0001752724-23-120185.txt : 20230526
0001752724-23-120185.hdr.sgml : 20230526
20230526110730
ACCESSION NUMBER: 0001752724-23-120185
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230331
FILED AS OF DATE: 20230526
DATE AS OF CHANGE: 20230526
PERIOD START: 20230930
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: 23964598
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
2023-09-30
2023-03-31
N
471512911.83
7747877.72
463765034.11
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
8115141.53000000
CNY
EUR
GBP
JPY
USD
N
Barclays Global Aggregate ex USD Index (USD Hedged)
LGAXUSDUH
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
702.87000000
0.000151557350
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
69621.09000000
USD
105000.00000000
AUD
2023-04-04
702.87000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
36247000.00000000
PA
1750138.30000000
0.377376078677
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 0.875000% 09/15/2026
N/A
2600000.00000000
PA
2883573.82000000
0.621774736755
Long
DBT
NUSS
DE
N
2
2026-09-15
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-14
N/A
1.00000000
NC
USD
-90.10000000
-0.00001942794
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
35000.00000000
EUR
37954.91000000
USD
2023-04-14
-90.10000000
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.125000% 06/15/2031
02209SAZ6
310000.00000000
PA
287245.85000000
0.061937797995
Long
DBT
NUSS
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
New South Wales Treasury Corporation
TC7LRO17HPNPLTAV0H77
NEW S WALES TREASURY CRP 2.000000% 03/08/2033
N/A
1215000.00000000
PA
675628.56000000
0.145683376345
Long
DBT
NUSS
AU
N
2
2033-03-08
Fixed
2.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.650000% 05/21/2029
N/A
18120000.00000000
PA
2734407.77000000
0.589610593486
Long
DBT
NUSS
CN
N
2
2029-05-21
Fixed
3.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-99.55000000
-0.00002146561
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
32000.00000000
EUR
34718.00000000
USD
2023-05-03
-99.55000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.250000% 05/21/2028
N/A
33000.00000000
PA
21266.75000000
0.004585673441
Long
DBT
NUSS
AU
N
2
2028-05-21
Fixed
2.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2023-04-28
N/A
1.00000000
NC
USD
-8150.69000000
-0.00175750421
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3887900.00000000
PEN
1024182.71000000
USD
2023-04-28
-8150.69000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1982.64000000
0.000427509590
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
260937.95000000
USD
242000.00000000
EUR
2023-04-04
1982.64000000
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC 1.450000% 08/01/2039
718172CM9
115000.00000000
PA
72306.77000000
0.015591250888
Long
DBT
NUSS
US
N
2
2039-08-01
Fixed
1.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-04-27
N/A
1.00000000
NC
USD
-15077.74000000
-0.00325115929
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3662246.45000000
PLN
834045.17000000
USD
2023-04-27
-15077.74000000
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE 5.103000% 01/09/2026
89115A2K7
250000.00000000
PA
USD
251559.82000000
0.054242946642
Long
DBT
NUSS
CA
N
2
2026-01-09
Fixed
5.10300000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
8193.93000000
0.001766827897
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
341945.07000000
USD
46600000.00000000
JPY
2023-04-04
8193.93000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
18679.87000000
0.004027873734
N/A
DFE
CA
N
2
GOLDMAN SACHS & CO
N/A
8534909.37000000
USD
11576000.00000000
CAD
2023-04-04
18679.87000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
567000.00000000
PA
341957.45000000
0.073735065140
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-20
N/A
1.00000000
NC
353.57000000
0.000076239037
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
34848.75000000
USD
56276.73000000
NZD
2023-04-20
353.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1585.21000000
0.000341813177
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
43170000.00000000
JPY
325952.18000000
USD
2023-04-04
1585.21000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
838.92000000
0.000180893327
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
70312.08000000
USD
65000.00000000
CHF
2023-04-04
838.92000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
280700000.00000000
PA
2307881.70000000
0.497640298481
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
583898.83000000
0.125904021876
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
397505.51000000
0.085712695171
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/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-7178.82000000
-0.00154794334
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
191000.00000000
GBP
228982.26000000
USD
2023-04-04
-7178.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-20
N/A
1.00000000
NC
USD
-751.84000000
-0.00016211657
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1618635.81000000
CNY
235356.84000000
USD
2023-04-20
-751.84000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
2751000.00000000
PA
632839.34000000
0.136456889470
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4268.03000000
-0.00092030008
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
61500000.00000000
HUF
171403.49000000
USD
2023-04-04
-4268.03000000
N
N
N
WPC Eurobond B.V.
5493005XDMOLBARL5M14
WPC EUROBOND BV 1.350000% 04/15/2028
N/A
530000.00000000
PA
474271.20000000
0.102265407074
Long
DBT
NUSS
US
N
2
2028-04-15
Fixed
1.35000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-05-04
N/A
1.00000000
NC
5.92000000
0.000001276508
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
1309.64000000
USD
9000.00000000
CNY
2023-05-04
5.92000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-20
N/A
1.00000000
NC
718.69000000
0.000154968561
N/A
DFE
CN
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
144233.82000000
USD
993717.50000000
CNY
2023-04-20
718.69000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
18.12000000
0.000003907150
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
87049.64000000
USD
130000.00000000
AUD
2023-04-04
18.12000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 0.400000% 03/20/2056
N/A
485750000.00000000
PA
2768581.56000000
0.596979365922
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
809579.33000000
0.174566703061
Long
DBT
NUSS
CH
N
2
2024-06-11
Fixed
1.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-03
N/A
1.00000000
NC
2462.61000000
0.000531003809
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
293486.61000000
USD
272000.00000000
EUR
2023-05-03
2462.61000000
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
491470.91000000
0.105974119187
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
324504.58000000
0.069971765038
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
226760.21000000
0.048895495201
Long
DBT
NUSS
BE
N
2
2031-10-22
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-300.26000000
-0.00006474399
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
371000.00000000
MYR
84335.43000000
USD
2023-05-03
-300.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
68.95000000
0.000014867442
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4600000.00000000
JPY
34632.03000000
USD
2023-04-04
68.95000000
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
280989.54000000
0.060588772187
Long
DBT
NUSS
FR
N
2
2031-03-24
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
22855.87000000
0.004928329718
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
506270690.00000000
KRW
411974.00000000
USD
2023-04-26
22855.87000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1169.93000000
-0.00025226783
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
229586.79000000
USD
30400000.00000000
JPY
2023-04-04
-1169.93000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-13
N/A
1.00000000
NC
-313.74000000
-0.00006765063
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
803228.53000000
USD
1198527.60000000
AUD
2023-04-13
-313.74000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1219.00000000
0.000262848621
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
69179.43000000
USD
730000.00000000
SEK
2023-04-04
1219.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
1221.84000000
0.000263461000
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1086265187.00000000
KRW
836122.00000000
USD
2023-04-26
1221.84000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 3.750000% 05/25/2027
N/A
1402000.00000000
PA
297592.85000000
0.064168884696
Long
DBT
NUSS
PL
N
2
2027-05-25
Fixed
3.75000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
279.83000000
0.000060338744
N/A
DFE
SG
N
2
MORGAN STANLEY & CO, INC
N/A
2480258.70000000
USD
3298000.00000000
SGD
2023-04-04
279.83000000
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 1.250000% 05/27/2036
N/A
281000.00000000
PA
241303.48000000
0.052031408634
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
176737.64000000
0.038109306868
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/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-8527.55000000
-0.00183876518
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
193000.00000000
GBP
230106.43000000
USD
2023-04-04
-8527.55000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.384000% 04/02/2026
06051GKM0
700000.00000000
PA
USD
671132.68000000
0.144713945778
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2143.28000000
-0.00046214782
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
215000.00000000
CHF
233202.35000000
USD
2023-04-04
-2143.28000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 4.500000% 04/25/2041
N/A
389000.00000000
PA
497854.74000000
0.107350641679
Long
DBT
NUSS
FR
N
2
2041-04-25
Fixed
4.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5805.42000000
-0.00125180200
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
375000.00000000
NZD
228813.00000000
USD
2023-04-04
-5805.42000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
3530000.00000000
PA
186593.81000000
0.040234557647
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
62121.11000000
0.013394953355
Long
DBT
NUSS
FR
N
2
2066-05-25
Fixed
1.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
443.15000000
0.000095554853
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
227918.78000000
USD
365000.00000000
NZD
2023-04-04
443.15000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-06-12
N/A
1.00000000
NC
107451.36000000
0.023169353464
N/A
DFE
GB
N
2
J.P. MORGAN SECURITIES
N/A
3211699.55000000
USD
2681200.00000000
GBP
2023-06-12
107451.36000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2023-04-04
N/A
1.00000000
NC
8514.41000000
0.001835931856
N/A
DFE
RO
N
2
BARCLAYS CAPITAL INC.
N/A
514790.56000000
USD
2383000.00000000
RON
2023-04-04
8514.41000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
60000.00000000
PA
73709.98000000
0.015893820055
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/CHF SETTLE 2023-06-12
N/A
1.00000000
NC
USD
-53317.37000000
-0.01149663430
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1807200.00000000
CHF
1940507.01000000
USD
2023-06-12
-53317.37000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
3267000.00000000
PA
2291184.87000000
0.494040020588
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 4.875000% 02/10/2026
458140CD0
250000.00000000
PA
USD
253176.46000000
0.054591536959
Long
DBT
CORP
US
N
2
2026-02-10
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
5376.07000000
0.001159222797
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
60800000.00000000
JPY
462209.79000000
USD
2023-04-04
5376.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1804.23000000
-0.00038903967
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
95000.00000000
CHF
102185.70000000
USD
2023-04-04
-1804.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-04-27
N/A
1.00000000
NC
USD
-22468.43000000
-0.00484478741
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3687150.24000000
PLN
832428.64000000
USD
2023-04-27
-22468.43000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.250000% 10/14/2024
N/A
156000.00000000
PA
162459.11000000
0.035030478378
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/SEK SETTLE 2023-04-21
N/A
1.00000000
NC
USD
-197.56000000
-0.00004259915
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1120891.37000000
SEK
108023.87000000
USD
2023-04-21
-197.56000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
27677.36000000
0.005967970408
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
1234776.06000000
USD
1162000.00000000
EUR
2023-04-04
27677.36000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-21
N/A
1.00000000
NC
-14140.01000000
-0.00304895991
N/A
DFE
NO
N
2
BNP PARIBAS
N/A
827655.14000000
USD
8511770.13000000
NOK
2023-04-21
-14140.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-721.84000000
-0.00015564778
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
58000.00000000
GBP
70992.00000000
USD
2023-04-04
-721.84000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-04-04
N/A
1.00000000
NC
7183.96000000
0.001549051668
N/A
DFE
MX
N
2
GOLDMAN SACHS & CO
N/A
167827.12000000
USD
3160000.00000000
MXN
2023-04-04
7183.96000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 6.700000% 02/25/2032
N/A
625000.00000000
PA
130104.71000000
0.028054014518
Long
DBT
NUSS
RO
N
2
2032-02-25
Fixed
6.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-7457.37000000
-0.00160800609
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
93300000.00000000
JPY
693572.01000000
USD
2023-04-04
-7457.37000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MTN 1.963000% 03/23/2030
N/A
255000.00000000
PA
244544.90000000
0.052730344466
Long
DBT
NUSS
US
N
2
2030-03-23
Fixed
1.96300000
N
N
N
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST 144A 1.850000% 05/03/2032
N/A
444000.00000000
PA
419983.11000000
0.090559459879
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
891927.12000000
0.192323063275
Long
DBT
NUSS
FR
N
2
2044-06-25
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1450.91000000
0.000312854547
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
210000.00000000
CHF
231323.39000000
USD
2023-04-04
1450.91000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
589.82000000
0.000127180782
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
230900.35000000
USD
370000.00000000
NZD
2023-04-04
589.82000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
434000.00000000
PA
254044.10000000
0.054778623077
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
99251.36000000
0.021401216715
Long
DBT
NUSS
US
N
2
2036-02-12
Fixed
1.21300000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
2199000000.00000000
PA
152739.90000000
0.032934759795
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-380.18000000
-0.00008197685
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30800000.00000000
JPY
231042.17000000
USD
2023-04-04
-380.18000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.900000% 10/31/2052
N/A
580000.00000000
PA
416560.52000000
0.089821459006
Long
DBT
NUSS
ES
N
2
2052-10-31
Fixed
1.90000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 1.900000% 01/26/2026
N/A
50000000.00000000
PA
395249.02000000
0.085226136282
Long
DBT
NUSS
XX
N
2
2026-01-26
Fixed
1.90000000
N
N
N
N
N
N
CAISSE FRANCAISE DE FINANCEMENT LOCAL SA
549300E6W08778I4OW85
CAISSE FRANCAISE DE FINANCEMENT LOCAL MTN 3.000000% 10/02/2028
N/A
100000.00000000
PA
107271.82000000
0.023130639895
Long
DBT
NUSS
FR
N
2
2028-10-02
Fixed
3.00000000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 4.821000% 01/26/2034
857477CA9
26000.00000000
PA
USD
25856.66000000
0.005575379362
Long
DBT
CORP
US
N
2
2034-01-26
Fixed
4.82100000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 2.000000% 11/25/2032
N/A
857000.00000000
PA
867433.75000000
0.187041645272
Long
DBT
NUSS
FR
N
2
2032-11-25
Fixed
2.00000000
N
N
N
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 0.125000% 05/12/2031
N/A
5545000.00000000
PA
450620.05000000
0.097165593966
Long
DBT
NUSS
SE
N
2
2031-05-12
Fixed
0.12500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2023-04-20
N/A
1.00000000
NC
36768.89000000
0.007928344591
N/A
DFE
ZA
N
2
BNP PARIBAS
N/A
822996.34000000
USD
15273989.01000000
ZAR
2023-04-20
36768.89000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 1.000000% 03/31/2030
N/A
593000.00000000
PA
137435.88000000
0.029634808554
Long
DBT
NUSS
IL
N
2
2030-03-31
Fixed
1.00000000
N
N
N
N
N
N
TELUS Corporation
L2TEUTQ8OSHMJWVLCE40
TELUS CORPORATION 0% CP 11/04/2023 COMMERCIAL PAPER (ISITC)
87974WRB6
1200000.00000000
PA
USD
1198111.30000000
0.258344465813
Long
ABS-APCP
US
N
2
2023-04-11
None
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
14306.36000000
0.003084829374
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
481712.66000000
USD
455669.77000000
EUR
2023-05-11
14306.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2435.19000000
-0.00052509133
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
730000.00000000
SEK
67963.24000000
USD
2023-04-04
-2435.19000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-387.87000000
-0.00008363502
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
34950.95000000
USD
4600000.00000000
JPY
2023-04-04
-387.87000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-20
N/A
1.00000000
NC
2737.78000000
0.000590337735
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
586208.28000000
USD
941527.62000000
NZD
2023-04-20
2737.78000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
286.52000000
0.000061781285
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
113656.60000000
USD
783000.00000000
CNY
2023-04-04
286.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-05-03
N/A
1.00000000
NC
USD
1122.64000000
0.000242070858
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3872000.00000000
NOK
371443.37000000
USD
2023-05-03
1122.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2023-04-12
N/A
1.00000000
NC
USD
-89739.32000000
-0.01935016946
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
64963204771.00000000
IDR
4246099.86000000
USD
2023-04-12
-89739.32000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-05-25
N/A
1.00000000
NC
22893.67000000
0.004936480397
N/A
DFE
MX
N
2
UBS INTERNATIONAL INC
N/A
1177582.65000000
USD
21889895.49000000
MXN
2023-05-25
22893.67000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-23.08000000
-0.00000497665
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
691365.35000000
USD
1105000.00000000
NZD
2023-04-04
-23.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2574.24000000
-0.00055507418
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
58000.00000000
GBP
69139.60000000
USD
2023-04-04
-2574.24000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
220000.00000000
PA
157174.60000000
0.033890998337
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
31000000.00000000
NC
27986.00000000
0.006034521350
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-09-09
0.00000000
CNY
0.00000000
CNY
-31000000.00000000
CNY
27986.00000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.000000% 06/01/2027
135087F82
1375000.00000000
PA
936698.75000000
0.201977010146
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
269218.42000000
0.058050607570
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
24293.72000000
0.005238368185
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1080686336.00000000
KRW
854906.00000000
USD
2023-04-26
24293.72000000
N
N
N
BRAZILIAN REAL
N/A
FX Forward Contract: BRL/USD SETTLE 2023-04-04
N/A
1.00000000
NC
29157.59000000
0.006287147123
N/A
DFE
BR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1647200.38000000
USD
8499553.98000000
BRL
2023-04-04
29157.59000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
11852.14000000
0.002555634670
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
571750.12000000
USD
472000.00000000
GBP
2023-04-04
11852.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-06-12
N/A
1.00000000
NC
USD
-7766.14000000
-0.00167458506
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1714000.00000000
CAD
1260350.56000000
USD
2023-06-12
-7766.14000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.250000% 07/31/2051
N/A
766000.00000000
PA
527213.19000000
0.113681099527
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/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
15217.01000000
0.003281189585
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1093047454.00000000
KRW
855330.00000000
USD
2023-04-26
15217.01000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
2620000.00000000
NC
-65656.72000000
-0.01415732432
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
-65656.72000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.800000% 03/01/2041
N/A
247000.00000000
PA
184734.09000000
0.039833552858
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
254000.00000000
PA
USD
240665.00000000
0.051893735469
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/ZAR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5318.32000000
-0.00114677037
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3150000.00000000
ZAR
172221.49000000
USD
2023-04-04
-5318.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
4355.43000000
0.000939145834
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30400000.00000000
JPY
232772.29000000
USD
2023-04-04
4355.43000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-16151.79000000
-0.00348275286
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
20349000.00000000
CZK
925543.53000000
USD
2023-04-04
-16151.79000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
863000.00000000
PA
503716.47000000
0.108614585609
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
9.11000000
0.000001964356
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
210628.00000000
KRW
171.00000000
USD
2023-04-26
9.11000000
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HANDELSBANKEN AB 4.750000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
159728.80000000
0.034441751372
Long
DBT
NUSS
SE
N
2
2172-03-01
Fixed
4.75000000
N
N
N
Y
Y
Svenska Handelsbanken AB
SHB 4.75 PERP
SEK
XXXX
N
N
N
PIPELINES ENBRIDGE INC.
549300I7CU6YE54FMU33
ENBRIDGE PIPELINES INC MTN 2.820000% 05/12/2031
29250ZAZ1
400000.00000000
PA
256489.45000000
0.055305905175
Long
DBT
NUSS
CA
N
2
2031-05-12
Fixed
2.82000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3044.50000000
0.000656474674
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
456700.45000000
USD
420000.00000000
CHF
2023-04-04
3044.50000000
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
102241.35000000
0.022045937593
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
688381.73000000
0.148433296900
Long
DBT
NUSS
JP
N
2
2027-02-12
Fixed
0.05000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 5.625000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
189450.00000000
0.040850427709
Long
DBT
NUSS
SE
N
2
2172-03-17
Fixed
5.62500000
N
N
N
Y
Y
Swedbank AB
SWEDX 5.625 PERP
SEK
XXXX
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-61668.14000000
-0.01329728105
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
157411000.00000000
CNY
22844972.72000000
USD
2023-04-04
-61668.14000000
N
N
N
GILEAD SCIENCES, INC.
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 0.750000% 09/29/2023
375558BW2
545000.00000000
PA
USD
533180.38000000
0.114967783421
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
0.75000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-05-03
N/A
1.00000000
NC
-88.03000000
-0.00001898159
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
540338.37000000
USD
806000.00000000
AUD
2023-05-03
-88.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-22167.27000000
-0.00477984935
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
8704000.00000000
MYR
1950410.63000000
USD
2023-04-04
-22167.27000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
67.36000000
0.000014524596
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
69058.80000000
USD
9200000.00000000
JPY
2023-04-04
67.36000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.450000% 07/30/2066
N/A
272000.00000000
PA
269948.65000000
0.058208064460
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
237412.73000000
0.051192460090
Long
DBT
NUSS
AU
N
2
2029-10-15
Fixed
0.12500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-25.16000000
-0.00000542516
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
459770.11000000
USD
420000.00000000
CHF
2023-04-04
-25.16000000
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 0.500000% 07/11/2025
N/A
1420000.00000000
PA
1456671.34000000
0.314096844923
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
969534.75000000
0.209057319696
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
664948.23000000
0.143380414885
Long
DBT
NUSS
IE
N
2
2029-05-15
Fixed
1.10000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
31.45000000
0.000006781451
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
229841.03000000
USD
210000.00000000
CHF
2023-04-04
31.45000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 2.000000% 03/31/2027
N/A
925000.00000000
PA
239852.87000000
0.051718618774
Long
DBT
NUSS
IL
N
2
2027-03-31
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-9586.04000000
-0.00206700361
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
69200000.00000000
JPY
510362.87000000
USD
2023-04-04
-9586.04000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 2.125000% 09/30/2024
N/A
545000.00000000
PA
579172.12000000
0.124884818259
Long
DBT
NUSS
US
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4300.32000000
0.000927262661
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
233897.09000000
USD
2470000.00000000
SEK
2023-04-04
4300.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-6107.35000000
-0.00131690609
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
483000.00000000
EUR
518647.38000000
USD
2023-04-04
-6107.35000000
N
N
N
Government of the Republic of Korea
N/A
KOREA TREASURY BOND 1.875000% 06/10/2029
N/A
496110000.00000000
PA
351173.55000000
0.075722299908
Long
DBT
NUSS
KR
N
2
2029-06-10
Fixed
1.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-04-20
N/A
1.00000000
NC
USD
-28992.35000000
-0.00625151701
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
15314075.49000000
ZAR
833029.33000000
USD
2023-04-20
-28992.35000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
10236000.00000000
PA
936937.40000000
0.202028469394
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-13954.39000000
-0.00300893533
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
601000.00000000
EUR
639001.29000000
USD
2023-04-04
-13954.39000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.000000% 10/22/2027
N/A
459000.00000000
PA
442371.02000000
0.095386885052
Long
DBT
NUSS
BE
N
2
2027-10-22
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-1365.32000000
-0.00029439908
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
20349000.00000000
CZK
939311.06000000
USD
2023-05-03
-1365.32000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 4.150000% 03/15/2037
N/A
561000.00000000
PA
680571.27000000
0.146749155271
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/ILS SETTLE 2023-05-03
N/A
1.00000000
NC
USD
2410.98000000
0.000519871017
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2341000.00000000
ILS
653310.23000000
USD
2023-05-03
2410.98000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1284.78000000
0.000277032528
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
70078.01000000
USD
740000.00000000
SEK
2023-04-04
1284.78000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
980000.00000000
NC
-23808.93000000
-0.00513383464
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
-23808.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-20
N/A
1.00000000
NC
USD
36849.38000000
0.007945700363
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1791136.20000000
NZD
1157244.14000000
USD
2023-04-20
36849.38000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN VARIABLE RATE 01/25/2024
6174468W2
1000000.00000000
PA
USD
996920.00000000
0.214962303467
Long
DBT
CORP
US
N
2
2024-01-25
Floating
5.10839640
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-20
N/A
1.00000000
NC
12667.25000000
0.002731393931
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
858072.47000000
USD
1392021.35000000
NZD
2023-04-20
12667.25000000
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES MTN 2.500000% 06/30/2051
N/A
200000.00000000
PA
175240.70000000
0.037786527036
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
278670.19000000
0.060088659019
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
633794.31000000
0.136662806245
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
CENTRICA PLC MTN 4.375000% 03/13/2029
N/A
179000.00000000
PA
207705.69000000
0.044786837023
Long
DBT
NUSS
GB
N
2
2029-03-13
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-27
N/A
1.00000000
NC
USD
-355892.38000000
-0.07673980438
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
14489795.79000000
EUR
15404913.33000000
USD
2023-04-27
-355892.38000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.450000% 03/01/2036
N/A
529000.00000000
PA
419839.74000000
0.090528545517
Long
DBT
NUSS
IT
N
2
2036-03-01
Fixed
1.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3862.41000000
-0.00083283769
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
31100000.00000000
JPY
229814.05000000
USD
2023-04-04
-3862.41000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
831.27000000
0.000179243784
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
133408.72000000
USD
17866000.00000000
JPY
2023-04-04
831.27000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.000000% 08/01/2029
N/A
853000.00000000
PA
891424.53000000
0.192214691586
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
120320.72000000
0.025944327655
Long
DBT
NUSS
AU
N
2
2026-10-15
Fixed
1.50000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2037
N/A
80000.00000000
PA
41836.05000000
0.009020958227
Long
DBT
NUSS
NZ
N
2
2037-04-15
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-212.11000000
-0.00004573652
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
28000.00000000
GBP
34408.36000000
USD
2023-04-04
-212.11000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 0.500000% 09/21/2026
N/A
2364000.00000000
PA
1455977.29000000
0.313947189398
Long
DBT
NUSS
AU
N
2
2026-09-21
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-527.29000000
-0.00011369766
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2383000.00000000
RON
522777.68000000
USD
2023-04-04
-527.29000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-97.00000000
NC
USD
-10622257.81000000
-2.29043956071
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2023
2023-07-03
-10535390.61000000
USD
-86867.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-6390.11000000
-0.00137787662
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3210000.00000000
MXN
171390.13000000
USD
2023-04-04
-6390.11000000
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
TWDC ENTERPRISES 18 CORP 2.758000% 10/07/2024
254687CD6
800000.00000000
PA
572316.10000000
0.123406479123
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
483482.19000000
0.104251539991
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/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5289.92000000
-0.00114064657
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
181000.00000000
GBP
218506.71000000
USD
2023-04-04
-5289.92000000
N
N
N
Government of the Republic of Korea
N/A
KOREA TREASURY BOND 1.500000% 12/10/2030
N/A
1713530000.00000000
PA
1157070.25000000
0.249494930600
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
1165587.93000000
0.251331567554
Long
DBT
NUSS
JP
N
2
2025-10-10
Fixed
0.87500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-05-02
N/A
1.00000000
NC
-3022.03000000
-0.00065162954
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
2550641.96000000
USD
337466000.00000000
JPY
2023-05-02
-3022.03000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1492.46000000
0.000321813826
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
228380.02000000
USD
210000.00000000
CHF
2023-04-04
1492.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-14476.80000000
-0.00312158074
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2631000.00000000
PLN
596240.35000000
USD
2023-04-04
-14476.80000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
7595.66000000
0.001637825071
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
698441.23000000
USD
645000.00000000
CHF
2023-04-04
7595.66000000
N
N
N
EDP - Energias de Portugal, S.A.
