0001752724-22-270615.txt : 20221128
0001752724-22-270615.hdr.sgml : 20221128
20221128145415
ACCESSION NUMBER: 0001752724-22-270615
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220930
FILED AS OF DATE: 20221128
DATE AS OF CHANGE: 20221128
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: 221424398
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
2022-09-30
N
495293679.49
11839164.73
483454514.76
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
10431520.77000000
CNY
EUR
JPY
USD
N
Barclays Global Aggregate ex USD Index (USD Hedged)
LGAXUSDUH
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-11-22
N/A
1.00000000
NC
USD
12577.97000000
0.002601686325
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
811490754.00000000
CLP
852944.00000000
USD
2022-11-22
12577.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
11253.25000000
0.002327675025
N/A
DFE
US
N
2
JPM CHASE
N/A
370000.00000000
AUD
249147.64000000
USD
2022-10-07
11253.25000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
32335000.00000000
PA
1333586.58000000
0.275845304839
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/SGD SETTLE 2022-12-12
N/A
1.00000000
NC
USD
244204.13000000
0.050512327953
N/A
DFE
US
N
2
JP MORGAN
N/A
15437350.00000000
SGD
11014831.33000000
USD
2022-12-12
244204.13000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6330.78000000
-0.00130948823
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
253251.46000000
USD
252000.00000000
EUR
2022-10-07
-6330.78000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 0.875000% 09/15/2026
N/A
2600000.00000000
PA
2467094.73000000
0.510305448533
Long
DBT
NUSS
DE
N
2
2026-09-15
Fixed
0.87500000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.125000% 06/15/2031
02209SAZ6
310000.00000000
PA
247723.64000000
0.051240319913
Long
DBT
NUSS
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.650000% 05/21/2029
N/A
18120000.00000000
PA
2665744.53000000
0.551395105147
Long
DBT
NUSS
CN
N
2
2029-05-21
Fixed
3.65000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-04
N/A
1.00000000
NC
-282.32000000
-0.00005839639
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
92700.91000000
USD
126987.77000000
CAD
2022-10-04
-282.32000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-27
N/A
1.00000000
NC
-49227.44000000
-0.01018243464
N/A
DFE
CA
N
2
ROYAL BANK OF SCOTLAND
N/A
755813.79000000
USD
970869.27000000
CAD
2022-10-27
-49227.44000000
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
135697.35000000
0.028068276509
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
19640.86000000
0.004062607629
Long
DBT
NUSS
AU
N
2
2028-05-21
Fixed
2.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-5182.54000000
-0.00107198088
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
488793.24000000
USD
855000.00000000
NZD
2022-10-07
-5182.54000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-07
N/A
1.00000000
NC
915.85000000
0.000189438710
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
239396.55000000
USD
425000.00000000
NZD
2022-11-07
915.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-10-07
N/A
1.00000000
NC
USD
25020.58000000
0.005175374153
N/A
DFE
US
N
2
JPM CHASE
N/A
29002000.00000000
THB
794031.49000000
USD
2022-10-07
25020.58000000
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC 1.450000% 08/01/2039
718172CM9
115000.00000000
PA
63103.60000000
0.013052644679
Long
DBT
NUSS
US
N
2
2039-08-01
Fixed
1.45000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-875.19000000
-0.00018102840
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
241187.59000000
USD
425000.00000000
NZD
2022-11-07
-875.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
573.04000000
0.000118530282
N/A
DFE
US
N
2
JPM CHASE
N/A
38000.00000000
EUR
37807.11000000
USD
2022-10-07
573.04000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6774.87000000
-0.00140134589
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
122507.28000000
USD
180000.00000000
AUD
2022-10-07
-6774.87000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE OATI/L 0.10% 07/25/2031
BN5634736
163000.00000000
PA
171940.18000000
0.035564913502
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
309484.99000000
0.064015327306
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/NOK SETTLE 2022-11-07
N/A
1.00000000
NC
USD
1805.48000000
0.000373453953
N/A
DFE
US
N
2
JPM CHASE
N/A
2620000.00000000
NOK
242408.68000000
USD
2022-11-07
1805.48000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
2804000.00000000
PA
122369.17000000
0.025311413227
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/MYR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
72042.88000000
0.014901687294
N/A
DFE
US
N
2
JPM CHASE
N/A
9582000.00000000
MYR
2138175.88000000
USD
2022-10-07
72042.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-10-12
N/A
1.00000000
NC
USD
3831.86000000
0.000792599899
N/A
DFE
US
N
2
JP MORGAN
N/A
681685399.34000000
COP
152026.18000000
USD
2022-10-12
3831.86000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
305950000.00000000
PA
2335107.97000000
0.483004687867
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
519991.57000000
0.107557495922
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
349214.02000000
0.072233066263
Long
DBT
NUSS
GB
N
2
2029-11-21
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4904.46000000
0.001014461516
N/A
DFE
US
N
2
JPM CHASE
N/A
248000.00000000
EUR
247905.76000000
USD
2022-10-07
4904.46000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-17061.09000000
-0.00352899589
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
865670.71000000
USD
835000.00000000
CHF
2022-10-07
-17061.09000000
N
N
N
United States of America
N/A
US 10YR ULTRA FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-35.00000000
NC
USD
-4146953.13000000
-0.85777524118
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Dec 2022
2022-12-23
-4410561.66000000
USD
263608.53000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
287.17000000
0.000059399590
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
24208.93000000
USD
25000.00000000
EUR
2022-10-07
287.17000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
5605000.00000000
PA
1210902.25000000
0.250468702438
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
425860.87000000
0.088087060312
Long
DBT
NUSS
US
N
2
2028-04-15
Fixed
1.35000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-5763.58000000
-0.00119216592
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
124710.78000000
USD
185000.00000000
AUD
2022-10-07
-5763.58000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 12/29/2022
912796R27
5841000.00000000
PA
USD
5795810.17000000
1.198832567087
Long
DBT
UST
US
N
2
2022-12-29
None
0.00000000
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
1315484.54000000
0.272100993958
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
444450000.00000000
PA
2244772.65000000
0.464319306463
Long
DBT
NUSS
JP
N
2
2056-03-20
Fixed
0.40000000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.250000% 06/11/2024
N/A
739000.00000000
PA
757507.85000000
0.156686477605
Long
DBT
NUSS
CH
N
2
2024-06-11
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5168.26000000
0.001069027145
N/A
DFE
US
N
2
JPM CHASE
N/A
250000.00000000
EUR
250129.25000000
USD
2022-10-07
5168.26000000
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORMATION SERVICES INC 0.625000% 12/03/2025
31620MBL9
185000.00000000
PA
164753.79000000
0.034078446879
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
433228.15000000
0.089610943071
Long
DBT
NUSS
FR
N
2
2027-01-26
Fixed
5.50000000
N
N
N
N
N
N
CK Hutchison Europe Finance (21) Limited
254900UIPWFKU7480958
CK HUTCHISON EUROPE FINANCE 21 LTD 0.750000% 11/02/2029
N/A
375000.00000000
PA
283947.41000000
0.058733014447
Long
DBT
NUSS
GB
N
2
2029-11-02
Fixed
0.75000000
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
205650.52000000
0.042537718383
Long
DBT
NUSS
BE
N
2
2031-10-22
Fixed
0.00000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
3172.00000000
0.000656111361
N/A
DFE
MY
N
2
MIDLAND WALWYN CAPITAL INC.
N/A
2062961.00000000
USD
9582000.00000000
MYR
2022-10-07
3172.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1194.76000000
0.000247129763
N/A
DFE
US
N
2
JPM CHASE
N/A
250000.00000000
EUR
246155.75000000
USD
2022-10-07
1194.76000000
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
251861.63000000
0.052096241178
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
332000.00000000
PA
306269.89000000
0.063350300938
Long
DBT
NUSS
AT
N
2
2026-10-20
Fixed
0.75000000
N
N
N
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 1.250000% 05/27/2036
N/A
281000.00000000
PA
216028.40000000
0.044684327771
Long
DBT
NUSS
NL
N
2
2036-05-27
Fixed
1.25000000
N
N
N
N
N
N
Kraft Heinz Foods Company
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 2.250000% 05/25/2028
N/A
175000.00000000
PA
153865.32000000
0.031826224660
Long
DBT
NUSS
US
N
2
2028-05-25
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
10310.56000000
0.002132684603
N/A
DFE
US
N
2
JPM CHASE
N/A
71800000.00000000
JPY
506504.13000000
USD
2022-10-07
10310.56000000
N
N
N
Japan
N/A
10YR MINI JGB FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-26.00000000
NC
-2668527.41000000
-0.55197072910
N/A
DIR
SG
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Dec 2022
2022-12-15
-2712047.49000000
JPY
43520.08000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.384000% 04/02/2026
06051GKM0
700000.00000000
PA
USD
661231.56000000
0.136772238093
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
389000.00000000
PA
455545.04000000
0.094227073301
Long
DBT
NUSS
FR
N
2
2041-04-25
Fixed
4.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-39765.99000000
-0.00822538393
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
1232452.73000000
USD
1855000.00000000
AUD
2022-10-07
-39765.99000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
5364000.00000000
PA
240580.37000000
0.049762772433
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 05/25/2066
N/A
84000.00000000
PA
59182.73000000
0.012241633533
Long
DBT
NUSS
FR
N
2
2066-05-25
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4383.33000000
0.000906668541
N/A
DFE
US
N
2
JPM CHASE
N/A
835000.00000000
CAD
612077.20000000
USD
2022-10-07
4383.33000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
60000.00000000
PA
68495.41000000
0.014167911956
Long
DBT
NUSS
ES
N
2
2041-07-30
Fixed
4.70000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-18
N/A
1.00000000
NC
-82498.49000000
-0.01706437472
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
930093.81000000
USD
1498862.12000000
NZD
2022-11-18
-82498.49000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
3267000.00000000
PA
2217841.37000000
0.458748714157
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.250000% 10/14/2024
N/A
156000.00000000
PA
146469.48000000
0.030296434416
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/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
12092.70000000
0.002501310801
N/A
DFE
US
N
2
JPM CHASE
N/A
325000.00000000
CAD
248620.25000000
USD
2022-10-07
12092.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2022-10-12
N/A
1.00000000
NC
USD
195.46000000
0.000040429863
N/A
DFE
US
N
2
JP MORGAN
N/A
20468600.00000000
COP
4645.21000000
USD
2022-10-12
195.46000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-9376.03000000
-0.00193938203
N/A
DFE
ZA
N
2
J.P. MORGAN SECURITIES
N/A
187381.06000000
USD
3200000.00000000
ZAR
2022-10-07
-9376.03000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST 144A 1.850000% 05/03/2032
N/A
444000.00000000
PA
378154.88000000
0.078219329524
Long
DBT
NUSS
CA
N
2
2032-05-03
Fixed
1.85000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.500000% 06/25/2044
N/A
1380000.00000000
PA
822751.84000000
0.170181850594
Long
DBT
NUSS
FR
N
2
2044-06-25
Fixed
0.50000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
1008000.00000000
PA
535722.64000000
0.110811384244
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
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
85268.78000000
0.017637394500
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
993279.35000000
0.205454560806
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 2022-10-07
N/A
1.00000000
NC
-1001.66000000
-0.00020718805
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
249994.90000000
USD
245000.00000000
CHF
2022-10-07
-1001.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4119.61000000
0.000852119459
N/A
DFE
US
N
2
JPM CHASE
N/A
208000.00000000
SGD
149084.83000000
USD
2022-10-07
4119.61000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
2199000000.00000000
PA
144405.45000000
0.029869500768
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.900000% 10/31/2052
N/A
346000.00000000
PA
226838.68000000
0.046920376803
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
511566.64000000
0.105814843875
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
366388.57000000
0.075785530761
Long
DBT
NUSS
XX
N
2
2026-01-26
Fixed
1.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
15336.13000000
0.003172197079
N/A
DFE
US
N
2
JPM CHASE
N/A
501000.00000000
EUR
506237.96000000
USD
2022-10-07
15336.13000000
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
97392.36000000
0.020145092666
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/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
11377.82000000
0.002353441668
N/A
DFE
US
N
2
JPM CHASE
N/A
504000.00000000
EUR
505219.18000000
USD
2022-10-07
11377.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-12-12
N/A
1.00000000
NC
USD
38603.21000000
0.007984869066
N/A
DFE
US
N
2
JP MORGAN
N/A
1194780432.00000000
KRW
872293.52000000
USD
2022-12-12
38603.21000000
N
N
N
LAS VEGAS SANDS CORP.
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP 3.900000% 08/08/2029
517834AF4
275000.00000000
PA
USD
227363.93000000
0.047029021977
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
418513.41000000
0.086567277214
Long
DBT
NUSS
SE
N
2
2031-05-12
Fixed
0.12500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7599.28000000
-0.00157187072
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
249845.99000000
USD
217000.00000000
GBP
2022-10-07
-7599.28000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-98387.08000000
-0.02035084521
N/A
DFE
AU
N
2
JPM CHASE
N/A
2398188.56000000
USD
3573700.00000000
AUD
2022-12-12
-98387.08000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 1.000000% 03/31/2030
N/A
593000.00000000
PA
141654.49000000
0.029300479295
Long
DBT
NUSS
IL
N
2
2030-03-31
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-17
N/A
1.00000000
NC
USD
-16737.13000000
-0.00346198649
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
624763.32000000
GBP
681016.32000000
USD
2022-11-17
-16737.13000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
6068.97000000
0.001255334227
N/A
DFE
US
N
2
JPM CHASE
N/A
248000.00000000
EUR
249070.27000000
USD
2022-10-07
6068.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2022-10-21
N/A
1.00000000
NC
USD
101675.97000000
0.021031134656
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
55973736.00000000
TWD
1864274.92000000
USD
2022-10-21
101675.97000000
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 3.500000% 11/01/2027
05369AAA9
8000.00000000
PA
USD
6643.51000000
0.001374174776
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/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4888.79000000
0.001011220259
N/A
DFE
US
N
2
JPM CHASE
N/A
35900000.00000000
JPY
252985.58000000
USD
2022-10-07
4888.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
21531.75000000
0.004453728187
N/A
DFE
US
N
2
JPM CHASE
N/A
410000.00000000
NZD
253438.63000000
USD
2022-10-07
21531.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
13851.45000000
0.002865098903
N/A
DFE
US
N
2
JPM CHASE
N/A
504000.00000000
EUR
507692.81000000
USD
2022-10-07
13851.45000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-105.00000000
NC
USD
-11288320.31000000
-2.33492913301
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Dec 2022
2023-01-02
-11699235.80000000
USD
410915.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-10-20
N/A
1.00000000
NC
USD
28673.72000000
0.005931006769
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
7607489.62000000
CNY
1100795.79000000
USD
2022-10-20
28673.72000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
220000.00000000
PA
147788.00000000
0.030569163279
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-16521.21000000
-0.00341732458
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
501657.54000000
USD
70200000.00000000
JPY
2022-10-07
-16521.21000000
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
31000000.00000000
NC
55977.24000000
0.011578594943
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-09-09
0.00000000
CNY
0.00000000
CNY
-31000000.00000000
CNY
55977.24000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.000000% 06/01/2027
135087F82
1375000.00000000
PA
901963.17000000
0.186566293717
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
243873.84000000
0.050444009219
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-12-12
N/A
1.00000000
NC
142.98000000
0.000029574654
N/A
DFE
NZ
N
2
J.P. MORGAN SECURITIES
N/A
45670.72000000
USD
81000.00000000
NZD
2022-12-12
142.98000000
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE 0.000000% 02/09/2024
N/A
490000.00000000
PA
463702.05000000
0.095914307518
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/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9862.62000000
0.002040030592
N/A
DFE
US
N
2
JPM CHASE
N/A
436000.00000000
GBP
496588.74000000
USD
2022-10-07
9862.62000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.250000% 07/31/2051
N/A
901000.00000000
PA
561035.49000000
0.116047212896
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/RON SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-8021.38000000
-0.00165917987
N/A
DFE
US
N
2
JPM CHASE
N/A
1562000.00000000
RON
299816.69000000
USD
2022-11-07
-8021.38000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
1450.49000000
0.000300026156
N/A
DFE
TR
N
2
UBS WARBURG
N/A
178476.29000000
USD
3350000.00000000
TRY
2022-10-07
1450.49000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7611.43000000
-0.00157438389
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
249858.14000000
USD
217000.00000000
GBP
2022-10-07
-7611.43000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-18
N/A
1.00000000
NC
-34807.16000000
-0.00719967627
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
902004.49000000
USD
1533525.72000000
NZD
2022-11-18
-34807.16000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
2620000.00000000
NC
-64916.61000000
-0.01342765617
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
-64916.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-11-18
N/A
1.00000000
NC
USD
-11818.74000000
-0.00244464363
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
18047853.17000000
MXN
878391.49000000
USD
2022-11-18
-11818.74000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.800000% 03/01/2041
N/A
247000.00000000
PA
161372.59000000
0.033379063608
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
380000.00000000
PA
USD
369550.00000000
0.076439455774
Long
DBT
CORP
US
N
2
2171-09-01
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-166.02000000
-0.00003434035
N/A
DFE
US
N
2
JPM CHASE
N/A
72000.00000000
CHF
73007.50000000
USD
2022-10-07
-166.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-26
N/A
1.00000000
NC
USD
3.60000000
0.000000744640
N/A
DFE
US
N
2
JP MORGAN
N/A
6552000.00000000
JPY
45368.97000000
USD
2022-10-26
3.60000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-03
N/A
1.00000000
NC
230.00000000
0.000047574279
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
1176380.59000000
USD
170308500.00000000
JPY
2022-10-03
230.00000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-12-12
N/A
1.00000000
NC
9531.63000000
0.001971567067
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
587838.73000000
USD
6598900.00000000
SEK
2022-12-12
9531.63000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
863000.00000000
PA
455428.90000000
0.094203050358
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
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
167831.73000000
0.034715102429
Long
DBT
NUSS
LU
N
2
2030-11-14
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-11-07
N/A
1.00000000
NC
USD
1096.16000000
0.000226734877
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
245752.27000000
USD
2022-11-07
1096.16000000
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
93823.79000000
0.019406952905
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
720000.00000000
PA
619978.57000000
0.128239276099
Long
DBT
NUSS
JP
N
2
2027-02-12
Fixed
0.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-12892.14000000
-0.00266667072
N/A
DFE
US
N
2
JPM CHASE
N/A
1258000.00000000
EUR
1222272.80000000
USD
2022-11-07
-12892.14000000
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 5.625000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
184904.00000000
0.038246410852
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
GILEAD SCIENCES, INC.
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 0.750000% 09/29/2023
375558BW2
545000.00000000
PA
USD
523074.65000000
0.108195214654
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/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-1610.39000000
-0.00033310062
N/A
DFE
US
N
2
JPM CHASE
N/A
34000.00000000
GBP
36345.32000000
USD
2022-10-07
-1610.39000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
2.00000000
NC
USD
274000.00000000
0.056675445493
N/A
DIR
US
N
1
GOLDMAN SACHS & CO
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2022
2022-12-23
277097.37000000
USD
-3097.37000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7728.55000000
-0.00159860954
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
253669.39000000
USD
251000.00000000
EUR
2022-10-07
-7728.55000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.450000% 07/30/2066
N/A
272000.00000000
PA
249874.84000000
0.051685284214
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
212605.33000000
0.043976283912
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
1317962.32000000
0.272613509598
Long
DBT
NUSS
XX
N
2
2025-07-11
Fixed
0.50000000
N
N
N
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
949930.05000000
0.196487988217
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
603674.09000000
0.124866780962
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
245854.26000000
0.050853648584
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
131784.78000000
0.027258982174
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
844790.62000000
0.174740455246
Long
DBT
NUSS
US
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-900.80000000
-0.00018632569
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
124603.65000000
USD
17900000.00000000
JPY
2022-10-07
-900.80000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-27
N/A
1.00000000
NC
-54746.82000000
-0.01132408909
N/A
DFE
CA
N
2
ROYAL BANK OF SCOTLAND
N/A
885632.66000000
USD
1141660.21000000
CAD
2022-10-27
-54746.82000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
21737.68000000
0.004496323715
N/A
DFE
CZ
N
2
BNP PARIBAS
N/A
789332.82000000
USD
20349000.00000000
CZK
2022-10-07
21737.68000000
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 3.650000% 03/25/2041
68389XBZ7
160000.00000000
PA
USD
108707.83000000
0.022485637569
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
301372.72000000
0.062337347319
Long
DBT
NUSS
KR
N
2
2029-06-10
Fixed
1.87500000
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
10889000.00000000
PA
945139.92000000
0.195497175255
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1761.84000000
-0.00036442725
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
245673.59000000
USD
240000.00000000
CHF
2022-10-07
-1761.84000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.000000% 10/22/2027
N/A
1133000.00000000
PA
988125.36000000
0.204388485334
Long
DBT
NUSS
BE
N
2
2027-10-22
Fixed
0.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-18533.26000000
-0.00383350644
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
253268.28000000
USD
415000.00000000
NZD
2022-10-07
-18533.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-234.39000000
-0.00004848232
N/A
DFE
US
N
2
JPM CHASE
N/A
19000.00000000
EUR
18382.65000000
USD
2022-10-07
-234.39000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 4.150000% 03/15/2037
N/A
561000.00000000
PA
623665.89000000
0.129001978667
Long
DBT
NUSS
AT
Y
2
2037-03-15
Fixed
4.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
6677.23000000
0.001381149579
N/A
DFE
US
N
2
JPM CHASE
N/A
72100000.00000000
JPY
504944.04000000
USD
2022-10-07
6677.23000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1466.87000000
-0.00030341427
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
37189.89000000
USD
32000.00000000
GBP
2022-10-07
-1466.87000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-10-27
N/A
1.00000000
NC
-49806.40000000
-0.01030218944
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
891705.00000000
USD
1207729537.00000000
KRW
2022-10-27
-49806.40000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
980000.00000000
NC
-23404.08000000
-0.00484100970
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
-23404.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2087.37000000
0.000431761403
N/A
DFE
US
N
2
JPM CHASE
N/A
425000.00000000
NZD
242478.65000000
USD
2022-10-07
2087.37000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 0.529000% 01/25/2024
6174468W2
1000000.00000000
PA
USD
983702.29000000
0.203473596784
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.52900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-5285.50000000
-0.00109327761
N/A
DFE
US
N
2
JPM CHASE
N/A
113000.00000000
GBP
120861.41000000
USD
2022-10-07
-5285.50000000
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES MTN 2.500000% 06/30/2051
N/A
200000.00000000
PA
154275.69000000
0.031911107516
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
237082.79000000
0.049039316577
Long
DBT
NUSS
DE
N
2
2171-06-17
Fixed
3.87500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.200000% 06/20/2036
N/A
89650000.00000000
PA
584228.51000000
0.120844565965
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.690000% 08/12/2026
Y6S39BF47
16200000.00000000
PA
2301252.22000000
0.476001805700
Long
DBT
NUSS
CN
N
2
2026-08-12
Fixed
2.69000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
19197.21000000
0.003970840981
N/A
DFE
US
N
2
JPM CHASE
N/A
107000000.00000000
JPY
758650.03000000
USD
2022-10-07
19197.21000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
1018885.90000000
0.210751139743
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
46399683.26000000
USD
48394000.00000000
EUR
2022-10-07
1018885.90000000
N
N
N
Volkswagen Bank Gesellschaft mit beschraenkter Haftung
529900GJD3OQLRZCKW37
VOLKSWAGEN BANK GMBH MTN 1.250000% 12/15/2025
N/A
416000.00000000
PA
376594.37000000
0.077896546314
Long
DBT
NUSS
DE
N
2
2025-12-15
Fixed
1.25000000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 3.187000% 11/15/2036
11135FBQ3
185000.00000000
PA
USD
126530.03000000
0.026172065031
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-11-30
N/A
1.00000000
NC
USD
-336542.33000000
-0.06961199445
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
15553458.01000000
EUR
14959805.85000000
USD
2022-11-30
-336542.33000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.450000% 03/01/2036
N/A
529000.00000000
PA
364869.40000000
0.075471298511
Long
DBT
NUSS
IT
N
2
2036-03-01
Fixed
1.45000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-22160.76000000
-0.00458383556
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
1007637.13000000
USD
142600000.00000000
JPY
2022-10-07
-22160.76000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.000000% 08/01/2029
N/A
853000.00000000
PA
786279.97000000
0.162637837892
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
104720.48000000
0.021660875388
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
472092.86000000
0.097649902025
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
3.10000000
N
N
N
N
N
N
JAB Holdings B.V.
