000000
USD
311000.00000000
GBP
2022-04-06
-370.07000000
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 144A 5.750000% 01/15/2031
212015AT8
126000.00000000
PA
USD
137818.80000000
0.024851735503
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-13
N/A
1.00000000
NC
-3209.82000000
-0.00057880055
N/A
DFE
CH
N
2
CITIGROUP GLOBAL MARKETS
N/A
1059627.73000000
USD
971820.62000000
CHF
2022-04-13
-3209.82000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1594.05000000
0.000287441981
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
278806.00000000
USD
252000.00000000
EUR
2022-04-06
1594.05000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-04-06
N/A
1.00000000
NC
14983.92000000
0.002701927579
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
205750.62000000
USD
920000.00000000
PLN
2022-04-06
14983.92000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
197300000.00000000
PA
1834016.27000000
0.330713133849
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
APTIV PLC
N/A
APTIV PLC 1.500000% 03/10/2025
03835VAC0
440000.00000000
PA
490120.52000000
0.088379419411
Long
DBT
NUSS
US
N
2
2025-03-10
Fixed
1.50000000
N
N
N
N
N
N
United Group B.V.
213800PC85O8BJ7DU398
UNITED GROUP BV 144A VARIABLE RATE 02/01/2029
BT4294950
135000.00000000
PA
146714.64000000
0.026455849476
Long
DBT
NUSS
NL
N
2
2029-02-01
Floating
4.87500055
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-05-25
N/A
1.00000000
NC
USD
690.50000000
0.000124512209
N/A
DFE
US
N
2
JP MORGAN
N/A
290064715.00000000
CLP
366179.00000000
USD
2022-05-25
690.50000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 3.500000% 12/01/2048
74814ZEW9
520000.00000000
PA
431466.15000000
0.077802757233
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.125000% 06/07/2023
N/A
1020000.00000000
PA
1139506.92000000
0.205477950616
Long
DBT
NUSS
DE
N
2
2023-06-07
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4181.64000000
-0.00075404089
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
360000.00000000
CAD
284037.11000000
USD
2022-04-06
-4181.64000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 02/25/2023
N/A
1007000.00000000
PA
1125306.48000000
0.202917301569
Long
DBT
NUSS
FR
N
2
2023-02-25
Fixed
0.00000000
N
N
N
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC MTN 0.831000% 11/08/2027
N/A
130000.00000000
PA
139740.31000000
0.025198225665
Long
DBT
NUSS
GB
N
2
2027-11-08
Fixed
0.83100000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2022-04-29
N/A
1.00000000
NC
USD
6011.70000000
0.001084040626
N/A
DFE
US
N
2
JP MORGAN
N/A
28952453.00000000
TWD
1018681.39000000
USD
2022-04-29
6011.70000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2052
N/A
421000.00000000
PA
367332.76000000
0.066238108250
Long
DBT
NUSS
NL
N
2
2052-01-15
Fixed
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039
N/A
229350000.00000000
PA
2416512.86000000
0.435749973427
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.500000% 05/25/2050
N/A
1786000.00000000
PA
2047954.35000000
0.369290835718
Long
DBT
NUSS
FR
N
2
2050-05-25
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
3703.40000000
0.000667803792
N/A
DFE
US
N
2
JP MORGAN
N/A
193456.15000000
EUR
219187.56000000
USD
2022-05-12
3703.40000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.600000% 03/20/2023
N/A
949100000.00000000
PA
7869847.27000000
1.419105106183
Long
DBT
NUSS
JP
N
2
2023-03-20
Fixed
0.60000000
N
N
N
N
N
N
N/A
N/A
AUS 3YR BOND FUT MAR22 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
990243.98000000
0.178562587071
N/A
DIR
AU
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Australia Govt. Bond Futures
AUST 3YR BOND FUT (consolidated) Jun 2022
2022-06-15
986509.17000000
AUD
3734.81000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-6731.59000000
-0.00121385249
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
279453.18000000
USD
33100000.00000000
JPY
2022-04-06
-6731.59000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
2757800000.00000000
PA
754063.05000000
0.135974014224
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 0.750000% 03/18/2024
808513BN4
420000.00000000
PA
USD
406034.76000000
0.073216922951
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
0.75000000
N
N
N
N
N
N
S&P GLOBAL INC.
Y6X4K52KMJMZE7I7MY94
S&P GLOBAL INC 144A 4.750000% 08/01/2028
78409VAY0
17000.00000000
PA
USD
18263.89000000
0.003293377707
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 0.625000% 01/18/2027
N/A
225000.00000000
PA
247528.54000000
0.044634794423
Long
DBT
NUSS
NL
N
2
2027-01-18
Fixed
0.62500000
N
N
N
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 2.375000% 09/23/2024
09857LAC2
355000.00000000
PA
408652.89000000
0.073689028892
Long
DBT
NUSS
US
N
2
2024-09-23
Fixed
2.37500000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 7.500000% MATURITY: PERPETUAL
225401AJ7
200000.00000000
PA
USD
203050.00000000
0.036614343572
Long
DBT
NUSS
CH
N
2
2171-01-17
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
AUS 3YR BOND FUT MAR22 FINANCIAL COMMODITY FUTURE.
N/A
-17.00000000
NC
-1402845.64000000
-0.25296366531
N/A
DIR
AU
N
1
MORGAN STANLEY & CO, INC
N/A
Short
Australia Govt. Bond Futures
AUST 3YR BOND FUT (consolidated) Jun 2022
2022-06-15
-1392754.29000000
AUD
-10091.35000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7656.01000000
0.001380545582
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
345536.99000000
USD
325000.00000000
CHF
2022-04-06
7656.01000000
N
N
N
Vivion Investments S.a r.l.
529900SJ7X71ESJK9N76
VIVION INVESTMENTS SARL 3.000000% 08/08/2024
N/A
200000.00000000
PA
213627.66000000
0.038521726372
Long
DBT
NUSS
LU
N
2
2024-08-08
Fixed
3.00000000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDING II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FUNDING II MTN 0.850000% 06/09/2023
57629WCU2
998000.00000000
PA
USD
980467.27000000
0.176799633025
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.250000% 10/20/2036
N/A
351000.00000000
PA
343804.73000000
0.061995491288
Long
DBT
NUSS
AT
N
2
2036-10-20
Fixed
0.25000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 3.622000% 08/14/2030
N/A
245000.00000000
PA
321717.42000000
0.058012667566
Long
DBT
NUSS
GB
N
2
2030-08-14
Fixed
3.62200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-05-06
N/A
1.00000000
NC
USD
12967.02000000
0.002338236520
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
10785000.00000000
NOK
1246294.92000000
USD
2022-05-06
12967.02000000
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTALENERGIES CAPITAL INTERNATIONAL SA MTN 2.500000% 03/25/2026
N/A
400000.00000000
PA
471475.37000000
0.085017292210
Long
DBT
NUSS
FR
N
2
2026-03-25
Fixed
2.50000000
N
N
N
N
N
N
Canada Housing Trust No. 1
549300M44WH89JG50067
CANADA HOUSING TRUST NO 1 144A 2.250000% 12/15/2025
13509PFD0
1325000.00000000
PA
1045827.63000000
0.188585531459
Long
DBT
NUSS
CA
N
2
2025-12-15
Fixed
2.25000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-04-21
N/A
1.00000000
NC
58791.38000000
0.010601368069
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1036654.93000000
USD
16039314.82000000
ZAR
2022-04-21
58791.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-752.74000000
-0.00013573543
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3274000.00000000
PLN
784774.32000000
USD
2022-04-06
-752.74000000
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA MTN 1.375000% 06/19/2026
N/A
300000.00000000
PA
329103.43000000
0.059344526259
Long
DBT
NUSS
ES
N
2
2026-06-19
Fixed
1.37500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
12695.78000000
0.002289326032
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
207611.61000000
USD
3220000.00000000
ZAR
2022-04-06
12695.78000000
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 01/31/2026
91282CBH3
20000.00000000
PA
USD
18427.34000000
0.003322851307
Long
SN
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
Heineken N.V.
724500K5PTPSST86UQ23
HEINEKEN NV MTN 1.000000% 05/04/2026
N/A
335000.00000000
PA
368633.44000000
0.066472649222
Long
DBT
NUSS
NL
N
2
2026-05-04
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-88.82000000
-0.00001601618
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2829000.00000000
CNY
445879.05000000
USD
2022-04-06
-88.82000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
178.72000000
0.000032227113
N/A
DFE
MY
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
137886.70000000
USD
580530.58000000
MYR
2022-04-04
178.72000000
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 1.950000% 01/30/2026
05369AAK7
108000.00000000
PA
USD
99185.88000000
0.017885377433
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 1.750000% 05/15/2041
N/A
124000.00000000
PA
66642.31000000
0.012017061979
Long
DBT
NUSS
NZ
N
2
2041-05-15
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7276.82000000
-0.00131216935
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
385000.00000000
AUD
281840.94000000
USD
2022-04-06
-7276.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-04-13
N/A
1.00000000
NC
USD
495.67000000
0.000089380111
N/A
DFE
US
N
2
JP MORGAN
N/A
1018502917.90000000
COP
271600.78000000
USD
2022-04-13
495.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1908.45000000
-0.00034413515
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
254000.00000000
EUR
280716.99000000
USD
2022-04-06
-1908.45000000
N
N
N
CNH INDUSTRIAL FINANCE EUROPE S.A.
5493007GVB1I2FDSS786
CNH INDUSTRIAL FINANCE EUROPE SA MTN 2.875000% 05/17/2023
N/A
220000.00000000
PA
251618.45000000
0.045372294398
Long
DBT
NUSS
GB
N
2
2023-05-17
Fixed
2.87500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8631.05000000
0.001556366560
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
279587.70000000
USD
360000.00000000
CAD
2022-04-06
8631.05000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 1.000000% 01/20/2026
05578AAP3
950000.00000000
PA
USD
871078.48000000
0.157074448390
Long
DBT
NUSS
FR
N
2
2026-01-20
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-11373.40000000
-0.00205087207
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2710000.00000000
SEK
279433.30000000
USD
2022-04-06
-11373.40000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-05-06
N/A
1.00000000
NC
450.48000000
0.000081231369
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
278564.93000000
USD
212000.00000000
GBP
2022-05-06
450.48000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1978.60000000
0.000356784733
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
282389.58000000
USD
2650000.00000000
SEK
2022-04-06
1978.60000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 0.627000% 11/17/2023
38141GXL3
715000.00000000
PA
USD
705910.43000000
0.127291046617
Long
DBT
CORP
US
N
2
2023-11-17
Fixed
0.62700000
N
N
N
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-05-03
N/A
1.00000000
NC
12939.46000000
0.002333266850
N/A
DFE
BR
N
2
GOLDMAN, SACHS & CO.
N/A
1361602.45000000
USD
6583892.51000000
BRL
2022-05-03
12939.46000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-13
N/A
1.00000000
NC
122.01000000
0.000022001064
N/A
DFE
SG
N
2
JP MORGAN
N/A
136685.56000000
USD
185100.00000000
SGD
2022-06-13
122.01000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST MTN 0.900000% 05/20/2041
N/A
707000.00000000
PA
685918.06000000
0.123685986268
Long
DBT
NUSS
CA
N
2
2041-05-20
Fixed
0.90000000
N
N
N
N
N
N
AGEAS SA
5493005DJBML6LY3RV36
AGEAS SA/NV 1.875000% 11/24/2051
N/A
200000.00000000
PA
200831.81000000
0.036214355536
Long
DBT
NUSS
BE
N
2
2051-11-24
Fixed
1.87500000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.750000% 09/18/2030
N/A
5638800000.00000000
PA
1340574.66000000
0.241734849477
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-183178.04000000
-0.03303099577
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
6565000.00000000
AUD
4746842.95000000
USD
2022-04-06
-183178.04000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
6845.84000000
0.001234454261
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
278310.87000000
USD
410000.00000000
NZD
2022-04-06
6845.84000000
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP 0.300000% 07/07/2028
026657AT3
320000.00000000
PA
327822.33000000
0.059113515988
Long
DBT
NUSS
US
N
2
2028-07-07
Fixed
0.30000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 1.900000% 03/20/2053
N/A
38700000.00000000
PA
404195.39000000
0.072885244422
Long
DBT
NUSS
JP
N
2
2053-03-20
Fixed
1.90000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 07/01/2023
N/A
1441000.00000000
PA
1079237.16000000
0.194609998389
Long
DBT
NUSS
SG
N
2
2023-07-01
Fixed
2.75000000
N
N
N
N
N
N
SOCIETE NATIONALE SNCF SA
969500A4MXJ3ESPHK698
SOCIETE NATIONALE SNCF 1.000000% 05/25/2040
N/A
700000.00000000
PA
689569.63000000
0.124344443980
Long
DBT
NUSS
FR
N
2
2040-05-25
Fixed
1.00000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-21
N/A
1.00000000
NC
-5022.51000000
-0.00090566809
N/A
DFE
SG
N
2
HSBC
N/A
1049443.08000000
USD
1413363.60000000
SGD
2022-04-21
-5022.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-28
N/A
1.00000000
NC
USD
-268432.92000000
-0.04840431006
N/A
DFE
US
N
2
JP MORGAN
N/A
21210235.18000000
EUR
23344884.15000000
USD
2022-04-28
-268432.92000000
N
N
N
PLAINS ALL AMERICAN PIPELINE, L.P.
5521FA2ITF25TVH63740
PLAINS ALL AMERICAN PIPELINE LP / PAA FINANCE CORP 3.550000% 12/15/2029
72650RBM3
79000.00000000
PA
USD
76345.70000000
0.013766794829
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.55000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-63767.26000000
-0.01149862775
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
1320264.02000000
USD
152500000.00000000
JPY
2022-04-06
-63767.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
3391310.60000000
0.611527266540
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
8110351000.00000000
JPY
70215112.13000000
USD
2022-04-06
3391310.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6031.55000000
-0.00108762001
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
265000.00000000
CHF
281956.59000000
USD
2022-04-06
-6031.55000000
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.000000% 06/22/2026
N/A
370000.00000000
PA
420999.53000000
0.075915397367
Long
DBT
NUSS
BE
N
2
2026-06-22
Fixed
1.00000000
N
N
N
N
N
N
Thermo Fisher Scientific (Finance I) B.V.
549300SM0PJC1F3RPL91
THERMO FISHER SCIENTIFIC FINANCE I BV 0.800000% 10/18/2030
N/A
260000.00000000
PA
270391.21000000
0.048757432465
Long
DBT
NUSS
US
N
2
2030-10-18
Fixed
0.80000000
N
N
N
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST 144A 2.000000% 04/16/2031
68329AAJ7
1914000.00000000
PA
USD
1782055.92000000
0.321343549476
Long
DBT
NUSS
CA
N
2
2031-04-16
Fixed
2.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 05/31/2029
N/A
10038000.00000000
PA
506591.31000000
0.091349462080
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
OEC FINANCE LIMITED
N/A
OEC FINANCE LTD 4.375000% 10/25/2029
G6714RAD9
107916.00000000
PA
USD
3237.48000000
0.000583788254
Long
DBT
NUSS
BR
N
2
2029-10-25
Fixed
0.00000000
N
N
Y
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
U.K. GILT STOCK - INFLATION LINKED 1 1/4% 11/22/2027
N/A
271000.00000000
PA
748829.89000000
0.135030361340
Long
DBT
USGA
GB
N
2
2027-11-22
Fixed
1.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 05/15/2036
D2R8H4GD5
1490000.00000000
PA
1514685.23000000
0.273130782645
Long
DBT
NUSS
DE
N
2
2036-05-15
Fixed
0.00000000
N
N
N
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.250000% 06/15/2026
00928QAS0
4000.00000000
PA
USD
3935.23000000
0.000709607797
Long
DBT
NUSS
US
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.500000% 05/21/2030
N/A
1492000.00000000
PA
1097107.69000000
0.197832444709
Long
DBT
NUSS
AU
N
2
2030-05-21
Fixed
2.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 03/20/2027
N/A
71550000.00000000
PA
591257.96000000
0.106616705676
Long
DBT
NUSS
JP
N
2
2027-03-20
Fixed
0.10000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 0.835000% 06/26/2032
N/A
600000.00000000
PA
603920.07000000
0.108899960273
Long
DBT
NUSS
US
N
2
2032-06-26
Fixed
0.83500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.125000% 09/10/2025
N/A
1252200000.00000000
PA
976146.81000000
0.176020559857
Long
DBT
NUSS
KR
N
2
2025-09-10
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-12514.59000000
-0.00225665352
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
5649000.00000000
DKK
833445.95000000
USD
2022-05-06
-12514.59000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
2890000.00000000
PA
683592.04000000
0.123266554131
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 0.500000% 03/08/2028
09857LAT5
110000.00000000
PA
115393.03000000
0.020807880060
Long
DBT
NUSS
US
N
2
2028-03-08
Fixed
0.50000000
N
N
N
N
N
N
Volcan Compania Minera S.A.A.
549300XKJ91C4SZLG750
VOLCAN CIA MINERA SAA 144A 4.375000% 02/11/2026
92863UAB2
21000.00000000
PA
USD
20107.50000000
0.003625820799
Long
DBT
NUSS
PE
N
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
Digital Intrepid Holding B.V.
