0001752724-23-270208.txt : 20231128
0001752724-23-270208.hdr.sgml : 20231128
20231128132712
ACCESSION NUMBER: 0001752724-23-270208
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230930
FILED AS OF DATE: 20231128
DATE AS OF CHANGE: 20231128
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: 231444424
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
2023-09-30
N
447811525.83
8978741.49
438832784.34
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
7634712.24000000
CNY
EUR
JPY
N
Barclays Global Aggregate ex USD Index (USD Hedged)
LGAXUSDUH
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.000000% 07/28/2029
N/A
260000.00000000
PA
225854.89000000
0.051467187060
Long
DBT
NUSS
ID
N
2
2029-07-28
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-8830.06000000
-0.00201216962
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3710000.00000000
SEK
332677.24000000
USD
2023-10-04
-8830.06000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-5764.26000000
-0.00131354361
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
331688.07000000
USD
5665000.00000000
MXN
2023-10-04
-5764.26000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
39824400.00000000
PA
1845211.33000000
0.420481649468
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
2825752.23000000
0.643924595162
Long
DBT
NUSS
DE
N
2
2026-09-15
Fixed
0.87500000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.125000% 06/15/2031
02209SAZ6
310000.00000000
PA
278939.28000000
0.063563910891
Long
DBT
NUSS
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.650000% 05/21/2029
N/A
18120000.00000000
PA
2589874.12000000
0.590173344476
Long
DBT
NUSS
CN
N
2
2029-05-21
Fixed
3.65000000
N
N
N
N
N
N
CORNING INCORPORATED
549300X2937PB0CJ7I56
CORNING INC 3.875000% 05/15/2026
219350BR5
162000.00000000
PA
169921.37000000
0.038721211373
Long
DBT
NUSS
US
N
2
2026-05-15
Fixed
3.87500000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.250000% 05/21/2028
N/A
33000.00000000
PA
19628.53000000
0.004472895075
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/CNY SETTLE 2023-10-10
N/A
1.00000000
NC
USD
-43296.21000000
-0.00986622047
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
184998000.00000000
CNY
25386531.27000000
USD
2023-10-10
-43296.21000000
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC 1.450000% 08/01/2039
718172CM9
115000.00000000
PA
71058.53000000
0.016192621092
Long
DBT
NUSS
US
N
2
2039-08-01
Fixed
1.45000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE 5.103000% 01/09/2026
89115A2K7
250000.00000000
PA
USD
246654.44000000
0.056206930931
Long
DBT
NUSS
CA
N
2
2026-01-09
Fixed
5.10300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-11-02
N/A
1.00000000
NC
USD
2859.93000000
0.000651712930
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
81500000.00000000
JPY
552048.34000000
USD
2023-11-02
2859.93000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 11/20/2023
N/A
406450000.00000000
PA
2724467.16000000
0.620844033815
Long
DBT
NUSS
JP
N
2
2023-11-20
None
0.00000000
N
N
N
N
N
N
Pfizer Investment Enterprises PTE Ltd
5493000FQO8XF9C0RT95
PFIZER INVESTMENT ENTERPRISES PTE LTD 4.450000% 05/19/2026
716973AB8
340000.00000000
PA
USD
332148.53000000
0.075689087473
Long
DBT
NUSS
US
N
2
2026-05-19
Fixed
4.45000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
567000.00000000
PA
325902.95000000
0.074265861993
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3290.16000000
-0.00074975255
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
223803.43000000
USD
32900000.00000000
JPY
2023-10-04
-3290.16000000
N
N
N
Fresenius SE & Co. KGaA
XDFJ0CYCOO1FXRFTQS51
FRESENIUS SE & CO KGAA MTN 5.000000% 11/28/2029
N/A
200000.00000000
PA
213766.72000000
0.048712568346
Long
DBT
NUSS
DE
N
2
2029-11-28
Fixed
5.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
280700000.00000000
PA
1986522.69000000
0.452683290968
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
577049.58000000
0.131496460745
Long
DBT
NUSS
DE
N
2
2023-12-18
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
78.49000000
0.000017886083
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
172000.00000000
AUD
111090.16000000
USD
2023-10-04
78.49000000
N
N
N
BG ENERGY CAPITAL PLC
S2M8QDKEE05NZN8JD460
BG ENERGY CAPITAL PLC MTN 2.250000% 11/21/2029
N/A
400000.00000000
PA
379632.19000000
0.086509532456
Long
DBT
NUSS
GB
N
2
2029-11-21
Fixed
2.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
620.58000000
0.000141416052
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
111217.79000000
USD
1190000.00000000
NOK
2023-10-04
620.58000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
2751000.00000000
PA
590336.77000000
0.134524308817
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
WPC Eurobond B.V.
5493005XDMOLBARL5M14
WPC EUROBOND BV 1.350000% 04/15/2028
N/A
530000.00000000
PA
477964.60000000
0.108917249817
Long
DBT
NUSS
US
N
2
2028-04-15
Fixed
1.35000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 07/31/2053
N/A
2691000.00000000
PA
126329.97000000
0.028787723822
Long
DBT
NUSS
MX
N
2
2053-07-31
Fixed
8.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 0.400000% 03/20/2056
N/A
449750000.00000000
PA
2062144.06000000
0.469915679408
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
806002.78000000
0.183669682111
Long
DBT
NUSS
CH
N
2
2024-06-11
Fixed
1.25000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 1.500000% 02/20/2047
N/A
593000.00000000
PA
414769.13000000
0.094516441068
Long
DBT
NUSS
AT
N
2
2047-02-20
Fixed
1.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1742.38000000
0.000397048730
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
109156.17000000
USD
1180000.00000000
NOK
2023-10-04
1742.38000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1667.85000000
-0.00038006504
N/A
DFE
XX
N
2
EURO
N/A
165780.25000000
USD
155000.00000000
EUR
2023-10-04
-1667.85000000
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
472826.80000000
0.107746462177
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
318366.22000000
0.072548412826
Long
DBT
NUSS
GB
N
2
2029-11-02
Fixed
0.75000000
N
N
N
N
N
N
CREDIT AGRICOLE HOME LOAN SFH SA
969500C9913Z7PKUGB44
CREDIT AGRICOLE HOME LOAN SFH SA MTN 1.250000% 03/24/2031
N/A
300000.00000000
PA
267980.22000000
0.061066590638
Long
DBT
NUSS
FR
N
2
2031-03-24
Fixed
1.25000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 4.125000% 01/29/2027
N/A
1247000.00000000
PA
1500141.16000000
0.341848014445
Long
DBT
NUSS
GB
N
2
2027-01-29
Fixed
4.12500000
N
N
N
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
PROVINCE OF ONTARIO CANADA MTN 0.375000% 04/08/2027
N/A
1078000.00000000
PA
1021310.01000000
0.232733297612
Long
DBT
NUSS
CA
N
2
2027-04-08
Fixed
0.37500000
N
N
N
N
N
N
United States of America
N/A
US LONG BOND(CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
USD
-341343.75000000
-0.07778446875
N/A
DIR
US
N
1
US LONG BOND(CBT) DEC23
N/A
Short
U.S. Treasury Futures
US Long Bond (CBT) Dec 2023
2023-12-22
-340870.53000000
USD
-473.22000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 3.750000% 05/25/2027
N/A
2241000.00000000
PA
490365.23000000
0.111743071050
Long
DBT
NUSS
PL
N
2
2027-05-25
Fixed
3.75000000
N
N
N
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 1.250000% 05/27/2036
N/A
281000.00000000
PA
226338.72000000
0.051577440901
Long
DBT
NUSS
NL
N
2
2036-05-27
Fixed
1.25000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.384000% 04/02/2026
06051GKM0
700000.00000000
PA
USD
669966.98000000
0.152670220618
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/GBP SETTLE 2023-10-04
N/A
1.00000000
NC
USD
558054.72000000
0.127167964635
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
12570000.00000000
GBP
15900407.68000000
USD
2023-10-04
558054.72000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
3530000.00000000
PA
178966.95000000
0.040782493101
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
51483.94000000
0.011732017715
Long
DBT
NUSS
FR
N
2
2066-05-25
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
6238.02000000
0.001421502727
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
32500000.00000000
JPY
224070.28000000
USD
2023-10-04
6238.02000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-7560.93000000
-0.00172296379
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
663738.71000000
USD
97900000.00000000
JPY
2023-10-04
-7560.93000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.500000% 12/01/2032
135087P32
643000.00000000
PA
419481.41000000
0.095590262389
Long
DBT
NUSS
CA
N
2
2032-12-01
Fixed
2.50000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.250000% 04/21/2029
N/A
256000.00000000
PA
157588.31000000
0.035910787804
Long
DBT
NUSS
AU
N
2
2029-04-21
Fixed
3.25000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
60000.00000000
PA
66596.94000000
0.015175926315
Long
DBT
NUSS
ES
N
2
2041-07-30
Fixed
4.70000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
3267000.00000000
PA
2234681.16000000
0.509232956093
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
247001.93000000
0.056286115990
Long
DBT
CORP
US
N
2
2026-02-10
Fixed
4.87500000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC23 FINANCIAL COMMODITY FUTURE.
N/A
18.00000000
NC
USD
1945125.00000000
0.443249699979
N/A
DIR
US
N
1
US 10YR NOTE (CBT)DEC23
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2023
2023-12-22
1980014.02000000
USD
-34889.02000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.875000% 03/30/2034
N/A
1700000.00000000
PA
1494940.23000000
0.340662840915
Long
DBT
NUSS
FR
N
2
2034-03-30
Fixed
1.87500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
4849.20000000
0.001105022271
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
223470.40000000
USD
380000.00000000
NZD
2023-10-04
4849.20000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 6.700000% 02/25/2032
N/A
625000.00000000
PA
130141.82000000
0.029656357647
Long
DBT
NUSS
RO
N
2
2032-02-25
Fixed
6.70000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO MTN 1.963000% 03/23/2030
N/A
255000.00000000
PA
237389.12000000
0.054095575460
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
400970.30000000
0.091372001889
Long
DBT
NUSS
CA
N
2
2032-05-03
Fixed
1.85000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-12-11
N/A
1.00000000
NC
USD
-2092.63000000
-0.00047686273
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2388800.00000000
CAD
1766935.39000000
USD
2023-12-11
-2092.63000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1696.57000000
-0.00038660967
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
110947.83000000
USD
16300000.00000000
JPY
2023-10-04
-1696.57000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
434000.00000000
PA
207556.86000000
0.047297482641
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/MXN SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-32053.29000000
-0.00730421498
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
38701000.00000000
MXN
2183511.81000000
USD
2023-11-03
-32053.29000000
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
93922.75000000
0.021402856247
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
149038.27000000
0.033962428359
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/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
67564.73000000
0.015396463621
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1435000.00000000
CHF
1636397.68000000
USD
2023-10-04
67564.73000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.900000% 10/31/2052
N/A
580000.00000000
PA
358521.56000000
0.081698900536
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
348901.94000000
0.079506808162
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
500000.00000000
PA
513549.88000000
0.117026324906
Long
DBT
NUSS
FR
N
2
2028-10-02
Fixed
3.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
924.87000000
0.000210756815
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
145079.51000000
USD
243000.00000000
NZD
2023-10-04
924.87000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2023-10-02
N/A
1.00000000
NC
USD
12605.18000000
0.002872433521
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3887900.00000000
PEN
1037935.82000000
USD
2023-10-02
12605.18000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA GOVT INFL IX NOTE (TIPS) 4.79% 12/01/2031
135087WV2
333083.26000000
PA
277668.75000000
0.063274386032
Long
DBT
NUSS
CA
N
2
2031-12-01
Fixed
4.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
3397.84000000
0.000774290372
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
155825.04000000
USD
265000.00000000
NZD
2023-10-04
3397.84000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-11-03
N/A
1.00000000
NC
1334.40000000
0.000304079377
N/A
DFE
CH
N
2
SWISS FRANC
N/A
327797.20000000
USD
300000.00000000
CHF
2023-11-03
1334.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-11-16
N/A
1.00000000
NC
USD
-2166.09000000
-0.00049360259
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2622309.67000000
MXN
147623.75000000
USD
2023-11-16
-2166.09000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 1.000000% 03/31/2030
N/A
593000.00000000
PA
127496.35000000
0.029053515268
Long
DBT
NUSS
IL
N
2
2030-03-31
Fixed
1.00000000
N
N
N
N
N
N
Canada
N/A
CAN 5YR BOND FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-22.00000000
NC
-1757071.01000000
-0.40039647736
N/A
DIR
CA
N
1
CAN 5YR BOND FUT DEC23
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Dec 2023
2023-12-21
-1762777.25000000
CAD
5706.24000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3721.11000000
0.000847956245
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
103000.00000000
EUR
112776.45000000
USD
2023-10-04
3721.11000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
9964.50000000
0.002270682673
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
354000.00000000
EUR
384776.05000000
USD
2023-10-04
9964.50000000
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 0.864000% 03/24/2027
N/A
877000.00000000
PA
839617.63000000
0.191329741068
Long
DBT
NUSS
CA
N
2
2027-03-24
Fixed
0.86400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-1063.32000000
-0.00024230641
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
515000.00000000
AUD
331326.28000000
USD
2023-10-04
-1063.32000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-11-17
N/A
1.00000000
NC
91.68000000
0.000020891784
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
705554.73000000
USD
578111.40000000
GBP
2023-11-17
91.68000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-490.13000000
-0.00011168946
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
8508.24000000
USD
35000.00000000
PLN
2023-10-04
-490.13000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
220000.00000000
PA
145040.35000000
0.033051393418
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
30311.51000000
0.006907302982
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-09-09
0.00000000
CNY
0.00000000
CNY
-31000000.00000000
CNY
30311.51000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.750000% 04/21/2037
N/A
393000.00000000
PA
231320.32000000
0.052712634118
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-11-08
N/A
1.00000000
NC
6144.35000000
0.001400157467
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
527869.55000000
USD
826573.30000000
AUD
2023-11-08
6144.35000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
132.48000000
0.000030189175
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
110816.42000000
USD
150000.00000000
CAD
2023-10-04
132.48000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
2620000.00000000
NC
-56224.84000000
-0.01281236088
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
-56224.84000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.800000% 03/01/2041
N/A
247000.00000000
PA
165191.43000000
0.037643365740
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
244024.91000000
0.055607720915
Long
DBT
CORP
US
N
2
2172-09-01
Fixed
5.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-3272.00000000
-0.00074561430
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
562000.00000000
NZD
334400.68000000
USD
2023-10-04
-3272.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-1942.59000000
-0.00044267203