529900RRNKUM3INJGF98
JAB HOLDINGS BV 1.000000% 12/20/2027
N/A
400000.00000000
PA
324766.60000000
0.067176247213
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
36588.46000000
0.007568128724
Long
DBT
NUSS
NZ
N
2
2037-04-15
Fixed
2.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
390906.76000000
0.080856988209
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
9190676.40000000
USD
8583000.00000000
GBP
2022-10-07
390906.76000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 0.500000% 09/21/2026
N/A
2364000.00000000
PA
1344179.37000000
0.278036367220
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 2022-10-07
N/A
1.00000000
NC
-42445.47000000
-0.00877962015
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
752913.85000000
USD
1105000.00000000
AUD
2022-10-07
-42445.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-12
N/A
1.00000000
NC
USD
406349.10000000
0.084051154264
N/A
DFE
US
N
2
JP MORGAN
N/A
20411245.26000000
EUR
20412694.46000000
USD
2022-10-12
406349.10000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-11409.95000000
-0.00236008758
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
962933.69000000
USD
137687000.00000000
JPY
2022-10-07
-11409.95000000
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
TWDC ENTERPRISES 18 CORP 2.758000% 10/07/2024
254687CD6
800000.00000000
PA
560276.55000000
0.115890230186
Long
DBT
NUSS
US
N
2
2024-10-07
Fixed
2.75800000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP MTN 0.625000% 11/21/2024
N/A
465000.00000000
PA
432807.10000000
0.089523851114
Long
DBT
NUSS
US
N
2
2024-11-21
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
3025.13000000
0.000625732081
N/A
DFE
US
N
2
JPM CHASE
N/A
253000.00000000
EUR
250925.65000000
USD
2022-10-07
3025.13000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2030
N/A
1797120000.00000000
PA
1033452.93000000
0.213764252571
Long
DBT
NUSS
KR
N
2
2030-12-10
Fixed
1.50000000
N
N
N
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
1053787.66000000
0.217970383526
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/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5738.22000000
0.001186920346
N/A
DFE
US
N
2
JPM CHASE
N/A
146000.00000000
GBP
168724.49000000
USD
2022-10-07
5738.22000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-8568.49000000
-0.00177234667
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
736345.58000000
USD
1000000.00000000
CAD
2022-10-07
-8568.49000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-12
N/A
1.00000000
NC
780.96000000
0.000161537430
N/A
DFE
XX
N
2
J.P. MORGAN SECURITIES
N/A
39405.72000000
USD
41000.00000000
EUR
2022-10-12
780.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-29526.70000000
-0.00610744115
N/A
DFE
US
N
2
JPM CHASE
N/A
7205000.00000000
PLN
1428639.41000000
USD
2022-10-07
-29526.70000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-26
N/A
1.00000000
NC
-520.00000000
-0.00010755923
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
104070.33000000
USD
14955500.00000000
JPY
2022-10-26
-520.00000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.875000% 12/15/2023
N/A
946000.00000000
PA
1009483.45000000
0.208806292873
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/COP SETTLE 2022-10-12
N/A
1.00000000
NC
USD
39925.41000000
0.008258359117
N/A
DFE
US
N
2
JP MORGAN
N/A
4434182100.00000000
COP
1003889.99000000
USD
2022-10-12
39925.41000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-8379.44000000
-0.00173324268
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
251380.74000000
USD
248000.00000000
EUR
2022-10-07
-8379.44000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-12-01
N/A
1.00000000
NC
11469.53000000
0.002372411395
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
895147.79000000
USD
10026295.26000000
SEK
2022-12-01
11469.53000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.700000% 06/02/2037
683234YD4
1355000.00000000
PA
1036280.88000000
0.214349199017
Long
DBT
NUSS
CA
N
2
2037-06-02
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
1333.08000000
0.000275740521
N/A
DFE
US
N
2
JPM CHASE
N/A
1663000.00000000
CAD
1211673.45000000
USD
2022-11-07
1333.08000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6400.88000000
-0.00132398804
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
250312.63000000
USD
240000.00000000
CHF
2022-10-07
-6400.88000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-301.05000000
-0.00006227059
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
124003.90000000
USD
17900000.00000000
JPY
2022-10-07
-301.05000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-695.42000000
-0.00014384393
N/A
DFE
SE
N
2
JPM CHASE
N/A
18720.61000000
USD
200000.00000000
SEK
2022-10-07
-695.42000000
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 5.500000% 12/15/2024
05369AAH4
80000.00000000
PA
USD
77444.51000000
0.016018985785
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
Canada
N/A
CAN 10YR BOND FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-16.00000000
NC
-1439132.49000000
-0.29767691604
N/A
DIR
CA
N
1
GOLDMAN SACHS & CO
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Dec 2022
2022-12-22
-1500716.89000000
CAD
61584.40000000
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
453145.17000000
0.093730672931
Long
DBT
NUSS
FR
N
2
2026-01-19
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-19325.08000000
-0.00399729021
N/A
DFE
US
N
2
JPM CHASE
N/A
1257000.00000000
EUR
1212338.79000000
USD
2022-10-07
-19325.08000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033
N/A
21450000.00000000
PA
165455.97000000
0.034223689085
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
136171.71000000
0.028166395357
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
268302.53000000
0.055496954068
Long
DBT
NUSS
NL
N
2
2037-01-15
Fixed
4.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-9117.88000000
-0.00188598507
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
502959.24000000
USD
504000.00000000
EUR
2022-10-07
-9117.88000000
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA MTN 1.500000% 12/03/2026
N/A
300000.00000000
PA
276448.62000000
0.057181929542
Long
DBT
NUSS
ES
N
2
2026-12-03
Fixed
1.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 0.500000% 04/26/2024
N/A
500000.00000000
PA
468259.26000000
0.096856942215
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
119401.91000000
0.024697651248
Long
DBT
NUSS
GB
N
2
2024-09-07
Fixed
2.75000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1676.58000000
-0.00034679167
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
37039.26000000
USD
55000.00000000
AUD
2022-10-07
-1676.58000000
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-1097015.00000000
-0.22691172933
N/A
DIR
DE
N
1
GOLDMAN SACHS & CO
N/A
Short
Italy Govt. Bond Futures
Euro-BTP Futures Dec 2022
2022-12-11
-1054080.79000000
EUR
-42934.21000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 01/31/2028
N/A
3295000.00000000
PA
2792407.35000000
0.577594637085
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
485503.78000000
0.100423879636
Long
DBT
NUSS
AU
N
2
2024-03-11
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
6263.47000000
0.001295565520
N/A
DFE
US
N
2
JPM CHASE
N/A
1178000.00000000
AUD
763799.30000000
USD
2022-11-07
6263.47000000
N
N
N
Orsted A/S
W9NG6WMZIYEU8VEDOG48
ORSTED AS 6.250000% 06/26/3013
N/A
210000.00000000
PA
205621.72000000
0.042531761256
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
675982.68000000
0.139823428960
Long
DBT
NUSS
DE
N
2
2026-03-11
Fixed
1.20000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.500000% 03/04/2027
N/A
11009000.00000000
PA
463607.15000000
0.095894677957
Long
DBT
NUSS
MX
N
2
2027-03-04
Fixed
5.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-10-07
N/A
1.00000000
NC
USD
20265.84000000
0.004191881424
N/A
DFE
US
N
2
JPM CHASE
N/A
29001000.00000000
THB
789250.24000000
USD
2022-10-07
20265.84000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.400000% 12/20/2049
N/A
244400000.00000000
PA
1334039.53000000
0.275938995142
Long
DBT
NUSS
JP
N
2
2049-12-20
Fixed
0.40000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-648.83000000
-0.00013420704
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
522411.53000000
USD
75262000.00000000
JPY
2022-11-07
-648.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-11-07
N/A
1.00000000
NC
USD
1929.51000000
0.000399108900
N/A
DFE
US
N
2
JPM CHASE
N/A
2341000.00000000
ILS
662253.53000000
USD
2022-11-07
1929.51000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 02/02/2023
912796XT1
12248000.00000000
PA
USD
12102714.71000000
2.503382291508
Long
DBT
UST
US
N
2
2023-02-02
None
0.00000000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 1.875000% 08/15/2026
00914AAM4
110000.00000000
PA
USD
93222.75000000
0.019282630972
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
315865.58000000
0.065335118476
Long
DBT
NUSS
NO
N
2
2028-04-26
Fixed
2.00000000
N
N
N
N
N
N
The Export-Import Bank of China
300300C1020211000045
EXPORT-IMPORT BANK CHINA 3.180000% 03/11/2032
N/A
4450000.00000000
PA
634190.26000000
0.131178888734
Long
DBT
NUSS
CN
N
2
2032-03-11
Fixed
3.18000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
19286.02000000
0.003989210858
N/A
DFE
US
N
2
JPM CHASE
N/A
740000.00000000
AUD
495074.80000000
USD
2022-10-07
19286.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-8520.96000000
-0.00176251534
N/A
DFE
US
N
2
JPM CHASE
N/A
224000.00000000
GBP
241641.16000000
USD
2022-11-07
-8520.96000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.800000% 03/24/2029
N/A
45790000.00000000
PA
6482401.29000000
1.340850295548
Long
DBT
NUSS
CN
N
2
2029-03-24
Fixed
2.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-13521.78000000
-0.00279690841
N/A
DFE
US
N
2
JPM CHASE
N/A
219000.00000000
GBP
230957.62000000
USD
2022-10-07
-13521.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HKD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
414.59000000
0.000085755740
N/A
DFE
US
N
2
JPM CHASE
N/A
4225000.00000000
HKD
538681.82000000
USD
2022-10-07
414.59000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.800000% 09/20/2047
N/A
663400000.00000000
PA
4153967.02000000
0.859226027098
Long
DBT
NUSS
JP
N
2
2047-09-20
Fixed
0.80000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.300000% 06/20/2046
N/A
85800000.00000000
PA
485452.13000000
0.100413196108
Long
DBT
NUSS
JP
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3079.43000000
-0.00063696374
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
246080.73000000
USD
248000.00000000
EUR
2022-10-07
-3079.43000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.400000% 06/02/2026
68323ADM3
585000.00000000
PA
405065.83000000
0.083785716677
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
148486.26000000
0.030713594654
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
355369.37000000
0.073506267735
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
59954.10000000
0.012401187323
Long
DBT
NUSS
GB
N
2
2039-09-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP MTN 0.850000% 06/07/2024
902973BB1
226000.00000000
PA
212411.71000000
0.043936234643
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
29959.64000000
0.006196992495
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
3667.80000000
0.000758664959
N/A
DFE
US
N
2
JPM CHASE
N/A
253000.00000000
EUR
251568.32000000
USD
2022-10-07
3667.80000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-21640.51000000
-0.00447622461
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
552917.79000000
USD
730000.00000000
CAD
2022-10-07
-21640.51000000
N
N
N
Volkswagen Leasing Gesellschaft mit beschraenkter Haftung
5299004GLEUX88BSNB74
VOLKSWAGEN LEASING GMBH MTN 1.125000% 04/04/2024
N/A
520000.00000000
PA
491635.53000000
0.101692199574
Long
DBT
NUSS
DE
N
2
2024-04-04
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-6312.25000000
-0.00130565540
N/A
DFE
US
N
2
JPM CHASE
N/A
226000.00000000
GBP
245981.56000000
USD
2022-10-07
-6312.25000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-41.31000000
-0.00000854475
N/A
DFE
HU
N
2
BANK OF AMERICA
N/A
1142605.28000000
USD
493834000.00000000
HUF
2022-10-07
-41.31000000
N
N
N
N/A
N/A
N/A
N/A
150000.00000000
NC
22533.98000000
0.004661034143
N/A
DIR
XX
N
2
N/A
N/A
Y
2052-09-07
0.00000000
GBP
0.00000000
GBP
-150000.00000000
GBP
22533.98000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.239000% 07/21/2032
61747YED3
805000.00000000
PA
USD
604730.00000000
0.125085190341
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
Heimstaden Bostad Treasury B.V.
549300ORG6UYMJBCV938
HEIMSTADEN BOSTAD TREASURY BV MTN 1.375000% 03/03/2027
N/A
380000.00000000
PA
304965.66000000
0.063080527886
Long
DBT
NUSS
SE
N
2
2027-03-03
Fixed
1.37500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-10-07
N/A
1.00000000
NC
9186.66000000
0.001900211854
N/A
DFE
TH
N
2
J.P. MORGAN SECURITIES
N/A
1528808.65000000
USD
58003000.00000000
THB
2022-10-07
9186.66000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 5.750000% 06/01/2033
135087XG4
621000.00000000
PA
555702.46000000
0.114944103950
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
450126.28000000
0.093106231560
Long
DBT
NUSS
BE
N
2
2045-06-22
Fixed
3.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-9412.08000000
-0.00194683878
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
252775.14000000
USD
218000.00000000
GBP
2022-10-07
-9412.08000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-14575.15000000
-0.00301479240
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
249310.17000000
USD
415000.00000000
NZD
2022-10-07
-14575.15000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 2.875000% 04/08/2039
N/A
280000.00000000
PA
184578.31000000
0.038179043604
Long
DBT
NUSS
MX
N
2
2039-04-08
Fixed
2.87500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-11-07
N/A
1.00000000
NC
194.85000000
0.000040303688
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
73201.98000000
USD
72000.00000000
CHF
2022-11-07
194.85000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
4887.74000000
0.001011003072
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
121259.17000000
USD
113000.00000000
GBP
2022-10-07
4887.74000000
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
DEUTSCHE TELEKOM AG MTN 1.750000% 12/09/2049
N/A
100000.00000000
PA
62099.98000000
0.012845051210
Long
DBT
NUSS
DE
N
2
2049-12-09
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2963.81000000
0.000613048365
N/A
DFE
US
N
2
JPM CHASE
N/A
71100000.00000000
JPY
494319.84000000
USD
2022-10-07
2963.81000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3864.44000000
-0.00079933889
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
91925.47000000
USD
121000.00000000
CAD
2022-10-07
-3864.44000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-20491.61000000
-0.00423858075
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
504985.04000000
USD
434000.00000000
GBP
2022-10-07
-20491.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
98624.88000000
0.020400032886
N/A
DFE
US
N
2
JPM CHASE
N/A
11094000.00000000
NOK
1116740.91000000
USD
2022-10-07
98624.88000000
N
N
N
Japan
N/A
10YR MINI JGB FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-22.00000000
NC
-2257984.73000000
-0.46705215507
N/A
DIR
SG
N
1
GOLDMAN SACHS & CO
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Dec 2022
2022-12-15
-2295091.48000000
JPY
37106.75000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
179000.00000000
PA
94463.23000000
0.019539217675
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
672000.00000000
PA
533877.82000000
0.110429793020
Long
DBT
NUSS
FR
N
2
2036-05-25
Fixed
1.25000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-10-13
N/A
1.00000000
NC
-12004.97000000
-0.00248316431
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
888338.19000000
USD
15761787.21000000
ZAR
2022-10-13
-12004.97000000
N
N
N
Province of Alberta
LQPXMHHNJKIPJYE53543
PROVINCE OF ALBERTA 0.500000% 04/16/2025
N/A
400000.00000000
PA
370089.25000000
0.076550996774
Long
DBT
NUSS
CA
N
2
2025-04-16
Fixed
0.50000000
N
N
N
N
N
N
CPPIB CAPITAL INC.
549300KW9NB55HTDK075
CPPIB CAPITAL INC 144A 3.250000% 06/15/2027
22411VAX6
565000.00000000
PA
USD
535285.70000000
0.110721005525
Long
DBT
NUSS
CA
N
2
2027-06-15
Fixed
3.25000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 5.210000% 08/11/2028
404280DG1
270000.00000000
PA
USD
252415.55000000
0.052210816590
Long
DBT
NUSS
GB
N
2
2028-08-11
Fixed
5.21000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
1329000.00000000
PA
725406.61000000
0.150046506517
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/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
8008.05000000
0.001656422632
N/A
DFE
US
N
2
JPM CHASE
N/A
71000000.00000000
JPY
498673.00000000
USD
2022-10-07
8008.05000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 5.000000% 03/07/2025
EC4532734
43000.00000000
PA
48560.17000000
0.010044413386
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
145441.21000000
0.030083742225
Long
DBT
NUSS
ES
N
2
2029-10-31
Fixed
0.60000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
3477000.00000000
PA
2360402.34000000
0.488236694029
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4818.10000000
-0.00099659840
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
491544.22000000
USD
436000.00000000
GBP
2022-10-07
-4818.10000000
N
N
N
ODEBRECHT HOLDCO FINANCE LIMITED
N/A
ODEBRECHT HOLDCO FINANCE LTD ZERO COUPON 09/10/2058
G6714UAA8
310752.00000000
PA
USD
1087.63000000
0.000224970491
Long
DBT
NUSS
KY
N
2
2058-09-10
Fixed
0.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-36645.23000000
-0.00757987129
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
503287.13000000
USD
825000.00000000
NZD
2022-10-07
-36645.23000000
N
N
N
HeidelbergCement Finance Luxembourg S.A.
529900RYHTCF5X9DD509
HEIDELBERGCEMENT FINANCE LUXEMBOURG SA MTN 1.625000% 04/07/2026
N/A
400000.00000000
PA
363534.19000000
0.075195117410
Long
DBT
NUSS
DE
N
2
2026-04-07
Fixed
1.62500000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.500000% 04/30/2027
N/A
393000.00000000
PA
366911.65000000
0.075893727082
Long
DBT
NUSS
ES
N
2
2027-04-30
Fixed
1.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 9.250000% 05/28/2042
N/A
828200000.00000000
PA
133008.43000000
0.027512087681
Long
DBT
NUSS
CO
N
2
2042-05-28
Fixed
9.25000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.000000% 05/15/2032
N/A
3785000.00000000
PA
1753935.62000000
0.362792272375
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
111622.50000000
0.023088521586
Long
DBT
CORP
US
N
2
2171-03-15
Fixed
3.90000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4595.25000000
-0.00095050306
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
123542.45000000
USD
185000.00000000
AUD
2022-10-07
-4595.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
547.85000000
0.000113319864
N/A
DFE
US
N
2
JPM CHASE
N/A
17800000.00000000
JPY
123559.63000000
USD
2022-10-07
547.85000000
N
N
N
ROYAL CARIBBEAN CRUISES LTD.
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 144A 11.500000% 06/01/2025
780153AZ5
185000.00000000
PA
USD
196562.50000000
0.040657909689
Long
DBT
NUSS
US
N
2
2025-06-01
Fixed
11.50000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-12-07
N/A
1.00000000
NC
-16725.77000000
-0.00345963673
N/A
DFE
SG
N
2
MORGAN STANLEY & CO, INC
N/A
899408.40000000
USD
1265276.94000000
SGD
2022-12-07
-16725.77000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
297650000.00000000
PA
2016460.77000000
0.417094206060
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
243000.00000000
PA
165007.62000000
0.034130950267
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-17
N/A
1.00000000
NC
1753.18000000
0.000362635976
N/A
DFE
GB
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
67315.66000000
USD
61843.73000000
GBP
2022-11-17
1753.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
697.72000000
0.000144319678
N/A
DFE
US
N
2
JPM CHASE
N/A
142300000.00000000
JPY
984100.86000000
USD
2022-10-07
697.72000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-14937.95000000
-0.00308983566
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
632239.65000000
USD
630000.00000000
EUR
2022-10-07
-14937.95000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 1.550000% 03/15/2028
171239AA4
325000.00000000
PA
282578.10000000
0.058449779942
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
617000.00000000
PA
USD
521914.13000000
0.107955167252
Long
DBT
NUSS
CA
N
2
2028-10-26
Fixed
1.62500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-22989.99000000
-0.00475535739
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
506053.09000000
USD
69900000.00000000
JPY
2022-10-07
-22989.99000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.350000% 06/22/2032
N/A
620000.00000000
PA
483422.40000000
0.099993357232
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
24563.21000000
0.005080769596
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
24563.21000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4799.00000000
-0.00099264767
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
113965.56000000
USD
150000.00000000
CAD
2022-10-07
-4799.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7031.32000000
0.001454391216
N/A
DFE
US
N
2
JPM CHASE
N/A
35700000.00000000
JPY
253745.95000000
USD
2022-10-07
7031.32000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4635.76000000
-0.00095888234
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
120589.20000000
USD
205000.00000000
NZD
2022-10-07
-4635.76000000
N
N
N
WESTERN DIGITAL CORPORATION
549300QQXOOYEF89IC56
WESTERN DIGITAL CORP 3.100000% 02/01/2032
958102AR6
150000.00000000
PA
USD
101983.50000000
0.021094745604
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
3.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
274610.70000000
0.056801765546
N/A
DFE
US
N
2
JPM CHASE
N/A
6394000.00000000
AUD
4385682.96000000
USD
2022-10-07
274610.70000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 1.250000% 01/14/2033
N/A
310000.00000000
PA
248059.52000000
0.051309794908
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
59817.50000000
0.012372932338
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
1228437.36000000
0.254095746858
Long
DBT
NUSS
NL
N
2
2023-02-22
Fixed
0.25000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.800000% 03/01/2067
N/A
292000.00000000
PA
202315.49000000
0.041847885131
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
137186.49000000
0.028376297213
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-10016.75000000
-0.00207191156
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
502878.27000000
USD
503000.00000000
EUR
2022-10-07
-10016.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
38944.34000000
0.008055429996
N/A
DFE
US
N
2
JPM CHASE
N/A
815000.00000000
NZD
499929.97000000
USD
2022-10-07
38944.34000000
N
N
N
CRH Funding B.V.
549300XYDB6706OPOS81
CRH FUNDING BV MTN 1.875000% 01/09/2024
N/A
310000.00000000
PA
298176.65000000
0.061676257206
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
353599.35000000
0.073140148494
Long
DBT
NUSS
CA
N
2
2026-05-20
Fixed
3.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-20
N/A
1.00000000
NC
USD
59838.81000000
0.012377340199
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1265082.86000000
AUD
873274.52000000
USD
2022-10-20
59838.81000000
N
N
N
AUST 10Y BOND FUT DEC22
N/A
AUST 10Y BOND FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
29.00000000
NC
2183702.63000000
0.451687297011
Long
AU
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7330.51000000
0.001516277080
N/A
DFE
US
N
2
JPM CHASE
N/A
370000.00000000
AUD
245224.90000000
USD
2022-10-07
7330.51000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6132.45000000
-0.00126846472
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
612655.87000000
USD
619000.00000000
EUR
2022-10-07
-6132.45000000
N
N
N
DOVALUE S.P.A.
8156007AF7DB5FE05555
DOVALUE SPA 5.000000% 08/04/2025
N/A
230000.00000000
PA
206025.94000000
0.042615372017
Long
DBT
NUSS
IT
N
2
2025-08-04
Fixed
5.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-54396.12000000
-0.01125154866
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
1319214.22000000
USD
1133000.00000000
GBP
2022-10-07
-54396.12000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 11/21/2027
N/A
3982000.00000000
PA
2446520.92000000
0.506049865149
Long
DBT
NUSS
AU
N
2
2027-11-21
Fixed
2.75000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-11-30
N/A
1.00000000
NC
-31449.64000000
-0.00650519108
N/A
DFE
PA
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
902437.76000000
USD
4338289.03000000
PLN
2022-11-30
-31449.64000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 10/31/2031
N/A
431000.00000000
PA
334596.38000000
0.069209485025
Long
DBT
NUSS
ES
N
2
2031-10-31
Fixed
0.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-12-02
N/A
1.00000000
NC
-9942.90000000
-0.00205663608
N/A
DFE
JP
N
2
ROYAL BANK OF SCOTLAND
N/A
629634.00000000
USD
89130805.00000000
JPY
2022-12-02
-9942.90000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
2316000.00000000
PA
484279.92000000
0.100170730692
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
BRK: CITIGROUP GLOBAL MARKETS INC.
N/A
BRK: CITIGROUP GLOBAL MARKETS INC. REC: CNY/REPO/1W/CNRR007/0.00000
N/A
7840000.00000000
NC
3965.91000000
0.000820327430
N/A
DIR
XX
N
2
BRK: CITIGROUP GLOBAL MARKETS INC.
N/A
Y
2027-08-11
0.00000000
CNY
0.00000000
CNY
-7840000.00000000
CNY
3965.91000000
N
N
N
EMERSON ELECTRIC CO.
FGLT0EWZSUIRRITFOA30
EMERSON ELECTRIC CO 0.375000% 05/22/2024
291011BK9
350000.00000000
PA
328119.56000000
0.067869789190
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
452000.00000000
PA
478066.04000000
0.098885422600
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
557969.75000000
0.115413080851
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
234862.39000000
0.048580038624
Long
DBT
NUSS
ES
N
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-12-01
N/A
1.00000000
NC
USD
33988.52000000
0.007030344936
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
18284840.02000000
SEK
1687376.16000000
USD
2022-12-01
33988.52000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 0.250000% 01/26/2028
N/A
292000.00000000
PA
230803.49000000
0.047740476705
Long
DBT
NUSS
US
N
2
2028-01-26
Fixed
0.25000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2022-11-22
N/A
1.00000000
NC
-27390.88000000
-0.00566565812
N/A
DFE
CL
N
2
BNP PARIBAS
N/A
892375.00000000
USD
835262955.00000000
CLP
2022-11-22
-27390.88000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1558.41000000
-0.00032234883
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
251037.35000000
USD
36100000.00000000
JPY
2022-10-07
-1558.41000000
N
N
N
BNG BANK N.V.
529900GGYMNGRQTDOO93
BNG BANK NV MTN 0.000000% 01/20/2031
N/A
900000.00000000
PA
688350.95000000
0.142381739953
Long
DBT
NUSS
NL
N
2
2031-01-20
Fixed
0.00000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CELANESE US HOLDINGS LLC 6.050000% 03/15/2025
15089QAL8
130000.00000000
PA
USD
126990.00000000
0.026267207384
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.05000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7183.21000000
-0.00148580885
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
622933.17000000
USD
89100000.00000000
JPY
2022-10-07
-7183.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-1783.92000000
-0.00036899438
N/A
DFE
US
N
2
JPM CHASE
N/A
1335000.00000000
CAD
969836.28000000
USD
2022-11-07
-1783.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
13665.10000000
0.002826553394
N/A
DFE
US
N
2
JPM CHASE
N/A
325000.00000000
CAD
250192.65000000
USD
2022-10-07
13665.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
8153.99000000
0.001686609546
N/A
DFE
US
N
2
JPM CHASE
N/A
251000.00000000
EUR
254094.83000000
USD
2022-10-07
8153.99000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.270000% 11/19/2030
N/A
13260000.00000000
PA
1943729.98000000
0.402050228233
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-12-20
N/A
1.00000000
NC
USD
59604.40000000
0.012328853734
N/A
DFE
US
N
2
JP MORGAN
N/A
10760400.00000000
PLN
2211025.95000000
USD
2022-12-20
59604.40000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-936.44000000
-0.00019369764
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
38170.51000000
USD
38000.00000000
EUR
2022-10-07
-936.44000000
N
N
N
PPG INDUSTRIES, INC.
549300BKPEP01R3V6C59
PPG INDUSTRIES INC 1.875000% 06/01/2025
693506BV8
395000.00000000
PA
369275.49000000
0.076382674838
Long
DBT
NUSS
US
N
2
2025-06-01
Fixed
1.87500000
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
63289.31000000
0.013091057807
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
21140.21000000
0.004372740217
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
-24399.08000000
-0.00504682017
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
285547.16000000
USD
1855000.00000000
CNY
2023-01-13
-24399.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7024.56000000
0.001452992946
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
250936.31000000
USD
2022-10-07
7024.56000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 6.000000% 01/31/2029
N/A
80000.00000000
PA
92731.72000000
0.019181064023
Long
DBT
NUSS
ES
N
2
2029-01-31
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-3631.28000000
-0.00075111099
N/A
DFE
US
N
2
JPM CHASE
N/A
113000.00000000
GBP
122566.58000000
USD
2022-11-07
-3631.28000000
N
N
N
OMERS Finance Trust
529900M039WCPES03P17
OMERS FINANCE TRUST 144A 3.500000% 04/19/2032
682142AG9
555000.00000000
PA
USD
504542.56000000
0.104361950213
Long
DBT
NUSS
CA
N
2
2032-04-19
Fixed
3.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 2.632000% 04/15/2031
N/A
1040000.00000000
PA
194293.56000000
0.040188591494
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/RON SETTLE 2022-10-07
N/A
1.00000000
NC
USD
10571.72000000
0.002186704162
N/A
DFE
US
N
2
JPM CHASE
N/A
1562000.00000000
RON
319553.83000000
USD
2022-10-07
10571.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7476.44000000
0.001546461925
N/A
DFE
US
N
2
JPM CHASE
N/A
185000.00000000
AUD
126423.64000000
USD
2022-10-07
7476.44000000
N
N
N
Swedbank Hypotek AB
549300TJREQ7GHIXWR36
SWEDBANK HYPOTEK AB MTN 0.050000% 05/28/2025
N/A
195000.00000000
PA
177510.23000000
0.036717048777
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
252904.73000000
0.052312000876
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
194258.15000000
0.040181267124
Long
DBT
NUSS
NL
N
2
2027-09-14
Fixed
5.25000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-32372.57000000
-0.00669609425
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
709205.26000000
USD
930000.00000000
CAD
2022-10-07
-32372.57000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 03/10/2023
N/A
267700000.00000000
PA
1850659.36000000
0.382799064544
Long
DBT
NUSS
JP
N
2
2023-03-10
None
0.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4073.44000000
-0.00084256944
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
246320.15000000
USD
217000.00000000
GBP
2022-10-07
-4073.44000000
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 1.125000% 12/15/2025
N/A
230000.00000000
PA
217780.34000000
0.045046707260
Long
DBT
NUSS
CA
N
2
2025-12-15
Fixed
1.12500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 01/06/2023
N/A
355700000.00000000
PA
2458379.07000000
0.508502660528
Long
DBT
NUSS
JP
N
2
2023-01-06
None
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-4769.09000000
-0.00098646095
N/A
DFE
US
N
2
JPM CHASE
N/A
113000.00000000
GBP
121377.82000000
USD
2022-10-07
-4769.09000000
N
N
N
AUST 3YR BOND FUT DEC22
N/A
AUST 3YR BOND FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
822170.16000000
0.170061533174
Long
AU
N
1
N
N
N
N/A
N/A
Credit Default Swap
N/A
-1610000.00000000
NC
-57984.62000000
-0.01199381084
N/A
DCR
XX
N
2
N/A
N/A
Y
2027-06-20
0.00000000
EUR
-58748.86000000
EUR
-1610000.00000000
EUR
764.24000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.125000% 01/31/2024
N/A
1531000.00000000
PA
1618823.22000000
0.334844989668
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/MYR SETTLE 2022-10-03
N/A
1.00000000
NC
USD
-427.78000000
-0.00008848402
N/A
DFE
US
N
2
JP MORGAN
N/A
970209.36000000
MYR
208804.34000000
USD
2022-10-03
-427.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9340.49000000
0.001932030773
N/A
DFE
US
N
2
JPM CHASE
N/A
217000.00000000
GBP
251587.20000000
USD
2022-10-07
9340.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-12-12
N/A
1.00000000
NC
USD
235993.68000000
0.048814039955
N/A
DFE
US
N
2
JP MORGAN
N/A
7672700.00000000
CAD
5821891.56000000
USD
2022-12-12
235993.68000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-28793.94000000
-0.00595587363
N/A
DFE
SE
N
2
JPM CHASE
N/A
758814.19000000
USD
8100000.00000000
SEK
2022-10-07
-28793.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-10-13
N/A
1.00000000
NC
USD
42730.16000000
0.008838506766
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
15566694.53000000
ZAR
908216.50000000
USD
2022-10-13
42730.16000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC MTN 6.000000% 03/29/2040
N/A
70000.00000000
PA
62648.84000000
0.012958579987
Long
DBT
NUSS
GB
N
2
2040-03-29
Fixed
6.00000000
N
N
N
N
N
N
HOCHTIEF Aktiengesellschaft
529900Y25S8NZIYTT924
HOCHTIEF AG MTN 1.750000% 07/03/2025
N/A
400000.00000000
PA
367269.98000000
0.075967845740
Long
DBT
NUSS
DE
N
2
2025-07-03
Fixed
1.75000000
N
N
N
N
N
N
AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED
JHE42UYNWWTJB8YTTU19
AUSTRALIA & NEW ZEALAND BANKING GROUP LTD MTN 5.000000% 08/16/2023
N/A
750000.00000000
PA
485248.69000000
0.100371115624
Long
DBT
NUSS
AU
N
2
2023-08-16
Fixed
5.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.065000% 06/15/2050
N/A
308000.00000000
PA
56849.48000000
0.011759013157
Long
DBT
NUSS
MY
N
2
2050-06-15
Fixed
4.06500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 1.650000% 06/12/2029
14040HCC7
570000.00000000
PA
439078.19000000
0.090820992791
Long
DBT
NUSS
US
N
2
2029-06-12
Fixed
1.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5187.01000000
0.001072905483
N/A
DFE
US
N
2
JPM CHASE
N/A
250000.00000000
EUR
250148.00000000
USD
2022-10-07
5187.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-14398.00000000
-0.00297814986
N/A
DFE
US
N
2
JPM CHASE
N/A
219000.00000000
GBP
230081.40000000
USD
2022-10-07
-14398.00000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.900000% 09/20/2042
N/A
36550000.00000000
PA
292879.77000000
0.060580625696
Long
DBT
NUSS
JP
N
2
2042-09-20
Fixed
1.90000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
11299.36000000
0.002337212634
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
241096.35000000
USD
226000.00000000
GBP
2022-11-07
11299.36000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-4.00000000
NC
-542688.36000000
-0.11225220644
N/A
DIR
DE
N
1
J.P. MORGAN SECURITIES
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Dec 2022
2022-12-11
-578562.56000000
EUR
35874.20000000
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.250000% 11/17/2025
N/A
275000.00000000
PA
261105.20000000
0.054008224564
Long
DBT
NUSS
GB
N
2
2025-11-17
Fixed
2.25000000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 0.875000% 05/21/2029
03027XBP4
420000.00000000
PA
320702.14000000
0.066335535238
Long
DBT
NUSS
US
N
2
2029-05-21
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-11-03
N/A
1.00000000
NC
USD
19687.54000000
0.004072263139
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
9448138.61000000
BRL
1753640.93000000
USD
2022-11-03
19687.54000000
N
N
N
Deutsche Telekom International Finance B.V.