5493003H2CB2KXPP7461
DIGITAL INTREPID HOLDING BV 0.625000% 07/15/2031
N/A
410000.00000000
PA
378404.69000000
0.068234618711
Long
DBT
NUSS
US
N
2
2031-07-15
Fixed
0.62500000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.125000% 06/01/2026
N/A
1790000.00000000
PA
1317353.23000000
0.237547519183
Long
DBT
NUSS
SG
N
2
2026-06-01
Fixed
2.12500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7131.44000000
0.001285954170
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
566659.50000000
USD
825000.00000000
NZD
2022-04-06
7131.44000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.850000% 06/30/2120
N/A
255000.00000000
PA
181245.30000000
0.032682480596
Long
DBT
NUSS
AT
N
2
2120-06-30
Fixed
0.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-04-08
N/A
1.00000000
NC
USD
-6414.39000000
-0.00115665441
N/A
DFE
US
N
2
JP MORGAN
N/A
33170285711.00000000
IDR
2303332.11000000
USD
2022-04-08
-6414.39000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
3522000.00000000
PA
106523.42000000
0.019208495929
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 07/15/2031
N/A
1014000.00000000
PA
1058379.70000000
0.190848943444
Long
DBT
NUSS
NL
N
2
2031-07-15
Fixed
0.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
17901000.00000000
PA
861504.70000000
0.155348087050
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.125000% 04/15/2052
N/A
135000.00000000
PA
114171.40000000
0.020587593527
Long
DBT
NUSS
FI
N
2
2052-04-15
Fixed
0.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-6126.20000000
-0.00110468747
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
562475.50000000
USD
500000.00000000
EUR
2022-04-06
-6126.20000000
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
3.00000000
NC
461669.41000000
0.083249063752
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Italy Govt. Bond Futures
Euro-BTP Futures Jun 2022
2022-06-11
470212.42000000
EUR
-8543.01000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
2374000.00000000
PA
541473.13000000
0.097639415007
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4441.23000000
0.000800850633
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
279296.91000000
USD
255000.00000000
EUR
2022-04-06
4441.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-22
N/A
1.00000000
NC
USD
-184294.58000000
-0.03323233228
N/A
DFE
US
N
2
JP MORGAN
N/A
13055617.86000000
CAD
10268048.15000000
USD
2022-04-22
-184294.58000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-19
N/A
1.00000000
NC
19055.00000000
0.003436032094
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
1020086.35000000
USD
20887084.11000000
MXN
2022-05-19
19055.00000000
N
N
N
CREDIT AGRICOLE HOME LOAN SFH SA
969500C9913Z7PKUGB44
CREDIT AGRICOLE HOME LOAN SFH SA MTN 0.250000% 02/23/2024
N/A
700000.00000000
PA
775626.42000000
0.139862360138
Long
DBT
NUSS
FR
N
2
2024-02-23
Fixed
0.25000000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
PROVINCE OF ONTARIO CANADA MTN 0.250000% 12/15/2026
N/A
2337000.00000000
PA
2834400.99000000
0.511104317514
Long
DBT
NUSS
CA
N
2
2026-12-15
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-11881.09000000
-0.00214241965
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1990000.00000000
CHF
2150746.82000000
USD
2022-04-06
-11881.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4641.42000000
-0.00083694925
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
360000.00000000
CAD
283577.33000000
USD
2022-04-06
-4641.42000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 0.500000% 05/17/2024
N/A
505000.00000000
PA
560414.25000000
0.101054912054
Long
DBT
NUSS
AU
N
2
2024-05-17
Fixed
0.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV SA
5493008H3828EMEXB082
ANHEUSER-BUSCH INBEV SA/NV MTN 1.150000% 01/22/2027
N/A
230000.00000000
PA
255853.89000000
0.046136036606
Long
DBT
NUSS
BE
N
2
2027-01-22
Fixed
1.15000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 4.625000% 03/13/2027
05581KAC5
340000.00000000
PA
USD
347710.50000000
0.062699786805
Long
DBT
NUSS
FR
N
2
2027-03-13
Fixed
4.62500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.000000% 12/20/2035
N/A
15600000.00000000
PA
138736.21000000
0.025017164535
Long
DBT
NUSS
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
Q-Park Holding I B.V.
2549003839B7HE3NDP48
Q-PARK HOLDING I BV 144A 2.000000% 03/01/2027
N/A
122000.00000000
PA
123695.42000000
0.022304982055
Long
DBT
NUSS
NL
N
2
2027-03-01
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-04-01
N/A
1.00000000
NC
USD
-87.86000000
-0.00001584307
N/A
DFE
US
N
2
JP MORGAN
N/A
185100.00000000
SGD
136683.85000000
USD
2022-04-01
-87.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-8278.62000000
-0.00149281574
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2570000.00000000
NOK
285635.91000000
USD
2022-04-06
-8278.62000000
N
N
N
CHEPLAPHARM Arzneimittel GmbH
529900ONXKBELT7EW052
CHEPLAPHARM ARZNEIMITTEL GMBH 144A 3.500000% 02/11/2027
N/A
191000.00000000
PA
206670.86000000
0.037267263602
Long
DBT
NUSS
DE
N
2
2027-02-11
Fixed
3.50000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 07/28/2025
N/A
1540000.00000000
PA
324343.50000000
0.058486207065
Long
DBT
NUSS
RO
N
2
2025-07-28
Fixed
3.65000000
N
N
N
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 0.000000% 11/16/2026
N/A
1067000.00000000
PA
1142030.49000000
0.205933005327
Long
DBT
NUSS
NL
N
2
2026-11-16
Fixed
0.00000000
N
N
N
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA 0.250000% 07/02/2025
58507LAM1
115000.00000000
PA
125107.35000000
0.022559583828
Long
DBT
NUSS
US
N
2
2025-07-02
Fixed
0.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-761.27000000
-0.00013727358
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
277251.45000000
USD
210000.00000000
GBP
2022-04-06
-761.27000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
20057.90000000
0.003616876837
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
558177.62000000
USD
770000.00000000
AUD
2022-04-06
20057.90000000
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC MTN 1.625000% 09/18/2025
N/A
415000.00000000
PA
459069.16000000
0.082780181964
Long
DBT
NUSS
ZA
N
2
2025-09-18
Fixed
1.62500000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 1.750000% 05/25/2023
N/A
2359000.00000000
PA
2688665.76000000
0.484825077022
Long
DBT
NUSS
FR
N
2
2023-05-25
Fixed
1.75000000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8188.20000000
0.001476511046
N/A
DFE
IL
N
2
BARCLAYS CAPITAL INC.
N/A
913439.14000000
USD
2941000.00000000
ILS
2022-04-06
8188.20000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2022-05-25
N/A
1.00000000
NC
24113.32000000
0.004348157513
N/A
DFE
CL
N
2
CITIGROUP GLOBAL MARKETS
N/A
1006459.00000000
USD
817898962.00000000
CLP
2022-05-25
24113.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-06
N/A
1.00000000
NC
USD
10342.34000000
0.001864949471
N/A
DFE
US
N
2
JP MORGAN
N/A
28466700.00000000
CNY
4480757.43000000
USD
2022-06-06
10342.34000000
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 0.500000% 02/19/2028
N/A
200000.00000000
PA
209041.35000000
0.037694714650
Long
DBT
NUSS
FR
N
2
2028-02-19
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-21.16000000
-0.00000381560
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
214000.00000000
GBP
281735.49000000
USD
2022-04-06
-21.16000000
N
N
N
GLENCORE CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
213800HCUCI1HC7X6Q34
GLENCORE CAPITAL FINANCE DAC MTN 0.750000% 03/01/2029
N/A
450000.00000000
PA
447291.27000000
0.080656371519
Long
DBT
NUSS
AU
N
2
2029-03-01
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-971.52000000
-0.00017518624
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
281927.11000000
USD
2022-05-06
-971.52000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2583.48000000
0.000465857790
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
141525.90000000
USD
180000.00000000
CAD
2022-04-06
2583.48000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
8244600.00000000
PA
385257.90000000
0.069470401944
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-122.58000000
-0.00002210384
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
25000.00000000
PLN
5875.64000000
USD
2022-04-06
-122.58000000
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2004-A5 JPMMT 2004-A5 3A1
466247FZ1
19834.38430000
PA
USD
20254.10000000
0.003652255977
Long
ABS-MBS
US
N
2
2034-12-25
Floating
2.51339040
N
N
N
N
N
N
General Motors Financial of Canada, Ltd.
5493001CSMJPUBB7NS44
GENERAL MOTORS FINANCIAL OF CANADA LTD 2.600000% 06/01/2022
37045YAC8
1300000.00000000
PA
1042695.65000000
0.188020767156
Long
DBT
NUSS
US
N
2
2022-06-01
Fixed
2.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-01
N/A
1.00000000
NC
USD
12.47000000
0.000002248612
N/A
DFE
US
N
2
JP MORGAN
N/A
55200.00000000
EUR
61430.42000000
USD
2022-04-01
12.47000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-06-15
N/A
1.00000000
NC
-504.34000000
-0.00009094350
N/A
DFE
KR
N
2
JP MORGAN
N/A
200003.30000000
USD
242086000.00000000
KRW
2022-06-15
-504.34000000
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.375000% 08/19/2030
N/A
9406000.00000000
PA
979521.30000000
0.176629054002
Long
DBT
NUSS
NO
N
2
2030-08-19
Fixed
1.37500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.500000% 01/22/2045
N/A
153000.00000000
PA
264370.55000000
0.047671776155
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-831.75000000
-0.00014998266
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
282066.88000000
USD
2022-05-06
-831.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-6666.88000000
-0.00120218387
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3095000.00000000
TRY
199658.10000000
USD
2022-05-06
-6666.88000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.100000% 09/20/2117
N/A
50000.00000000
PA
67165.87000000
0.012111471265
Long
DBT
NUSS
AT
N
2
2117-09-20
Fixed
2.10000000
N
N
N
N
N
N
Matterhorn Telecom S.A.
549300MTB0YI26SMUT22
MATTERHORN TELECOM SA 3.125000% 09/15/2026
N/A
215000.00000000
PA
230739.62000000
0.041607385976
Long
DBT
NUSS
LU
N
2
2026-09-15
Fixed
3.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-06-17
N/A
1.00000000
NC
USD
-26.31000000
-0.00000474426
N/A
DFE
US
N
2
JP MORGAN
N/A
129155.36000000
NOK
14742.73000000
USD
2022-06-17
-26.31000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
21.00000000
NC
3351981.57000000
0.604435384655
N/A
DIR
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2022
2022-07-01
3448086.92000000
GBP
-96105.35000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-06-21
N/A
1.00000000
NC
854.52000000
0.000154088593
N/A
DFE
MX
N
2
JP MORGAN
N/A
247864.78000000
USD
5030000.00000000
MXN
2022-06-21
854.52000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 2.950000% 12/18/2028
110709GH9
1653000.00000000
PA
1324993.88000000
0.238925295022
Long
DBT
NUSS
CA
N
2
2028-12-18
Fixed
2.95000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8348.81000000
0.001505472532
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
280768.95000000
USD
385000.00000000
AUD
2022-04-06
8348.81000000
N
N
N
COMPAGNIE CREDIT FORD DU CANADA
N/A
FORD CREDIT CANADA CO 3.349000% 09/19/2022
34527ABV1
730000.00000000
PA
584940.96000000
0.105477612801
Long
DBT
NUSS
US
N
2
2022-09-19
Fixed
3.34900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-05-23
N/A
1.00000000
NC
USD
-34759.45000000
-0.00626788694
N/A
DFE
US
N
2
JP MORGAN
N/A
949514900.00000000
CLP
1162054.71000000
USD
2022-05-23
-34759.45000000
N
N
N
NETFLIX, INC.
549300Y7VHGU0I7CE873
NETFLIX INC 3.625000% 05/15/2027
N/A
200000.00000000
PA
237304.73000000
0.042791218496
Long
DBT
NUSS
US
N
2
2027-05-15
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
12452.42000000
0.002245442916
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
32600000.00000000
JPY
281054.35000000
USD
2022-04-06
12452.42000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.600000% 04/30/2025
N/A
259000.00000000
PA
298572.17000000
0.053839074187
Long
DBT
NUSS
ES
N
2
2025-04-30
Fixed
1.60000000
N
N
N
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.000000% 02/05/2048
N/A
300000.00000000
PA
348766.78000000
0.062890257127
Long
DBT
NUSS
FR
N
2
2048-02-05
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7925.25000000
-0.00142909542
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3160000.00000000
ZAR
208277.03000000
USD
2022-04-06
-7925.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-936.85000000
-0.00016893448
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
707000.00000000
MYR
167331.06000000
USD
2022-05-06
-936.85000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.720000% 04/12/2051
N/A
35440000.00000000
PA
5899391.87000000
1.063789021422
Long
DBT
NUSS
CN
N
2
2051-04-12
Fixed
3.72000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 0.950000% 12/01/2031
N/A
2794000.00000000
PA
2828848.84000000
0.510103143776
Long
DBT
NUSS
IT
N
2
2031-12-01
Fixed
0.95000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-22456.97000000
-0.00404948148
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
2074273.19000000
USD
1844000.00000000
EUR
2022-04-06
-22456.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-04-13
N/A
1.00000000
NC
USD
-405.29000000
-0.00007308262
N/A
DFE
US
N
2
JP MORGAN
N/A
248684547.15000000
COP
65789.56000000
USD
2022-04-13
-405.29000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7203.02000000
0.001298861605
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
563110.40000000
USD
820000.00000000
NZD
2022-04-06
7203.02000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.660000% 03/01/2031
N/A
4680000.00000000
PA
766340.69000000
0.138187940495
Long
DBT
NUSS
CN
N
2
2031-03-01
Fixed
3.66000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5218.28000000
0.000940969696
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
283415.95000000
USD
415000.00000000
NZD
2022-04-06
5218.28000000
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A 1.250000% 06/23/2025
74256LEE5
315000.00000000
PA
USD
295313.24000000
0.053251418030
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.25000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.250000% 06/01/2029
135087J39
2015000.00000000
PA
1600933.27000000
0.288683185349
Long
DBT
NUSS
CA
N
2
2029-06-01
Fixed
2.25000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.375000% 09/01/2033
N/A
162000.00000000
PA
130775.48000000
0.023581671291
Long
DBT
NUSS
SG
N
2
2033-09-01
Fixed
3.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-7993.26000000
-0.00144135911
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2941000.00000000
ILS
914347.89000000
USD
2022-05-06
-7993.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-14924.46000000
-0.00269120564
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1795000.00000000
PLN
415747.83000000
USD
2022-04-06
-14924.46000000
N
N
N
European Union
529900FZRK8FGMPEOM08
EUROPEAN UNION MTN 0.700000% 07/06/2051
N/A
80000.00000000
PA
76535.67000000
0.013801050563
Long
DBT
NUSS
XX
N
2
2051-07-06
Fixed
0.70000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 1.375000% 06/30/2022
N/A
195000.00000000
PA
256617.64000000
0.046273757389
Long
DBT
NUSS
US
N
2
2022-06-30
Fixed
1.37500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5261.28000000
0.000948723533
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
282957.47000000
USD
360000.00000000
CAD
2022-04-06
5261.28000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.350000% 07/30/2033
N/A
396000.00000000
PA
481601.14000000
0.086843189387
Long
DBT
NUSS
ES
N
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 144A 5.250000% 08/11/2025
00928QAT8
261000.00000000
PA
USD
265887.42000000
0.047945300899
Long
DBT
NUSS
US
N
2
2025-08-11
Fixed
5.25000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
839700000.00000000
PA
7999340.22000000
1.442455509343
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.500000% 04/21/2033
N/A
606000.00000000
PA
525183.11000000
0.094701969112
Long
DBT
NUSS
AU
N
2
2033-04-21
Fixed
4.50000000
N
N
N
N
N
N
TYCO ELECTRONICS GROUP S.A.