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
190000.00000000
NZD
112217.21000000
USD
2023-10-04
-1942.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3177.17000000
0.000724004703
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
16300000.00000000
JPY
112428.43000000
USD
2023-10-04
3177.17000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-12-04
N/A
1.00000000
NC
USD
-51224.35000000
-0.01167286306
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
50596500.00000000
CNY
6982776.47000000
USD
2023-12-04
-51224.35000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
16128.66000000
0.003675354389
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
395000.00000000
CHF
447967.70000000
USD
2023-10-04
16128.66000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
2306000.00000000
PA
1129016.10000000
0.257277063220
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HANDELSBANKEN AB 4.750000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
153000.00000000
0.034865216424
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
242171.60000000
0.055185393763
Long
DBT
NUSS
CA
N
2
2031-05-12
Fixed
2.82000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-69.00000000
NC
-7669913.50000000
-1.74779865445
N/A
DIR
DE
N
1
EURO-SCHATZ FUT DEC23
N/A
Short
Germany Govt. Bond Futures
Euro-Schatz Future Dec 2023
2023-12-10
-7856913.92000000
EUR
187000.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-3915.40000000
-0.00089223051
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
375000.00000000
NZD
221400.00000000
USD
2023-10-04
-3915.40000000
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
97172.69000000
0.022143443577
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
2579.90000000
0.000587900469
N/A
DFE
CH
N
2
SWISS FRANC
N/A
2922992.90000000
USD
2676000.00000000
CHF
2023-10-04
2579.90000000
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
674353.47000000
0.153669801816
Long
DBT
NUSS
JP
N
2
2027-02-12
Fixed
0.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-27
N/A
1.00000000
NC
USD
434.39000000
0.000098987590
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1265190.24000000
CAD
936662.58000000
USD
2023-10-27
434.39000000
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 5.625000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
191472.00000000
0.043632109275
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
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
475.59000000
0.000108376132
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
112472.33000000
USD
175000.00000000
AUD
2023-10-04
475.59000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.450000% 07/30/2066
N/A
272000.00000000
PA
228667.65000000
0.052108151022
Long
DBT
NUSS
ES
N
2
2066-07-30
Fixed
3.45000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1994.94000000
0.000454601404
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
111687.41000000
USD
1235000.00000000
SEK
2023-10-04
1994.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-11-03
N/A
1.00000000
NC
USD
825.09000000
0.000188019224
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2480000.00000000
ZAR
132126.79000000
USD
2023-11-03
825.09000000
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA 0.125000% 10/15/2029
N/A
270000.00000000
PA
229634.50000000
0.052328474123
Long
DBT
NUSS
AU
N
2
2029-10-15
Fixed
0.12500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
9.00000000
NC
1034346.39000000
0.235703991796
N/A
DIR
GB
N
1
LONG GILT FUTURE DEC23
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Dec 2023
2023-12-30
1065366.07000000
GBP
-31019.68000000
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
996211.41000000
0.227013898129
Long
DBT
NUSS
IE
N
2
2023-10-29
Fixed
1.15000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2023-11-27
N/A
1.00000000
NC
-22573.59000000
-0.00514400719
N/A
DFE
HU
N
2
HUNGARIAN FORINT
N/A
1078918.17000000
USD
391104600.00000000
HUF
2023-11-27
-22573.59000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 2.000000% 03/31/2027
N/A
925000.00000000
PA
224866.46000000
0.051241946368
Long
DBT
NUSS
IL
N
2
2027-03-31
Fixed
2.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1214.21000000
0.000276690813
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
161012.88000000
USD
270000.00000000
NZD
2023-10-04
1214.21000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.875000% 06/10/2029
N/A
496110000.00000000
PA
329004.37000000
0.074972604996
Long
DBT
NUSS
KR
N
2
2029-06-10
Fixed
1.87500000
N
N
N
N
N
N
PERUVIAN NEW SOL
N/A
FX Forward Contract: PEN/USD SETTLE 2023-10-02
N/A
1.00000000
NC
-12854.63000000
-0.00292927749
N/A
DFE
PE
N
2
PERUVIAN NEW SOL
N/A
1038185.27000000
USD
3887900.00000000
PEN
2023-10-02
-12854.63000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
6307700.00000000
PA
331273.57000000
0.075489704010
Long
DBT
NUSS
MX
N
2
2027-06-03
Floating
7.49999880
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.500000% 02/19/2026
N/A
6144000.00000000
PA
543030.78000000
0.123744350781
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
COLUMBIA PIPELINES HOLDING COMPANY LLC
N/A
COLUMBIA PIPELINES HOLDING CO LLC 144A 6.055000% 08/15/2026
19828AAA5
120000.00000000
PA
USD
120376.40000000
0.027431040773
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.05500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/COP SETTLE 2023-10-27
N/A
1.00000000
NC
USD
22669.27000000
0.005165810488
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3397157621.28000000
COP
856678.26000000
USD
2023-10-27
22669.27000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.750000% 06/01/2033
135087Q23
323000.00000000
PA
214599.10000000
0.048902248796
Long
DBT
NUSS
CA
N
2
2033-06-01
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2023-12-11
N/A
1.00000000
NC
USD
162028.74000000
0.036922660699
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
18593150.00000000
SGD
13831744.76000000
USD
2023-12-11
162028.74000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 4.150000% 03/15/2037
N/A
561000.00000000
PA
624844.63000000
0.142387864420
Long
DBT
NUSS
AT
Y
2
2037-03-15
Fixed
4.15000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2008.41000000
-0.00045767091
N/A
DFE
XX
N
2
EURO
N/A
288940.42000000
USD
271000.00000000
EUR
2023-10-04
-2008.41000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-12-11
N/A
1.00000000
NC
119.68000000
0.000027272347
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
31845.42000000
USD
230000.00000000
CNY
2023-12-11
119.68000000
N
N
N
BRK: CITIBANK, N.A.
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
980000.00000000
NC
-20507.54000000
-0.00467320144
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
-20507.54000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1284.02000000
-0.00029259892
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
166166.28000000
USD
24600000.00000000
JPY
2023-10-04
-1284.02000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN VARIABLE RATE 01/25/2024
6174468W2
1000000.00000000
PA
USD
999790.00000000
0.227829377311
Long
DBT
CORP
US
N
2
2024-01-25
Floating
5.79005280
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2048.84000000
0.000466883987
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
134000.00000000
GBP
165602.96000000
USD
2023-10-04
2048.84000000
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES SACA MTN 2.500000% 06/30/2051
N/A
200000.00000000
PA
168230.30000000
0.038335855023
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
261643.60000000
0.059622619215
Long
DBT
NUSS
DE
N
2
2172-06-17
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
4081.89000000
0.000930169792
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
7350000.00000000
ZAR
394189.59000000
USD
2023-10-04
4081.89000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-12472.42000000
-0.00284218054
N/A
DFE
CH
N
2
SWISS FRANC
N/A
444311.46000000
USD
395000.00000000
CHF
2023-10-04
-12472.42000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.200000% 06/20/2036
N/A
89650000.00000000
PA
543469.14000000
0.123844243045
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-12
N/A
1.00000000
NC
-7842.61000000
-0.00178715225
N/A
DFE
XX
N
2
EURO
N/A
205806.00000000
USD
186915.40000000
EUR
2023-10-12
-7842.61000000
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
CENTRICA PLC MTN 4.375000% 03/13/2029
N/A
179000.00000000
PA
203660.62000000
0.046409618257
Long
DBT
NUSS
GB
N
2
2029-03-13
Fixed
4.37500000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-9238.45000000
-0.00210523240
N/A
DFE
CH
N
2
SWISS FRANC
N/A
446543.80000000
USD
400000.00000000
CHF
2023-10-04
-9238.45000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-7148.11000000
-0.00162889151
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
447504.40000000
USD
65700000.00000000
JPY
2023-10-04
-7148.11000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.450000% 03/01/2036
N/A
529000.00000000
PA
384971.27000000
0.087726187226
Long
DBT
NUSS
IT
N
2
2036-03-01
Fixed
1.45000000
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
117459.76000000
0.026766404924
Long
DBT
NUSS
AU
N
2
2026-10-15
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
6123.26000000
0.001395351536
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
32700000.00000000
JPY
225296.02000000
USD
2023-10-04
6123.26000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1469.45000000
-0.00033485419
N/A
DFE
XX
N
2
EURO
N/A
98878.10000000
USD
92000.00000000
EUR
2023-10-04
-1469.45000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2037
N/A
80000.00000000
PA
35675.57000000
0.008129650124
Long
DBT
NUSS
NZ
N
2
2037-04-15
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
US 5YR FUTR OPTN Dec23C 107 LONG
N/A
26.00000000
NC
USD
6906.25000000
0.001573777130
N/A
DIR
US
N
1
US 5YR FUTR OPTN Dec23C 107
N/A
Call
Purchased
N/A
Call Option 107 Nov 2023 on US 5-Year Note (consolidated) Dec 2023
26000.00000000
107.00000000
USD
2023-11-27
XXXX
846.94000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 0.500000% 09/21/2026
N/A
2364000.00000000
PA
1374031.87000000
0.313110578569
Long
DBT
NUSS
AU
N
2
2026-09-21
Fixed
0.50000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-2.00000000
NC
USD
-405421.88000000
-0.09238641561
N/A
DIR
US
N
1
US 2YR NOTE (CBT) DEC23
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Dec 2023
2024-01-01
-406201.52000000
USD
779.64000000
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
TWDC ENTERPRISES 18 CORP 2.758000% 10/07/2024
254687CD6
800000.00000000
PA
575041.42000000
0.131038846804
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
473960.20000000
0.108004738231
Long
DBT
NUSS
US
N
2
2024-11-21
Fixed
0.62500000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
5742.68000000
0.001308626019
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
288669.44000000
USD
490000.00000000
NZD
2023-10-04
5742.68000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-11-02
N/A
1.00000000
NC
95.30000000
0.000021716700
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
109742.38000000
USD
16300000.00000000
JPY
2023-11-02
95.30000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2030
N/A
1713530000.00000000
PA
1075792.33000000
0.245148577861
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
1141229.84000000
0.260060296478
Long
DBT
NUSS
JP
N
2
2025-10-10
Fixed
0.87500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2583.25000000
-0.00058866385
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
111212.48000000
USD
89000.00000000
GBP
2023-10-04
-2583.25000000
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
281098.14000000
0.064055865931
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/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-7448.07000000
-0.00169724557
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
523000.00000000
NZD
306791.80000000
USD
2023-10-04
-7448.07000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.700000% 06/02/2037
683234YD4
1355000.00000000
PA
979799.30000000
0.223273951939
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 2024-01-11
N/A
1.00000000
NC
3529.10000000
0.000804201537
N/A
DFE
CN
N
2
MALAYSIAN RINGGIT
N/A
853042.10000000
USD
6209644.90000000
CNY
2024-01-11
3529.10000000
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
491651.76000000
0.112036241945
Long
DBT
NUSS
FR
N
2
2026-01-19
Fixed
0.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2675.95000000
-0.00060978807
N/A
DFE
XX
N
2
EURO
N/A
102202.18000000
USD
94000.00000000
EUR
2023-10-04
-2675.95000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033
N/A
21450000.00000000
PA
153735.66000000
0.035032856588
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
166884.42000000
0.038029159615
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
269266.64000000
0.061359736466
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
18060000.00000000
PA
2441341.36000000
0.556326110336
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
328076.16000000
0.074761087071
Long
DBT
NUSS
ES
N
2
2026-12-03
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2118.21000000
0.000482691830
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3780000.00000000
MXN
219592.53000000
USD
2023-10-04
2118.21000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 0.500000% 04/26/2024
N/A
500000.00000000
PA
518487.89000000
0.118151584955
Long
DBT
NUSS
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-11-03
N/A
1.00000000
NC
-2160.29000000
-0.00049228090
N/A
DFE
CH
N
2
SWISS FRANC
N/A
221581.36000000
USD
200000.00000000
CHF
2023-11-03
-2160.29000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 01/31/2028
N/A
2312000.00000000
PA
2111135.95000000
0.481079815669
Long
DBT
NUSS
ES
N
2
2028-01-31
Fixed
0.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-11-02
N/A
1.00000000
NC
-1538.58000000
-0.00035060735
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
220540.09000000
USD
32500000.00000000
JPY
2023-11-02
-1538.58000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
39467.44000000
0.008993730962
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
25908000.00000000
CZK
1165679.57000000
USD
2023-10-04
39467.44000000
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD 5.000000% 03/11/2024
N/A
750000.00000000
PA
484786.21000000
0.110471739418
Long
DBT
NUSS
AU
N
2
2024-03-11
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
5884.77000000
0.001341005095
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
200000.00000000
CHF
224537.45000000
USD
2023-10-04
5884.77000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-7817.78000000
-0.00178149406
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
225650.04000000
USD
32500000.00000000
JPY
2023-10-04
-7817.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-10-10
N/A
1.00000000
NC
USD
-716.72000000
-0.00016332416
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
836000.00000000
CNY
114199.85000000
USD
2023-10-10
-716.72000000
N
N
N
Siemens Financieringsmaatschappij N.V.
TAFO772JB70PDRN5VS48
SIEMENS FINANCIERINGSMAATSCHAPPIJ NV 144A 1.200000% 03/11/2026
82620KAZ6
775000.00000000
PA
USD
699659.10000000
0.159436378722
Long
DBT
NUSS
DE
N
2
2026-03-11
Fixed
1.20000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1953.78000000
0.000445221977
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
112206.02000000
USD
190000.00000000
NZD
2023-10-04
1953.78000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.500000% 03/04/2027
N/A
26450400.00000000
PA
1309575.23000000
0.298422377892
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
434950000.00000000
PA
2162755.91000000
0.492842829245
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/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
179200.68000000
0.040835754846
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
95290000.00000000
MXN
5661509.58000000
USD
2023-10-04
179200.68000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.000000% 04/26/2028
N/A
2972000.00000000
PA
255344.12000000
0.058187111153
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
621498.26000000
0.141625302889
Long
DBT
NUSS
CN
N
2
2032-03-11
Fixed
3.18000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL, INC.