529900ERDFHS6C1M4U58
DEUTSCHE TELEKOM INTERNATIONAL FINANCE BV MTN 0.625000% 04/03/2023
N/A
5000.00000000
PA
4858.59000000
0.001004973550
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
70971.48000000
0.014680073891
Long
DBT
NUSS
US
N
2
2040-10-15
Fixed
1.37500000
N
N
N
N
N
N
Heimstaden Bostad Treasury B.V.
549300ORG6UYMJBCV938
HEIMSTADEN BOSTAD TREASURY BV MTN 0.250000% 10/13/2024
N/A
135000.00000000
PA
119217.71000000
0.024659550456
Long
DBT
NUSS
SE
N
2
2024-10-13
Fixed
0.25000000
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
221877.60000000
0.045894203741
Long
DBT
NUSS
GB
N
2
2171-06-22
Fixed
3.62500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-10-13
N/A
1.00000000
NC
-25295.57000000
-0.00523225437
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
892191.68000000
USD
15592050.68000000
ZAR
2022-10-13
-25295.57000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-11-07
N/A
1.00000000
NC
5087.30000000
0.001052280999
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
241356.58000000
USD
251000.00000000
EUR
2022-11-07
5087.30000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.650000% 06/02/2041
683234B98
540000.00000000
PA
412900.26000000
0.085406226934
Long
DBT
NUSS
CA
N
2
2041-06-02
Fixed
4.65000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 1.500000% 05/15/2031
N/A
548000.00000000
PA
248600.58000000
0.051421710297
Long
DBT
NUSS
NZ
N
2
2031-05-15
Fixed
1.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-5479.26000000
-0.00113335584
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
250440.25000000
USD
250000.00000000
EUR
2022-10-07
-5479.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
6348.08000000
0.001313066649
N/A
DFE
US
N
2
JPM CHASE
N/A
245000.00000000
CHF
255341.32000000
USD
2022-10-07
6348.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7796.86000000
0.001612739102
N/A
DFE
US
N
2
JPM CHASE
N/A
205000.00000000
NZD
123750.30000000
USD
2022-10-07
7796.86000000
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
78903.80000000
0.016320832175
Long
DBT
NUSS
GB
N
2
2025-06-07
Fixed
0.62500000
N
N
N
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
98950.46000000
0.020467377380
Long
DBT
NUSS
GB
N
2
2026-01-14
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
42346.02000000
0.008759049446
N/A
DFE
US
N
2
JPM CHASE
N/A
1105000.00000000
AUD
752814.40000000
USD
2022-10-07
42346.02000000
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 6.350000% 01/15/2031
682680BE2
89000.00000000
PA
USD
87263.31000000
0.018049952443
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
6.35000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-697.51000000
-0.00014427624
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
245353.62000000
USD
240000.00000000
CHF
2022-11-07
-697.51000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-18
N/A
1.00000000
NC
-70769.49000000
-0.01463829333
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
914896.40000000
USD
1492728.69000000
NZD
2022-11-18
-70769.49000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
74900000.00000000
PA
641766.40000000
0.132745973076
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
FAURECIA SE
969500F0VMZLK2IULV85
FAURECIA SE 2.750000% 02/15/2027
N/A
230000.00000000
PA
172933.18000000
0.035770310281
Long
DBT
NUSS
FR
N
2
2027-02-15
Fixed
2.75000000
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
114586.91000000
0.023701694058
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/JPY SETTLE 2022-10-26
N/A
1.00000000
NC
USD
-130.15000000
-0.00002692083
N/A
DFE
US
N
2
JP MORGAN
N/A
170308500.00000000
JPY
1179068.19000000
USD
2022-10-26
-130.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-12-12
N/A
1.00000000
NC
USD
48114.11000000
0.009952148243
N/A
DFE
US
N
2
JP MORGAN
N/A
7726800.00000000
CHF
7956012.73000000
USD
2022-12-12
48114.11000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-36.91000000
-0.00000763463
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
20362.89000000
USD
20000.00000000
CHF
2022-10-07
-36.91000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG MTN 1.000000% 11/19/2025
N/A
400000.00000000
PA
360627.37000000
0.074593857124
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
430254.19000000
0.088995795232
Long
DBT
NUSS
AU
N
2
2024-04-11
Fixed
0.37500000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.625000% 08/01/2032
N/A
214000.00000000
PA
138478.83000000
0.028643610882
Long
DBT
NUSS
SG
N
2
2032-08-01
Fixed
2.62500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 4.716000% 08/11/2026
53944YAT0
335000.00000000
PA
USD
321839.61000000
0.066570814869
Long
DBT
NUSS
GB
N
2
2026-08-11
Fixed
4.71600000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.530000% 10/18/2051
Y6S39BG95
1480000.00000000
PA
221461.53000000
0.045808141870
Long
DBT
NUSS
CN
N
2
2051-10-18
Fixed
3.53000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-4276.91000000
-0.00088465612
N/A
DFE
US
N
2
JPM CHASE
N/A
219000.00000000
GBP
240202.49000000
USD
2022-10-07
-4276.91000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
13495.80000000
0.002791534588
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
978106.30000000
USD
1012000.00000000
EUR
2022-10-07
13495.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-12-06
N/A
1.00000000
NC
USD
140434.39000000
0.029048108087
N/A
DFE
US
N
2
JP MORGAN
N/A
108180050.00000000
THB
3021367.13000000
USD
2022-12-06
140434.39000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-12-02
N/A
1.00000000
NC
-27463.99000000
-0.00568078054
N/A
DFE
JP
N
2
ROYAL BANK OF SCOTLAND
N/A
909039.00000000
USD
126797835.00000000
JPY
2022-12-02
-27463.99000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1518.25000000
-0.00031404195
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
37772.48000000
USD
37000.00000000
EUR
2022-10-07
-1518.25000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
3657100000.00000000
PA
546546.04000000
0.113050147079
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-1978.53000000
-0.00040924842
N/A
DFE
SG
N
2
SINGAPORE DOLLAR
N/A
130355.19000000
USD
184000.00000000
SGD
2022-12-12
-1978.53000000
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
275399.50000000
0.056964924639
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
1430810.26000000
0.295955506943
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
13223.40000000
0.002735190094
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
490451.23000000
USD
451000.00000000
GBP
2022-11-07
13223.40000000
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2022-12-21
N/A
1.00000000
NC
2587.81000000
0.000535274761
N/A
DFE
IN
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
882793.60000000
USD
72671127.43000000
INR
2022-12-21
2587.81000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.500000% 06/01/2024
135087B45
2460000.00000000
PA
1753787.27000000
0.362761586965
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
107630.27000000
0.022262750003
Long
DBT
NUSS
NO
N
2
2025-03-13
Fixed
1.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2693.79000000
-0.00055719616
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
248026.27000000
USD
35500000.00000000
JPY
2022-10-07
-2693.79000000
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
81798.16000000
0.016919515177
Long
DBT
NUSS
GB
N
2
2024-04-22
Fixed
1.00000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-106882.58000000
-0.02210809429
N/A
DFE
ZA
N
2
J.P. MORGAN SECURITIES
N/A
2143927.68000000
USD
36620000.00000000
ZAR
2022-10-07
-106882.58000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 1.500000% 08/23/2023
N/A
183970000.00000000
PA
389568.89000000
0.080580256902
Long
DBT
NUSS
HU
N
2
2023-08-23
Fixed
1.50000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-07
N/A
1.00000000
NC
278.35000000
0.000057575219
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
240034.05000000
USD
425000.00000000
NZD
2022-11-07
278.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
12983.14000000
0.002685493589
N/A
DFE
US
N
2
JPM CHASE
N/A
745000.00000000
EUR
742966.90000000
USD
2022-10-07
12983.14000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-11-07
N/A
1.00000000
NC
1175.56000000
0.000243158345
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
243480.55000000
USD
240000.00000000
CHF
2022-11-07
1175.56000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-5299.01000000
-0.00109607208
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
250260.00000000
USD
250000.00000000
EUR
2022-10-07
-5299.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
3203.06000000
0.000662535957
N/A
DFE
US
N
2
JPM CHASE
N/A
120000.00000000
CHF
125158.93000000
USD
2022-10-07
3203.06000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.400000% 06/20/2025
N/A
514550000.00000000
PA
3597246.44000000
0.744071330430
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
1745613.17000000
0.361070817772
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-19885.19000000
-0.00411314599
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
251792.07000000
USD
410000.00000000
NZD
2022-10-07
-19885.19000000
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TOTALENERGIES SE MTN 1.625000% MATURITY: PERPETUAL
N/A
270000.00000000
PA
205780.54000000
0.042564612330
Long
DBT
NUSS
FR
N
2
2171-01-25
Fixed
1.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5150.15000000
0.001065281188
N/A
DFE
US
N
2
JPM CHASE
N/A
71300000.00000000
JPY
497888.34000000
USD
2022-10-07
5150.15000000
N
N
N
FIDELITY NATIONAL INFORMATION SERVICES, INC.
6WQI0GK1PRFVBA061U48
FIDELITY NATIONAL INFORMATION SERVICES INC 0.125000% 12/03/2022
31620MBK1
500000.00000000
PA
488802.57000000
0.101106216836
Long
DBT
NUSS
US
N
2
2022-12-03
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-9129.31000000
-0.00188834931
N/A
DFE
US
N
2
JPM CHASE
N/A
226000.00000000
GBP
243266.40000000
USD
2022-11-07
-9129.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-11-14
N/A
1.00000000
NC
USD
-330285.81000000
-0.06831786650
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
15553458.01000000
EUR
14948521.81000000
USD
2022-11-14
-330285.81000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-1771.33000000
-0.00036639020
N/A
DFE
ZA
N
2
J.P. MORGAN SECURITIES
N/A
2211030.72000000
USD
39820000.00000000
ZAR
2022-11-07
-1771.33000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
77.00000000
NC
10446750.96000000
2.160854980366
N/A
DIR
DE
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
Germany Govt. Bond Futures
Euro-Bund Future Dec 2022
2022-12-11
11030201.99000000
EUR
-583451.03000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 04/01/2042
N/A
390000.00000000
PA
247127.74000000
0.051117061161
Long
DBT
NUSS
SG
N
2
2042-04-01
Fixed
2.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2114.46000000
-0.00043736482
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
245115.76000000
USD
248000.00000000
EUR
2022-10-07
-2114.46000000
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 3.900000% 06/01/2052
161175CA0
225000.00000000
PA
USD
139300.15000000
0.028813496564
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4033.32000000
-0.00083427083
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
246280.03000000
USD
217000.00000000
GBP
2022-10-07
-4033.32000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 0.000000% 10/18/2031
N/A
304000.00000000
PA
235743.92000000
0.048762378424
Long
DBT
NUSS
IE
N
2
2031-10-18
Fixed
0.00000000
N
N
N
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 1.500000% 05/15/2050
N/A
250000.00000000
PA
175339.04000000
0.036267949651
Long
DBT
NUSS
IE
N
2
2050-05-15
Fixed
1.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-11-07
N/A
1.00000000
NC
6024.09000000
0.001246051038
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
242383.49000000
USD
253000.00000000
EUR
2022-11-07
6024.09000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 2.750000% 10/25/2027
N/A
339000.00000000
PA
339116.90000000
0.070144530591
Long
DBT
NUSS
FR
N
2
2027-10-25
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
6038.22000000
0.001248973753
N/A
DFE
US
N
2
JPM CHASE
N/A
35700000.00000000
JPY
252752.85000000
USD
2022-10-07
6038.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-1017054.44000000
-0.21037231196
N/A
DFE
US
N
2
JPM CHASE
N/A
48394000.00000000
EUR
46498503.81000000
USD
2022-11-07
-1017054.44000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
320600.85000000
0.066314583939
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
9263215.00000000
USD
8585000.00000000
GBP
2022-10-07
320600.85000000
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.625000% 09/22/2038
N/A
100000.00000000
PA
67146.08000000
0.013888810208
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
334758.70000000
0.069243060056
Long
DBT
NUSS
FI
N
2
2025-09-15
Fixed
0.87500000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-62.00000000
NC
USD
-12734218.75000000
-2.63400554989
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Dec 2022
2023-01-02
-12908895.25000000
USD
174676.50000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6703.50000000
-0.00138658339
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
502504.55000000
USD
506000.00000000
EUR
2022-10-07
-6703.50000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
49.14000000
0.000010164348
N/A
DFE
MY
N
2
MIDLAND WALWYN CAPITAL INC.
N/A
25179.16000000
USD
117000.00000000
MYR
2022-10-07
49.14000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-10-03
N/A
1.00000000
NC
-53788.48000000
-0.01112586155
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
2232448.13000000
USD
10760400.00000000
PLN
2022-10-03
-53788.48000000
N
N
N
GLOBAL PAYMENTS INC.
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 2.900000% 11/15/2031
37940XAH5
455000.00000000
PA
USD
347879.35000000
0.071956996858
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
1354114.42000000
0.280091379573
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
458640.66000000
0.094867385865
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
200611.40000000
0.041495403161
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
191316.67000000
0.039572837600
Long
DBT
NUSS
TH
N
2
2026-12-17
Fixed
2.12500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-1005.44000000
-0.00020796992
N/A
DFE
GB
N
2
JP MORGAN
N/A
59875.37000000
USD
52700.00000000
GBP
2022-12-12
-1005.44000000
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
444746.83000000
0.091993520883
Long
DBT
NUSS
NZ
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-10-31
N/A
1.00000000
NC
USD
169.05000000
0.000034967095
N/A
DFE
US
N
2
JP MORGAN
N/A
6872950700.00000000
IDR
450065.53000000
USD
2022-10-31
169.05000000
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
142075.28000000
0.029387517473
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/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-18691.18000000
-0.00386617136
N/A
DFE
US
N
2
JPM CHASE
N/A
452000.00000000
GBP
486100.24000000
USD
2022-11-07
-18691.18000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
11499.78000000
0.002378668447
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
240895.93000000
USD
226000.00000000
GBP
2022-11-07
11499.78000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-10-04
N/A
1.00000000
NC
-53692.89000000
-0.01110608927
N/A
DFE
BR
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
929809.85000000
USD
4738785.21000000
BRL
2022-10-04
-53692.89000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2038
N/A
1479000.00000000
PA
975358.46000000
0.201747719841
Long
DBT
NUSS
NL
N
2
2038-01-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-12-19
N/A
1.00000000
NC
USD
52698.16000000
0.010900334652
N/A
DFE
US
N
2
JPM CHASE
N/A
770350000.00000000
JPY
5422845.76000000
USD
2022-12-19
52698.16000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1385.46000000
-0.00028657504
N/A
DFE
MX
N
2
STATE STREET BANK
N/A
185792.62000000
USD
3710000.00000000
MXN
2022-10-07
-1385.46000000
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC MTN 3.190000% 12/05/2022
29251ZBC0
1650000.00000000
PA
1198578.11000000
0.247919519501
Long
DBT
NUSS
CA
N
2
2022-12-05
Fixed
3.19000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.800000% 12/01/2028
N/A
123000.00000000
PA
113477.10000000
0.023472135751
Long
DBT
NUSS
IT
N
2
2028-12-01
Fixed
2.80000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 09/20/2040
N/A
416300000.00000000
PA
3386368.76000000
0.700452401748
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
208591.91000000
0.043146129290
Long
DBT
NUSS
ZA
N
2
2026-03-11
Fixed
1.62500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-11-07
N/A
1.00000000
NC
29056.27000000
0.006010135206
N/A
DFE
PA
N
2
BNP PARIBAS
N/A
1422546.72000000
USD
7205000.00000000
PLN
2022-11-07
29056.27000000
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 1.650000% 02/01/2028
00206RKG6
870000.00000000
PA
USD
714968.23000000
0.147887383026
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
5047.09000000
0.001043963774
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
487814.43000000
USD
503000.00000000
EUR
2022-10-07
5047.09000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-16578.19000000
-0.00342911059
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
417583.37000000
USD
551000.00000000
CAD
2022-10-07
-16578.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-12
N/A
1.00000000
NC
USD
-13171.43000000
-0.00272444037
N/A
DFE
US
N
2
JP MORGAN
N/A
1211400.00000000
EUR
1174197.91000000
USD
2022-10-12
-13171.43000000
N
N
N
EDP Finance B.V.
5299007L43AQDFOW5739
EDP FINANCE BV MTN 0.375000% 09/16/2026
N/A
440000.00000000
PA
380985.33000000
0.078804793081
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
279279.17000000
0.057767413784
Long
DBT
NUSS
FR
N
2
2025-01-17
Fixed
0.50000000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2321.49000000
-0.00048018788
N/A
DFE
IL
N
2
CITIGROUP GLOBAL MARKETS
N/A
660646.25000000
USD
2341000.00000000
ILS
2022-10-07
-2321.49000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-13676.90000000
-0.00282899416
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
626079.38000000
USD
625000.00000000
EUR
2022-10-07
-13676.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
3516.41000000
0.000727350741
N/A
DFE
US
N
2
JPM CHASE
N/A
86000.00000000
NZD
52160.29000000
USD
2022-10-07
3516.41000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 2.750000% 06/18/2052
110709AG7
835000.00000000
PA
469952.99000000
0.097207281275
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
133876.93000000
0.027691732295
Long
DBT
NUSS
SG
N
2
2029-07-01
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9012.49000000
0.001864185714
N/A
DFE
US
N
2
JPM CHASE
N/A
218000.00000000
GBP
252375.55000000
USD
2022-10-07
9012.49000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.500000% 04/15/2026
N/A
5153000000.00000000
PA
325037.47000000
0.067232275235
Long
DBT
NUSS
ID
N
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-20411.56000000
-0.00422202283
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
496200.34000000
USD
740000.00000000
AUD
2022-10-07
-20411.56000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
639000.00000000
PA
729476.12000000
0.150888263058
Long
DBT
NUSS
ES
N
2
2041-07-30
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-10-27
N/A
1.00000000
NC
USD
5999.97000000
0.001241061944
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1250879404.00000000
KRW
877978.00000000
USD
2022-10-27
5999.97000000
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
465806.48000000
0.096349597693
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
161642.68000000
0.033434930291
Long
DBT
NUSS
NL
N
2
2170-12-29
Fixed
4.37500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6057.54000000
-0.00125296999
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
252081.09000000
USD
35600000.00000000
JPY
2022-10-07
-6057.54000000
N
N
N
ENI S.P.A.
BUCRF72VH5RBN7X3VL35
ENI SPA MTN 0.375000% 06/14/2028
N/A
130000.00000000
PA
104260.82000000
0.021565797157
Long
DBT
NUSS
IT
N
2
2028-06-14
Fixed
0.37500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (5 YEAR ISSUE) 0.100000% 09/20/2024
N/A
61150000.00000000
PA
423721.83000000
0.087644611243
Long
DBT
NUSS
JP
N
2
2024-09-20
Fixed
0.10000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-8785.66000000
-0.00181726713
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
251786.96000000
USD
248000.00000000
EUR
2022-10-07
-8785.66000000
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
PUBLIC STORAGE 0.500000% 09/09/2030
N/A
260000.00000000
PA
189950.25000000
0.039290200877
Long
DBT
NUSS
US
N
2
2030-09-09
Fixed
0.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
6063.54000000
0.001254211061
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
610258.32000000
USD
629000.00000000
EUR
2022-10-07
6063.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-27
N/A
1.00000000
NC
USD
62198.24000000
0.012865375769
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1264079.08000000
CAD
982178.98000000
USD
2022-10-27
62198.24000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.875000% 09/01/2030
N/A
347000.00000000
PA
230825.49000000
0.047745027288
Long
DBT
NUSS
SG
N
2
2030-09-01
Fixed
2.87500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-186734.64000000
-0.03862506901
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
5911628.21000000
USD
63240500.00000000
SEK
2022-12-12
-186734.64000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-12-07
N/A
1.00000000
NC
-3711.19000000
-0.00076763995
N/A
DFE
CH
N
2
BNP PARIBAS
N/A
905826.02000000
USD
882052.58000000
CHF
2022-12-07
-3711.19000000
N
N
N
Volkswagen Bank Gesellschaft mit beschraenkter Haftung
529900GJD3OQLRZCKW37
VOLKSWAGEN BANK GMBH MTN 1.875000% 01/31/2024
N/A
400000.00000000
PA
382225.18000000
0.079061249472
Long
DBT
NUSS
DE
N
2
2024-01-31
Fixed
1.87500000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 4.625000% 05/23/2029
N/A
290000.00000000
PA
270126.48000000
0.055874228444
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
110612.77000000
0.022879664295
Long
DBT
NUSS
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
NEWELL BRANDS INC.
549300LWGYFM1TVO1Z12
NEWELL BRANDS INC 6.375000% 09/15/2027
651229BC9
195000.00000000
PA
USD
193094.85000000
0.039940644694
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
6.37500000
N
N
N
N
N
N
AVIVA PLC
YF0Y5B0IB8SM0ZFG9G81
AVIVA PLC 6.125000% 11/14/2036
N/A
220000.00000000
PA
225700.03000000
0.046684853095
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
63463.44000000
0.013127075673
Long
DBT
NUSS
TH
N
2
2049-06-17
Fixed
1.87500000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 1.250000% 05/31/2032
N/A
300000.00000000
PA
247037.04000000
0.051098300348
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 2022-10-07
N/A
1.00000000
NC
USD
25386.64000000
0.005251091721
N/A
DFE
US
N
2
JPM CHASE
N/A
745000.00000000
EUR
755370.40000000
USD
2022-10-07
25386.64000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 08/15/2050
N/A
128000.00000000
PA
70486.36000000
0.014579729395
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
474895.42000000
0.098229596684
Long
DBT
NUSS
GB
N
2
2024-09-18
Fixed
1.25000000
N
N
N
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
216470.41000000
0.044775755193
Long
DBT
NUSS
US
N
2
2028-03-08
Fixed
1.37500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.125000% 12/20/2023
N/A
345000.00000000
PA
366551.43000000
0.075819217487
Long
DBT
NUSS
US
N
2
2023-12-20
Fixed
2.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1207.87000000
0.000249841497
N/A
DFE
US
N
2
JPM CHASE
N/A
33000.00000000
GBP
38047.23000000
USD
2022-10-07
1207.87000000
N
N
N
BERKSHIRE HATHAWAY FINANCE CORPORATION
549300RLHFT5RU20WM87
BERKSHIRE HATHAWAY FINANCE CORP 2.625000% 06/19/2059
084664CT6
144000.00000000
PA
89952.18000000
0.018606130929
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/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1632.70000000
0.000337715327
N/A
DFE
US
N
2
JPM CHASE
N/A
35700000.00000000
JPY
248347.33000000
USD
2022-10-07
1632.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-10-07
N/A
1.00000000
NC
USD
24680.51000000
0.005105032479
N/A
DFE
US
N
2
JPM CHASE
N/A
3274000.00000000
PLN
687280.90000000
USD
2022-10-07
24680.51000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1896.51000000
0.000392283026
N/A
DFE
US
N
2
JPM CHASE
N/A
250000.00000000
EUR
246857.50000000
USD
2022-10-07
1896.51000000
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-1294317.02000000
-0.26772260481
N/A
DIR
DE
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Dec 2022
2022-12-11
-1372578.54000000
EUR
78261.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-4609.84000000
-0.00095352093
N/A
DFE
US
N
2
JPM CHASE
N/A
225000.00000000
GBP
246669.08000000
USD
2022-11-07
-4609.84000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-12-07
N/A
1.00000000
NC
-2529.21000000
-0.00052315366
N/A
DFE
CH
N
2
BNP PARIBAS
N/A
646715.61000000
USD
629860.26000000
CHF
2022-12-07
-2529.21000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
11746.34000000
0.002429668074
N/A
DFE
SE
N
2
JPM CHASE
N/A
475654.84000000
USD
5408000.00000000
SEK
2022-10-07
11746.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-555.87000000
-0.00011497875
N/A
DFE
US
N
2
JPM CHASE
N/A
1037000.00000000
SGD
722550.45000000
USD
2022-11-07
-555.87000000
N
N
N
RIMINI BIDCO S.P.A.
815600E0EAFAEE1B3F69
RIMINI BIDCO SPA 144A VARIABLE RATE 12/14/2026
BS6180258
200000.00000000
PA
165071.47000000
0.034144157301
Long
DBT
NUSS
IT
N
2
2026-12-14
Floating
6.24999960
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.947000% 02/24/2028
46647PCW4
295000.00000000
PA
USD
260844.96000000
0.053954395302
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
Smurfit Kappa Acquisitions Unlimited Company
6354002XN4LUSDRPTR29
SMURFIT KAPPA ACQUISITIONS ULC 2.875000% 01/15/2026
N/A
265000.00000000
PA
250495.70000000
0.051813705809
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
218750000.00000000
PA
1852615.81000000
0.383203745841
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
KAPLA HOLDING SAS
894500PJ28XTH66K4X83
KAPLA HOLDING SAS VARIABLE RATE 12/15/2026
N/A
200000.00000000
PA
174954.20000000
0.036188347540
Long
DBT
NUSS
FR
N
2
2026-12-15
Floating
4.25000160
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
299149.47000000
0.061877479859
Long
DBT
NUSS
GB
N
2
2040-12-07
Fixed
4.25000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
4531700.00000000
PA
200014.58000000
0.041371954112
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
AUST 3YR BOND FUT DEC22
N/A
AUST 3YR BOND FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-17.00000000
NC
-1164741.06000000
-0.24092050532
Short
AU
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-13666.01000000
-0.00282674162
N/A
DFE
US
N
2
JPM CHASE
N/A
46112000.00000000
MXN
2278350.92000000
USD
2022-10-07
-13666.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
631.00000000
0.000130519000
N/A
DFE
US
N
2
JPM CHASE
N/A
16000.00000000
GBP
18492.51000000
USD
2022-10-07
631.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-11-18
N/A
1.00000000
NC
USD
66964.36000000
0.013851222391
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1477645.69000000
NZD
902561.95000000
USD
2022-11-18
66964.36000000
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAVISKA ENSKILDA BANKEN AB MTN 0.250000% 06/20/2024
N/A
460000.00000000
PA
432218.03000000
0.089402005112
Long
DBT
NUSS
SE
N
2
2024-06-20
Fixed
0.25000000
N
N
N
N
N
N
VISTRA CORP.
549300KP43CPCUJOOG15
VISTRA CORP 144A 7.000000% MATURITY: PERPETUAL
92840MAC6
68000.00000000
PA
USD
59364.68000000
0.012279268925
Long
DBT
CORP
US
N
2
2171-06-15
Fixed
7.00000000
N
N
N
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.000000% 12/13/2028
N/A
1085000.00000000
PA
896720.18000000
0.185481809068
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
335297.89000000
0.069354588645
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 2022-12-07
N/A
1.00000000
NC
USD
22755.39000000
0.004706831626
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
889016.35000000
CHF
931992.38000000
USD
2022-12-07
22755.39000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-18992.16000000
-0.00392842747
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
375843.09000000
USD
3881200.00000000
NOK
2022-12-12
-18992.16000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.800000% 03/20/2043
N/A
207550000.00000000
PA
1635751.25000000
0.338346462812
Long
DBT
NUSS
JP
N
2
2043-03-20
Fixed
1.80000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
N/A
-190000.00000000
NC
-6842.90000000
-0.00141541754
N/A
DCR
XX
N
2
BRK: GOLDMAN SACHS INTERNATIONAL
N/A
Y
2027-06-20
1176.47000000
EUR
0.00000000
EUR
-190000.00000000
EUR
-8019.37000000
N
N
N
DEXIA CREDIT LOCAL SA
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.000000% 05/29/2024
N/A
1200000.00000000
PA
1125797.19000000
0.232865172550
Long
DBT
NUSS
FR
N
2
2024-05-29
Fixed
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6052.51000000
-0.00125192956
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
251013.50000000
USD
250000.00000000
EUR
2022-10-07
-6052.51000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 4.250000% 03/28/2041
N/A
440000.00000000
PA
491364.05000000
0.101636045377
Long
DBT
NUSS
BE
N
2
2041-03-28
Fixed
4.25000000
N
N
N
N
N
N
Prologis Euro Finance LLC
549300MI5D1784PRQH06
PROLOGIS EURO FINANCE LLC 0.375000% 02/06/2028
N/A
286000.00000000
PA
231460.04000000
0.047876280587
Long
DBT
NUSS
US
N
2
2028-02-06
Fixed
0.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4590.07000000
0.000949431613
N/A
DFE
US
N
2
JPM CHASE
N/A
35900000.00000000
JPY
252686.86000000
USD
2022-10-07
4590.07000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.75% 12/01/2048
135087D35
400000.00000000
PA
271617.48000000
0.056182633879
Long
DBT
CORP
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 12/20/2026
N/A
336300000.00000000
PA
2330459.44000000
0.482043164113
Long
DBT
NUSS
JP
N
2
2026-12-20
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-3112.16000000
-0.00064373377
N/A
DFE
US
N
2
JPM CHASE
N/A
3680000.00000000
MXN
179803.83000000
USD
2022-10-07
-3112.16000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 5.300000% 05/15/2049
25470DBG3
18000.00000000
PA
USD
13432.16000000
0.002778370992
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
2115.09000000
0.000437495138
N/A
DFE
US
N
2
JPM CHASE
N/A
1292000.00000000
NZD
732664.78000000
USD
2022-11-07
2115.09000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-20
N/A
1.00000000
NC
-76443.79000000
-0.01581199216
N/A
DFE
AU
N
2
CREDIT SUISSE FIRST BOSTON LLC.