529900CLC3WDMGI9VH80
EDP - ENERGIAS DE PORTUGAL SA 1.875000% 08/02/2081
N/A
300000.00000000
PA
282748.28000000
0.060968003019
Long
DBT
NUSS
PT
N
2
2081-08-02
Fixed
1.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-21
N/A
1.00000000
NC
USD
1271.64000000
0.000274199197
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8599686.97000000
SEK
831566.54000000
USD
2023-04-21
1271.64000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.700000% 06/02/2037
683234YD4
1355000.00000000
PA
1077151.66000000
0.232262370117
Long
DBT
NUSS
CA
N
2
2037-06-02
Fixed
4.70000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-20
N/A
1.00000000
NC
606.03000000
0.000130676087
N/A
DFE
CN
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
823880.41000000
USD
5654246.38000000
CNY
2023-04-20
606.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-06-12
N/A
1.00000000
NC
USD
-17734.13000000
-0.00382394719
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2795795519.00000000
KRW
2136641.59000000
USD
2023-06-12
-17734.13000000
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
502608.56000000
0.108375690928
Long
DBT
NUSS
FR
N
2
2026-01-19
Fixed
0.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033
N/A
21450000.00000000
PA
177925.89000000
0.038365524977
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
171170.00000000
0.036908776516
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
292580.21000000
0.063088027013
Long
DBT
NUSS
NL
N
2
2037-01-15
Fixed
4.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.600000% 09/01/2032
N/A
10500000.00000000
PA
1492218.25000000
0.321761698327
Long
DBT
NUSS
CN
N
2
2032-09-01
Fixed
2.60000000
N
N
N
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA MTN 1.500000% 12/03/2026
N/A
300000.00000000
PA
326050.67000000
0.070305142910
Long
DBT
NUSS
ES
N
2
2026-12-03
Fixed
1.50000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2526.77000000
0.000544838401
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
228963.40000000
USD
370000.00000000
NZD
2023-04-04
2526.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-134793.21000000
-0.02906497904
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
62794000.00000000
EUR
68188130.19000000
USD
2023-05-03
-134793.21000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 0.500000% 04/26/2024
N/A
500000.00000000
PA
524756.91000000
0.113151460632
Long
DBT
NUSS
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-28
N/A
1.00000000
NC
1529.19000000
0.000329733784
N/A
DFE
JP
N
2
CITIGROUP GLOBAL MARKETS
N/A
823405.00000000
USD
109347025.00000000
JPY
2023-04-28
1529.19000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 01/31/2028
N/A
2312000.00000000
PA
2180252.45000000
0.470120058573
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
506104.67000000
0.109129544656
Long
DBT
NUSS
AU
N
2
2024-03-11
Fixed
5.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-06-09
N/A
1.00000000
NC
10612.48000000
0.002288331206
N/A
DFE
CA
N
2
BNP PARIBAS
N/A
901714.23000000
USD
1233175.36000000
CAD
2023-06-09
10612.48000000
N
N
N
Siemens Financieringsmaatschappij N.V.
TAFO772JB70PDRN5VS48
SIEMENS FINANCIERINGSMAATSCHAPPIJ NV 144A 1.200000% 03/11/2026
82620KAZ6
775000.00000000
PA
USD
706853.74000000
0.152416350524
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
536609.49000000
0.115707190178
Long
DBT
NUSS
MX
N
2
2027-03-04
Fixed
5.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.400000% 12/20/2049
N/A
302400000.00000000
PA
1840052.54000000
0.396763965513
Long
DBT
NUSS
JP
N
2
2049-12-20
Fixed
0.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-05-03
N/A
1.00000000
NC
USD
1607.33000000
0.000346582834
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
52654000.00000000
THB
1546827.26000000
USD
2023-05-03
1607.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-2309.41000000
-0.00049796984
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
145728.77000000
EUR
156323.54000000
USD
2023-05-11
-2309.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-06-09
N/A
1.00000000
NC
USD
-67162.66000000
-0.01448204479
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
11192403.48000000
CAD
8213191.47000000
USD
2023-06-09
-67162.66000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.000000% 04/26/2028
N/A
2972000.00000000
PA
270932.12000000
0.058420126588
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
654445.70000000
0.141115791805
Long
DBT
NUSS
CN
N
2
2032-03-11
Fixed
3.18000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-04-27
N/A
1.00000000
NC
22514.43000000
0.004854706229
N/A
DFE
PA
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
810232.20000000
USD
3591615.95000000
PLN
2023-04-27
22514.43000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.800000% 09/20/2047
N/A
491400000.00000000
PA
3404539.12000000
0.734108626048
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
27600000.00000000
PA
172399.94000000
0.037173984091
Long
DBT
NUSS
JP
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-18
N/A
1.00000000
NC
USD
-373634.98000000
-0.08056557793
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
14489795.79000000
EUR
15379976.39000000
USD
2023-04-18
-373634.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-04-20
N/A
1.00000000
NC
USD
-21751.72000000
-0.00469024579
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
14407849.31000000
ZAR
789258.94000000
USD
2023-04-20
-21751.72000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.400000% 06/02/2026
68323ADM3
585000.00000000
PA
417209.37000000
0.089961368217
Long
DBT
NUSS
CA
N
2
2026-06-02
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1176429.55000000
-0.25366930740
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
63664000.00000000
EUR
67991242.08000000
USD
2023-04-04
-1176429.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
43.19000000
0.000009312905
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
118000.00000000
MYR
26785.40000000
USD
2023-04-04
43.19000000
N
N
N
MPT OPERATING PARTNERSHIP, L.P.
WUQXXXF7PXTUPGROE843
MPT OPERATING PARTNERSHIP LP / MPT FINANCE CORP 3.325000% 03/24/2025
N/A
145000.00000000
PA
130653.28000000
0.028172300710
Long
DBT
NUSS
US
N
2
2025-03-24
Fixed
3.32500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-8956.07000000
-0.00193116542
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
420000.00000000
CHF
450788.88000000
USD
2023-04-04
-8956.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2023-05-19
N/A
1.00000000
NC
USD
-77430.85000000
-0.01669613798
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
34305233364.00000000
IDR
2217246.21000000
USD
2023-05-19
-77430.85000000
N
N
N
NISSAN MOTOR CO., LTD.
353800DRBDH1LUTNAY26
NISSAN MOTOR CO LTD 2.652000% 03/17/2026
N/A
165000.00000000
PA
168395.98000000
0.036310624478
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
398903.12000000
0.086014056830
Long
DBT
NUSS
US
N
2
2027-03-07
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2023-06-22
N/A
1.00000000
NC
USD
-382.92000000
-0.00008256767
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
68887673.72000000
INR
834041.69000000
USD
2023-06-22
-382.92000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
41000.00000000
PA
31899.13000000
0.006878295613
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
Volkswagen Leasing Gesellschaft mit beschraenkter Haftung
5299004GLEUX88BSNB74
VOLKSWAGEN LEASING GMBH MTN 1.125000% 04/04/2024
N/A
520000.00000000
PA
550961.70000000
0.118801906024
Long
DBT
NUSS
DE
N
2
2024-04-04
Fixed
1.12500000
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
329244.16000000
0.070993743767
Long
DBT
NUSS
SE
N
2
2027-03-03
Fixed
1.37500000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 5.750000% 06/01/2033
135087XG4
621000.00000000
PA
571502.63000000
0.123231073488
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
485266.67000000
0.104636321048
Long
DBT
NUSS
BE
N
2
2045-06-22
Fixed
3.75000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 2.875000% 04/08/2039
N/A
280000.00000000
PA
222771.01000000
0.048035318235
Long
DBT
NUSS
MX
N
2
2039-04-08
Fixed
2.87500000
N
N
N
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-932205.28000000
-0.20100809923
N/A
DIR
CA
N
1
GOLDMAN SACHS & CO
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2023
2023-06-24
-930437.58000000
CAD
-1767.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-492.63000000
-0.00010622404
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
57000.00000000
GBP
69984.76000000
USD
2023-04-04
-492.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
4364.03000000
0.000941000221
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30200000.00000000
JPY
231278.15000000
USD
2023-04-04
4364.03000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-14575.77000000
-0.00314292129
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
291165000.00000000
HUF
817121.77000000
USD
2023-04-04
-14575.77000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.658000% 05/24/2028
172967NS6
122000.00000000
PA
USD
120458.65000000
0.025974069009
Long
DBT
CORP
US
N
2
2028-05-24
Fixed
4.65800000
N
N
N
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
DEUTSCHE TELEKOM AG MTN 1.750000% 12/09/2049
N/A
100000.00000000
PA
70671.32000000
0.015238604638
Long
DBT
NUSS
DE
N
2
2049-12-09
Fixed
1.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
10591.70000000
0.002283850489
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
452388.64000000
USD
740000.00000000
NZD
2023-04-04
10591.70000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1376.39000000
0.000296786065
N/A
DFE
CA
N
2
GOLDMAN SACHS & CO
N/A
227684.83000000
USD
310000.00000000
CAD
2023-04-04
1376.39000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
179000.00000000
PA
104478.85000000
0.022528401736
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
240000.00000000
PA
209874.78000000
0.045254550163
Long
DBT
NUSS
FR
N
2
2036-05-25
Fixed
1.25000000
N
N
N
N
N
N
Province of Alberta
LQPXMHHNJKIPJYE53543
PROVINCE OF ALBERTA 0.500000% 04/16/2025
N/A
400000.00000000
PA
410860.14000000
0.088592306401
Long
DBT
NUSS
CA
N
2
2025-04-16
Fixed
0.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-499.57000000
-0.00010772049
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
35062.65000000
USD
4600000.00000000
JPY
2023-04-04
-499.57000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
3693000.00000000
PA
2227246.67000000
0.480253254597
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
18.87000000
0.000004068870
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
34391.83000000
USD
55000.00000000
NZD
2023-04-04
18.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-04-27
N/A
1.00000000
NC
USD
-17029.99000000
-0.00367211599
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
3692874.04000000
PLN
839194.19000000
USD
2023-04-27
-17029.99000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.600000% 10/31/2029
N/A
174000.00000000
PA
161987.89000000
0.034928870890
Long
DBT
NUSS
ES
N
2
2029-10-31
Fixed
0.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2262.16000000
-0.00048778149
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2700000.00000000
SEK
258115.58000000
USD
2023-04-04
-2262.16000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
3379000.00000000
PA
2369731.76000000
0.510976806293
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-330.11000000
-0.00007118044
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
370000.00000000
SEK
35351.28000000
USD
2023-04-04
-330.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-04-27
N/A
1.00000000
NC
USD
-157.65000000
-0.00003399350
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1752115.05000000
PLN
406085.09000000
USD
2023-04-27
-157.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-2201.24000000
-0.00047464552
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
285345.52000000
EUR
308411.43000000
USD
2023-05-11
-2201.24000000
N
N
N
ODEBRECHT HOLDCO FINANCE LIMITED
N/A
ODEBRECHT HOLDCO FINANCE LTD ZERO COUPON 09/10/2058
G6714UAA8
310752.00000000
PA
USD
459.91000000
0.000099168752
Long
DBT
NUSS
KY
N
2
2058-09-10
Fixed
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-145.94000000
-0.00003146852
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
231210.38000000
USD
345000.00000000
AUD
2023-04-04
-145.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-14
N/A
1.00000000
NC
USD
-540593.40000000
-0.11656622648
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
24911445.26000000
EUR
26538157.65000000
USD
2023-04-14
-540593.40000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3405.93000000
0.000734408536
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
455681.91000000
USD
61100000.00000000
JPY
2023-04-04
3405.93000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.500000% 04/30/2027
N/A
393000.00000000
PA
403927.14000000
0.087097368341
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
140020.52000000
0.030192125257
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
1265000.00000000
PA
660043.32000000
0.142322786638
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
116517.72000000
0.025124300331
Long
DBT
CORP
US
N
2
2172-03-15
Fixed
3.90000000
N
N
N
N
N
N
BG ENERGY CAPITAL PLC
S2M8QDKEE05NZN8JD460
BG ENERGY CAPITAL PLC MTN 5.125000% 12/01/2025
N/A
215000.00000000
PA
267826.89000000
0.057750556920
Long
DBT
NUSS
GB
N
2
2025-12-01
Fixed
5.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-1111.17000000
-0.00023959762
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3298000.00000000
SGD
2482386.95000000
USD
2023-05-03
-1111.17000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
297650000.00000000
PA
2183564.34000000
0.470834189600
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
19000.00000000
PA
13257.81000000
0.002858734278
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 1.550000% 03/15/2028
171239AA4
325000.00000000
PA
319474.76000000
0.068887202894
Long
DBT
NUSS
US
N
2
2028-03-15
Fixed
1.55000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.350000% 06/22/2032
N/A
636000.00000000
PA
549212.74000000
0.118424784018
Long
DBT
NUSS
BE
N
2
2032-06-22
Fixed
0.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-438.50000000
-0.00009455219
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
360000.00000000
SEK
34278.53000000
USD
2023-04-04
-438.50000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: China 7-Day Reverse Repo Rate
N/A
12090000.00000000
NC
7972.30000000
0.001719038610
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
7972.30000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
-459111.51000000
-0.09899657719
N/A
DIR
DE
N
1
GOLDMAN SACHS & CO
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2023
2023-06-11
-431258.00000000
EUR
-27853.51000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 1.250000% 01/14/2033
N/A
310000.00000000
PA
275137.92000000
0.059327008239
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
62746.25000000
0.013529750064
Long
DBT
CORP
US
N
2
2172-03-10
Fixed
4.00000000
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
221747.65000000
0.047814654769
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
481000.00000000
PA
438887.22000000
0.094635685685
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-05-25
N/A
1.00000000
NC
31318.38000000
0.006753070563
N/A
DFE
MX
N
2
UBS INTERNATIONAL INC
N/A
791001.21000000
USD
14994456.31000000
MXN
2023-05-25
31318.38000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC CANADA MTN 3.700000% 05/20/2026
N/A
568000.00000000
PA
377247.78000000
0.081344593113
Long
DBT
NUSS
CA
N
2
2026-05-20
Fixed
3.70000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 11/21/2027
N/A
855000.00000000
PA
565903.44000000
0.122023740122
Long
DBT
NUSS
AU
N
2
2027-11-21
Fixed
2.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
9541.91000000
0.002057488016
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
409428.88000000
USD
384889.12000000
EUR
2023-05-11
9541.91000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 10/31/2031
N/A
431000.00000000
PA
375234.99000000
0.080910582385
Long
DBT
NUSS
ES
N
2
2031-10-31
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-06-06
N/A
1.00000000
NC
USD
-56844.72000000
-0.01225722420
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
104118050.00000000
THB
3009105.23000000
USD
2023-06-06
-56844.72000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
2316000.00000000
PA
525527.70000000
0.113317663331
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 2.4003
N/A
7840000.00000000
NC
14713.72000000
0.003172666958
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2027-08-11
0.00000000
CNY
0.00000000
CNY
-7840000.00000000
CNY
14713.72000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 4.100000% 04/15/2037
N/A
452000.00000000
PA
527261.15000000
0.113691440971
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
620588.47000000
0.133815278073
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
260260.23000000
0.056118985015
Long
DBT
NUSS
ES
N
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
249.12000000
0.000053716856
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
119459.47000000
USD
109970.75000000
EUR
2023-05-11
249.12000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-06-20
N/A
1.00000000
NC
USD
-37469.02000000
-0.00807931112
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
267700000.00000000
JPY
1997840.96000000
USD
2023-06-20
-37469.02000000
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
264336.41000000
0.056997917168
Long
DBT
NUSS
US
N
2
2028-01-26
Fixed
0.25000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 8.000000% PERPETUAL MATURITY
53944YAV5
200000.00000000
PA
USD
184250.00000000
0.039729170258
Long
DBT
NUSS
GB
N
2
2171-06-27
Fixed
8.00000000
N
N
N
Y
Y
LLOYDS BANKING GROUP PLC
LLOY 8 PERP
GBP
XXXX
N
N
N
BNG BANK N.V.
529900GGYMNGRQTDOO93
BNG BANK NV MTN 0.000000% 01/20/2031
N/A
900000.00000000
PA
773648.19000000
0.166818999514
Long
DBT
NUSS
NL
N
2
2031-01-20
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
6724.53000000
0.001449986416
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
76100000.00000000
JPY
578518.05000000
USD
2023-04-04
6724.53000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2023-04-26
N/A
1.00000000
NC
-3553.94000000
-0.00076632340
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
840479.00000000
USD
1088899717.00000000
KRW
2023-04-26
-3553.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-5462.61000000
-0.00117788310
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
8704000.00000000
MYR
1980168.29000000
USD
2023-05-03
-5462.61000000
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.125000% 05/01/2024
00928QAQ4
22000.00000000
PA
USD
21538.04000000
0.004644170736
Long
DBT
NUSS
US
N
2
2024-05-01
Fixed
4.12500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-538.55000000
-0.00011612561
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
231960.90000000
USD
30800000.00000000
JPY
2023-04-04
-538.55000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 6.000000% 01/31/2029
N/A
80000.00000000
PA
100702.50000000
0.021714120857
Long
DBT
NUSS
ES
N
2
2029-01-31
Fixed
6.00000000
N
N
N
N
N
N
OMERS Finance Trust
529900M039WCPES03P17
OMERS FINANCE TRUST 144A 3.500000% 04/19/2032
682142AG9
555000.00000000
PA
USD
520649.12000000
0.112265712528
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
214653.42000000
0.046284951260
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/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1545.35000000
0.000333218308
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
9100000.00000000
JPY
69920.13000000
USD
2023-04-04
1545.35000000
N
N
N
Swedbank Hypotek AB
549300TJREQ7GHIXWR36
SWEDBANK HYPOTEK AB MTN 0.050000% 05/28/2025
N/A
195000.00000000
PA
197249.93000000
0.042532298791
Long
DBT
NUSS
SE
N
2
2025-05-28
Fixed
0.05000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.180000% 08/25/2025
N/A
26340000.00000000
PA
3803897.93000000
0.820220941688
Long
DBT
NUSS
CN
N
2
2025-08-25
Fixed
2.18000000
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
233063.54000000
0.050254659764
Long
DBT
NUSS
NL
N
2
2027-09-14
Fixed
5.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-05-03
N/A
1.00000000
NC
USD
629.55000000
0.000135747620
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
5764000.00000000
AUD
3864156.78000000
USD
2023-05-03
629.55000000
N
N
N
GLOBAL PAYMENTS INC.
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 4.875000% 03/17/2031
37940XAS1
359000.00000000
PA
389617.75000000
0.084011885619
Long
DBT
NUSS
US
N
2
2031-03-17
Fixed
4.87500000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 1.125000% 12/15/2025
N/A
230000.00000000
PA
255974.36000000
0.055194838155
Long
DBT
NUSS
CA
N
2
2025-12-15
Fixed
1.12500000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN23 FINANCIAL COMMODITY FUTURE.
N/A
39.00000000
NC
USD
4481953.13000000
0.966427565761
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2023
2023-06-24
4464559.66000000
USD
17393.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-55919.53000000
-0.01205772878
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2385000.00000000
CHF
2554775.01000000
USD
2023-04-04
-55919.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2636.96000000
-0.00056859827
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1730000.00000000
MXN
93176.07000000
USD
2023-04-04
-2636.96000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-21
N/A
1.00000000
NC
-84004.37000000
-0.01811356264
N/A
DFE
NO
N
2
BNP PARIBAS
N/A
1666059.35000000
USD
16552966.09000000
NOK
2023-04-21
-84004.37000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
7062.40000000
0.001522840119
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
227277.57000000
USD
2430000.00000000
SEK
2023-04-04
7062.40000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC MTN 6.000000% 03/29/2040
N/A
70000.00000000
PA
77446.86000000
0.016699590159
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
417180.67000000
0.089955179738
Long
DBT
NUSS
DE
N
2
2025-07-03
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-635.06000000
-0.00013693572
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30000.00000000
CHF
32203.87000000
USD
2023-04-04
-635.06000000
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
503916.58000000
0.108657734614
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
908000.00000000
PA
193496.09000000
0.041722871663
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
478747.24000000
0.103230559612
Long
DBT
NUSS
US
N
2
2029-06-12
Fixed
1.65000000
N
N
N
N
N
N
N/A
N/A
KOREA 10YR BND FU JUN23 FINANCIAL COMMODITY FUTURE.
N/A
64.00000000
NC
5596958.17000000
1.206852125180
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 Jun 2023
2023-06-23
5581453.69000000
KRW
15504.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5365.11000000
-0.00115685953
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2440000.00000000
SEK
229939.22000000
USD
2023-04-04
-5365.11000000
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-4.00000000
NC
-4451724.40000000
-0.95990945254
N/A
DIR
JP
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Jun 2023
2023-06-16
-4252037.43000000
JPY
-199686.97000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3537.00000000
0.000762670693
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
231808.63000000
USD
215000.00000000
CHF
2023-04-04
3537.00000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.900000% 09/20/2042
N/A
36550000.00000000
PA
317012.00000000
0.068356166740
Long
DBT
NUSS
JP
N
2
2042-09-20
Fixed
1.90000000
N
N
N
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.250000% 11/17/2025
N/A
275000.00000000
PA
289094.34000000
0.062336381300
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
366648.41000000
0.079059088769
Long
DBT
NUSS
US
N
2
2029-05-21
Fixed
0.87500000
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
81886.62000000
0.017656919771
Long
DBT
NUSS
US
N
2
2040-10-15
Fixed
1.37500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-21
N/A
1.00000000
NC
-13407.13000000
-0.00289093161
N/A
DFE
NO
N
2
BNP PARIBAS
N/A
847077.47000000
USD
8722653.19000000
NOK
2023-04-21
-13407.13000000
N
N
N
Heimstaden Bostad Treasury B.V.
549300ORG6UYMJBCV938
HEIMSTADEN BOSTAD TREASURY BV MTN 0.250000% 10/13/2024
N/A
135000.00000000
PA
132358.76000000
0.028540047279
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
265606.56000000
0.057271795082
Long
DBT
NUSS
GB
N
2
2171-06-22
Fixed
3.62500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-04-27
N/A
1.00000000
NC
25345.77000000
0.005465217973
N/A
DFE
PA
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
829315.57000000
USD
3686133.55000000
PLN
2023-04-27
25345.77000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-05-02
N/A
1.00000000
NC
-721.60000000
-0.00015559603
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
232484.00000000
USD
30700000.00000000
JPY
2023-05-02
-721.60000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 03/07/2036
N/A
332000.00000000
PA
435322.82000000
0.093867106828
Long
DBT
NUSS
GB
N
2
2036-03-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2023-05-15
N/A
1.00000000
NC
USD
-10485.25000000
-0.00226089705
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1117449.84000000
SGD
831349.29000000
USD
2023-05-15
-10485.25000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
375.29000000
0.000080922443
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
70023.14000000
USD
730000.00000000
SEK
2023-04-04
375.29000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
5497.87000000
0.001185486096
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
225992.30000000
USD
370000.00000000
NZD
2023-04-04
5497.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1638.08000000
-0.00035321334
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
750000.00000000
NZD
467598.75000000
USD
2023-04-04
-1638.08000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.650000% 06/02/2041
683234B98
540000.00000000
PA
427004.40000000
0.092073435596
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
1712000.00000000
PA
871876.32000000
0.187999580794
Long
DBT
NUSS
NZ
N
2
2031-05-15
Fixed
1.50000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-8.00000000
NC
USD
-1129000.00000000
-0.24344224272
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2023
2023-06-24
-1082659.68000000
USD
-46340.32000000
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
116706.85000000
0.025165081758
Long
DBT
NUSS
GB
N
2
2026-01-14
Fixed
3.62500000
N
N
N
N
N
N
GENERAL MILLS, INC.
2TGYMUGI08PO8X8L6150
GENERAL MLS INC 0% CP 03/04/2023 COMMERCIAL PAPER (ISITC)
3703E1R34
900000.00000000
PA
USD
899619.00000000
0.193981635921
Long
ABS-APCP
US
N
2
2023-04-03
None
0.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
253.26000000
0.000054609550
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
32585.67000000
USD
30000.00000000
CHF
2023-04-04
253.26000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
50650000.00000000
PA
467963.53000000
0.100905306692
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-309.51000000
-0.00006673853
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30000.00000000
CHF
32529.42000000
USD
2023-04-04
-309.51000000
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
132829.83000000
0.028641622423
Long
DBT
NUSS
GB
N
2
2041-10-22
Fixed
1.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-05-03
N/A
1.00000000
NC
-1301.83000000
-0.00028070895
N/A
DFE
NO
N
2
GOLDMAN SACHS & CO
N/A
430728.50000000
USD
4490000.00000000
NOK
2023-05-03
-1301.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-567226.45000000
-0.12230901604
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
6052442000.00000000
JPY
44909082.81000000
USD
2023-04-04
-567226.45000000
N
N
N
Tokyo Metropolitan
353800FABE4GGB1BMO18
TOKYO METROPOLITAN GOVT 0.800000% 06/20/2023
N/A
100000000.00000000
PA
752664.61000000
0.162294385009
Long
DBT
NUSS
JP
N
2
2023-06-20
Fixed
0.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-04-21
N/A
1.00000000
NC
USD
-11164.69000000
-0.00240740227
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8306417.44000000
NOK
782723.79000000
USD
2023-04-21
-11164.69000000
N
N
N
TURKISH LIRA
N/A
FX Forward Contract: TRY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
7.46000000
0.000001608573
N/A
DFE
TR
N
2
BARCLAYS CAPITAL INC.