C33G1C5SYE2YM95EE712
TYCO ELECTRONICS GROUP SA 0.000000% 02/16/2029
902133AX5
308000.00000000
PA
307045.94000000
0.055367079733
Long
DBT
NUSS
CH
N
2
2029-02-16
Fixed
0.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/23/2034
N/A
6369000.00000000
PA
305278.93000000
0.055048449291
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-2240.93000000
-0.00040408855
N/A
DFE
US
N
2
JP MORGAN
N/A
768000.00000000
NZD
530987.52000000
USD
2022-06-13
-2240.93000000
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.625000% 05/18/2027
N/A
225000.00000000
PA
248451.31000000
0.044801189980
Long
DBT
NUSS
DE
N
2
2027-05-18
Fixed
0.62500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2049
N/A
393000.00000000
PA
793347.73000000
0.143057898837
Long
DBT
NUSS
GB
N
2
2049-12-07
Fixed
4.25000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 1.950000% 09/20/2026
05369AAL5
231000.00000000
PA
USD
208936.41000000
0.037675791680
Long
DBT
CORP
US
N
2
2026-09-20
Fixed
1.95000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
14111.29000000
0.002544573357
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
567879.00000000
USD
775000.00000000
AUD
2022-04-06
14111.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-04-28
N/A
1.00000000
NC
USD
20259.22000000
0.003653179224
N/A
DFE
US
N
2
JP MORGAN
N/A
1265954984.00000000
KRW
1063872.00000000
USD
2022-04-28
20259.22000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
3465.39000000
0.000624885398
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
284753.36000000
USD
360000.00000000
CAD
2022-04-06
3465.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-2797.24000000
-0.00050440338
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
255000.00000000
EUR
280940.90000000
USD
2022-04-06
-2797.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-05-06
N/A
1.00000000
NC
USD
49627.66000000
0.008948949490
N/A
DFE
US
N
2
JP MORGAN
N/A
4323891.08000000
PLN
1084551.79000000
USD
2022-05-06
49627.66000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.270000% 11/19/2030
N/A
15170000.00000000
PA
2465139.95000000
0.444518498324
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.500000% 01/22/2045
N/A
848000.00000000
PA
1465269.41000000
0.264220032527
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 0.250000% 03/17/2028
N/A
470000.00000000
PA
486624.35000000
0.087748983707
Long
DBT
NUSS
US
N
2
2028-03-17
Fixed
0.25000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 03/07/2036
N/A
56000.00000000
PA
96202.94000000
0.017347488292
Long
DBT
NUSS
GB
N
2
2036-03-07
Fixed
4.25000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.200000% 03/13/2031
N/A
8010000.00000000
PA
295369.32000000
0.053261530477
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4530.82000000
-0.00081700566
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
380000.00000000
AUD
280832.16000000
USD
2022-04-06
-4530.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-04-07
N/A
1.00000000
NC
USD
762.92000000
0.000137571115
N/A
DFE
US
N
2
JP MORGAN
N/A
77400573.87000000
INR
1021826.18000000
USD
2022-04-07
762.92000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: Overnight Brazilian Interbank Deposit Rate
N/A
5657692.06000000
NC
-66495.66000000
-0.01199061778
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
-5657692.06000000
BRL
-66495.66000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 3.869000% 03/28/2026
456837BA0
505000.00000000
PA
USD
507448.85000000
0.091504095245
Long
DBT
NUSS
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
12331.56000000
0.002223649222
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
32600000.00000000
JPY
280933.49000000
USD
2022-04-06
12331.56000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8533.16000000
0.001538714858
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
283688.63000000
USD
365000.00000000
CAD
2022-04-06
8533.16000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7261.01000000
0.001309318467
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
278101.97000000
USD
380000.00000000
AUD
2022-04-06
7261.01000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-06-13
N/A
1.00000000
NC
12832.93000000
0.002314057168
N/A
DFE
CH
N
2
JP MORGAN
N/A
950485.68000000
USD
883600.00000000
CHF
2022-06-13
12832.93000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2022-04-29
N/A
1.00000000
NC
8335.53000000
0.001503077859
N/A
DFE
TW
N
2
MORGAN STANLEY & CO, INC
N/A
998066.84000000
USD
28773269.00000000
TWD
2022-04-29
8335.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3757.46000000
-0.00067755198
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
253000.00000000
EUR
277755.29000000
USD
2022-04-06
-3757.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-06-17
N/A
1.00000000
NC
USD
-13721.18000000
-0.00247422801
N/A
DFE
US
N
2
JP MORGAN
N/A
9342606.06000000
SEK
990987.86000000
USD
2022-06-17
-13721.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-5282.95000000
-0.00095263110
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1562000.00000000
RON
345292.57000000
USD
2022-05-06
-5282.95000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-05-06
N/A
1.00000000
NC
-24.04000000
-0.00000433493
N/A
DFE
NO
N
2
MORGAN STANLEY & CO, INC
N/A
2311.16000000
USD
20000.00000000
NOK
2022-05-06
-24.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3289.14000000
-0.00059310367
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
255000.00000000
EUR
280449.00000000
USD
2022-04-06
-3289.14000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
16867.59000000
0.003041594363
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1459272.21000000
USD
1325240.44000000
EUR
2022-05-12
16867.59000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
51.00000000
NC
9003137.65000000
1.623462079053
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
Euro-Bund Future Jun 2022
2022-06-11
9242421.58000000
EUR
-239283.93000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
18489000000.00000000
PA
1265207.58000000
0.228144521178
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.375000% 06/19/2024
N/A
410000.00000000
PA
471983.56000000
0.085108929951
Long
DBT
NUSS
US
N
2
2024-06-19
Fixed
2.37500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 0.750000% 07/22/2023
N/A
948000.00000000
PA
1239889.14000000
0.223579054244
Long
DBT
NUSS
GB
N
2
2023-07-22
Fixed
0.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-3565.31000000
-0.00064290315
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
284005.34000000
USD
213000.00000000
GBP
2022-04-06
-3565.31000000
N
N
N
ASIAN DEVELOPMENT BANK
549300X0MVH42CY8Q105
ASIAN DEVELOPMENT BANK MTN 2.350000% 06/21/2027
N/A
410000000.00000000
PA
3787338.34000000
0.682939705529
Long
DBT
NUSS
XX
N
2
2027-06-21
Fixed
2.35000000
N
N
N
N
N
N
ALLWYN ENTERTAINMENT FINANCING (UK) PLC
315700J7ZTIN8XGCX365
ALLWYN ENTERTAINMENT FINANCING UK PLC 144A VARIABLE RATE 02/15/2028
BU1337163
100000.00000000
PA
109178.20000000
0.019687210664
Long
DBT
NUSS
GB
N
2
2028-02-15
Floating
4.12499880
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-05-23
N/A
1.00000000
NC
USD
56853.48000000
0.010251922433
N/A
DFE
US
N
2
JP MORGAN
N/A
92589050.00000000
THB
2843207.43000000
USD
2022-05-23
56853.48000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-04-06
N/A
1.00000000
NC
14123.58000000
0.002546789512
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
420147.64000000
USD
1810000.00000000
PLN
2022-04-06
14123.58000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.700000% 09/01/2051
N/A
236000.00000000
PA
223774.09000000
0.040351348997
Long
DBT
NUSS
IT
N
2
2051-09-01
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-14900.58000000
-0.00268689955
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
590000.00000000
AUD
428163.00000000
USD
2022-04-06
-14900.58000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
18732.58000000
0.003377892736
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
282805.00000000
USD
2810000.00000000
SEK
2022-04-06
18732.58000000
N
N
N
BRITISH TELECOMMUNICATIONS PUBLIC LIMITED COMPANY
549300OWFMSO9NYV4H90
BRITISH TELECOMMUNICATIONS PLC MTN 3.125000% 11/21/2031
N/A
108000.00000000
PA
139197.00000000
0.025100255022
Long
DBT
NUSS
GB
N
2
2031-11-21
Fixed
3.12500000
N
N
N
N
N
N
N/A
N/A
AUST 10YR BND FUTR JUN 2022
N/A
34.00000000
NC
3236031.97000000
0.583527142884
N/A
DIR
AU
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Australia Govt. Bond Futures
AUST 10Y BOND (consolidated) Jun 2022
2022-06-15
3289242.08000000
AUD
-53210.11000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.875000% 06/22/2029
N/A
16455000.00000000
PA
579679.83000000
0.104528916315
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
4.87500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-04-01
N/A
1.00000000
NC
-1384.75000000
-0.00024970062
N/A
DFE
MX
N
2
JP MORGAN
N/A
623639.29000000
USD
12409000.00000000
MXN
2022-04-01
-1384.75000000
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO 1.375000% 09/14/2061
532457CC0
195000.00000000
PA
167803.80000000
0.030258684984
Long
DBT
NUSS
US
N
2
2061-09-14
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-16165.16000000
-0.00291493091
N/A
DFE
US
N
2
JP MORGAN
N/A
2787000.00000000
CAD
2215058.58000000
USD
2022-06-13
-16165.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1491.02000000
-0.00026886342
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
128000.00000000
EUR
140934.40000000
USD
2022-04-06
-1491.02000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
3040.71000000
0.000548306331
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
278472.04000000
USD
253000.00000000
EUR
2022-04-06
3040.71000000
N
N
N
ASR Nederland N.V.
7245000G0HS48PZWUD53
ASR NEDERLAND NV 3.375000% 05/02/2049
N/A
255000.00000000
PA
286912.74000000
0.051736624662
Long
DBT
NUSS
NL
N
2
2049-05-02
Fixed
3.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1230.15000000
-0.00022182287
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
195000.00000000
SGD
142857.98000000
USD
2022-04-06
-1230.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3692.16000000
-0.00066577697
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
278862.24000000
USD
2022-04-06
-3692.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-06-14
N/A
1.00000000
NC
USD
-4429.34000000
-0.00079870660
N/A
DFE
US
N
2
JP MORGAN
N/A
1698400.00000000
AUD
1272288.42000000
USD
2022-06-14
-4429.34000000
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP 144A 1.162000% 04/03/2026
62954WAC9
345000.00000000
PA
USD
318086.70000000
0.057357969563
Long
DBT
NUSS
JP
N
2
2026-04-03
Fixed
1.16200000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-05-06
N/A
1.00000000
NC
12479.04000000
0.002250243083
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
1799593.77000000
USD
26580000.00000000
ZAR
2022-05-06
12479.04000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.500000% 12/07/2042
N/A
230000.00000000
PA
442435.81000000
0.079780826182
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.50000000
N
N
N
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP 1.125000% 07/13/2027
756109BB9
385000.00000000
PA
467325.62000000
0.084269001778
Long
DBT
NUSS
US
N
2
2027-07-13
Fixed
1.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.232000% 06/30/2031
N/A
1537000.00000000
PA
370777.02000000
0.066859183448
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
219.69000000
0.000039614898
N/A
DFE
MY
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
175950.83000000
USD
740753.01000000
MYR
2022-04-04
219.69000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2033
N/A
98000.00000000
PA
113511.25000000
0.020468554084
Long
DBT
NUSS
IT
N
2
2033-09-01
Fixed
2.45000000
N
N
N
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 2.750000% 08/09/2049
N/A
315000.00000000
PA
354160.37000000
0.063862839040
Long
DBT
NUSS
GB
N
2
2049-08-09
Fixed
2.75000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2004-6 BSARM 2004-6 3A
07384MW81
8920.12590000
PA
USD
8144.57000000
0.001468643606
Long
ABS-MBS
US
N
2
2034-09-25
Floating
2.16544680
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
882982.52000000
0.159221006432
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
61187796.08000000
USD
55784000.00000000
EUR
2022-04-06
882982.52000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7813.16000000
0.001408883155
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
284298.59000000
USD
420000.00000000
NZD
2022-04-06
7813.16000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 5.500000% 04/15/2023
N/A
2356000.00000000
PA
1689533.74000000
0.304659782489
Long
DBT
NUSS
NZ
N
2
2023-04-15
Fixed
5.50000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.250000% 01/22/2044
N/A
57000.00000000
PA
94344.57000000
0.017012383650
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC 0.625000% 11/08/2024
718172CF4
285000.00000000
PA
312412.33000000
0.056334756892
Long
DBT
NUSS
US
N
2
2024-11-08
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-5916.39000000
-0.00106685415
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
415000.00000000
NZD
282717.84000000
USD
2022-04-06
-5916.39000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 0.250000% 11/21/2025
N/A
1211000.00000000
PA
839196.32000000
0.151325399584
Long
DBT
NUSS
AU
N
2
2025-11-21
Fixed
0.25000000
N
N
N
N
N
N
NATIONAL GRID PLC
8R95QZMKZLJX5Q2XR704
NATL 0 05/04/2022 CP
63627UE42
1200000.00000000
PA
USD
1198910.87000000
0.216189778416
Long
ABS-APCP
US
N
2
2022-05-04
None
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
1470.87000000
0.000265229941
N/A
DFE
US
N
2
JP MORGAN
N/A
10660000.00000000
CNY
1674783.97000000
USD
2022-06-13
1470.87000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
1493000.00000000
PA
304206.92000000
0.054855142507
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
32395000000.00000000
PA
2470861.66000000
0.445550247429
Long
DBT
NUSS
ID
N
2
2034-03-15
Fixed
8.37500000
N
N
N
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION
VGRQXHF3J8VDLUA7XE92
INTERNATIONAL BUSINESS MACHINES CORP 0.300000% 02/11/2028
459200KE0
240000.00000000
PA
252458.23000000
0.045523725048
Long
DBT
NUSS
US
N
2
2028-02-11
Fixed
0.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-10126.94000000
-0.00182610815
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
5408000.00000000
SEK
570667.00000000
USD
2022-05-06
-10126.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-14972.84000000
-0.00269992961
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2810000.00000000
SEK
286564.74000000
USD
2022-04-06
-14972.84000000
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN 0.000000% 02/21/2030
N/A
33000.00000000
PA
33798.23000000
0.006094558017
Long
DBT
NUSS
XX
N
2
2030-02-21
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4277.72000000
-0.00077136621
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
265000.00000000
CHF
283710.42000000
USD
2022-04-06
-4277.72000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.000000% 12/20/2035
N/A
34400000.00000000
PA
305931.14000000
0.055166056979
Long
DBT
NUSS
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
259750000.00000000
PA
2156711.47000000
0.388902116475
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3818.92000000
-0.00068863456
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
278735.48000000
USD
2022-04-06
-3818.92000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
2966000000.00000000
PA
667227.13000000
0.120315603935
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-886.43000000
-0.00015984266
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
277376.61000000
USD
210000.00000000
GBP
2022-04-06
-886.43000000
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP VARIABLE RATE 02/14/2024
855244BB4
330000.00000000
PA
USD
330508.16000000
0.059597829716
Long
DBT
CORP
US
N
2
2024-02-14
Floating
0.47000520
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.000000% 04/15/2024
N/A
1429000.00000000
PA
1574227.71000000
0.283867590426
Long
DBT
NUSS
IT
N
2
2024-04-15
Fixed
0.00000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 2.250000% 09/07/2023
N/A
19000.00000000
PA
25329.32000000
0.004567428835
Long
DBT
NUSS
GB
N
2
2023-09-07
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
147.69000000
0.000026631728
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
707000.00000000
MYR
168300.07000000
USD
2022-04-06
147.69000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MATURITY: PERPETUAL
48127FAA1
46000.00000000
PA
USD
45827.50000000
0.008263697759
Long
DBT
CORP
US
N
2
2171-01-01
Floating
3.53437920
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
230.43000000
0.000041551554
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
213000.00000000
GBP
280670.46000000
USD
2022-04-06
230.43000000
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 0.010000% 03/18/2025
N/A
645000.00000000
PA
700324.06000000
0.126283702266
Long
DBT
NUSS
CA
N
2
2025-03-18
Fixed
0.01000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.750000% 03/20/2051
N/A
454000.00000000
PA
453292.80000000
0.081738578273
Long
DBT
NUSS
AT
N
2
2051-03-20
Fixed
0.75000000
N
N
N
N
N
N
Nordea Kiinnitysluottopankki Oyj
7437001LESKGLAEOEU84
NORDEA KIINNITYSLUOTTOPANKKI OYJ MTN 0.250000% 03/18/2026
N/A
480000.00000000
PA
520500.60000000
0.093857610432
Long
DBT
NUSS
FI
N
2
2026-03-18
Fixed
0.25000000
N
N
N
N
N
N
HOST HOTELS & RESORTS, L.P.
FXB7X4WXVA8QPMNOGS12
HOST HOTELS & RESORTS LP 3.500000% 09/15/2030
44107TAZ9
200000.00000000
PA
USD
190692.05000000
0.034385935657
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-870661.45000000
-0.15699924878
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
55784000.00000000
EUR
61248321.72000000
USD
2022-05-06
-870661.45000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.250000% 12/20/2047
N/A
300000.00000000
PA
371666.07000000
0.067019498554
Long
DBT
NUSS
FR
N
2
2047-12-20
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-46.54000000
-0.00000839217
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
110000.00000000
TRY
7442.49000000
USD
2022-04-06
-46.54000000
N
N
N
DNB BOLIGKREDITT AS
5967007LIEEXZX659K67
DNB BOLIGKREDITT AS MTN 0.375000% 11/20/2024
N/A
795000.00000000
PA
876957.29000000
0.158134526052
Long
DBT
NUSS
NO
N
2
2024-11-20
Fixed
0.37500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.875000% 10/22/2029
N/A
1668000.00000000
PA
2099054.25000000
0.378505262190
Long
DBT
NUSS
GB
N
2
2029-10-22
Fixed
0.87500000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.400000% 06/22/2053
N/A
315000.00000000
PA
337859.47000000
0.060923431243
Long
DBT
NUSS
BE
N
2
2053-06-22
Fixed
1.40000000
N
N
N
N
N
N
ZURICH FINANCE (UK) PLC
213800LG3O6I2B27MS24
ZURICH FINANCE PLC 6.625% 9/29/2049
N/A
235000.00000000
PA
314423.50000000
0.056697414707
Long
ABS-MBS
GB
N
2
2049-10-30
Fixed
6.62500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
58750000.00000000
PA
625569.52000000
0.112803828288
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 1.875000% 05/23/2022
N/A
235000.00000000
PA
262200.87000000
0.047280535529
Long
DBT
NUSS
GB
N
2
2022-05-23
Fixed
1.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2022-04-29
N/A
1.00000000
NC
USD
2360.27000000
0.000425608159
N/A
DFE
US
N
2
JP MORGAN
N/A
28336279.00000000
TWD
993478.05000000
USD
2022-04-29
2360.27000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1805.57000000
-0.00032558365
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1779000.00000000
CNY
278638.70000000
USD
2022-04-06
-1805.57000000
N
N
N
SBB Treasury Oyj
5493003HHOCW6FIMH724
SBB TREASURY OYJ MTN 1.125000% 11/26/2029
N/A
160000.00000000
PA
143785.66000000
0.025927690500
Long
DBT
NUSS
SE
N
2
2029-11-26
Fixed
1.12500000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 4.000000% 04/25/2055
N/A
139000.00000000
PA
260103.65000000
0.046902361022
Long
DBT
NUSS
FR
N
2
2055-04-25
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.559000% 04/23/2027
06051GHT9
79000.00000000
PA
USD
79224.95000000
0.014285986401
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
3.55900000
N
N
N
N
N
N
HeidelbergCement Finance Luxembourg S.A.
529900RYHTCF5X9DD509
HEIDELBERGCEMENT FINANCE LUXEMBOURG SA MTN 1.750000% 04/24/2028
N/A
120000.00000000
PA
132514.58000000
0.023895268951
Long
DBT
NUSS
DE
N
2
2028-04-24
Fixed
1.75000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.950000% 07/30/2030
N/A
188000.00000000
PA
221836.06000000
0.040001879919
Long
DBT
NUSS
ES
N
2
2030-07-30
Fixed
1.95000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC MTN 4.000000% 06/26/2029
N/A
500000.00000000
PA
351684.80000000
0.063416439776
Long
DBT
NUSS
GB
N
2
2029-06-26
Fixed
4.00000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-06-13
N/A
1.00000000
NC
247643.61000000
0.044655544054
N/A
DFE
SE
N
2
JP MORGAN
N/A
5779011.72000000
USD
56048300.00000000
SEK
2022-06-13
247643.61000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
2959000000.00000000
PA
209506.47000000
0.037778585931
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
OEC FINANCE LIMITED
N/A
OEC FINANCE LTD 7.125000% 12/26/2046
G6714RAF4
167031.00000000
PA
USD
5012.60000000
0.000903881106
Long
DBT
NUSS
BR
N
2
2046-12-26
Fixed
0.00000000
N
N
Y
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-06-10
N/A
1.00000000
NC
USD
-43483.86000000
-0.00784108835
N/A
DFE
US
N
2
JP MORGAN
N/A
3166514.87000000
NZD
2155177.52000000
USD
2022-06-10
-43483.86000000
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 144A 2.875000% 04/01/2032
212015AV3
170000.00000000
PA
USD
151597.50000000
0.027336335630
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-04-05
N/A
1.00000000
NC
USD
29522.88000000
0.005323619165
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
58070000.00000000
THB
1776003.91000000
USD
2022-04-05
29522.88000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
13021.99000000
0.002348148809
N/A
DFE
SG
N
2
BARCLAYS CAPITAL INC.