N/A
1024641.22000000
USD
1474668.87000000
AUD
2022-10-20
-76443.79000000
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.125000% 09/15/2031
N/A
610000.00000000
PA
477100.39000000
0.098685683023
Long
DBT
NUSS
FI
N
2
2031-09-15
Fixed
0.12500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.250000% 03/10/2026
N/A
101780000.00000000
PA
64397.85000000
0.013320353421
Long
DBT
NUSS
KR
N
2
2026-03-10
Fixed
1.25000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
310000.00000000
PA
226524.09000000
0.046855305532
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
61500000.00000000
PA
474384.26000000
0.098123865951
Long
DBT
NUSS
JP
N
2
2033-03-20
Fixed
1.50000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 2.125000% 05/26/2025
N/A
330000.00000000
PA
307290.50000000
0.063561408698
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
1919300000.00000000
PA
315259.97000000
0.065209851263
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
376536.43000000
0.077884561733
Long
DBT
NUSS
GB
Y
2
2171-07-30
Floating
4.31586000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-10-31
N/A
1.00000000
NC
USD
47402.71000000
0.009804998930
N/A
DFE
US
N
2
JP MORGAN
N/A
39107557371.00000000
IDR
2607344.31000000
USD
2022-10-31
47402.71000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
850000.00000000
PA
570999.08000000
0.118108128596
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-13
N/A
1.00000000
NC
-27762.39000000
-0.00574250299
N/A
DFE
CN
N
2
MORGAN STANLEY & CO, INC
N/A
289714.74000000
USD
1855000.00000000
CNY
2023-04-13
-27762.39000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4483.93000000
-0.00092747711
N/A
DFE
CZ
N
2
BNP PARIBAS
N/A
302223.21000000
USD
7470000.00000000
CZK
2022-10-07
-4483.93000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-11-07
N/A
1.00000000
NC
13818.03000000
0.002858186153
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
1221346.91000000
USD
1258000.00000000
EUR
2022-11-07
13818.03000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.000000% 02/01/2028
N/A
670000.00000000
PA
600522.87000000
0.124214967833
Long
DBT
NUSS
IT
N
2
2028-02-01
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7498.12000000
0.001550946318
N/A
DFE
US
N
2
JPM CHASE
N/A
370000.00000000
AUD
245392.51000000
USD
2022-10-07
7498.12000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
7551000000.00000000
PA
534200.71000000
0.110496581103
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
538831.85000000
0.111454507828
Long
DBT
NUSS
NO
N
2
2029-09-06
Fixed
1.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-29225.51000000
-0.00604514160
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
498695.54000000
USD
830000.00000000
NZD
2022-10-07
-29225.51000000
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2022-12-06
N/A
1.00000000
NC
150.48000000
0.000031125989
N/A
DFE
TH
N
2
J.P. MORGAN SECURITIES
N/A
30821.26000000
USD
1163000.00000000
THB
2022-12-06
150.48000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4779.97000000
-0.00098871142
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
504428.93000000
USD
72300000.00000000
JPY
2022-10-07
-4779.97000000
N
N
N
ALTICE FINANCING S.A.
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA 2.250000% 01/15/2025
N/A
215000.00000000
PA
184971.15000000
0.038260300473
Long
DBT
NUSS
LU
N
2
2025-01-15
Fixed
2.25000000
N
N
N
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
120839.88000000
0.024995087709
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
1407000.00000000
PA
615372.06000000
0.127286443959
Long
DBT
NUSS
GB
N
2
2061-10-22
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5306.94000000
0.001097712367
N/A
DFE
US
N
2
JPM CHASE
N/A
253000.00000000
EUR
253207.46000000
USD
2022-10-07
5306.94000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 6.000000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
192403.77000000
0.039797698465
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
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-19763.01000000
-0.00408787370
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
251669.89000000
USD
410000.00000000
NZD
2022-10-07
-19763.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-10-27
N/A
1.00000000
NC
USD
25217.40000000
0.005216085325
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1217887456.00000000
KRW
874197.00000000
USD
2022-10-27
25217.40000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
197300000.00000000
PA
1505856.52000000
0.311478427447
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HANDELSBANKEN AB 4.375000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
162500.00000000
0.033612262382
Long
DBT
NUSS
SE
N
2
2171-03-01
Fixed
4.37500000
N
N
N
Y
Y
Svenska Handelsbanken AB
SHB 4.375 PERP
SEK
XXXX
N
N
N
APTIV PLC
N/A
APTIV PLC 1.500000% 03/10/2025
03835VAC0
440000.00000000
PA
403543.76000000
0.083470884577
Long
DBT
NUSS
US
N
2
2025-03-10
Fixed
1.50000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-3310.62000000
-0.00068478417
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
486762.62000000
USD
855000.00000000
NZD
2022-11-07
-3310.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-43.44000000
-0.00000898533
N/A
DFE
US
N
2
JPM CHASE
N/A
20000.00000000
SEK
1759.08000000
USD
2022-10-07
-43.44000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 3.500000% 12/01/2048
74814ZEW9
520000.00000000
PA
339270.62000000
0.070176326757
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
988997.40000000
0.204568862179
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/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
8576.78000000
0.001774061413
N/A
DFE
US
N
2
JPM CHASE
N/A
205000.00000000
NZD
124530.22000000
USD
2022-10-07
8576.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7454.96000000
0.001542018901
N/A
DFE
US
N
2
JPM CHASE
N/A
251000.00000000
EUR
253395.80000000
USD
2022-10-07
7454.96000000
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
110327.24000000
0.022820603931
Long
DBT
NUSS
GB
N
2
2027-11-08
Fixed
0.83100000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2052
N/A
421000.00000000
PA
206895.25000000
0.042795184176
Long
DBT
NUSS
NL
N
2
2052-01-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1473.37000000
0.000304758763
N/A
DFE
US
N
2
JPM CHASE
N/A
485000.00000000
CHF
494378.36000000
USD
2022-10-07
1473.37000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039
N/A
229350000.00000000
PA
1942388.28000000
0.401772704711
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-7.00000000
NC
-1005593.82000000
-0.20800174355
N/A
DIR
DE
N
1
MORGAN STANLEY & CO, INC
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Dec 2022
2022-12-11
-1075933.46000000
EUR
70339.64000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.500000% 05/25/2050
N/A
1786000.00000000
PA
1261329.58000000
0.260899327959
Long
DBT
NUSS
FR
N
2
2050-05-25
Fixed
1.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
2757800000.00000000
PA
583947.07000000
0.120786351595
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2491.45000000
-0.00051534320
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
245854.51000000
USD
218000.00000000
GBP
2022-10-07
-2491.45000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-11-07
N/A
1.00000000
NC
3743.11000000
0.000774242433
N/A
DFE
PA
N
2
BNP PARIBAS
N/A
177581.34000000
USD
900000.00000000
PLN
2022-11-07
3743.11000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2022-10-07
N/A
1.00000000
NC
7775.14000000
0.001608246435
N/A
DFE
RO
N
2
CITIGROUP GLOBAL MARKETS
N/A
301206.97000000
USD
1562000.00000000
RON
2022-10-07
7775.14000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.125000% 01/31/2039
N/A
237000.00000000
PA
170269.51000000
0.035219344281
Long
DBT
NUSS
GB
N
2
2039-01-31
Fixed
1.12500000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-10-20
N/A
1.00000000
NC
-3063.22000000
-0.00063361079
N/A
DFE
CN
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
82513.45000000
USD
563757.47000000
CNY
2022-10-20
-3063.22000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2022-10-21
N/A
1.00000000
NC
-55574.33000000
-0.01149525514
N/A
DFE
TW
N
2
STANDARD CHARTERED BANK
N/A
949672.72000000
USD
28393315.00000000
TWD
2022-10-21
-55574.33000000
N
N
N
CDP FINANCIERE INC.
549300OXMGVYFCBFV096
CDP FINANCIAL INC 144A 1.125000% 04/06/2027
BV6010102
1062000.00000000
PA
956638.38000000
0.197875570667
Long
DBT
NUSS
CA
N
2
2027-04-06
Fixed
1.12500000
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
201032.21000000
0.041582445475
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
343394.00000000
0.071029226021
Long
DBT
NUSS
US
N
2
2024-09-23
Fixed
2.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
25095.20000000
0.005190808904
N/A
DFE
US
N
2
JPM CHASE
N/A
1261000.00000000
EUR
1260678.45000000
USD
2022-10-07
25095.20000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-5785.83000000
-0.00119676822
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
977368.25000000
USD
1335000.00000000
CAD
2022-10-07
-5785.83000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2391.01000000
-0.00049456772
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
124020.63000000
USD
17600000.00000000
JPY
2022-10-07
-2391.01000000
N
N
N
Vivion Investments S.a r.l.
529900SJ7X71ESJK9N76
VIVION INVESTMENTS SARL 3.000000% 08/08/2024
N/A
200000.00000000
PA
176996.19000000
0.036610722331
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
972397.16000000
0.201135190656
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
21013.52000000
0.004346535063
N/A
DFE
SG
N
2
J.P. MORGAN SECURITIES
N/A
2476848.65000000
USD
3584000.00000000
SGD
2022-10-07
21013.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
139.09000000
0.000028770028
N/A
DFE
US
N
2
JPM CHASE
N/A
35000.00000000
CHF
35709.55000000
USD
2022-10-07
139.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1941.89000000
0.000401669638
N/A
DFE
US
N
2
JPM CHASE
N/A
55000.00000000
AUD
37304.57000000
USD
2022-10-07
1941.89000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 3.622000% 08/14/2030
N/A
410000.00000000
PA
402681.68000000
0.083292567905
Long
DBT
NUSS
GB
N
2
2030-08-14
Fixed
3.62200000
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTALENERGIES CAPITAL INTERNATIONAL SA MTN 2.500000% 03/25/2026
N/A
400000.00000000
PA
383996.39000000
0.079427614858
Long
DBT
NUSS
FR
N
2
2026-03-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
20835.45000000
0.004309702229
N/A
DFE
US
N
2
JPM CHASE
N/A
69900000.00000000
JPY
503898.55000000
USD
2022-10-07
20835.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2022-11-22
N/A
1.00000000
NC
USD
73977.81000000
0.015301917293
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
832175873.00000000
CLP
935765.00000000
USD
2022-11-22
73977.81000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-10615.47000000
-0.00219575361
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
251745.84000000
USD
216000.00000000
GBP
2022-10-07
-10615.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-12-12
N/A
1.00000000
NC
USD
108478.33000000
0.022438166712
N/A
DFE
US
N
2
JP MORGAN
N/A
13701550.00000000
NOK
1368246.16000000
USD
2022-12-12
108478.33000000
N
N
N
Canada Housing Trust No. 1
549300M44WH89JG50067
CANADA HOUSING TRUST NO 1 144A 2.250000% 12/15/2025
13509PFD0
1325000.00000000
PA
919915.76000000
0.190279691659
Long
DBT
NUSS
CA
N
2
2025-12-15
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
6760.70000000
0.001398414906
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
250672.45000000
USD
2022-10-07
6760.70000000
N
N
N
N/A
N/A
Credit Default Swap
N/A
-190000.00000000
NC
-6842.90000000
-0.00141541754
N/A
DCR
XX
N
2
N/A
N/A
Y
2027-06-20
0.00000000
EUR
-101.80000000
EUR
-190000.00000000
EUR
-6741.10000000
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA MTN 1.375000% 06/19/2026
N/A
300000.00000000
PA
259391.24000000
0.053653701037
Long
DBT
NUSS
ES
N
2
2026-06-19
Fixed
1.37500000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-27959.27000000
-0.00578322658
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
446524.81000000
USD
651000.00000000
AUD
2022-10-07
-27959.27000000
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 01/31/2026
91282CBH3
20000.00000000
PA
USD
17617.19000000
0.003644022232
Long
SN
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
2690.92000000
0.000556602517
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
1183329.95000000
USD
1167000.00000000
CHF
2022-10-07
2690.92000000
N
N
N
Heineken N.V.
724500K5PTPSST86UQ23
HEINEKEN NV MTN 1.000000% 05/04/2026
N/A
335000.00000000
PA
303028.35000000
0.062679805596
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 2023-01-13
N/A
1.00000000
NC
USD
27381.51000000
0.005663719991
N/A
DFE
US
N
2
JPM CHASE
N/A
1855000.00000000
CNY
288529.59000000
USD
2023-01-13
27381.51000000
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 1.950000% 01/30/2026
05369AAK7
108000.00000000
PA
USD
90656.11000000
0.018751735113
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
766000.00000000
PA
275852.38000000
0.057058600463
Long
DBT
NUSS
NZ
N
2
2041-05-15
Fixed
1.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7604.43000000
-0.00157293597
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
250967.49000000
USD
218000.00000000
GBP
2022-10-07
-7604.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-11-30
N/A
1.00000000
NC
USD
-283.58000000
-0.00005865701
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
2317124.06000000
PLN
464919.99000000
USD
2022-11-30
-283.58000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
3008000.00000000
PA
484215.53000000
0.100157411962
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
11161.96000000
0.002308792173
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
239000.16000000
USD
224000.00000000
GBP
2022-11-07
11161.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-20
N/A
1.00000000
NC
USD
68724.78000000
0.014215355923
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1271505.13000000
AUD
886289.94000000
USD
2022-10-20
68724.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-27
N/A
1.00000000
NC
USD
2735.01000000
0.000565722299
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1221936.46000000
CAD
892044.88000000
USD
2022-10-27
2735.01000000
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
215338.23000000
0.044541569770
Long
DBT
NUSS
GB
N
2
2023-05-17
Fixed
2.87500000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 1.000000% 01/20/2026
05578AAP3
950000.00000000
PA
USD
820733.42000000
0.169764351131
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/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
13139.88000000
0.002717914426
N/A
DFE
US
N
2
JPM CHASE
N/A
370000.00000000
AUD
251034.27000000
USD
2022-10-07
13139.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-12-05
N/A
1.00000000
NC
USD
148251.39000000
0.030665013041
N/A
DFE
US
N
2
JP MORGAN
N/A
28466700.00000000
CNY
4153903.40000000
USD
2022-12-05
148251.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-28
N/A
1.00000000
NC
USD
236545.62000000
0.048928205814
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
10010594.89000000
EUR
10058775.88000000
USD
2022-10-28
236545.62000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 5.717000% 09/14/2033
46647PDK9
260000.00000000
PA
USD
245867.58000000
0.050856403755
Long
DBT
CORP
US
N
2
2033-09-14
Fixed
5.71700000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-9554.28000000
-0.00197625209
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
586260.40000000
USD
6272400.00000000
NOK
2022-12-12
-9554.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
80.58000000
0.000016667545
N/A
DFE
US
N
2
JPM CHASE
N/A
1134000.00000000
JPY
7917.40000000
USD
2022-10-07
80.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-8398.96000000
-0.00173728029
N/A
DFE
US
N
2
JPM CHASE
N/A
224000.00000000
GBP
241763.16000000
USD
2022-11-07
-8398.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-2964.79000000
-0.00061325107
N/A
DFE
US
N
2
JPM CHASE
N/A
605000.00000000
CHF
611896.07000000
USD
2022-10-07
-2964.79000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 0.627000% 11/17/2023
38141GXL3
715000.00000000
PA
USD
710674.23000000
0.146999191920
Long
DBT
CORP
US
N
2
2023-11-17
Fixed
0.62700000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-28837.65000000
-0.00596491482
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
1800395.55000000
USD
1808000.00000000
EUR
2022-10-07
-28837.65000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST MTN 0.900000% 05/20/2041
N/A
707000.00000000
PA
453098.64000000
0.093721048447
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
138913.17000000
0.028733451805
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
929459.92000000
0.192253850491
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.950000% 06/01/2032
N/A
1195000.00000000
PA
856576.07000000
0.177178213016
Long
DBT
NUSS
IT
N
2
2032-06-01
Fixed
0.95000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
8562.05000000
0.001771014591
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
243833.66000000
USD
226000.00000000
GBP
2022-11-07
8562.05000000
N
N
N
Digital Dutch Finco B.V.
549300ONZ5IS6B6IMJ70
DIGITAL DUTCH FINCO BV 0.625000% 07/15/2025
N/A
136000.00000000
PA
119296.34000000
0.024675814654
Long
DBT
NUSS
US
N
2
2025-07-15
Fixed
0.62500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-268.33000000
-0.00005550263
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
123971.18000000
USD
17900000.00000000
JPY
2022-10-07
-268.33000000
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP 0.300000% 07/07/2028
026657AT3
320000.00000000
PA
256368.52000000
0.053028467451
Long
DBT
NUSS
US
N
2
2028-07-07
Fixed
0.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-319243.40000000
-0.06603380261
N/A
DFE
US
N
2
JPM CHASE
N/A
8585000.00000000
GBP
9268443.27000000
USD
2022-11-07
-319243.40000000
N
N
N
BCP V MODULAR SERVICES FINANCE II PLC
213800227GGD6UI7PI97
BCP V MODULAR SERVICES FINANCE II PLC 4.750000% 11/30/2028
N/A
235000.00000000
PA
184174.69000000
0.038095556950
Long
DBT
NUSS
GB
N
2
2028-11-30
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
19167.50000000
0.003964695625
N/A
DFE
US
N
2
JPM CHASE
N/A
5390000.00000000
SEK
504946.41000000
USD
2022-10-07
19167.50000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-10624.72000000
-0.00219766693
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
499566.86000000
USD
499000.00000000
EUR
2022-10-07
-10624.72000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 1.900000% 03/20/2053
N/A
38700000.00000000
PA
300747.49000000
0.062208021813
Long
DBT
NUSS
JP
N
2
2053-03-20
Fixed
1.90000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3815.52000000
-0.00078922005
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
247074.76000000
USD
35200000.00000000
JPY
2022-10-07
-3815.52000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 07/01/2023
N/A
1441000.00000000
PA
999387.27000000
0.206717951635
Long
DBT
NUSS
SG
N
2
2023-07-01
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1344.02000000
0.000278003402
N/A
DFE
US
N
2
JPM CHASE
N/A
190000.00000000
NOK
18780.66000000
USD
2022-10-07
1344.02000000
N
N
N
SOCIETE NATIONALE SNCF SA
969500A4MXJ3ESPHK698
SOCIETE NATIONALE SNCF 1.000000% 05/25/2040
N/A
700000.00000000
PA
458255.63000000
0.094787744453
Long
DBT
NUSS
FR
N
2
2040-05-25
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-11940.60000000
-0.00246984972
N/A
DFE
US
N
2
JPM CHASE
N/A
5408000.00000000
SEK
476340.47000000
USD
2022-11-07
-11940.60000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7768.59000000
-0.00160689160
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
248898.96000000
USD
216000.00000000
GBP
2022-10-07
-7768.59000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.000000% 06/22/2026
N/A
370000.00000000
PA
348423.52000000
0.072069555534
Long
DBT
NUSS
BE
N
2
2026-06-22
Fixed
1.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3888.69000000
-0.00080435488
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
503537.65000000
USD
72300000.00000000
JPY
2022-10-07
-3888.69000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2022-10-21
N/A
1.00000000
NC
-60917.90000000
-0.01260054423
N/A
DFE
TW
N
2
STANDARD CHARTERED BANK
N/A
931242.66000000
USD
27638351.00000000
TWD
2022-10-21
-60917.90000000
N
N
N
VZ Secured Financing B.V.
549300MG611MYCOWY949
VZ SECURED FINANCING BV 3.500000% 01/15/2032
N/A
234000.00000000
PA
163905.68000000
0.033903019828
Long
DBT
NUSS
NL
N
2
2032-01-15
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
25023.76000000
0.005176031919
N/A
DFE
US
N
2
JPM CHASE
N/A
105200000.00000000
JPY
752037.18000000
USD
2022-10-07
25023.76000000
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
204490.10000000
0.042297691666
Long
DBT
NUSS
US
N
2
2030-10-18
Fixed
0.80000000
N
N
N
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-4.00000000
NC
-4098241.73000000
-0.84769954667
N/A
DIR
JP
N
1
MORGAN STANLEY & CO, INC
N/A
Short
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Dec 2022
2022-12-16
-4247562.82000000
JPY
149321.09000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3326.32000000
-0.00068803163
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
244435.50000000
USD
375000.00000000
AUD
2022-10-07
-3326.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5578.92000000
0.001153969986
N/A
DFE
US
N
2
JPM CHASE
N/A
436000.00000000
GBP
492305.04000000
USD
2022-10-07
5578.92000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST 144A 2.000000% 04/16/2031
68329AAJ7
1914000.00000000
PA
USD
1574228.16000000
0.325620738236
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
470217.21000000
0.097261933779
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
111456.00000000
PA
USD
2786.40000000
0.000576352048
Long
DBT
NUSS
BR
N
2
2029-10-25
Fixed
0.00000000
N
N
Y
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-34.00000000
NC
-3988655.62000000
-0.82503224155
N/A
DIR
DE
N
1
MORGAN STANLEY & CO, INC
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Dec 2022
2022-12-11
-4202321.04000000
EUR
213665.42000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3491.86000000
-0.00072227270
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
246854.92000000
USD
218000.00000000
GBP
2022-10-07
-3491.86000000
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
564588.54000000
0.116782142427
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
1061000.00000000
PA
769908.68000000
0.159251523461
Long
DBT
NUSS
DE
N
2
2036-05-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1369.48000000
0.000283269668
N/A
DFE
US
N
2
JPM CHASE
N/A
121000.00000000
EUR
119930.60000000
USD
2022-10-07
1369.48000000
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.250000% 06/15/2026
00928QAS0
4000.00000000
PA
USD
3587.79000000
0.000742115316
Long
DBT
NUSS
US
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-11-07
N/A
1.00000000
NC
25456.77000000
0.005265597739
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
1207744.48000000
USD
1256000.00000000
EUR
2022-11-07
25456.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-10-07
N/A
1.00000000
NC
USD
18414.61000000
0.003808964326
N/A
DFE
US
N
2
JPM CHASE
N/A
2713000.00000000
RON
555078.16000000
USD
2022-10-07
18414.61000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-47755.34000000
-0.00987793857
N/A
DFE
PA
N
2
BARCLAYS CAPITAL INC.
N/A
1329848.65000000
USD
6335000.00000000
PLN
2022-10-07
-47755.34000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.500000% 05/21/2030
N/A
1492000.00000000
PA
875140.23000000
0.181018110966
Long
DBT
NUSS
AU
N
2
2030-05-21
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
N/A
380000.00000000
NC
13685.82000000
0.002830839216
N/A
DCR
XX
N
2
N/A
N/A
Y
2027-06-20
1432.80000000
EUR
0.00000000
EUR
380000.00000000
EUR
12253.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
65208.48000000
0.013488027934
N/A
DFE
US
N
2
JPM CHASE
N/A
493834000.00000000
HUF
1207772.45000000
USD
2022-10-07
65208.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
21041.28000000
0.004352277072
N/A
DFE
US
N
2
JPM CHASE
N/A
1255000.00000000
NZD
730902.59000000
USD
2022-10-07
21041.28000000
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 0.835000% 06/26/2032
N/A
600000.00000000
PA
440988.21000000
0.091216070289
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
800521.19000000
0.165583558651
Long
DBT
NUSS
KR
N
2
2025-09-10
Fixed
1.12500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-1369.07000000
-0.00028318486
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
485359.66000000
USD
665000.00000000
CAD
2022-11-07
-1369.07000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
2890000.00000000
PA
605164.80000000
0.125175126412
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
Telefonica Europe B.V.
7245007FZS0M65WUGP67
TELEFONICA EUROPE BV 4.375000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
184756.61000000
0.038215924013
Long
DBT
NUSS
ES
N
2
2171-03-14
Fixed
4.37500000
N
N
N
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 0.500000% 03/08/2028
09857LAT5
110000.00000000
PA
90336.08000000
0.018685538606
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
10000.00000000
PA
USD
8250.00000000
0.001706468705
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
267915.24000000
0.055416845188
Long
DBT
NUSS
US
N
2
2031-07-15
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2514449.63000000
0.520100558218
N/A
DFE
US
N
2
JPM CHASE
N/A
7889358000.00000000
JPY
57036019.77000000
USD
2022-10-07
2514449.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
16064.88000000
0.003322935148
N/A
DFE
US
N
2
JPM CHASE
N/A
415000.00000000
NZD
250799.90000000
USD
2022-10-07
16064.88000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.125000% 06/01/2026
N/A
1790000.00000000
PA
1186347.48000000
0.245389678611
Long
DBT
NUSS
SG
N
2
2026-06-01
Fixed
2.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-18579.54000000
-0.00384307922
N/A
DFE
US
N
2
JPM CHASE
N/A
452000.00000000
GBP
486211.88000000
USD
2022-11-07
-18579.54000000
N
N
N
N/A
N/A
N/A
N/A
1082000.00000000
NC
149050.60000000
0.030830325387
N/A
DIR
XX
N
2
N/A
N/A
Y
2027-05-10
0.00000000
GBP
0.00000000
GBP
-1082000.00000000
GBP
149050.60000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.850000% 06/30/2120
N/A
87000.00000000
PA
36251.63000000
0.007498457226
Long
DBT
NUSS
AT
N
2
2120-06-30
Fixed
0.85000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
3522000.00000000
PA
86768.98000000
0.017947702907
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
812177.47000000
0.167994598292
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
815090.86000000
0.168597217548
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
63840.42000000
0.013205051985
Long
DBT
NUSS
FI
N
2
2052-04-15
Fixed
0.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
2374000.00000000
PA
470669.40000000
0.097355466880
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
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
664155.49000000
0.137377037492
Long
DBT
NUSS
FR
N
2
2024-02-23
Fixed
0.25000000
N
N
N
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
PROVINCE OF ONTARIO CANADA MTN 0.250000% 12/15/2026
N/A
2337000.00000000
PA
2103206.08000000
0.435037012953
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/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-6780.97000000
-0.00140260764
N/A
DFE
US
N
2
JPM CHASE
N/A
226000.00000000
GBP
245512.84000000
USD
2022-10-07
-6780.97000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6400.88000000
-0.00132398804
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
250312.63000000
USD
240000.00000000
CHF
2022-10-07
-6400.88000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 0.500000% 05/17/2024
N/A
505000.00000000
PA
477244.96000000
0.098715586560
Long
DBT
NUSS
AU
N
2
2024-05-17
Fixed
0.50000000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2022-10-21
N/A
1.00000000
NC
-60227.96000000
-0.01245783381
N/A
DFE
TW
N
2
STANDARD CHARTERED BANK
N/A
925149.08000000
USD
27466751.00000000
TWD
2022-10-21
-60227.96000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-12-12
N/A
1.00000000
NC
293.14000000
0.000060634452
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
45761.56000000
USD
45000.00000000
CHF
2022-12-12
293.14000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.000000% 12/20/2035
N/A
15600000.00000000
PA
113306.79000000
0.023436908031
Long
DBT
NUSS
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-20684.17000000
-0.00427841076
N/A
DFE
NO
N
2
UBS WARBURG
N/A
246442.73000000
USD
2460000.00000000
NOK
2022-10-07
-20684.17000000
N
N
N
CHEPLAPHARM Arzneimittel GmbH
529900ONXKBELT7EW052
CHEPLAPHARM ARZNEIMITTEL GMBH 144A 3.500000% 02/11/2027
N/A
191000.00000000
PA
152779.42000000
0.031601612010
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
267858.48000000
0.055405104683
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
932607.15000000
0.192904838309
Long
DBT
NUSS
NL
N
2
2026-11-16
Fixed
0.00000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-10-27
N/A
1.00000000
NC
-73497.77000000
-0.01520262356
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
914273.00000000
USD
1206118025.00000000
KRW
2022-10-27
-73497.77000000
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA 0.250000% 07/02/2025
58507LAM1
115000.00000000
PA
104039.24000000
0.021519964510
Long
DBT
NUSS
US
N
2
2025-07-02
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-14375.16000000
-0.00297342553
N/A
DFE
US
N
2
JPM CHASE
N/A
2713000.00000000
RON
520301.34000000
USD
2022-11-07
-14375.16000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1894.16000000
-0.00039179694
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
608417.58000000
USD
619000.00000000
EUR
2022-10-07
-1894.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-12-07
N/A
1.00000000
NC
USD
23154.37000000
0.004789358521
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
858327.92000000
CHF
901004.92000000
USD
2022-12-07
23154.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-891.64000000
-0.00018443100
N/A
DFE
US
N
2
JPM CHASE
N/A
410000.00000000
SEK
36126.71000000
USD
2022-11-07
-891.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-20
N/A
1.00000000
NC
USD
473897.93000000
0.098023271172
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
9907976.78000000
AUD
6844628.52000000
USD
2022-10-20
473897.93000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7446.33000000
-0.00154023383
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
225951.54000000
USD
223000.00000000
EUR
2022-10-07
-7446.33000000
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC MTN 1.625000% 09/18/2025
N/A
415000.00000000
PA
381661.61000000
0.078944678009
Long
DBT
NUSS
ZA
N
2
2025-09-18
Fixed
1.62500000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-20
N/A
1.00000000
NC
-35229.15000000
-0.00728696266
N/A
DFE
AU
N
2
CREDIT SUISSE FIRST BOSTON LLC.
N/A
882256.13000000
USD
1317325.16000000
AUD
2022-10-20
-35229.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
14553.82000000
0.003010380409
N/A
DFE
US
N
2
JPM CHASE
N/A
415000.00000000
NZD
249288.84000000
USD
2022-10-07
14553.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2704.10000000
0.000559328730
N/A
DFE
US
N
2
JPM CHASE
N/A
126000.00000000
EUR
126164.44000000
USD
2022-10-07
2704.10000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
10667.37000000
0.002206488857
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
239494.75000000
USD
224000.00000000
GBP
2022-11-07
10667.37000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-44.00000000
NC
-4734879.77000000
-0.97938474570
N/A
DIR
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.K. Gilt Futures
U.K. Long Gilt Future Dec 2022
2022-12-31
-4999691.35000000
GBP
264811.58000000
N
N
N
PENSKE TRUCK LEASING CO., L.P.