N/A
5723.20000000
USD
110000.00000000
TRY
2023-04-04
7.46000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG MTN 1.000000% 11/19/2025
N/A
400000.00000000
PA
401142.94000000
0.086497021227
Long
DBT
NUSS
DE
N
2
2025-11-19
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1063.06000000
0.000229223835
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
5569000.00000000
NZD
3485302.96000000
USD
2023-04-04
1063.06000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
145.87000000
0.000031453427
N/A
DFE
NO
N
2
GOLDMAN SACHS & CO
N/A
68601.68000000
USD
720000.00000000
NOK
2023-04-04
145.87000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.625000% 08/01/2032
N/A
214000.00000000
PA
156585.13000000
0.033763893024
Long
DBT
NUSS
SG
N
2
2032-08-01
Fixed
2.62500000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-2637.91000000
-0.00056880312
N/A
DFE
IL
N
2
MIDLAND WALWYN CAPITAL INC.
N/A
652798.30000000
USD
2341000.00000000
ILS
2023-04-04
-2637.91000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
169.45000000
0.000036537899
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
35145.00000000
USD
4700000.00000000
JPY
2023-04-04
169.45000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 4.716000% 08/11/2026
53944YAT0
335000.00000000
PA
USD
326110.12000000
0.070317961901
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
225966.84000000
0.048724423658
Long
DBT
NUSS
CN
N
2
2051-10-18
Fixed
3.53000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
3506900000.00000000
PA
555731.13000000
0.119830321202
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
N/A
N/A
KOREA 3YR BND FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
72.00000000
NC
5800483.93000000
1.250737658808
N/A
DIR
KR
N
1
MORGAN STANLEY & CO, INC
N/A
Long
Korea Govt. Bond Futures
KOREA 3YR BND FUT Jun 2023
2023-06-23
5779215.11000000
KRW
21268.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-30656.58000000
-0.00661036898
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8499553.98000000
BRL
1645701.39000000
USD
2023-04-04
-30656.58000000
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-14.00000000
NC
-1754506.05000000
-0.37831788102
N/A
DIR
DE
N
1
MORGAN STANLEY & CO, INC
N/A
Short
Italy Govt. Bond Futures
Euro-BTP Futures Jun 2023
2023-06-11
-1652277.93000000
EUR
-102228.12000000
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
321775.18000000
0.069383234252
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
4299000.00000000
PA
972320.00000000
0.209657893218
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/NZD SETTLE 2023-04-20
N/A
1.00000000
NC
USD
-2786.36000000
-0.00060081286
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1258227.70000000
NZD
784262.51000000
USD
2023-04-20
-2786.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2352.05000000
-0.00050716415
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
320000.00000000
CAD
234098.24000000
USD
2023-04-04
-2352.05000000
N
N
N
HONG KONG DOLLAR
N/A
FX Forward Contract: HKD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-14.71000000
-0.00000317186
N/A
DFE
HK
N
2
MORGAN STANLEY & CO, INC
N/A
59250.76000000
USD
465000.00000000
HKD
2023-04-04
-14.71000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.500000% 06/01/2024
135087B45
1270000.00000000
PA
921642.66000000
0.198730519166
Long
DBT
NUSS
CA
N
2
2024-06-01
Fixed
2.50000000
N
N
N
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2023-04-26
N/A
1.00000000
NC
107.82000000
0.000023248841
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
832497.00000000
USD
1083278785.00000000
KRW
2023-04-26
107.82000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 03/13/2025
N/A
268000.00000000
PA
24909.71000000
0.005371191911
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 2023-04-28
N/A
1.00000000
NC
-12288.89000000
-0.00264980951
N/A
DFE
JP
N
2
CITIGROUP GLOBAL MARKETS
N/A
608855.00000000
USD
79076283.00000000
JPY
2023-04-28
-12288.89000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
946.89000000
0.000204174513
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
34910.03000000
USD
29000.00000000
GBP
2023-04-04
946.89000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-403.23000000
-0.00008694704
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
233328.32000000
USD
31000000.00000000
JPY
2023-04-04
-403.23000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 1.500000% 08/23/2023
N/A
183970000.00000000
PA
496755.76000000
0.107113672541
Long
DBT
NUSS
HU
N
2
2023-08-23
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-885.83000000
-0.00019100836
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2420000.00000000
SEK
232489.77000000
USD
2023-04-04
-885.83000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
16.01000000
0.000003452179
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
115527.84000000
USD
794000.00000000
CNY
2023-04-04
16.01000000
N
N
N
TRANSCANADA PIPELINES LIMITED
5BV01I6231JPDAPMGH09
TRANSCANADA PIPELINES LTD 5.330000% 05/12/2032
89353ZCK2
241000.00000000
PA
180786.95000000
0.038982445139
Long
DBT
NUSS
CA
N
2
2032-05-12
Fixed
5.33000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
589.61000000
0.000127135501
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
34030.86000000
USD
28000.00000000
GBP
2023-04-04
589.61000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-20
N/A
1.00000000
NC
1327.37000000
0.000286216058
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
575748.28000000
USD
922550.81000000
NZD
2023-04-20
1327.37000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.400000% 06/20/2025
N/A
78100000.00000000
PA
592859.34000000
0.127836144684
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
1799393.92000000
0.387996892317
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-7298.64000000
-0.00157377970
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
61400000.00000000
HUF
168087.24000000
USD
2023-04-04
-7298.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1001.64000000
-0.00021598006
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
371000.00000000
MYR
83077.68000000
USD
2023-04-04
-1001.64000000
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TOTALENERGIES SE MTN 1.625000% MATURITY: PERPETUAL
N/A
270000.00000000
PA
242217.66000000
0.052228530006
Long
DBT
NUSS
FR
N
2
2172-01-25
Fixed
1.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-41622.56000000
-0.00897492414
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
52654000.00000000
THB
1498193.20000000
USD
2023-04-04
-41622.56000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 0.000000% 10/18/2031
N/A
304000.00000000
PA
261496.21000000
0.056385494974
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
188422.80000000
0.040628936237
Long
DBT
NUSS
IE
N
2
2050-05-15
Fixed
1.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
6294.48000000
0.001357256269
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
227381.98000000
USD
31100000.00000000
JPY
2023-04-04
6294.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-10210.33000000
-0.00220161703
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4529000.00000000
DKK
650325.95000000
USD
2023-04-04
-10210.33000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2023-05-03
N/A
1.00000000
NC
USD
309.71000000
0.000066781662
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4529000.00000000
DKK
662212.92000000
USD
2023-05-03
309.71000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
108.14000000
0.000023317842
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
32730.79000000
USD
30000.00000000
CHF
2023-04-04
108.14000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-28
N/A
1.00000000
NC
USD
14139.58000000
0.003048867197
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
211846000.00000000
JPY
1612345.00000000
USD
2023-04-28
14139.58000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.900000% 06/20/2042
N/A
97550000.00000000
PA
718831.14000000
0.154998994561
Long
DBT
NUSS
JP
N
2
2042-06-20
Fixed
0.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
4791.07000000
0.001033081333
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
337466000.00000000
JPY
2540413.58000000
USD
2023-04-04
4791.07000000
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.625000% 09/22/2038
N/A
100000.00000000
PA
84799.66000000
0.018285048195
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
368160.49000000
0.079385133186
Long
DBT
NUSS
FI
N
2
2025-09-15
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2711.40000000
-0.00058464951
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
370000.00000000
NZD
228778.77000000
USD
2023-04-04
-2711.40000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.120000% 09/13/2031
N/A
9540000.00000000
PA
1395994.50000000
0.301013314356
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
508429.78000000
0.109630899831
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
238764.42000000
0.051483920183
Long
DBT
NUSS
FR
N
2
2025-03-30
Fixed
2.12500000
N
N
N
N
N
N
NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LIMITED
254900ZJG39H1CAH6K02
NZ LOCAL GOVT FUND AGENC 4.500000% 04/15/2027
N/A
803000.00000000
PA
494753.28000000
0.106681884922
Long
DBT
NUSS
NZ
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-28
N/A
1.00000000
NC
-3880.11000000
-0.00083665427
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
231414.78000000
USD
1558000.00000000
CNY
2023-04-28
-3880.11000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-05-02
N/A
1.00000000
NC
-0.94000000
-0.00000020268
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
8113.97000000
USD
35000.00000000
PLN
2023-05-02
-0.94000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2038
N/A
1479000.00000000
PA
1071774.06000000
0.231102817412
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/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-8518.00000000
-0.00183670595
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
735000.00000000
NZD
451334.10000000
USD
2023-04-04
-8518.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3544.63000000
-0.00076431592
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
61000000.00000000
JPY
454791.83000000
USD
2023-04-04
-3544.63000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2023-04-20
N/A
1.00000000
NC
7807.12000000
0.001683421436
N/A
DFE
ZA
N
2
BNP PARIBAS
N/A
807789.02000000
USD
14489311.62000000
ZAR
2023-04-20
7807.12000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.800000% 12/01/2028
N/A
123000.00000000
PA
128180.96000000
0.027639203168
Long
DBT
NUSS
IT
N
2
2028-12-01
Fixed
2.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-05-04
N/A
1.00000000
NC
USD
-114012.68000000
-0.02458414749
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
173478000.00000000
CNY
25243819.28000000
USD
2023-05-04
-114012.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-293.92000000
-0.00006337692
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
55000.00000000
NZD
34116.78000000
USD
2023-04-04
-293.92000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.813000% 10/25/2028
N/A
435000.00000000
PA
482811.58000000
0.104106938748
Long
DBT
NUSS
US
N
2
2028-10-25
Fixed
4.81300000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 09/20/2040
N/A
416300000.00000000
PA
3653830.91000000
0.787862525473
Long
DBT
NUSS
JP
N
2
2040-09-20
Fixed
2.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 1.650000% 02/01/2028
00206RKG6
870000.00000000
PA
USD
764333.70000000
0.164810549261
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
457.99000000
0.000098754749
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
32380.94000000
USD
30000.00000000
CHF
2023-04-04
457.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1101.56000000
-0.00023752545
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
430000.00000000
CHF
469589.70000000
USD
2023-04-04
-1101.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
339.61000000
0.000073228892
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4600000.00000000
JPY
34902.69000000
USD
2023-04-04
339.61000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
6373.75000000
0.001374348976
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
458844.36000000
USD
425000.00000000
CHF
2023-04-04
6373.75000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
19761.64000000
0.004261131941
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
1113597.13000000
USD
1041164.37000000
EUR
2023-05-11
19761.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3007.36000000
-0.00064846630
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
345000.00000000
AUD
228057.08000000
USD
2023-04-04
-3007.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3.18000000
-0.00000068569
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
9000.00000000
CNY
1306.51000000
USD
2023-04-04
-3.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-793.30000000
-0.00017105644
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
105000.00000000
AUD
69530.66000000
USD
2023-04-04
-793.30000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2023-04-26
N/A
1.00000000
NC
-24436.91000000
-0.00526924373
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
846675.00000000
USD
1069790919.00000000
KRW
2023-04-26
-24436.91000000
N
N
N
DEXIA CREDIT LOCAL SA
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.500000% 01/17/2025
N/A
300000.00000000
PA
309768.26000000
0.066794224923
Long
DBT
NUSS
FR
N
2
2025-01-17
Fixed
0.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-413.04000000
-0.00008906234
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
460157.99000000
USD
420000.00000000
CHF
2023-04-04
-413.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-6994.84000000
-0.00150827239
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
45229000.00000000
MXN
2484345.48000000
USD
2023-05-03
-6994.84000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 3.500000% 12/01/2045
135087ZS6
218000.00000000
PA
171621.34000000
0.037006097350
Long
DBT
NUSS
CA
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2023-06-22
N/A
1.00000000
NC
USD
-131.54000000
-0.00002836350
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
69495572.80000000
INR
841656.45000000
USD
2023-06-22
-131.54000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 2.750000% 06/18/2052
110709AG7
835000.00000000
PA
483835.41000000
0.104327703559
Long
DBT
NUSS
CA
N
2
2052-06-18
Fixed
2.75000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-21
N/A
1.00000000
NC
8133.24000000
0.001753741528
N/A
DFE
SE
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
831159.60000000
USD
8692882.13000000
SEK
2023-04-21
8133.24000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.500000% 04/15/2026
N/A
5153000000.00000000
PA
334861.66000000
0.072205025254
Long
DBT
NUSS
ID
N
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
639000.00000000
PA
785011.32000000
0.169269190702
Long
DBT
NUSS
ES
N
2
2041-07-30
Fixed
4.70000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
1576.53000000
0.000339941540
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
69179.18000000
USD
65000.00000000
EUR
2023-05-11
1576.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-04-27
N/A
1.00000000
NC
USD
-71992.20000000
-0.01552342128
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7508027.06000000
PLN
1668807.58000000
USD
2023-04-27
-71992.20000000
N
N
N
SkyMiles IP Ltd.
2549008L7P4I8VB90936
DELTA AIR LINES INC / SKYMILES IP LTD 144A 4.500000% 10/20/2025
830867AA5
215314.00000000
PA
USD
211694.81000000
0.045646996739
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
184955.73000000
0.039881344300
Long
DBT
NUSS
NL
N
2
2171-12-29
Fixed
4.37500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-21
N/A
1.00000000
NC
10975.50000000
0.002366607914
N/A
DFE
SE
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
823014.71000000
USD
8637960.72000000
SEK
2023-04-21
10975.50000000
N
N
N
Canada
N/A
CAN 5YR BOND FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
10.00000000
NC
842132.49000000
0.181586024831
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Jun 2023
2023-06-24
823321.96000000
CAD
18810.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-355.17000000
-0.00007658404
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
375000.00000000
NZD
234263.25000000
USD
2023-04-04
-355.17000000
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
PUBLIC STORAGE 0.500000% 09/09/2030
N/A
260000.00000000
PA
207529.39000000
0.044748822083
Long
DBT
NUSS
US
N
2
2030-09-09
Fixed
0.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-06-12
N/A
1.00000000
NC
70065.04000000
0.015107874644
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
6953721.68000000
USD
72537400.00000000
SEK
2023-06-12
70065.04000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
811.04000000
0.000174881662
N/A
DFE
HU
N
2
MORGAN STANLEY & CO, INC
N/A
1536429.04000000
USD
538165000.00000000
HUF
2023-04-04
811.04000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.875000% 09/01/2030
N/A
347000.00000000
PA
259294.12000000
0.055910666162
Long
DBT
NUSS
SG
N
2
2030-09-01
Fixed
2.87500000
N
N
N
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION
VGRQXHF3J8VDLUA7XE92
INTERNATIONAL BUSINESS MACHINES CORP 3.625000% 02/06/2031
459200LB5
275000.00000000
PA
298172.27000000
0.064293822964
Long
DBT
NUSS
US
N
2
2031-02-06
Fixed
3.62500000
N
N
N
N
N
N
Volkswagen Bank Gesellschaft mit beschraenkter Haftung
529900GJD3OQLRZCKW37
VOLKSWAGEN BANK GMBH MTN 1.875000% 01/31/2024
N/A
400000.00000000
PA
427441.09000000
0.092167597503
Long
DBT
NUSS
DE
N
2
2024-01-31
Fixed
1.87500000
N
N
N
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2023-06-22
N/A
1.00000000
NC
3299.57000000
0.000711474509
N/A
DFE
IN
N
2
STANDARD CHARTERED BANK
N/A
841002.34000000
USD
69703114.81000000
INR
2023-06-22
3299.57000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 0.250000% 05/15/2028
N/A
1570000.00000000
PA
802889.82000000
0.173124267882
Long
DBT
NUSS
NZ
N
2
2028-05-15
Fixed
0.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-3588.31000000
-0.00077373448
N/A
DFE
NO
N
2
GOLDMAN SACHS & CO
N/A
228927.51000000
USD
2360000.00000000
NOK
2023-04-04
-3588.31000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 4.625000% 05/23/2029
N/A
290000.00000000
PA
327512.07000000
0.070620259379
Long
DBT
NUSS
NL
N
2
2029-05-23
Fixed
4.62500000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-19.00000000
NC
USD
-2301671.88000000
-0.49630129714
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 Jun 2023
2023-06-24
-2225317.34000000
USD
-76354.54000000
N
N
N
NEWELL BRANDS INC.
549300LWGYFM1TVO1Z12
NEWELL BRANDS INC 6.375000% 09/15/2027
651229BC9
195000.00000000
PA
USD
196805.70000000
0.042436511061
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
6.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-265.11000000
-0.00005716472
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
110000.00000000
NZD
68556.29000000
USD
2023-04-04
-265.11000000
N
N
N
AVIVA PLC
YF0Y5B0IB8SM0ZFG9G81
AVIVA PLC 6.125000% 11/14/2036
N/A
220000.00000000
PA
270627.99000000
0.058354548121
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
86031.58000000
0.018550682710
Long
DBT
NUSS
TH
N
2
2049-06-17
Fixed
1.87500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-873.67000000
-0.00018838634
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
470110.50000000
USD
750000.00000000
NZD
2023-04-04
-873.67000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 1.250000% 05/31/2032
N/A
300000.00000000
PA
277239.99000000
0.059780270095
Long
DBT
NUSS
NL
N
2
2032-05-31
Fixed
1.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
874.93000000
0.000188658034
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
793759.36000000
USD
8240000.00000000
SEK
2023-04-04
874.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4319.70000000
-0.00093144150
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3140000.00000000
ZAR
172656.49000000
USD
2023-04-04
-4319.70000000
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC MTN 1.250000% 09/18/2024
N/A
500000.00000000
PA
524935.08000000
0.113189878794
Long
DBT
NUSS
GB
N
2
2024-09-18
Fixed
1.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4236.89000000
0.000913585477
N/A
DFE
NO
N
2
GOLDMAN SACHS & CO
N/A
234469.89000000
USD
2500000.00000000
NOK
2023-04-04
4236.89000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
5944.47000000
0.001281784861
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
464746.79000000
USD
430000.00000000
CHF
2023-04-04
5944.47000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 8.250000% 09/29/2032
N/A
295000.00000000
PA
67727.95000000
0.014603936264
Long
DBT
NUSS
RO
N
2
2032-09-29
Fixed
8.25000000
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
244256.49000000
0.052668155646
Long
DBT
NUSS
US
N
2
2028-03-08
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-20
N/A
1.00000000
NC
USD
-71873.71000000
-0.01549787170
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
70560675.83000000
CNY
10217087.25000000
USD
2023-04-20
-71873.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4479.67000000
-0.00096593526
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
39600000.00000000
JPY
293063.35000000
USD
2023-04-04
-4479.67000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.125000% 12/20/2023
N/A
345000.00000000
PA
416029.64000000
0.089706987245
Long
DBT
NUSS
US
N
2
2023-12-20
Fixed
2.12500000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FINANCE CORPORATION
549300RLHFT5RU20WM87
BERKSHIRE HATHAWAY FINANCE CORP 2.625000% 06/19/2059
084664CT6
144000.00000000
PA
111714.53000000
0.024088605604
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/EUR SETTLE 2023-05-03
N/A
1.00000000
NC
USD
230.04000000
0.000049602704
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
64000.00000000
EUR
69865.15000000
USD
2023-05-03
230.04000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2087.95000000
-0.00045021721
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
370000.00000000
NZD
229402.22000000
USD
2023-04-04
-2087.95000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
5590.03000000
0.001205358228
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
459628.08000000
USD
425000.00000000
CHF
2023-04-04
5590.03000000
N
N
N
RENO DE MEDICI SPA
815600D6907FE7116F38
RENO DE MEDICI SPA 144A VARIABLE RATE 12/14/2026
BS6180258
200000.00000000
PA
208598.16000000
0.044979277146
Long
DBT
NUSS
IT
N
2
2026-12-14
Floating
8.20699920
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-805.54000000
-0.00017369571
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
375000.00000000
NZD
233812.88000000
USD
2023-04-04
-805.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-210.97000000
-0.00004549070
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4600000.00000000
JPY
34352.11000000
USD
2023-04-04
-210.97000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 04/20/2023
912796V48
9930000.00000000
PA
USD
9908207.13000000
2.136471359686
Long
DBT
UST
US
N
2
2023-04-20
None
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039
N/A
218750000.00000000
PA
1997612.05000000
0.430737960621
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-21
N/A
1.00000000
NC
USD
-3143.57000000
-0.00067783678
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8506482.27000000
SEK
818152.47000000
USD
2023-04-21
-3143.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-1832.15000000
-0.00039505996
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
538165000.00000000
HUF
1521658.61000000
USD
2023-05-03
-1832.15000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4453.07000000
-0.00096019959
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
31200000.00000000
JPY
229974.76000000
USD
2023-04-04
-4453.07000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2040
N/A
115000.00000000
PA
149767.68000000
0.032293870599
Long
DBT
NUSS
GB
N
2
2040-12-07
Fixed
4.25000000
N
N
N
N
N
N
ENCORE CAPITAL GROUP, INC.
5493000UVC6H49CIH830
ENCORE CAPITAL GROUP INC 4.875000% 10/15/2025
N/A
205000.00000000
PA
202322.88000000
0.043626160904
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.87500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
7614000.00000000
PA
395501.25000000
0.085280523737
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
9165.55000000
0.001976334851
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
169501.49000000
USD
3170000.00000000
ZAR
2023-04-04
9165.55000000
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAVISKA ENSKILDA BANKEN AB MTN 0.250000% 06/20/2024
N/A
460000.00000000
PA
480837.26000000
0.103681223169
Long
DBT
NUSS
SE
N
2
2024-06-20
Fixed
0.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2153.38000000
-0.00046432564
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
229000.00000000
NZD
141120.27000000
USD
2023-04-04
-2153.38000000
N
N
N
VISTRA CORP.
549300KP43CPCUJOOG15
VISTRA CORP 144A 7.000000% MATURITY: PERPETUAL
92840MAC6
68000.00000000
PA
USD
59840.00000000
0.012903085743
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
999209.52000000
0.215455984498
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
375437.68000000
0.080954287707
Long
DBT
NUSS
ES
N
2
2037-07-30
Fixed
0.85000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.500000% 06/30/2027
912828ZV5
668000.00000000
PA
USD
585100.16000000
0.126163060378
Long
SN
UST
US
N
2
2027-06-30
Fixed
0.50000000
N
N
N
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
35.00000000
NC
4952087.62000000
1.067800988813
N/A
DIR
DE
N
1
GOLDMAN SACHS & CO
N/A
Long
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Jun 2023
2023-06-11
4689557.23000000
EUR
262530.39000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.800000% 03/20/2043
N/A
158250000.00000000
PA
1350457.87000000
0.291194413263
Long
DBT
NUSS
JP
N
2
2043-03-20
Fixed
1.80000000
N
N
N
N
N
N
DEXIA CREDIT LOCAL SA
F4G136OIPBYND1F41110
DEXIA CREDIT LOCAL SA MTN 0.000000% 05/29/2024
N/A
1200000.00000000
PA
1253166.45000000
0.270215811419
Long
DBT
NUSS
FR
N
2
2024-05-29
Fixed
0.00000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 4.250000% 03/28/2041
N/A
440000.00000000
PA
538925.07000000
0.116206490434
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
74341EAE2
286000.00000000
PA
259892.94000000
0.056039787583
Long
DBT
NUSS
US
N
2
2028-02-06
Fixed
0.37500000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN23 FINANCIAL COMMODITY FUTURE.
N/A
10.00000000
NC
1530371.67000000
0.329988584183
N/A
DIR
DE
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2023
2023-06-11
1406085.18000000
EUR
124286.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2023-06-15
N/A
1.00000000
NC
USD
-598.66000000
-0.00012908692
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
24969803.00000000
TWD
824366.95000000
USD
2023-06-15
-598.66000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-04-27
N/A
1.00000000
NC
9742.61000000
0.002100764241
N/A
DFE
PA
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
822714.74000000
USD
3590368.28000000
PLN
2023-04-27
9742.61000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1311.39000000
0.000282770347
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
234034.24000000
USD
215000.00000000
CHF
2023-04-04
1311.39000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.75% 12/01/2048
135087D35
400000.00000000
PA
279111.83000000
0.060183888277
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
894850000.00000000
PA
6747581.83000000
1.454957000574
Long
DBT
NUSS
JP
N
2
2026-12-20
Fixed
0.10000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-28
N/A
1.00000000
NC
1380.60000000
0.000297693853
N/A
DFE
JP
N
2
CITIGROUP GLOBAL MARKETS
N/A
203024.26000000
USD
27094359.00000000
JPY
2023-04-28
1380.60000000
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA 2.949000% 05/01/2023
780086QC1
1300000.00000000
PA
959167.25000000
0.206821812653
Long
DBT
NUSS
CA
N
2
2023-05-01
Fixed
2.94900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-05-24
N/A
1.00000000
NC
USD
9413.89000000
0.002029883520
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1542581.80000000
CHF
1707674.85000000
USD
2023-05-24
9413.89000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5591.82000000
-0.00120574419
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1562000.00000000
RON
337422.18000000
USD
2023-04-04
-5591.82000000
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.125000% 09/15/2031
N/A
610000.00000000
PA
528233.24000000
0.113901049270
Long
DBT
NUSS
FI
N
2
2031-09-15
Fixed
0.12500000
N
N
N
N
N
N
Government of the Republic of Korea
N/A
KOREA TREASURY BOND 1.250000% 03/10/2026
N/A
101780000.00000000
PA
73699.43000000
0.015891545196
Long
DBT
NUSS
KR
N
2
2026-03-10
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-141.20000000
-0.00003044645
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
561000.00000000
RON
123001.90000000
USD
2023-05-03
-141.20000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
310000.00000000
PA
241188.57000000
0.052006631000
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
1919300000.00000000
PA
333017.09000000
0.071807287205
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5505.27000000
-0.00118708173
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
370000.00000000
NZD
225984.90000000
USD
2023-04-04
-5505.27000000
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A MATURITY: PERPETUAL
853254AA8
500000.00000000
PA
USD
419913.48000000
0.090544445810
Long
DBT
NUSS
GB
Y
2
2171-07-30
Floating
6.31243080
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4819.46000000
-0.00103920296
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
215000.00000000
CHF
230526.17000000
USD
2023-04-04
-4819.46000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
850000.00000000
PA
607265.49000000
0.130942491420
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
-19410.06000000
-0.00418532199
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
289714.74000000
USD
1855000.00000000
CNY
2023-04-13
-19410.06000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.000000% 02/01/2028
N/A
1046000.00000000
PA
1060380.32000000
0.228646025898
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/CNY SETTLE 2023-04-20
N/A
1.00000000
NC
USD
-30320.09000000
-0.00653781285
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
70560675.84000000
CNY
10258640.87000000
USD
2023-04-20
-30320.09000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
7551000000.00000000
PA
565827.71000000
0.122007410732
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-24.00000000
NC
USD
-2628187.50000000
-0.56670669556
N/A
DIR
US
N
1
GOLDMAN SACHS & CO
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2023
2023-07-03
-2618719.32000000
USD
-9468.18000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 09/06/2029
N/A
6471000.00000000
PA
574345.97000000
0.123844172750
Long
DBT
NUSS
NO
N
2
2029-09-06
Fixed
1.75000000
N
N
N
N
N
N
GE HEALTHCARE TECHNOLOGIES INC.