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 3.500000% 04/04/2025
21871XAB5
330000.00000000
PA
USD
316608.90000000
0.072147959609
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.50000000
N
N
N
N
N
N
AGENCE FRANCAISE DE DEVELOPPEMENT EPIC
9695008K5N8MKIT4XJ91
AGENCE FRANCAISE DEVELOP 3.500000% 02/25/2033
N/A
500000.00000000
PA
518949.51000000
0.118256777642
Long
DBT
NUSS
FR
N
2
2033-02-25
Fixed
3.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.800000% 09/20/2047
N/A
491400000.00000000
PA
2800543.68000000
0.638180140577
Long
DBT
NUSS
JP
N
2
2047-09-20
Fixed
0.80000000
N
N
N
N
N
N
VERALTO CORPORATION
635400FJE6GSOJUSNY27
VERALTO CORP 144A 5.500000% 09/18/2026
92338CAA1
335000.00000000
PA
USD
333467.27000000
0.075989598293
Long
DBT
CORP
US
N
2
2026-09-18
Fixed
5.50000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-23.00000000
NC
-3132544.95000000
-0.71383567084
N/A
DIR
DE
N
1
EURO-BUND FUTURE DEC23
N/A
Short
Germany Govt. Bond Futures
Euro-Bund Future Dec 2023
2023-12-10
-3201766.82000000
EUR
69221.87000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.300000% 06/20/2046
N/A
27600000.00000000
PA
141749.97000000
0.032301590733
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/MXN SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-44492.36000000
-0.01013879582
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
38701000.00000000
MXN
2171072.74000000
USD
2023-11-03
-44492.36000000
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
134827.85000000
0.030724197191
Long
DBT
NUSS
US
N
2
2025-03-24
Fixed
3.32500000
N
N
N
N
N
N
NISSAN MOTOR CO., LTD.
353800DRBDH1LUTNAY26
NISSAN MOTOR CO LTD 2.652000% 03/17/2026
N/A
165000.00000000
PA
166439.48000000
0.037927767919
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
385401.11000000
0.087824137975
Long
DBT
NUSS
US
N
2
2027-03-07
Fixed
1.12500000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-37207.95000000
-0.00847884463
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
1534995.74000000
USD
223466000.00000000
JPY
2023-10-04
-37207.95000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-4763.99000000
-0.00108560485
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
700000.00000000
AUD
447027.70000000
USD
2023-10-04
-4763.99000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-12-26
N/A
1.00000000
NC
USD
14572.43000000
0.003320725005
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
358200000.00000000
JPY
2450174.82000000
USD
2023-12-26
14572.43000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
41000.00000000
PA
28160.82000000
0.006417209699
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 2.500000% 05/25/2043
N/A
1451000.00000000
PA
1261663.78000000
0.287504449308
Long
DBT
NUSS
FR
N
2
2043-05-25
Fixed
2.50000000
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
323224.70000000
0.073655549798
Long
DBT
NUSS
SE
N
2
2027-03-03
Fixed
1.37500000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
BELGIUM KINGDOM 3.750000% 06/22/2045
N/A
419000.00000000
PA
434644.57000000
0.099045601311
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
210509.15000000
0.047970242313
Long
DBT
NUSS
MX
N
2
2039-04-08
Fixed
2.87500000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
ELECTRICITE DE FRANCE SA MTN 7.500000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
215305.29000000
0.049063173418
Long
DBT
NUSS
FR
N
2
2171-12-06
Fixed
7.50000000
N
N
N
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
DEUTSCHE TELEKOM AG MTN 1.750000% 12/09/2049
N/A
100000.00000000
PA
67681.66000000
0.015423109306
Long
DBT
NUSS
DE
N
2
2049-12-09
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
288459.62000000
0.065733379613
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
12092817.80000000
EUR
13096046.43000000
USD
2023-10-12
288459.62000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1988.51000000
-0.00045313615
N/A
DFE
XX
N
2
EURO
N/A
72927.42000000
USD
67000.00000000
EUR
2023-10-04
-1988.51000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
28000.00000000
PA
13708.78000000
0.003123918834
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
194567.43000000
0.044337487294
Long
DBT
NUSS
FR
N
2
2036-05-25
Fixed
1.25000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-38.00000000
NC
USD
-4239375.00000000
-0.96605703841
N/A
DIR
US
N
1
US 10YR ULTRA FUT DEC23
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Dec 2023
2023-12-22
-4364251.68000000
USD
124876.68000000
N
N
N
SOCIETE GENERALE SFH SA
969500KN90DZLHUN3566
SOCIETE GENERALE SFH SA MTN 0.125000% 02/02/2029
N/A
500000.00000000
PA
440455.90000000
0.100369871103
Long
DBT
NUSS
FR
N
2
2029-02-02
Fixed
0.12500000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
461000.00000000
PA
264975.77000000
0.060381944890
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.600000% 10/31/2029
N/A
174000.00000000
PA
154874.02000000
0.035292262913
Long
DBT
NUSS
ES
N
2
2029-10-31
Fixed
0.60000000
N
N
N
N
N
N
AGENCE FRANCAISE DE DEVELOPPEMENT EPIC
9695008K5N8MKIT4XJ91
AGENCE FRANCAISE DEVELOP 0.125000% 09/29/2031
N/A
600000.00000000
PA
480839.80000000
0.109572442433
Long
DBT
NUSS
FR
N
2
2031-09-29
Fixed
0.12500000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.500000% 06/01/2026
135087E67
2576000.00000000
PA
1762025.92000000
0.401525588533
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/NOK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
39.83000000
0.000009076350
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1185000.00000000
NOK
111408.29000000
USD
2023-10-04
39.83000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2024-01-24
N/A
1.00000000
NC
-14287.94000000
-0.00325589621
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
230797.72000000
USD
1558000.00000000
CNY
2024-01-24
-14287.94000000
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-442.15000000
-0.00010075591
N/A
DFE
CZ
N
2
CZECH REPUBLIC KORUNA
N/A
55213.93000000
USD
1260000.00000000
CZK
2023-10-04
-442.15000000
N
N
N
ODEBRECHT HOLDCO FINANCE LIMITED
N/A
ODEBRECHT HOLDCO FINANCE LTD ZERO COUPON 09/10/2058
G6714UAA8
310752.00000000
PA
USD
310.75000000
0.000070812849
Long
DBT
NUSS
KY
N
2
2058-09-10
Fixed
0.00000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.500000% 04/30/2027
N/A
393000.00000000
PA
388948.96000000
0.088632612211
Long
DBT
NUSS
ES
N
2
2027-04-30
Fixed
1.50000000
N
N
N
N
N
N
FISERV, INC.
GI7UBEJLXYLGR2C7GV83
FISERV INC 4.500000% 05/24/2031
N/A
218000.00000000
PA
228487.89000000
0.052067187811
Long
DBT
NUSS
US
N
2
2031-05-24
Fixed
4.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 9.250000% 05/28/2042
N/A
828200000.00000000
PA
162709.33000000
0.037077751664
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
304000.00000000
PA
141260.61000000
0.032190076731
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
91000.00000000
PA
USD
79474.70000000
0.018110474612
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
260666.81000000
0.059400031014
Long
DBT
NUSS
GB
N
2
2025-12-01
Fixed
5.12500000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1757.66000000
0.000400530694
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
131718.64000000
USD
2320000.00000000
MXN
2023-10-04
1757.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-295.41000000
-0.00006731721
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
175000.00000000
AUD
112652.51000000
USD
2023-10-04
-295.41000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
297650000.00000000
PA
1869156.23000000
0.425938146989
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
11544.47000000
0.002630721863
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
5306.72000000
0.001209280662
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
223012.88000000
USD
380000.00000000
NZD
2023-10-04
5306.72000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 1.550000% 03/15/2028
171239AA4
325000.00000000
PA
308407.11000000
0.070278958410
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
1587000.00000000
PA
1298994.05000000
0.296011167887
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/JPY SETTLE 2023-10-19
N/A
1.00000000
NC
USD
1522.65000000
0.000346977266
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
6138828.00000000
JPY
42782.57000000
USD
2023-10-19
1522.65000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
700000.00000000
PA
23850.63000000
0.005435015534
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
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
28441.36000000
0.006481138377
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
28441.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HUF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
34314.27000000
0.007819440849
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
284360000.00000000
HUF
809473.66000000
USD
2023-10-04
34314.27000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 07/31/2053
N/A
13053200.00000000
PA
612787.22000000
0.139640255210
Long
DBT
NUSS
MX
N
2
2053-07-31
Fixed
8.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 11/07/2047
N/A
3781100.00000000
PA
178921.52000000
0.040772140638
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-10-04
N/A
1.00000000
NC
USD
817.01000000
0.000186177976
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
119000.00000000
RON
26146.73000000
USD
2023-10-04
817.01000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 1.250000% 01/14/2033
N/A
310000.00000000
PA
260536.41000000
0.059370315823
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
62107.34000000
0.014152848696
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
190470.40000000
0.043403867440
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
406837.66000000
0.092709039642
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC CANADA MTN 3.700000% 05/20/2026
N/A
568000.00000000
PA
355983.36000000
0.081120502547
Long
DBT
NUSS
CA
N
2
2026-05-20
Fixed
3.70000000
N
N
N
N
N
N
COMPAGNIE DE FINANCEMENT FONCIER S.A.
DKGVVH5FKILG8R13CO13
CIE DE FINANCEMENT FONCIER SA 0.010000% 11/10/2027
N/A
600000.00000000
PA
547800.24000000
0.124831202122
Long
DBT
NUSS
FR
N
2
2027-11-10
Fixed
0.01000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
2159.74000000
0.000492155572
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
112000.06000000
USD
190000.00000000
NZD
2023-10-04
2159.74000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1679.23000000
0.000382658283
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
111278.89000000
USD
188000.00000000
NZD
2023-10-04
1679.23000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2037
N/A
2031000.00000000
PA
905713.41000000
0.206391464430
Long
DBT
NUSS
NZ
N
2
2037-04-15
Fixed
2.75000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-11-03
N/A
1.00000000
NC
3136.09000000
0.000714643507
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
273136.87000000
USD
460000.00000000
NZD
2023-11-03
3136.09000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
15054.38000000
0.003430550436
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
545533.07000000
USD
6090000.00000000
SEK
2023-10-04
15054.38000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
2316000.00000000
PA
492004.91000000
0.112116716789
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-11-03
N/A
1.00000000
NC
-2134.04000000
-0.00048629912
N/A
DFE
XX
N
2
EURO
N/A
439908.60000000
USD
413000.00000000
EUR
2023-11-03
-2134.04000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 4.100000% 04/15/2037
N/A
452000.00000000
PA
486484.67000000
0.110858779781
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
529700.33000000
0.120706644740
Long
DBT
NUSS
GB
N
2
2046-12-07
Fixed
4.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
21762.61000000
0.004959203317
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
5789000.00000000
AUD
3758079.86000000
USD
2023-10-04
21762.61000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 8.000000% PERPETUAL MATURITY
53944YAV5
200000.00000000
PA
USD
179293.30000000
0.040856860835
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
744915.78000000
0.169749345669
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 2023-10-04
N/A
1.00000000
NC
USD
2989.41000000
0.000681218474
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
32600000.00000000
JPY
221491.92000000
USD
2023-10-04
2989.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-11-08
N/A
1.00000000
NC
USD
12515.59000000
0.002852018000
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
6313092.93000000
AUD
4091136.74000000
USD
2023-11-08
12515.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2023-10-20
N/A
1.00000000
NC
USD
14066.03000000
0.003205327975
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
30716668864.00000000
IDR
1999652.94000000
USD
2023-10-20
14066.03000000
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.125000% 05/01/2024
00928QAQ4
22000.00000000
PA
USD
21685.08000000
0.004941535995
Long
DBT
NUSS
US
N
2
2024-05-01
Fixed
4.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 11/16/2023
912797FK8
4939000.00000000
PA
USD
4906309.99000000
1.118036337549
Long
DBT
UST
US
N
2
2023-11-16
None
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (2 YEAR ISSUE) 0.005000% 06/01/2025
N/A
100700000.00000000
PA
674705.18000000
0.153749948517
Long
DBT
NUSS
JP
N
2
2025-06-01
Fixed
0.00500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-11-03
N/A
1.00000000
NC
278.20000000
0.000063395445
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
590458.22000000
USD
484000.00000000
GBP
2023-11-03
278.20000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 6.000000% 01/31/2029
N/A
80000.00000000
PA
94770.83000000
0.021596114370
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
483365.37000000
0.110147962333
Long
DBT
NUSS
CA
N
2
2032-04-19
Fixed
3.50000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2512.99000000
-0.00057265320
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
221685.75000000
USD
32700000.00000000
JPY
2023-10-04
-2512.99000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 2.632000% 04/15/2031
N/A
1040000.00000000
PA
202028.10000000
0.046037604119
Long
DBT
NUSS
MY
N
2
2031-04-15
Fixed
2.63200000
N
N
N
N
N
N
Swedbank Hypotek AB
549300TJREQ7GHIXWR36
SWEDBANK HYPOTEK AB MTN 0.050000% 05/28/2025
N/A
195000.00000000
PA
193804.62000000
0.044163660263
Long
DBT
NUSS
SE
N
2
2025-05-28
Fixed
0.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-04
N/A
1.00000000
NC
USD
5301.78000000
0.001208154948
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
267000.00000000
GBP
331189.47000000
USD
2023-10-04
5301.78000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.180000% 08/25/2025
N/A
26340000.00000000
PA
3595303.56000000
0.819287821762
Long
DBT
NUSS
CN
N
2
2025-08-25
Fixed
2.18000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-25
N/A
1.00000000
NC
USD
218522.31000000
0.049796259030
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2181564423.00000000
JPY
14897359.60000000
USD
2023-10-25
218522.31000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.300000% 06/22/2054
N/A
367000.00000000
PA
342354.69000000
0.078014838958
Long
DBT
NUSS
BE
N
2
2054-06-22
Fixed
3.30000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-11-03
N/A
1.00000000
NC
-1487.24000000
-0.00033890813
N/A
DFE
CH
N
2
SWISS FRANC
N/A
220908.31000000
USD
200000.00000000
CHF
2023-11-03
-1487.24000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 1.875000% 10/01/2051
N/A
88000.00000000
PA
49917.39000000
0.011375036638
Long
DBT
NUSS
SG
N
2
2051-10-01
Fixed
1.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HKD SETTLE 2024-05-09
N/A
1.00000000
NC
USD
833.99000000
0.000190047332
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2705000.00000000
HKD
347833.91000000
USD
2024-05-09
833.99000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 5.250000% 09/14/2027
N/A
195000.00000000
PA
229343.70000000
0.052262207424
Long
DBT
NUSS
NL
N
2
2027-09-14
Fixed
5.25000000
N
N
N
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 1.700000% 05/15/2037
N/A
192000.00000000
PA
162465.45000000
0.037022176965
Long
DBT
NUSS
IE
N
2
2037-05-15
Fixed
1.70000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-6038.40000000
-0.00137601387
N/A
DFE
CH
N
2
SWISS FRANC
N/A
224691.08000000
USD
200000.00000000
CHF
2023-10-04
-6038.40000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3540.19000000
-0.00080672869
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
223383.21000000
USD
32800000.00000000
JPY
2023-10-04
-3540.19000000
N
N
N
GLOBAL PAYMENTS INC.