549300ZX07JYMI8GHQ39
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 144A 2.700000% 03/14/2023
709599AY0
1275000.00000000
PA
USD
1261510.37000000
0.260936723411
Long
DBT
CORP
US
N
2
2023-03-14
Fixed
2.70000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.750000% 05/25/2052
N/A
202000.00000000
PA
112161.18000000
0.023199944684
Long
DBT
NUSS
FR
N
2
2052-05-25
Fixed
0.75000000
N
N
N
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
329946.80000000
0.068247744084
Long
DBT
NUSS
AU
N
2
2029-03-01
Fixed
0.75000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC22 FINANCIAL COMMODITY FUTURE.
N/A
20.00000000
NC
USD
2241250.00000000
0.463590665010
N/A
DIR
US
N
1
GOLDMAN SACHS & CO
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2022
2022-12-23
2239411.21000000
USD
1838.79000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-38105.48000000
-0.00788191625
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
504747.38000000
USD
825000.00000000
NZD
2022-10-07
-38105.48000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
8244600.00000000
PA
340030.55000000
0.070333514243
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 08/15/2051
912810SZ2
352000.00000000
PA
USD
240432.50000000
0.049732186309
Long
DBT
UST
US
N
1
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2004-A5 JPMMT 2004-A5 3A1
466247FZ1
19201.01980000
PA
USD
18373.74000000
0.003800510583
Long
ABS-MBS
US
N
2
2034-12-25
Floating
3.10386240
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2022-10-26
N/A
1.00000000
NC
USD
21289.02000000
0.004403520776
N/A
DFE
US
N
2
JP MORGAN
N/A
3887900.00000000
PEN
997281.01000000
USD
2022-10-26
21289.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
13331.82000000
0.002757616196
N/A
DFE
US
N
2
JPM CHASE
N/A
600000.00000000
CHF
623111.19000000
USD
2022-10-07
13331.82000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-10-03
N/A
1.00000000
NC
-10004.70000000
-0.00206941908
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
352503.18000000
USD
1691600.00000000
PLN
2022-10-03
-10004.70000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.375000% 08/19/2030
N/A
9406000.00000000
PA
750335.93000000
0.155203004024
Long
DBT
NUSS
NO
N
2
2030-08-19
Fixed
1.37500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.600000% 09/20/2023
N/A
644100000.00000000
PA
4480999.41000000
0.926870940945
Long
DBT
NUSS
JP
N
2
2023-09-20
Fixed
0.60000000
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
159486.73000000
0.032988983478
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.500000% 07/15/2028
T6052BE87
2352000.00000000
PA
1902610.70000000
0.393544923444
Long
DBT
NUSS
IT
N
2
2028-07-15
Fixed
0.50000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-10-27
N/A
1.00000000
NC
-83159.18000000
-0.01720103493
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
952066.00000000
USD
1246473671.00000000
KRW
2022-10-27
-83159.18000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.100000% 09/20/2117
N/A
50000.00000000
PA
37471.71000000
0.007750824298
Long
DBT
NUSS
AT
N
2
2117-09-20
Fixed
2.10000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-963.92000000
-0.00019938173
N/A
DFE
NO
N
2
UBS WARBURG
N/A
120347.19000000
USD
1300000.00000000
NOK
2022-11-07
-963.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
634.88000000
0.000131321557
N/A
DFE
US
N
2
JPM CHASE
N/A
38000.00000000
EUR
37868.95000000
USD
2022-10-07
634.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
41953.75000000
0.008677910479
N/A
DFE
US
N
2
JPM CHASE
N/A
1105000.00000000
AUD
752422.13000000
USD
2022-10-07
41953.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-7297.79000000
-0.00150950912
N/A
DFE
US
N
2
JPM CHASE
N/A
503000.00000000
EUR
486571.82000000
USD
2022-11-07
-7297.79000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-10-07
N/A
1.00000000
NC
169.28000000
0.000035014669
N/A
DFE
MX
N
2
J P MORGAN CHASE BANK
N/A
184237.88000000
USD
3710000.00000000
MXN
2022-10-07
169.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-11-18
N/A
1.00000000
NC
USD
-13785.56000000
-0.00285146990
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
17756781.43000000
MXN
862067.56000000
USD
2022-11-18
-13785.56000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 2.950000% 12/18/2028
110709GH9
1653000.00000000
PA
1147157.10000000
0.237283356546
Long
DBT
NUSS
CA
N
2
2028-12-18
Fixed
2.95000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1778.60000000
-0.00036789396
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
247802.15000000
USD
35600000.00000000
JPY
2022-10-07
-1778.60000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-16666.71000000
-0.00344742048
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
755428.45000000
USD
106900000.00000000
JPY
2022-10-07
-16666.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1933.67000000
0.000399969374
N/A
DFE
US
N
2
JPM CHASE
N/A
335000.00000000
CAD
245739.00000000
USD
2022-10-07
1933.67000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-391.19000000
-0.00008091557
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
35961.65000000
USD
35000.00000000
CHF
2022-10-07
-391.19000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1907.22000000
-0.00039449833
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
493263.25000000
USD
71100000.00000000
JPY
2022-10-07
-1907.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4288.17000000
0.000886985201
N/A
DFE
US
N
2
JPM CHASE
N/A
35500000.00000000
JPY
249620.65000000
USD
2022-10-07
4288.17000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-20906.78000000
-0.00432445646
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
626981.66000000
USD
87700000.00000000
JPY
2022-10-07
-20906.78000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.000000% 02/05/2048
N/A
300000.00000000
PA
221582.14000000
0.045833089408
Long
DBT
NUSS
FR
N
2
2048-02-05
Fixed
2.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-13992.73000000
-0.00289432192
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
251887.12000000
USD
370000.00000000
AUD
2022-10-07
-13992.73000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 1.000000% 12/21/2030
N/A
1059000.00000000
PA
544389.91000000
0.112604163034
Long
DBT
NUSS
AU
N
2
2030-12-21
Fixed
1.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.370000% 01/20/2027
N/A
16030000.00000000
PA
2244798.01000000
0.464324552044
Long
DBT
NUSS
CN
N
2
2027-01-20
Fixed
2.37000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.720000% 04/12/2051
N/A
40930000.00000000
PA
6279344.47000000
1.298849070241
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
2037293.15000000
0.421403273276
Long
DBT
NUSS
IT
N
2
2031-12-01
Fixed
0.95000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.660000% 03/01/2031
N/A
4680000.00000000
PA
690992.89000000
0.142928211218
Long
DBT
NUSS
CN
N
2
2031-03-01
Fixed
3.66000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3231.52000000
-0.00066842275
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
76737.01000000
USD
101000.00000000
CAD
2022-10-07
-3231.52000000
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
282970.61000000
0.058530968552
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
1383773.63000000
0.286226229718
Long
DBT
NUSS
CA
N
2
2029-06-01
Fixed
2.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1424.38000000
-0.00029462544
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
38263.74000000
USD
33000.00000000
GBP
2022-10-07
-1424.38000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-10-13
N/A
1.00000000
NC
1065.98000000
0.000220492304
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
870303.94000000
USD
15672516.99000000
ZAR
2022-10-13
1065.98000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.375000% 09/01/2033
N/A
515000.00000000
PA
355859.29000000
0.073607605087
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/CNY SETTLE 2022-12-08
N/A
1.00000000
NC
USD
98052.70000000
0.020281680490
N/A
DFE
US
N
2
JP MORGAN
N/A
22374800.00000000
CNY
3246535.79000000
USD
2022-12-08
98052.70000000
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 7.750000% MATURITY: PERPETUAL
05565AM34
265000.00000000
PA
USD
244542.00000000
0.050582214569
Long
DBT
NUSS
FR
N
2
2171-02-16
Fixed
7.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-11-14
N/A
1.00000000
NC
3478.76000000
0.000719563039
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
558174.64000000
USD
571749.63000000
EUR
2022-11-14
3478.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2099.08000000
0.000434183555
N/A
DFE
US
N
2
JPM CHASE
N/A
39820000.00000000
ZAR
2217149.22000000
USD
2022-10-07
2099.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
19224.39000000
0.003976463020
N/A
DFE
US
N
2
JPM CHASE
N/A
5408000.00000000
SEK
506625.57000000
USD
2022-10-07
19224.39000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.350000% 07/30/2033
N/A
396000.00000000
PA
354982.85000000
0.073426318125
Long
DBT
NUSS
ES
N
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-07
N/A
1.00000000
NC
2487.92000000
0.000514613045
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
237824.48000000
USD
425000.00000000
NZD
2022-11-07
2487.92000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
22373.75000000
0.004627891418
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
479067.29000000
USD
449000.00000000
GBP
2022-11-07
22373.75000000
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 144A 5.250000% 08/11/2025
00928QAT8
261000.00000000
PA
USD
245686.76000000
0.050819002098
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
506550000.00000000
PA
3981253.08000000
0.823501065446
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
409546.54000000
0.084712527755
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
237580.94000000
0.049142356260
Long
DBT
NUSS
CH
N
2
2029-02-16
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
13383.52000000
0.002768310066
N/A
DFE
US
N
2
JPM CHASE
N/A
415000.00000000
NZD
248118.54000000
USD
2022-10-07
13383.52000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/23/2034
N/A
23735000.00000000
PA
1017651.04000000
0.210495715508
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.625000% 05/18/2027
N/A
225000.00000000
PA
200449.42000000
0.041461898457
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
466518.05000000
0.096496782170
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
187077.85000000
0.038696060185
Long
DBT
CORP
US
N
2
2026-09-20
Fixed
1.95000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-223.00000000
NC
-23411537.41000000
-4.84255223505
N/A
DIR
DE
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
Germany Govt. Bond Futures
Euro-Schatz Future Dec 2022
2022-12-11
-24106508.99000000
EUR
694971.58000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
6468.23000000
0.001337919039
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
238011.17000000
USD
219000.00000000
GBP
2022-10-07
6468.23000000
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
VIRGIN MEDIA FINANCE PLC 144A 5.000000% 07/15/2030
92769VAJ8
235000.00000000
PA
USD
172817.83000000
0.035746450746
Long
DBT
NUSS
GB
N
2
2030-07-15
Fixed
5.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-11093.85000000
-0.00229470398
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
248988.24000000
USD
370000.00000000
AUD
2022-10-07
-11093.85000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-73616.22000000
-0.01522712432
N/A
DFE
GB
N
2
JP MORGAN
N/A
2009174.46000000
USD
1732700.00000000
GBP
2022-12-12
-73616.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
29340.32000000
0.006068889441
N/A
DFE
US
N
2
JPM CHASE
N/A
1115000.00000000
AUD
746238.28000000
USD
2022-10-07
29340.32000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6220.68000000
-0.00128671463
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
248467.39000000
USD
217000.00000000
GBP
2022-10-07
-6220.68000000
N
N
N
AUST 10Y BOND FUT DEC22
N/A
AUST 10Y BOND FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
36.00000000
NC
2710803.26000000
0.560715264257
Long
AU
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2022-12-21
N/A
1.00000000
NC
USD
17096.40000000
0.003536299585
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
71706088.66000000
INR
890720.36000000
USD
2022-12-21
17096.40000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.500000% 01/22/2045
N/A
1036000.00000000
PA
1079923.20000000
0.223376381237
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
Province of Saskatchewan
549300FKDIB7OJMBSP83
PROVINCE OF SASKATCHEWAN 3.250000% 06/08/2027
803854KQ0
295000.00000000
PA
USD
279616.78000000
0.057837246620
Long
DBT
NUSS
CA
N
2
2027-06-08
Fixed
3.25000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 0.250000% 03/17/2028
N/A
470000.00000000
PA
379846.49000000
0.078569230072
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
63209.57000000
0.013074564011
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
229238.09000000
0.047416682025
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-15482.26000000
-0.00320242329
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
250217.28000000
USD
415000.00000000
NZD
2022-10-07
-15482.26000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 4.000000% 04/30/2035
N/A
2330000.00000000
PA
2175900.94000000
0.450073558849
Long
DBT
NUSS
IT
N
2
2035-04-30
Fixed
4.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6070.55000000
-0.00125566104
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
247112.17000000
USD
246000.00000000
EUR
2022-10-07
-6070.55000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 3.869000% 03/28/2026
456837BA0
505000.00000000
PA
USD
478755.91000000
0.099028118547
Long
DBT
NUSS
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-11-07
N/A
1.00000000
NC
3877.38000000
0.000802015470
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
178746.37000000
USD
186000.00000000
EUR
2022-11-07
3877.38000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
16.00000000
NC
1721774.44000000
0.356139903017
N/A
DIR
GB
N
1
GOLDMAN SACHS & CO
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Dec 2022
2022-12-31
1668637.33000000
GBP
53137.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7454.83000000
0.001541992012
N/A
DFE
US
N
2
JPM CHASE
N/A
370000.00000000
AUD
245349.22000000
USD
2022-10-07
7454.83000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 1.850000% 05/23/2049
N/A
545000.00000000
PA
431973.25000000
0.089351373668
Long
DBT
NUSS
AT
N
2
2049-05-23
Fixed
1.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
64851.25000000
0.013414136805
N/A
DFE
US
N
2
JPM CHASE
N/A
1366000.00000000
GBP
1589777.57000000
USD
2022-10-07
64851.25000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 0.250000% 10/25/2026
N/A
2272000.00000000
PA
344227.09000000
0.071201546265
Long
DBT
NUSS
PL
N
2
2026-10-25
Fixed
0.25000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
18489000000.00000000
PA
1147635.39000000
0.237382288294
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
395856.03000000
0.081880718436
Long
DBT
NUSS
US
N
2
2024-06-19
Fixed
2.37500000
N
N
N
N
N
N
ASIAN DEVELOPMENT BANK
549300X0MVH42CY8Q105
ASIAN DEVELOPMENT BANK MTN 2.350000% 06/21/2027
N/A
410000000.00000000
PA
3113815.61000000
0.644076229497
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
90250.50000000
0.018667836837
Long
DBT
NUSS
GB
N
2
2028-02-15
Floating
4.44600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
3144.80000000
0.000650485186
N/A
DFE
US
N
2
JPM CHASE
N/A
1710000.00000000
NZD
970048.80000000
USD
2022-11-07
3144.80000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.700000% 09/01/2051
N/A
507000.00000000
PA
289253.79000000
0.059830610981
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 2022-10-07
N/A
1.00000000
NC
USD
21673.26000000
0.004482998780
N/A
DFE
US
N
2
JPM CHASE
N/A
740000.00000000
AUD
497462.04000000
USD
2022-10-07
21673.26000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.375000% 09/01/2033
N/A
677000.00000000
PA
467799.50000000
0.096761843300
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/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1117.29000000
0.000231105505
N/A
DFE
US
N
2
JPM CHASE
N/A
35000.00000000
CHF
36687.75000000
USD
2022-10-07
1117.29000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-949.45000000
-0.00019638869
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
249942.69000000
USD
245000.00000000
CHF
2022-10-07
-949.45000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.875000% 06/22/2029
N/A
16455000.00000000
PA
483912.75000000
0.100094783526
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2022-10-27
N/A
1.00000000
NC
USD
80961.15000000
0.016746384101
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1223574294.00000000
KRW
933905.00000000
USD
2022-10-27
80961.15000000
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO 1.375000% 09/14/2061
532457CC0
195000.00000000
PA
97288.30000000
0.020123568408
Long
DBT
NUSS
US
N
2
2061-09-14
Fixed
1.37500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-13765.58000000
-0.00284733714
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
377693.82000000
USD
326000.00000000
GBP
2022-10-07
-13765.58000000
N
N
N
ASR Nederland N.V.
7245000G0HS48PZWUD53
ASR NEDERLAND NV 3.375000% 05/02/2049
N/A
255000.00000000
PA
208305.25000000
0.043086835191
Long
DBT
NUSS
NL
N
2
2049-05-02
Fixed
3.37500000
N
N
N
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP 144A 1.162000% 04/03/2026
62954WAC9
345000.00000000
PA
USD
301358.92000000
0.062334492863
Long
DBT
NUSS
JP
N
2
2026-04-03
Fixed
1.16200000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.500000% 12/07/2042
N/A
230000.00000000
PA
273478.99000000
0.056567677341
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4855.48000000
-0.00100433026
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
111110.94000000
USD
146000.00000000
CAD
2022-10-07
-4855.48000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
2273.27000000
0.000470213832
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
490631.72000000
USD
485000.00000000
CHF
2022-10-07
2273.27000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
13565.13000000
0.002805875131
N/A
DFE
US
N
2
JPM CHASE
N/A
616000.00000000
EUR
617149.02000000
USD
2022-10-07
13565.13000000
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP 1.125000% 07/13/2027
756109BB9
385000.00000000
PA
334183.54000000
0.069124091263
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
2626000.00000000
PA
554070.91000000
0.114606626494
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3524.77000000
-0.00072907996
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
250930.48000000
USD
35800000.00000000
JPY
2022-10-07
-3524.77000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-12-02
N/A
1.00000000
NC
-8986.83000000
-0.00185887807
N/A
DFE
JP
N
2
ROYAL BANK OF SCOTLAND
N/A
897016.00000000
USD
127726144.00000000
JPY
2022-12-02
-8986.83000000
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 6.373000% 07/15/2026
225401AY4
265000.00000000
PA
USD
256052.76000000
0.052963154171
Long
DBT
NUSS
CH
N
2
2026-07-15
Fixed
6.37300000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-8.00000000
NC
USD
-1096000.00000000
-0.22670178197
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2022
2022-12-23
-1201236.48000000
USD
105236.48000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2033
N/A
552000.00000000
PA
445930.47000000
0.092238350534
Long
DBT
NUSS
IT
N
2
2033-09-01
Fixed
2.45000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7806.16000000
-0.00161466275
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
626320.43000000
USD
89500000.00000000
JPY
2022-10-07
-7806.16000000
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 2.750000% 08/09/2049
N/A
315000.00000000
PA
182423.76000000
0.037733386374
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
6208.79980000
PA
USD
5412.66000000
0.001119579988
Long
ABS-MBS
US
N
2
2034-09-25
Floating
4.02095880
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
3052.15000000
0.000631321025
N/A
DFE
US
N
2
JPM CHASE
N/A
218000.00000000
GBP
246415.21000000
USD
2022-10-07
3052.15000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-14479.29000000
-0.00299496427
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
249214.31000000
USD
415000.00000000
NZD
2022-10-07
-14479.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
6163.62000000
0.001274912077
N/A
DFE
US
N
2
JPM CHASE
N/A
665000.00000000
CAD
490135.38000000
USD
2022-10-07
6163.62000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 5.500000% 04/15/2023
N/A
2356000.00000000
PA
1342797.93000000
0.277750623689
Long
DBT
NUSS
NZ
N
2
2023-04-15
Fixed
5.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-13245.02000000
-0.00273966207
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
625647.50000000
USD
625000.00000000
EUR
2022-10-07
-13245.02000000
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
57295.87000000
0.011851346559
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
263919.77000000
0.054590403428
Long
DBT
NUSS
US
N
2
2024-11-08
Fixed
0.62500000
N
N
N
N
N
N
Thermo Fisher Scientific (Finance I) B.V.
549300SM0PJC1F3RPL91
THERMO FISHER SCIENTIFIC FINANCE I BV 0.000000% 11/18/2025
N/A
206000.00000000
PA
182578.51000000
0.037765395590
Long
DBT
NUSS
US
N
2
2025-11-18
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-11-07
N/A
1.00000000
NC
USD
58883.41000000
0.012179720780
N/A
DFE
US
N
2
JPM CHASE
N/A
7192006000.00000000
JPY
49918313.66000000
USD
2022-11-07
58883.41000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
1136.83000000
0.000235147250
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
242774.92000000
USD
240000.00000000
CHF
2022-10-07
1136.83000000
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) DEC22 FINANCIAL COMMODITY FUTURE.
N/A
17.00000000
NC
17417527.38000000
3.602723079056
N/A
DIR
JP
N
1
GOLDMAN SACHS & CO
N/A
Long
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Dec 2022
2022-12-16
17455417.52000000
JPY
-37890.14000000
N
N
N
DANISH KRONE
N/A
FX Forward Contract: DKK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
14368.89000000
0.002972128620
N/A
DFE
DK
N
2
CITIGROUP GLOBAL MARKETS
N/A
582486.39000000
USD
4529000.00000000
DKK
2022-10-07
14368.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-12-12
N/A
1.00000000
NC
USD
-835.34000000
-0.00017278564
N/A
DFE
US
N
2
JP MORGAN
N/A
366000.00000000
SEK
32297.08000000
USD
2022-12-12
-835.34000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
1493000.00000000
PA
225778.84000000
0.046701154525
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
2256959.81000000
0.466840155814
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
199231.72000000
0.041210023676
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/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
42179.43000000
0.008724591189
N/A
DFE
US
N
2
JPM CHASE
N/A
175400000.00000000
JPY
1254329.19000000
USD
2022-10-07
42179.43000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.000000% 03/20/2052
N/A
28350000.00000000
PA
178416.29000000
0.036904462478
Long
DBT
NUSS
JP
N
2
2052-03-20
Fixed
1.00000000
N
N
N
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
26048.72000000
0.005388039454
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/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
12774.00000000
0.002642234090
N/A
DFE
US
N
2
JPM CHASE
N/A
71600000.00000000
JPY
507585.42000000
USD
2022-10-07
12774.00000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.000000% 12/20/2035
N/A
34400000.00000000
PA
249856.01000000
0.051681389328
Long
DBT
NUSS
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
1342.36000000
0.000277660040
N/A
DFE
US
N
2
JPM CHASE
N/A
9582000.00000000
MYR
2064605.65000000
USD
2022-11-07
1342.36000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
259750000.00000000
PA
1759703.29000000
0.363985284297
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
2966000000.00000000
PA
480771.43000000
0.099445018160
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-12862.34000000
-0.00266050675
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
500685.84000000
USD
480000.00000000
CHF
2022-10-07
-12862.34000000
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP VARIABLE RATE 02/14/2024
855244BB4
330000.00000000
PA
USD
328029.65000000
0.067851191784
Long
DBT
CORP
US
N
2
2024-02-14
Floating
2.71597320
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.000000% 04/15/2024
N/A
1429000.00000000
PA
1342599.52000000
0.277709583634
Long
DBT
NUSS
IT
N
2
2024-04-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2370.67000000
0.000490360504
N/A
DFE
US
N
2
JPM CHASE
N/A
335000.00000000
CAD
246176.00000000
USD
2022-10-07
2370.67000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2040
N/A
91800000.00000000
PA
777717.14000000
0.160866661962
Long
DBT
NUSS
JP
N
2
2040-03-20
Fixed
2.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
37364.93000000
0.007728737421
N/A
DFE
US
N
2
JPM CHASE
N/A
115981000.00000000
JPY
838883.41000000
USD
2022-10-07
37364.93000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-24.00000000
NC
-2519627.36000000
-0.52117154418
N/A
DIR
DE
N
1
MORGAN STANLEY & CO, INC
N/A
Short
Germany Govt. Bond Futures
Euro-Schatz Future Dec 2022
2022-12-11
-2602895.58000000
EUR
83268.22000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-20
N/A
1.00000000
NC
-54688.48000000
-0.01131202177
N/A
DFE
AU
N
2
CREDIT SUISSE FIRST BOSTON LLC.
N/A
730649.97000000
USD
1051278.28000000
AUD
2022-10-20
-54688.48000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.500000% 12/01/2032
N/A
406000.00000000
PA
333380.34000000
0.068957953607
Long
DBT
NUSS
IT
N
2
2032-12-01
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9448.34000000
0.001954338973
N/A
DFE
US
N
2
JPM CHASE
N/A
217000.00000000
GBP
251695.05000000
USD
2022-10-07
9448.34000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 0.500000% 12/01/2030
135087L44
1028000.00000000
PA
603497.83000000
0.124830322517
Long
DBT
NUSS
CA
N
2
2030-12-01
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-01-06
N/A
1.00000000
NC
USD
18044.54000000
0.003732417311
N/A
DFE
US
N
2
JPM CHASE
N/A
355700000.00000000
JPY
2504477.89000000
USD
2023-01-06
18044.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-3158.32000000
-0.00065328172
N/A
DFE
US
N
2
JPM CHASE
N/A
1167000.00000000
CHF
1186482.04000000
USD
2022-11-07
-3158.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-11-18
N/A
1.00000000
NC
USD
73301.05000000
0.015161933079
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1428383.63000000
NZD
881041.31000000
USD
2022-11-18
73301.05000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MATURITY: PERPETUAL
48127FAA1
3000.00000000
PA
USD
3000.00000000
0.000620534074
Long
DBT
CORP
US
N
2
2171-01-01
Floating
5.59713960
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-13637.32000000
-0.00282080724
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
999113.69000000
USD
142600000.00000000
JPY
2022-10-07
-13637.32000000
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 0.010000% 03/18/2025
N/A
645000.00000000
PA
588339.68000000
0.121694939655
Long
DBT
NUSS
CA
N
2
2025-03-18
Fixed
0.01000000
N
N
N
N
N
N
Nordea Kiinnitysluottopankki Oyj
7437001LESKGLAEOEU84
NORDEA KIINNITYSLUOTTOPANKKI OYJ MTN 0.250000% 03/18/2026
N/A
480000.00000000
PA
429605.10000000
0.088861534412
Long
DBT
NUSS
FI
N
2
2026-03-18
Fixed
0.25000000
N
N
N
N
N
N
CONSOLIDATED EDISON, INC.
54930033SBW53OO8T749
CONSOLIDATED EDISON INC 0.650000% 12/01/2023
209115AE4
1065000.00000000
PA
USD
1014072.31000000
0.209755474204
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
19223.78000000
0.003976336845
N/A
DFE
US
N
2
JPM CHASE
N/A
27819000.00000000
CZK
1128033.57000000
USD
2022-10-07
19223.78000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-101.30000000
-0.00002095336
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
35671.76000000
USD
35000.00000000
CHF
2022-10-07
-101.30000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.250000% 12/20/2047
N/A
300000.00000000
PA
236835.33000000
0.048988130789
Long
DBT
NUSS
FR
N
2
2047-12-20
Fixed
2.25000000
N
N
N
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV MTN 2.125000% 05/26/2031
N/A
300000.00000000
PA
261330.37000000
0.054054799783
Long
DBT
NUSS
NL
N
2
2031-05-26
Fixed
2.12500000
N
N
N
N
N
N
DNB BOLIGKREDITT AS
5967007LIEEXZX659K67
DNB BOLIGKREDITT AS MTN 0.375000% 11/20/2024
N/A
795000.00000000
PA
740448.06000000
0.153157750604
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
1484743.81000000
0.307111375459
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
205679.94000000
0.042543803754
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
262329.49000000
0.054261462452
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
503388.20000000
0.104123176975
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-10-07
N/A
1.00000000
NC
13417.12000000
0.002775260048
N/A
DFE
PA
N
2
BNP PARIBAS
N/A
649183.27000000
USD
3274000.00000000
PLN
2022-10-07
13417.12000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 10/24/2022
N/A
280100000.00000000
PA
1935262.89000000
0.400298855614
Long
DBT
NUSS
JP
N
2
2022-10-24
None
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
64350.10000000
0.013310476587
N/A
DFE
US
N
2
JPM CHASE
N/A
199962000.00000000
JPY
1446242.29000000
USD
2022-10-07
64350.10000000
N
N
N
SBB Treasury Oyj
5493003HHOCW6FIMH724
SBB TREASURY OYJ MTN 1.125000% 11/26/2029
N/A
160000.00000000
PA
96209.72000000
0.019900469860
Long
DBT
NUSS
SE
N
2
2029-11-26
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7227.34000000
0.001494936913
N/A
DFE
US
N
2
JPM CHASE
N/A
217000.00000000
GBP
249474.05000000
USD
2022-10-07
7227.34000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4256.46000000
0.000880426155
N/A
DFE
US
N
2
JPM CHASE
N/A
35900000.00000000
JPY
252353.25000000
USD
2022-10-07
4256.46000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 4.000000% 04/25/2055
N/A
139000.00000000
PA
162964.86000000
0.033708416205
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
72930.84000000
0.015085357106
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
103721.47000000
0.021454235472
Long
DBT
NUSS
DE
N
2
2028-04-24
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-10-04
N/A
1.00000000
NC
USD
29598.24000000
0.006122238824
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
4702255.02000000
BRL
898961.42000000
USD
2022-10-04
29598.24000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.950000% 07/30/2030
N/A
188000.00000000
PA
170993.68000000
0.035369135002
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
273630.08000000
0.056598929505
Long
DBT
NUSS
GB
N
2
2029-06-26
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
13521.86000000
0.002796924961
N/A
DFE
US
N
2
JPM CHASE
N/A
740000.00000000
AUD
489310.64000000
USD
2022-10-07
13521.86000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
11991000000.00000000
PA
771692.02000000
0.159620397874
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
175956.00000000
PA
USD
4398.90000000
0.000909889113
Long
DBT
NUSS
BR
N
2
2046-12-26
Fixed
0.00000000
N
N
Y
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 144A 2.875000% 04/01/2032
212015AV3
170000.00000000
PA
USD
124490.15000000
0.025750126681
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
2.87500000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 3.200000% 07/22/2029
713448FJ2
302000.00000000
PA
287879.34000000
0.059546313295
Long
DBT
NUSS
US
N
2
2029-07-22
Fixed
3.20000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-8943.04000000
-0.00184982035
N/A
DFE
PA
N
2
BARCLAYS CAPITAL INC.