N/A
2361845.97000000
USD
3214000.00000000
SGD
2022-04-06
13021.99000000
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC 3.250000% MATURITY: PERPETUAL
N/A
612000.00000000
PA
682599.67000000
0.123087608176
Long
DBT
NUSS
GB
N
2
2170-06-22
Fixed
3.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8000.35000000
0.001442637594
N/A
DFE
MX
N
2
BANK OF AMERICA
N/A
211563.54000000
USD
4380000.00000000
MXN
2022-04-06
8000.35000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.250000% 08/01/2036
N/A
664000.00000000
PA
474767.24000000
0.085610888168
Long
DBT
NUSS
SG
N
2
2036-08-01
Fixed
2.25000000
N
N
N
N
N
N
CCEP FINANCE (IRELAND) DESIGNATED ACTIVITY COMPANY
549300C3FJ5JIMZNEN16
CCEP FINANCE IRELAND DAC 0.500000% 09/06/2029
G198A4AD7
335000.00000000
PA
342189.33000000
0.061704199436
Long
DBT
NUSS
GB
N
2
2029-09-06
Fixed
0.50000000
N
N
N
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 0.000000% 11/15/2031
N/A
2049000.00000000
PA
283710.74000000
0.051159234226
Long
DBT
NUSS
DK
N
2
2031-11-15
Fixed
0.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.020000% 10/22/2025
N/A
100000.00000000
PA
16028.91000000
0.002890362067
Long
DBT
NUSS
CN
N
2
2025-10-22
Fixed
3.02000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.100000% 03/01/2040
N/A
122000.00000000
PA
151730.34000000
0.027360289579
Long
DBT
NUSS
IT
N
2
2040-03-01
Fixed
3.10000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-23.00000000
NC
-3297632.28000000
-0.59463502229
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2022
2022-06-11
-3267766.80000000
EUR
-29865.48000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-04
N/A
1.00000000
NC
146.96000000
0.000026500093
N/A
DFE
MY
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
113381.35000000
USD
477358.18000000
MYR
2022-04-04
146.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-101624.46000000
-0.01832510659
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
16491000.00000000
GBP
21602352.47000000
USD
2022-05-06
-101624.46000000
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.500000% 10/22/2024
N/A
420000.00000000
PA
472065.87000000
0.085123772239
Long
DBT
NUSS
BE
N
2
2024-10-22
Fixed
0.50000000
N
N
N
N
N
N
DS SMITH PLC
39RSBE4RCI4M15BLWH36
DS SMITH PLC MTN 1.375000% 07/26/2024
N/A
430000.00000000
PA
478938.36000000
0.086363032077
Long
DBT
NUSS
GB
N
2
2024-07-26
Fixed
1.37500000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE CAPITAL US LLC
549300N8C3A3L0UVQB07
GSK CONSUMER HEALTHCARE CAPITAL US LLC 144A 3.024000% 03/24/2024
36264FAA9
265000.00000000
PA
USD
264884.25000000
0.047764407468
Long
DBT
CORP
US
N
2
2024-03-24
Fixed
3.02400000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.500000% 09/20/2024
N/A
1478250000.00000000
PA
12338744.18000000
2.224944686852
Long
DBT
NUSS
JP
N
2
2024-09-20
Fixed
0.50000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.480000% 01/08/2029
N/A
23680000.00000000
PA
3818307.14000000
0.688524055607
Long
DBT
NUSS
CN
N
2
2029-01-08
Fixed
3.48000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 04/01/2042
N/A
301000.00000000
PA
227413.08000000
0.041007538262
Long
DBT
NUSS
SG
N
2
2042-04-01
Fixed
2.75000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-04-06
N/A
1.00000000
NC
34614.28000000
0.006241709630
N/A
DFE
PA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1181585.08000000
USD
5069000.00000000
PLN
2022-04-06
34614.28000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5235.24000000
0.000944027953
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
277319.16000000
USD
260000.00000000
CHF
2022-04-06
5235.24000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 5.200000% 09/20/2047
25470DAT6
36000.00000000
PA
USD
37448.09000000
0.006752707379
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 4.500000% 11/15/2039
N/A
2040000.00000000
PA
483758.92000000
0.087232284183
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA 144A 5.625000% MATURITY: PERPETUAL
268317AM6
200000.00000000
PA
USD
200200.00000000
0.036100426413
Long
DBT
NUSS
FR
N
2
2170-07-22
Fixed
5.62500000
N
N
N
N
N
N
United States of America
N/A
US LONG BOND(CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
23.00000000
NC
USD
3451437.50000000
0.622369457993
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Jun 2022
2022-06-24
3590458.97000000
USD
-139021.47000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
1975.77000000
0.000356274423
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
578225.98000000
USD
520890.24000000
EUR
2022-05-12
1975.77000000
N
N
N
BOSTON SCIENTIFIC CORPORATION
Y6ZDD9FP4P8JSSJMW954
BOSTON SCIENTIFIC CORP 0.625000% 12/01/2027
101137AY3
410000.00000000
PA
429355.89000000
0.077422231329
Long
DBT
NUSS
US
N
2
2027-12-01
Fixed
0.62500000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 05/15/2035
N/A
671000.00000000
PA
687820.54000000
0.124029044905
Long
DBT
NUSS
DE
N
2
2035-05-15
Fixed
0.00000000
N
N
N
N
N
N
AXALTA COATING SYSTEMS, LLC
549300G80QONCHILSF69
AXALTA COATING SYSTEMS LLC 144A 3.375000% 02/15/2029
05453GAC9
210000.00000000
PA
USD
184632.00000000
0.033293176471
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.37500000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 1.300000% 09/15/2025
03027XBB5
535000.00000000
PA
USD
498335.31000000
0.089860725214
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.30000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
3935.64000000
0.000709681729
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
289182.87000000
USD
263154.28000000
EUR
2022-05-12
3935.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-724.62000000
-0.00013066479
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1780000.00000000
CNY
279877.29000000
USD
2022-04-06
-724.62000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-12414.29000000
-0.00223856724
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
654924.79000000
USD
488000.00000000
GBP
2022-04-06
-12414.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1914.79000000
-0.00034527839
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2829000.00000000
CNY
444053.08000000
USD
2022-04-06
-1914.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-28
N/A
1.00000000
NC
USD
-482086.86000000
-0.08693077529
N/A
DFE
US
N
2
JP MORGAN
N/A
10742690.75000000
AUD
7586037.01000000
USD
2022-04-28
-482086.86000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
-13510.35000000
-0.00243621076
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
488587.58000000
USD
426512.15000000
EUR
2022-05-12
-13510.35000000
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2022-04-13
N/A
1.00000000
NC
-28.88000000
-0.00000520769
N/A
DFE
ID
N
2
JP MORGAN
N/A
57992.20000000
USD
832304000.00000000
IDR
2022-04-13
-28.88000000
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC MTN 2.875000% 03/03/2026
718172BH1
170000.00000000
PA
198737.48000000
0.035836702159
Long
DBT
NUSS
US
N
2
2026-03-03
Fixed
2.87500000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 2.031000% 08/03/2032
N/A
245000.00000000
PA
221849.36000000
0.040004278199
Long
DBT
NUSS
CN
N
2
2032-08-03
Fixed
2.03100000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-25
N/A
1.00000000
NC
4592.37000000
0.000828104471
N/A
DFE
JP
N
2
JP MORGAN
N/A
417477.59000000
USD
51203000.00000000
JPY
2022-04-25
4592.37000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 2.600000% 06/20/2037
500769CG7
241000000.00000000
PA
2620226.83000000
0.472484045273
Long
DBT
NUSS
DE
N
2
2037-06-20
Fixed
2.60000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
12517.23000000
0.002257129573
N/A
DFE
NO
N
2
MORGAN STANLEY & CO, INC
N/A
567306.37000000
USD
5070000.00000000
NOK
2022-04-06
12517.23000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.700000% 03/01/2047
N/A
55000.00000000
PA
65050.98000000
0.011730110472
Long
DBT
NUSS
IT
N
2
2047-03-01
Fixed
2.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-1134.86000000
-0.00020464000
N/A
DFE
US
N
2
JP MORGAN
N/A
2766000.00000000
CNY
433047.51000000
USD
2022-06-13
-1134.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-15363.58000000
-0.00277038855
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
32479000.00000000
CZK
1463836.32000000
USD
2022-04-06
-15363.58000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.625000% 07/31/2035
N/A
200000.00000000
PA
226859.78000000
0.040907766204
Long
DBT
NUSS
GB
N
2
2035-07-31
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-71455.80000000
-0.01288503920
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
45991000.00000000
MXN
2234015.17000000
USD
2022-04-06
-71455.80000000
N
N
N
INTERNATIONAL FINANCE CORPORATION
QKL54NQY28TCDAI75F60
INTERNATIONAL FINANCE CORP MTN 2.375000% 07/19/2023
45950KCN8
1000000.00000000
PA
803634.76000000
0.144912874709
Long
DBT
NUSS
XX
N
2
2023-07-19
Fixed
2.37500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.700000% 03/20/2037
N/A
38450000.00000000
PA
327668.45000000
0.059085768068
Long
DBT
NUSS
JP
N
2
2037-03-20
Fixed
0.70000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
15112.98000000
0.002725199911
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
574386.86000000
USD
785000.00000000
AUD
2022-04-06
15112.98000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
14630000.00000000
PA
614576.63000000
0.110821570464
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-1595.86000000
-0.00028776836
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
278437.11000000
USD
33600000.00000000
JPY
2022-04-06
-1595.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-9554.08000000
-0.00172280900
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
461000.00000000
EUR
503399.97000000
USD
2022-04-06
-9554.08000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
12646.08000000
0.002280364038
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
563791.43000000
USD
720000.00000000
CAD
2022-04-06
12646.08000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 2.750000% 09/07/2024
N/A
758000.00000000
PA
1030000.53000000
0.185731560136
Long
DBT
NUSS
GB
N
2
2024-09-07
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-05-18
N/A
1.00000000
NC
USD
-1826.20000000
-0.00032930368
N/A
DFE
US
N
2
JP MORGAN
N/A
6545952.18000000
CNY
1026593.21000000
USD
2022-05-18
-1826.20000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 06/23/2022
912796R43
22194700.00000000
PA
USD
22170841.36000000
3.997886248986
Long
DBT
UST
US
N
2
2022-06-23
None
0.00000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-195.26000000
-0.00003520963
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
140811.50000000
USD
892000.00000000
CNY
2022-04-06
-195.26000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
2994000.00000000
PA
2336043.42000000
0.421239578336
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.000000% 04/20/2025
N/A
647000.00000000
PA
713419.08000000
0.128645019978
Long
DBT
NUSS
AT
N
2
2025-04-20
Fixed
0.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 06/26/2024
N/A
297650000.00000000
PA
837419.59000000
0.151005016414
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
3.00000000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.000000% 06/10/2031
N/A
2084740000.00000000
PA
1580904.38000000
0.285071539647
Long
DBT
NUSS
KR
N
2
2031-06-10
Fixed
2.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1770.75000000
0.000319304845
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
282444.97000000
USD
355000.00000000
CAD
2022-04-06
1770.75000000
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2022-04-07
N/A
1.00000000
NC
10213.64000000
0.001841742054
N/A
DFE
IN
N
2
CITIGROUP GLOBAL MARKETS
N/A
1004059.55000000
USD
76885860.29000000
INR
2022-04-07
10213.64000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.850000% 07/01/2025
N/A
2274000.00000000
PA
2606310.25000000
0.469974582374
Long
DBT
NUSS
IT
N
2
2025-07-01
Fixed
1.85000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.750000% 10/20/2026
N/A
865000.00000000
PA
973828.54000000
0.175602525214
Long
DBT
NUSS
AT
N
2
2026-10-20
Fixed
0.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-22
N/A
1.00000000
NC
9030.59000000
0.001628412336
N/A
DFE
CA
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
452174.01000000
USD
576072.86000000
CAD
2022-04-22
9030.59000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 09/20/2027
N/A
697900000.00000000
PA
5764495.88000000
1.039464332308
Long
DBT
NUSS
JP
N
2
2027-09-20
Fixed
0.10000000
N
N
N
N
N
N
CK Hutchison Group Telecom Finance S.A.
254900OM17Q9YNDIUG82
CK HUTCHISON GROUP TELECOM FINANCE SA 2.625000% 10/17/2034
N/A
260000.00000000
PA
300590.13000000
0.054202956387
Long
DBT
NUSS
GB
N
2
2034-10-17
Fixed
2.62500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5400.88000000
0.000973896458
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
282817.87000000
USD
360000.00000000
CAD
2022-04-06
5400.88000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.000000% 09/01/2024
N/A
4189000.00000000
PA
3168949.79000000
0.571430762750
Long
DBT
NUSS
SG
N
2
2024-09-01
Fixed
3.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
958000.00000000
PA
218505.16000000
0.039401246001
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2022-04-29
N/A
1.00000000
NC
-30750.04000000
-0.00554490287
N/A
DFE
TW
N
2
MORGAN STANLEY & CO, INC
N/A
1035239.90000000
USD
28718590.00000000
TWD
2022-04-29
-30750.04000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5907.00000000
0.001065160933
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
282081.14000000
USD
265000.00000000
CHF
2022-04-06
5907.00000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-1232086.43000000
-0.22217205545
N/A
DIR
DE
N
2
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
Euro-Schatz Future Jun 2022
2022-06-11
-1230468.76000000
EUR
-1617.67000000
N
N
N
OFFICE PROPERTIES INCOME TRUST
N/A
OFFICE PROPERTIES INCOME TRUST 4.500000% 02/01/2025
81618TAC4
270000.00000000
PA
USD
269473.01000000
0.048591860978
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.800000% 09/20/2031
N/A
166700000.00000000
PA
1578867.03000000
0.284704161006
Long
DBT
NUSS
JP
N
2
2031-09-20
Fixed
1.80000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
50134.00000000
0.009040253635
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
3161205.43000000
USD
2955000.00000000
CHF
2022-04-06
50134.00000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 03/01/2046
N/A
200000.00000000
PA
150293.72000000
0.027101235660
Long
DBT
NUSS
SG
N
2
2046-03-01
Fixed
2.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4484.14000000
0.000808588242
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
420566.72000000
USD
382000.00000000
EUR
2022-04-06
4484.14000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 1.125000% 11/03/2028
92343VFP4
240000.00000000
PA
285006.87000000
0.051392954734
Long
DBT
NUSS
US
N
2
2028-11-03
Fixed
1.12500000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 2.600000% 06/22/2024
N/A
301000.00000000
PA
353727.58000000
0.063784797563
Long
DBT
NUSS
BE
N
2
2024-06-22
Fixed
2.60000000
N
N
N
N
N
N
NOV INC.
549300EHF3IW1AR6U008
NOV INC 3.600000% 12/01/2029
637071AM3
205000.00000000
PA
USD
201527.22000000
0.036339753126
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.60000000
N
N
N
N
N
N
Balder Finland Oyj
5493007P4MCJM21IB748
BALDER FINLAND OYJ MTN 1.375000% 05/24/2030
N/A
380000.00000000
PA
370354.98000000
0.066783080431
Long
DBT
NUSS
SE
N
2
2030-05-24
Fixed
1.37500000
N
N
N
N
N
N
EURO-OAT FUTURE JUN22
N/A
EURO-OAT FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
24.00000000
NC
4045840.95000000
0.729553364121
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
N/A
N/A
2022-06-11
4176252.47000000
EUR
-130411.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-43397.68000000
-0.00782554821
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2198000.00000000
NZD
1485320.48000000
USD
2022-04-06
-43397.68000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-05-06
N/A
1.00000000
NC
388.07000000
0.000069977484
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
277514.06000000
USD
370000.00000000
AUD
2022-05-06
388.07000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7295.36000000
0.001315512521
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
276920.36000000
USD
355000.00000000
CAD
2022-04-06
7295.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-102.64000000
-0.00001850823
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
370000.00000000
AUD
277750.79000000
USD
2022-04-06
-102.64000000
N
N
N
ALLY FINANCIAL INC.
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC 4.700000% MATURITY: PERPETUAL
02005NBN9
116000.00000000
PA
USD
105560.00000000
0.019034770290
Long
DBT
CORP
US
N
2
2170-08-15
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-12.23000000
-0.00000220533
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1000.00000000
EUR
1100.47000000
USD
2022-04-06
-12.23000000
N
N
N
Kommuninvest i Sverige Aktiebolag
EV2XZWMLLXF2QRX0CD47
KOMMUNINVEST I SVERIGE AB MTN 1.000000% 10/02/2024
N/A
5830000.00000000
PA
618821.32000000
0.111586980648
Long
DBT
NUSS
SE
N
2
2024-10-02
Fixed
1.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2611.59000000
0.000470926636
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
289500.16000000
USD
420000.00000000
NZD
2022-04-06
2611.59000000
N
N
N
BERKSHIRE HATHAWAY INC.