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 4.875000% 03/17/2031
37940XAS1
359000.00000000
PA
370015.04000000
0.084318002939
Long
DBT
NUSS
US
N
2
2031-03-17
Fixed
4.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-11-03
N/A
1.00000000
NC
USD
3186.32000000
0.000726089780
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
523000.00000000
GBP
641523.41000000
USD
2023-11-03
3186.32000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-13516.01000000
-0.00307999094
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
8957000.00000000
MYR
1908525.44000000
USD
2023-11-03
-13516.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-353.33000000
-0.00008051586
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2340000.00000000
MXN
134273.63000000
USD
2023-10-04
-353.33000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC MTN 6.000000% 03/29/2040
N/A
70000.00000000
PA
75186.99000000
0.017133403128
Long
DBT
NUSS
GB
N
2
2040-03-29
Fixed
6.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.065000% 06/15/2050
N/A
908000.00000000
PA
180624.16000000
0.041160133528
Long
DBT
NUSS
MY
N
2
2050-06-15
Fixed
4.06500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIAN GOVERNMENT INTERNATIONAL BOND MTN 3.875000% 10/29/2035
N/A
265000.00000000
PA
217915.51000000
0.049657983126
Long
DBT
NUSS
RO
N
2
2035-10-29
Fixed
3.87500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 1.650000% 06/12/2029
14040HCC7
570000.00000000
PA
493640.72000000
0.112489480644
Long
DBT
NUSS
US
N
2
2029-06-12
Fixed
1.65000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 3.950000% 04/30/2031
00206RMR0
108000.00000000
PA
109929.46000000
0.025050421008
Long
DBT
NUSS
US
N
2
2031-04-30
Fixed
3.95000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.900000% 09/20/2042
N/A
36550000.00000000
PA
265014.14000000
0.060390688539
Long
DBT
NUSS
JP
N
2
2042-09-20
Fixed
1.90000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.450000% 06/22/2043
N/A
719000.00000000
PA
714170.30000000
0.162743150804
Long
DBT
NUSS
BE
N
2
2043-06-22
Fixed
3.45000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2209.97000000
0.000503601845
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
100000.00000000
CHF
111536.31000000
USD
2023-10-04
2209.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3175.17000000
0.000723548949
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1125000.00000000
MYR
242838.58000000
USD
2023-10-04
3175.17000000
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.250000% 11/17/2025
N/A
275000.00000000
PA
281026.93000000
0.064039638793
Long
DBT
NUSS
GB
N
2
2025-11-17
Fixed
2.25000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK MTN 0.500000% 11/13/2037
N/A
945000.00000000
PA
660718.87000000
0.150562786915
Long
DBT
NUSS
XX
N
2
2037-11-13
Fixed
0.50000000
N
N
N
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 0.875000% 05/21/2029
03027XBP4
420000.00000000
PA
362310.53000000
0.082562320530
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
73743.13000000
0.016804380308
Long
DBT
NUSS
US
N
2
2040-10-15
Fixed
1.37500000
N
N
N
N
N
N
Heimstaden Bostad Treasury B.V.
549300ORG6UYMJBCV938
HEIMSTADEN BOSTAD TREASURY BV MTN 0.250000% 10/13/2024
N/A
135000.00000000
PA
133365.15000000
0.030390881164
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
258716.59000000
0.058955620280
Long
DBT
NUSS
GB
N
2
2172-06-22
Fixed
3.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-189.56000000
-0.00004319640
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1790000.00000000
NOK
168037.90000000
USD
2023-10-04
-189.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/IDR SETTLE 2023-10-11
N/A
1.00000000
NC
USD
50579.92000000
0.011526012140
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
64963204771.00000000
IDR
4252075.19000000
USD
2023-10-11
50579.92000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.650000% 06/02/2041
683234B98
540000.00000000
PA
384550.30000000
0.087630257748
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
3313000.00000000
PA
1521267.59000000
0.346662246825
Long
DBT
NUSS
NZ
N
2
2031-05-15
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-597.68000000
-0.00013619766
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
371000.00000000
MYR
79013.50000000
USD
2023-11-03
-597.68000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1061.67000000
0.000241930420
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
111886.25000000
USD
175000.00000000
AUD
2023-10-04
1061.67000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
10251.93000000
0.002336181426
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
55571000.00000000
JPY
382718.28000000
USD
2023-10-04
10251.93000000
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD MTN 0.875000% 02/19/2027
N/A
355000.00000000
PA
340383.70000000
0.077565695213
Long
DBT
NUSS
AU
N
2
2027-02-19
Fixed
0.87500000
N
N
N
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDEN I/L BOND 0.125 12/01/2027
N/A
2615000.00000000
PA
371394.80000000
0.084632418828
Long
DBT
USGA
SE
N
2
2027-12-01
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-1229.91000000
-0.00028026848
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
185000.00000000
NZD
109925.69000000
USD
2023-10-04
-1229.91000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
50650000.00000000
PA
396809.53000000
0.090423857141
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-4719.84000000
-0.00107554407
N/A
DFE
XX
N
2
EURO
N/A
182596.51000000
USD
168000.00000000
EUR
2023-10-04
-4719.84000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG MTN 1.000000% 11/19/2025
N/A
100000.00000000
PA
101277.85000000
0.023078916073
Long
DBT
NUSS
DE
N
2
2025-11-19
Fixed
1.00000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.625000% 08/01/2032
N/A
214000.00000000
PA
147694.34000000
0.033656177311
Long
DBT
NUSS
SG
N
2
2032-08-01
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-518.80000000
-0.00011822270
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
90000.00000000
GBP
109328.88000000
USD
2023-11-03
-518.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-68.30000000
-0.00001556401
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
300000.00000000
CAD
221829.50000000
USD
2023-10-04
-68.30000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
33.00000000
NC
USD
3476859.38000000
0.792297089933
N/A
DIR
US
N
1
US 5YR NOTE (CBT) DEC23
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Dec 2023
2024-01-01
3512204.92000000
USD
-35345.54000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.530000% 10/18/2051
Y6S39BG95
2650000.00000000
PA
392582.91000000
0.089460706676
Long
DBT
NUSS
CN
N
2
2051-10-18
Fixed
3.53000000
N
N
N
N
N
N
GE HEALTHCARE TECHNOLOGIES INC.
549300OI9J7XOWZMUN85
GE HEALTHCARE TECHNOLOGIES INC 5.550000% 11/15/2024
36267VAB9
435000.00000000
PA
USD
432819.46000000
0.098629700297
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.55000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-27
N/A
1.00000000
NC
875.40000000
0.000199483728
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
132421.01000000
USD
221922.25000000
NZD
2023-10-27
875.40000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
3506900000.00000000
PA
653221.87000000
0.148854391310
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 0.125000% 09/21/2028
N/A
135000.00000000
PA
112618.39000000
0.025663166932
Long
DBT
NUSS
HU
N
2
2028-09-21
Fixed
0.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
9590.67000000
0.002185495328
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
372047.24000000
EUR
403628.47000000
USD
2023-10-12
9590.67000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
5551000.00000000
PA
1172911.46000000
0.267279816334
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 2023-10-04
N/A
1.00000000
NC
-3954.35000000
-0.00090110633
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
252785.81000000
USD
37125000.00000000
JPY
2023-10-04
-3954.35000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1022.10000000
-0.00023291331
N/A
DFE
XX
N
2
EURO
N/A
110077.44000000
USD
103000.00000000
EUR
2023-10-04
-1022.10000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/DKK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
20018.22000000
0.004561696553
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
4529000.00000000
DKK
663088.39000000
USD
2023-10-04
20018.22000000
N
N
N
Orsted A/S
W9NG6WMZIYEU8VEDOG48
ORSTED AS MTN 3.625000% 03/01/2026
N/A
325000.00000000
PA
340386.50000000
0.077566333270
Long
DBT
NUSS
DK
N
2
2026-03-01
Fixed
3.62500000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.500000% 06/01/2024
135087B45
509000.00000000
PA
370146.91000000
0.084348053110
Long
DBT
NUSS
CA
N
2
2024-06-01
Fixed
2.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-52.54000000
-0.00001197266
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
157534.21000000
USD
244000.00000000
AUD
2023-10-04
-52.54000000
N
N
N
ROMANIAN LEU
N/A
FX Forward Contract: RON/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-16359.06000000
-0.00372785730
N/A
DFE
RO
N
2
ROMANIAN LEU
N/A
523591.96000000
USD
2383000.00000000
RON
2023-10-04
-16359.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-60.31000000
-0.00001374327
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
150000.00000000
CAD
110888.59000000
USD
2023-10-04
-60.31000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 3.000000% 08/15/2033
N/A
10333000.00000000
PA
896102.51000000
0.204201359145
Long
DBT
NUSS
NO
N
2
2033-08-15
Fixed
3.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
7416.22000000
0.001689987682
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
10754000.00000000
CAD
7966309.49000000
USD
2023-11-03
7416.22000000
N
N
N
TRANSCANADA PIPELINES LIMITED
5BV01I6231JPDAPMGH09
TRANSCANADA PIPELINES LTD 5.330000% 05/12/2032
89353ZCK2
241000.00000000
PA
169129.59000000
0.038540782739
Long
DBT
NUSS
CA
N
2
2032-05-12
Fixed
5.33000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-11-03
N/A
1.00000000
NC
3994.71000000
0.000910303455
N/A
DFE
XX
N
2
EURO
N/A
1228769.98000000
USD
1163000.00000000
EUR
2023-11-03
3994.71000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.400000% 06/20/2025
N/A
78100000.00000000
PA
526835.46000000
0.120053806096
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
13110000.00000000
PA
2029395.57000000
0.462453044170
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
Canada
N/A
CAN 10YR BOND FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
5.00000000
NC
425776.64000000
0.097024801973
N/A
DIR
CA
N
1
CAN 10YR BOND FUT DEC23
N/A
Long
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Dec 2023
2023-12-21
434515.24000000
CAD
-8738.60000000
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TOTALENERGIES SE MTN 1.625000% MATURITY: PERPETUAL
N/A
270000.00000000
PA
238483.37000000
0.054344930121
Long
DBT
NUSS
FR
N
2
2172-01-25
Fixed
1.62500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 4.000000% 10/22/2063
N/A
1493000.00000000
PA
1573607.79000000
0.358589386699
Long
DBT
NUSS
GB
N
2
2063-10-22
Fixed
4.00000000
N
N
N
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.500000% 09/15/2028
N/A
390000.00000000
PA
362069.77000000
0.082507456808
Long
DBT
NUSS
FI
N
2
2028-09-15
Fixed
0.50000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-10-10
N/A
1.00000000
NC
2467.40000000
0.000562264281
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
451150.64000000
USD
3300000.00000000
CNY
2023-10-10
2467.40000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1722.30000000
-0.00039247295
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
111643.81000000
USD
16400000.00000000
JPY
2023-10-04
-1722.30000000
N
N
N
AUST 10Y BOND FUT DEC23
N/A
AUST 10Y BOND FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-8.00000000
NC
-578136.64000000
-0.13174417696
Short
AU
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
429833.62000000
0.097949295344
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
12311705.56000000
EUR
13469245.96000000
USD
2023-10-12
429833.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
6928.02000000
0.001578738017
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
295000.00000000
CHF
329440.72000000
USD
2023-10-04
6928.02000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-12
N/A
1.00000000
NC
-10913.30000000
-0.00248689259
N/A
DFE
XX
N
2
EURO
N/A
252239.77000000
USD
227858.46000000
EUR
2023-10-12
-10913.30000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2004.83000000
-0.00045685511
N/A
DFE
XX
N
2
EURO
N/A
100472.27000000
USD
93000.00000000
EUR
2023-10-04
-2004.83000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 1.500000% 05/15/2050
N/A
250000.00000000
PA
166671.08000000
0.037980544286
Long
DBT
NUSS
IE
N
2
2050-05-15
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-2549.50000000
-0.00058097300
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
555000.00000000
NZD
330779.83000000
USD
2023-11-03
-2549.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-3391.73000000
-0.00077289804
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1840000.00000000
SEK
165981.16000000
USD
2023-10-04
-3391.73000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1121.93000000
0.000255662302
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
163000.00000000
RON
35817.26000000
USD
2023-10-04
1121.93000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.900000% 06/20/2042
N/A
80100000.00000000
PA
493579.18000000
0.112475457079
Long
DBT
NUSS
JP
N
2
2042-06-20
Fixed
0.90000000
N
N
N
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.625000% 09/22/2038
N/A
100000.00000000
PA
76373.88000000
0.017403868335
Long
DBT
NUSS
GB
N
2
2038-09-22
Fixed
2.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-5855.05000000
-0.00133423258
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
925000.00000000
NZD
549693.83000000
USD
2023-11-03
-5855.05000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
198.57000000
0.000045249581
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
131551.74000000
USD
2290000.00000000
MXN
2023-10-04
198.57000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
2424.30000000
0.000552442772
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
110797.80000000
USD
1230000.00000000
SEK
2023-10-04
2424.30000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-2679.30000000
-0.00061055146
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
860000.00000000
AUD
552846.36000000
USD
2023-11-03
-2679.30000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.120000% 09/13/2031
N/A
9540000.00000000
PA
1325674.38000000
0.302091007624
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
485626.97000000
0.110663329479
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
238994.51000000
0.054461407289
Long
DBT
NUSS
FR
N
2
2025-03-30
Fixed
2.12500000
N
N
N
N
N
N
OMERS Finance Trust
529900M039WCPES03P17
OMERS FINANCE TRUST 144A 4.000000% 04/20/2028
682142AJ3
250000.00000000
PA
USD
237816.20000000
0.054192897268
Long
DBT
NUSS
CA
N
2
2028-04-20
Fixed
4.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-11-02
N/A
1.00000000
NC
371.40000000
0.000084633603
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
329815.50000000
USD
49000000.00000000
JPY
2023-11-02
371.40000000
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 0.010000% 10/05/2028
N/A
637000.00000000
PA
560452.90000000
0.127714455254
Long
DBT
NUSS
CA
N
2
2028-10-05
Fixed
0.01000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-11-17
N/A
1.00000000
NC
USD
282573.06000000
0.064391966617
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
10737805.06000000
GBP
13389205.36000000
USD
2023-11-17
282573.06000000
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
463357.44000000
0.105588610636
Long
DBT
NUSS
NZ
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-12-11
N/A
1.00000000
NC
9876.75000000
0.002250686446
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
10530004.15000000
USD
114076800.00000000
SEK
2023-12-11
9876.75000000
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 10/12/2023
912797FA0
2495000.00000000
PA
USD
2491342.40000000
0.567720208905
Long
DBT
UST
US
N