N/A
185015.84000000
USD
870000.00000000
PLN
2022-10-07
-8943.04000000
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC 3.250000% MATURITY: PERPETUAL
N/A
612000.00000000
PA
531678.63000000
0.109974902243
Long
DBT
NUSS
GB
N
2
2171-06-22
Fixed
3.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-18622.03000000
-0.00385186805
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
357635.93000000
USD
3687200.00000000
NOK
2022-12-12
-18622.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-12-12
N/A
1.00000000
NC
USD
855075.28000000
0.176867782571
N/A
DFE
US
N
2
JP MORGAN
N/A
18978000.00000000
NZD
11589056.14000000
USD
2022-12-12
855075.28000000
N
N
N
KYNDRYL HOLDINGS, INC.
549300LQ4LWX2R8ZV130
KYNDRYL HOLDINGS INC 2.050000% 10/15/2026
50155QAJ9
455000.00000000
PA
USD
365450.86000000
0.075591570425
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.250000% 08/01/2036
N/A
1467000.00000000
PA
888327.85000000
0.183745900157
Long
DBT
NUSS
SG
N
2
2036-08-01
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-20
N/A
1.00000000
NC
USD
89839.19000000
0.018582759547
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1470894.14000000
AUD
1035609.50000000
USD
2022-10-20
89839.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-14569.98000000
-0.00301372301
N/A
DFE
US
N
2
JPM CHASE
N/A
4529000.00000000
DKK
583753.78000000
USD
2022-11-07
-14569.98000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-27
N/A
1.00000000
NC
-24303.67000000
-0.00502708512
N/A
DFE
CA
N
2
ROYAL BANK OF SCOTLAND
N/A
841182.53000000
USD
1122414.24000000
CAD
2022-10-27
-24303.67000000
N
N
N
CCEP FINANCE (IRELAND) DESIGNATED ACTIVITY COMPANY
549300C3FJ5JIMZNEN16
CCEP FINANCE IRELAND DAC 0.500000% 09/06/2029
G198A4AD7
335000.00000000
PA
262197.71000000
0.054234204458
Long
DBT
NUSS
GB
N
2
2029-09-06
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
3023.46000000
0.000625386651
N/A
DFE
US
N
2
JPM CHASE
N/A
35600000.00000000
JPY
249047.01000000
USD
2022-10-07
3023.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-10-03
N/A
1.00000000
NC
USD
-798.99000000
-0.00016526684
N/A
DFE
US
N
2
JP MORGAN
N/A
1721655.71000000
MYR
370487.56000000
USD
2022-10-03
-798.99000000
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 0.000000% 11/15/2031
N/A
2049000.00000000
PA
213861.26000000
0.044236066366
Long
DBT
NUSS
DK
N
2
2031-11-15
Fixed
0.00000000
N
N
N
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
1260.11000000
0.000260647064
N/A
DFE
TR
N
2
UBS WARBURG
N/A
178666.67000000
USD
3350000.00000000
TRY
2022-10-07
1260.11000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 1.750000% 06/21/2051
N/A
427000.00000000
PA
166740.53000000
0.034489393502
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-12-07
N/A
1.00000000
NC
USD
61.81000000
0.000012785070
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
629445.83000000
CHF
643824.36000000
USD
2022-12-07
61.81000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-13168.54000000
-0.00272384259
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
247848.14000000
USD
365000.00000000
AUD
2022-10-07
-13168.54000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-14849.80000000
-0.00307160230
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
7708181.42000000
USD
10571000.00000000
CAD
2022-10-07
-14849.80000000
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2022-12-21
N/A
1.00000000
NC
-3412.83000000
-0.00070592576
N/A
DFE
IN
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
866672.23000000
USD
70855377.33000000
INR
2022-12-21
-3412.83000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-11639.41000000
-0.00240755017
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
261107.04000000
USD
388000.00000000
AUD
2022-10-07
-11639.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
6253.95000000
0.001293596358
N/A
DFE
US
N
2
JPM CHASE
N/A
665000.00000000
CAD
490225.71000000
USD
2022-10-07
6253.95000000
N
N
N
DS SMITH PLC
39RSBE4RCI4M15BLWH36
DS SMITH PLC MTN 1.375000% 07/26/2024
N/A
430000.00000000
PA
402419.04000000
0.083238242215
Long
DBT
NUSS
GB
N
2
2024-07-26
Fixed
1.37500000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2022-10-11
N/A
1.00000000
NC
-16779.32000000
-0.00347071327
N/A
DFE
CN
N
2
JP MORGAN
N/A
297471.42000000
USD
1991000.00000000
CNY
2022-10-11
-16779.32000000
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
256355.54000000
0.053025782606
Long
DBT
CORP
US
N
2
2024-03-24
Fixed
3.02400000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
736.26000000
0.000152291472
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
18241.59000000
USD
17000.00000000
GBP
2022-10-07
736.26000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
7626.41000000
0.001577482424
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
244769.30000000
USD
226000.00000000
GBP
2022-11-07
7626.41000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-26
N/A
1.00000000
NC
-3742.63000000
-0.00077414314
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
596781.25000000
USD
85651000.00000000
JPY
2022-10-26
-3742.63000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.500000% 09/20/2024
N/A
1143450000.00000000
PA
7985309.09000000
1.651718795916
Long
DBT
NUSS
JP
N
2
2024-09-20
Fixed
0.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-5058.71000000
-0.00104636730
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
251773.34000000
USD
35700000.00000000
JPY
2022-10-07
-5058.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-26
N/A
1.00000000
NC
USD
208594.68000000
0.043146702250
N/A
DFE
US
N
2
JP MORGAN
N/A
2926091523.00000000
JPY
20468548.07000000
USD
2022-10-26
208594.68000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.020000% 05/27/2031
N/A
22640000.00000000
PA
3237578.75000000
0.669675978019
Long
DBT
NUSS
CN
N
2
2031-05-27
Fixed
3.02000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.480000% 01/08/2029
N/A
23680000.00000000
PA
3450283.39000000
0.713672803678
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
190731.93000000
0.039451887235
Long
DBT
NUSS
SG
N
2
2042-04-01
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
868.01000000
0.000179543260
N/A
DFE
US
N
2
JPM CHASE
N/A
117000.00000000
MYR
26096.31000000
USD
2022-10-07
868.01000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 5.200000% 09/20/2047
25470DAT6
36000.00000000
PA
USD
26569.48000000
0.005495755896
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-20730.67000000
-0.00428802904
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
626805.55000000
USD
87700000.00000000
JPY
2022-10-07
-20730.67000000
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 4.500000% 11/15/2039
N/A
2040000.00000000
PA
337896.77000000
0.069892153177
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
179550.00000000
0.037138964373
Long
DBT
NUSS
FR
N
2
2171-07-22
Fixed
5.62500000
N
N
N
N
N
N
BOSTON SCIENTIFIC CORPORATION
Y6ZDD9FP4P8JSSJMW954
BOSTON SCIENTIFIC CORP 0.625000% 12/01/2027
101137AY3
410000.00000000
PA
344186.00000000
0.071193047017
Long
DBT
NUSS
US
N
2
2027-12-01
Fixed
0.62500000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. REC: CNY/REPO/1W/CNRR007/0.00000
N/A
48010000.00000000
NC
39580.03000000
0.008186919098
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2027-08-05
0.00000000
CNY
0.00000000
CNY
-48010000.00000000
CNY
39580.03000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 05/15/2035
N/A
671000.00000000
PA
497637.51000000
0.102933677276
Long
DBT
NUSS
DE
N
2
2035-05-15
Fixed
0.00000000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 1.300000% 09/15/2025
03027XBB5
535000.00000000
PA
USD
474461.68000000
0.098139879867
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.30000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
286.05000000
0.000059167924
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
37684.99000000
USD
34000.00000000
GBP
2022-11-07
286.05000000
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
CELANESE US HOLDINGS LLC 5.900000% 07/05/2024
15089QAR5
195000.00000000
PA
USD
192297.18000000
0.039775650889
Long
DBT
CORP
US
N
2
2024-07-05
Fixed
5.90000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2870.44000000
-0.00059373527
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
246675.77000000
USD
335000.00000000
CAD
2022-10-07
-2870.44000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
2189200000.00000000
PA
338190.53000000
0.069952915874
Long
DBT
NUSS
CO
N
2
2031-03-26
Fixed
7.00000000
N
N
N
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC MTN 2.875000% 03/03/2026
718172BH1
170000.00000000
PA
160623.08000000
0.033224031443
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
153609.53000000
0.031773315857
Long
DBT
NUSS
CN
N
2
2032-08-03
Fixed
2.03100000
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 2.600000% 06/20/2037
500769CG7
241000000.00000000
PA
2133652.06000000
0.441334602296
Long
DBT
NUSS
DE
N
2
2037-06-20
Fixed
2.60000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.700000% 03/01/2047
N/A
55000.00000000
PA
40600.01000000
0.008397896546
Long
DBT
NUSS
IT
N
2
2047-03-01
Fixed
2.70000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-15757.12000000
-0.00325927662
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
244835.87000000
USD
405000.00000000
NZD
2022-10-07
-15757.12000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-15426.31000000
-0.00319085033
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
506328.14000000
USD
501000.00000000
EUR
2022-10-07
-15426.31000000
N
N
N
INTERNATIONAL FINANCE CORPORATION
QKL54NQY28TCDAI75F60
INTERNATIONAL FINANCE CORP MTN 2.375000% 07/19/2023
45950KCN8
1000000.00000000
PA
718241.69000000
0.148564480850
Long
DBT
NUSS
XX
N
2
2023-07-19
Fixed
2.37500000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 1.000000% 05/25/2027
N/A
4748000.00000000
PA
4398894.53000000
0.909887982364
Long
DBT
NUSS
FR
N
2
2027-05-25
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-1732.90000000
-0.00035844116
N/A
DFE
US
N
2
JPM CHASE
N/A
251000.00000000
EUR
244207.94000000
USD
2022-10-07
-1732.90000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.700000% 03/20/2037
N/A
38450000.00000000
PA
266279.77000000
0.055078556900
Long
DBT
NUSS
JP
N
2
2037-03-20
Fixed
0.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-11-30
N/A
1.00000000
NC
USD
20372.66000000
0.004213976574
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
4271433.62000000
PLN
877938.38000000
USD
2022-11-30
20372.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-27
N/A
1.00000000
NC
USD
27159.48000000
0.005617794264
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
875034.41000000
CAD
663998.44000000
USD
2022-10-27
27159.48000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
14630000.00000000
PA
498151.27000000
0.103039945804
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-10932.46000000
-0.00226132131
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
248826.85000000
USD
370000.00000000
AUD
2022-10-07
-10932.46000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-25200.15000000
-0.00521251725
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
1125564.93000000
USD
1123000.00000000
EUR
2022-10-07
-25200.15000000
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC MTN 1.694000% 03/26/2025
N/A
277000.00000000
PA
253277.38000000
0.052389081551
Long
DBT
NUSS
US
N
2
2025-03-26
Fixed
1.69400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
8553.16000000
0.001769175742
N/A
DFE
US
N
2
JPM CHASE
N/A
34900000.00000000
JPY
249739.17000000
USD
2022-10-07
8553.16000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-11705.15000000
-0.00242114814
N/A
DFE
US
N
2
JPM CHASE
N/A
58003000.00000000
THB
1529211.71000000
USD
2022-11-07
-11705.15000000
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
822787.74000000
0.170189276318
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/ZAR SETTLE 2022-10-13
N/A
1.00000000
NC
USD
14203.04000000
0.002937823428
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
15744574.22000000
ZAR
889579.25000000
USD
2022-10-13
14203.04000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
2994000.00000000
PA
2081340.16000000
0.430514163474
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-11070.29000000
-0.00228983072
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
248964.68000000
USD
370000.00000000
AUD
2022-10-07
-11070.29000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.000000% 04/20/2025
N/A
647000.00000000
PA
601515.98000000
0.124420387365
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
586342.24000000
0.121281779794
Long
DBT
NUSS
HU
N
2
2024-06-26
Fixed
3.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-897.26000000
-0.00018559346
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
245858.25000000
USD
250000.00000000
EUR
2022-10-07
-897.26000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.000000% 06/10/2031
N/A
2084740000.00000000
PA
1239084.61000000
0.256298074000
Long
DBT
NUSS
KR
N
2
2031-06-10
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
20733.40000000
0.004288593728
N/A
DFE
US
N
2
JPM CHASE
N/A
660000.00000000
CAD
501066.28000000
USD
2022-10-07
20733.40000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.750000% 10/20/2026
N/A
865000.00000000
PA
797962.22000000
0.165054249290
Long
DBT
NUSS
AT
N
2
2026-10-20
Fixed
0.75000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.572000% 06/03/2031
172967MS7
310000.00000000
PA
USD
243820.62000000
0.050433000945
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57200000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 09/20/2027
N/A
697900000.00000000
PA
4826645.45000000
0.998365989486
Long
DBT
NUSS
JP
N
2
2027-09-20
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
12348.15000000
0.002554149278
N/A
DFE
US
N
2
JPM CHASE
N/A
625000.00000000
EUR
624750.63000000
USD
2022-10-07
12348.15000000
N
N
N
JAGUAR LAND ROVER AUTOMOTIVE PLC
529900L73GEWN1O5NH84
JAGUAR LAND ROVER AUTOMOTIVE PLC 144A 4.500000% 10/01/2027
47010BAF1
200000.00000000
PA
USD
136014.02000000
0.028133778017
Long
DBT
NUSS
GB
N
2
2027-10-01
Fixed
4.50000000
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
178570.56000000
0.036936372409
Long
DBT
NUSS
GB
N
2
2034-10-17
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1317.23000000
0.000272462033
N/A
DFE
US
N
2
JPM CHASE
N/A
2500000.00000000
MXN
125580.81000000
USD
2022-10-07
1317.23000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.000000% 09/01/2024
N/A
4189000.00000000
PA
2896275.01000000
0.599079111183
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
189933.14000000
0.039286661764
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 2022-10-07
N/A
1.00000000
NC
-15525.74000000
-0.00321141690
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
632827.44000000
USD
630000.00000000
EUR
2022-10-07
-15525.74000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 04/25/2032
N/A
1090000.00000000
PA
139963.15000000
0.028950634594
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
N/A
N/A
570000.00000000
NC
-75440.86000000
-0.01560454141
N/A
DIR
XX
N
2
N/A
N/A
Y
2052-09-15
0.00000000
GBP
0.00000000
GBP
-570000.00000000
GBP
-75440.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-2154.46000000
-0.00044563861
N/A
DFE
US
N
2
JPM CHASE
N/A
5360000.00000000
NOK
490071.93000000
USD
2022-11-07
-2154.46000000
N
N
N
OFFICE PROPERTIES INCOME TRUST
N/A
OFFICE PROPERTIES INCOME TRUST 4.500000% 02/01/2025
81618TAC4
270000.00000000
PA
USD
240014.34000000
0.049645692132
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-17
N/A
1.00000000
NC
-27397.22000000
-0.00566696952
N/A
DFE
GB
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
918428.85000000
USD
797823.19000000
GBP
2022-11-17
-27397.22000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.800000% 09/20/2031
N/A
316950000.00000000
PA
2481623.58000000
0.513310664030
Long
DBT
NUSS
JP
N
2
2031-09-20
Fixed
1.80000000
N
N
N
N
N
N
VAR ENERGI ASA
549300LIVN3FFOJN2K47
VAR ENERGI ASA 144A 5.000000% 05/18/2027
92212WAA8
415000.00000000
PA
USD
395670.01000000
0.081842241187
Long
DBT
NUSS
NO
N
2
2027-05-18
Fixed
5.00000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 03/01/2046
N/A
200000.00000000
PA
126141.19000000
0.026091635541
Long
DBT
NUSS
SG
N
2
2046-03-01
Fixed
2.75000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2022-11-22
N/A
1.00000000
NC
-43168.86000000
-0.00892924953
N/A
DFE
CL
N
2
BNP PARIBAS
N/A
891678.00000000
USD
819354063.00000000
CLP
2022-11-22
-43168.86000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 1.125000% 11/03/2028
92343VFP4
240000.00000000
PA
196369.63000000
0.040618015553
Long
DBT
NUSS
US
N
2
2028-11-03
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
31552.93000000
0.006526556074
N/A
DFE
US
N
2
JPM CHASE
N/A
730000.00000000
AUD
500912.13000000
USD
2022-10-07
31552.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9574.29000000
0.001980391062
N/A
DFE
US
N
2
JPM CHASE
N/A
200000.00000000
NZD
122699.60000000
USD
2022-10-07
9574.29000000
N
N
N
Balder Finland Oyj
5493007P4MCJM21IB748
BALDER FINLAND OYJ MTN 1.375000% 05/24/2030
N/A
380000.00000000
PA
243317.31000000
0.050328893943
Long
DBT
NUSS
SE
N
2
2030-05-24
Fixed
1.37500000
N
N
N
N
N
N
United States of America
N/A
US LONG BOND(CBT) DEC22 FINANCIAL COMMODITY FUTURE.
N/A
23.00000000
NC
USD
2907343.75000000
0.601368621294
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Dec 2022
2022-12-23
3157176.97000000
USD
-249833.22000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-27
N/A
1.00000000
NC
-59096.70000000
-0.01222383868
N/A
DFE
CA
N
2
ROYAL BANK OF SCOTLAND
N/A
917802.34000000
USD
1179885.39000000
CAD
2022-10-27
-59096.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-9485.32000000
-0.00196198808
N/A
DFE
US
N
2
JPM CHASE
N/A
224000.00000000
GBP
240676.80000000
USD
2022-11-07
-9485.32000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1679.54000000
-0.00034740393
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
616540.40000000
USD
605000.00000000
CHF
2022-10-07
-1679.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1802.83000000
0.000372905815
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
245714.58000000
USD
2022-10-07
1802.83000000
N
N
N
ALLY FINANCIAL INC.
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC 4.700000% MATURITY: PERPETUAL
02005NBN9
116000.00000000
PA
USD
82650.00000000
0.017095713759
Long
DBT
CORP
US
N
2
2171-08-15
Fixed
4.70000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-13584.04000000
-0.00280978656
N/A
DFE
CA
N
2
STATE STREET BANK
N/A
250111.59000000
USD
325000.00000000
CAD
2022-10-07
-13584.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-12-07
N/A
1.00000000
NC
USD
18378.50000000
0.003801495164
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
861450.11000000
CHF
899422.25000000
USD
2022-12-07
18378.50000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2449.84000000
-0.00050673639
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
205398.54000000
USD
29367000.00000000
JPY
2022-10-07
-2449.84000000
N
N
N
Kommuninvest i Sverige Aktiebolag
EV2XZWMLLXF2QRX0CD47
KOMMUNINVEST I SVERIGE AB MTN 1.000000% 10/02/2024
N/A
5830000.00000000
PA
501051.83000000
0.103639911243
Long
DBT
NUSS
SE
N
2
2024-10-02
Fixed
1.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY INC.
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC 0.500000% 01/15/2041
N/A
170000.00000000
PA
89163.36000000
0.018442967699
Long
DBT
NUSS
US
N
2
2041-01-15
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2700.46000000
0.000558575815
N/A
DFE
US
N
2
JPM CHASE
N/A
743000.00000000
EUR
730724.53000000
USD
2022-10-07
2700.46000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.375000% 05/15/2048
N/A
13040000000.00000000
PA
849665.93000000
0.175748887239
Long
DBT
NUSS
ID
N
2
2048-05-15
Fixed
7.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5674.56000000
0.001173752613
N/A
DFE
US
N
2
JPM CHASE
N/A
130000.00000000
NZD
79206.01000000
USD
2022-10-07
5674.56000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC22 FINANCIAL COMMODITY FUTURE.
N/A
22.00000000
NC
USD
2465375.00000000
0.509949731511
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2022
2022-12-23
2593103.48000000
USD
-127728.48000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA 6.250000% 07/15/2027
N/A
789000.00000000
PA
908109.42000000
0.187837612903
Long
DBT
NUSS
AT
N
2
2027-07-15
Fixed
6.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-4126.60000000
-0.00085356530
N/A
DFE
US
N
2
JPM CHASE
N/A
503000.00000000
EUR
488734.92000000
USD
2022-10-07
-4126.60000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.800000% 06/02/2048
68323ADZ4
2200000.00000000
PA
1256372.04000000
0.259873887127
Long
DBT
NUSS
CA
N
2
2048-06-02
Fixed
2.80000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 11/20/2036
N/A
41751000.00000000
PA
2128112.27000000
0.440188726142
Long
DBT
NUSS
MX
N
2
2036-11-20
Fixed
10.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-33041.02000000
-0.00683435959
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
502511.05000000
USD
830000.00000000
NZD
2022-10-07
-33041.02000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.000000% 07/22/2028
404280CB3
167000.00000000
PA
150880.51000000
0.031208832556
Long
DBT
NUSS
GB
N
2
2028-07-22
Fixed
3.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-5989.56000000
-0.00123890869
N/A
DFE
AU
N
2
JPM CHASE
N/A
876692.59000000
USD
1353000.00000000
AUD
2022-12-12
-5989.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2022-11-21
N/A
1.00000000
NC
USD
185943.53000000
0.038461432114
N/A
DFE
US
N
2
JP MORGAN
N/A
92589050.00000000
THB
2648428.20000000
USD
2022-11-21
185943.53000000
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
175000.00000000
0.036197821027
Long
DBT
NUSS
CH
N
2
2049-04-02
Fixed
5.00000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-10-07
N/A
1.00000000
NC
865.96000000
0.000179119229
N/A
DFE
MX
N
2
STATE STREET BANK
N/A
123894.68000000
USD
2510000.00000000
MXN
2022-10-07
865.96000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA MTN 2.000000% 06/05/2025
N/A
440000.00000000
PA
258977.47000000
0.053568114909
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
589551.39000000
0.121945575436
Long
DBT
NUSS
MX
N
2
2024-12-05
Floating
10.00000080
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
163.36000000
0.000033790148
N/A
DFE
US
N
2
JPM CHASE
N/A
200000.00000000
SEK
18188.55000000
USD
2022-10-07
163.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-2835.40000000
-0.00058648743
N/A
DFE
US
N
2
JPM CHASE
N/A
254000.00000000
EUR
246044.97000000
USD
2022-10-07
-2835.40000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2027
N/A
1860000.00000000
PA
304175.34000000
0.062917054389
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/TWD SETTLE 2022-10-21
N/A
1.00000000
NC
USD
55945.03000000
0.011571932475
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
27511034.00000000
TWD
922260.61000000
USD
2022-10-21
55945.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5127.25000000
0.001060544444
N/A
DFE
US
N
2
JPM CHASE
N/A
126000.00000000
NZD
76396.19000000
USD
2022-10-07
5127.25000000
N
N
N
V.F. CORPORATION
CWAJJ9DJ5Z7P057HV541
VF CORP 0.250000% 02/25/2028
918204AX6
395000.00000000
PA
314979.97000000
0.065151934749
Long
DBT
NUSS
US
N
2
2028-02-25
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-10-07
N/A
1.00000000
NC
USD
594.53000000
0.000122975374
N/A
DFE
US
N
2
JPM CHASE
N/A
3850000.00000000
MXN
191960.45000000
USD
2022-10-07
594.53000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.000000% 07/30/2042
N/A
1170000.00000000
PA
736658.60000000
0.152373920919
Long
DBT
NUSS
ES
N
2
2042-07-30
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-1344.31000000
-0.00027806338
N/A
DFE
US
N
2
JPM CHASE
N/A
6390000.00000000
TRY
341859.31000000
USD
2022-10-07
-1344.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
422931.86000000
0.087481210142
N/A
DFE
US
N
2
JPM CHASE
N/A
12150000.00000000
CAD
9265423.50000000
USD
2022-10-07
422931.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1876.36000000
0.000388115105
N/A
DFE
US
N
2
JPM CHASE
N/A
245000.00000000
CHF
250869.60000000
USD
2022-10-07
1876.36000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
3091000.00000000
PA
467436.30000000
0.096686717308
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-912.51000000
-0.00018874784
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
244824.26000000
USD
240000.00000000
CHF
2022-10-07
-912.51000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-10442.80000000
-0.00216003774
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
506636.37000000
USD
71800000.00000000
JPY
2022-10-07
-10442.80000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 2.500000% 05/25/2030
N/A
442000.00000000
PA
436405.56000000
0.090268173463
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1206.32000000
0.000249520888
N/A
DFE
US
N
2
JPM CHASE
N/A
3760000.00000000
MXN
188098.75000000
USD
2022-10-07
1206.32000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.000000% 04/01/2026
N/A
5474000.00000000
PA
4753725.27000000
0.983282837344
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
209327.27000000
0.043298234603
Long
DBT
NUSS
IT
N
2
2029-02-20
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
752.32000000
0.000155613398
N/A
DFE
US
N
2
JPM CHASE
N/A
430000.00000000
NZD
243891.92000000
USD
2022-11-07
752.32000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-69388.92000000
-0.01435272975
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
5394181.75000000
USD
770506000.00000000
JPY
2022-10-07
-69388.92000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 1.897%
N/A
1150000.00000000
NC
162814.98000000
0.033677414323
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2027-03-31
0.00000000
GBP
0.00000000
GBP
-1150000.00000000
GBP
162814.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7337.14000000
0.001517648460
N/A
DFE
US
N
2
JPM CHASE
N/A
217000.00000000
GBP
249583.85000000
USD
2022-10-07
7337.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4416.51000000
0.000913531648
N/A
DFE
US
N
2
JPM CHASE
N/A
250000.00000000
EUR
249377.50000000
USD
2022-10-07
4416.51000000
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 2.000000% 06/15/2029
92826CAS1
362000.00000000
PA
324512.32000000
0.067123650745
Long
DBT
NUSS
US
N
2
2029-06-15
Fixed
2.00000000
N
N
N
N
N
N
Canada
N/A
CAN 10YR BOND FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-899457.81000000
-0.18604807330
N/A
DIR
CA
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Dec 2022
2022-12-22
-965097.01000000
CAD
65639.20000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 04/30/2030
N/A
418000.00000000
PA
341733.23000000
0.070685704563
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
538279.24000000
0.111340203383
Long
DBT
NUSS
AU
N
2
2025-04-21
Fixed
3.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
3974900000.00000000
PA
578557.96000000
0.119671642799
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.700000% 06/22/2050
N/A
250000.00000000
PA
182014.56000000
0.037648745526
Long
DBT
NUSS
BE
N
2
2050-06-22
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
916.31000000
0.000189533859
N/A
DFE
US
N
2
JPM CHASE
N/A
190000.00000000
NOK
18352.95000000
USD
2022-10-07
916.31000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2026
N/A
1626980000.00000000
PA
1017040.06000000
0.210369337538
Long
DBT
NUSS
KR
N
2
2026-12-10
Fixed
1.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 1.100000% 04/01/2027
N/A
131000.00000000
PA
114804.28000000
0.023746655889
Long
DBT
NUSS
IT
N
2
2027-04-01
Fixed
1.10000000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP INC 5.414000% 09/13/2028
60687YCL1
260000.00000000
PA
USD
254148.25000000
0.052569216387
Long
DBT
NUSS
JP
N
2
2028-09-13
Fixed
5.41400000
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 02/17/2027
N/A
10007000.00000000
PA
864163.65000000
0.178747663661
Long
DBT
NUSS
NO
N
2
2027-02-17
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5088.76000000
0.001052582992
N/A
DFE
US
N
2
JPM CHASE
N/A
250000.00000000
EUR
250049.75000000
USD
2022-10-07
5088.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-390699.75000000
-0.08081416929
N/A
DFE
US
N
2
JPM CHASE
N/A
8583000.00000000
GBP
9194753.33000000
USD
2022-11-07
-390699.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-10-20
N/A
1.00000000
NC
USD
38818.00000000
0.008029297237
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
4566707.28000000
CNY
679580.46000000
USD
2022-10-20
38818.00000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA-GOV'T 2.000000% 12/01/2051
135087H72
501000.00000000
PA
287616.04000000
0.059491851088
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
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
342573.00000000
0.070859406529
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7224.04000000
-0.00149425432
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
253164.88000000
USD
251000.00000000
EUR
2022-10-07
-7224.04000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.375000% 06/19/2024
N/A
425000.00000000
PA
410338.57000000
0.084876354956
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/CAD SETTLE 2022-10-27
N/A
1.00000000
NC
USD
588366.90000000
0.121700569968
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
12350037.41000000
CAD
9576567.65000000
USD
2022-10-27
588366.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-03-10
N/A
1.00000000
NC
USD
10396.10000000
0.002150378098
N/A
DFE
US
N
2
JPM CHASE
N/A
267700000.00000000
JPY
1897559.30000000
USD
2023-03-10
10396.10000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 0.406000% 10/29/2027
N/A
370000.00000000
PA
311510.15000000
0.064434220901
Long
DBT
NUSS
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 8.000000% MATURITY: PERPETUAL
06738EBX2
270000.00000000
PA
USD
236304.00000000
0.048878227999
Long
DBT
NUSS
GB
N
2
2170-12-15
Fixed
8.00000000
N
N
N
Y
Y
BARCLAYS PLC
BARC 8 PERP
GBP
XXXX
N
N
N
COREBRIDGE FINANCIAL, INC.