549300OI9J7XOWZMUN85
GE HEALTHCARE TECHNOLOGIES INC 144A 5.550000% 11/15/2024
36267VAA1
435000.00000000
PA
USD
437576.78000000
0.094353120182
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.55000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-6111.55000000
-0.00131781172
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
215000.00000000
CHF
229234.08000000
USD
2023-04-04
-6111.55000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-11
N/A
1.00000000
NC
12470.89000000
0.002689053525
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
1440853.81000000
USD
9976600.00000000
CNY
2023-04-11
12470.89000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3786.26000000
0.000816417737
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
3645625.00000000
USD
5833000.00000000
NZD
2023-04-04
3786.26000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2559.86000000
0.000551973480
N/A
DFE
MX
N
2
GOLDMAN SACHS & CO
N/A
167466.72000000
USD
3070000.00000000
MXN
2023-04-04
2559.86000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
404.44000000
0.000087207954
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
32434.49000000
USD
30000.00000000
CHF
2023-04-04
404.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-20
N/A
1.00000000
NC
USD
30859.79000000
0.006654186437
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1301431.74000000
NZD
844933.73000000
USD
2023-04-20
30859.79000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-21
N/A
1.00000000
NC
2458.83000000
0.000530188741
N/A
DFE
NO
N
2
BNP PARIBAS
N/A
831211.51000000
USD
8722653.18000000
NOK
2023-04-21
2458.83000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.600000% 09/20/2037
N/A
81600000.00000000
PA
600648.10000000
0.129515607219
Long
DBT
NUSS
JP
N
2
2037-09-20
Fixed
0.60000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1395.03000000
-0.00030080534
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
320000.00000000
CAD
235055.26000000
USD
2023-04-04
-1395.03000000
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
136266.74000000
0.029382711066
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
622635.21000000
0.134256609318
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/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1155.96000000
0.000249255531
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
9200000.00000000
JPY
70282.12000000
USD
2023-04-04
1155.96000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-971.18000000
-0.00020941207
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
210000.00000000
CHF
228901.30000000
USD
2023-04-04
-971.18000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 6.000000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
211314.28000000
0.045564944413
Long
DBT
NUSS
GB
N
2
2172-03-29
Fixed
6.00000000
N
N
N
Y
Y
HSBC HOLDINGS PLC
HSBA 6 PERP
GBP
XXXX
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3662.92000000
0.000789822373
N/A
DFE
CA
N
2
GOLDMAN SACHS & CO
N/A
232787.37000000
USD
320000.00000000
CAD
2023-04-04
3662.92000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
197300000.00000000
PA
1622176.91000000
0.349784220604
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
APTIV PLC
N/A
APTIV PLC 1.500000% 03/10/2025
03835VAC0
440000.00000000
PA
456810.66000000
0.098500453117
Long
DBT
NUSS
US
N
2
2025-03-10
Fixed
1.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3140.23000000
0.000677116593
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
114196.23000000
USD
108000.00000000
EUR
2023-04-04
3140.23000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 3.500000% 12/01/2048
74814ZEW9
520000.00000000
PA
348283.00000000
0.075099020923
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-06-12
N/A
1.00000000
NC
203.36000000
0.000043849791
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
33515.48000000
USD
230000.00000000
CNY
2023-06-12
203.36000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
5420.75000000
0.001168856986
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
228255.71000000
USD
31100000.00000000
JPY
2023-04-04
5420.75000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-142.93000000
-0.00003081948
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
87302.00000000
USD
11600000.00000000
JPY
2023-04-04
-142.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-83.90000000
-0.00001809105
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30000.00000000
CHF
32755.03000000
USD
2023-04-04
-83.90000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
341.42000000
0.000073619176
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
17017.10000000
USD
180000.00000000
SEK
2023-04-04
341.42000000
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
125141.68000000
0.026983854063
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
223140.11000000
0.048114905951
Long
DBT
NUSS
NL
N
2
2052-01-15
Fixed
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039
N/A
155100000.00000000
PA
1416364.02000000
0.305405521293
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
UNICREDIT, SOCIETA PER AZIONI
549300TRUWO2CD2G5692
UNICREDIT SPA 144A 3.127000% 06/03/2032
904678AY5
305000.00000000
PA
USD
239335.96000000
0.051607159314
Long
DBT
NUSS
IT
N
2
2032-06-03
Fixed
3.12700000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.500000% 05/25/2050
N/A
1786000.00000000
PA
1349395.05000000
0.290965241178
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
586183.91000000
0.126396745525
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-320.60000000
-0.00006912983
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
234733.80000000
USD
350000.00000000
AUD
2023-04-04
-320.60000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.125000% 01/31/2039
N/A
1215000.00000000
PA
1023597.69000000
0.220714718599
Long
DBT
NUSS
GB
N
2
2039-01-31
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2023-06-15
N/A
1.00000000
NC
USD
705.29000000
0.000152079166
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
25528398.00000000
TWD
844126.06000000
USD
2023-06-15
705.29000000
N
N
N
CDP FINANCIERE INC.
549300OXMGVYFCBFV096
CDP FINANCIAL INC 144A 1.125000% 04/06/2027
BV6010102
1062000.00000000
PA
1058827.03000000
0.228311095516
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
223398.18000000
0.048170552665
Long
DBT
NUSS
NL
N
2
2027-01-18
Fixed
0.62500000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 4.250000% 05/15/2034
N/A
737000.00000000
PA
461794.90000000
0.099575187009
Long
DBT
NUSS
NZ
N
2
2034-05-15
Fixed
4.25000000
N
N
N
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 2.375000% 09/23/2024
09857LAC2
355000.00000000
PA
379622.40000000
0.081856623953
Long
DBT
NUSS
US
N
2
2024-09-23
Fixed
2.37500000
N
N
N
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
DISNEY WALT CO NEW 0% CP 02/06/2023 COMMERCIAL PAPER (ISITC)
2546R3T20
800000.00000000
PA
USD
792962.20000000
0.170983610595
Long
ABS-APCP
US
N
2
2023-06-02
None
0.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
6080.16000000
0.001311043212
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
223792.32000000
USD
210000.00000000
CHF
2023-04-04
6080.16000000
N
N
N
Vivion Investments S.a r.l.
529900SJ7X71ESJK9N76
VIVION INVESTMENTS SARL 3.000000% 08/08/2024
N/A
200000.00000000
PA
158621.51000000
0.034202990379
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
989766.89000000
0.213419903874
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.180000% 06/25/2024
N/A
17530000.00000000
PA
2545895.79000000
0.548962427684
Long
DBT
NUSS
CN
N
2
2024-06-25
Fixed
2.18000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-05-24
N/A
1.00000000
NC
USD
-1524.03000000
-0.00032862115
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
337619.39000000
GBP
416275.25000000
USD
2023-05-24
-1524.03000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 3.622000% 08/14/2030
N/A
410000.00000000
PA
468764.79000000
0.101078079527
Long
DBT
NUSS
GB
N
2
2030-08-14
Fixed
3.62200000
N
N
N
Y
Y
NATWEST GROUP PLC
NWG 3.622 08/14/2030
GBP
XXXX
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
20028.58000000
0.004318691261
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
12709177.50000000
USD
10295000.00000000
GBP
2023-04-04
20028.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-05-25
N/A
1.00000000
NC
USD
-36866.39000000
-0.00794936816
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
14977159.28000000
MXN
784504.60000000
USD
2023-05-25
-36866.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-05-24
N/A
1.00000000
NC
USD
-119323.41000000
-0.02572928125
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
9625936.36000000
GBP
11792638.38000000
USD
2023-05-24
-119323.41000000
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTALENERGIES CAPITAL INTERNATIONAL SA MTN 2.500000% 03/25/2026
N/A
400000.00000000
PA
425900.94000000
0.091835500452
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/AUD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-640.90000000
-0.00013819498
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
130000.00000000
AUD
86426.86000000
USD
2023-04-04
-640.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-113747.35000000
-0.02452693533
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
9826034.47000000
EUR
10582375.79000000
USD
2023-05-11
-113747.35000000
N
N
N
Canada Housing Trust No. 1
549300M44WH89JG50067
CANADA HOUSING TRUST NO 1 144A 2.250000% 12/15/2025
13509PFD0
1325000.00000000
PA
944080.25000000
0.203568656660
Long
DBT
NUSS
CA
N
2
2025-12-15
Fixed
2.25000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
249.36000000
0.000053768607
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
32589.57000000
USD
30000.00000000
CHF
2023-04-04
249.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-05-02
N/A
1.00000000
NC
USD
55131.46000000
0.011887800059
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
6156451000.00000000
JPY
46531805.36000000
USD
2023-05-02
55131.46000000
N
N
N
Heineken N.V.
724500K5PTPSST86UQ23
HEINEKEN NV MTN 1.000000% 05/04/2026
N/A
335000.00000000
PA
337514.97000000
0.072777149024
Long
DBT
NUSS
NL
N
2
2026-05-04
Fixed
1.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-180.23000000
-0.00003886235
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
33019.16000000
USD
30000.00000000
CHF
2023-04-04
-180.23000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2235.62000000
0.000482058765
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
342573.09000000
USD
315000.00000000
CHF
2023-04-04
2235.62000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 1.750000% 05/15/2041
N/A
77000.00000000
PA
32337.83000000
0.006972890930
Long
DBT
NUSS
NZ
N
2
2041-05-15
Fixed
1.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
2890000.00000000
PA
578086.14000000
0.124650652266
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2101.44000000
-0.00045312601
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
57000.00000000
GBP
68375.95000000
USD
2023-04-04
-2101.44000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1545.97000000
0.000333351996
N/A
DFE
CA
N
2
GOLDMAN SACHS & CO
N/A
227515.25000000
USD
310000.00000000
CAD
2023-04-04
1545.97000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 1.000000% 01/20/2026
05578AAP3
950000.00000000
PA
USD
846646.03000000
0.182559263361
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/NZD SETTLE 2023-06-12
N/A
1.00000000
NC
USD
-60.31000000
-0.00001300443
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
46000.00000000
NZD
28706.03000000
USD
2023-06-12
-60.31000000
N
N
N
AZELIS FINANCE NV
699400J0P7A5VXKGK641
AZELIS FINANCE NV 144A 5.750000% 03/15/2028
ZL4419699
170000.00000000
PA
186894.61000000
0.040299418078
Long
DBT
NUSS
BE
N
2
2028-03-15
Fixed
5.75000000
N
N
N
N
N
N
AGEAS SA
5493005DJBML6LY3RV36
AGEAS SA/NV 1.875000% 11/24/2051
N/A
200000.00000000
PA
154949.32000000
0.033411169148
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
985765.91000000
0.212557186828
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
1166000.00000000
PA
977061.96000000
0.210680385138
Long
DBT
NUSS
IT
N
2
2032-06-01
Fixed
0.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-04-27
N/A
1.00000000
NC
USD
-1251.17000000
-0.00026978532
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1752115.05000000
PLN
404991.57000000
USD
2023-04-27
-1251.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-13568.66000000
-0.00292576175
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4760000.00000000
SEK
445467.65000000
USD
2023-04-04
-13568.66000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
25576.84000000
0.005515042773
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO, INC
N/A
1056570.55000000
USD
19200000.00000000
ZAR
2023-04-04
25576.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-27.95000000
-0.00000602675
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
110000.00000000
TRY
5510.99000000
USD
2023-05-03
-27.95000000
N
N
N
Digital Dutch Finco B.V.
549300ONZ5IS6B6IMJ70
DIGITAL DUTCH FINCO BV 0.625000% 07/15/2025
N/A
136000.00000000
PA
134228.98000000
0.028943316146
Long
DBT
NUSS
US
N
2
2025-07-15
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-10874.85000000
-0.00234490511
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
745000.00000000
NZD
455233.74000000
USD
2023-04-04
-10874.85000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.640000% 01/15/2028
N/A
11680000.00000000
PA
1695778.57000000
0.365654684004
Long
DBT
NUSS
CN
N
2
2028-01-15
Fixed
2.64000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-28
N/A
1.00000000
NC
USD
-710.86000000
-0.00015328020
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
214000.00000000
EUR
232072.51000000
USD
2023-04-28
-710.86000000
N
N
N
SOCIETE NATIONALE SNCF SA
969500A4MXJ3ESPHK698
SOCIETE NATIONALE SNCF 1.000000% 05/25/2040
N/A
700000.00000000
PA
497583.09000000
0.107292066758
Long
DBT
NUSS
FR
N
2
2040-05-25
Fixed
1.00000000
N
N
N
N
N
N
MERCEDES-BENZ FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
MERCEDES-BENZ FINANCE NORTH AMERICA LLC 144A 5.375000% 11/26/2025
58769JAB3
290000.00000000
PA
USD
293349.77000000
0.063253964491
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-31014.74000000
-0.00668759775
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
11562000.00000000
CAD
8512229.80000000
USD
2023-04-04
-31014.74000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1749.00000000
0.000377130631
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
233596.63000000
USD
215000.00000000
CHF
2023-04-04
1749.00000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.000000% 06/22/2026
N/A
370000.00000000
PA
381442.13000000
0.082249005842
Long
DBT
NUSS
BE
N
2
2026-06-22
Fixed
1.00000000
N
N
N
N
N
N
Thermo Fisher Scientific (Finance I) B.V.
549300SM0PJC1F3RPL91
THERMO FISHER SCIENTIFIC FINANCE I BV 0.800000% 10/18/2030
N/A
260000.00000000
PA
232256.27000000
0.050080591014
Long
DBT
NUSS
US
N
2
2030-10-18
Fixed
0.80000000
N
N
N
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST 144A 2.000000% 04/16/2031
68329AAJ7
1914000.00000000
PA
USD
1629760.74000000
0.351419494815
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
546969.82000000
0.117941151180
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
115113.00000000
PA
USD
3453.39000000
0.000744642167
Long
DBT
NUSS
BR
N
2
2029-10-25
Fixed
0.00000000
N
N
Y
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 05/15/2036
D2R8H4GD5
1061000.00000000
PA
842448.50000000
0.181654164940
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 2023-04-28
N/A
1.00000000
NC
USD
-639.59000000
-0.00013791251
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
214000.00000000
EUR
232143.78000000
USD
2023-04-28
-639.59000000
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.250000% 06/15/2026
00928QAS0
4000.00000000
PA
USD
3793.97000000
0.000818080217
Long
DBT
NUSS
US
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2545.00000000
0.000548769271
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
232800.63000000
USD
215000.00000000
CHF
2023-04-04
2545.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-3252.18000000
-0.00070125597
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
299952.18000000
EUR
323260.56000000
USD
2023-05-11
-3252.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-25692.46000000
-0.00553997350
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
19200000.00000000
ZAR
1053937.44000000
USD
2023-05-03
-25692.46000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.500000% 05/21/2030
N/A
1401000.00000000
PA
897344.47000000
0.193491187131
Long
DBT
NUSS
AU
N
2
2030-05-21
Fixed
2.50000000
N
N
N
N
N
N
CREDIT AGRICOLE HOME LOAN SFH SA
969500C9913Z7PKUGB44
CREDIT AGRICOLE HOME LOAN SFH SA MTN 0.500000% 02/19/2026
N/A
300000.00000000
PA
301002.57000000
0.064904110457
Long
DBT
NUSS
FR
N
2
2026-02-19
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5925.25000000
-0.00127764052
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30900000.00000000
JPY
226248.47000000
USD
2023-04-04
-5925.25000000
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 0.835000% 06/26/2032
N/A
600000.00000000
PA
507473.68000000
0.109424739399
Long
DBT
NUSS
US
N
2
2032-06-26
Fixed
0.83500000
N
N
N
N
N
N
Government of the Republic of Korea
N/A
KOREA TREASURY BOND 1.125000% 09/10/2025
N/A
1184330000.00000000
PA
863090.89000000
0.186105209862
Long
DBT
NUSS
KR
N
2
2025-09-10
Fixed
1.12500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
2790000.00000000
PA
632896.06000000
0.136469119802
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
211648.90000000
0.045637097330
Long
DBT
NUSS
ES
N
2
2172-03-14
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
102824.66000000
0.022171714647
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
8276.01000000
0.001784526514
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
306114.45000000
0.066006366906
Long
DBT
NUSS
US
N
2
2031-07-15
Fixed
0.62500000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.125000% 06/01/2026
N/A
1790000.00000000
PA
1309969.54000000
0.282464059092
Long
DBT
NUSS
SG
N
2
2026-06-01
Fixed
2.12500000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 2.0339
N/A
1082000.00000000
NC
92977.95000000
0.020048503695
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2027-05-10
0.00000000
GBP
0.00000000
GBP
-1082000.00000000
GBP
92977.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-28
N/A
1.00000000
NC
USD
1100.44000000
0.000237283951
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
214000.00000000
EUR
233883.81000000
USD
2023-04-28
1100.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-11538.30000000
-0.00248796247
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
486184.93000000
EUR
517697.98000000
USD
2023-05-11
-11538.30000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.850000% 06/30/2120
N/A
87000.00000000
PA
39841.38000000
0.008590854650
Long
DBT
NUSS
AT
N
2
2120-06-30
Fixed
0.85000000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CD1386720
-2370000.00000000
NC
USD
26918.40000000
0.005804318570
N/A
DCR
XX
N
2
N/A
N/A
Y
2028-06-20
12401.36000000
USD
0.00000000
USD
-2370000.00000000
USD
14517.04000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
3522000.00000000
PA
109543.96000000
0.023620573338
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
692000.00000000
PA
609007.81000000
0.131318181666
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
2456000.00000000
PA
128919.60000000
0.027798473476
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
68794.07000000
0.014833819917
Long
DBT
NUSS
FI
N
2
2052-04-15
Fixed
0.12500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-05-25
N/A
1.00000000
NC
3317.58000000
0.000715357941
N/A
DFE
MX
N
2
UBS INTERNATIONAL INC
N/A
839046.69000000
USD
15359957.87000000
MXN
2023-05-25
3317.58000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.800000% 07/30/2029
N/A
703000.00000000
PA
665602.18000000
0.143521423791
Long
DBT
NUSS
ES
N
2
2029-07-30
Fixed
0.80000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
15001.33000000
0.003234683276
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
682597.43000000
USD
1115000.00000000
NZD
2023-04-04
15001.33000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
2374000.00000000
PA
525323.05000000
0.113273535381
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2826.75000000
0.000609522019
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
67650.64000000
USD
57000.00000000
GBP
2023-04-04
2826.75000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-27.00000000
NC
-3100469.36000000
-0.66854314835
N/A
DIR
DE
N
1
GOLDMAN SACHS & CO
N/A
Short
Germany Govt. Bond Futures
Euro-Schatz Future Jun 2023
2023-06-11
-3093659.98000000
EUR
-6809.38000000
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
739551.30000000
0.159466808751
Long
DBT
NUSS
FR
N
2
2024-02-23
Fixed
0.25000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
9855.45000000
0.002125095527
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
227542.08000000
USD
192000.00000000
GBP
2023-04-04
9855.45000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
PROVINCE OF ONTARIO CANADA MTN 0.250000% 12/15/2026
N/A
2337000.00000000
PA
2479860.49000000
0.534723471500
Long
DBT
NUSS
CA
N
2
2026-12-15
Fixed
0.25000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3994.09000000
0.000861231379
N/A
DFE
CA
N
2
GOLDMAN SACHS & CO
N/A
228761.66000000
USD
315000.00000000
CAD
2023-04-04
3994.09000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5709.51000000
-0.00123112127
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30900000.00000000
JPY
226464.21000000
USD
2023-04-04
-5709.51000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-261.06000000
-0.00005629143
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
233186.15000000
USD
31000000.00000000
JPY
2023-04-04
-261.06000000
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 4.839000% 02/01/2034
91159HJL5
74000.00000000
PA
USD
71804.07000000
0.015482855480
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
4.83900000
N
N
N
N
N
N
VEOLIA ENVIRONNEMENT SA
969500LENY69X51OOT31
VEOLIA ENVIRONNEMENT SA 1.625000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
283563.12000000
0.061143704062
Long
DBT
NUSS
FR
N
2
2171-09-12
Fixed
1.62500000
N
N
N
N
N
N
ENEL - SPA
WOCMU6HCI0OJWNPRZS33
ENEL SPA 2.250000% MATURITY: PERPETUAL
N/A
322000.00000000
PA
298994.98000000
0.064471220986
Long
DBT
NUSS
IT
N
2
2172-03-10
Fixed
2.25000000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 07/28/2025
N/A
1540000.00000000
PA
314029.07000000
0.067712968184
Long
DBT
NUSS
RO
N
2
2025-07-28
Fixed
3.65000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-23216.81000000
-0.00500615792
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
800902.29000000
EUR
848604.83000000
USD
2023-05-11
-23216.81000000
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 0.000000% 11/16/2026
N/A
1067000.00000000
PA
1038912.85000000
0.224017071919
Long
DBT
NUSS
NL
N
2
2026-11-16
Fixed
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-13
N/A
1.00000000
NC
-39258.97000000
-0.00846527165
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
782449.18000000
USD
1109375.48000000
AUD
2023-04-13
-39258.97000000
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA 0.250000% 07/02/2025
58507LAM1
115000.00000000
PA
116504.30000000
0.025121406624
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/SGD SETTLE 2023-06-12
N/A
1.00000000
NC
USD
-128986.22000000
-0.02781283850
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
14006950.00000000
SGD
10433233.62000000
USD
2023-06-12
-128986.22000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3920.85000000
0.000845438899
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
790231.26000000
USD
8235000.00000000
SEK
2023-04-04
3920.85000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.750000% 02/17/2032
N/A
16390000.00000000
PA
2361241.88000000
0.509146163753
Long
DBT
NUSS
CN
N
2
2032-02-17
Fixed
2.75000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
61230.37000000
0.013202886267
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
25183499.94000000
USD
173478000.00000000
CNY
2023-04-04
61230.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4199.17000000
-0.00090545204
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
370000.00000000
NZD
227291.00000000
USD
2023-04-04
-4199.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
4594.58000000
0.000990712895
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30000000.00000000
JPY
230005.96000000
USD
2023-04-04
4594.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-28
N/A
1.00000000
NC
USD
-7557.99000000
-0.00162970242
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
115108125.00000000
JPY
860839.00000000
USD
2023-04-28
-7557.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1007.39000000
-0.00021721991
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
428000.00000000
EUR
463992.66000000
USD
2023-04-04
-1007.39000000
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC MTN 1.625000% 09/18/2025
N/A
415000.00000000
PA
425800.29000000
0.091813797652
Long
DBT
NUSS
ZA
N
2
2025-09-18
Fixed
1.62500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-05-02
N/A
1.00000000
NC
-378.43000000
-0.00008159951
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
116637.10000000
USD
15400000.00000000
JPY
2023-05-02
-378.43000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
7325.09000000
0.001579483027
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
460027.83000000
USD
62200000.00000000
JPY
2023-04-04
7325.09000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
7213.82000000
0.001555490274
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
227126.15000000
USD
2430000.00000000
SEK
2023-04-04
7213.82000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2023-04-04
N/A
1.00000000
NC
72.49000000
0.000015630760
N/A
DFE
RO
N
2
BARCLAYS CAPITAL INC.