2
2023-10-12
None
0.00000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.900000% 06/22/2029
N/A
866000.00000000
PA
810547.25000000
0.184705263354
Long
DBT
NUSS
BE
N
2
2029-06-22
Fixed
0.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-3916.90000000
-0.00089257232
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
375000.00000000
NZD
221398.50000000
USD
2023-10-04
-3916.90000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2038
N/A
1262000.00000000
PA
840032.82000000
0.191424353415
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 2023-10-04
N/A
1.00000000
NC
USD
-13694.21000000
-0.00312059866
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3598000.00000000
NZD
2148131.93000000
USD
2023-10-04
-13694.21000000
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNPP 8.5 PERP
05565A5R0
200000.00000000
PA
USD
195664.52000000
0.044587489126
Long
DBT
CORP
FR
N
2
2172-02-14
Fixed
8.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.800000% 12/01/2028
N/A
123000.00000000
PA
122154.83000000
0.027836304478
Long
DBT
NUSS
IT
N
2
2028-12-01
Fixed
2.80000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.813000% 10/25/2028
N/A
435000.00000000
PA
466833.65000000
0.106380759747
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
369400000.00000000
PA
2737434.09000000
0.623798901925
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
734276.81000000
0.167324966639
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
24.00000000
NC
2941207.61000000
0.670234247521
N/A
DIR
DE
N
1
EURO-BOBL FUTURE DEC23
N/A
Long
Germany Govt. Bond Futures
Euro-BOBL Future Dec 2023
2023-12-10
3028571.55000000
EUR
-87363.94000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-04
N/A
1.00000000
NC
USD
9277.78000000
0.002114194821
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
177000.00000000
GBP
225315.69000000
USD
2023-10-04
9277.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
25707.45000000
0.005858142535
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
990000.00000000
CHF
1108038.20000000
USD
2023-10-04
25707.45000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.000000% 06/01/2032
135087N59
1046000.00000000
PA
657587.40000000
0.149849196201
Long
DBT
NUSS
CA
N
2
2032-06-01
Fixed
2.00000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 3.500000% 12/01/2045
135087ZS6
556000.00000000
PA
385474.14000000
0.087840779849
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/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2010.53000000
0.000458154010
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
300000.00000000
CAD
223908.33000000
USD
2023-10-04
2010.53000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.500000% 04/15/2026
N/A
5153000000.00000000
PA
326391.12000000
0.074377104821
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
709257.46000000
0.161623626426
Long
DBT
NUSS
ES
N
2
2041-07-30
Fixed
4.70000000
N
N
N
N
N
N
SkyMiles IP Ltd.
2549008L7P4I8VB90936
DELTA AIR LINES INC / SKYMILES IP LTD 144A 4.500000% 10/20/2025
830867AA5
176166.00000000
PA
USD
171109.74000000
0.038992013839
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
186879.97000000
0.042585690192
Long
DBT
NUSS
NL
N
2
2171-12-29
Fixed
4.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3328.85000000
0.000758569122
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3790000.00000000
MXN
221378.50000000
USD
2023-10-04
3328.85000000
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC MTN 0.603000% 09/13/2029
N/A
135000.00000000
PA
115157.71000000
0.026241820144
Long
DBT
NUSS
GB
N
2
2029-09-13
Fixed
0.60300000
N
N
N
N
N
N
Blackstone Property Partners Europe Holdings S.a r.l.
213800Y3B5GQFBGVHP79
BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 2.000000% 10/20/2025
N/A
109000.00000000
PA
118084.27000000
0.026908716534
Long
DBT
NUSS
LU
N
2
2025-10-20
Fixed
2.00000000
N
N
N
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-4.00000000
NC
-3885675.99000000
-0.88545708722
N/A
DIR
JP
N
1
JPN 10Y BOND(OSE) DEC23
N/A
Short
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Dec 2023
2023-12-16
-3972245.56000000
JPY
86569.57000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3578.67000000
0.000815497412
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
150000.00000000
CHF
167568.18000000
USD
2023-10-04
3578.67000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-55613.06000000
-0.01267295014
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
1364046.03000000
USD
1072000.00000000
GBP
2023-10-04
-55613.06000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 7.119000% 06/27/2034
06738ECH6
233000.00000000
PA
USD
224410.05000000
0.051137940921
Long
DBT
NUSS
GB
N
2
2034-06-27
Fixed
7.11900000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-39.00000000
NC
USD
-7905726.56000000
-1.80153508172
N/A
DIR
US
N
1
US 2YR NOTE (CBT) DEC23
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Dec 2023
2024-01-01
-7924345.12000000
USD
18618.56000000
N
N
N
PUBLIC STORAGE OPERATING COMPANY
549300LMZF40TKJ6DM64
PUBLIC STORAGE OPERATING CO 0.500000% 09/09/2030
N/A
260000.00000000
PA
210706.50000000
0.048015213885
Long
DBT
NUSS
US
N
2
2030-09-09
Fixed
0.50000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.875000% 09/01/2030
N/A
347000.00000000
PA
245841.45000000
0.056021669021
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
281729.20000000
0.064199670137
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
420064.58000000
0.095723153554
Long
DBT
NUSS
DE
N
2
2024-01-31
Fixed
1.87500000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 4.625000% 05/23/2029
N/A
290000.00000000
PA
321413.30000000
0.073242772980
Long
DBT
NUSS
NL
N
2
2029-05-23
Fixed
4.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-3416.99000000
-0.00077865422
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
628000.00000000
NZD
373911.20000000
USD
2023-10-04
-3416.99000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2481.58000000
-0.00056549558
N/A
DFE
XX
N
2
EURO
N/A
221651.05000000
USD
207000.00000000
EUR
2023-10-04
-2481.58000000
N
N
N
AVIVA PLC
YF0Y5B0IB8SM0ZFG9G81
AVIVA PLC 6.125000% 11/14/2036
N/A
220000.00000000
PA
266647.63000000
0.060762923718
Long
DBT
NUSS
GB
N
2
2036-11-14
Fixed
6.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-10-10
N/A
1.00000000
NC
USD
-1214.69000000
-0.00027680019
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
812000.00000000
CNY
110402.84000000
USD
2023-10-10
-1214.69000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.875000% 06/17/2049
N/A
12489000.00000000
PA
238730.74000000
0.054401300112
Long
DBT
NUSS
TH
N
2
2049-06-17
Fixed
1.87500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-872.63000000
-0.00019885250
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
109501.86000000
USD
89000.00000000
GBP
2023-10-04
-872.63000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
448.65000000
0.000102237119
N/A
DFE
MY
N
2
MALAYSIAN RINGGIT
N/A
239214.76000000
USD
1125000.00000000
MYR
2023-10-04
448.65000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 1.250000% 05/31/2032
N/A
300000.00000000
PA
262304.26000000
0.059773168587
Long
DBT
NUSS
NL
N
2
2032-05-31
Fixed
1.25000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2087.46000000
-0.00047568460
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
219919.72000000
USD
32500000.00000000
JPY
2023-10-04
-2087.46000000
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC MTN 1.250000% 09/18/2024
N/A
500000.00000000
PA
514708.11000000
0.117290259152
Long
DBT
NUSS
GB
N
2
2024-09-18
Fixed
1.25000000
N
N
N
N
N
N
N/A
N/A
N/A
N/A
19590000.00000000
NC
6390.74000000
0.001456304138
N/A
DIR
XX
N
2
N/A
N/A
Y
2028-09-28
0.00000000
CNY
0.00000000
CNY
-19590000.00000000
CNY
6390.74000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 8.250000% 09/29/2032
N/A
435000.00000000
PA
99278.11000000
0.022623220858
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
236329.95000000
0.053854214733
Long
DBT
NUSS
US
N
2
2028-03-08
Fixed
1.37500000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
4086.43000000
0.000931204355
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
334757.33000000
USD
525000.00000000
AUD
2023-10-04
4086.43000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.125000% 12/20/2023
N/A
345000.00000000
PA
417495.06000000
0.095137618450
Long
DBT
NUSS
US
N
2
2023-12-20
Fixed
2.12500000
N
N
N
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 1.750000% 11/11/2033
N/A
3645000.00000000
PA
301122.99000000
0.068619073311
Long
DBT
NUSS
SE
N
2
2033-11-11
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
547.22000000
0.000124698978
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
169000.00000000
AUD
109622.64000000
USD
2023-10-04
547.22000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-12-07
N/A
1.00000000
NC
USD
-17689.41000000
-0.00403101377
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
11580321.27000000
SEK
1051894.94000000
USD
2023-12-07
-17689.41000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-528.43000000
-0.00012041716
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1270000.00000000
CZK
54637.76000000
USD
2023-11-03
-528.43000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1096.92000000
-0.00024996309
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
109258.75000000
USD
1880000.00000000
MXN
2023-10-04
-1096.92000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2039
N/A
218750000.00000000
PA
1692653.71000000
0.385717241373
Long
DBT
NUSS
JP
N
2
2039-03-20
Fixed
2.30000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2040
N/A
24044.00000000
PA
27509.89000000
0.006268877572
Long
DBT
NUSS
GB
N
2
2040-12-07
Fixed
4.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-11-03
N/A
1.00000000
NC
-3205.10000000
-0.00073036931
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
220176.02000000
USD
3790000.00000000
MXN
2023-11-03
-3205.10000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
7922700.00000000
PA
401343.55000000
0.091457057066
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1836.26000000
-0.00041844184
N/A
DFE
CH
N
2
SWISS FRANC
N/A
44473.53000000
USD
39000.00000000
CHF
2023-10-04
-1836.26000000
N
N
N
VISTRA CORP.
549300KP43CPCUJOOG15
VISTRA CORP 144A 7.000000% MATURITY: PERPETUAL
92840MAC6
68000.00000000
PA
USD
62050.00000000
0.014139782216
Long
DBT
CORP
US
N
2
2172-06-15
Fixed
7.00000000
N
N
N
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.000000% 12/13/2028
N/A
585000.00000000
PA
522794.32000000
0.119132922301
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
344961.18000000
0.078608798683
Long
DBT
NUSS
ES
N
2
2037-07-30
Fixed
0.85000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-5034.44000000
-0.00114723424
N/A
DFE
CH
N
2
SWISS FRANC
N/A
223687.12000000
USD
200000.00000000
CHF
2023-10-04
-5034.44000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.800000% 03/20/2043
N/A
158250000.00000000
PA
1127172.68000000
0.256856989774
Long
DBT
NUSS
JP
N
2
2043-03-20
Fixed
1.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-4182.68000000
-0.00095313753
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
920000.00000000
NZD
548363.24000000
USD
2023-11-03
-4182.68000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-12-18
N/A
1.00000000
NC
USD
53047.56000000
0.012088331112
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
13801300.00000000
PLN
3207068.83000000
USD
2023-12-18
53047.56000000
N
N
N
Prologis Euro Finance LLC
549300MI5D1784PRQH06
PROLOGIS EURO FINANCE LLC 0.375000% 02/06/2028
74341EAE2
286000.00000000
PA
256173.95000000
0.058376210516
Long
DBT
NUSS
US
N
2
2028-02-06
Fixed
0.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.125000% 07/31/2028
91282CHQ7
3866000.00000000
PA
USD
3782639.38000000
0.861977389790
Long
SN
UST
US
N
2
2028-07-31
Fixed
4.12500000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.75% 12/01/2048
135087D35
400000.00000000
PA
243041.42000000
0.055383605936
Long
DBT
CORP
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1058837.58000000
0.241284976370
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
6359238000.00000000
JPY
43681827.41000000
USD
2023-10-04
1058837.58000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 12/20/2026
N/A
894850000.00000000
PA
5990292.91000000
1.365051364384
Long
DBT
NUSS
JP
N
2
2026-12-20
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
-42615.24000000
-0.00971104291
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
11753000.70000000
EUR
12405068.93000000
USD
2023-10-12
-42615.24000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1832.16000000
-0.00041750754
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
447169.68000000
USD
690000.00000000
AUD
2023-10-04
-1832.16000000
N
N
N
United States of America
N/A
US 10YR ULTRA FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-21.00000000
NC
USD
-2342812.50000000
-0.53387362649
N/A
DIR
US
N
1
US 10YR ULTRA FUT DEC23
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Dec 2023
2023-12-22
-2408565.81000000
USD
65753.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-11-02
N/A
1.00000000
NC
USD
1890.73000000
0.000430854317
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
65200000.00000000
JPY
441241.46000000
USD
2023-11-02
1890.73000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-81838.25000000
-0.01864907384
N/A
DFE
XX
N
2
EURO
N/A
2816692.02000000
USD
2583000.00000000
EUR
2023-10-04
-81838.25000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 3.500000% 04/14/2033
N/A
836000.00000000
PA
434639.03000000
0.099044338871
Long
DBT
NUSS
NZ
N
2
2033-04-14
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2032300.56000000
0.463115025249
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
64144000.00000000
EUR
69947306.53000000
USD
2023-10-04
2032300.56000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3063.31000000
-0.00069805860
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
112314.57000000
USD
16300000.00000000
JPY
2023-10-04
-3063.31000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-11-03
N/A
1.00000000
NC
-1092.84000000
-0.00024903335
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
219567.67000000
USD
179000.00000000
GBP
2023-11-03
-1092.84000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-27
N/A
1.00000000
NC
16278.86000000
0.003709581549
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
1387839.87000000
USD
1897483.26000000
CAD
2023-10-27
16278.86000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.250000% 03/10/2026
N/A
101780000.00000000
PA
70848.63000000
0.016144789662
Long
DBT
NUSS
KR
N
2
2026-03-10
Fixed
1.25000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3768.36000000
-0.00085872344
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
222941.12000000
USD
32700000.00000000
JPY
2023-10-04
-3768.36000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-11-20
N/A
1.00000000
NC
USD
36259.06000000
0.008262614210
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
162800000.00000000
JPY
1136247.05000000
USD
2023-11-20
36259.06000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
1919300000.00000000
PA
394701.50000000
0.089943485100
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/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
16029.62000000
0.003652785428
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
395000.00000000
CHF
447868.66000000
USD
2023-10-04
16029.62000000
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A MATURITY: PERPETUAL
853254AA8
300000.00000000
PA
USD
278356.05000000
0.063431006053
Long
DBT
NUSS
GB
Y
2
2172-07-30
Floating
7.14072960
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
850000.00000000
PA
560383.17000000
0.127698565375
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-27
N/A
1.00000000
NC
USD
163.66000000
0.000037294387
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1094892.26000000
CAD
810373.04000000
USD
2023-10-27
163.66000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-11-02
N/A
1.00000000
NC
USD
936.64000000
0.000213438930
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
32600000.00000000
JPY
220612.01000000
USD
2023-11-02
936.64000000
N
N
N
DOLLARAMA INC.