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC 0.500000% 01/15/2041
N/A
170000.00000000
PA
142425.03000000
0.025682339235
Long
DBT
NUSS
US
N
2
2041-01-15
Fixed
0.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.375000% 05/15/2048
N/A
13040000000.00000000
PA
913821.41000000
0.164781930904
Long
DBT
NUSS
ID
N
2
2048-05-15
Fixed
7.37500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-05-06
N/A
1.00000000
NC
4582.66000000
0.000826353546
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
278315.97000000
USD
260000.00000000
CHF
2022-05-06
4582.66000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA 6.250000% 07/15/2027
N/A
789000.00000000
PA
1145047.27000000
0.206476996557
Long
DBT
NUSS
AT
N
2
2027-07-15
Fixed
6.25000000
N
N
N
N
N
N
Province of Ontario
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.800000% 06/02/2048
68323ADZ4
2200000.00000000
PA
1604878.91000000
0.289394670296
Long
DBT
NUSS
CA
N
2
2048-06-02
Fixed
2.80000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1949.33000000
0.000351506714
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
279729.86000000
USD
405000.00000000
NZD
2022-04-06
1949.33000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5442.20000000
0.000981347355
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
282776.55000000
USD
360000.00000000
CAD
2022-04-06
5442.20000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 11/20/2036
N/A
27167000.00000000
PA
1556115.19000000
0.280601508031
Long
DBT
NUSS
MX
N
2
2036-11-20
Fixed
10.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.000000% 07/22/2028
404280CB3
167000.00000000
PA
217168.16000000
0.039160155741
Long
DBT
NUSS
GB
N
2
2028-07-22
Fixed
3.00000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1073.67000000
0.000193606118
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
280631.73000000
USD
1787000.00000000
CNY
2022-04-06
1073.67000000
N
N
N
Swiss Re Finance (Luxembourg) S.A.
549300CLQZ6TM98LW631
SWISS RE FINANCE LUXEMBOURG SA 144A 5.000000% 04/02/2049
87089NAA8
200000.00000000
PA
USD
207000.00000000
0.037326614723
Long
DBT
NUSS
CH
N
2
2049-04-02
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7478.33000000
-0.00134850600
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
390000.00000000
AUD
285394.20000000
USD
2022-04-06
-7478.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3729.38000000
-0.00067248855
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
253000.00000000
EUR
277783.37000000
USD
2022-04-06
-3729.38000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA MTN 2.000000% 06/05/2025
N/A
440000.00000000
PA
315301.05000000
0.056855656112
Long
DBT
NUSS
FR
N
2
2025-06-05
Fixed
2.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
11942300.00000000
PA
620278.58000000
0.111849756410
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-17636.07000000
-0.00318016806
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2941000.00000000
ILS
903991.27000000
USD
2022-04-06
-17636.07000000
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP 1.300000% 05/07/2022
855244AY5
350000.00000000
PA
USD
350063.08000000
0.063124008290
Long
DBT
CORP
US
N
2
2022-05-07
Fixed
1.30000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-93.00000000
NC
USD
-19708734.38000000
-3.55391466130
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2022
2022-07-03
-19976793.72000000
USD
268059.34000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
1860000.00000000
PA
385814.15000000
0.069570705951
Long
DBT
NUSS
PL
N
2
2027-07-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-5200.59000000
-0.00093777980
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
385000.00000000
AUD
283917.17000000
USD
2022-04-06
-5200.59000000
N
N
N
V.F. CORPORATION
CWAJJ9DJ5Z7P057HV541
VF CORP 0.250000% 02/25/2028
918204AX6
395000.00000000
PA
406945.46000000
0.073381142023
Long
DBT
NUSS
US
N
2
2028-02-25
Fixed
0.25000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.000000% 07/30/2042
N/A
536000.00000000
PA
515658.76000000
0.092984521078
Long
DBT
NUSS
ES
N
2
2042-07-30
Fixed
1.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-13
N/A
1.00000000
NC
10811.10000000
0.001949477122
N/A
DFE
CH
N
2
CITIGROUP GLOBAL MARKETS
N/A
1027478.70000000
USD
955144.20000000
CHF
2022-04-13
10811.10000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.125000% 09/01/2022
N/A
190000.00000000
PA
141421.95000000
0.025501462034
Long
DBT
NUSS
SG
N
2
2022-09-01
Fixed
3.12500000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 2.500000% 05/25/2030
N/A
442000.00000000
PA
560008.63000000
0.100981769921
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
2.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.000000% 04/01/2026
N/A
4802000.00000000
PA
5109196.35000000
0.921299534797
Long
DBT
NUSS
IT
N
2
2026-04-01
Fixed
0.00000000
N
N
N
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA MTN 4.875000% 02/20/2029
N/A
220000.00000000
PA
253660.91000000
0.045740594482
Long
DBT
NUSS
IT
N
2
2029-02-20
Fixed
4.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1600.10000000
0.000288532928
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
278799.95000000
USD
252000.00000000
EUR
2022-04-06
1600.10000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 04/30/2030
N/A
418000.00000000
PA
441996.53000000
0.079701614417
Long
DBT
NUSS
ES
N
2
2030-04-30
Fixed
0.50000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.250000% 04/21/2025
N/A
843000.00000000
PA
649831.22000000
0.117178741952
Long
DBT
NUSS
AU
N
2
2025-04-21
Fixed
3.25000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-8333.69000000
-0.00150274606
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
279407.42000000
USD
32900000.00000000
JPY
2022-04-06
-8333.69000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
2201800000.00000000
PA
480380.89000000
0.086623151698
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-17.00000000
NC
USD
-2302968.75000000
-0.41527549396
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2022
2022-06-24
-2371953.93000000
USD
68985.18000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4131.33000000
0.000744968904
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
417581.44000000
USD
379000.00000000
EUR
2022-04-06
4131.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3447.49000000
-0.00062165763
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
279106.91000000
USD
2022-04-06
-3447.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
10328.04000000
0.001862370869
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
32500000.00000000
JPY
278106.04000000
USD
2022-04-06
10328.04000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2026
N/A
1626980000.00000000
PA
1259405.73000000
0.227098321083
Long
DBT
NUSS
KR
N
2
2026-12-10
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-04-25
N/A
1.00000000
NC
USD
-15157.15000000
-0.00273316472
N/A
DFE
US
N
2
JP MORGAN
N/A
7611600.00000000
PEN
2030951.49000000
USD
2022-04-25
-15157.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-05-18
N/A
1.00000000
NC
USD
-224.68000000
-0.00004051470
N/A
DFE
US
N
2
JP MORGAN
N/A
1374564.64000000
CNY
215729.99000000
USD
2022-05-18
-224.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-06-06
N/A
1.00000000
NC
USD
43803.13000000
0.007898659696
N/A
DFE
US
N
2
JP MORGAN
N/A
99990050.00000000
THB
3053784.01000000
USD
2022-06-06
43803.13000000
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 02/17/2027
N/A
10007000.00000000
PA
1101525.33000000
0.198629041551
Long
DBT
NUSS
NO
N
2
2027-02-17
Fixed
1.75000000
N
N
N
N
N
N
ENABLE MIDSTREAM PARTNERS, LP
549300TLGDBYE711G509
ENERGY TRANSFER LP 4.950000% 05/15/2028
292480AL4
39000.00000000
PA
USD
40390.30000000
0.007283252012
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
Mercedes-Benz International Finance B.V.
529900RUGCXMPEENHQ31
MERCEDES-BENZ INTERNATIONAL FINANCE BV MTN 0.250000% 11/06/2023
N/A
430000.00000000
PA
476833.24000000
0.085983433028
Long
DBT
NUSS
DE
N
2
2023-11-06
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-06-09
N/A
1.00000000
NC
USD
-3089.77000000
-0.00055715291
N/A
DFE
US
N
2
JP MORGAN
N/A
317381.66000000
GBP
414585.82000000
USD
2022-06-09
-3089.77000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8786.43000000
0.001584384963
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
560915.25000000
USD
512000.00000000
EUR
2022-04-06
8786.43000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA-GOV'T 2.000000% 12/01/2051
135087H72
487000.00000000
PA
358809.89000000
0.064701248903
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
-16615.60000000
-0.00299615507
N/A
DFE
US
N
2
JP MORGAN
N/A
11590537.60000000
EUR
12893686.08000000
USD
2022-05-12
-16615.60000000
N
N
N
MILEAGE PLUS HOLDINGS, LLC
N/A
MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECT 6.500000% 06/20/2027
599191AA1
350000.00000000
PA
USD
364875.00000000
0.065794920518
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.375000% 06/19/2024
N/A
425000.00000000
PA
489251.25000000
0.088222671071
Long
DBT
NUSS
US
N
2
2024-06-19
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-905.70000000
-0.00016331746
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
384000.00000000
EUR
426370.56000000
USD
2022-04-06
-905.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
39990.91000000
0.007211233285
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
98600000.00000000
JPY
852388.16000000
USD
2022-04-06
39990.91000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 0.406000% 10/29/2027
N/A
370000.00000000
PA
389772.91000000
0.070284556720
Long
DBT
NUSS
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
European Stability Mechanism
222100W4EEAQ77386N50
EUROPEAN STABILITY MECHANISM MTN 1.000000% 09/23/2025
N/A
570000.00000000
PA
641721.22000000
0.115716332071
Long
DBT
NUSS
XX
N
2
2025-09-23
Fixed
1.00000000
N
N
N
N
N
N
GATWICK FUNDING LIMITED
213800NK8FA3GKS6X167
GATWICK FUNDING LTD MTN 5.250000% 01/23/2024
N/A
250000.00000000
PA
344332.67000000
0.062090690385
Long
DBT
NUSS
GB
N
2
2024-01-23
Fixed
5.25000000
N
N
N
N
N
N
CK Hutchison Group Telecom Finance S.A.
254900OM17Q9YNDIUG82
CK HUTCHISON GROUP TELECOM FINANCE SA 1.500000% 10/17/2031
N/A
330000.00000000
PA
334003.65000000
0.060228142800
Long
DBT
NUSS
GB
N
2
2031-10-17
Fixed
1.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
17141.38000000
0.003090964671
N/A
DFE
NO
N
2
MORGAN STANLEY & CO, INC
N/A
566113.13000000
USD
5100000.00000000
NOK
2022-04-06
17141.38000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 5.750000% 10/25/2032
N/A
271000.00000000
PA
447405.69000000
0.080677003940
Long
DBT
NUSS
FR
N
2
2032-10-25
Fixed
5.75000000
N
N
N
N
N
N
Iberdrola International B.V.
549300ZMLFJKWC63XN87
IBERDROLA INTERNATIONAL BV 1.874000% MATURITY: PERPETUAL
N/A
400000.00000000
PA
430036.94000000
0.077545039498
Long
DBT
NUSS
ES
N
2
2170-04-28
Fixed
1.87400000
N
N
N
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
23220000.00000000
NC
59169.74000000
0.010669594629
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-06-03
0.00000000
CNY
0.00000000
CNY
-23220000.00000000
CNY
59169.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-754.78000000
-0.00013610329
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1562000.00000000
RON
350853.55000000
USD
2022-04-06
-754.78000000
N
N
N
Stadshypotek AB
549300UOX05QGUJJ5707
STADSHYPOTEK AB 0.500000% 07/11/2025
N/A
1470000.00000000
PA
1617929.01000000
0.291747887952
Long
DBT
NUSS
SE
N
2
2025-07-11
Fixed
0.50000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.410000% 06/07/2031
N/A
5460000.00000000
PA
878320.51000000
0.158380344350
Long
DBT
NUSS
CN
N
2
2031-06-07
Fixed
3.41000000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 1.395
N/A
460000.00000000
NC
9866.57000000
0.001779157763
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2047-10-03
0.00000000
GBP
-94329.79000000
GBP
-460000.00000000
GBP
104196.36000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MATURITY: PERPETUAL
46625HHA1
91000.00000000
PA
USD
91000.00000000
0.016409284733
Long
DBT
CORP
US
N
2
2170-10-30
Floating
3.76899840
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
10.94000000
0.000001972720
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
140605.30000000
USD
892000.00000000
CNY
2022-04-06
10.94000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.150000% 03/01/2072
N/A
76000.00000000
PA
72100.73000000
0.013001334154
Long
DBT
NUSS
IT
N
2
2072-03-01
Fixed
2.15000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC MTN 0.955000% 09/07/2023
N/A
275000.00000000
PA
307005.21000000
0.055359735225
Long
DBT
NUSS
US
N
2
2023-09-07
Fixed
0.95500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8966.72000000
0.001616895182
N/A
DFE
MX
N
2
BANK OF AMERICA
N/A
210597.17000000
USD
4380000.00000000
MXN
2022-04-06
8966.72000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.500000% 02/15/2026
N/A
197000.00000000
PA
221319.23000000
0.039908684198
Long
DBT
NUSS
DE
N
2
2026-02-15
Fixed
0.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7201.37000000
0.001298564074
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
285020.42000000
USD
365000.00000000
CAD
2022-04-06
7201.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3578.08000000
-0.00064520586
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
255000.00000000
EUR
280160.06000000
USD
2022-04-06
-3578.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3232.59000000
-0.00058290648
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
279321.81000000
USD
2022-04-06
-3232.59000000
N
N
N
ESSENTIAL PROPERTIES, L.P.
254900XX9FNFCDE1NX02
ESSENTIAL PROPERTIES LP 2.950000% 07/15/2031
29670VAA7
215000.00000000
PA
USD
188090.03000000
0.033916734701
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
24.87000000
0.000004484603
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
20000.00000000
NOK
2312.14000000
USD
2022-04-06
24.87000000
N
N
N
CK HUTCHISON FINANCE (16) (II) LIMITED
254900X1B76DSAVBLZ88
CK HUTCHISON FINANCE 16 II LTD 0.875000% 10/03/2024
N/A
212000.00000000
PA
235361.61000000
0.042440831580
Long
DBT
NUSS
GB
N
2
2024-10-03
Fixed
0.87500000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.230000% 01/10/2025
N/A
11360000.00000000
PA
1818283.65000000
0.327876199331
Long
DBT
NUSS
CN
N
2
2025-01-10
Fixed
3.23000000
N
N
N
N
N
N
ZF Europe Finance B.V.
549300RI533US2G6G542
ZF EUROPE FINANCE BV 2.000000% 02/23/2026
N/A
200000.00000000
PA
208745.38000000
0.037641344804
Long
DBT
NUSS
DE
N
2
2026-02-23
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
2975.23000000
0.000536498859
N/A
DFE
US
N
2
JP MORGAN
N/A
111051.78000000
EUR
126671.99000000
USD
2022-05-12
2975.23000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.750000% 04/21/2037
N/A
1070000.00000000
PA
872601.91000000
0.157349156046
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5126.22000000
0.000924369270
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
283092.53000000
USD
360000.00000000
CAD
2022-04-06
5126.22000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 01/31/2026
N/A
770000.00000000
PA
834153.76000000
0.150416116037
Long
DBT
NUSS
ES
N
2
2026-01-31
Fixed
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 06/20/2026
N/A
172500000.00000000
PA
1426388.47000000
0.257208951042
Long
DBT
NUSS
JP
N
2
2026-06-20
Fixed
0.10000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5821.08000000
0.001049667683
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
460399.63000000
USD
419000.00000000
EUR
2022-04-06
5821.08000000
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 2.200000% 06/15/2027
02209SAY9
330000.00000000
PA
366605.63000000
0.066106990852
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
2.20000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2145.80000000
0.000386934540
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
278066.88000000
USD
350000.00000000
CAD
2022-04-06
2145.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4948.53000000
-0.00089232788
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
415000.00000000
NZD
283685.70000000
USD
2022-04-06
-4948.53000000
N
N
N
CPUK FINANCE LIMITED
6354003CVDDPNXREIR29
CPUK FINANCE LTD MTN 3.588000% 08/28/2025
N/A
215000.00000000
PA
290413.96000000
0.052367970991
Long
DBT
NUSS
GB
N
2
2025-08-28
Fixed
3.58800000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD MTN 2.250000% 06/06/2025
N/A
206000.00000000
PA
238845.03000000
0.043068968180
Long
DBT
NUSS
AU
N
2
2025-06-06
Fixed
2.25000000
N
N
N
N
N
N
DEXIA CREDIT LOCAL SA
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.625000% 02/03/2024
N/A
200000.00000000
PA
223353.51000000
0.040275509250
Long
DBT
NUSS
FR
N
2
2024-02-03
Fixed
0.62500000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-15.00000000
NC
USD
-2032031.25000000
-0.36641955350
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 2022
2022-06-24
-2094447.90000000
USD
62416.65000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2124.37000000
0.000383070244
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
285863.77000000
USD
265000.00000000
CHF
2022-04-06
2124.37000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2033
N/A
874000.00000000
PA
1144121.59000000
0.206310076264
Long
DBT
NUSS
NL
N
2
2033-01-15
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7963.86000000
-0.00143605765
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
420000.00000000
NZD
284147.89000000
USD
2022-04-06
-7963.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1807.86000000
-0.00032599658
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
33700000.00000000
JPY
275857.33000000
USD
2022-04-06
-1807.86000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 5.000000% 09/01/2040
N/A
1065000.00000000
PA
1668052.87000000
0.300786313125
Long
DBT
NUSS
IT
N
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 1.000000% 05/15/2026
N/A
285000.00000000
PA
323890.22000000
0.058404470795
Long
DBT
NUSS
IE
N
2
2026-05-15
Fixed
1.00000000
N
N
N
N
N
N
Banco de Sabadell, S.A.
SI5RG2M0WQQLZCXKRM20
BANCO DE SABADELL SA 0.625000% 11/07/2025
N/A
400000.00000000
PA
433615.20000000
0.078190277819
Long
DBT
NUSS
ES
N
2
2025-11-07
Fixed
0.62500000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-87.00000000
NC
-10719151.94000000
-1.93289688225
N/A
DIR
DE
N
2
CITIGROUP GLOBAL MARKETS
N/A
Short
Germany Govt. Bond Futures
Euro-Schatz Future Jun 2022
2022-06-11
-10773033.85000000
EUR
53881.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-05-18
N/A
1.00000000
NC
USD
-6420.37000000
-0.00115773274
N/A
DFE
US
N
2
JP MORGAN
N/A
6512826.86000000
CNY
1016794.79000000
USD
2022-05-18
-6420.37000000
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 144A 3.324000% 03/13/2037
00084DAV2
400000.00000000
PA
USD
363523.13000000
0.065551148872
Long
DBT
NUSS
NL
N
2
2037-03-13
Fixed
3.32400000
N
N
N
N
N
N
COMPAGNIE DE FINANCEMENT FONCIER S.A.