N/A
123122.68000000
USD
561000.00000000
RON
2023-04-04
72.49000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
917.58000000
0.000197854502
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
31921.35000000
USD
30000.00000000
CHF
2023-04-04
917.58000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-5752.59000000
-0.00124041046
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
445304.77000000
USD
58500000.00000000
JPY
2023-04-04
-5752.59000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
1536846.94000000
0.331384823556
N/A
DIR
DE
N
1
GOLDMAN SACHS & CO
N/A
Long
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2023
2023-06-11
1509908.52000000
EUR
26938.42000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.750000% 05/25/2052
N/A
202000.00000000
PA
119695.36000000
0.025809483509
Long
DBT
NUSS
FR
N
2
2052-05-25
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-840.81000000
-0.00018130086
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
28000.00000000
GBP
33779.66000000
USD
2023-04-04
-840.81000000
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
394999.51000000
0.085172335330
Long
DBT
NUSS
AU
N
2
2029-03-01
Fixed
0.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1580.65000000
-0.00034082992
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
58000.00000000
GBP
70133.19000000
USD
2023-04-04
-1580.65000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
11504.48000000
0.002480669984
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
453713.63000000
USD
425000.00000000
CHF
2023-04-04
11504.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-28
N/A
1.00000000
NC
USD
10811.01000000
0.002331139522
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
110636867.00000000
JPY
845476.00000000
USD
2023-04-28
10811.01000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-85.83000000
-0.00001850721
N/A
DFE
MY
N
2
SCB SECURITIES
N/A
84165.15000000
USD
371000.00000000
MYR
2023-04-04
-85.83000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
8244600.00000000
PA
398079.57000000
0.085836477681
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2023-06-15
N/A
1.00000000
NC
-1379.50000000
-0.00029745666
N/A
DFE
TW
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
841997.51000000
USD
25443565.00000000
TWD
2023-06-15
-1379.50000000
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2004-A5 JPMMT 2004-A5 3A1
466247FZ1
18677.86870000
PA
USD
16994.23000000
0.003664405194
Long
ABS-MBS
US
N
2
2034-12-25
Floating
3.71783160
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4656.07000000
-0.00100397176
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3140000.00000000
ZAR
172320.12000000
USD
2023-04-04
-4656.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5807.44000000
-0.00125223757
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
190000.00000000
GBP
229117.20000000
USD
2023-04-04
-5807.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
334.34000000
0.000072092541
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4600000.00000000
JPY
34897.42000000
USD
2023-04-04
334.34000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4654.85000000
0.001003708701
N/A
DFE
MX
N
2
GOLDMAN SACHS & CO
N/A
91158.18000000
USD
1730000.00000000
MXN
2023-04-04
4654.85000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.375000% 08/19/2030
N/A
9406000.00000000
PA
803618.41000000
0.173281371145
Long
DBT
NUSS
NO
N
2
2030-08-19
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-13
N/A
1.00000000
NC
USD
27467.52000000
0.005922723357
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1436183.66000000
AUD
989592.30000000
USD
2023-04-13
27467.52000000
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
178228.50000000
0.038430775692
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-9171.88000000
-0.00197769976
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
62200000.00000000
JPY
458181.04000000
USD
2023-04-04
-9171.88000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-20
N/A
1.00000000
NC
-4099.03000000
-0.00088385921
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
792330.79000000
USD
1260118.75000000
NZD
2023-04-20
-4099.03000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 02/25/2027
N/A
2107000.00000000
PA
2066079.20000000
0.445501287945
Long
DBT
NUSS
FR
N
2
2027-02-25
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-980.17000000
-0.00021135056
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
210000.00000000
CHF
228892.31000000
USD
2023-04-04
-980.17000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-04-27
N/A
1.00000000
NC
23136.57000000
0.004988856058
N/A
DFE
PA
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
833129.05000000
USD
3693052.79000000
PLN
2023-04-27
23136.57000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-06-12
N/A
1.00000000
NC
-5765.55000000
-0.00124320498
N/A
DFE
NO
N
2
J.P. MORGAN SECURITIES
N/A
1201313.32000000
USD
12475150.00000000
NOK
2023-06-12
-5765.55000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.500000% 07/15/2028
T6052BE87
2352000.00000000
PA
2178222.41000000
0.469682328289
Long
DBT
NUSS
IT
N
2
2028-07-15
Fixed
0.50000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-04-04
N/A
1.00000000
NC
192.59000000
0.000041527494
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
7931.74000000
USD
35000.00000000
PLN
2023-04-04
192.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-21
N/A
1.00000000
NC
USD
-18091.86000000
-0.00390108323
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8579098.20000000
SEK
810215.21000000
USD
2023-04-21
-18091.86000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.100000% 09/20/2117
N/A
50000.00000000
PA
39940.03000000
0.008612126198
Long
DBT
NUSS
AT
N
2
2117-09-20
Fixed
2.10000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1464.72000000
-0.00031583234
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
229881.58000000
USD
30400000.00000000
JPY
2023-04-04
-1464.72000000
N
N
N
NATIONAL GAS TRANSMISSION PLC
FPCHGTHKVH9ZWXS7S453
NATIONAL GAS TRANSMISSION PLC MTN 1.125000% 01/14/2033
N/A
430000.00000000
PA
355921.14000000
0.076746005805
Long
DBT
NUSS
GB
N
2
2033-01-14
Fixed
1.12500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
437.11000000
0.000094252470
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
16921.41000000
USD
180000.00000000
SEK
2023-04-04
437.11000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3612.84000000
0.000779023801
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
230063.62000000
USD
31100000.00000000
JPY
2023-04-04
3612.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-04-27
N/A
1.00000000
NC
USD
-10144.17000000
-0.00218735119
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
5502486.00000000
PLN
1265653.90000000
USD
2023-04-27
-10144.17000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-20
N/A
1.00000000
NC
-194.26000000
-0.00004188759
N/A
DFE
CN
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
176964.07000000
USD
1212269.87000000
CNY
2023-04-20
-194.26000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 2.950000% 12/18/2028
110709GH9
1653000.00000000
PA
1191049.19000000
0.256821688225
Long
DBT
NUSS
CA
N
2
2028-12-18
Fixed
2.95000000
N
N
N
N
N
N
Canada
N/A
CAN 5YR BOND FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-19.00000000
NC
-1600051.72000000
-0.34501344480
N/A
DIR
CA
N
1
GOLDMAN SACHS & CO
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Jun 2023
2023-06-24
-1565287.54000000
CAD
-34764.18000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2023-05-03
N/A
1.00000000
NC
80.16000000
0.000017284614
N/A
DFE
MY
N
2
SCB SECURITIES
N/A
26839.01000000
USD
118000.00000000
MYR
2023-05-03
80.16000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
3.00000000
NC
384211.73000000
0.082846204810
N/A
DIR
DE
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2023
2023-06-11
384193.29000000
EUR
18.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-7422.29000000
-0.00160044191
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
62900000.00000000
HUF
172248.26000000
USD
2023-04-04
-7422.29000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2023-04-26
N/A
1.00000000
NC
-18213.58000000
-0.00392732928
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
832892.00000000
USD
1059955247.00000000
KRW
2023-04-26
-18213.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-06-12
N/A
1.00000000
NC
USD
-94369.65000000
-0.02034859100
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
19269400.00000000
NZD
11955851.46000000
USD
2023-06-12
-94369.65000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2023-05-15
N/A
1.00000000
NC
-2778.48000000
-0.00059911373
N/A
DFE
SG
N
2
BNP PARIBAS
N/A
827750.32000000
USD
1095066.32000000
SGD
2023-05-15
-2778.48000000
N
N
N
Slovenska Republika
097900BHFM0000074794
SLOVAKIA GOVERNMENT BOND 4.000000% 10/19/2032
N/A
389000.00000000
PA
433821.45000000
0.093543371770
Long
DBT
NUSS
SK
N
2
2032-10-19
Fixed
4.00000000
N
N
N
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.000000% 02/05/2048
N/A
300000.00000000
PA
233636.53000000
0.050378211554
Long
DBT
NUSS
FR
N
2
2048-02-05
Fixed
2.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.370000% 01/20/2027
N/A
10830000.00000000
PA
1560758.94000000
0.336540882819
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
37650000.00000000
PA
5921089.76000000
1.276743463716
Long
DBT
NUSS
CN
N
2
2051-04-12
Fixed
3.72000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-325429.08000000
-0.07017111167
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
10096000.00000000
GBP
12157724.35000000
USD
2023-04-04
-325429.08000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 0.950000% 12/01/2031
N/A
2340000.00000000
PA
1992646.92000000
0.429667347350
Long
DBT
NUSS
IT
N
2
2031-12-01
Fixed
0.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5768.95000000
-0.00124393810
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3170000.00000000
ZAR
172898.09000000
USD
2023-04-04
-5768.95000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.660000% 03/01/2031
N/A
4680000.00000000
PA
710034.16000000
0.153102133144
Long
DBT
NUSS
CN
N
2
2031-03-01
Fixed
3.66000000
N
N
N
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
288086.23000000
0.062119006136
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
2172000.00000000
PA
1549119.80000000
0.334031176579
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/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
644.28000000
0.000138923798
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
9200000.00000000
JPY
69770.44000000
USD
2023-04-04
644.28000000
N
N
N
TELUS Corporation
L2TEUTQ8OSHMJWVLCE40
TELUS CORP 5.250000% 11/15/2032
87971MBX0
482000.00000000
PA
363486.44000000
0.078377284457
Long
DBT
NUSS
CA
N
2
2032-11-15
Fixed
5.25000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.375000% 09/01/2033
N/A
515000.00000000
PA
401681.02000000
0.086613045498
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/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1304.99000000
0.000281390338
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
31000000.00000000
JPY
234230.08000000
USD
2023-04-04
1304.99000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
296.16000000
0.000063859924
N/A
DFE
MY
N
2
SCB SECURITIES
N/A
26446.05000000
USD
118000.00000000
MYR
2023-04-04
296.16000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-456.02000000
-0.00009832996
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
234869.22000000
USD
350000.00000000
AUD
2023-04-04
-456.02000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1625.58000000
0.000350518016
N/A
DFE
CA
N
2
GOLDMAN SACHS & CO
N/A
446152.16000000
USD
606000.00000000
CAD
2023-04-04
1625.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-28
N/A
1.00000000
NC
USD
-694.59000000
-0.00014977196
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
214000.00000000
EUR
232088.78000000
USD
2023-04-28
-694.59000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.350000% 07/30/2033
N/A
396000.00000000
PA
393370.41000000
0.084821058309
Long
DBT
NUSS
ES
N
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
CASH MGMT BILL 0.000000% 04/17/2023
912797LM7
2323000.00000000
PA
USD
2318754.07000000
0.499984668842
Long
DBT
UST
US
N
2
2023-04-17
None
0.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1400.49000000
0.000301982662
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
230089.68000000
USD
370000.00000000
NZD
2023-04-04
1400.49000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
329800000.00000000
PA
2787205.24000000
0.600995123607
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
2313000.00000000
PA
1706162.24000000
0.367893677727
Long
DBT
NUSS
AU
N
2
2033-04-21
Fixed
4.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/23/2034
N/A
22761000.00000000
PA
1162227.89000000
0.250607054115
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-928.77000000
-0.00020026736
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
232351.12000000
USD
30800000.00000000
JPY
2023-04-04
-928.77000000
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-2.00000000
NC
USD
-412906.25000000
-0.08903350180
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2023
2023-07-03
-408733.52000000
USD
-4172.73000000
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.625000% 05/18/2027
N/A
225000.00000000
PA
222105.90000000
0.047891902938
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
375000.00000000
PA
492030.22000000
0.106094721208
Long
DBT
NUSS
GB
N
2
2049-12-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-360.09000000
-0.00007764492
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
360000.00000000
SEK
34356.94000000
USD
2023-04-04
-360.09000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-2637.62000000
-0.00056874059
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
467736.43000000
USD
61900000.00000000
JPY
2023-04-04
-2637.62000000
N
N
N
AIB GROUP PUBLIC LIMITED COMPANY
635400AKJBGNS5WNQL34
AIB GROUP PLC 144A 7.583000% 10/14/2026
00135TAC8
250000.00000000
PA
USD
256413.07000000
0.055289435628
Long
DBT
NUSS
IE
N
2
2026-10-14
Fixed
7.58300000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4686.11000000
0.001010449183
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
462666.81000000
USD
62200000.00000000
JPY
2023-04-04
4686.11000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4679.48000000
0.001009019580
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
230666.15000000
USD
215000.00000000
CHF
2023-04-04
4679.48000000
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
1206828.27000000
0.260224074959
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
AMGEN INC.
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.150000% 03/02/2028
031162DP2
205000.00000000
PA
USD
209309.34000000
0.045132626352
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 0.250000% 03/17/2028
N/A
470000.00000000
PA
430765.16000000
0.092884354860
Long
DBT
NUSS
US
N
2
2028-03-17
Fixed
0.25000000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.200000% 03/13/2031
N/A
8010000.00000000
PA
285090.45000000
0.061473036781
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
6109.51000000
0.001317371847
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
228318.32000000
USD
31200000.00000000
JPY
2023-04-04
6109.51000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 4.000000% 04/30/2035
N/A
2330000.00000000
PA
2472300.34000000
0.533093303324
Long
DBT
NUSS
IT
N
2
2035-04-30
Fixed
4.00000000
N
N
N
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 3.869000% 03/28/2026
456837BA0
505000.00000000
PA
USD
488310.24000000
0.105292595190
Long
DBT
NUSS
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2012.27000000
-0.00043389860
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
561000.00000000
RON
121182.90000000
USD
2023-04-04
-2012.27000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
265.31000000
0.000057207848
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
113677.81000000
USD
783000.00000000
CNY
2023-04-04
265.31000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1141.79000000
0.000246200104
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
69335.60000000
USD
57000.00000000
GBP
2023-04-04
1141.79000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
10.00000000
NC
1475831.93000000
0.318228374597
N/A
DIR
DE
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
Germany Govt. Bond Futures
Euro-Bund Future Jun 2023
2023-06-11
1415704.19000000
EUR
60127.74000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
33051.37000000
0.007126749014
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
2616779.57000000
USD
352666000.00000000
JPY
2023-04-04
33051.37000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
48592.93000000
0.010477920159
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
2367907.91000000
USD
2219927.75000000
EUR
2023-05-11
48592.93000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 1.850000% 05/23/2049
N/A
545000.00000000
PA
464558.87000000
0.100171172001
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/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-26744.98000000
-0.00576692463
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
855000.00000000
CHF
909164.38000000
USD
2023-04-04
-26744.98000000
N
N
N
CAISSE D'AMORTISSEMENT DE LA DETTE SOCIALE
969500P04DQJS4BPM574
CAISSE D'AMORTISSEMENT DE LA DETTE SOCIALE MTN 1.750000% 11/25/2027
N/A
500000.00000000
PA
514267.79000000
0.110889729103
Long
DBT
NUSS
FR
N
2
2027-11-25
Fixed
1.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 0.250000% 10/25/2026
N/A
2272000.00000000
PA
432086.35000000
0.093169238347
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
17235000000.00000000
PA
1141375.50000000
0.246110727642
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
438560.09000000
0.094565147810
Long
DBT
NUSS
US
N
2
2024-06-19
Fixed
2.37500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-06-09
N/A
1.00000000
NC
300.15000000
0.000064720273
N/A
DFE
CA
N
2
BNP PARIBAS
N/A
29220.61000000
USD
39902.67000000
CAD
2023-06-09
300.15000000
N
N
N
ASIAN DEVELOPMENT BANK
549300X0MVH42CY8Q105
ASIAN DEVELOPMENT BANK MTN 2.350000% 06/21/2027
N/A
410000000.00000000
PA
3371236.29000000
0.726927655611
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
107286.81000000
0.023133872135
Long
DBT
NUSS
GB
N
2
2028-02-15
Floating
6.77900160
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 12/20/2030
N/A
170650000.00000000
PA
1264020.41000000
0.272556212096
Long
DBT
NUSS
JP
N
2
2030-12-20
Fixed
0.10000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.700000% 09/01/2051
N/A
507000.00000000
PA
323325.90000000
0.069717610474
Long
DBT
NUSS
IT
N
2
2051-09-01
Fixed
1.70000000
N
N
N
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 6.500000% MATURITY: PERPETUAL
456837AF0
200000.00000000
PA
USD
180222.85000000
0.038860810269
Long
DBT
NUSS
NL
N
2
2171-10-16
Fixed
6.50000000
N
N
N
Y
Y
ING Groep N.V.
INGA 6.5 PERP
EUR
XXXX
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-53092.02000000
-0.01144804288
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
46981000.00000000
MXN
2548868.55000000
USD
2023-04-04
-53092.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1406.09000000
0.000303190171
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
420000.00000000
CHF
461151.04000000
USD
2023-04-04
1406.09000000
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-1414882.17000000
-0.30508599526
N/A
DIR
DE
N
1
MORGAN STANLEY & CO, INC
N/A
Short
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Jun 2023
2023-06-11
-1334679.42000000
EUR
-80202.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-8581.13000000
-0.00185031845
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
192000.00000000
GBP
228816.40000000
USD
2023-04-04
-8581.13000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.375000% 09/01/2033
N/A
13000.00000000
PA
10139.52000000
0.002186348528
Long
DBT
NUSS
SG
N
2
2033-09-01
Fixed
3.37500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2145.67000000
0.000462663168
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
229344.50000000
USD
370000.00000000
NZD
2023-04-04
2145.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
4630.90000000
0.000998544448
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30200000.00000000
JPY
231545.02000000
USD
2023-04-04
4630.90000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.875000% 06/22/2029
N/A
16455000.00000000
PA
556998.46000000
0.120103591049
Long
DBT
NUSS
TH
N
2
2029-06-22
Fixed
4.87500000
N
N
N
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO 1.375000% 09/14/2061
532457CC0
195000.00000000
PA
107180.83000000
0.023111020046
Long
DBT
NUSS
US
N
2
2061-09-14
Fixed
1.37500000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN23 FINANCIAL COMMODITY FUTURE.
N/A
19.00000000
NC
USD
2183515.63000000
0.470823686436
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2023
2023-06-24
2125651.41000000
USD
57864.22000000
N
N
N
ASR Nederland N.V.
7245000G0HS48PZWUD53
ASR NEDERLAND NV 3.375000% 05/02/2049
N/A
255000.00000000
PA
235834.07000000
0.050852059265
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
311687.47000000
0.067208057329
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
309830.42000000
0.066807628262
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.50000000
N
N
N
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP 1.125000% 07/13/2027
756109BB9
385000.00000000
PA
397248.29000000
0.085657231740
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
607334.47000000
0.130957365331
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3178.00000000
-0.00068526080
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
430000.00000000
CHF
467513.26000000
USD
2023-04-04
-3178.00000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
6049.63000000
0.001304460137
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
223822.85000000
USD
210000.00000000
CHF
2023-04-04
6049.63000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2033
N/A
552000.00000000
PA
516576.96000000
0.111387647193
Long
DBT
NUSS
IT
N
2
2033-09-01
Fixed
2.45000000
N
N
N
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 2.750000% 08/09/2049
N/A
315000.00000000
PA
242031.64000000
0.052188419177
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
6017.75020000
PA
USD
5080.08000000
0.001095399529
Long
ABS-MBS
US
N
2
2034-09-25
Floating
4.01376240
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-338.47000000
-0.00007298307
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
69464.63000000
USD
9200000.00000000
JPY
2023-04-04
-338.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5292.04000000
-0.00114110370
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
31200000.00000000
JPY
229135.79000000
USD
2023-04-04
-5292.04000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.250000% 01/22/2044
N/A
26000.00000000
PA
29249.49000000
0.006306963192
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
293994.98000000
0.063393088822
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
204961.53000000
0.044195123591
Long
DBT
NUSS
US
N
2
2025-11-18
Fixed
0.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4708.05000000
0.001015180027
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
579107.41000000
USD
77700000.00000000
JPY
2023-04-04
4708.05000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1858.43000000
-0.00040072663
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
83000.00000000
EUR
88316.81000000
USD
2023-04-04
-1858.43000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
31922000000.00000000
PA
2356707.73000000
0.508168481162
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
223374.73000000
0.048165496225
Long
DBT
NUSS
US
N
2
2028-02-11
Fixed
0.30000000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2023-04-04
N/A
1.00000000
NC
262.20000000
0.000056537250
N/A
DFE
RO
N
2
BARCLAYS CAPITAL INC.
N/A
342751.80000000
USD
1562000.00000000
RON
2023-04-04
262.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-17925.05000000
-0.00386511459
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
10295000.00000000
GBP
12716456.07000000
USD
2023-05-03
-17925.05000000
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
29194.58000000
0.006295123144
Long
DBT
NUSS
XX
N
2
2030-02-21
Fixed
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-03
N/A
1.00000000
NC
918.74000000
0.000198104628
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
464766.06000000
USD
428000.00000000
EUR
2023-05-03
918.74000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.000000% 12/20/2035
N/A
34400000.00000000
PA
270046.07000000
0.058229070787
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/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4865.48000000
-0.00104912609
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
178000.00000000
GBP
215221.81000000
USD
2023-04-04
-4865.48000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
259750000.00000000
PA
1905529.44000000
0.410882515896
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4.70000000
0.000001013444
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
1741.55000000
USD
12000.00000000
CNY
2023-04-04
4.70000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
2966000000.00000000
PA
509198.61000000
0.109796679902
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1516.58000000
0.000327014735
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30800000.00000000
JPY
232938.93000000
USD
2023-04-04
1516.58000000
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP VARIABLE RATE 02/14/2024
855244BB4
330000.00000000
PA
USD
328278.59000000
0.070785541352
Long
DBT
CORP
US
N
2
2024-02-14
Floating
5.14397520
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.000000% 04/15/2024
N/A
1429000.00000000
PA
1502454.43000000
0.323968889306
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/PLN SETTLE 2023-06-20
N/A
1.00000000
NC
USD
-175642.73000000
-0.03787321533
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
27066200.00000000
PLN
6079450.50000000
USD
2023-06-20
-175642.73000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2040
N/A
322850000.00000000
PA
2950648.63000000
0.636237838771
Long
DBT
NUSS
JP
N
2
2040-03-20
Fixed
2.30000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG MTN 3.250000% 04/02/2026
N/A
550000.00000000
PA
561693.99000000
0.121116071434
Long
DBT
NUSS
CH
N
2
2026-04-02
Fixed
3.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 05/23/2023
912797FF9
9281000.00000000
PA
USD
9221849.77000000
1.988474570468
Long
DBT
UST
US
N
2
2023-05-23
None
0.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-653.71000000
-0.00014095715
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
466503.89000000
USD
62000000.00000000
JPY
2023-04-04
-653.71000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.500000% 12/01/2032
N/A
355000.00000000
PA
339661.14000000
0.073239920006
Long
DBT
NUSS
IT
N
2
2032-12-01
Fixed
2.50000000
N
N
N
N
N
N
AIR PRODUCTS AND CHEMICALS, INC.
7QEON6Y1RL5XR3R1W237
AIR PRODUCTS AND CHEMICALS INC 4.000000% 03/03/2035
009158BG0
280000.00000000
PA
305739.67000000
0.065925554432
Long
DBT
NUSS
US
N
2
2035-03-03
Fixed
4.00000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 0.500000% 12/01/2030
135087L44
1028000.00000000
PA
636701.43000000
0.137289658161
Long
DBT
NUSS
CA
N
2
2030-12-01
Fixed
0.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
976.28000000
0.000210511773
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
376638.54000000
USD
346897.30000000
EUR
2023-05-11
976.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-06-06
N/A
1.00000000
NC
USD
-53805.22000000
-0.01160182765
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
22374800.00000000
CNY
3224824.52000000
USD
2023-06-06
-53805.22000000
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 4.500000% 11/15/2031
09857LAW8
123000.00000000
PA
138829.30000000
0.029935266738
Long
DBT
NUSS
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.250000% 10/31/2030
92343VGR9
310000.00000000
PA
347684.45000000
0.074969957721
Long
DBT
NUSS
US
N
2
2030-10-31
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-685.84000000
-0.00014788523
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
793000.00000000
CNY
114712.49000000
USD
2023-04-04
-685.84000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-9992.98000000
-0.00215475063
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
77800000.00000000
JPY
574573.85000000
USD
2023-04-04
-9992.98000000
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 0.010000% 03/18/2025
N/A
326000.00000000
PA
330601.45000000
0.071286411368
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
477193.31000000
0.102895491229
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
1033093.64000000
0.222762296425
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.65000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2023-05-15
N/A
1.00000000
NC
5729.85000000
0.001235507116
N/A
DFE
SG
N
2
BNP PARIBAS
N/A
836944.35000000
USD
1118564.40000000
SGD
2023-05-15
5729.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-05-02
N/A
1.00000000
NC
USD
70.40000000
0.000015180100
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2631000.00000000
PLN
609938.45000000
USD
2023-05-02
70.40000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.250000% 12/20/2047
N/A
300000.00000000
PA
250409.05000000
0.053994810212
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
297922.49000000
0.064239963793
Long
DBT
NUSS
NL
N
2
2031-05-26
Fixed
2.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4964.62000000
-0.00107050330
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
61200000.00000000
HUF
169849.97000000
USD
2023-04-04
-4964.62000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1679.55000000
-0.00036215537
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
346558.95000000
USD
45900000.00000000
JPY
2023-04-04
-1679.55000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-2842.16000000
-0.00061284482
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
230507.65000000
USD
30300000.00000000
JPY
2023-04-04
-2842.16000000
N
N
N
DNB BOLIGKREDITT AS
5967007LIEEXZX659K67
DNB BOLIGKREDITT AS MTN 0.375000% 11/20/2024
N/A
795000.00000000
PA
822019.10000000
0.177249046292
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
1759651.01000000
0.379427270401
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
217566.74000000
0.046913140059
Long
DBT
NUSS
BE
N
2
2053-06-22
Fixed
1.40000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
58750000.00000000
PA
542800.74000000
0.117042187331
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2024-01-24
N/A
1.00000000
NC
USD
3420.28000000
0.000737502775
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1558000.00000000
CNY
234815.37000000
USD
2024-01-24
3420.28000000
N
N
N
SBB Treasury Oyj
5493003HHOCW6FIMH724
SBB TREASURY OYJ MTN 1.125000% 11/26/2029
N/A
160000.00000000
PA
94089.24000000
0.020288127193
Long
DBT
NUSS
SE
N
2
2029-11-26
Fixed
1.12500000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 4.000000% 04/25/2055
N/A
139000.00000000
PA
172448.01000000
0.037184349253
Long
DBT
NUSS
FR
N
2
2055-04-25
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 2.159000% 09/15/2029
09659W2R4
360000.00000000
PA
USD
300118.65000000
0.064713513940
Long
DBT
NUSS
FR
N
2
2029-09-15
Fixed
2.15900000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
918.62000000
0.000198078753
N/A
DFE
CZ
N
2
TD SECURITIES (USA) INC.