5493002GJ0NJP1HI0C79
DOLLARAMA INC 5.533000% 09/26/2028
25675TAQ0
471000.00000000
PA
347616.81000000
0.079213956296
Long
DBT
NUSS
CA
N
2
2028-09-26
Fixed
5.53300000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
66244.39000000
0.015095588197
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1480847.87000000
EUR
1634620.59000000
USD
2023-10-12
66244.39000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 07/31/2053
N/A
11033000.00000000
PA
517948.20000000
0.118028601891
Long
DBT
NUSS
MX
N
2
2053-07-31
Fixed
8.00000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.000000% 02/01/2028
N/A
1046000.00000000
PA
1017806.47000000
0.231934920616
Long
DBT
NUSS
IT
N
2
2028-02-01
Fixed
2.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-11-03
N/A
1.00000000
NC
2136.02000000
0.000486750324
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
219966.63000000
USD
2360000.00000000
NOK
2023-11-03
2136.02000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
7551000000.00000000
PA
547145.80000000
0.124682070147
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 09/06/2029
N/A
6471000.00000000
PA
535955.47000000
0.122132048726
Long
DBT
NUSS
NO
N
2
2029-09-06
Fixed
1.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1106.59000000
-0.00025216666
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
263685.66000000
USD
355000.00000000
CAD
2023-10-04
-1106.59000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.750000% 10/22/2053
N/A
1310000.00000000
PA
1315756.13000000
0.299830864273
Long
DBT
NUSS
GB
N
2
2053-10-22
Fixed
3.75000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-9294.73000000
-0.00211805734
N/A
DFE
CH
N
2
SWISS FRANC
N/A
441133.77000000
USD
395000.00000000
CHF
2023-10-04
-9294.73000000
N
N
N
Treasury Corporation Of Victoria
549300ZJM7BQW1P9UV75
TREASURY CORP OF VICTORIA MTN 2.000000% 11/20/2037
N/A
1335000.00000000
PA
570834.14000000
0.130080103486
Long
DBT
NUSS
AU
N
2
2037-11-20
Fixed
2.00000000
N
N
N
N
N
N
LES COMPAGNIES LOBLAW LIMITEE
5493008LN3O1DIDTSH67
LOBLAW COS LTD 5.008000% 09/13/2032
539481AP6
483000.00000000
PA
341601.04000000
0.077843099282
Long
DBT
NUSS
CA
N
2
2032-09-13
Fixed
5.00800000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.600000% 09/20/2037
N/A
81600000.00000000
PA
512090.92000000
0.116693861141
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/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
59789.00000000
0.013624551795
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
31763000.00000000
MXN
1887206.12000000
USD
2023-10-04
59789.00000000
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
131885.76000000
0.030053761867
Long
DBT
NUSS
GB
N
2
2025-09-12
Fixed
1.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-12
N/A
1.00000000
NC
12.11000000
0.000002759593
N/A
DFE
XX
N
2
EURO
N/A
402044.52000000
USD
379618.55000000
EUR
2023-10-12
12.11000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-11-03
N/A
1.00000000
NC
-916.02000000
-0.00020874010
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
220611.38000000
USD
180000.00000000
GBP
2023-11-03
-916.02000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
642.06000000
0.000146310855
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
10319000.00000000
CAD
7633186.87000000
USD
2023-10-04
642.06000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-04
N/A
1.00000000
NC
USD
4999.45000000
0.001139260825
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
179000.00000000
GBP
223478.46000000
USD
2023-10-04
4999.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-10-04
N/A
1.00000000
NC
USD
8390.11000000
0.001911915039
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
14086000.00000000
THB
395272.00000000
USD
2023-10-04
8390.11000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
197300000.00000000
PA
1396298.28000000
0.318184586436
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2693.63000000
-0.00061381694
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
221866.39000000
USD
32700000.00000000
JPY
2023-10-04
-2693.63000000
N
N
N
APTIV PLC
N/A
APTIV PLC 1.500000% 03/10/2025
03835VAC0
440000.00000000
PA
447767.58000000
0.102036036499
Long
DBT
NUSS
US
N
2
2025-03-10
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
4430.02000000
0.001009500693
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
384780.75000000
EUR
411953.97000000
USD
2023-10-12
4430.02000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 3.500000% 12/01/2048
74814ZEW9
520000.00000000
PA
308230.77000000
0.070238774539
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-1812.27000000
-0.00041297507
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
185000.00000000
NZD
109343.33000000
USD
2023-10-04
-1812.27000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-472.62000000
-0.00010769933
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
5842000.00000000
SEK
537286.31000000
USD
2023-10-04
-472.62000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1370.90000000
0.000312396896
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
221366.02000000
USD
2370000.00000000
NOK
2023-10-04
1370.90000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2052
N/A
421000.00000000
PA
183631.62000000
0.041845465186
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
1200139.84000000
0.273484544188
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
233106.85000000
0.053119743628
Long
DBT
NUSS
IT
N
2
2032-06-03
Fixed
3.12700000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
278.29000000
0.000063415954
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
316375.37000000
USD
3440000.00000000
SEK
2023-10-04
278.29000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.500000% 05/25/2050
N/A
1786000.00000000
PA
1166157.72000000
0.265740792760
Long
DBT
NUSS
FR
N
2
2050-05-25
Fixed
1.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-02
N/A
1.00000000
NC
USD
-3800.69000000
-0.00086609071
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
920253.47000000
EUR
970517.71000000
USD
2023-10-02
-3800.69000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
2757800000.00000000
PA
688058.89000000
0.156792954982
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-13580.19000000
-0.00309461610
N/A
DFE
CH
N
2
SWISS FRANC
N/A
445419.23000000
USD
395000.00000000
CHF
2023-10-04
-13580.19000000
N
N
N
CDP FINANCIERE INC.
549300OXMGVYFCBFV096
CDP FINANCIAL INC 144A 1.125000% 04/06/2027
BV6010102
1062000.00000000
PA
1030379.84000000
0.234800105363
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
217709.55000000
0.049611049531
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
1080000.00000000
PA
590761.58000000
0.134621113344
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
369564.43000000
0.084215319180
Long
DBT
NUSS
US
N
2
2024-09-23
Fixed
2.37500000
N
N
N
N
N
N
New South Wales Treasury Corporation
TC7LRO17HPNPLTAV0H77
NEW S WALES TREASURY CRP 3.500000% 11/20/2037
N/A
1166000.00000000
PA
615307.47000000
0.140214562803
Long
DBT
NUSS
AU
N
2
2037-11-20
Fixed
3.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-11-03
N/A
1.00000000
NC
9244.72000000
0.002106661199
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
1289780.99000000
USD
2011000.00000000
AUD
2023-11-03
9244.72000000
N
N
N
Vivion Investments S.a r.l.
529900SJ7X71ESJK9N76
VIVION INVESTMENTS SARL 3.000000% 08/08/2024
N/A
200000.00000000
PA
192692.51000000
0.043910235715
Long
DBT
NUSS
LU
N
2
2024-08-08
Fixed
3.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 3.622000% 08/14/2030
N/A
410000.00000000
PA
469569.85000000
0.107004277427
Long
DBT
NUSS
GB
N
2
2030-08-14
Fixed
3.62200000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
23967.83000000
0.005461722746
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1085494.59000000
EUR
1173622.64000000
USD
2023-10-12
23967.83000000
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTALENERGIES CAPITAL INTERNATIONAL SA MTN 2.500000% 03/25/2026
N/A
400000.00000000
PA
408973.97000000
0.093195856051
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/SGD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
11994.07000000
0.002733175466
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1649000.00000000
SGD
1220206.14000000
USD
2023-10-04
11994.07000000
N
N
N
Japan
N/A
10YR MINI JGB FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
-291506.11000000
-0.06642760532
N/A
DIR
SG
N
1
10YR MINI JGB FUT DEC23
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Dec 2023
2023-12-15
-297899.99000000
JPY
6393.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-43.53000000
-0.00000991949
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
300000.00000000
CAD
221854.27000000
USD
2023-10-04
-43.53000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 4.125000% 07/15/2033
500769JY1
950000.00000000
PA
USD
902998.52000000
0.205772802813
Long
DBT
NUSS
DE
N
2
2033-07-15
Fixed
4.12500000
N
N
N
N
N
N
THAILAND BAHT
N/A
FX Forward Contract: THB/USD SETTLE 2023-10-04
N/A
1.00000000
NC
6820.88000000
0.001554323250
N/A
DFE
TH
N
2
THAILAND BAHT
N/A
2053161.78000000
USD
75002000.00000000
THB
2023-10-04
6820.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
6967.30000000
0.001587689035
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
195000.00000000
CHF
220153.66000000
USD
2023-10-04
6967.30000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-11-03
N/A
1.00000000
NC
810.93000000
0.000184792483
N/A
DFE
XX
N
2
EURO
N/A
205886.50000000
USD
195000.00000000
EUR
2023-11-03
810.93000000
N
N
N
New Zealand
549300237GPHG2AI7C34
New Zealand Government Bond 2.500000% 09/20/2035
N/A
769000.00000000
PA
546932.54000000
0.124633473048
Long
DBT
NUSS
NZ
N
2
2035-09-20
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-11981.85000000
-0.00273039080
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
4940000.00000000
SEK
442747.54000000
USD
2023-10-04
-11981.85000000
N
N
N
Heineken N.V.
724500K5PTPSST86UQ23
HEINEKEN NV MTN 1.000000% 05/04/2026
N/A
335000.00000000
PA
330784.97000000
0.075378363195
Long
DBT
NUSS
NL
N
2
2026-05-04
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
13990.74000000
0.003188171098
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1149618.24000000
EUR
1231559.35000000
USD
2023-10-12
13990.74000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 1.750000% 05/15/2041
N/A
77000.00000000
PA
26720.59000000
0.006089014074
Long
DBT
NUSS
NZ
N
2
2041-05-15
Fixed
1.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-12
N/A
1.00000000
NC
-8927.55000000
-0.00203438537
N/A
DFE
XX
N
2
EURO
N/A
207637.38000000
USD
187620.18000000
EUR
2023-10-12
-8927.55000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-11-02
N/A
1.00000000
NC
-1694.59000000
-0.00038615847
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
550883.00000000
USD
81500000.00000000
JPY
2023-11-02
-1694.59000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 04/25/2028
N/A
2890000.00000000
PA
597855.69000000
0.136237699491
Long
DBT
NUSS
PL
N
2
2028-04-25
Fixed
2.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2008.00000000
-0.00045757748
N/A
DFE
XX
N
2
EURO
N/A
155532.51000000
USD
145000.00000000
EUR
2023-10-04
-2008.00000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-11-17
N/A
1.00000000
NC
USD
7085.77000000
0.001614685650
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
219280.78000000
GBP
274741.27000000
USD
2023-11-17
7085.77000000
N
N
N
BRK: MORGAN STANLEY CAPITAL SERVICES LLC
N/A
BRK: MORGAN STANLEY CAPITAL SERVICES LLC REC:JPY/TONAR/1D/MUTKCALM/0.00000
N/A
124710000.00000000
NC
99239.67000000
0.022614461257
N/A
DIR
XX
N
2
BRK: MORGAN STANLEY CAPITAL SERVICES LLC
N/A
Y
2053-06-09
420.52000000
JPY
0.00000000
JPY
-124710000.00000000
JPY
98819.15000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 1.000000% 01/20/2026
05578AAP3
950000.00000000
PA
USD
849564.44000000
0.193596392593
Long
DBT
NUSS
FR
N
2
2026-01-20
Fixed
1.00000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-11-03
N/A
1.00000000
NC
2170.17000000
0.000494532331
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
114249.79000000
USD
836000.00000000
CNY
2023-11-03
2170.17000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-11-03
N/A
1.00000000
NC
5728.42000000
0.001305376490
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
222008.50000000
USD
2470000.00000000
SEK
2023-11-03
5728.42000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2424.53000000
0.000552495184
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
145000.00000000
EUR
155949.04000000
USD
2023-10-04
2424.53000000
N
N
N
AGEAS SA
5493005DJBML6LY3RV36
AGEAS SA/NV 1.875000% 11/24/2051
N/A
200000.00000000
PA
153489.98000000
0.034976871709
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
1163290.24000000
0.265087359357
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
921012.97000000
0.209877885806
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/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
27344.72000000
0.006231239090
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
911275.27000000
EUR
992482.65000000
USD
2023-10-12
27344.72000000
N
N
N
ROGERS COMMUNICATIONS INC
5493000M6Z4XFIP6PF03
ROGERS COMMUNICATIONS INC 3.800000% 11/02/2023
775109CN9
800000.00000000
PA
590692.31000000
0.134605328288
Long
DBT
NUSS
CA
N
2
2023-11-02
Fixed
3.80000000
N
N
N
N
N
N
Digital Dutch Finco B.V.