DKGVVH5FKILG8R13CO13
CIE DE FINANCEMENT FONCIER SA 0.375000% 12/11/2024
N/A
300000.00000000
PA
330636.21000000
0.059620919924
Long
DBT
NUSS
FR
N
2
2024-12-11
Fixed
0.37500000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.100000% 09/01/2028
00914AAQ5
186000.00000000
PA
USD
162638.56000000
0.029327279557
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
2.10000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 7.000000% 07/31/2028
N/A
200000.00000000
PA
325577.35000000
0.058708697131
Long
DBT
NUSS
US
N
2
2028-07-31
Fixed
7.00000000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 1.985000% 07/13/2033
BQ4140563
320000.00000000
PA
283041.70000000
0.051038591722
Long
DBT
NUSS
CN
N
2
2033-07-13
Fixed
1.98500000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.000000% 06/22/2034
N/A
580000.00000000
PA
786619.03000000
0.141844567473
Long
DBT
NUSS
BE
N
2
2034-06-22
Fixed
3.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4885.49000000
0.000880960400
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
277668.91000000
USD
260000.00000000
CHF
2022-04-06
4885.49000000
N
N
N
NATIONAL GRID NORTH AMERICA INC.
5Q3U0WRKWZZGRMPYFT08
NATIONAL GRID NORTH AMERICA INC MTN 1.000000% 07/12/2024
N/A
300000.00000000
PA
334466.15000000
0.060311541638
Long
DBT
NUSS
US
N
2
2024-07-12
Fixed
1.00000000
N
N
N
N
N
N
GE Capital UK Funding Unlimited Company
BR7Z6BPTFF652NNO9651
GE CAPITAL UK FUNDING UNLIMITED CO MTN 5.875000% 01/18/2033
N/A
160000.00000000
PA
255863.07000000
0.046137691960
Long
DBT
NUSS
US
N
2
2033-01-18
Fixed
5.87500000
N
N
N
N
N
N
THE WESTERN UNION COMPANY
28ID94QU1140NC23S047
WESTERN UNION CO/THE 2.750000% 03/15/2031
959802BA6
355000.00000000
PA
USD
322933.25000000
0.058231908232
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.75000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
1565300000.00000000
PA
390225.33000000
0.070366137914
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 4.880000% 02/09/2028
N/A
10600000.00000000
PA
1833772.76000000
0.330669223685
Long
DBT
NUSS
CN
N
2
2028-02-09
Fixed
4.88000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.200000% 06/20/2036
N/A
116550000.00000000
PA
929452.05000000
0.167600476204
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.181000% 07/15/2024
N/A
6636000.00000000
PA
1621427.48000000
0.292378738396
Long
DBT
NUSS
MY
N
2
2024-07-15
Fixed
4.18100000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 0.750000% 12/04/2024
N/A
350000.00000000
PA
387009.44000000
0.069786242807
Long
DBT
NUSS
IT
N
2
2024-12-04
Fixed
0.75000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 11/25/2029
N/A
504000.00000000
PA
529054.20000000
0.095400011068
Long
DBT
NUSS
FR
N
2
2029-11-25
Fixed
0.00000000
N
N
N
N
N
N
DH Europe Finance II S.a r.l.
222100KDGL314CKTZ511
DH EUROPE FINANCE II SARL 1.800000% 09/18/2049
N/A
105000.00000000
PA
108249.76000000
0.019519792683
Long
DBT
NUSS
US
N
2
2049-09-18
Fixed
1.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
824.08000000
0.000148599597
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
9582000.00000000
MYR
2279800.14000000
USD
2022-04-06
824.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-50576.13000000
-0.00911997931
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2955000.00000000
CHF
3164675.58000000
USD
2022-05-06
-50576.13000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
51.14000000
0.000009221657
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
283022.13000000
USD
215000.00000000
GBP
2022-04-06
51.14000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2142.77000000
0.000386388165
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
113945.34000000
USD
145000.00000000
CAD
2022-04-06
2142.77000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.500000% 04/30/2045
N/A
847000.00000000
PA
801349.68000000
0.144500824947
Long
DBT
NUSS
IT
N
2
2045-04-30
Fixed
1.50000000
N
N
N
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 1.250000% 01/11/2027
N/A
500000.00000000
PA
560909.48000000
0.101144212824
Long
DBT
NUSS
ES
N
2
2027-01-11
Fixed
1.25000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.875000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
216386.58000000
0.039019219821
Long
DBT
NUSS
US
N
2
2170-05-01
Fixed
2.87500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-1413.79000000
-0.00025493717
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
275783.25000000
USD
33300000.00000000
JPY
2022-04-06
-1413.79000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4766.98000000
0.000859590463
N/A
DFE
RO
N
2
J P MORGAN CHASE BANK
N/A
346841.35000000
USD
1562000.00000000
RON
2022-04-06
4766.98000000
N
N
N
B.A.T. INTERNATIONAL FINANCE P.L.C.
21380041YBGOQDFAC823
BAT INTERNATIONAL FINANCE PLC MTN 2.250000% 09/09/2052
N/A
100000.00000000
PA
77429.10000000
0.013962155478
Long
DBT
NUSS
GB
N
2
2052-09-09
Fixed
2.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2929.39000000
0.000528232907
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
278583.36000000
USD
253000.00000000
EUR
2022-04-06
2929.39000000
N
N
N
Japan
N/A
10YR MINI JGB FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-28.00000000
NC
-3458273.94000000
-0.62360221723
N/A
DIR
SG
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Jun 2022
2022-06-13
-3652469.93000000
JPY
194195.99000000
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 1.250000% 01/15/2026
91324PDW9
175000.00000000
PA
USD
164524.17000000
0.029667296165
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1241733.99000000
0.223911720936
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
63447959.30000000
USD
7851336000.00000000
JPY
2022-04-06
1241733.99000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-05-06
N/A
1.00000000
NC
615.95000000
0.000111069219
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
278399.46000000
USD
212000.00000000
GBP
2022-05-06
615.95000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 4.000000% 01/04/2037
N/A
234000.00000000
PA
386711.85000000
0.069732580840
Long
DBT
NUSS
DE
N
2
2037-01-04
Fixed
4.00000000
N
N
N
N
N
N
CREDIT AGRICOLE ASSURANCES SA
969500K2MUPSI57XK083
CREDIT AGRICOLE ASSURANCES SA 4.750000% 09/27/2048
N/A
200000.00000000
PA
245355.82000000
0.044243005619
Long
DBT
NUSS
FR
N
2
2048-09-27
Fixed
4.75000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 03/25/2025
N/A
661000.00000000
PA
729191.64000000
0.131489156550
Long
DBT
NUSS
FR
N
2
2025-03-25
Fixed
0.00000000
N
N
N
N
N
N
SABRA HEALTH CARE LIMITED PARTNERSHIP
549300OVKLRFSIQG0H81
SABRA HEALTH CARE LP 3.900000% 10/15/2029
78572XAG6
280000.00000000
PA
USD
269063.90000000
0.048518089523
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.90000000
N
N
N
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANC 0.500000% 05/06/2025
N/A
1066000.00000000
PA
1172191.99000000
0.211371781607
Long
DBT
NUSS
CA
N
2
2025-05-06
Fixed
0.50000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.625000% 11/15/2028
00287YDP1
610000.00000000
PA
717161.98000000
0.129319946482
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
2.62500000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-04-21
N/A
1.00000000
NC
1932.03000000
0.000348387147
N/A
DFE
SG
N
2
HSBC
N/A
982603.52000000
USD
1332324.10000000
SGD
2022-04-21
1932.03000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/25/2030
N/A
200000.00000000
PA
223863.99000000
0.040367559928
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
1.12500000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.000000% 02/20/2031
N/A
730000.00000000
PA
750652.59000000
0.135359033903
Long
DBT
NUSS
AT
N
2
2031-02-20
Fixed
0.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
6598000000.00000000
PA
478345.24000000
0.086256079605
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
N
N
N
N
N
N
THE BIDVEST GROUP (UK) PLC
984500A80C777F496830
BIDVEST GROUP UK PLC/THE 144A 3.625000% 09/23/2026
88332EAA1
230000.00000000
PA
USD
214774.00000000
0.038728436476
Long
DBT
NUSS
ZA
N
2
2026-09-23
Fixed
3.62500000
N
N
N
N
N
N
WESTERN DIGITAL CORPORATION
549300QQXOOYEF89IC56
WESTERN DIGITAL CORP 2.850000% 02/01/2029
958102AQ8
32000.00000000
PA
USD
29234.88000000
0.005271686484
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
6507.45000000
0.001173435164
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
281480.69000000
USD
265000.00000000
CHF
2022-04-06
6507.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-9654.88000000
-0.00174098543
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
1805000.00000000
PLN
423416.70000000
USD
2022-04-06
-9654.88000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
11376.60000000
0.002051449106
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
281576.28000000
USD
2730000.00000000
SEK
2022-04-06
11376.60000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 4.650000% 05/15/2050
25470DBH1
14000.00000000
PA
USD
13569.27000000
0.002446835330
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-05-06
N/A
1.00000000
NC
1757.57000000
0.000316928204
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
276173.20000000
USD
400000.00000000
NZD
2022-05-06
1757.57000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-1461.42000000
-0.00026352589
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
281901.45000000
USD
213000.00000000
GBP
2022-04-06
-1461.42000000
N
N
N
EURO-OAT FUTURE JUN22
N/A
EURO-OAT FUTURE JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-24.00000000
NC
-4045840.94000000
-0.72955336231
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
N/A
N/A
2022-06-11
-4080583.89000000
EUR
34742.95000000
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
37928.88080000
PA
USD
38316.32000000
0.006909268184
Long
DBT
USGA
US
N
2
2024-11-25
Floating
5.45657040
N
N
N
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 2.200000% 10/17/2022
N/A
775000.00000000
PA
873591.84000000
0.157527662015
Long
DBT
NUSS
PT
N
2
2022-10-17
Fixed
2.20000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.500000% 03/01/2030
N/A
407000.00000000
PA
513355.45000000
0.092569184050
Long
DBT
NUSS
IT
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-31030.25000000
-0.00559543085
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
568234.11000000
USD
65200000.00000000
JPY
2022-04-06
-31030.25000000
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
4105000.00000000
PA
451927.45000000
0.081492375889
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-10483.70000000
-0.00189043976
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
5408000.00000000
SEK
569842.00000000
USD
2022-04-06
-10483.70000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.500000% 09/15/2027
N/A
510000.00000000
PA
559180.76000000
0.100832486904
Long
DBT
NUSS
DE
N
2
2027-09-15
Fixed
0.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4961.18000000
0.000894608958
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
141475.09000000
USD
195000.00000000
AUD
2022-04-06
4961.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1011.40000000
-0.00018237747
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3214000.00000000
SGD
2373856.56000000
USD
2022-04-06
-1011.40000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.750000% 12/07/2038
N/A
76000.00000000
PA
142766.53000000
0.025743919133
Long
DBT
NUSS
GB
N
2
2038-12-07
Fixed
4.75000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.300000% 12/15/2024
171239AE6
190000.00000000
PA
207717.59000000
0.037456011851
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-50544.15000000
-0.00911421262
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
493834000.00000000
HUF
1440064.15000000
USD
2022-05-06
-50544.15000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 3.250000% 07/04/2042
N/A
954000.00000000
PA
1601534.56000000
0.288791611050
Long
DBT
NUSS
DE
N
2
2042-07-04
Fixed
3.25000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
Mexican Bonos 5.750000% 03/05/2026
N/A
8429000.00000000
PA
384415.15000000
0.069318435738
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-9776.17000000
-0.00176285667
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
5280000.00000000
SEK
556814.01000000
USD
2022-04-06
-9776.17000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2031
135087M27
268000.00000000
PA
198917.13000000
0.035869096973
Long
DBT
NUSS
CA
N
2
2031-06-01
Fixed
1.50000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2027
N/A
685000.00000000
PA
745604.01000000
0.134448664819
Long
DBT
NUSS
NL
N
2
2027-01-15
Fixed
0.00000000
N
N
N
N
N
N
DANISH KRONE
N/A
FX Forward Contract: DKK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
12408.80000000
0.002237577279
N/A
DFE
DK
N
2
MORGAN STANLEY & CO, INC
N/A
832633.09000000
USD
5649000.00000000
DKK
2022-04-06
12408.80000000
N
N
N
PINEWOOD FINCO PLC
984500EF3F7CA63ND769
PINEWOOD FINANCE CO LTD 144A 3.625000% 11/15/2027
N/A
170000.00000000
PA
209416.72000000
0.037762402048
Long
DBT
NUSS
GB
N
2
2027-11-15
Fixed
3.62500000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 05/31/2024
N/A
2802000.00000000
PA
3102601.76000000
0.559466765874
Long
DBT
NUSS
ES
N
2
2024-05-31
Fixed
0.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.390000% 07/10/2027
N/A
16630000.00000000
PA
2675151.78000000
0.482388211685
Long
DBT
NUSS
CN
N
2
2027-07-10
Fixed
3.39000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-06-13
N/A
1.00000000
NC
USD
-36194.45000000
-0.00652664874
N/A
DFE
US
N
2
JP MORGAN
N/A
18238350.00000000
NOK
2049352.74000000
USD
2022-06-13
-36194.45000000
N
N
N
SOCIETA CATTOLICA DI ASSICURAZIONE - SOCIETA PER AZIONI
815600DEEE5337E9A213
SOCIETA CATTOLICA DI ASSICURAZIONE SPA 4.250000% 12/14/2047
N/A
200000.00000000
PA
230015.13000000
0.041476744628
Long
DBT
NUSS
IT
N
2
2047-12-14
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-04-04
N/A
1.00000000
NC
USD
-13297.81000000
-0.00239788517
N/A
DFE
US
N
2
JP MORGAN
N/A
6583892.51000000
BRL
1372216.03000000
USD
2022-04-04
-13297.81000000
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 4.000000% 11/12/2025
N/A
350000.00000000
PA
428731.70000000
0.077309676259
Long
DBT
NUSS
FR
N
2
2025-11-12
Fixed
4.00000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.875000% 06/15/2027
171239AC0
115000.00000000
PA
123229.49000000
0.022220964714
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
0.87500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
4209.96000000
0.000759147608
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
284008.79000000
USD
360000.00000000
CAD
2022-04-06
4209.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-11869.29000000
-0.00214029185
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
775000.00000000
AUD
570121.00000000
USD
2022-04-06
-11869.29000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-40657.12000000
-0.00733136547
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
786315.85000000
USD
90500000.00000000
JPY
2022-04-06
-40657.12000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2864.16000000
0.000516470516
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
281504.02000000
USD
2650000.00000000
SEK
2022-04-06
2864.16000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 6.250000% 06/01/2032
748148QT3
720000.00000000
PA
732670.11000000
0.132116400557
Long
DBT
NUSS
CA
N
2
2032-06-01
Fixed
6.25000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-04-28
N/A
1.00000000
NC
-10085.12000000
-0.00181856709
N/A
DFE
KR
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
1055341.00000000
USD
1267948147.00000000
KRW
2022-04-28
-10085.12000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
11907200.00000000
PA
543042.84000000
0.097922467956
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.375000% 10/22/2026
N/A
1448000.00000000
PA
1815305.83000000
0.327339233438
Long
DBT
NUSS
GB
N
2
2026-10-22
Fixed
0.37500000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-06-13
N/A
1.00000000
NC
4746.03000000
0.000855812721
N/A
DFE
SG
N
2
JP MORGAN
N/A
1262885.84000000
USD
1715100.00000000
SGD
2022-06-13
4746.03000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-8473.90000000
-0.00152802898
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
279547.63000000
USD
32900000.00000000
JPY
2022-04-06
-8473.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3172.56000000
-0.00057208176
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
279381.84000000
USD
2022-04-06
-3172.56000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.500000% 12/07/2042
N/A
126000.00000000
PA
242377.88000000
0.043706018088
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.392000% 04/15/2026
N/A
2816000.00000000
PA
694537.11000000
0.125240188966
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7637.71000000
0.001377245693
N/A
DFE
NZ
N
2
UBS SECURITIES LLC
N/A
277519.00000000
USD
410000.00000000
NZD
2022-04-06
7637.71000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/19/2027
N/A
300000.00000000
PA
337999.02000000
0.060948595151
Long
DBT
NUSS
FR
N
2
2027-05-19
Fixed
1.12500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-05-19
N/A
1.00000000
NC
13588.99000000
0.002450391276
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
N/A
984075.66000000
USD
20053388.59000000
MXN
2022-05-19
13588.99000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.625000% 10/22/2050
N/A
904000.00000000
PA
890582.95000000
0.160591529729
Long
DBT
NUSS
GB
N
2
2050-10-22
Fixed
0.62500000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
8897.88000000
0.001604481829
N/A
DFE
MY
N
2
STANDARD CHARTERED BANK
N/A
2270078.18000000
USD
9582000.00000000
MYR
2022-04-06
8897.88000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
1259.24000000
0.000227068436
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
324958.35000000
USD
292869.78000000
EUR
2022-05-12
1259.24000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7149.82000000
0.001289268485
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
278213.16000000
USD
380000.00000000
AUD
2022-04-06
7149.82000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.400000% 05/23/2034
N/A
110000.00000000
PA
141921.34000000
0.025591512943
Long
DBT
NUSS
AT
N
2
2034-05-23
Fixed
2.40000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5497.72000000
0.000991358822
N/A
DFE
CA
N
2
TD SECURITIES (USA) INC.