N/A
940776.70000000
USD
20349000.00000000
CZK
2023-04-04
918.62000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.950000% 07/30/2030
N/A
188000.00000000
PA
189246.35000000
0.040806515386
Long
DBT
NUSS
ES
N
2
2030-07-30
Fixed
1.95000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3831.48000000
-0.00082616836
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
210000.00000000
CHF
226041.00000000
USD
2023-04-04
-3831.48000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4567.04000000
-0.00098477454
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
31100000.00000000
JPY
229109.42000000
USD
2023-04-04
-4567.04000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
38.00000000
NC
4855892.28000000
1.047058730790
N/A
DIR
GB
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2023
2023-07-01
4615103.79000000
GBP
240788.49000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC MTN 4.000000% 06/26/2029
N/A
500000.00000000
PA
289563.92000000
0.062437635160
Long
DBT
NUSS
GB
N
2
2029-06-26
Fixed
4.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
11991000000.00000000
PA
816966.59000000
0.176159591584
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
185358.00000000
PA
USD
7136.28000000
0.001538770600
Long
DBT
NUSS
BR
N
2
2046-12-26
Fixed
0.00000000
N
N
Y
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC 3.250000% MATURITY: PERPETUAL
N/A
612000.00000000
PA
613376.36000000
0.132260156520
Long
DBT
NUSS
GB
N
2
2171-06-22
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4139.23000000
-0.00089252739
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
370000.00000000
NZD
227350.94000000
USD
2023-04-04
-4139.23000000
N
N
N
KYNDRYL HOLDINGS, INC.
549300LQ4LWX2R8ZV130
KYNDRYL HOLDINGS INC 2.050000% 10/15/2026
50155QAJ9
455000.00000000
PA
USD
395358.35000000
0.085249710720
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
1025040.80000000
0.221025891261
Long
DBT
NUSS
SG
N
2
2036-08-01
Fixed
2.25000000
N
N
N
N
N
N
La Compagnie de Telephone Bell du Canada ou Bell Canada
549300JYAVAQRV5MNZ86
BELL TELEPHONE CO OF CANADA OR BELL CANADA/THE MTN 3.000000% 03/17/2031
07813ZCG7
651000.00000000
PA
425897.88000000
0.091834840635
Long
DBT
NUSS
CA
N
2
2031-03-17
Fixed
3.00000000
N
N
N
N
N
N
CCEP FINANCE (IRELAND) DESIGNATED ACTIVITY COMPANY
549300C3FJ5JIMZNEN16
CCEP FINANCE IRELAND DAC 0.500000% 09/06/2029
G198A4AD7
335000.00000000
PA
298480.22000000
0.064360225124
Long
DBT
NUSS
GB
N
2
2029-09-06
Fixed
0.50000000
N
N
N
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 0.000000% 11/15/2031
N/A
2049000.00000000
PA
241232.94000000
0.052016198345
Long
DBT
NUSS
DK
N
2
2031-11-15
Fixed
0.00000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.100000% 03/01/2040
N/A
472000.00000000
PA
437042.17000000
0.094237844135
Long
DBT
NUSS
IT
N
2
2040-03-01
Fixed
3.10000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 1.750000% 06/21/2051
N/A
1371000.00000000
PA
592283.93000000
0.127712071078
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
699.11000000
0.000150746595
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
N/A
1488274.02000000
USD
10232000.00000000
CNY
2023-04-04
699.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-6029.15000000
-0.00130004410
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1610000.00000000
CHF
1762164.69000000
USD
2023-05-03
-6029.15000000
N
N
N
DS SMITH PLC
39RSBE4RCI4M15BLWH36
DS SMITH PLC MTN 1.375000% 07/26/2024
N/A
430000.00000000
PA
447878.71000000
0.096574488600
Long
DBT
NUSS
GB
N
2
2024-07-26
Fixed
1.37500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.500000% 09/20/2024
N/A
1179400000.00000000
PA
8938503.25000000
1.927377571091
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 2023-04-04
N/A
1.00000000
NC
-5908.87000000
-0.00127410856
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
352291.02000000
USD
46100000.00000000
JPY
2023-04-04
-5908.87000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.480000% 01/08/2029
N/A
23680000.00000000
PA
3538982.95000000
0.763098269534
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
226559.92000000
0.048852307383
Long
DBT
NUSS
SG
N
2
2042-04-01
Fixed
2.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
12.58000000
0.000002712580
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
32826.35000000
USD
30000.00000000
CHF
2023-04-04
12.58000000
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 4.500000% 11/15/2039
N/A
2040000.00000000
PA
370525.45000000
0.079895081075
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1715.50000000
0.000369907145
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
233630.13000000
USD
215000.00000000
CHF
2023-04-04
1715.50000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1169.93000000
-0.00025226783
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
229586.79000000
USD
30400000.00000000
JPY
2023-04-04
-1169.93000000
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA 144A 5.625000% MATURITY: PERPETUAL
268317AM6
200000.00000000
PA
USD
192805.14000000
0.041573884579
Long
DBT
NUSS
FR
N
2
2171-07-22
Fixed
5.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-2358.76000000
-0.00050861100
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
5833000.00000000
NZD
3645706.66000000
USD
2023-05-03
-2358.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-13
N/A
1.00000000
NC
USD
26010.88000000
0.005608633270
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
988925.87000000
AUD
688509.77000000
USD
2023-04-13
26010.88000000
N
N
N
BOSTON SCIENTIFIC CORPORATION
Y6ZDD9FP4P8JSSJMW954
BOSTON SCIENTIFIC CORP 0.625000% 12/01/2027
101137AY3
410000.00000000
PA
390045.00000000
0.084104012013
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. PAY: 2.3493
N/A
48010000.00000000
NC
101203.89000000
0.021822233794
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
101203.89000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 05/15/2035
N/A
547000.00000000
PA
446733.01000000
0.096327445396
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
489793.87000000
0.105612505035
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.30000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 06/19/2023
N/A
267700000.00000000
PA
2012376.02000000
0.433921462807
Long
DBT
NUSS
JP
N
2
2023-06-19
None
0.00000000
N
N
N
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
2.00000000
NC
250643.72000000
0.054045411267
N/A
DIR
DE
N
1
GOLDMAN SACHS & CO
N/A
Long
Italy Govt. Bond Futures
Euro-BTP Futures Jun 2023
2023-06-11
247116.62000000
EUR
3527.10000000
N
N
N
ANNINGTON FUNDING PLC
549300KK63W8VZIONZ83
ANNINGTON FUNDING PLC MTN 3.184000% 07/12/2029
N/A
355000.00000000
PA
367150.69000000
0.079167393614
Long
DBT
NUSS
GB
N
2
2029-07-12
Fixed
3.18400000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
16.00000000
NC
2044586.24000000
0.440866837648
N/A
DIR
GB
N
1
GOLDMAN SACHS & CO
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2023
2023-07-01
1984620.92000000
GBP
59965.32000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
1906700000.00000000
PA
313781.02000000
0.067659482048
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
180064.84000000
0.038826739136
Long
DBT
NUSS
US
N
2
2026-03-03
Fixed
2.87500000
N
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES, INC.
RLUFFFFW4GRYU77BTS24
HARLEY-DAVIDSON FINANCIAL SERVICES INC 144A 6.500000% 03/10/2028
41284VAC6
341000.00000000
PA
USD
344722.53000000
0.074331289477
Long
DBT
CORP
US
N
2
2028-03-10
Fixed
6.50000000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 2.031000% 08/03/2032
N/A
245000.00000000
PA
189563.24000000
0.040874845246
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
2283373.30000000
0.492355639614
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
45563.54000000
0.009824703599
Long
DBT
NUSS
IT
N
2
2047-03-01
Fixed
2.70000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-2219.52000000
-0.00047858718
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
229935.20000000
USD
340000.00000000
AUD
2023-04-04
-2219.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5113.16000000
-0.00110253245
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2420000.00000000
SEK
228262.44000000
USD
2023-04-04
-5113.16000000
N
N
N
DANISH KRONE
N/A
FX Forward Contract: DKK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-438.62000000
-0.00009457806
N/A
DFE
DK
N
2
BARCLAYS CAPITAL INC.
N/A
660974.90000000
USD
4529000.00000000
DKK
2023-04-04
-438.62000000
N
N
N
INTERNATIONAL FINANCE CORPORATION
QKL54NQY28TCDAI75F60
INTERNATIONAL FINANCE CORP MTN 2.375000% 07/19/2023
45950KCN8
1000000.00000000
PA
734185.54000000
0.158309809062
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
4823303.17000000
1.040031657249
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/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-6147.00000000
-0.00132545568
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
215000.00000000
CHF
229198.63000000
USD
2023-04-04
-6147.00000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-20
N/A
1.00000000
NC
174.64000000
0.000037657000
N/A
DFE
CN
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
212808.02000000
USD
1460096.06000000
CNY
2023-04-20
174.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-9930.19000000
-0.00214121144
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
745000.00000000
NZD
456178.40000000
USD
2023-04-04
-9930.19000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.700000% 03/20/2037
N/A
38450000.00000000
PA
288278.22000000
0.062160404255
Long
DBT
NUSS
JP
N
2
2037-03-20
Fixed
0.70000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-5610.72000000
-0.00120981953
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
766448.98000000
USD
1136000.00000000
AUD
2023-04-04
-5610.72000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
14630000.00000000
PA
602968.13000000
0.130015867012
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
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
288336.65000000
0.062173003308
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/GBP SETTLE 2023-05-24
N/A
1.00000000
NC
USD
-255.74000000
-0.00005514430
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
49813.93000000
GBP
61388.30000000
USD
2023-05-24
-255.74000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-22307.22000000
-0.00481002627
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
3298000.00000000
SGD
2458231.31000000
USD
2023-04-04
-22307.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1359.77000000
0.000293202354
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
420000.00000000
CHF
461104.72000000
USD
2023-04-04
1359.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-507.69000000
-0.00010947138
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
360000.00000000
SEK
34209.34000000
USD
2023-04-04
-507.69000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1278.88000000
0.000275760332
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
227274.91000000
USD
2370000.00000000
SEK
2023-04-04
1278.88000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
2801000.00000000
PA
2143384.90000000
0.462170440277
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.000000% 04/20/2025
N/A
647000.00000000
PA
663569.52000000
0.143083128566
Long
DBT
NUSS
AT
N
2
2025-04-20
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-5789.67000000
-0.00124840588
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
375000.00000000
NZD
228828.75000000
USD
2023-04-04
-5789.67000000
N
N
N
Government of the Republic of Korea
N/A
KOREA TREASURY BOND 2.000000% 06/10/2031
N/A
2084740000.00000000
PA
1451438.54000000
0.312968514925
Long
DBT
NUSS
KR
N
2
2031-06-10
Fixed
2.00000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 0.750000% 10/20/2026
N/A
865000.00000000
PA
878786.55000000
0.189489609040
Long
DBT
NUSS
AT
N
2
2026-10-20
Fixed
0.75000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 09/20/2027
N/A
458350000.00000000
PA
3448800.49000000
0.743652547376
Long
DBT
NUSS
JP
N
2
2027-09-20
Fixed
0.10000000
N
N
N
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
163967.30000000
0.035355684008
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
230577.25000000
0.049718549920
Long
DBT
NUSS
GB
N
2
2034-10-17
Fixed
2.62500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
330.72000000
0.000071311973
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
34079.98000000
USD
55000.00000000
NZD
2023-04-04
330.72000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.000000% 09/01/2024
N/A
3890000.00000000
PA
2916860.01000000
0.628952119169
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
211987.99000000
0.045710214097
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
921.92000000
0.000198790321
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
15400000.00000000
JPY
116633.09000000
USD
2023-04-04
921.92000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4672.59000000
0.001007533914
N/A
DFE
NO
N
2
GOLDMAN SACHS & CO
N/A
234034.19000000
USD
2500000.00000000
NOK
2023-04-04
4672.59000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 04/25/2032
N/A
1090000.00000000
PA
179159.71000000
0.038631569183
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: Daily GBP Overnight Index Ave (SONIA) Rate
N/A
422000.00000000
NC
-22046.65000000
-0.00475384049
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2052-09-15
0.00000000
GBP
0.00000000
GBP
-422000.00000000
GBP
-22046.65000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2023-05-17
N/A
1.00000000
NC
USD
-9216.06000000
-0.00198722614
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
657991724.00000000
CLP
819412.00000000
USD
2023-05-17
-9216.06000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2023-04-26
N/A
1.00000000
NC
-107264.14000000
-0.02312898388
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
1709726.00000000
USD
2084918182.00000000
KRW
2023-04-26
-107264.14000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-131.80000000
-0.00002841956
N/A
DFE
NO
N
2
GOLDMAN SACHS & CO
N/A
34505.58000000
USD
360000.00000000
NOK
2023-04-04
-131.80000000
N
N
N
Regal Rexnord Corporation
QH78R09VCJGQKPBPYU33
REGAL REXNORD CORP 144A 6.300000% 02/15/2030
758750AE3
85000.00000000
PA
USD
85586.91000000
0.018454800104
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.30000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.800000% 09/20/2031
N/A
316950000.00000000
PA
2675416.18000000
0.576890447365
Long
DBT
NUSS
JP
N
2
2031-09-20
Fixed
1.80000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 03/01/2046
N/A
200000.00000000
PA
151630.25000000
0.032695489924
Long
DBT
NUSS
SG
N
2
2046-03-01
Fixed
2.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-520.76000000
-0.00011228962
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
235866.39000000
USD
215000.00000000
CHF
2023-04-04
-520.76000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 1.125000% 11/03/2028
92343VFP4
240000.00000000
PA
241878.41000000
0.052155378739
Long
DBT
NUSS
US
N
2
2028-11-03
Fixed
1.12500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 06/26/2023
N/A
366200000.00000000
PA
2752924.83000000
0.593603361081
Long
DBT
NUSS
JP
N
2
2023-06-26
None
0.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 4.500000% 03/23/2028
N/A
101260000.00000000
PA
234465.42000000
0.050556942148
Long
DBT
NUSS
HU
N
2
2028-03-23
Fixed
4.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 7.953000% 11/15/2033
539439AW9
245000.00000000
PA
USD
270999.82000000
0.058434724497
Long
DBT
NUSS
GB
N
2
2033-11-15
Fixed
7.95300000
N
N
N
N
N
N
Balder Finland Oyj
5493007P4MCJM21IB748
BALDER FINLAND OYJ MTN 1.375000% 05/24/2030
N/A
380000.00000000
PA
258838.28000000
0.055812375009
Long
DBT
NUSS
SE
N
2
2030-05-24
Fixed
1.37500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1982.36000000
0.000427449215
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
226379.57000000
USD
365000.00000000
NZD
2023-04-04
1982.36000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-05-24
N/A
1.00000000
NC
2288.98000000
0.000493564592
N/A
DFE
GB
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
745203.35000000
USD
604041.02000000
GBP
2023-05-24
2288.98000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4633.35000000
0.000999072732
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
227818.40000000
USD
188000.00000000
GBP
2023-04-04
4633.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1299.38000000
0.000280180674
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30800000.00000000
JPY
232721.73000000
USD
2023-04-04
1299.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3432.94000000
-0.00074023260
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
740000.00000000
NZD
459547.40000000
USD
2023-04-04
-3432.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3775.67000000
-0.00081413425
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
690000.00000000
AUD
458353.20000000
USD
2023-04-04
-3775.67000000
N
N
N
ALLY FINANCIAL INC.
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC 4.700000% MATURITY: PERPETUAL
02005NBN9
116000.00000000
PA
USD
77372.00000000
0.016683448364
Long
DBT
CORP
US
N
2
2171-08-15
Fixed
4.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-05-02
N/A
1.00000000
NC
USD
13000.63000000
0.002803279472
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
100268000.00000000
JPY
769950.23000000
USD
2023-05-02
13000.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-10953.97000000
-0.00236196547
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
348893.23000000
EUR
368833.52000000
USD
2023-05-11
-10953.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-4175.42000000
-0.00090033092
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
8235000.00000000
SEK
791567.38000000
USD
2023-05-03
-4175.42000000
N
N
N
Kommuninvest i Sverige Aktiebolag
EV2XZWMLLXF2QRX0CD47
KOMMUNINVEST I SVERIGE AB MTN 1.000000% 10/02/2024
N/A
5830000.00000000
PA
540415.08000000
0.116527775975
Long
DBT
NUSS
SE
N
2
2024-10-02
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-9645.93000000
-0.00207991747
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
62200000.00000000
JPY
457706.99000000
USD
2023-04-04
-9645.93000000
N
N
N
BERKSHIRE HATHAWAY INC.,
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC 0.500000% 01/15/2041
N/A
170000.00000000
PA
99588.97000000
0.021474014355
Long
DBT
NUSS
US
N
2
2041-01-15
Fixed
0.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1243.23000000
-0.00026807325
N/A
DFE
NO
N
2
GOLDMAN SACHS & CO
N/A
370952.29000000
USD
3872000.00000000
NOK
2023-04-04
-1243.23000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.375000% 05/15/2048
N/A
13040000000.00000000
PA
892958.88000000
0.192545538003
Long
DBT
NUSS
ID
N
2
2048-05-15
Fixed
7.37500000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 4.625000% MATURITY: PERPETUAL
F1R15XL35
240000.00000000
PA
USD
179366.40000000
0.038676137010
Long
DBT
NUSS
FR
N
2
2171-08-25
Fixed
4.62500000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA 6.250000% 07/15/2027
N/A
663000.00000000
PA
820044.63000000
0.176823298369
Long
DBT
NUSS
AT
N
2
2027-07-15
Fixed
6.25000000
N
N
N
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.800000% 06/02/2048
68323ADZ4
2200000.00000000
PA
1299241.14000000
0.280150732470
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
41137000.00000000
PA
2486446.41000000
0.536143569937
Long
DBT
NUSS
MX
N
2
2036-11-20
Fixed
10.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.000000% 07/22/2028
404280CB3
167000.00000000
PA
184707.43000000
0.039827804257
Long
DBT
NUSS
GB
N
2
2028-07-22
Fixed
3.00000000
N
N
N
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
187500.00000000
0.040429956165
Long
DBT
NUSS
CH
N
2
2049-04-02
Fixed
5.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA MTN 2.000000% 06/05/2025
N/A
440000.00000000
PA
275510.79000000
0.059407408867
Long
DBT
NUSS
FR
N
2
2025-06-05
Fixed
2.00000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.250000% 07/31/2051
N/A
3381000.00000000
PA
2327033.64000000
0.501769962986
Long
DBT
NUSS
GB
N
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
V.F. CORPORATION
CWAJJ9DJ5Z7P057HV541
VF CORP 0.250000% 02/25/2028
918204AX6
395000.00000000
PA
354514.25000000
0.076442643132
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/NOK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1440.05000000
0.000310512844
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2430000.00000000
NOK
233463.04000000
USD
2023-04-04
1440.05000000
N
N
N
N/A
N/A
Credit Default Swap
CD1383744
-2370000.00000000
NC
USD
27442.29000000
0.005917283102
N/A
DCR
XX
N
2
N/A
N/A
Y
2027-12-20
9749.23000000
USD
0.00000000
USD
-2370000.00000000
USD
17693.06000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.000000% 07/30/2042
N/A
944000.00000000
PA
647322.49000000
0.139579839442
Long
DBT
NUSS
ES
N
2
2042-07-30
Fixed
1.00000000
N
N
N
N
N
N
Deutsche Bank AG (New York Branch)
N/A
DEUTSCHE BANK AG/NEW YORK NY 7.079000% 02/10/2034
251526CT4
245000.00000000
PA
USD
227218.46000000
0.048994306014
Long
DBT
NUSS
DE
N
2
2034-02-10
Fixed
7.07900000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-28
N/A
1.00000000
NC
-18084.06000000
-0.00389940134
N/A
DFE
JP
N
2
CITIGROUP GLOBAL MARKETS
N/A
886099.00000000
USD
115057484.00000000
JPY
2023-04-28
-18084.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4989.92000000
-0.00107595864
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
193000.00000000
GBP
233644.06000000
USD
2023-04-04
-4989.92000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
3091000.00000000
PA
594372.02000000
0.128162318476
Long
DBT
NUSS
PL
N
2
2029-10-25
Fixed
2.75000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 2.500000% 05/25/2030
N/A
135000.00000000
PA
145129.95000000
0.031293853422
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
2.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.000000% 04/01/2026
N/A
3907000.00000000
PA
3839754.59000000
0.827952585379
Long
DBT
NUSS
IT
N
2
2026-04-01
Fixed
0.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
418.94000000
0.000090334537
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
33991.76000000
USD
55000.00000000
NZD
2023-04-04
418.94000000
N
N
N
HALEON US CAPITAL LLC
549300N8C3A3L0UVQB07
HALEON US CAPITAL LLC 3.024000% 03/24/2024
36264FAH4
265000.00000000
PA
USD
257612.83000000
0.055548135597
Long
DBT
CORP
US
N
2
2024-03-24
Fixed
3.02400000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 1.897%
N/A
1150000.00000000
NC
104203.63000000
0.022469057030
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
104203.63000000
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-1.00000000
NC
-93220.53000000
-0.02010081035
N/A
DIR
CA
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2023
2023-06-24
-89397.06000000
CAD
-3823.47000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-86.68000000
-0.00001869049
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
34497.38000000
USD
55000.00000000
NZD
2023-04-04
-86.68000000
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 2.000000% 06/15/2029
92826CAS1
362000.00000000
PA
364426.63000000
0.078580014273
Long
DBT
NUSS
US
N
2
2029-06-15
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1147.57000000
0.000247446425
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
720000.00000000
NOK
69895.12000000
USD
2023-04-04
1147.57000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-80.07000000
-0.00001726520
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
69206.23000000
USD
9200000.00000000
JPY
2023-04-04
-80.07000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 04/30/2030
N/A
353000.00000000
PA
321788.66000000
0.069386140897
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
567815.36000000
0.122436000611
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
609861.10000000
0.131502173545
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
12956.29000000
0.002793718596
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
803017.65000000
USD
749597.58000000
EUR
2023-05-11
12956.29000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.700000% 06/22/2050
N/A
250000.00000000
PA
193620.92000000
0.041749788310
Long
DBT
NUSS
BE
N
2
2050-06-22
Fixed
1.70000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2023-05-15
N/A
1.00000000
NC
10623.93000000
0.002290800129
N/A
DFE
SG
N
2
BNP PARIBAS
N/A
819105.33000000
USD
1101381.31000000
SGD
2023-05-15
10623.93000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-2812.97000000
-0.00060655068
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
223334.37000000
EUR
240297.51000000
USD
2023-05-11
-2812.97000000
N
N
N
Japan
N/A
10YR MINI JGB FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-9.00000000
NC
-999609.28000000
-0.21554218332
N/A
DIR
SG
N
1
GOLDMAN, SACHS & CO.
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Jun 2023
2023-06-15
-956904.84000000
JPY
-42704.44000000
N
N
N
Government of the Republic of Korea
N/A
KOREA TREASURY BOND 1.500000% 12/10/2026
N/A
738360000.00000000
PA
532038.92000000
0.114721654473
Long
DBT
NUSS
KR
N
2
2026-12-10
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-16066.42000000
-0.00346434483
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4890000.00000000
SEK
455506.60000000
USD
2023-04-04
-16066.42000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 1.100000% 04/01/2027
N/A
82000.00000000
PA
81425.38000000
0.017557464235
Long
DBT
NUSS
IT
N
2
2027-04-01
Fixed
1.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
3162.01000000
0.000681812937
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
680000.00000000
AUD
458593.36000000
USD
2023-04-04
3162.01000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.550000% 10/31/2032
N/A
1052000.00000000
PA
1076081.83000000
0.232031686490
Long
DBT
NUSS
ES
N
2
2032-10-31
Fixed
2.55000000
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 02/17/2027
N/A
10007000.00000000
PA
913147.95000000
0.196898835150
Long
DBT
NUSS
NO
N
2
2027-02-17
Fixed
1.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3060.38000000
0.000659898822
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
231864.26000000
USD
190000.00000000
GBP
2023-04-04
3060.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-10389.07000000
-0.00224015810
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
14930674.49000000
EUR
16242386.50000000
USD
2023-05-11
-10389.07000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-06-13
N/A
1.00000000
NC
USD
25202.06000000
0.005434230299
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
5488100.00000000
AUD
3709571.43000000
USD
2023-06-13
25202.06000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA-GOV'T 2.000000% 12/01/2051
135087H72
501000.00000000
PA
296068.84000000
0.063840267856
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-405.06000000
-0.00008734164
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30000.00000000
CHF
32433.87000000
USD
2023-04-04
-405.06000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
223.73000000
0.000048242101
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
229648.75000000
USD
210000.00000000
CHF
2023-04-04
223.73000000
N
N
N
MILEAGE PLUS HOLDINGS, LLC
N/A
MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECT 6.500000% 06/20/2027
599191AA1
297496.78700000
PA
USD
296538.85000000
0.063941614436
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.375000% 06/19/2024
N/A
425000.00000000
PA
454604.97000000
0.098024848051
Long
DBT
NUSS
US
N
2
2024-06-19
Fixed
2.37500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2072.58000000
0.000446903032
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
231603.88000000
USD
31100000.00000000
JPY
2023-04-04
2072.58000000
N
N
N
KBC GROEP NV
213800X3Q9LSAKRUWY91
KBC GROUP NV 4.250000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
182288.71000000
0.039306264291
Long
DBT
NUSS
BE
N
2
2171-10-24
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3476.99000000
-0.00074973095
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
620000.00000000
CAD
454645.45000000
USD
2023-04-04
-3476.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-14526.91000000
-0.00313238578
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
9770000.00000000
ZAR
536128.30000000
USD
2023-04-04
-14526.91000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4822.17000000
-0.00103978731
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
375000.00000000
NZD
229796.25000000
USD
2023-04-04
-4822.17000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 0.406000% 10/29/2027
N/A
370000.00000000
PA
350925.76000000
0.075668869834
Long
DBT
NUSS
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
COREBRIDGE FINANCIAL, INC.