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 144A 3.500000% 04/04/2025
21871XAA7
330000.00000000
PA
USD
313480.20000000
0.064841715286
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
European Stability Mechanism
222100W4EEAQ77386N50
EUROPEAN STABILITY MECHANISM MTN 1.000000% 09/23/2025
N/A
570000.00000000
PA
535324.35000000
0.110729000072
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
273023.97000000
0.056473558869
Long
DBT
NUSS
GB
N
2
2024-01-23
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9582.33000000
0.001982054093
N/A
DFE
US
N
2
JPM CHASE
N/A
370000.00000000
AUD
247476.72000000
USD
2022-10-07
9582.33000000
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
239851.23000000
0.049611953695
Long
DBT
NUSS
GB
N
2
2031-10-17
Fixed
1.50000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 5.750000% 10/25/2032
N/A
271000.00000000
PA
335393.60000000
0.069374385750
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
332899.28000000
0.068858448899
Long
DBT
NUSS
ES
N
2
2171-04-28
Fixed
1.87400000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-2724.53000000
-0.00056355456
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
486939.76000000
USD
475000.00000000
CHF
2022-11-07
-2724.53000000
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
23220000.00000000
NC
51021.03000000
0.010553429214
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-06-03
0.00000000
CNY
0.00000000
CNY
-23220000.00000000
CNY
51021.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
219739.90000000
0.045452031844
N/A
DFE
US
N
2
JPM CHASE
N/A
4621000.00000000
NZD
2833500.16000000
USD
2022-10-07
219739.90000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-14813.03000000
-0.00306399662
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
249548.05000000
USD
415000.00000000
NZD
2022-10-07
-14813.03000000
N
N
N
Stadshypotek AB
549300UOX05QGUJJ5707
STADSHYPOTEK AB 0.500000% 07/11/2025
N/A
1470000.00000000
PA
1350890.21000000
0.279424468850
Long
DBT
NUSS
SE
N
2
2025-07-11
Fixed
0.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2680.53000000
-0.00055445340
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
248704.08000000
USD
35600000.00000000
JPY
2022-10-07
-2680.53000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 1.395
N/A
230000.00000000
NC
98016.13000000
0.020274116180
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2047-10-03
0.00000000
GBP
-46351.20000000
GBP
-230000.00000000
GBP
144367.33000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MATURITY: PERPETUAL
46625HHA1
66000.00000000
PA
USD
65999.04000000
0.013651551073
Long
DBT
CORP
US
N
2
2170-10-30
Floating
6.27585840
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-12-02
N/A
1.00000000
NC
USD
6122.57000000
0.001266421103
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
126267735.00000000
JPY
884012.00000000
USD
2022-12-02
6122.57000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.150000% 03/01/2072
N/A
76000.00000000
PA
44419.02000000
0.009187838492
Long
DBT
NUSS
IT
N
2
2072-03-01
Fixed
2.15000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2022-10-07
N/A
1.00000000
NC
13500.82000000
0.002792572949
N/A
DFE
RO
N
2
CITIGROUP GLOBAL MARKETS
N/A
523162.73000000
USD
2713000.00000000
RON
2022-10-07
13500.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-11-07
N/A
1.00000000
NC
USD
201.62000000
0.000041704026
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
244857.73000000
USD
2022-11-07
201.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-21843.44000000
-0.00451819960
N/A
DFE
US
N
2
JPM CHASE
N/A
20349000.00000000
CZK
786863.57000000
USD
2022-11-07
-21843.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
59270.96000000
0.012259883441
N/A
DFE
US
N
2
JPM CHASE
N/A
1225000.00000000
NZD
752163.48000000
USD
2022-10-07
59270.96000000
N
N
N
BROKER: MORGAN STANLEY
N/A
BROKER: MORGAN STANLEY PAY: 2.055
N/A
828000.00000000
NC
115152.97000000
0.023818780564
N/A
DIR
XX
N
2
BROKER: MORGAN STANLEY
N/A
Y
2027-05-11
0.00000000
GBP
0.00000000
GBP
-828000.00000000
GBP
115152.97000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-11-07
N/A
1.00000000
NC
1431.92000000
0.000296185050
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
239719.13000000
USD
375000.00000000
AUD
2022-11-07
1431.92000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
14539.30000000
0.003007377024
N/A
DFE
US
N
2
JPM CHASE
N/A
415000.00000000
NZD
249274.32000000
USD
2022-10-07
14539.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2022-10-14
N/A
1.00000000
NC
USD
50006.69000000
0.010343618370
N/A
DFE
US
N
2
JP MORGAN
N/A
35162855764.00000000
IDR
2356443.89000000
USD
2022-10-14
50006.69000000
N
N
N
ESSENTIAL PROPERTIES, L.P.
254900XX9FNFCDE1NX02
ESSENTIAL PROPERTIES LP 2.950000% 07/15/2031
29670VAA7
215000.00000000
PA
USD
157021.32000000
0.032479026507
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.95000000
N
N
N
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
197302.04000000
0.040810879612
Long
DBT
NUSS
GB
N
2
2024-10-03
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
37737.76000000
0.007805855328
N/A
DFE
US
N
2
JPM CHASE
N/A
2366000.00000000
EUR
2356048.60000000
USD
2022-10-07
37737.76000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4993.32000000
-0.00103284173
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
619361.13000000
USD
88900000.00000000
JPY
2022-10-07
-4993.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-11-18
N/A
1.00000000
NC
USD
284.03000000
0.000058750097
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1504560.96000000
NZD
851102.00000000
USD
2022-11-18
284.03000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.230000% 01/10/2025
N/A
11360000.00000000
PA
1633929.15000000
0.337969571100
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
163055.73000000
0.033727212182
Long
DBT
NUSS
DE
N
2
2026-02-23
Fixed
2.00000000
N
N
N
N
N
N
CASTLE UK FINCO PLC
98450057058CDE2E9650
CASTLE UK FINCO PLC 144A VARIABLE RATE 05/15/2028
BW1049400
100000.00000000
PA
77490.52000000
0.016028502710
Long
DBT
NUSS
GB
N
2
2028-05-15
Floating
5.57100000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
20688.65000000
0.004279337428
N/A
DFE
US
N
2
JPM CHASE
N/A
1800000.00000000
CHF
1850026.76000000
USD
2022-10-07
20688.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-10-04
N/A
1.00000000
NC
USD
35138.04000000
0.007268117046
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
4699297.57000000
BRL
903954.44000000
USD
2022-10-04
35138.04000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 01/31/2026
N/A
770000.00000000
PA
696292.66000000
0.144024440509
Long
DBT
NUSS
ES
N
2
2026-01-31
Fixed
0.00000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 05/15/2051
N/A
565000.00000000
PA
225107.70000000
0.046562332779
Long
DBT
NUSS
NZ
N
2
2051-05-15
Fixed
2.75000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 2.200000% 06/15/2027
02209SAY9
330000.00000000
PA
284929.49000000
0.058936152481
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
2.20000000
N
N
N
N
N
N
CPUK FINANCE LIMITED
6354003CVDDPNXREIR29
CPUK FINANCE LTD MTN 3.588000% 08/28/2025
N/A
215000.00000000
PA
217066.36000000
0.044899024287
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
198131.49000000
0.040982446941
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
191088.69000000
0.039525681148
Long
DBT
NUSS
FR
N
2
2024-02-03
Fixed
0.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-427.40000000
-0.00008840542
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
19044.44000000
USD
19000.00000000
EUR
2022-10-07
-427.40000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-11171.48000000
-0.00231076133
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
249065.87000000
USD
370000.00000000
AUD
2022-10-07
-11171.48000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
3520.18000000
0.000728130546
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
245360.19000000
USD
254000.00000000
EUR
2022-10-07
3520.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5226.18000000
0.001081007590
N/A
DFE
US
N
2
JPM CHASE
N/A
542066000.00000000
JPY
3751321.80000000
USD
2022-10-07
5226.18000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2033
N/A
874000.00000000
PA
859636.12000000
0.177811168115
Long
DBT
NUSS
NL
N
2
2033-01-15
Fixed
2.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 5.000000% 09/01/2040
N/A
1065000.00000000
PA
1105971.57000000
0.228764348296
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
268619.28000000
0.055562472124
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
361377.39000000
0.074748994779
Long
DBT
NUSS
ES
N
2
2025-11-07
Fixed
0.62500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-69339.75000000
-0.01434255920
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
49771667.82000000
USD
7192006000.00000000
JPY
2022-10-07
-69339.75000000
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 144A 3.324000% 03/13/2037
00084DAV2
400000.00000000
PA
USD
285144.28000000
0.058980580653
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
278949.42000000
0.057699206747
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
144932.07000000
0.029978429319
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
225603.36000000
0.046664857419
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
192011.91000000
0.039716644304
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
573036.44000000
0.118529545697
Long
DBT
NUSS
BE
N
2
2034-06-22
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-12-12
N/A
1.00000000
NC
USD
399874.95000000
0.082712010704
N/A
DFE
US
N
2
JP MORGAN
N/A
9801800.00000000
AUD
6707677.56000000
USD
2022-12-12
399874.95000000
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
281669.72000000
0.058261886361
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
165369.29000000
0.034205759787
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
267185.00000000
0.055265798920
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
291173.36000000
0.060227663846
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-12301.81000000
-0.00254456409
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
262412.40000000
USD
389000.00000000
AUD
2022-10-07
-12301.81000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
1885.09000000
0.000389920859
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
491019.90000000
USD
485000.00000000
CHF
2022-10-07
1885.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-1511.03000000
-0.00031254853
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
243145.08000000
USD
2022-11-07
-1511.03000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-12-12
N/A
1.00000000
NC
43105.46000000
0.008916135579
N/A
DFE
GB
N
2
JP MORGAN
N/A
1467293.51000000
USD
1352100.00000000
GBP
2022-12-12
43105.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
39682.05000000
0.008208021393
N/A
DFE
US
N
2
JPM CHASE
N/A
825000.00000000
NZD
506323.95000000
USD
2022-10-07
39682.05000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 4.880000% 02/09/2028
N/A
10600000.00000000
PA
1647598.81000000
0.340797067707
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
759529.65000000
0.157104676202
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 0.750000% 12/04/2024
N/A
350000.00000000
PA
321962.83000000
0.066596302272
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
415851.72000000
0.086016720767
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
62307.52000000
0.012887979757
Long
DBT
NUSS
US
N
2
2049-09-18
Fixed
1.80000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) DEC22 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
USD
1290093.75000000
0.266849043832
N/A
DIR
US
N
1
J.P. MORGAN SECURITIES
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Dec 2022
2023-01-02
1286935.79000000
USD
3157.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2022-11-07
N/A
1.00000000
NC
USD
1558.90000000
0.000322450189
N/A
DFE
US
N
2
JPM CHASE
N/A
1900000.00000000
NOK
176042.13000000
USD
2022-11-07
1558.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2022-11-07
N/A
1.00000000
NC
USD
862.29000000
0.000178360109
N/A
DFE
US
N
2
JPM CHASE
N/A
493834000.00000000
HUF
1133686.87000000
USD
2022-11-07
862.29000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.500000% 04/30/2045
N/A
1034000.00000000
PA
596591.37000000
0.123401757928
Long
DBT
NUSS
IT
N
2
2045-04-30
Fixed
1.50000000
N
N
N
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
31.00000000
NC
4012382.80000000
0.829940082779
N/A
DIR
DE
N
1
GOLDMAN SACHS & CO
N/A
Long
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Dec 2022
2022-12-11
4299809.06000000
EUR
-287426.26000000
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 1.250000% 01/11/2027
N/A
500000.00000000
PA
452648.49000000
0.093627937309
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
172075.98000000
0.035593003011
Long
DBT
NUSS
US
N
2
2171-05-01
Fixed
2.87500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-542.01000000
-0.00011211189
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
122042.66000000
USD
124000.00000000
EUR
2022-10-07
-542.01000000
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 5.294000% 08/18/2027
05964HAS4
200000.00000000
PA
USD
188390.60000000
0.038967595554
Long
DBT
NUSS
ES
N
2
2027-08-18
Fixed
5.29400000
N
N
N
N
N
N
N/A
N/A
EURO FX CURR FUT DEC22 CURRENCY FUTURE.
N/A
-240.00000000
NC
USD
-29584500.00000000
-6.11939677814
N/A
DFE
US
N
1
GOLDMAN SACHS & CO
N/A
Short
Currency Futures
EUR/USD Future (Consolidated) (IMM) Dec 2022
2022-12-22
-30566137.40000000
USD
981637.40000000
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
43387.06000000
0.008974383044
Long
DBT
NUSS
GB
N
2
2052-09-09
Fixed
2.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 1.700000% 08/15/2032
N/A
1055000.00000000
PA
994897.96000000
0.205789361692
Long
DBT
NUSS
DE
N
2
2032-08-15
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2668.56000000
0.000551977470
N/A
DFE
US
N
2
JPM CHASE
N/A
126000.00000000
EUR
126128.90000000
USD
2022-10-07
2668.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
4599.24000000
0.000951328379
N/A
DFE
US
N
2
JPM CHASE
N/A
626000.00000000
EUR
617981.57000000
USD
2022-10-07
4599.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-12-08
N/A
1.00000000
NC
USD
-207891.98000000
-0.04300135248
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
9830028.26000000
EUR
9466966.00000000
USD
2022-12-08
-207891.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
77.81000000
0.000016094585
N/A
DFE
US
N
2
JPM CHASE
N/A
20000.00000000
CHF
20403.79000000
USD
2022-10-07
77.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-21636.85000000
-0.00447546756
N/A
DFE
US
N
2
JPM CHASE
N/A
3584000.00000000
SGD
2477507.84000000
USD
2022-11-07
-21636.85000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-10-07
N/A
1.00000000
NC
1012.06000000
0.000209339238
N/A
DFE
MX
N
2
J P MORGAN CHASE BANK
N/A
126233.85000000
USD
2560000.00000000
MXN
2022-10-07
1012.06000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-12-07
N/A
1.00000000
NC
-2193.40000000
-0.00045369314
N/A
DFE
CH
N
2
BNP PARIBAS
N/A
904188.99000000
USD
881935.99000000
CHF
2022-12-07
-2193.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
82736.19000000
0.017113541703
N/A
DFE
US
N
2
JPM CHASE
N/A
2942000.00000000
EUR
2965437.15000000
USD
2022-10-07
82736.19000000
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 1.250000% 01/15/2026
91324PDW9
175000.00000000
PA
USD
156071.87000000
0.032282637814
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-219.82000000
-0.00004546860
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
243691.93000000
USD
2022-10-07
-219.82000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 4.000000% 01/04/2037
N/A
234000.00000000
PA
278852.85000000
0.057679231755
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
181235.73000000
0.037487648675
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
2978000.00000000
PA
2777399.20000000
0.574490280927
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
241000.00000000
PA
USD
196652.55000000
0.040676536053
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.90000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) DEC22 FINANCIAL COMMODITY FUTURE.
N/A
11.00000000
NC
USD
2259296.88000000
0.467323566338
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Dec 2022
2023-01-02
2295839.09000000
USD
-36542.21000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANC 0.500000% 05/06/2025
N/A
1066000.00000000
PA
981707.50000000
0.203060985062
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
561839.06000000
0.116213427085
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
2.62500000
N
N
N
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/25/2030
N/A
200000.00000000
PA
174699.49000000
0.036135662128
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
570245.22000000
0.117952196657
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
3115000000.00000000
PA
202616.66000000
0.041910180547
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
194718.00000000
0.040276384655
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
24868.49000000
0.005143915144
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-10-03
N/A
1.00000000
NC
USD
233404.42000000
0.048278465269
N/A
DFE
US
N
2
JP MORGAN
N/A
12452000.00000000
PLN
2754562.55000000
USD
2022-10-03
233404.42000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 07/09/2036
N/A
481100000.00000000
PA
61177.41000000
0.012654222503
Long
DBT
NUSS
CO
N
2
2036-07-09
Fixed
6.25000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 4.650000% 05/15/2050
25470DBH1
14000.00000000
PA
USD
9579.36000000
0.001981439764
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-17
N/A
1.00000000
NC
USD
777753.01000000
0.160874081481
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
10867245.16000000
GBP
12914601.55000000
USD
2022-11-17
777753.01000000
N
N
N
United States of America
N/A
US 10YR ULTRA FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
USD
1540296.88000000
0.318602233090
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Dec 2022
2022-12-23
1582815.42000000
USD
-42518.54000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 3.500000% 10/06/2042
BZ3005569
1935000.00000000
PA
180356.79000000
0.037305844602
Long
DBT
NUSS
NO
N
2
2042-10-06
Fixed
3.50000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
19412.88160000
PA
USD
19532.38000000
0.004040169116
Long
DBT
USGA
US
N
2
2024-11-25
Floating
8.08400160
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
12057.40000000
0.002494009184
N/A
DFE
US
N
2
JPM CHASE
N/A
740000.00000000
AUD
487846.18000000
USD
2022-10-07
12057.40000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.500000% 03/01/2030
N/A
527000.00000000
PA
499241.86000000
0.103265528557
Long
DBT
NUSS
IT
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
4105000.00000000
PA
356304.47000000
0.073699688206
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-11-07
N/A
1.00000000
NC
1400.30000000
0.000289644621
N/A
DFE
MX
N
2
STATE STREET BANK
N/A
122159.96000000
USD
2500000.00000000
MXN
2022-11-07
1400.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2057.65000000
0.000425613979
N/A
DFE
US
N
2
JPM CHASE
N/A
2690000.00000000
SEK
244496.47000000
USD
2022-10-07
2057.65000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.500000% 09/15/2027
N/A
510000.00000000
PA
451389.25000000
0.093367470200
Long
DBT
NUSS
DE
N
2
2027-09-15
Fixed
0.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6366.83000000
-0.00131694498
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
497031.78000000
USD
71000000.00000000
JPY
2022-10-07
-6366.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
13988.57000000
0.002893461447
N/A
DFE
US
N
2
JPM CHASE
N/A
10571000.00000000
CAD
7707619.39000000
USD
2022-11-07
13988.57000000
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
90728.81000000
0.018766772722
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
174140.19000000
0.036019973892
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2596.81000000
0.000537136363
N/A
DFE
US
N
2
JPM CHASE
N/A
35100000.00000000
JPY
245164.98000000
USD
2022-10-07
2596.81000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-9578.71000000
-0.00198130531
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
247141.86000000
USD
420000.00000000
NZD
2022-10-07
-9578.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
15134.94000000
0.003130581996
N/A
DFE
US
N
2
JPM CHASE
N/A
89100000.00000000
JPY
630884.90000000
USD
2022-10-07
15134.94000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 3.250000% 07/04/2042
N/A
799000.00000000
PA
915336.50000000
0.189332496037
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
1530000.00000000
PA
66770.62000000
0.013811148300
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-10-06
N/A
1.00000000
NC
-1573.21000000
-0.00032541013
N/A
DFE
NO
N
2
UBS WARBURG
N/A
175980.10000000
USD
1900479.60000000
NOK
2022-10-06
-1573.21000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2031
135087M27
268000.00000000
PA
169998.27000000
0.035163239727
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
614368.46000000
0.127078854627
Long
DBT
NUSS
NL
N
2
2027-01-15
Fixed
0.00000000
N
N
N
N
N
N
PINEWOOD FINCO PLC
984500EF3F7CA63ND769
PINEWOOD FINANCE CO LTD 144A 3.625000% 11/15/2027
N/A
170000.00000000
PA
152537.34000000
0.031551539047
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
2650394.39000000
0.548220010173
Long
DBT
NUSS
ES
N
2
2024-05-31
Fixed
0.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1809.80000000
-0.00037434752
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
245760.12000000
USD
35300000.00000000
JPY
2022-10-07
-1809.80000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.390000% 07/10/2027
N/A
16630000.00000000
PA
2415338.06000000
0.499599856089
Long
DBT
NUSS
CN
N
2
2027-07-10
Fixed
3.39000000
N
N
N
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
177434.68000000
0.036701421660
Long
DBT
NUSS
IT
N
2
2047-12-14
Fixed
4.25000000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 4.000000% 11/12/2025
N/A
350000.00000000
PA
350558.89000000
0.072511245483
Long
DBT
NUSS
FR
N
2
2025-11-12
Fixed
4.00000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 3.750000% 05/25/2027
N/A
1980000.00000000
PA
342312.69000000
0.070805562788
Long
DBT
NUSS
PL
N
2
2027-05-25
Fixed
3.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.250000% 10/25/2030
N/A
3666000.00000000
PA
472074.51000000
0.097646106425
Long
DBT
NUSS
PL
N
2
2030-10-25
Fixed
1.25000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.875000% 06/15/2027
171239AC0
115000.00000000
PA
98734.59000000
0.020422725817
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
0.87500000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.000000% 12/17/2031
N/A
6901000.00000000
PA
167273.29000000
0.034599592080
Long
DBT
NUSS
TH
N
2
2031-12-17
Fixed
2.00000000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 6.250000% 06/01/2032
748148QT3
720000.00000000
PA
619926.79000000
0.128228565681
Long
DBT
NUSS
CA
N
2
2032-06-01
Fixed
6.25000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
11907200.00000000
PA
519641.28000000
0.107485040295
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 2022-11-07
N/A
1.00000000
NC
USD
-4302.10000000
-0.00088986654
N/A
DFE
US
N
2
JPM CHASE
N/A
2740000.00000000
SEK
243088.83000000
USD
2022-11-07
-4302.10000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.375000% 10/22/2026
N/A
4089000.00000000
PA
3870783.37000000
0.800650992352
Long
DBT
NUSS
GB
N
2
2026-10-22
Fixed
0.37500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.500000% 12/07/2042
N/A
126000.00000000
PA
149818.93000000
0.030989250369
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
615135.95000000
0.127237605859
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1121.98000000
0.000232075607
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
245033.73000000
USD
2022-10-07
1121.98000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/19/2027
N/A
300000.00000000
PA
275590.78000000
0.057004489892
Long
DBT
NUSS
FR
N
2
2027-05-19
Fixed
1.12500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
2085.85000000
0.000431446999
N/A
DFE
NO
N
2
UBS WARBURG
N/A
489810.84000000
USD
5360000.00000000
NOK
2022-10-07
2085.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-12-07
N/A
1.00000000
NC
USD
-2052.49000000
-0.00042454666
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1266740.74000000
SGD
881651.32000000
USD
2022-12-07
-2052.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
2864.05000000
0.000592413538
N/A
DFE
US
N
2
JPM CHASE
N/A
855000.00000000
NZD
486316.05000000
USD
2022-11-07
2864.05000000
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
464210.49000000
0.096019475633
Long
DBT
NUSS
GB
N
2
2050-10-22
Fixed
0.62500000
N
N
N
N
N
N
Canada
N/A
CAN 5YR BOND FUT DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-22.00000000
NC
-1799483.28000000
-0.37221356406
N/A
DIR
CA
N
1
JPM CHASE
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Dec 2022
2022-12-22
-1919667.76000000
CAD
120184.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
6328.58000000
0.001309033178
N/A
DFE
US
N
2
JPM CHASE
N/A
240000.00000000
CHF
250240.33000000
USD
2022-10-07
6328.58000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2230.28000000
-0.00046132157
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
525617.75000000
USD
75735000.00000000
JPY
2022-10-07
-2230.28000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.400000% 05/23/2034
N/A
110000.00000000
PA
102110.76000000
0.021121068659
Long
DBT
NUSS
AT
N
2
2034-05-23
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-13162.52000000
-0.00272259738
N/A
DFE
US
N
2
JPM CHASE
N/A
451000.00000000
GBP
490512.11000000
USD
2022-11-07
-13162.52000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
514250000.00000000
PA
4041771.58000000
0.836018995914
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-12-15
N/A
1.00000000
NC
USD
5962.68000000
0.001233348705
N/A
DFE
US
N
2
JP MORGAN
N/A
95746400.00000000
MXN
4706051.20000000
USD
2022-12-15
5962.68000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.750000% 07/15/2027
N/A
511000.00000000
PA
469895.53000000
0.097195395979
Long
DBT
NUSS
NL
N
2
2027-07-15
Fixed
0.75000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
691000.00000000
PA
367246.37000000
0.075962962137
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
216.23000000
0.000044726027
N/A
DFE
US
N
2
JPM CHASE
N/A
16000.00000000
GBP
18077.74000000
USD
2022-10-07
216.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9869.45000000
0.002041443341
N/A
DFE
US
N
2
JPM CHASE
N/A
52800000.00000000
JPY
374758.32000000
USD
2022-10-07
9869.45000000
N
N
N
Samhallsbyggnadsbolaget i Norden AB
549300HX9MRFY47AH564
SAMHALLSBYGGNADSBOLAGET I NORDEN AB MTN 1.125000% 09/04/2026
N/A
140000.00000000
PA
102602.94000000
0.021222873479
Long
DBT
NUSS
SE
N
2
2026-09-04
Fixed
1.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-119162.44000000
-0.02464811815
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
4280559.79000000
USD
4247000.00000000
EUR
2022-10-07
-119162.44000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.625000% 09/10/2035
N/A
700180000.00000000
PA
419285.47000000
0.086726973727
Long
DBT
NUSS
KR
N
2
2035-09-10
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
1096862.93000000
0.226880274464
N/A
DFE
US
N
2
JPM CHASE
N/A
48895000.00000000
EUR
49006333.92000000
USD
2022-10-07
1096862.93000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-3275.92000000
-0.00067760666
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
249990.55000000
USD
35700000.00000000
JPY
2022-10-07
-3275.92000000
N
N
N
VORNADO REALTY L.P.
549300BMOJ05INE4YK86
VORNADO REALTY LP 3.400000% 06/01/2031
929043AL1
226000.00000000
PA
USD
172931.91000000
0.035770047588
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.40000000
N
N
N
N
N
N
WELLTOWER OP LLC
T6IZ0MBEG5ACZDTR7D06
WELLTOWER INC 4.500000% 12/01/2034
95040QAB0
140000.00000000
PA
123878.95000000
0.025623703206
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
284505.38000000
0.058848427579
Long
DBT
CORP
US
N
2
2029-02-17
Fixed
3.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
10060.04000000
0.002080865871
N/A
DFE
US
N
2
JPM CHASE
N/A
71800000.00000000
JPY
506253.61000000
USD
2022-10-07
10060.04000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.000000% 06/22/2031
N/A
490000.00000000
PA
421878.97000000
0.087263425435
Long
DBT
NUSS
BE
N
2
2031-06-22
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
21469.02000000
0.004440752820
N/A
DFE
US
N
2
JPM CHASE
N/A
740000.00000000
AUD
497257.80000000
USD
2022-10-07
21469.02000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
4748.31000000
0.000982162717
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
488113.21000000
USD
503000.00000000
EUR
2022-10-07
4748.31000000
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.750000% 09/22/2046
N/A
100000.00000000
PA
60977.65000000
0.012612903207
Long
DBT
NUSS
GB
N
2
2046-09-22
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
KOREA 10YR BND FU DEC22 FINANCIAL COMMODITY FUTURE.
N/A
20.00000000
NC
1499266.09000000
0.310115231987
N/A
DIR
KR
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Korea Govt. Bond Futures
KOFEX Korea Exchange 10 Year Treasury Electronic Day Session Bond Future Dec 2022
2022-12-23
1482850.33000000
KRW
16415.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2022-10-13
N/A
1.00000000
NC
USD
34077.55000000
0.007048760319
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
15709317.23000000
ZAR
907493.52000000
USD
2022-10-13
34077.55000000
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP 1.950000% 10/18/2024
026657AR7
159000.00000000
PA
152174.39000000
0.031476464766
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
342782.47000000
0.070902734287
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
640873.50000000
0.132561281451
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-20
Floating
5.75985960
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-27015.14000000
-0.00558793830
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
499313.30000000
USD
835000.00000000
NZD
2022-10-07
-27015.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
14623.46000000
0.003024785073
N/A
DFE
US
N
2
JPM CHASE
N/A
1009000.00000000
EUR
1003286.03000000
USD
2022-10-07
14623.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HKD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-57.69000000
-0.00001193287
N/A
DFE
US
N
2
JPM CHASE
N/A
4225000.00000000
HKD
538641.98000000
USD
2022-11-07
-57.69000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1834.39000000
-0.00037943383
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
249240.10000000
USD
35800000.00000000
JPY
2022-10-07
-1834.39000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 1.250000% 08/15/2048
N/A
1013000.00000000
PA
827396.61000000
0.171142596612
Long
DBT
NUSS
DE
N
2
2048-08-15
Fixed
1.25000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.375000% 06/01/2025
N/A
3785000.00000000
PA
2565274.58000000
0.530613429326
Long
DBT
NUSS
SG
N
2
2025-06-01
Fixed
2.37500000
N
N
N
N
N
N
CPPIB CAPITAL INC.