N/A
282721.03000000
USD
360000.00000000
CAD
2022-04-06
5497.72000000
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
DEUTSCHE TELEKOM AG MTN 3.125000% 02/06/2034
N/A
328000.00000000
PA
439165.87000000
0.079191184682
Long
DBT
NUSS
DE
N
2
2034-02-06
Fixed
3.12500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
514250000.00000000
PA
4898964.76000000
0.883390193915
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
Merck Financial Services GmbH
549300OELEN3ZS5RB682
MERCK FINANCIAL SERVICES GMBH MTN 0.125000% 07/16/2025
N/A
400000.00000000
PA
433075.79000000
0.078093010431
Long
DBT
NUSS
DE
N
2
2025-07-16
Fixed
0.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2469.36000000
0.000445279465
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
210056.07000000
USD
191000.00000000
EUR
2022-04-06
2469.36000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
691000.00000000
PA
496595.07000000
0.089546921987
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 11/25/2031
N/A
1679000.00000000
PA
1708777.98000000
0.308129938683
Long
DBT
NUSS
FR
N
2
2031-11-25
Fixed
0.00000000
N
N
N
N
N
N
Samhallsbyggnadsbolaget i Norden AB
549300HX9MRFY47AH564
SAMHALLSBYGGNADSBOLAGET I NORDEN AB MTN 1.125000% 09/04/2026
N/A
140000.00000000
PA
141464.24000000
0.025509087843
Long
DBT
NUSS
SE
N
2
2026-09-04
Fixed
1.12500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.625000% 09/10/2035
N/A
700180000.00000000
PA
553462.55000000
0.099801368926
Long
DBT
NUSS
KR
N
2
2035-09-10
Fixed
2.62500000
N
N
N
N
N
N
VORNADO REALTY L.P.
549300BMOJ05INE4YK86
VORNADO REALTY LP 3.400000% 06/01/2031
929043AL1
334000.00000000
PA
USD
314152.84000000
0.056648608806
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.40000000
N
N
N
N
N
N
WELLTOWER INC
T6IZ0MBEG5ACZDTR7D06
WELLTOWER INC 4.500000% 12/01/2034
95040QAB0
140000.00000000
PA
203874.29000000
0.036762981037
Long
DBT
NUSS
US
N
2
2034-12-01
Fixed
4.50000000
N
N
N
N
N
N
MCKESSON CORPORATION
549300WZWOM80UCFSF54
MCKESSON CORP 3.125000% 02/17/2029
581557BH7
315000.00000000
PA
415748.57000000
0.074968534754
Long
DBT
CORP
US
N
2
2029-02-17
Fixed
3.12500000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC 2.979000% 08/03/2022
345397YQ0
200000.00000000
PA
USD
200000.00000000
0.036064362051
Long
DBT
CORP
US
N
2
2022-08-03
Fixed
2.97900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1716.25000000
-0.00030947730
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
214000.00000000
GBP
280040.40000000
USD
2022-04-06
-1716.25000000
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.000000% 06/22/2031
N/A
490000.00000000
PA
551094.62000000
0.099374379502
Long
DBT
NUSS
BE
N
2
2031-06-22
Fixed
1.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-15.08000000
-0.00000271925
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
283088.35000000
USD
215000.00000000
GBP
2022-04-06
-15.08000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 12/05/2024
N/A
31866000.00000000
PA
1655108.09000000
0.298452086962
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.750000% 09/22/2046
N/A
100000.00000000
PA
115659.25000000
0.020855885333
Long
DBT
NUSS
GB
N
2
2046-09-22
Fixed
2.75000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP 1.950000% 10/18/2024
026657AR7
159000.00000000
PA
181485.31000000
0.032725759634
Long
DBT
NUSS
US
N
2
2024-10-18
Fixed
1.95000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.500000% 05/25/2029
N/A
395000.00000000
PA
432745.54000000
0.078033459154
Long
DBT
NUSS
FR
N
2
2029-05-25
Fixed
0.50000000
N
N
N
N
N
N
ELMWOOD CLO
N/A
ELMWOOD CLO XII LTD ELM12 2021-5A D
29002YAG7
750000.00000000
PA
USD
743644.50000000
0.134095322428
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-20
Floating
3.17130840
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
50496.86000000
0.009105685207
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
154719000.00000000
CNY
24440635.66000000
USD
2022-04-06
50496.86000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 1.250000% 08/15/2048
N/A
1013000.00000000
PA
1304966.58000000
0.235313936032
Long
DBT
NUSS
DE
N
2
2048-08-15
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-174812.59000000
-0.03152252268
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
146037000.00000000
CNY
22821847.16000000
USD
2022-05-06
-174812.59000000
N
N
N
CPPIB CAPITAL INC.
549300KW9NB55HTDK075
CPPIB CAPITAL INC MTN 0.250000% 04/06/2027
N/A
1765000.00000000
PA
1888182.37000000
0.340480463056
Long
DBT
NUSS
CA
N
2
2027-04-06
Fixed
0.25000000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.800000% 06/22/2025
N/A
484000.00000000
PA
547222.22000000
0.098676101324
Long
DBT
NUSS
BE
N
2
2025-06-22
Fixed
0.80000000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
134200.19740000
PA
USD
133883.14000000
0.024142050167
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.850000% 06/04/2027
N/A
16510000.00000000
PA
2623676.40000000
0.473106077980
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.757000% 05/22/2040
N/A
912000.00000000
PA
197303.03000000
0.035578039539
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 5.375000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
230851.40000000
0.041627542348
Long
DBT
NUSS
FR
N
2
2171-01-29
Fixed
5.37500000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
655.38000000
0.000118179308
N/A
DFE
MY
N
2
STANDARD CHARTERED BANK
N/A
167497.00000000
USD
707000.00000000
MYR
2022-04-06
655.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-05-25
N/A
1.00000000
NC
USD
-16499.41000000
-0.00297520347
N/A
DFE
US
N
2
JP MORGAN
N/A
3828499862.95000000
COP
997524.72000000
USD
2022-05-25
-16499.41000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 5.500000% 01/31/2042
N/A
675000.00000000
PA
299772.74000000
0.054055563142
Long
DBT
NUSS
IL
N
2
2042-01-31
Fixed
5.50000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.850000% 07/30/2035
N/A
695000.00000000
PA
798138.01000000
0.143921690799
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.500000% 04/30/2042
N/A
408000.00000000
PA
502900.73000000
0.090683970013
Long
DBT
NUSS
CH
N
2
2042-04-30
Fixed
1.50000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.250000% 05/20/2027
20030NDB4
190000.00000000
PA
201290.58000000
0.036297081773
Long
DBT
NUSS
US
N
2
2027-05-20
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
432.02000000
0.000077902628
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
282986.42000000
USD
2022-04-06
432.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-1430.53000000
-0.00025795575
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
800000.00000000
NZD
554972.80000000
USD
2022-04-06
-1430.53000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 4.700000% 09/12/2022
N/A
7470000.00000000
PA
339157.23000000
0.061157445675
Long
DBT
NUSS
CZ
N
2
2022-09-12
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3787.84000000
-0.00068303016
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
EUR
285513.80000000
USD
2022-04-06
-3787.84000000
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TOTALENERGIES SE MTN 1.750000% MATURITY: PERPETUAL
N/A
115000.00000000
PA
127314.30000000
0.022957545047
Long
DBT
NUSS
FR
N
2
2170-04-04
Fixed
1.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
7174.52000000
0.001293722434
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
460198.73000000
USD
419595.71000000
EUR
2022-05-12
7174.52000000
N
N
N
Becton Dickinson Euro Finance S.a r.l.
549300W40NLZ25XUTH09
BECTON DICKINSON EURO FINANCE SARL 0.334000% 08/13/2028
N/A
280000.00000000
PA
285155.37000000
0.051419732523
Long
DBT
NUSS
US
N
2
2028-08-13
Fixed
0.33400000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
DEUTSCHLAND I/L BOND 0.5% 04/15/2030
N/A
172000.00000000
PA
263715.27000000
0.047553614879
Long
DBT
USGA
DE
N
2
2030-04-15
Fixed
0.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC MTN 0.500000% 10/08/2027
N/A
505000.00000000
PA
534294.45000000
0.096344942435
Long
DBT
NUSS
US
N
2
2027-10-08
Fixed
0.50000000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP MTN 2.875000% 01/15/2026
00914AAJ1
40000.00000000
PA
USD
38606.94000000
0.006961673309
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S MTN 5.875000% MATURITY: PERPETUAL
N/A
344000.00000000
PA
382749.57000000
0.069018095338
Long
DBT
NUSS
DK
N
2
2170-10-06
Fixed
5.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2573.48000000
0.000464054572
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
217740.84000000
USD
198000.00000000
EUR
2022-04-06
2573.48000000
N
N
N
WESTERN POWER DISTRIBUTION (WEST MIDLANDS) PLC
549300L22M2RCLXON143
WESTERN POWER DISTRIBUTION WEST MIDLANDS PLC MTN 3.875000% 10/17/2024
N/A
230000.00000000
PA
312370.59000000
0.056327230260
Long
DBT
NUSS
GB
N
2
2024-10-17
Fixed
3.87500000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-05-06
N/A
1.00000000
NC
180.13000000
0.000032481367
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
277722.00000000
USD
370000.00000000
AUD
2022-05-06
180.13000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 2.500000% 07/22/2065
N/A
1101000.00000000
PA
1843388.57000000
0.332403163952
Long
DBT
NUSS
GB
N
2
2065-07-22
Fixed
2.50000000
N
N
N
N
N
N
GRIFOLS ESCROW ISSUER S.A.
959800HLB3PGTGSLVV62
GRIFOLS ESCROW ISSUER SA 144A 3.875000% 10/15/2028
BR6667835
100000.00000000
PA
105634.43000000
0.019048191643
Long
DBT
NUSS
ES
N
2
2028-10-15
Fixed
3.87500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
11134.18000000
0.002007735493
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
281818.70000000
USD
2730000.00000000
SEK
2022-04-06
11134.18000000
N
N
N
LIBERTY MUTUAL GROUP INC.
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC 3.625000% 05/23/2059
N/A
300000.00000000
PA
329620.81000000
0.059437821158
Long
DBT
NUSS
US
N
2
2059-05-23
Fixed
3.62500000
N
N
N
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 0.700000% 10/15/2027
N/A
735000.00000000
PA
811246.81000000
0.146285493345
Long
DBT
NUSS
PT
N
2
2027-10-15
Fixed
0.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-04-21
N/A
1.00000000
NC
USD
-773.32000000
-0.00013944646
N/A
DFE
US
N
2
JP MORGAN
N/A
1436859.23000000
SGD
1061009.61000000
USD
2022-04-21
-773.32000000
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 3.000000% 03/14/2024
N/A
7018000.00000000
PA
814837.96000000
0.146933056014
Long
DBT
NUSS
NO
N
2
2024-03-14
Fixed
3.00000000
N
N
N
N
N
N
NORTHUMBRIAN WATER FINANCE PLC
213800JTFA6F3S7XX781
NORTHUMBRIAN WATER FINANCE PLC 6.875000% 02/06/2023
N/A
190000.00000000
PA
259949.52000000
0.046874568022
Long
DBT
NUSS
GB
N
2
2023-02-06
Fixed
6.87500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-05-06
N/A
1.00000000
NC
4232.16000000
0.000763150752
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
278666.47000000
USD
260000.00000000
CHF
2022-05-06
4232.16000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
40.00000000
NC
USD
4587500.00000000
0.827226304560
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2022
2022-07-03
4579626.90000000
USD
7873.10000000
N
N
N
REPUBLIKA SLOVENIJA
485100000LWQHIX4XX88
REPUBLIKA SLOVENIJA 1.250000% 03/22/2027
N/A
556000.00000000
PA
635504.08000000
0.114595246132
Long
DBT
NUSS
SI
N
2
2027-03-22
Fixed
1.25000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
100629.48000000
0.018145689998
N/A
DFE
ZA
N
2
J P MORGAN CHASE BANK
N/A
1930029.91000000
USD
29680000.00000000
ZAR
2022-04-06
100629.48000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA MTN 6.875000% 03/11/2031
R8412TAC6
185000.00000000
PA
325572.23000000
0.058707773883
Long
DBT
NUSS
NO
N
2
2031-03-11
Fixed
6.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
3149.50000000
0.000567923541
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
278363.25000000
USD
253000.00000000
EUR
2022-04-06
3149.50000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
806.54000000
0.000145436752
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
280950.11000000
USD
214000.00000000
GBP
2022-04-06
806.54000000
N
N
N
COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE
54930036474DURYNB481
CANADIAN PACIFIC RAILWAY CO 1.350000% 12/02/2024
13645RBD5
805000.00000000
PA
USD
771831.51000000
0.139178055097
Long
DBT
NUSS
CA
N
2
2024-12-02
Fixed
1.35000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 3.000000% 04/20/2029
N/A
345000.00000000
PA
236984.58000000
0.042733488468
Long
DBT
NUSS
NZ
N
2
2029-04-20
Fixed
3.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 4.375000% 09/14/2029
N/A
100000.00000000
PA
143250.30000000
0.025831153416
Long
DBT
CORP
US
N
2
2029-09-14
Fixed
4.37500000
N
N
N
N
N
N
STATSMINISTERENS KONTOR
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.250000% 09/17/2031
N/A
14924000.00000000
PA
1518530.65000000
0.273824195740
Long
DBT
NUSS
NO
N
2
2031-09-17
Fixed
1.25000000
N
N
N
N
N
N
Sweihan PV Power Company PJSC
353800EF1E1IC18GBC48
SWEIHAN PV POWER CO PJSC 144A 3.625000% 01/31/2049
870674AA6
300000.00000000
PA
USD
277056.00000000
0.049959239462
Long
DBT
NUSS
AE
N
2
2049-01-31
Fixed
3.62500000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 0.950000% 03/01/2037
N/A
1549000.00000000
PA
1456690.11000000
0.262672997620
Long
DBT
NUSS
IT
N
2
2037-03-01
Fixed
0.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-05-12
N/A
1.00000000
NC
USD
-12013.55000000
-0.00216630508
N/A
DFE
US
N
2
JP MORGAN
N/A
1200640.57000000
EUR
1325338.74000000
USD
2022-05-12
-12013.55000000
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 5.000000% 03/28/2035
N/A
64000.00000000
PA
104312.96000000
0.018809901780
Long
DBT
NUSS
BE
N
2
2035-03-28
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MTN 1.090000% 03/11/2027
N/A
660000.00000000
PA
723027.83000000
0.130377687172
Long
DBT
NUSS
US
N
2
2027-03-11
Fixed
1.09000000
N
N
N
N
N
N
MAGALLANES, INC.
549300DXR29GD4N0A520
MAGALLANES INC 144A 5.050000% 03/15/2042
55903VAN3
220000.00000000
PA
USD
224406.65000000
0.040465413362
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-13
N/A
1.00000000
NC
-20.02000000
-0.00000361004
N/A
DFE
XX
N
2
JP MORGAN
N/A
61451.51000000
USD
55200.00000000
EUR
2022-04-13
-20.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-06-14
N/A
1.00000000
NC
USD
-156587.15000000
-0.02823607835
N/A
DFE
US
N
2
JP MORGAN
N/A
7654100.00000000
AUD
5597137.17000000
USD
2022-06-14
-156587.15000000
N
N
N
La Compagnie de Telephone Bell du Canada ou Bell Canada
549300JYAVAQRV5MNZ86
BELL TELEPHONE CO OF CANADA OR BELL CANADA/THE MTN 4.700000% 09/11/2023
07813ZBF0
80000.00000000
PA
65398.82000000
0.011792833611
Long
DBT
NUSS
CA
N
2
2023-09-11
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7359.16000000
-0.00132701705
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
410000.00000000
NZD
277797.55000000
USD
2022-04-06
-7359.16000000
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 2.300000% 03/19/2026
25159MAG2
180000000.00000000
PA
1606836.40000000
0.289747648437
Long
DBT
NUSS
JP
N
2
2026-03-19
Fixed
2.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7960.74000000
-0.00143549504
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2570000.00000000
NOK
285953.79000000
USD
2022-04-06
-7960.74000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN 30 YEAR ISSUE .30% 06/20/2046
N/A
74600000.00000000
PA
546007.46000000
0.098457053601
Long
DBT
NUSS
JP
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
ENI S.P.A.
BUCRF72VH5RBN7X3VL35
ENI SPA 3.375000% MATURITY: PERPETUAL
N/A
135000.00000000
PA
143259.88000000
0.025832880898
Long
DBT
NUSS
IT
N
2
2170-10-13
Fixed
3.37500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-05-06
N/A
1.00000000
NC
442.74000000
0.000079835678
N/A
DFE
PA
N
2
CREDIT SUISSE FIRST BOSTON LLC.
N/A
1110174.12000000
USD
4640133.72000000
PLN
2022-05-06
442.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3840.68000000
-0.00069255837
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
355000.00000000
CAD
280375.04000000
USD
2022-04-06
-3840.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-38481.27000000
-0.00693901226
N/A
DFE
US
N
2
JP MORGAN
N/A
4618274.56000000
PLN
1066903.60000000
USD
2022-05-06
-38481.27000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-05-06
N/A
1.00000000
NC
40766.72000000
0.007351128748
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
2070867.16000000
USD
256100000.00000000
JPY
2022-05-06
40766.72000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 1.750000% 09/07/2037
N/A
213000.00000000
PA
277811.45000000
0.050095463574
Long
DBT
NUSS
GB
N
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-04-28
N/A
1.00000000
NC
22530.88000000
0.004062809068
N/A
DFE
KR
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
1001245.00000000
USD
1241891826.00000000
KRW
2022-04-28
22530.88000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028
92343VGH1
445000.00000000
PA
USD
414772.82000000
0.074792585748
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-7245.29000000
-0.00130648380
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
279142.95000000
USD
33000000.00000000
JPY
2022-04-06
-7245.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-179.53000000
-0.00003237317
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
370000.00000000
AUD
277673.90000000
USD
2022-04-06
-179.53000000
N
N
N
B.A.T. Netherlands Finance B.V.