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 144A 3.500000% 04/04/2025
21871XAA7
330000.00000000
PA
USD
316993.67000000
0.068352214307
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-14.00000000
NC
USD
-2890343.75000000
-0.62323451261
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2023
2023-07-03
-2886279.92000000
USD
-4063.83000000
N
N
N
European Stability Mechanism
222100W4EEAQ77386N50
EUROPEAN STABILITY MECHANISM MTN 1.000000% 09/23/2025
N/A
570000.00000000
PA
589808.15000000
0.127178227468
Long
DBT
NUSS
XX
N
2
2025-09-23
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-13
N/A
1.00000000
NC
USD
2780.86000000
0.000599626922
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1238498.54000000
AUD
832472.89000000
USD
2023-04-13
2780.86000000
N
N
N
GATWICK FUNDING LIMITED
213800NK8FA3GKS6X167
GATWICK FUNDING LTD MTN 5.250000% 01/23/2024
N/A
100000.00000000
PA
123491.78000000
0.026628092011
Long
DBT
NUSS
GB
N
2
2024-01-23
Fixed
5.25000000
N
N
N
N
N
N
CK Hutchison Group Telecom Finance S.A.
254900OM17Q9YNDIUG82
CK HUTCHISON GROUP TELECOM FINANCE SA 1.500000% 10/17/2031
N/A
330000.00000000
PA
278631.53000000
0.060080322902
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
366558.84000000
0.079039775110
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
390272.37000000
0.084153038995
Long
DBT
NUSS
ES
N
2
2171-04-28
Fixed
1.87400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2023-04-20
N/A
1.00000000
NC
USD
-16380.67000000
-0.00353210544
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4570697899.34000000
COP
961584.14000000
USD
2023-04-20
-16380.67000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3354.12000000
0.000723236931
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
117241.69000000
USD
111000.00000000
EUR
2023-04-04
3354.12000000
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
23220000.00000000
NC
26498.95000000
0.005713874063
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-06-03
0.00000000
CNY
0.00000000
CNY
-23220000.00000000
CNY
26498.95000000
N
N
N
Government of the Republic of Korea
N/A
KOREA TREASURY BOND 3.375000% 06/10/2032
N/A
872000000.00000000
PA
676788.15000000
0.145933414600
Long
DBT
NUSS
KR
N
2
2032-06-10
Fixed
3.37500000
N
N
N
N
N
N
Stadshypotek AB
549300UOX05QGUJJ5707
STADSHYPOTEK AB 0.500000% 07/11/2025
N/A
1470000.00000000
PA
1497092.86000000
0.322812793093
Long
DBT
NUSS
SE
N
2
2025-07-11
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-4642.80000000
-0.00100111040
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
28405000.00000000
JPY
208784.20000000
USD
2023-04-04
-4642.80000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 1.395
N/A
230000.00000000
NC
89665.50000000
0.019334251917
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2047-10-03
0.00000000
GBP
-45557.29000000
GBP
-230000.00000000
GBP
135222.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-05-11
N/A
1.00000000
NC
USD
-18408.79000000
-0.00396942172
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
803761.01000000
EUR
856524.71000000
USD
2023-05-11
-18408.79000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.150000% 03/01/2072
N/A
76000.00000000
PA
47971.58000000
0.010343940675
Long
DBT
NUSS
IT
N
2
2072-03-01
Fixed
2.15000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-87404.37000000
-0.01884669252
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
46345207.36000000
USD
6156451000.00000000
JPY
2023-04-04
-87404.37000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
557.74000000
0.000120263486
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
34062.73000000
USD
28000.00000000
GBP
2023-04-04
557.74000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-13
N/A
1.00000000
NC
18493.61000000
0.003987711155
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
1701594.86000000
USD
2567611.81000000
AUD
2023-04-13
18493.61000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
147799.81000000
0.031869545810
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
68074661.43000000
USD
62794000.00000000
EUR
2023-04-04
147799.81000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2023-05-03
N/A
1.00000000
NC
703.98000000
0.000151796696
N/A
DFE
RO
N
2
BARCLAYS CAPITAL INC.
N/A
522379.80000000
USD
2383000.00000000
RON
2023-05-03
703.98000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 6.161000% 03/09/2029
404280DU0
235000.00000000
PA
USD
241603.42000000
0.052096083626
Long
DBT
NUSS
GB
N
2
2029-03-09
Fixed
6.16100000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 2.0055
N/A
828000.00000000
NC
72259.11000000
0.015580974132
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2027-05-11
0.00000000
GBP
0.00000000
GBP
-828000.00000000
GBP
72259.11000000
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
219633.04000000
0.047358688957
Long
DBT
NUSS
GB
N
2
2024-10-03
Fixed
0.87500000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.230000% 01/10/2025
N/A
11360000.00000000
PA
1671801.33000000
0.360484557273
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
197455.97000000
0.042576726462
Long
DBT
NUSS
DE
N
2
2026-02-23
Fixed
2.00000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 05/31/2025
N/A
1411000.00000000
PA
1440166.47000000
0.310537958680
Long
DBT
NUSS
ES
N
2
2025-05-31
Fixed
0.00000000
N
N
N
N
N
N
MILLER HOMES GROUP (FINCO) PLC
98450057058CDE2E9650
CASTLE UK FINCO PLC 144A VARIABLE RATE 05/15/2028
BW1049400
100000.00000000
PA
90175.24000000
0.019444165335
Long
DBT
NUSS
GB
N
2
2028-05-15
Floating
7.90400160
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-28
N/A
1.00000000
NC
USD
10424.46000000
0.002247789124
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
109663209.00000000
JPY
837744.00000000
USD
2023-04-28
10424.46000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-04-04
N/A
1.00000000
NC
6365.41000000
0.001372550652
N/A
DFE
MX
N
2
GOLDMAN SACHS & CO
N/A
2498563.70000000
USD
45229000.00000000
MXN
2023-04-04
6365.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
28468.44000000
0.006138548166
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
5764000.00000000
AUD
3888918.92000000
USD
2023-04-04
28468.44000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-59.00000000
NC
-6775099.68000000
-1.46089057641
N/A
DIR
DE
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
Germany Govt. Bond Futures
Euro-Schatz Future Jun 2023
2023-06-11
-6554681.80000000
EUR
-220417.88000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 01/31/2026
N/A
770000.00000000
PA
771731.69000000
0.166405751455
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
1214000.00000000
PA
562718.41000000
0.121336963464
Long
DBT
NUSS
NZ
N
2
2051-05-15
Fixed
2.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-6048.97000000
-0.00130431782
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
350177.00000000
USD
45800000.00000000
JPY
2023-04-04
-6048.97000000
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 2.200000% 06/15/2027
02209SAY9
330000.00000000
PA
329373.29000000
0.071021587608
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
2.20000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1299.61000000
-0.00028023026
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
70425.77000000
USD
9200000.00000000
JPY
2023-04-04
-1299.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
7494.34000000
0.001615977800
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
5032000.00000000
NOK
487963.35000000
USD
2023-04-04
7494.34000000
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO 5.000000% 02/27/2026
532457CE6
590000.00000000
PA
USD
595330.59000000
0.128369011506
Long
DBT
CORP
US
N
2
2026-02-27
Fixed
5.00000000
N
N
N
N
N
N
CPUK FINANCE LIMITED
6354003CVDDPNXREIR29
CPUK FINANCE LTD MTN 3.588000% 08/28/2025
N/A
215000.00000000
PA
251200.60000000
0.054165489315
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
217764.72000000
0.046955829780
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
212363.79000000
0.045791246510
Long
DBT
NUSS
FR
N
2
2024-02-03
Fixed
0.62500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-20
N/A
1.00000000
NC
449.52000000
0.000096928394
N/A
DFE
NZ
N
2
BNP PARIBAS
N/A
789811.16000000
USD
1263362.31000000
NZD
2023-04-20
449.52000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TRY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
8.37000000
0.000001804793
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
110000.00000000
TRY
5739.03000000
USD
2023-04-04
8.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-11540.80000000
-0.00248850153
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
61800000.00000000
JPY
452806.63000000
USD
2023-04-04
-11540.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-920.81000000
-0.00019855097
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
740000.00000000
SEK
70441.98000000
USD
2023-04-04
-920.81000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2033
N/A
874000.00000000
PA
938455.87000000
0.202355891664
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
1246308.11000000
0.268736972029
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
294326.29000000
0.063464528015
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
408765.47000000
0.088140640180
Long
DBT
NUSS
ES
N
2
2025-11-07
Fixed
0.62500000
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
309764.35000000
0.066793381824
Long
DBT
NUSS
FR
N
2
2024-12-11
Fixed
0.37500000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 1.985000% 07/13/2033
BQ4140563
320000.00000000
PA
239352.48000000
0.051610721463
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
625565.44000000
0.134888444360
Long
DBT
NUSS
BE
N
2
2034-06-22
Fixed
3.00000000
N
N
N
N
N
N
NATIONAL GRID NORTH AMERICA INC
5Q3U0WRKWZZGRMPYFT08
NATIONAL GRID NORTH AMERICA INC MTN 1.000000% 07/12/2024
N/A
300000.00000000
PA
314472.15000000
0.067808507944
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
203702.51000000
0.043923645600
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
284361.10000000
0.061315769643
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
302041.39000000
0.065128107508
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1052.38000000
0.000226920945
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
70661.46000000
USD
58000.00000000
GBP
2023-04-04
1052.38000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2166.39000000
-0.00046713094
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
370000.00000000
NZD
229323.78000000
USD
2023-04-04
-2166.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CLP SETTLE 2023-05-17
N/A
1.00000000
NC
USD
-14941.89000000
-0.00322186644
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
695917342.00000000
CLP
861447.00000000
USD
2023-05-17
-14941.89000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.750000% 05/25/2053
N/A
691000.00000000
PA
398085.31000000
0.085837715377
Long
DBT
NUSS
FR
N
2
2053-05-25
Fixed
0.75000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 4.880000% 02/09/2028
N/A
10600000.00000000
PA
1678050.78000000
0.361832103884
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
823967.95000000
0.177669269866
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
361152.94000000
0.077874120176
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
459650.10000000
0.099112711436
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
76035.36000000
0.016395233449
Long
DBT
NUSS
US
N
2
2049-09-18
Fixed
1.80000000
N
N
N
N
N
N
VOLKSWAGEN FINANCIAL SERVICES AKTIENGESELLSCHAFT
529900USFSZYPS075O24
VOLKSWAGEN FINANCIAL SERVICES AG MTN 0.875000% 01/31/2028
N/A
150000.00000000
PA
139817.57000000
0.030148363873
Long
DBT
NUSS
DE
N
2
2028-01-31
Fixed
0.87500000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.500000% 04/30/2045
N/A
1034000.00000000
PA
678822.92000000
0.146372164797
Long
DBT
NUSS
IT
N
2
2045-04-30
Fixed
1.50000000
N
N
N
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 1.250000% 01/11/2027
N/A
300000.00000000
PA
300673.38000000
0.064833128391
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
200993.01000000
0.043339405780
Long
DBT
NUSS
US
N
2
2171-05-01
Fixed
2.87500000
N
N
N
N
N
N
Oesterreichische Kontrollbank Aktiengesellschaft
5299000OVRLMF858L016
OESTERREICHISCHE KONTROLLBANK 0% CP 28/04/2023 COMMERCIAL PAPER (ISITC)
67616SRU9
1300000.00000000
PA
USD
1295117.34000000
0.279261532186
Long
ABS-APCP
US
N
2
2023-04-28
None
0.00000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-262.37000000
-0.00005657390
N/A
DFE
PA
N
2
MORGAN STANLEY & CO, INC
N/A
610979.52000000
USD
2631000.00000000
PLN
2023-04-04
-262.37000000
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 5.294000% 08/18/2027
05964HAS4
200000.00000000
PA
USD
196848.55000000
0.042445750654
Long
DBT
NUSS
ES
N
2
2027-08-18
Fixed
5.29400000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1018.31000000
0.000219574552
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
234327.32000000
USD
215000.00000000
CHF
2023-04-04
1018.31000000
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
49707.47000000
0.010718244443
Long
DBT
NUSS
GB
N
2
2052-09-09
Fixed
2.25000000
N
N
N
N
N
N
AGRICULTURAL DEVELOPMENT BANK OF CHINA
300300C1020311000158
AGRICUL DEV BANK CHINA 3.740000% 07/12/2029
N/A
8500000.00000000
PA
1289415.88000000
0.278032146704
Long
DBT
NUSS
CN
N
2
2029-07-12
Fixed
3.74000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/BRL SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-28547.91000000
-0.00615568399
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8499553.98000000
BRL
1639938.25000000
USD
2023-05-03
-28547.91000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2023-04-26
N/A
1.00000000
NC
581.36000000
0.000125356583
N/A
DFE
KR
N
2
CITIGROUP GLOBAL MARKETS
N/A
827882.00000000
USD
1077890436.00000000
KRW
2023-04-26
581.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/TWD SETTLE 2023-06-15
N/A
1.00000000
NC
USD
-3096.60000000
-0.00066770881
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
25580074.00000000
TWD
842031.47000000
USD
2023-06-15
-3096.60000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
4914.58000000
0.001059713354
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
492318.48000000
USD
456785.05000000
EUR
2023-05-11
4914.58000000
N
N
N
N/A
N/A
Credit Default Swap
CD1386709
2370000.00000000
NC
USD
-27442.29000000
-0.00591728310
N/A
DCR
XX
N
2
N/A
N/A
Y
2027-12-20
0.00000000
USD
-14824.53000000
USD
2370000.00000000
USD
-12617.76000000
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 1.250000% 01/15/2026
91324PDW9
175000.00000000
PA
USD
160601.27000000
0.034629878966
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 04/25/2032
N/A
2453000.00000000
PA
403191.54000000
0.086938753537
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 2.013000% 09/22/2028
404280CL1
350000.00000000
PA
USD
299823.69000000
0.064649912767
Long
DBT
NUSS
GB
N
2
2028-09-22
Fixed
2.01300000
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
206865.05000000
0.044605572819
Long
DBT
NUSS
FR
N
2
2048-09-27
Fixed
4.75000000
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
199272.15000000
0.042968342876
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
3792.86000000
0.000817840872
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1073718913.00000000
KRW
829050.00000000
USD
2023-04-26
3792.86000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANC 0.500000% 05/06/2025
N/A
1066000.00000000
PA
1087646.88000000
0.234525416968
Long
DBT
NUSS
CA
N
2
2025-05-06
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-05-22
N/A
1.00000000
NC
USD
56117.49000000
0.012100414190
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
90159050.00000000
THB
2707072.51000000
USD
2023-05-22
56117.49000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.620000% 09/25/2029
N/A
37340000.00000000
PA
5365026.26000000
1.156841474755
Long
DBT
NUSS
CN
N
2
2029-09-25
Fixed
2.62000000
N
N
N
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/25/2030
N/A
200000.00000000
PA
189985.98000000
0.040965999164
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
633258.32000000
0.136547232633
Long
DBT
NUSS
AT
N
2
2031-02-20
Fixed
0.00000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-13
N/A
1.00000000
NC
400.17000000
0.000086287229
N/A
DFE
AU
N
2
BROWN BROTHERS HARRIMAN & CO.
N/A
53760.89000000
USD
80847.34000000
AUD
2023-04-13
400.17000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
2225000000.00000000
PA
148847.74000000
0.032095507218
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
208039.60000000
0.044858836845
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
25998.08000000
0.005605873252
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.250000% 07/09/2036
N/A
481100000.00000000
PA
64986.35000000
0.014012774836
Long
DBT
NUSS
CO
N
2
2036-07-09
Fixed
6.25000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
2.00000000
NC
USD
282250.00000000
0.060860560680
N/A
DIR
US
N
1
GOLDMAN SACHS & CO
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2023
2023-06-24
279066.36000000
USD
3183.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-05-25
N/A
1.00000000
NC
USD
-35455.45000000
-0.00764513220
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
22181458.75000000
MXN
1181010.66000000
USD
2023-05-25
-35455.45000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-21.00000000
NC
-3099247.08000000
-0.66827959247
N/A
DIR
DE
N
1
GOLDMAN SACHS & CO
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Jun 2023
2023-06-11
-3104411.17000000
EUR
5164.09000000
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
9770.21160000
PA
USD
9842.66000000
0.002122337665
Long
DBT
USGA
US
N
2
2024-11-25
Floating
9.84529080
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-751.27000000
-0.00016199367
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
155000.00000000
CAD
113779.34000000
USD
2023-04-04
-751.27000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-63.00000000
-0.00001358446
N/A
DFE
NO
N
2
GOLDMAN SACHS & CO
N/A
34436.78000000
USD
360000.00000000
NOK
2023-04-04
-63.00000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.500000% 03/01/2030
N/A
527000.00000000
PA
564073.16000000
0.121629083374
Long
DBT
NUSS
IT
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
8.57000000
0.000001847918
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
194424.00000000
KRW
158.00000000
USD
2023-04-26
8.57000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
4105000.00000000
PA
375745.21000000
0.081020599304
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-04-27
N/A
1.00000000
NC
20901.18000000
0.004506846886
N/A
DFE
PA
N
2
DEUTSCHE BANK SECURITIES, INC.
N/A
865465.13000000
USD
3822876.30000000
PLN
2023-04-27
20901.18000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
5146.15000000
0.001109645967
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
469095.88000000
USD
758000.00000000
NZD
2023-04-04
5146.15000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.500000% 09/15/2027
N/A
510000.00000000
PA
499117.69000000
0.107622967082
Long
DBT
NUSS
DE
N
2
2027-09-15
Fixed
0.50000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-3589.13000000
-0.00077391129
N/A
DFE
MY
N
2
SCB SECURITIES
N/A
1976167.03000000
USD
8704000.00000000
MYR
2023-04-04
-3589.13000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.300000% 12/15/2024
171239AE6
190000.00000000
PA
194430.71000000
0.041924400439
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.30000000
N
N
N
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2023-06-15
N/A
1.00000000
NC
-5859.36000000
-0.00126343289
N/A
DFE
TW
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
823772.04000000
USD
24756327.00000000
TWD
2023-06-15
-5859.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HKD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
88.79000000
0.000019145470
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
465000.00000000
HKD
59324.84000000
USD
2023-04-04
88.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
23290.35000000
0.005022015091
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
548459915.00000000
KRW
444835.00000000
USD
2023-04-26
23290.35000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 3.250000% 07/04/2042
N/A
840000.00000000
PA
1023709.79000000
0.220738890322
Long
DBT
NUSS
DE
N
2
2042-07-04
Fixed
3.25000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2031
135087M27
268000.00000000
PA
178368.97000000
0.038461064737
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
676136.37000000
0.145792873604
Long
DBT
NUSS
NL
N
2
2027-01-15
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-630.63000000
-0.00013598049
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
315000.00000000
CAD
232251.21000000
USD
2023-05-03
-630.63000000
N
N
N
PINEWOOD FINCO PLC
984500EF3F7CA63ND769
PINEWOOD FINANCE CO LTD 144A 3.625000% 11/15/2027
N/A
170000.00000000
PA
186286.39000000
0.040168269769
Long
DBT
NUSS
GB
N
2
2027-11-15
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-04-21
N/A
1.00000000
NC
USD
-11438.49000000
-0.00246644079
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8801268.15000000
NOK
829745.50000000
USD
2023-04-21
-11438.49000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 05/31/2024
N/A
1971000.00000000
PA
2069281.26000000
0.446191736720
Long
DBT
NUSS
ES
N
2
2024-05-31
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-7320.69000000
-0.00157853427
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
460000.00000000
CAD
332576.60000000
USD
2023-04-04
-7320.69000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.390000% 07/10/2027
N/A
16630000.00000000
PA
2466477.18000000
0.531837676105
Long
DBT
NUSS
CN
N
2
2027-07-10
Fixed
3.39000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2023-05-22
N/A
1.00000000
NC
USD
61890.19000000
0.013345160900
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
8581400.00000000
ILS
2450225.42000000
USD
2023-05-22
61890.19000000
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
204252.36000000
0.044042207794
Long
DBT
NUSS
IT
N
2
2047-12-14
Fixed
4.25000000
N
N
N
N
N
N
AUST 10Y BOND FUT JUN23
N/A
AUST 10Y BOND FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
23.00000000
NC
1892978.92000000
0.408176292038
Long
AU
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
1441.65000000
0.000310857846
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4490000.00000000
NOK
430159.03000000
USD
2023-04-04
1441.65000000
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 4.000000% 11/12/2025
N/A
350000.00000000
PA
384015.99000000
0.082803998092
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
420280.92000000
0.090623675587
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
610652.52000000
0.131672824617
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
111646.57000000
0.024073951632
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
12933000.00000000
PA
368867.66000000
0.079537617730
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
638224.26000000
0.137618020561
Long
DBT
NUSS
CA
N
2
2032-06-01
Fixed
6.25000000
N
N
N
N
N
N
AUST 10Y BOND FUT JUN23
N/A
AUST 10Y BOND FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
6.00000000
NC
493820.59000000
0.106480772304
Long
AU
N
1
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
11907200.00000000
PA
594707.14000000
0.128234579206
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.375000% 10/22/2026
N/A
1778000.00000000
PA
1963096.49000000
0.423295493539
Long
DBT
NUSS
GB
N
2
2026-10-22
Fixed
0.37500000
N
N
N
N
N
N
Regal Rexnord Corporation
QH78R09VCJGQKPBPYU33
REGAL REXNORD CORP 144A 6.400000% 04/15/2033
758750AF0
100000.00000000
PA
USD
100061.78000000
0.021575964689
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
6.40000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2943.02000000
0.000634592904
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
228547.15000000
USD
370000.00000000
NZD
2023-04-04
2943.02000000
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
169733.19000000
0.036598962301
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
655221.49000000
0.141283072635
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
6089.55000000
0.001313067944
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
232544.43000000
USD
193000.00000000
GBP
2023-04-04
6089.55000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-2561.67000000
-0.00055236376
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
375000.00000000
NZD
232056.75000000
USD
2023-04-04
-2561.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-465.00000000
-0.00010026629
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1562000.00000000
RON
342404.02000000
USD
2023-05-03
-465.00000000
N
N
N
Land Nordrhein-Westfalen
529900VWPV1LPOHGJ702
STATE OF NORTH RHINE-WESTPHALIA GERMANY MTN 2.000000% 06/15/2032
N/A
515000.00000000
PA
515867.26000000
0.111234617113
Long
DBT
NUSS
DE
N
2
2032-06-15
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
7020.69000000
0.001513846341
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
61400000.00000000
JPY
468362.64000000
USD
2023-04-04
7020.69000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/19/2027
N/A
300000.00000000
PA
301497.34000000
0.065010795947
Long
DBT
NUSS
FR
N
2
2027-05-19
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-610.01000000
-0.00013153428
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
5745000.00000000
SEK
553415.96000000
USD
2023-04-04
-610.01000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
299.68000000
0.000064618929
N/A
DFE
AU
N
2
BARCLAYS CAPITAL INC.