549300KW9NB55HTDK075
CPPIB CAPITAL INC MTN 0.250000% 04/06/2027
N/A
1765000.00000000
PA
1532102.37000000
0.316907242196
Long
DBT
NUSS
CA
N
2
2027-04-06
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-13
N/A
1.00000000
NC
USD
13814.37000000
0.002857429102
N/A
DFE
US
N
2
JPM CHASE
N/A
1855000.00000000
CNY
275766.72000000
USD
2023-04-13
13814.37000000
N
N
N
DIRECTV FINANCING, LLC
N/A
DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIG 5.875000% 08/15/2027
25461LAA0
215000.00000000
PA
USD
185353.65000000
0.038339418568
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.87500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-28141.53000000
-0.00582092609
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
497611.56000000
USD
830000.00000000
NZD
2022-10-07
-28141.53000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-12-02
N/A
1.00000000
NC
-278.67000000
-0.00005764141
N/A
DFE
JP
N
2
ROYAL BANK OF SCOTLAND
N/A
853566.00000000
USD
122729190.00000000
JPY
2022-12-02
-278.67000000
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
46298.26560000
PA
USD
45941.38000000
0.009502730577
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
14060000.00000000
PA
2009002.02000000
0.415551403216
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
1747000.00000000
PA
325876.87000000
0.067405900669
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
182157.39000000
0.037678289154
Long
DBT
NUSS
FR
N
2
2171-01-29
Fixed
5.37500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-11-07
N/A
1.00000000
NC
43965.10000000
0.009093947549
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
1660264.35000000
USD
1526000.00000000
GBP
2022-11-07
43965.10000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-9163.86000000
-0.00189549579
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
252165.16000000
USD
248000.00000000
EUR
2022-10-07
-9163.86000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-5010.30000000
-0.00103635395
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
120963.74000000
USD
205000.00000000
NZD
2022-10-07
-5010.30000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 5.500000% 01/31/2042
N/A
675000.00000000
PA
238900.38000000
0.049415275420
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
570925.78000000
0.118092966880
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-30769.34000000
-0.00636447464
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
506558.12000000
USD
740000.00000000
AUD
2022-10-07
-30769.34000000
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.500000% 04/30/2042
N/A
408000.00000000
PA
442874.31000000
0.091606200062
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
160806.00000000
0.033261867474
Long
DBT
NUSS
US
N
2
2027-05-20
Fixed
0.25000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7242.53000000
-0.00149807888
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
499980.72000000
USD
71300000.00000000
JPY
2022-10-07
-7242.53000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2022-10-04
N/A
1.00000000
NC
-19214.72000000
-0.00397446283
N/A
DFE
BR
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
1766007.22000000
USD
9448138.61000000
BRL
2022-10-04
-19214.72000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-7447.60000000
-0.00154049652
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
249694.31000000
USD
217000.00000000
GBP
2022-10-07
-7447.60000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-18073.90000000
-0.00373849027
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
493862.68000000
USD
740000.00000000
AUD
2022-10-07
-18073.90000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2022-10-13
N/A
1.00000000
NC
-76473.27000000
-0.01581808994
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
945610.71000000
USD
15632363.42000000
ZAR
2022-10-13
-76473.27000000
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
223325.22000000
0.046193636253
Long
DBT
NUSS
US
N
2
2028-08-13
Fixed
0.33400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-23899.80000000
-0.00494354675
N/A
DFE
US
N
2
JPM CHASE
N/A
1265000.00000000
EUR
1218138.08000000
USD
2022-11-07
-23899.80000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC MTN 0.500000% 10/08/2027
N/A
505000.00000000
PA
426537.67000000
0.088227052799
Long
DBT
NUSS
US
N
2
2027-10-08
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-10-20
N/A
1.00000000
NC
USD
1039978.81000000
0.215114096207
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
133008464.09000000
CNY
19702622.52000000
USD
2022-10-20
1039978.81000000
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP MTN 2.875000% 01/15/2026
00914AAJ1
40000.00000000
PA
USD
35806.64000000
0.007406413407
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-11-17
N/A
1.00000000
NC
USD
31107.98000000
0.006434520528
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
649618.32000000
GBP
756620.20000000
USD
2022-11-17
31107.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-6985.32000000
-0.00144487636
N/A
DFE
US
N
2
JPM CHASE
N/A
628000.00000000
EUR
609615.30000000
USD
2022-11-07
-6985.32000000
N
N
N
ENTEGRIS ESCROW CORPORATION
N/A
ENTEGRIS ESCROW CORP 144A 4.750000% 04/15/2029
29365BAA1
290000.00000000
PA
USD
255439.13000000
0.052836228063
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
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
244650.04000000
0.050604562069
Long
DBT
NUSS
GB
N
2
2024-10-17
Fixed
3.87500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-17847.13000000
-0.00369158410
N/A
DFE
NO
N
2
UBS WARBURG
N/A
335744.54000000
USD
3464000.00000000
NOK
2022-10-07
-17847.13000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 2.500000% 07/22/2065
N/A
993000.00000000
PA
902159.93000000
0.186606992479
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
72019.16000000
0.014896780938
Long
DBT
NUSS
ES
N
2
2028-10-15
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
6.51000000
0.000001346558
N/A
DFE
US
N
2
JPM CHASE
N/A
117000.00000000
MYR
25199.77000000
USD
2022-11-07
6.51000000
N
N
N
LIBERTY MUTUAL GROUP INC.
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC 3.625000% 05/23/2059
N/A
300000.00000000
PA
249834.93000000
0.051677029042
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
656234.31000000
0.135738583458
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/EUR SETTLE 2022-10-14
N/A
1.00000000
NC
USD
803871.02000000
0.166276453204
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
9839841.13000000
EUR
10449773.52000000
USD
2022-10-14
803871.02000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 3.000000% 03/14/2024
N/A
7018000.00000000
PA
643709.40000000
0.133147872312
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
213163.45000000
0.044091728072
Long
DBT
NUSS
GB
N
2
2023-02-06
Fixed
6.87500000
N
N
N
N
N
N
The Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXPORT-IMPORT BANK KOREA 0.829000% 04/27/2025
N/A
399000.00000000
PA
369930.15000000
0.076518087784
Long
DBT
NUSS
KR
N
2
2025-04-27
Fixed
0.82900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
11447.82000000
0.002367920797
N/A
DFE
US
N
2
JPM CHASE
N/A
215000.00000000
GBP
251461.85000000
USD
2022-10-07
11447.82000000
N
N
N
N/A
N/A
N/A
N/A
3720000.00000000
NC
-370309.06000000
-0.07659646330
N/A
DIR
XX
N
2
N/A
N/A
Y
2032-08-18
0.00000000
EUR
0.00000000
EUR
-3720000.00000000
EUR
-370309.06000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-928.65000000
-0.00019208632
N/A
DFE
NO
N
2
UBS WARBURG
N/A
18365.29000000
USD
190000.00000000
NOK
2022-10-07
-928.65000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
2480.88000000
0.000513156858
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
243459.96000000
USD
251000.00000000
EUR
2022-10-07
2480.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2022-10-07
N/A
1.00000000
NC
USD
14307.77000000
0.002959486272
N/A
DFE
US
N
2
JPM CHASE
N/A
4529000.00000000
DKK
611163.05000000
USD
2022-10-07
14307.77000000
N
N
N
Republika Slovenija
485100000LWQHIX4XX88
REPUBLIKA SLOVENIJA 1.250000% 03/22/2027
N/A
556000.00000000
PA
516700.97000000
0.106876852780
Long
DBT
NUSS
SI
N
2
2027-03-22
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-60.14000000
-0.00001243963
N/A
DFE
US
N
2
JPM CHASE
N/A
365000.00000000
CHF
370888.98000000
USD
2022-10-07
-60.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5571.39000000
0.001152412446
N/A
DFE
US
N
2
JPM CHASE
N/A
748000.00000000
MYR
166860.00000000
USD
2022-10-07
5571.39000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2022-11-07
N/A
1.00000000
NC
30.01000000
0.000006207409
N/A
DFE
NO
N
2
UBS WARBURG
N/A
119353.26000000
USD
1300000.00000000
NOK
2022-11-07
30.01000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-19567.85000000
-0.00404750589
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
254302.87000000
USD
415000.00000000
NZD
2022-10-07
-19567.85000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA MTN 6.875000% 03/11/2031
R8412TAC6
185000.00000000
PA
220738.61000000
0.045658609705
Long
DBT
NUSS
NO
N
2
2031-03-11
Fixed
6.87500000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND DEC22 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
1867531.38000000
0.386288952317
N/A
DIR
DE
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Germany Govt. Bond Futures
EURO BUXL 30Y BND Dec 2022
2022-12-11
1996789.99000000
EUR
-129258.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2022-11-07
N/A
1.00000000
NC
USD
271.37000000
0.000056131443
N/A
DFE
US
N
2
JPM CHASE
N/A
127000.00000000
CAD
92702.66000000
USD
2022-11-07
271.37000000
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
744399.25000000
0.153975033280
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
181283.66000000
0.037497562741
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
96395.26000000
0.019938847824
Long
DBT
CORP
US
N
2
2029-09-14
Fixed
4.37500000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
310.69000000
0.000064264577
N/A
DFE
MY
N
2
MIDLAND WALWYN CAPITAL INC.
N/A
160977.92000000
USD
748000.00000000
MYR
2022-10-07
310.69000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.250000% 09/17/2031
N/A
14924000.00000000
PA
1152998.75000000
0.238491670839
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
297963.00000000
PA
USD
236338.89000000
0.048885444811
Long
DBT
NUSS
AE
N
2
2049-01-31
Fixed
3.62500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4871.85000000
-0.00100771631
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
627532.59000000
USD
90100000.00000000
JPY
2022-10-07
-4871.85000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 5.000000% 03/28/2035
N/A
64000.00000000
PA
75353.18000000
0.015586405276
Long
DBT
NUSS
BE
N
2
2035-03-28
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
50927.62000000
0.010534107851
N/A
DFE
US
N
2
JPM CHASE
N/A
1660000.00000000
NZD
989867.68000000
USD
2022-10-07
50927.62000000
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 144A 5.050000% 03/15/2042
55903VAN3
220000.00000000
PA
USD
164613.65000000
0.034049459664
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9147.36000000
0.001892082857
N/A
DFE
US
N
2
JPM CHASE
N/A
217000.00000000
GBP
251394.07000000
USD
2022-10-07
9147.36000000
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
58186.53000000
0.012035574852
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/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
788811.03000000
0.163161374217
N/A
DFE
US
N
2
JPM CHASE
N/A
17098000.00000000
GBP
19876065.94000000
USD
2022-10-07
788811.03000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2022-11-07
N/A
1.00000000
NC
44.16000000
0.000009134261
N/A
DFE
SE
N
2
JPM CHASE
N/A
1761.61000000
USD
20000.00000000
SEK
2022-11-07
44.16000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-21945.58000000
-0.00453932672
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
497734.36000000
USD
740000.00000000
AUD
2022-10-07
-21945.58000000
N
N
N
HONG KONG DOLLAR
N/A
FX Forward Contract: HKD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-17.90000000
-0.00000370251
N/A
DFE
HK
N
2
MORGAN STANLEY & CO, INC
N/A
538285.13000000
USD
4225000.00000000
HKD
2022-10-07
-17.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
62197.39000000
0.012865199951
N/A
DFE
US
N
2
JPM CHASE
N/A
3376000.00000000
SGD
2415094.34000000
USD
2022-10-07
62197.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2022-10-07
N/A
1.00000000
NC
USD
7636.83000000
0.001579637746
N/A
DFE
US
N
2
JPM CHASE
N/A
185000.00000000
AUD
126584.03000000
USD
2022-10-07
7636.83000000
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 2.300000% 03/19/2026
25159MAG2
180000000.00000000
PA
1330123.20000000
0.275128923071
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/EUR SETTLE 2022-10-12
N/A
1.00000000
NC
USD
12598.33000000
0.002605897683
N/A
DFE
US
N
2
JP MORGAN
N/A
1008100.00000000
EUR
1000700.55000000
USD
2022-10-12
12598.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-125.42000000
-0.00002594246
N/A
DFE
US
N
2
JPM CHASE
N/A
310000.00000000
TRY
16524.52000000
USD
2022-10-07
-125.42000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN 30 YEAR ISSUE .30% 06/20/2046
N/A
74600000.00000000
PA
422083.08000000
0.087305644505
Long
DBT
NUSS
JP
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG MTN 1.250000% 07/17/2025
N/A
134000.00000000
PA
121810.48000000
0.025195851167
Long
DBT
NUSS
CH
N
2
2025-07-17
Fixed
1.25000000
N
N
N
N
N
N
ENI S.P.A.
BUCRF72VH5RBN7X3VL35
ENI SPA 3.375000% MATURITY: PERPETUAL
N/A
135000.00000000
PA
99520.46000000
0.020585278854
Long
DBT
NUSS
IT
N
2
2170-10-13
Fixed
3.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2810.84000000
-0.00058140733
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
245812.14000000
USD
248000.00000000
EUR
2022-10-07
-2810.84000000
N
N
N
ASHTEAD CAPITAL, INC.
213800J1134IW58IC398
ASHTEAD CAPITAL INC 144A 5.500000% 08/11/2032
04505AAA7
270000.00000000
PA
USD
250591.01000000
0.051833420176
Long
DBT
CORP
GB
N
2
2032-08-11
Fixed
5.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-11-07
N/A
1.00000000
NC
-4438.08000000
-0.00091799328
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
3762374.59000000
USD
542066000.00000000
JPY
2022-11-07
-4438.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2249.74000000
0.000465346776
N/A
DFE
US
N
2
JPM CHASE
N/A
18100000.00000000
JPY
127334.75000000
USD
2022-10-07
2249.74000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-20
N/A
1.00000000
NC
-68643.64000000
-0.01419857254
N/A
DFE
AU
N
2
CREDIT SUISSE FIRST BOSTON LLC.
N/A
983423.89000000
USD
1422697.34000000
AUD
2022-10-20
-68643.64000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
696.44000000
0.000144054917
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
243215.31000000
USD
240000.00000000
CHF
2022-10-07
696.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-11-21
N/A
1.00000000
NC
USD
227145.85000000
0.046983913287
N/A
DFE
US
N
2
JP MORGAN
N/A
8581400.00000000
ILS
2650813.80000000
USD
2022-11-21
227145.85000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-14381.60000000
-0.00297475761
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
249116.62000000
USD
415000.00000000
NZD
2022-10-07
-14381.60000000
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
174340.82000000
0.036061473143
Long
DBT
NUSS
GB
N
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028
92343VGH1
445000.00000000
PA
USD
375674.95000000
0.077706369168
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
41.62000000
0.000008608876
N/A
DFE
US
N
2
JPM CHASE
N/A
748000.00000000
MYR
161106.21000000
USD
2022-11-07
41.62000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 02/25/2025
N/A
1057000.00000000
PA
987156.01000000
0.204187980432
Long
DBT
NUSS
FR
N
2
2025-02-25
Fixed
0.00000000
N
N
N
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
139537.96000000
0.028862686300
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
130460.63000000
0.026985088776
Long
DBT
NUSS
KR
N
2
2026-06-29
Fixed
0.01000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-1710.80000000
-0.00035386989
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
245622.55000000
USD
240000.00000000
CHF
2022-10-07
-1710.80000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 10/15/2026
91282CDC2
2205000.00000000
PA
USD
2226992.23000000
0.460641520972
Long
DBT
USGA
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-2901.39000000
-0.00060013711
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
248924.94000000
USD
35600000.00000000
JPY
2022-10-07
-2901.39000000
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
233360.09000000
0.048269295843
Long
DBT
NUSS
XX
N
2
2027-01-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5590.08000000
0.001156278373
N/A
DFE
US
N
2
JPM CHASE
N/A
107000.00000000
GBP
125038.92000000
USD
2022-10-07
5590.08000000
N
N
N
TIME WARNER CABLE, LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 5.750000% 06/02/2031
88732JAZ1
295000.00000000
PA
285618.70000000
0.059078711911
Long
DBT
NUSS
US
N
2
2031-06-02
Fixed
5.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-6394.34000000
-0.00132263528
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
502195.39000000
USD
506000.00000000
EUR
2022-10-07
-6394.34000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 06/25/2039
N/A
256000.00000000
PA
211061.25000000
0.043656899161
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
427397.16000000
0.088404833743
Long
DBT
CORP
US
N
2
2025-02-17
Fixed
4.05000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-11-07
N/A
1.00000000
NC
221.69000000
0.000045855399
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
35457.33000000
USD
35000.00000000
CHF
2022-11-07
221.69000000
N
N
N
KommuneKredit
529900D8QLTZ6PRLJL76
KOMMUNEKREDIT MTN 0.125000% 09/26/2040
N/A
275000.00000000
PA
159498.22000000
0.032991360123
Long
DBT
NUSS
DK
N
2
2040-09-26
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2022-10-04
N/A
1.00000000
NC
USD
59651.88000000
0.012338674720
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
4785371.23000000
BRL
944381.76000000
USD
2022-10-04
59651.88000000
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 1.950000% 02/01/2023
064159TE6
850000.00000000
PA
USD
842519.42000000
0.174270669582
Long
DBT
NUSS
CA
N
2
2023-02-01
Fixed
1.95000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 3.375000% 01/23/2026
N/A
490000.00000000
PA
484643.92000000
0.100246022160
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
924126.04000000
0.191150565727
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
1018418.03000000
0.210654363318
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
N/A
N/A
N/A
N/A
7610000.00000000
NC
-434461.93000000
-0.08986614391
N/A
DIR
XX
N
2
N/A
N/A
Y
2027-08-18
0.00000000
EUR
0.00000000
EUR
-7610000.00000000
EUR
-434461.93000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2022-10-27
N/A
1.00000000
NC
-41183.87000000
-0.00851866488
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
913118.00000000
USD
1250816440.00000000
KRW
2022-10-27
-41183.87000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.000000% 09/14/2026
20030NDX6
450000.00000000
PA
385859.01000000
0.079812887918
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
33502.09000000
0.006929729473
Long
DBT
NUSS
BE
N
2
2041-03-28
Fixed
4.25000000
N
N
N
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 4.250000% 10/07/2026
N/A
200000.00000000
PA
209014.76000000
0.043233593568
Long
DBT
NUSS
FR
N
2
2026-10-07
Fixed
4.25000000
N
N
N
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
176449.15000000
0.036497570011
Long
DBT
NUSS
US
N
2
2041-08-13
Fixed
1.33600000
N
N
N
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 2.625000% 07/04/2042
N/A
139000.00000000
PA
130863.19000000
0.027068356175
Long
DBT
NUSS
FI
N
2
2042-07-04
Fixed
2.62500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-13763.54000000
-0.00284691518
N/A
DFE
NZ
N
2
J P MORGAN CHASE BANK
N/A
248498.56000000
USD
415000.00000000
NZD
2022-10-07
-13763.54000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-10-07
N/A
1.00000000
NC
367.75000000
0.000076067135
N/A
DFE
GB
N
2
MORGAN STANLEY & CO, INC
N/A
17493.76000000
USD
16000.00000000
GBP
2022-10-07
367.75000000
N
N
N
CPUK FINANCE LIMITED
6354003CVDDPNXREIR29
CPUK FINANCE LTD MTN 3.690000% 08/28/2028
N/A
100000.00000000
PA
91964.90000000
0.019022451376
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
85746.45000000
0.017736198004
Long
DBT
NUSS
US
N
2
2026-09-14
Fixed
0.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
39174000.00000000
PA
1729013.63000000
0.357637291040
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-9243.88000000
-0.00191204750
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
503085.24000000
USD
504000.00000000
EUR
2022-10-07
-9243.88000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 2.00%
N/A
1400000.00000000
NC
72820.39000000
0.015062511110
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2024-03-31
0.00000000
GBP
0.00000000
GBP
-1400000.00000000
GBP
72820.39000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
677000.00000000
PA
142449.79000000
0.029464982878
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/KRW SETTLE 2022-10-27
N/A
1.00000000
NC
USD
69870.48000000
0.014452337886
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1224959581.00000000
KRW
923780.00000000
USD
2022-10-27
69870.48000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-11-07
N/A
1.00000000
NC
8673.81000000
0.001794131554
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
1397332.71000000
USD
1432000.00000000
EUR
2022-11-07
8673.81000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-103773.31000000
-0.02146495830
N/A
DFE
JP
N
2
STATE STREET BANK
N/A
2353921.32000000
USD
325600000.00000000
JPY
2022-10-07
-103773.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-13203.36000000
-0.00273104492
N/A
DFE
US
N
2
JPM CHASE
N/A
3274000.00000000
PLN
646414.71000000
USD
2022-11-07
-13203.36000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.900000% 11/15/2024
25470DBC2
665000.00000000
PA
USD
646502.81000000
0.133725674342
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2022-12-15
N/A
1.00000000
NC
USD
-1778.47000000
-0.00036786707
N/A
DFE
US
N
2
JP MORGAN
N/A
11842500.00000000
MXN
579557.21000000
USD
2022-12-15
-1778.47000000
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
525581.29000000
0.108713699831
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/AUD SETTLE 2022-10-20
N/A
1.00000000
NC
USD
71682.22000000
0.014827086687
N/A
DFE
US
N
2
UBS INTERNATIONAL INC
N/A
1291293.75000000
AUD
901971.27000000
USD
2022-10-20
71682.22000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-897.11000000
-0.00018556244
N/A
DFE
CH
N
2
J.P. MORGAN SECURITIES
N/A
249890.35000000
USD
245000.00000000
CHF
2022-10-07
-897.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2022-10-07
N/A
1.00000000
NC
USD
46137.94000000
0.009543387969
N/A
DFE
US
N
2
JPM CHASE
N/A
2341000.00000000
ILS
704462.70000000
USD
2022-10-07
46137.94000000
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 0.250000% 01/29/2024
C8S089JT0
189000.00000000
PA
179539.72000000
0.037136838010
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
1124709.17000000
0.232640121389
Long
DBT
NUSS
XX
N
2
2025-05-12
Fixed
1.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2022-12-12
N/A
1.00000000
NC
-6028.40000000
-0.00124694253
N/A
DFE
GB
N
2
JP MORGAN
N/A
356008.43000000
USD
313300.00000000
GBP
2022-12-12
-6028.40000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2022-10-07
N/A
1.00000000
NC
16592.02000000
0.003431971259
N/A
DFE
MX
N
2
J P MORGAN CHASE BANK
N/A
2766166.65000000
USD
55985000.00000000
MXN
2022-10-07
16592.02000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
1354000.00000000
PA
228718.81000000
0.047309271713
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA 3.000000% 10/15/2028
N/A
255000.00000000
PA
242004.81000000
0.050057410286
Long
DBT
NUSS
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
11713.12000000
0.002422796693
N/A
DFE
US
N
2
JPM CHASE
N/A
624000.00000000
EUR
623135.76000000
USD
2022-10-07
11713.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-3355.41000000
-0.00069404874
N/A
DFE
US
N
2
JPM CHASE
N/A
252000.00000000
EUR
244070.32000000
USD
2022-11-07
-3355.41000000
N
N
N
VODAFONE GROUP PUBLIC LIMITED COMPANY
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC MTN 4.200000% 12/13/2027
N/A
780000.00000000
PA
469294.84000000
0.097071146441
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
410051.94000000
0.084817067062
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
1335246.40000000
0.276188629795
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.500000% 07/15/2026
N/A
390000.00000000
PA
361565.99000000
0.074788005688
Long
DBT
NUSS
NL
N
2
2026-07-15
Fixed
0.50000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.400000% 01/08/2028
N/A
7190000.00000000
PA
1041860.67000000
0.215503348958
Long
DBT
NUSS
CN
N
2
2028-01-08
Fixed
3.40000000
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
320347.87000000
0.066262256369
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
186695.30000000
0.038616931748
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/CHF SETTLE 2022-10-07
N/A
1.00000000
NC
USD
2291.90000000
0.000474067348
N/A
DFE
US
N
2
JPM CHASE
N/A
495000.00000000
CHF
505359.88000000
USD
2022-10-07
2291.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
9586.65000000
0.001982947662
N/A
DFE
US
N
2
JPM CHASE
N/A
497000.00000000
EUR
496569.10000000
USD
2022-10-07
9586.65000000
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 144A 3.755000% 03/15/2027
55903VAG8
137000.00000000
PA
USD
122574.52000000
0.025353888785
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
1793491.85000000
0.370974268570
Long
DBT
NUSS
SG
N
2
2024-09-01
Fixed
3.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2022-11-30
N/A
1.00000000
NC
-43584.02000000
-0.00901512317
N/A
DFE
PA
N
2
HSBC BANK PLC, LONDON - TREASURY AND CAP
N/A
881098.72000000
USD
4171561.87000000
PLN
2022-11-30
-43584.02000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.750000% 05/25/2028
N/A
345000.00000000
PA
309592.52000000
0.064037569315
Long
DBT
NUSS
FR
N
2
2028-05-25
Fixed
0.75000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC MTN 0.750000% 10/26/2023
N/A
115000.00000000
PA
109992.04000000
0.022751269590
Long
DBT
NUSS
US
N
2
2023-10-26
Fixed
0.75000000
N
N
N
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
194203.04000000
0.040169867913
Long
DBT
NUSS
ES
N
2
2024-06-12
Fixed
2.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.675000% 06/29/2044
N/A
17119000.00000000
PA
501599.75000000
0.103753245586
Long
DBT
NUSS
TH
N
2
2044-06-29
Fixed
4.67500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2022-11-18
N/A
1.00000000
NC
-50076.02000000
-0.01035795891
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
891248.00000000
USD
1487503.28000000
NZD
2022-11-18
-50076.02000000
N
N
N
WESTFIELD AMERICA MANAGEMENT PTY LIMITED
875500W7WGQNQWSP6E89
WESTFIELD AMERICA MANAGEMENT LTD 2.625000% 03/30/2029
N/A
155000.00000000
PA
125261.70000000
0.025909717703
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
367336.03000000
0.075981507832
Long
DBT
NUSS
US
N
2
2025-02-25
Fixed
1.37500000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
N/A
1610000.00000000
NC
57984.62000000
0.011993810840
N/A
DCR
XX
N
2
N/A
N/A
Y
2027-06-20
1227.67000000
EUR
0.00000000
EUR
1610000.00000000
EUR
56756.95000000
N
N
N
TEMASEK FINANCIAL (I) LIMITED
549300XMGMDF3VRJMF12
TEMASEK FINANCIAL I LTD MTN 2.375000% 01/23/2023
87973PAC8
495000.00000000
PA
USD
492039.90000000
0.101775841362
Long
DBT
NUSS
SG
N
2
2023-01-23
Fixed
2.37500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 12/19/2022
N/A
770350000.00000000
PA
5323761.68000000
1.101191842761
Long
DBT
NUSS
JP
N
2
2022-12-19
None
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-12-08
N/A
1.00000000
NC
41044.20000000
0.008489774890
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
2100897.13000000
USD
2176294.87000000
EUR
2022-12-08
41044.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
21513.46000000
0.004449944998
N/A
DFE
US
N
2
JPM CHASE
N/A
69900000.00000000
JPY
504576.56000000
USD
2022-10-07
21513.46000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 03/20/2042
N/A
427900000.00000000
PA
3483329.79000000
0.720508276094
Long
DBT
NUSS
JP
N
2
2042-03-20
Fixed
2.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 0.000000% 04/11/2025
N/A
1775000.00000000
PA
1664928.68000000
0.344381659322
Long
DBT
NUSS
DE
N
2
2025-04-11
Fixed
0.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 0.000000% 10/09/2026
N/A
3135000.00000000
PA
2848806.14000000
0.589260427408
Long
DBT
NUSS
DE
N
2
2026-10-09
Fixed
0.00000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.250000% 01/22/2044
N/A
400000.00000000
PA
402076.31000000
0.083167350334
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 1.750000% 05/30/2024
N/A
1930000.00000000
PA
1854696.25000000
0.383634073811
Long
DBT
NUSS
IT
N
2
2024-05-30
Fixed
1.75000000
N
N
N
N
N
N
B.A.T CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.906000% 04/02/2030
05526DBN4
105000.00000000
PA
USD
92709.01000000
0.019176366580
Long
DBT
CORP
GB
N
2
2030-04-02
Fixed
4.90600000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE DEC22 FINANCIAL COMMODITY FUTURE.
N/A
-8.00000000
NC
-938507.20000000
-0.19412523233
N/A
DIR
DE
N
1
BNP PARIBAS
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Dec 2022
2022-12-11
-978196.01000000
EUR
39688.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2022-10-07
N/A
1.00000000
NC
USD
5692.87000000
0.001177539939
N/A
DFE
US
N
2
JPM CHASE
N/A
72100000.00000000
JPY
503959.68000000
USD
2022-10-07
5692.87000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4595.25000000
-0.00095050306
N/A
DFE
AU
N
2
J P MORGAN CHASE BANK
N/A
123542.45000000
USD
185000.00000000
AUD
2022-10-07
-4595.25000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2022-10-07
N/A
1.00000000
NC
USD
-5809.82000000
-0.00120173042
N/A
DFE
US
N
2
JPM CHASE
N/A
1257000.00000000
EUR
1225854.05000000
USD
2022-10-07
-5809.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2022-11-07
N/A
1.00000000
NC
USD
-162660.61000000
-0.03364548370
N/A
DFE
US
N
2
JPM CHASE
N/A
161750000.00000000
CNY
22617000.15000000
USD
2022-11-07
-162660.61000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 08/15/2031
N/A
2225000.00000000
PA
1821621.89000000
0.376792818018
Long
DBT
NUSS
DE
N
2
2031-08-15
Fixed
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-10-07
N/A
1.00000000
NC
-4556.11000000
-0.00094240716
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
495457.94000000
USD
501000.00000000
EUR
2022-10-07
-4556.11000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2022-11-07
N/A
1.00000000
NC
4548.35000000
0.000940802052
N/A
DFE
XX
N
2
BARCLAYS CAPITAL INC.
N/A
424519.28000000
USD
437000.00000000
EUR
2022-11-07
4548.35000000
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
130923.70000000
0.027080872347
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
902371.49000000
0.186650752542
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 2022-10-07
N/A
1.00000000
NC
USD
3537.99000000
0.000731814450
N/A
DFE
US
N
2
JPM CHASE
N/A
88000.00000000
NZD
53313.13000000
USD
2022-10-07
3537.99000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.700000% 10/20/2030
N/A
9430000.00000000
PA
1395975.25000000
0.288750070043
Long
DBT
NUSS
CN
N
2
2030-10-20
Fixed
3.70000000
N
N
N
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
367879.15000000
0.076093849321
Long
DBT
NUSS
FR
N
2
2025-05-07
Fixed
0.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 03/31/2025
912828ZF0
94000.00000000
PA
USD
85756.64000000
0.017738305752
Long
SN
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
2022-09-30
SEI INSTITUTIONAL INTERNATIONAL TRUST
Ankit Puri
Ankit Puri
CFO