2138009B37VJ9VOWAO51
BAT NETHERLANDS FINANCE BV MTN 3.125000% 04/07/2028
N/A
160000.00000000
PA
179623.84000000
0.032390095994
Long
DBT
NUSS
GB
N
2
2028-04-07
Fixed
3.12500000
N
N
N
N
N
N
Korea Housing Finance Corporation
9884002AAOBT56QW9B80
KOREA HOUSING FINANCE CORP 144A 0.010000% 06/29/2026
BQ1316463
150000.00000000
PA
159341.54000000
0.028732754942
Long
DBT
NUSS
KR
N
2
2026-06-29
Fixed
0.01000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 10/15/2026
912810RL4
715000.00000000
PA
USD
773257.50000000
0.139435192195
Long
DBT
USGA
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN 0.000000% 01/15/2027
N/A
268000.00000000
PA
286295.06000000
0.051625243487
Long
DBT
NUSS
XX
N
2
2027-01-15
Fixed
0.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-14.00000000
NC
-2900440.61000000
-0.52301270134
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2022
2022-06-11
-3003990.01000000
EUR
103549.40000000
N
N
N
TIME WARNER CABLE, LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 5.750000% 06/02/2031
88732JAZ1
295000.00000000
PA
439253.64000000
0.079207011527
Long
DBT
NUSS
US
N
2
2031-06-02
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-06-14
N/A
1.00000000
NC
USD
-216.79000000
-0.00003909196
N/A
DFE
US
N
2
JP MORGAN
N/A
330000.00000000
AUD
247850.13000000
USD
2022-06-14
-216.79000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
20305.26000000
0.003661481240
N/A
DFE
SE
N
2
UBS SECURITIES LLC
N/A
281232.32000000
USD
2810000.00000000
SEK
2022-04-06
20305.26000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 06/25/2039
N/A
256000.00000000
PA
310888.07000000
0.056059899570
Long
DBT
NUSS
FR
N
2
2039-06-25
Fixed
1.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC MTN 4.050000% 02/17/2025
N/A
680000.00000000
PA
519465.17000000
0.093670899820
Long
DBT
CORP
US
N
2
2025-02-17
Fixed
4.05000000
N
N
N
N
N
N
KommuneKredit
529900D8QLTZ6PRLJL76
KOMMUNEKREDIT MTN 0.125000% 09/26/2040
N/A
275000.00000000
PA
242721.25000000
0.043767935188
Long
DBT
NUSS
DK
N
2
2040-09-26
Fixed
0.12500000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 7.500000% MATURITY: PERPETUAL
H3698DBW3
286000.00000000
PA
USD
290361.50000000
0.052358511309
Long
DBT
NUSS
CH
N
2
2171-01-17
Fixed
7.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 3.375000% 01/23/2026
N/A
490000.00000000
PA
654983.23000000
0.118107761722
Long
DBT
NUSS
FR
N
2
2026-01-23
Fixed
3.37500000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.400000% 04/30/2028
N/A
1014000.00000000
PA
1158137.01000000
0.208837362170
Long
DBT
NUSS
ES
N
2
2028-04-30
Fixed
1.40000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
24285000.00000000
PA
1160217.03000000
0.209212435142
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
274.39000000
0.000049478501
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
323000.00000000
EUR
359676.04000000
USD
2022-04-06
274.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-13547.53000000
-0.00244291513
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3214000.00000000
SGD
2361620.19000000
USD
2022-05-06
-13547.53000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.000000% 09/14/2026
20030NDX6
450000.00000000
PA
476062.91000000
0.085844525728
Long
DBT
NUSS
US
N
2
2026-09-14
Fixed
0.00000000
N
N
N
N
N
N
ROYAUME DE BELGIQUE
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 4.250000% 03/28/2041
N/A
30000.00000000
PA
49465.62000000
0.008919730143
Long
DBT
NUSS
BE
N
2
2041-03-28
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7794.22000000
-0.00140546785
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
8500000.00000000
MXN
418300.09000000
USD
2022-04-06
-7794.22000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 4.250000% 10/07/2026
N/A
200000.00000000
PA
256496.06000000
0.046251833863
Long
DBT
NUSS
FR
N
2
2026-10-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-27623.72000000
-0.00498115919
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
5540000.00000000
SEK
566866.74000000
USD
2022-04-06
-27623.72000000
N
N
N
Becton Dickinson Euro Finance S.a r.l.
549300W40NLZ25XUTH09
BECTON DICKINSON EURO FINANCE SARL 1.336000% 08/13/2041
N/A
300000.00000000
PA
273486.80000000
0.049315634857
Long
DBT
NUSS
US
N
2
2041-08-13
Fixed
1.33600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-04-06
N/A
1.00000000
NC
USD
6055.02000000
0.001091852167
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
32550000.00000000
JPY
274244.98000000
USD
2022-04-06
6055.02000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
52.87000000
0.000009533614
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
8848.72000000
USD
8000.00000000
EUR
2022-04-06
52.87000000
N
N
N
CPUK FINANCE LIMITED
6354003CVDDPNXREIR29
CPUK FINANCE LTD MTN 3.690000% 08/28/2028
N/A
100000.00000000
PA
137390.13000000
0.024774436953
Long
DBT
NUSS
GB
N
2
2028-08-28
Fixed
3.69000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.000000% 09/14/2026
20030NDX6
100000.00000000
PA
105791.76000000
0.019076561673
Long
DBT
NUSS
US
N
2
2026-09-14
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4912.10000000
-0.00088575876
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
360000.00000000
CAD
283306.65000000
USD
2022-04-06
-4912.10000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
39174000.00000000
PA
1892598.05000000
0.341276706467
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
677000.00000000
PA
159817.26000000
0.028818537633
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: Daily GBP Overnight Index Ave (SONIA) Rate
N/A
85000.00000000
NC
-32678.03000000
-0.00589256152
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2050-07-20
0.00000000
GBP
-17191.91000000
GBP
-85000.00000000
GBP
-15486.12000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
-251.25000000
-0.00004530585
N/A
DFE
CN
N
2
J P MORGAN CHASE BANK
N/A
141970.98000000
USD
899000.00000000
CNY
2022-04-06
-251.25000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: Daily GBP Overnight Index Ave (SONIA) Rate
N/A
1230000.00000000
NC
-75382.18000000
-0.01359305115
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2025-02-28
1645.25000000
GBP
0.00000000
GBP
-1230000.00000000
GBP
-77027.43000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.900000% 11/15/2024
25470DBC2
665000.00000000
PA
USD
671749.82000000
0.121131143583
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
NEUBERGER BERMAN LOAN ADVISERS EURO CLO
N/A
NEUBERGER BERMAN LOAN ADVISERS EURO CLO 3 DAC NEUBE 2022-3A D
N/A
663000.00000000
PA
704433.44000000
0.127024713107
Long
ABS-CBDO
CORP
IE
Y
2
2034-10-25
Floating
3.20000040
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
1426.18000000
0.000257171359
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
425000.00000000
GBP
560989.63000000
USD
2022-04-06
1426.18000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.010000% 05/13/2028
N/A
52640000.00000000
PA
8400797.69000000
1.514847047075
Long
DBT
NUSS
CN
N
2
2028-05-13
Fixed
3.01000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-10959.96000000
-0.00197631982
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
2730000.00000000
SEK
281992.92000000
USD
2022-04-06
-10959.96000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
49445.22000000
0.008916051579
N/A
DFE
HU
N
2
BNP PARIBAS
N/A
1446412.04000000
USD
493834000.00000000
HUF
2022-04-06
49445.22000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-04-06
N/A
1.00000000
NC
1420.13000000
0.000256080412
N/A
DFE
JP
N
2
BNP PARIBAS
N/A
278716.85000000
USD
34000000.00000000
JPY
2022-04-06
1420.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-5644.16000000
-0.00101776514
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
3095000.00000000
TRY
200680.82000000
USD
2022-05-06
-5644.16000000
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 0.250000% 01/29/2024
C8S089JT0
189000.00000000
PA
209502.83000000
0.037777929559
Long
DBT
NUSS
CA
N
2
2024-01-29
Fixed
0.25000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 1.250000% 05/12/2025
N/A
13180000.00000000
PA
1396106.43000000
0.251748438770
Long
DBT
NUSS
XX
N
2
2025-05-12
Fixed
1.25000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-04-06
N/A
1.00000000
NC
7508.36000000
0.001353921067
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
285364.17000000
USD
390000.00000000
AUD
2022-04-06
7508.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-4211.61000000
-0.00075944513
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
260000.00000000
CHF
278342.79000000
USD
2022-04-06
-4211.61000000
N
N
N
VODAFONE GROUP PUBLIC LIMITED COMPANY
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC MTN 4.200000% 12/13/2027
N/A
490000.00000000
PA
368010.17000000
0.066360260047
Long
DBT
NUSS
GB
N
2
2027-12-13
Fixed
4.20000000
N
N
N
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA MTN 1.250000% 06/16/2026
N/A
460000.00000000
PA
502543.19000000
0.090619497753
Long
DBT
NUSS
IT
N
2
2026-06-16
Fixed
1.25000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.810000% 09/14/2050
N/A
8590000.00000000
PA
1447187.92000000
0.260959545518
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-06-13
N/A
1.00000000
NC
-541.38000000
-0.00009762262
N/A
DFE
NO
N
2
JP MORGAN
N/A
59534.31000000
USD
515900.00000000
NOK
2022-06-13
-541.38000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.500000% 07/15/2026
N/A
390000.00000000
PA
436435.84000000
0.078698900730
Long
DBT
NUSS
NL
N
2
2026-07-15
Fixed
0.50000000
N
N
N
N
N
N
Mondelez International Holdings Netherlands B.V.
549300CW356R8I7N8D33
MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV 144 0.625000% 09/09/2032
N/A
450000.00000000
PA
429940.84000000
0.077527710572
Long
DBT
NUSS
US
N
2
2032-09-09
Fixed
0.62500000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK ABP MTN 6.125000% MATURITY: PERPETUAL
65557DAL5
200000.00000000
PA
USD
207222.00000000
0.037366646165
Long
DBT
NUSS
FI
N
2
2168-03-23
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6259.85000000
-0.00112878748
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
390000.00000000
AUD
286612.68000000
USD
2022-04-06
-6259.85000000
N
N
N
KYNDRYL HOLDINGS, INC.
549300LQ4LWX2R8ZV130
KYNDRYL HOLDINGS INC 144A 2.050000% 10/15/2026
50155QAA8
455000.00000000
PA
USD
406207.39000000
0.073248051905
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
MAGALLANES, INC.
549300DXR29GD4N0A520
MAGALLANES INC 144A 3.755000% 03/15/2027
55903VAG8
137000.00000000
PA
USD
136750.62000000
0.024659119352
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.000000% 09/01/2024
N/A
2594000.00000000
PA
1962343.22000000
0.353853281778
Long
DBT
NUSS
SG
N
2
2024-09-01
Fixed
3.00000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.750000% 05/25/2028
N/A
345000.00000000
PA
386500.11000000
0.069694399500
Long
DBT
NUSS
FR
N
2
2028-05-25
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-01
N/A
1.00000000
NC
USD
20.65000000
0.000003723645
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
8765.25000000
EUR
9773.25000000
USD
2022-04-01
20.65000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
524.85000000
0.000094641902
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
283865.04000000
USD
216000.00000000
GBP
2022-04-06
524.85000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC MTN 0.750000% 10/26/2023
N/A
115000.00000000
PA
128675.78000000
0.023203049586
Long
DBT
NUSS
US
N
2
2023-10-26
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6983.03000000
-0.00125919261
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
390000.00000000
AUD
285889.50000000
USD
2022-04-06
-6983.03000000
N
N
N
Banco Bilbao Vizcaya Argentaria, S.A.
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZCAYA ARGENTARIA SA 2.250000% 06/12/2024
N/A
200000.00000000
PA
230445.50000000
0.041554349725
Long
DBT
NUSS
ES
N
2
2024-06-12
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-6828.27000000
-0.00123128600
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
506000.00000000
EUR
556197.22000000
USD
2022-04-06
-6828.27000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.675000% 06/29/2044
N/A
17119000.00000000
PA
604969.82000000
0.109089253094
Long
DBT
NUSS
TH
N
2
2044-06-29
Fixed
4.67500000
N
N
N
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-11.00000000
NC
-1149801.85000000
-0.20733435103
N/A
DIR
CA
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2022
2022-06-24
-1177187.85000000
CAD
27386.00000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-04-06
N/A
1.00000000
NC
5029.61000000
0.000906948380
N/A
DFE
CH
N
2
J P MORGAN CHASE BANK
N/A
282958.53000000
USD
265000.00000000
CHF
2022-04-06
5029.61000000
N
N
N
WESTFIELD AMERICA MANAGEMENT PTY LIMITED
875500W7WGQNQWSP6E89
WESTFIELD AMERICA MANAGEMENT LTD 2.625000% 03/30/2029
N/A
155000.00000000
PA
190121.22000000
0.034283002558
Long
DBT
NUSS
FR
N
2
2029-03-30
Fixed
2.62500000
N
N
N
N
N
N
JOHNSON CONTROLS INTERNATIONAL PLC
549300XQ6S1GYKGBL205
JOHNSON CONTROLS INTERNATIONAL PLC 1.375000% 02/25/2025
478375AT5
395000.00000000
PA
441820.22000000
0.079669821879
Long
DBT
NUSS
US
N
2
2025-02-25
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-14622.09000000
-0.00263668173
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
715000.00000000
CAD
557812.38000000
USD
2022-04-06
-14622.09000000
N
N
N
TEMASEK FINANCIAL (I) LIMITED
549300XMGMDF3VRJMF12
TEMASEK FINANCIAL I LTD MTN 2.375000% 01/23/2023
87973PAC8
495000.00000000
PA
USD
495906.24000000
0.089422710915
Long
DBT
NUSS
SG
N
2
2023-01-23
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-05-06
N/A
1.00000000
NC
USD
-33273.14000000
-0.00599987283
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
32479000.00000000
CZK
1441186.64000000
USD
2022-05-06
-33273.14000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-05-12
N/A
1.00000000
NC
-1976.95000000
-0.00035648720
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
514361.84000000
USD
460006.01000000
EUR
2022-05-12
-1976.95000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 03/20/2042
N/A
427900000.00000000
PA
4380391.59000000
0.789880141149
Long
DBT
NUSS
JP
N
2
2042-03-20
Fixed
2.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 0.000000% 10/09/2026
N/A
3135000.00000000
PA
3435740.39000000
0.619538926702
Long
DBT
NUSS
DE
N
2
2026-10-09
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-04-21
N/A
1.00000000
NC
USD
-83274.15000000
-0.01501614547
N/A
DFE
US
N
2
JP MORGAN
N/A
16724670.51000000
ZAR
1058980.29000000
USD
2022-04-21
-83274.15000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.250000% 01/22/2044
N/A
400000.00000000
PA
662067.15000000
0.119385147000
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-04-21
N/A
1.00000000
NC
52881.80000000
0.009535741905
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1103612.19000000
USD
16933163.30000000
ZAR
2022-04-21
52881.80000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-04-06
N/A
1.00000000
NC
2616.19000000
0.000471756116
N/A
DFE
XX
N
2
UBS SECURITIES LLC
N/A
281121.95000000
USD
255000.00000000
EUR
2022-04-06
2616.19000000
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.906000% 04/02/2030
05526DBN4
105000.00000000
PA
USD
108155.06000000
0.019502716207
Long
DBT
CORP
GB
N
2
2030-04-02
Fixed
4.90600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-04-25
N/A
1.00000000
NC
USD
-123.64000000
-0.00002229498
N/A
DFE
US
N
2
JP MORGAN
N/A
164000.00000000
PEN
43961.94000000
USD
2022-04-25
-123.64000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN22 FINANCIAL COMMODITY FUTURE.
N/A
23.00000000
NC
USD
2826125.00000000
0.509611976016
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 2022
2022-06-24
2906983.82000000
USD
-80858.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-3761.82000000
-0.00067833819
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
256000.00000000
EUR
281089.02000000
USD
2022-04-06
-3761.82000000
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
USD
2754984.38000000
0.496783770635
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2022
2022-07-03
2755108.72000000
USD
-124.34000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 08/15/2031
N/A
2225000.00000000
PA
2360407.23000000
0.425632904660
Long
DBT
NUSS
DE
N
2
2031-08-15
Fixed
0.00000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-04-06
N/A
1.00000000
NC
32795.98000000
0.005913830482
N/A
DFE
CZ
N
2
CITIGROUP GLOBAL MARKETS
N/A
1446403.92000000
USD
32479000.00000000
CZK
2022-04-06
32795.98000000
N
N
N
THAMES WATER UTILITIES FINANCE PLC
213800ESMPQ4RQ7G8351
THAMES WATER UTILITIES FINANCE PLC MTN 4.625000% 06/04/2046
N/A
155000.00000000
PA
245939.50000000
0.044348255854
Long
DBT
NUSS
GB
N
2
2046-06-04
Fixed
4.62500000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.250000% 06/01/2029
135087J39
1314000.00000000
PA
1043983.28000000
0.188252954929
Long
DBT
NUSS
CA
N
2
2029-06-01
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-04-06
N/A
1.00000000
NC
USD
-7372.75000000
-0.00132946762
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
420000.00000000
NZD
284739.00000000
USD
2022-04-06
-7372.75000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.700000% 10/20/2030
N/A
9430000.00000000
PA
1549507.20000000
0.279409943312
Long
DBT
NUSS
CN
N
2
2030-10-20
Fixed
3.70000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-04-06
N/A
1.00000000
NC
107519.36000000
0.019388085633
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
21604859.10000000
USD
16491000.00000000
GBP
2022-04-06
107519.36000000
N
N
N
BNP PARIBAS HOME LOAN SFH S.A.
969500O7DJZNM0F0Z036
BNP PARIBAS HOME LOAN SFH SA 0.375000% 05/07/2025
N/A
400000.00000000
PA
438988.83000000
0.079159260508
Long
DBT
NUSS
FR
N
2
2025-05-07
Fixed
0.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-04-06
N/A
1.00000000
NC
USD
169.23000000
0.000030515859
N/A
DFE
US
N
2
MORGAN STANLEY & CO, INC
N/A
198000.00000000
GBP
260859.97000000
USD
2022-04-06
169.23000000
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 03/31/2025
912828ZF0
94000.00000000
PA
USD
88554.61000000
0.015968327581
Long
SN
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
2022-03-31
SEI INSTITUTIONAL INTERNATIONAL TRUST
Peter Rodriguez
Peter Rodriguez
CFO