549300ONZ5IS6B6IMJ70
DIGITAL DUTCH FINCO BV 0.625000% 07/15/2025
N/A
136000.00000000
PA
133178.95000000
0.030348450424
Long
DBT
NUSS
US
N
2
2025-07-15
Fixed
0.62500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-5515.81000000
-0.00125692751
N/A
DFE
XX
N
2
EURO
N/A
221508.91000000
USD
204000.00000000
EUR
2023-10-04
-5515.81000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-9485.27000000
-0.00216147706
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2011000.00000000
AUD
1288447.70000000
USD
2023-10-04
-9485.27000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.640000% 01/15/2028
N/A
19040000.00000000
PA
2614631.83000000
0.595815062890
Long
DBT
NUSS
CN
N
2
2028-01-15
Fixed
2.64000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-27
N/A
1.00000000
NC
-859.14000000
-0.00019577844
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
399728.16000000
USD
539019.44000000
CAD
2023-10-27
-859.14000000
N
N
N
SOCIETE NATIONALE SNCF SA
969500A4MXJ3ESPHK698
SOC NATIONALE SNCF SACA 1.000000% 05/25/2040
N/A
700000.00000000
PA
456343.29000000
0.103990245552
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
288386.35000000
0.065716683049
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
5.37500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-11-03
N/A
1.00000000
NC
1493.76000000
0.000340393893
N/A
DFE
XX
N
2
EURO
N/A
217923.51000000
USD
207000.00000000
EUR
2023-11-03
1493.76000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/HKD SETTLE 2024-04-12
N/A
1.00000000
NC
USD
1442.45000000
0.000328701512
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2720000.00000000
HKD
350163.50000000
USD
2024-04-12
1442.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-10-10
N/A
1.00000000
NC
USD
-509.85000000
-0.00011618320
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
805000.00000000
CNY
110145.46000000
USD
2023-10-10
-509.85000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1667.68000000
0.000380026301
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
110689.60000000
USD
187000.00000000
NZD
2023-10-04
1667.68000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-9020.43000000
-0.00205555061
N/A
DFE
CH
N
2
SWISS FRANC
N/A
389476.09000000
USD
348000.00000000
CHF
2023-10-04
-9020.43000000
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
222493.78000000
0.050701266619
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
1527915.17000000
0.348177078952
Long
DBT
NUSS
CA
N
2
2031-04-16
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-25927.50000000
-0.00590828692
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
5640000.00000000
AUD
3617287.32000000
USD
2023-11-03
-25927.50000000
N
N
N
OEC FINANCE LIMITED
N/A
OEC FINANCE LTD 4.375000% 10/25/2029
G6714RAD9
118740.00000000
PA
USD
4749.60000000
0.001082325698
Long
DBT
NUSS
BR
N
2
2029-10-25
Fixed
0.00000000
N
N
Y
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-3702.04000000
-0.00084361062
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3547000.00000000
MXN
199357.56000000
USD
2023-11-03
-3702.04000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 05/15/2036
D2R8H4GD5
1748000.00000000
PA
1284337.96000000
0.292671378673
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/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
154.61000000
0.000035232098
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
300000.00000000
CAD
222052.41000000
USD
2023-10-04
154.61000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2567.98000000
0.000585184173
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
150000.00000000
GBP
185650.95000000
USD
2023-10-04
2567.98000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3026.94000000
-0.00068977070
N/A
DFE
XX
N
2
EURO
N/A
222196.41000000
USD
207000.00000000
EUR
2023-10-04
-3026.94000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3481.76000000
-0.00079341382
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
222654.52000000
USD
32700000.00000000
JPY
2023-10-04
-3481.76000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.500000% 05/21/2030
N/A
1401000.00000000
PA
811668.98000000
0.184960880081
Long
DBT
NUSS
AU
N
2
2030-05-21
Fixed
2.50000000
N
N
N
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST MTN 0.100000% 05/19/2028
N/A
772000.00000000
PA
692400.39000000
0.157782283983
Long
DBT
NUSS
CA
N
2
2028-05-19
Fixed
0.10000000
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
294479.04000000
0.067105068378
Long
DBT
NUSS
FR
N
2
2026-02-19
Fixed
0.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 0.835000% 06/26/2032
N/A
600000.00000000
PA
479692.54000000
0.109311008000
Long
DBT
NUSS
US
N
2
2032-06-26
Fixed
0.83500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.125000% 09/10/2025
N/A
1184330000.00000000
PA
832775.79000000
0.189770641510
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
592594.91000000
0.135038887509
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
207105.06000000
0.047194527708
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
100277.01000000
0.022850847424
Long
DBT
NUSS
US
N
2
2028-03-08
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2023-10-02
N/A
1.00000000
NC
USD
-3516.66000000
-0.00080136674
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3887900.00000000
PEN
1021813.98000000
USD
2023-10-02
-3516.66000000
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
5707.86000000
0.001300691334
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
309491.38000000
0.070526038856
Long
DBT
NUSS
US
N
2
2031-07-15
Fixed
0.62500000
N
N
N
N
N
N
.La Compagnie de Telephone Bell du Canada ou Bell Canada.
5493000G3EFX9S7TDE29
BELL TELEPHONE CO OF CANADA OR BELL CANADA MTN 5.150000% 02/09/2053
07813ZCM4
175000.00000000
PA
113804.36000000
0.025933422492
Long
DBT
NUSS
CA
N
2
2053-02-09
Fixed
5.15000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.125000% 06/01/2026
N/A
1790000.00000000
PA
1261302.17000000
0.287422046622
Long
DBT
NUSS
SG
N
2
2026-06-01
Fixed
2.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-12-11
N/A
1.00000000
NC
USD
15884.40000000
0.003619693096
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
5734500.00000000
AUD
3724729.79000000
USD
2023-12-11
15884.40000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
3522000.00000000
PA
94338.01000000
0.021497484546
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
579109.58000000
0.131965887842
Long
DBT
NUSS
NL
N
2
2031-07-15
Fixed
0.00000000
N
N
N
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.125000% 04/15/2052
N/A
207000.00000000
PA
87563.69000000
0.019953771259
Long
DBT
NUSS
FI
N
2
2052-04-15
Fixed
0.12500000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.800000% 07/30/2029
N/A
703000.00000000
PA
637775.39000000
0.145334490211
Long
DBT
NUSS
ES
N
2
2029-07-30
Fixed
0.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1019.56000000
0.000232334510
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1510000.00000000
MXN
87894.22000000
USD
2023-10-04
1019.56000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
2374000.00000000
PA
493888.39000000
0.112545918998
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2024-04-10
N/A
1.00000000
NC
-3468.85000000
-0.00079047193
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
220639.26000000
USD
1558000.00000000
CNY
2024-04-10
-3468.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3021.33000000
0.000688492315
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
415000.00000000
EUR
442419.05000000
USD
2023-10-04
3021.33000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
PROVINCE OF ONTARIO CANADA MTN 0.250000% 12/15/2026
N/A
2337000.00000000
PA
2448570.15000000
0.557973386988
Long
DBT
NUSS
CA
N
2
2026-12-15
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
KOREA 3YR BND FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
52.00000000
NC
3971098.27000000
0.904922879901
N/A
DIR
KR
N
1
KOREA 3YR BND FUT DEC23
N/A
Long
Korea Govt. Bond Futures
KOREA 3YR BND FUT Dec 2023
2023-12-22
4047253.25000000
KRW
-76154.98000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 12/17/2029
N/A
10718000.00000000
PA
272602.36000000
0.062119871105
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
1.60000000
N
N
N
N
N
N
VEOLIA ENVIRONNEMENT SA
969500LENY69X51OOT31
VEOLIA ENVIRONNEMENT SA 1.625000% MATURITY: PERPETUAL
N/A
300000.00000000
PA
277207.23000000
0.063169216132
Long
DBT
NUSS
FR
N
2
2172-09-12
Fixed
1.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2023-11-20
N/A
1.00000000
NC
USD
67839.46000000
0.015459068333
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
8581400.00000000
ILS
2327805.24000000
USD
2023-11-20
67839.46000000
N
N
N
ENEL - SPA
WOCMU6HCI0OJWNPRZS33
ENEL SPA 2.250000% MATURITY: PERPETUAL
N/A
322000.00000000
PA
298728.97000000
0.068073530661
Long
DBT
NUSS
IT
N
2
2172-03-10
Fixed
2.25000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
3569.97000000
0.000813514880
N/A
DFE
MY
N
2
MALAYSIAN RINGGIT
N/A
1904576.81000000
USD
8957000.00000000
MYR
2023-10-04
3569.97000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 07/28/2025
N/A
1540000.00000000
PA
313025.37000000
0.071331354714
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/MXN SETTLE 2023-11-16
N/A
1.00000000
NC
USD
4836.01000000
0.001102016570
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
6485356.06000000
MXN
375288.24000000
USD
2023-11-16
4836.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-27
N/A
1.00000000
NC
USD
206.06000000
0.000046956382
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
113048.85000000
CAD
83861.08000000
USD
2023-10-27
206.06000000
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 0.000000% 11/16/2026
N/A
1067000.00000000
PA
1016525.62000000
0.231643044064
Long
DBT
NUSS
NL
N
2
2026-11-16
Fixed
0.00000000
N
N
N
N
N
N
Medtronic Global Holdings S.C.A.