N/A
3860150.80000000
USD
5764000.00000000
AUD
2023-04-04
299.68000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA-GOV'T WI 2.750000% 09/01/2027
BW4098800
881000.00000000
PA
641961.17000000
0.138423797135
Long
DBT
NUSS
CA
N
2
2027-09-01
Fixed
2.75000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.625000% 10/22/2050
N/A
524000.00000000
PA
296746.48000000
0.063986384952
Long
DBT
NUSS
GB
N
2
2050-10-22
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
4718.99000000
0.001017538980
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30200000.00000000
JPY
231633.11000000
USD
2023-04-04
4718.99000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.500000% 05/25/2040
N/A
696000.00000000
PA
491804.31000000
0.106046009040
Long
DBT
NUSS
FR
N
2
2040-05-25
Fixed
0.50000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.400000% 05/23/2034
N/A
110000.00000000
PA
112697.33000000
0.024300523263
Long
DBT
NUSS
AT
N
2
2034-05-23
Fixed
2.40000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2506.53000000
0.000540474122
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
223978.45000000
USD
362000.00000000
NZD
2023-04-04
2506.53000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
480350000.00000000
PA
4059533.17000000
0.875342656608
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.750000% 07/15/2027
N/A
511000.00000000
PA
514703.02000000
0.110983576195
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
404480.35000000
0.087216655040
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/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
4653.94000000
0.001003512481
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30200000.00000000
JPY
231568.06000000
USD
2023-04-04
4653.94000000
N
N
N
Samhallsbyggnadsbolaget i Norden AB
549300HX9MRFY47AH564
SAMHALLSBYGGNADSBOLAGET I NORDEN AB MTN 1.125000% 09/04/2026
N/A
140000.00000000
PA
109514.03000000
0.023614119639
Long
DBT
NUSS
SE
N
2
2026-09-04
Fixed
1.12500000
N
N
N
N
N
N
Government of the Republic of Korea
N/A
KOREA TREASURY BOND 2.625000% 09/10/2035
N/A
700180000.00000000
PA
497676.79000000
0.107312270955
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/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-859.35000000
-0.00018529857
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
4700000.00000000
JPY
34455.10000000
USD
2023-04-04
-859.35000000
N
N
N
WELLTOWER OP LLC
T6IZ0MBEG5ACZDTR7D06
WELLTOWER OP LLC 4.500000% 12/01/2034
95040QAB0
140000.00000000
PA
149029.02000000
0.032134595978
Long
DBT
NUSS
US
N
2
2034-12-01
Fixed
4.50000000
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2023-05-17
N/A
1.00000000
NC
37538.47000000
0.008094286381
N/A
DFE
CL
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
1672169.00000000
USD
1357633682.00000000
CLP
2023-05-17
37538.47000000
N
N
N
MCKESSON CORPORATION
549300WZWOM80UCFSF54
MCKESSON CORP 3.125000% 02/17/2029
581557BH7
315000.00000000
PA
347245.08000000
0.074875217935
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/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-996.55000000
-0.00021488252
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
730000.00000000
SEK
69401.88000000
USD
2023-04-04
-996.55000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.000000% 06/22/2031
N/A
490000.00000000
PA
461576.24000000
0.099528038133
Long
DBT
NUSS
BE
N
2
2031-06-22
Fixed
1.00000000
N
N
N
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.750000% 09/22/2046
N/A
100000.00000000
PA
75848.51000000
0.016354943650
Long
DBT
NUSS
GB
N
2
2046-09-22
Fixed
2.75000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP 1.950000% 10/18/2024
026657AR7
159000.00000000
PA
168569.40000000
0.036348018414
Long
DBT
NUSS
US
N
2
2024-10-18
Fixed
1.95000000
N
N
N
N
N
N
ELMWOOD CLO
N/A
ELMWOOD CLO XII LTD ELM12 2021-5A D
29002YAG7
750000.00000000
PA
USD
699332.25000000
0.150794518466
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-20
Floating
7.85770920
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1127.09000000
-0.00024303039
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
57000.00000000
GBP
69350.30000000
USD
2023-04-04
-1127.09000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2922.71000000
0.000630213531
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
113327.30000000
USD
107000.00000000
EUR
2023-04-04
2922.71000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 1.250000% 08/15/2048
N/A
1335000.00000000
PA
1156811.45000000
0.249439126479
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
4769000.00000000
PA
3530649.01000000
0.761301251780
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
1703016.08000000
0.367215282469
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
5462.04000000
0.001177760201
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1855000.00000000
CNY
275766.72000000
USD
2023-04-13
5462.04000000
N
N
N
Japan
N/A
10YR MINI JGB FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-44.00000000
NC
-4886978.74000000
-1.05376179327
N/A
DIR
SG
N
1
GOLDMAN SACHS & CO
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Jun 2023
2023-06-15
-4779962.71000000
JPY
-107016.03000000
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
194725.50000000
0.041987964955
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.87500000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
33839.46180000
PA
USD
33778.71000000
0.007283582744
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
10790000.00000000
PA
1581390.19000000
0.340989525662
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
1502000.00000000
PA
320215.79000000
0.069046988549
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
207215.76000000
0.044681195165
Long
DBT
NUSS
FR
N
2
2172-01-29
Fixed
5.37500000
N
N
N
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 5.875000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
191031.15000000
0.041191365443
Long
DBT
NUSS
ES
N
2
2172-01-09
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3651.78000000
-0.00078742029
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2470000.00000000
SEK
234545.63000000
USD
2023-04-04
-3651.78000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 5.500000% 01/31/2042
N/A
675000.00000000
PA
223573.93000000
0.048208449011
Long
DBT
NUSS
IL
N
2
2042-01-31
Fixed
5.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1436.38000000
-0.00030972149
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
70562.54000000
USD
9200000.00000000
JPY
2023-04-04
-1436.38000000
N
N
N
KBC GROEP NV
213800X3Q9LSAKRUWY91
KBC GROUP NV 144A 5.796000% 01/19/2029
48241FAB0
202000.00000000
PA
USD
203229.37000000
0.043821624109
Long
DBT
NUSS
BE
N
2
2029-01-19
Fixed
5.79600000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.850000% 07/30/2035
N/A
695000.00000000
PA
634150.97000000
0.136739711569
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
42693.33000000
0.009205810455
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1016854961.00000000
KRW
824245.00000000
USD
2023-04-26
42693.33000000
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.500000% 04/30/2042
N/A
408000.00000000
PA
467367.79000000
0.100776849401
Long
DBT
NUSS
CH
N
2
2042-04-30
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-06-05
N/A
1.00000000
NC
USD
-15397.66000000
-0.00332014250
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
28221700.00000000
CNY
4119655.50000000
USD
2023-06-05
-15397.66000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2151.46000000
0.000463911645
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
227721.02000000
USD
210000.00000000
CHF
2023-04-04
2151.46000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.250000% 05/20/2027
20030NDB4
190000.00000000
PA
180518.41000000
0.038924540817
Long
DBT
NUSS
US
N
2
2027-05-20
Fixed
0.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2211.00000000
0.000476750043
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
226150.93000000
USD
365000.00000000
NZD
2023-04-04
2211.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-393.39000000
-0.00008482528
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
783000.00000000
CNY
113549.73000000
USD
2023-04-04
-393.39000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-968.44000000
-0.00020882126
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
210000.00000000
CHF
228904.04000000
USD
2023-04-04
-968.44000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
5426.83000000
0.001170167994
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
226063.34000000
USD
370000.00000000
NZD
2023-04-04
5426.83000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-560.45000000
-0.00012084783
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
787000.00000000
CNY
113964.75000000
USD
2023-04-04
-560.45000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1169.93000000
-0.00025226783
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
229586.79000000
USD
30400000.00000000
JPY
2023-04-04
-1169.93000000
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 3.500000% 04/06/2028
N/A
300000.00000000
PA
331583.52000000
0.071498171619
Long
DBT
NUSS
ES
N
2
2028-04-06
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-13
N/A
1.00000000
NC
USD
227023.44000000
0.048952254547
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
7670863.56000000
AUD
5365870.32000000
USD
2023-04-13
227023.44000000
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
255667.81000000
0.055128737872
Long
DBT
NUSS
US
N
2
2028-08-13
Fixed
0.33400000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC MTN 0.500000% 10/08/2027
N/A
505000.00000000
PA
481888.39000000
0.103907874582
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/MXN SETTLE 2023-06-13
N/A
1.00000000
NC
USD
-5922.08000000
-0.00127695698
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
89015400.00000000
MXN
4857810.83000000
USD
2023-06-13
-5922.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
854.18000000
0.000184183786
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
9200000.00000000
JPY
69980.34000000
USD
2023-04-04
854.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-20
N/A
1.00000000
NC
USD
-4761.86000000
-0.00102678288
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1327970.94000000
NZD
825912.93000000
USD
2023-04-20
-4761.86000000
N
N
N
NATIONAL GRID ELECTRICITY DISTRIBUTION (WEST MIDLANDS) PLC
549300L22M2RCLXON143
NATIONAL GRID ELECTRICITY DISTRIBUTION WEST MIDLAN 3.875000% 10/17/2024
N/A
230000.00000000
PA
277851.90000000
0.059912214066
Long
DBT
NUSS
GB
N
2
2024-10-17
Fixed
3.87500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 2.500000% 07/22/2065
N/A
993000.00000000
PA
922376.15000000
0.198888678998
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
84319.72000000
0.018181560445
Long
DBT
NUSS
ES
N
2
2028-10-15
Fixed
3.87500000
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
730946.61000000
0.157611410140
Long
DBT
NUSS
PT
N
2
2027-10-15
Fixed
0.70000000
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
409950.03000000
0.088396062628
Long
DBT
NUSS
KR
N
2
2025-04-27
Fixed
0.82900000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 6-MONTH EURIBOR
N/A
3720000.00000000
NC
-367262.58000000
-0.07919152005
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2032-08-18
0.00000000
EUR
0.00000000
EUR
-3720000.00000000
EUR
-367262.58000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
9424.57000000
0.002032186410
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
342217.18000000
USD
46800000.00000000
JPY
2023-04-04
9424.57000000
N
N
N
Republika Slovenija
485100000LWQHIX4XX88
REPUBLIKA SLOVENIJA 1.250000% 03/22/2027
N/A
556000.00000000
PA
565465.71000000
0.121929353963
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/RON SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-9983.78000000
-0.00215276686
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2713000.00000000
RON
585788.93000000
USD
2023-04-04
-9983.78000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-04-04
N/A
1.00000000
NC
473.18000000
0.000102030115
N/A
DFE
GB
N
2
GOLDMAN SACHS & CO
N/A
34147.29000000
USD
28000.00000000
GBP
2023-04-04
473.18000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA MTN 6.875000% 03/11/2031
R8412TAC6
185000.00000000
PA
262497.93000000
0.056601492284
Long
DBT
NUSS
NO
N
2
2031-03-11
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-04-26
N/A
1.00000000
NC
USD
28355.68000000
0.006114234130
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
1056723250.00000000
KRW
840550.00000000
USD
2023-04-26
28355.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-21
N/A
1.00000000
NC
USD
1846.64000000
0.000398184396
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
8910844.77000000
SEK
862183.65000000
USD
2023-04-21
1846.64000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 4.750000% 11/24/2032
N/A
65060000.00000000
PA
140606.70000000
0.030318521160
Long
DBT
NUSS
HU
N
2
2032-11-24
Fixed
4.75000000
N
N
N
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
758454.92000000
0.163542928900
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
201597.29000000
0.043469704521
Long
DBT
NUSS
NZ
N
2
2029-04-20
Fixed
3.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3887.51000000
0.000838249914
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
355727.02000000
USD
331000.00000000
EUR
2023-04-04
3887.51000000
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 4.375000% 09/14/2029
N/A
100000.00000000
PA
117282.29000000
0.025289161832
Long
DBT
CORP
US
N
2
2029-09-14
Fixed
4.37500000
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.250000% 09/17/2031
N/A
14924000.00000000
PA
1242329.56000000
0.267879091485
Long
DBT
NUSS
NO
N
2
2031-09-17
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-41.90000000
-0.00000903474
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
806000.00000000
AUD
539778.20000000
USD
2023-04-04
-41.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-35393.18000000
-0.00763170515
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
26299000.00000000
CNY
3791669.40000000
USD
2023-04-04
-35393.18000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1282.19000000
0.000276474055
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
69868.81000000
USD
65000.00000000
CHF
2023-04-04
1282.19000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 5.000000% 03/28/2035
N/A
64000.00000000
PA
82472.76000000
0.017783307048
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/PLN SETTLE 2023-04-04
N/A
1.00000000
NC
USD
3.49000000
0.000000752536
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
35000.00000000
PLN
8127.82000000
USD
2023-04-04
3.49000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-04-21
N/A
1.00000000
NC
-17434.48000000
-0.00375933473
N/A
DFE
NO
N
2
BNP PARIBAS
N/A
842667.72000000
USD
8634376.13000000
NOK
2023-04-21
-17434.48000000
N
N
N
United States of America
N/A
US LONG BOND(CBT) JUN23 FINANCIAL COMMODITY FUTURE.
N/A
21.00000000
NC
USD
2754281.25000000
0.593895841088
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Jun 2023
2023-06-24
2652010.19000000
USD
102271.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-06-26
N/A
1.00000000
NC
USD
503.40000000
0.000108546346
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
366200000.00000000
JPY
2787212.89000000
USD
2023-06-26
503.40000000
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
58983.12000000
0.012718319765
Long
DBT
NUSS
CA
N
2
2023-09-11
Fixed
4.70000000
N
N
N
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 2.300000% 03/19/2026
25159MAG2
180000000.00000000
PA
1435855.74000000
0.309608451347
Long
DBT
NUSS
JP
N
2
2026-03-19
Fixed
2.30000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN 30 YEAR ISSUE .30% 06/20/2046
N/A
74600000.00000000
PA
465979.55000000
0.100477508161
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
135675.67000000
0.029255260750
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
121853.04000000
0.026274736350
Long
DBT
NUSS
IT
N
2
2171-10-13
Fixed
3.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-527.10000000
-0.00011365669
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
840000.00000000
CHF
918962.80000000
USD
2023-04-04
-527.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-359.19000000
-0.00007745085
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
370000.00000000
SEK
35322.20000000
USD
2023-04-04
-359.19000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-916.96000000
-0.00019772081
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2713000.00000000
RON
594603.94000000
USD
2023-05-03
-916.96000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028
92343VGH1
445000.00000000
PA
USD
396415.42000000
0.085477642953
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
2140.33000000
0.000461511723
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
173864.36000000
USD
162000.00000000
EUR
2023-04-04
2140.33000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 2.875000% 01/12/2033
N/A
1015000.00000000
PA
1090780.45000000
0.235201097489
Long
DBT
NUSS
XX
N
2
2033-01-12
Fixed
2.87500000
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
162682.22000000
0.035078586791
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
144752.78000000
0.031212525600
Long
DBT
NUSS
KR
N
2
2026-06-29
Fixed
0.01000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 10/15/2026
91282CDC2
1550000.00000000
PA
USD
1629350.10000000
0.351330949977
Long
DBT
USGA
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-6480.33000000
-0.00139733044
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2341000.00000000
ILS
643680.06000000
USD
2023-04-04
-6480.33000000
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
259856.61000000
0.056031953874
Long
DBT
NUSS
XX
N
2
2027-01-15
Fixed
0.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
5655.36000000
0.001219445103
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
1756700.29000000
USD
1610000.00000000
CHF
2023-04-04
5655.36000000
N
N
N
TIME WARNER CABLE, LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 5.750000% 06/02/2031
88732JAZ1
295000.00000000
PA
351019.25000000
0.075689028750
Long
DBT
NUSS
US
N
2
2031-06-02
Fixed
5.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4041.92000000
0.000871544791
N/A
DFE
NZ
N
2
GOLDMAN SACHS & CO
N/A
227448.25000000
USD
370000.00000000
NZD
2023-04-04
4041.92000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 06/25/2039
N/A
256000.00000000
PA
231259.15000000
0.049865585585
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
453212.45000000
0.097724583930
Long
DBT
CORP
US
N
2
2025-02-17
Fixed
4.05000000
N
N
N
N
N
N
KommuneKredit
529900D8QLTZ6PRLJL76
KOMMUNEKREDIT MTN 0.125000% 09/26/2040
N/A
275000.00000000
PA
175869.38000000
0.037922087062
Long
DBT
NUSS
DK
N
2
2040-09-26
Fixed
0.12500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-1126.59000000
-0.00024292258
N/A
DFE
TH
N
2
BARCLAYS CAPITAL INC.
N/A
1540942.35000000
USD
52654000.00000000
THB
2023-04-04
-1126.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-26
N/A
1.00000000
NC
USD
103458.51000000
0.022308389462
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
2395405523.00000000
JPY
18168758.99000000
USD
2023-04-26
103458.51000000
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 3.375000% 01/23/2026
N/A
490000.00000000
PA
573809.59000000
0.123728515044
Long
DBT
NUSS
FR
N
2
2026-01-23
Fixed
3.37500000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
1629.77000000
0.000351421491
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
68768.66000000
USD
730000.00000000
SEK
2023-04-04
1629.77000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.400000% 04/30/2028
N/A
978000.00000000
PA
984842.80000000
0.212358139912
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
1196563.48000000
0.258010714907
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 6-MONTH EURIBOR
N/A
7610000.00000000
NC
-501400.60000000
-0.10811522282
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2027-08-18
0.00000000
EUR
0.00000000
EUR
-7610000.00000000
EUR
-501400.60000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HKD SETTLE 2023-05-03
N/A
1.00000000
NC
USD
17.81000000
0.000003840306
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
465000.00000000
HKD
59349.83000000
USD
2023-05-03
17.81000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.000000% 09/14/2026
20030NDX6
450000.00000000
PA
433690.23000000
0.093515077270
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
36744.89000000
0.007923169557
Long
DBT
NUSS
BE
N
2
2041-03-28
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3859.41000000
-0.00083219081
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
61000000.00000000
JPY
454477.05000000
USD
2023-04-04
-3859.41000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 4.250000% 10/07/2026
N/A
200000.00000000
PA
225449.41000000
0.048612852073
Long
DBT
NUSS
FR
N
2
2026-10-07
Fixed
4.25000000
N
N
N
N
N
N
AUST 3YR BOND FUT JUN23
N/A
AUST 3YR BOND FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
947433.55000000
0.204291716778
Long
AU
N
1
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-04-04
N/A
1.00000000
NC
4730.79000000
0.001020083372
N/A
DFE
XX
N
2
GOLDMAN SACHS & CO
N/A
258189.80000000
USD
242000.00000000
EUR
2023-04-04
4730.79000000
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
202966.01000000
0.043764836732
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
142130.87000000
0.030647172500
Long
DBT
NUSS
FI
N
2
2042-07-04
Fixed
2.62500000
N
N
N
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2023-04-04
N/A
1.00000000
NC
496.61000000
0.000107082242
N/A
DFE
RO
N
2
BARCLAYS CAPITAL INC.
N/A
595276.10000000
USD
2713000.00000000
RON
2023-04-04
496.61000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2023-04-20
N/A
1.00000000
NC
9374.54000000
0.002021398620
N/A
DFE
CN
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
705469.03000000
USD
4902326.45000000
CNY
2023-04-20
9374.54000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-2931.55000000
-0.00063211966
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
N/A
234378.43000000
USD
2400000.00000000
SEK
2023-04-04
-2931.55000000
N
N
N
CPUK FINANCE LIMITED
6354003CVDDPNXREIR29
CPUK FINANCE LTD MTN 3.690000% 08/28/2028
N/A
100000.00000000
PA
110043.40000000
0.023728265804
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
96375.61000000
0.020781129001
Long
DBT
NUSS
US
N
2
2026-09-14
Fixed
0.00000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL INC.
ISRPG12PN4EIEOEMW547
HONEYWELL INTERNATIONAL INC 4.125000% 11/02/2034
438516CG9
620000.00000000
PA
682530.94000000
0.147171711923
Long
DBT
NUSS
US
N
2
2034-11-02
Fixed
4.12500000
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 4.175000% 03/24/2028
05964HAQ8
600000.00000000
PA
USD
562967.79000000
0.121390736384
Long
DBT
NUSS
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
33460000.00000000
PA
1738044.64000000
0.374768365910
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 2.0099
N/A
1400000.00000000
NC
42089.66000000
0.009075643246
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
42089.66000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
525000.00000000
PA
118741.10000000
0.025603719829
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
7502.77000000
0.001617795531
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
342636.23000000
USD
46600000.00000000
JPY
2023-04-04
7502.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-7976.60000000
-0.00171996580
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
420000.00000000
CHF
451768.35000000
USD
2023-04-04
-7976.60000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.900000% 11/15/2024
25470DBC2
665000.00000000
PA
USD
646255.45000000
0.139349757413
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
NEUBERGER BERMAN LOAN ADVISERS EURO CLO
N/A
NEUBERGER BERMAN LOAN ADVISERS EURO CLO 3 DAC NEUBE 2022-3A D
N/A
663000.00000000
PA
615262.53000000
0.132666864629
Long
ABS-CBDO
CORP
IE
Y
2
2034-10-25
Floating
5.64900120
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/INR SETTLE 2023-06-22
N/A
1.00000000
NC
USD
-5718.80000000
-0.00123312444
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
67651061.95000000
INR
813726.95000000
USD
2023-06-22
-5718.80000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-3235.74000000
-0.00069771107
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
232403.97000000
USD
30500000.00000000
JPY
2023-04-04
-3235.74000000
N
N
N
INDIA RUPEE
N/A
FX Forward Contract: INR/USD SETTLE 2023-06-22
N/A
1.00000000
NC
-907.92000000
-0.00019577155
N/A
DFE
IN
N
2
STANDARD CHARTERED BANK
N/A
822810.90000000
USD
67853924.07000000
INR
2023-06-22
-907.92000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
217.64000000
0.000046928936
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
34615.94000000
USD
32000.00000000
EUR
2023-05-11
217.64000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-04-04
N/A
1.00000000
NC
3794.72000000
0.000818241937
N/A
DFE
CA
N
2
GOLDMAN SACHS & CO
N/A
228961.03000000
USD
315000.00000000
CAD
2023-04-04
3794.72000000
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) JUN23 FINANCIAL COMMODITY FUTURE.
N/A
16.00000000
NC
17806897.59000000
3.839637808006
N/A
DIR
JP
N
1
GOLDMAN SACHS & CO
N/A
Long
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Jun 2023
2023-06-16
17053595.34000000
JPY
753302.25000000
N
N
N
ANHEUSER-BUSCH INBEV SA
5493008H3828EMEXB082
ANHEUSER-BUSCH INBEV SA/NV MTN 9.750000% 07/30/2024
N/A
250000.00000000
PA
326881.56000000
0.070484304757
Long
DBT
NUSS
BE
N
2
2024-07-30
Fixed
9.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-9228.01000000
-0.00198980287
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
735000.00000000
NZD
450624.09000000
USD
2023-04-04
-9228.01000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 1.250000% 05/12/2025
N/A
13180000.00000000
PA
1213921.78000000
0.261753623217
Long
DBT
NUSS
XX
N
2
2025-05-12
Fixed
1.25000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
1354000.00000000
PA
281671.48000000
0.060735816476
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-05-11
N/A
1.00000000
NC
7695.03000000
0.001659251869
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
345705.70000000
USD
324652.93000000
EUR
2023-05-11
7695.03000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-7601.97000000
-0.00163918567
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
468943.92000000
USD
61400000.00000000
JPY
2023-04-04
-7601.97000000
N
N
N
N/A
N/A
N/A
N/A
4780000.00000000
NC
-237669.29000000
-0.05124778120
N/A
DIR
XX
N
2
N/A
N/A
Y
2032-10-25
0.00000000
GBP
0.00000000
GBP
-4780000.00000000
GBP
-237669.29000000
N
N
N
VODAFONE GROUP PUBLIC LIMITED COMPANY
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC MTN 4.200000% 12/13/2027
N/A
780000.00000000
PA
505811.17000000
0.109066258298
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
467931.29000000
0.100898354896
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
1376384.13000000
0.296784800225
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
396048.11000000
0.085398441208
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
1069140.26000000
0.230534900513
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
60920LAN4
450000.00000000
PA
365649.75000000
0.078843751276
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
184912.86000000
0.039872100395
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/NZD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-331.87000000
-0.00007155994
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
55000.00000000
NZD
34078.83000000
USD
2023-04-04
-331.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-04-21
N/A
1.00000000
NC
USD
14343.35000000
0.003092805396
N/A
DFE
US
N
2
GOLDMAN, SACHS & CO.
N/A
16731691.49000000
NOK
1613480.07000000
USD
2023-04-21
14343.35000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.000000% 09/01/2024
N/A
2594000.00000000
PA
1945073.23000000
0.419409202276
Long
DBT
NUSS
SG
N
2
2024-09-01
Fixed
3.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-04-04
N/A
1.00000000
NC
-18.62000000
-0.00000401496
N/A
DFE
CH
N
2
GOLDMAN SACHS & CO
N/A
71169.62000000
USD
65000.00000000
CHF
2023-04-04
-18.62000000
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
213817.45000000
0.046104694031
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
14039000.00000000
PA
523931.35000000
0.112973448074
Long
DBT
NUSS
TH
N
2
2044-06-29
Fixed
4.67500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-8.35000000
-0.00000180048
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
205000.00000000
CHF
224390.97000000
USD
2023-04-04
-8.35000000
N
N
N
WESTFIELD AMERICA MANAGEMENT PTY LIMITED
875500W7WGQNQWSP6E89
WESTFIELD AMERICA MANAGEMENT LTD 2.625000% 03/30/2029
N/A
155000.00000000
PA
152610.90000000
0.032906943985
Long
DBT
NUSS
FR
N
2
2029-03-30
Fixed
2.62500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 05/26/2033
N/A
1413000.00000000
PA
71333.18000000
0.015381319149
Long
DBT
NUSS
MX
N
2
2033-05-26
Fixed
7.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 03/20/2042
N/A
289200000.00000000
PA
2543999.55000000
0.548553548216
Long
DBT
NUSS
JP
N
2
2042-03-20
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-1077.66000000
-0.00023237198
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
1268000.00000000
MXN
69148.30000000
USD
2023-04-04
-1077.66000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 0.000000% 10/09/2026
N/A
3135000.00000000
PA
3130061.28000000
0.674923948504
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
449992.16000000
0.097030204285
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
2060274.52000000
0.444249645502
Long
DBT
NUSS
IT
N
2
2024-05-30
Fixed
1.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-05-02
N/A
1.00000000
NC
-178.80000000
-0.00003855400
N/A
DFE
JP
N
2
J.P. MORGAN SECURITIES
N/A
69632.03000000
USD
9200000.00000000
JPY
2023-05-02
-178.80000000
N
N
N
United States of America
N/A
US 10YR ULTRA FUT JUN23 FINANCIAL COMMODITY FUTURE.
N/A
-4.00000000
NC
USD
-484562.50000000
-0.10448448338
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2023
2023-06-24
-469056.63000000
USD
-15505.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-04-04
N/A
1.00000000
NC
USD
2000.29000000
0.000431315397
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
30800000.00000000
JPY
233422.64000000
USD
2023-04-04
2000.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-05-03
N/A
1.00000000
NC
USD
-19630.73000000
-0.00423290428
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
11576000.00000000
CAD
8538592.21000000
USD
2023-05-03
-19630.73000000
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 05/15/2050
912810SN9
131000.00000000
PA
USD
76153.98000000
0.016420811057
Long
DBT
UST
US
N
1
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-04-04
N/A
1.00000000
NC
USD
-3939.42000000
-0.00084944308
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
N/A
315000.00000000
CAD
228816.33000000
USD
2023-04-04
-3939.42000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2023-06-15
N/A
1.00000000
NC
-149.12000000
-0.00003215421
N/A
DFE
TW
N
2
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
1678183.64000000
USD
50790228.00000000
TWD
2023-06-15
-149.12000000
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
161655.42000000
0.034857181570
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
937174.69000000
0.202079635390
Long
DBT
NUSS
CA
N
2
2029-06-01
Fixed
2.25000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.700000% 10/20/2030
N/A
9430000.00000000
PA
1433468.13000000
0.309093619520
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
408081.44000000
0.087993145232
Long
DBT
NUSS
FR
N
2
2025-05-07
Fixed
0.37500000
N
N
N
N
N
N
2023-03-31
SEI INSTITUTIONAL INTERNATIONAL TRUST
Ankit Puri
Ankit Puri
CFO