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL HOLDINGS SCA 0.250000% 07/02/2025
58507LAM1
115000.00000000
PA
114100.71000000
0.026000953910
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/ZAR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-502.47000000
-0.00011450147
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2480000.00000000
ZAR
131125.70000000
USD
2023-10-04
-502.47000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.750000% 02/17/2032
N/A
16390000.00000000
PA
2242330.37000000
0.510976036891
Long
DBT
NUSS
CN
N
2
2032-02-17
Fixed
2.75000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-11504.82000000
-0.00262168653
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
400251.62000000
USD
58000000.00000000
JPY
2023-10-04
-11504.82000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3675.59000000
-0.00083758327
N/A
DFE
XX
N
2
EURO
N/A
222845.06000000
USD
207000.00000000
EUR
2023-10-04
-3675.59000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-735.91000000
-0.00016769713
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
164290.03000000
USD
134000.00000000
GBP
2023-10-04
-735.91000000
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC MTN 1.625000% 09/18/2025
N/A
415000.00000000
PA
419479.05000000
0.095589724598
Long
DBT
NUSS
ZA
N
2
2025-09-18
Fixed
1.62500000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-11-03
N/A
1.00000000
NC
979.53000000
0.000223212584
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
110071.79000000
USD
1180000.00000000
NOK
2023-11-03
979.53000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 4.200000% 07/06/2033
11070TAM0
505000.00000000
PA
USD
472887.45000000
0.107760282931
Long
DBT
NUSS
CA
N
2
2033-07-06
Fixed
4.20000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-2827.42000000
-0.00064430464
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
563000.00000000
NZD
335446.10000000
USD
2023-10-04
-2827.42000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
583.64000000
0.000132998267
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
221258.03000000
USD
2410000.00000000
SEK
2023-10-04
583.64000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1625.45000000
-0.00037040304
N/A
DFE
XX
N
2
EURO
N/A
111739.58000000
USD
104000.00000000
EUR
2023-10-04
-1625.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
5671.60000000
0.001292428506
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
49200000.00000000
JPY
335436.13000000
USD
2023-10-04
5671.60000000
N
N
N
United States of America
N/A
US LONG BOND(CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
21.00000000
NC
USD
2389406.25000000
0.544491281250
N/A
DIR
US
N
1
US LONG BOND(CBT) DEC23
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Dec 2023
2023-12-22
2522647.42000000
USD
-133241.17000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-10-10
N/A
1.00000000
NC
-623.51000000
-0.00014208373
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
112378.50000000
USD
813000.00000000
CNY
2023-10-10
-623.51000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.750000% 05/25/2052
N/A
202000.00000000
PA
100883.87000000
0.022989137001
Long
DBT
NUSS
FR
N
2
2052-05-25
Fixed
0.75000000
N
N
N
N
N
N
GLENCORE CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
213800HCUCI1HC7X6Q34
GLENCORE CAPITAL FINANCE DAC MTN 0.750000% 03/01/2029
N/A
450000.00000000
PA
387768.68000000
0.088363653272
Long
DBT
NUSS
AU
N
2
2029-03-01
Fixed
0.75000000
N
N
N
N
N
N
CZECH REPUBLIC KORUNA
N/A
FX Forward Contract: CZK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-397.01000000
-0.00009046953
N/A
DFE
CZ
N
2
CZECH REPUBLIC KORUNA
N/A
55168.79000000
USD
1260000.00000000
CZK
2023-10-04
-397.01000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.120000% 10/25/2052
N/A
2050000.00000000
PA
283911.97000000
0.064697073721
Long
DBT
NUSS
CN
N
2
2052-10-25
Fixed
3.12000000
N
N
N
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
38.00000000
NC
4956644.18000000
1.129506353417
N/A
DIR
DE
N
1
EURO-OAT FUTURE DEC23
N/A
Long
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Dec 2023
2023-12-10
5169925.58000000
EUR
-213281.40000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
11600.78000000
0.002643553629
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
64900000.00000000
JPY
446595.04000000
USD
2023-10-04
11600.78000000
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2004-A5 JPMMT 2004-A5 3A1
466247FZ1
18040.46780000
PA
USD
16642.31000000
0.003792403529
Long
ABS-MBS
US
N
2
2034-12-25
Floating
4.32637920
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-5134.75000000
-0.00117009261
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
441469.52000000
USD
65100000.00000000
JPY
2023-10-04
-5134.75000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.375000% 08/19/2030
N/A
9406000.00000000
PA
745525.07000000
0.169888188987
Long
DBT
NUSS
NO
N
2
2030-08-19
Fixed
1.37500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.500000% 01/22/2045
N/A
153000.00000000
PA
152614.56000000
0.034777383423
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 02/25/2027
N/A
2107000.00000000
PA
2006150.61000000
0.457156047039
Long
DBT
NUSS
FR
N
2
2027-02-25
Fixed
0.00000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.500000% 07/15/2028
T6052BE87
2352000.00000000
PA
2103569.67000000
0.479355632730
Long
DBT
NUSS
IT
N
2
2028-07-15
Fixed
0.50000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.100000% 09/20/2117
N/A
122000.00000000
PA
81360.80000000
0.018540273859
Long
DBT
NUSS
AT
N
2
2117-09-20
Fixed
2.10000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD 0.010000% 01/06/2029
N/A
388000.00000000
PA
336714.71000000
0.076729615930
Long
DBT
NUSS
AU
N
2
2029-01-06
Fixed
0.01000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.700000% 06/15/2030
N/A
750000.00000000
PA
762970.22000000
0.173863541473
Long
DBT
NUSS
IT
N
2
2030-06-15
Fixed
3.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-11-20
N/A
1.00000000
NC
USD
102179.86000000
0.023284463614
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
90159050.00000000
THB
2589289.20000000
USD
2023-11-20
102179.86000000
N
N
N
NATIONAL GAS TRANSMISSION PLC
FPCHGTHKVH9ZWXS7S453
NATIONAL GAS TRANSMISSION PLC MTN 1.125000% 01/14/2033
N/A
430000.00000000
PA
338686.54000000
0.077178951091
Long
DBT
NUSS
GB
N
2
2033-01-14
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
11780.50000000
0.002684507726
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
65100000.00000000
JPY
448115.27000000
USD
2023-10-04
11780.50000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-11.00000000
NC
USD
-1305562.50000000
-0.29750796808
N/A
DIR
US
N
1
US ULTRA BOND CBT DEC23
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2023
2023-12-22
-1345391.06000000
USD
39828.56000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-11-03
N/A
1.00000000
NC
3706.86000000
0.000844708994
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
272566.10000000
USD
460000.00000000
NZD
2023-11-03
3706.86000000
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
1510296.33000000
0.344162146470
N/A
DIR
DE
N
1
EURO-BTP FUTURE DEC23
N/A
Long
Italy Govt. Bond Futures
Euro-BTP Futures Dec 2023
2023-12-10
1558149.89000000
EUR
-47853.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-27
N/A
1.00000000
NC
USD
-13083.01000000
-0.00298132009
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
11901539.13000000
CAD
8793937.50000000
USD
2023-10-27
-13083.01000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-11-02
N/A
1.00000000
NC
USD
-50.19000000
-0.00001143715
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
40800000.00000000
JPY
274880.94000000
USD
2023-11-02
-50.19000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 2.950000% 12/18/2028
110709GH9
1653000.00000000
PA
1128832.72000000
0.257235275094
Long
DBT
NUSS
CA
N
2
2028-12-18
Fixed
2.95000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-11-03
N/A
1.00000000
NC
2981.53000000
0.000679422802
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
273291.43000000
USD
460000.00000000
NZD
2023-11-03
2981.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PLN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
66629.78000000
0.015183409803
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
4758000.00000000
PLN
1156634.24000000
USD
2023-10-04
66629.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
10.21000000
0.000002326626
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1260000.00000000
CZK
54781.99000000
USD
2023-10-04
10.21000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2547.17000000
-0.00058044204
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
111176.40000000
USD
89000.00000000
GBP
2023-10-04
-2547.17000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.500000% 07/31/2053
N/A
251000.00000000
PA
145992.36000000
0.033268334821
Long
DBT
NUSS
GB
N
2
2053-07-31
Fixed
1.50000000
N
N
N
N
N
N
Slovenska Republika
097900BHFM0000074794
SLOVAKIA GOVERNMENT BOND 4.000000% 10/19/2032
N/A
389000.00000000
PA
408200.21000000
0.093019533764
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
206548.15000000
0.047067620599
Long
DBT
NUSS
FR
N
2
2048-02-05
Fixed
2.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-11-03
N/A
1.00000000
NC
3400.72000000
0.000774946658
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
229807.06000000
USD
2478000.00000000
NOK
2023-11-03
3400.72000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.370000% 01/20/2027
N/A
10830000.00000000
PA
1477019.59000000
0.336579135084
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
36700000.00000000
PA
5610666.64000000
1.278543180960
Long
DBT
NUSS
CN
N
2
2051-04-12
Fixed
3.72000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 0.950000% 12/01/2031
N/A
2340000.00000000
PA
1884075.21000000
0.429337842849
Long
DBT
NUSS
IT
N
2
2031-12-01
Fixed
0.95000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.660000% 03/01/2031
N/A
4680000.00000000
PA
675798.21000000
0.153999025167
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
290541.86000000
0.066207874700
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
1459192.01000000
0.332516635509
Long
DBT
NUSS
CA
N
2
2029-06-01
Fixed
2.25000000
N
N
N
N
N
N
FISERV, INC.
GI7UBEJLXYLGR2C7GV83
FISERV INC 1.625000% 07/01/2030
337738AY4
258000.00000000
PA
228842.62000000
0.052148022701
Long
DBT
NUSS
US
N
2
2030-07-01
Fixed
1.62500000
N
N
N
N
N
N
TELUS Corporation
L2TEUTQ8OSHMJWVLCE40
TELUS CORP 5.250000% 11/15/2032
87971MBX0
482000.00000000
PA
337556.86000000
0.076921522740
Long
DBT
NUSS
CA
N
2
2032-11-15
Fixed
5.25000000
N
N
N
N
N
N
AIB GROUP PUBLIC LIMITED COMPANY
635400AKJBGNS5WNQL34
AIB GROUP PLC MTN 2.250000% 04/04/2028
N/A
266000.00000000
PA
257712.26000000
0.058726756340
Long
DBT
NUSS
IE
N
2
2028-04-04
Fixed
2.25000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.375000% 09/01/2033
N/A
430000.00000000
PA
313850.54000000
0.071519392169
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/MYR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
25324.70000000
0.005770922525
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
8957000.00000000
MYR
1933471.48000000
USD
2023-10-04
25324.70000000
N
N
N
JOHN DEERE CAPITAL CORPORATION
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAPITAL CORP MTN 4.750000% 06/08/2026
24422EWX3
230000.00000000
PA
USD
226910.76000000
0.051707795793
Long
DBT
CORP
US
N
2
2026-06-08
Fixed
4.75000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1395.50000000
-0.00031800267
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
169203.84000000
USD
260000.00000000
AUD
2023-10-04
-1395.50000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.350000% 07/30/2033
N/A
396000.00000000
PA
367833.78000000
0.083820943449
Long
DBT
NUSS
ES
N
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-11-02
N/A
1.00000000
NC
USD
-672.45000000
-0.00015323604
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
98000.00000000
CHF
106831.90000000
USD
2023-11-02
-672.45000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
183.39000000
0.000041790405
N/A
DFE
MY
N
2
MALAYSIAN RINGGIT
N/A
78852.28000000
USD
371000.00000000
MYR
2023-10-04
183.39000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
250950000.00000000
PA
1830047.30000000
0.417026112292
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-9016.75000000
-0.00205471202
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
75002000.00000000
THB
2056821.61000000
USD
2023-11-03
-9016.75000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.500000% 04/21/2033
N/A
1193000.00000000
PA
771585.97000000
0.175826874730
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
1115922.25000000
0.254293272932
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-11-03
N/A
1.00000000
NC
USD
348.59000000
0.000079435724
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
100000.00000000
CHF
110059.12000000
USD
2023-11-03
348.59000000
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.625000% 05/18/2027
N/A
225000.00000000
PA
215989.14000000
0.049219007263
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
415227.21000000
0.094620827070
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/CHF SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-3588.56000000
-0.00081775111
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2676000.00000000
CHF
2932265.32000000
USD
2023-11-03
-3588.56000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3937.96000000
-0.00089737142
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
223110.72000000
USD
32700000.00000000
JPY
2023-10-04
-3937.96000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-10-10
N/A
1.00000000
NC
571.21000000
0.000130165753
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
220601.95000000
USD
1609000.00000000
CNY
2023-10-10
571.21000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-111.92000000
-0.00002550401
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
172000.00000000
AUD
110899.75000000
USD
2023-10-04
-111.92000000
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-1304380.05000000
-0.29723851465
N/A
DIR
DE
N
1
EURO-OAT FUTURE DEC23
N/A
Short
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Dec 2023
2023-12-10
-1362387.49000000
EUR
58007.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
4011.26000000
0.000914074823
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
176511.94000000
EUR
190956.27000000
USD
2023-10-12
4011.26000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
14915.72000000
0.003398952979
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
595000.00000000
CHF
665407.43000000
USD
2023-10-04
14915.72000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.500000% 01/22/2045
N/A
931000.00000000
PA
928654.61000000
0.211619241574
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
201616.63000000
0.045943839474
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1725.47000000
0.000393195326
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
105053.09000000
USD
1160000.00000000
SEK
2023-10-04
1725.47000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
801.25000000
0.000182586631
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
110354.35000000
USD
185000.00000000
NZD
2023-10-04
801.25000000
N
N
N
CREDIT MUTUEL HOME LOAN SFH SA
9695009KQA7MMTQL8E07
CREDIT MUTUEL HOME LOAN SFH SA 0.750000% 09/15/2027
N/A
500000.00000000
PA
473425.37000000
0.107882862651
Long
DBT
NUSS
FR
N
2
2027-09-15
Fixed
0.75000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 0.250000% 03/17/2028
N/A
370000.00000000
PA
333699.25000000
0.076042461253
Long
DBT
NUSS
US
N
2
2028-03-17
Fixed
0.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3270.24000000
-0.00074521323
N/A
DFE
XX
N
2
EURO
N/A
223498.50000000
USD
208000.00000000
EUR
2023-10-04
-3270.24000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.200000% 03/13/2031
N/A
8010000.00000000
PA
271456.96000000
0.061858860524
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
152.83000000
0.000034826477
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
32392.18000000
USD
44000.00000000
CAD
2023-10-04
152.83000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 4.000000% 04/30/2035
N/A
2330000.00000000
PA
2293531.85000000
0.522643688403
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
487373.82000000
0.111061396821
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/NZD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-18696.59000000
-0.00426052716
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3598000.00000000
NZD
2142238.41000000
USD
2023-11-03
-18696.59000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 3.250000% 09/01/2028
135087Q49
2468000.00000000
PA
1744905.21000000
0.397624168537
Long
DBT
NUSS
CA
N
2
2028-09-01
Fixed
3.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-27
N/A
1.00000000
NC
USD
-94.16000000
-0.00002145692
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
387882.06000000
CAD
286934.70000000
USD
2023-10-27
-94.16000000
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 1.250000% 02/07/2029
N/A
639000.00000000
PA
570908.83000000
0.130097123636
Long
DBT
NUSS
US
N
2
2029-02-07
Fixed
1.25000000
N
N
N
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 3.000000% 09/15/2033
N/A
448000.00000000
PA
457604.98000000
0.104277755976
Long
DBT
NUSS
FI
N
2
2033-09-15
Fixed
3.00000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 1.750000% 05/15/2041
N/A
861000.00000000
PA
298784.81000000
0.068086255326
Long
DBT
NUSS
NZ
N
2
2041-05-15
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
450778.37000000
0.102722126989
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
1093371.45000000
0.249154459059
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
Canada Housing Trust No. 1
549300M44WH89JG50067
CANADA HOUSING TRUST NO 1 144A 2.100000% 09/15/2029
13509PHD8
2190000.00000000
PA
1419207.47000000
0.323405069230
Long
DBT
NUSS
CA
N
2
2029-09-15
Fixed
2.10000000
N
N
N
N
N
N
ASIAN DEVELOPMENT BANK
549300X0MVH42CY8Q105
ASIAN DEVELOPMENT BANK MTN 2.350000% 06/21/2027
N/A
410000000.00000000
PA
2958994.03000000
0.674287367670
Long
DBT
NUSS
XX
N
2
2027-06-21
Fixed
2.35000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
8.00000000
NC
USD
842875.00000000
0.192072021525
N/A
DIR
US
N
1
US 5YR NOTE (CBT) DEC23
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Dec 2023
2024-01-01
841088.15000000
USD
1786.85000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3199.43000000
-0.00072907725
N/A
DFE
XX
N
2
EURO
N/A
222368.90000000
USD
207000.00000000
EUR
2023-10-04
-3199.43000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 12/20/2030
N/A
243200000.00000000
PA
1577569.01000000
0.359492058546
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
278250.68000000
0.063406994629
Long
DBT
NUSS
IT
N
2
2051-09-01
Fixed
1.70000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2207.10000000
0.000502947837
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2240000.00000000
MXN
131080.77000000
USD
2023-10-04
2207.10000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 6.500000% MATURITY: PERPETUAL
456837AF0
200000.00000000
PA
USD
188501.53000000
0.042955206795
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
THE SOUTHERN COMPANY
549300FC3G3YU2FBZD92
SOUTHERN CO/THE 5.500000% 03/15/2029
842587DS3
320000.00000000
PA
USD
317977.64000000
0.072459864291
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
5202.19000000
0.001185460655
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
200000.00000000
CHF
223854.87000000
USD
2023-10-04
5202.19000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
447.96000000
0.000102079884
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
168004.43000000
USD
1830000.00000000
SEK
2023-10-04
447.96000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.375000% 09/01/2033
N/A
13000.00000000
PA
9488.50000000
0.002162213111
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/MYR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1016.12000000
0.000231550612
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
371000.00000000
MYR
80051.79000000
USD
2023-10-04
1016.12000000
N
N
N
CAISSE DE REFINANCEMENT DE L'HABITAT SA
969500TVVZM86W7W5I94
CAISSE DE REFINANCEMENT DE L'HABITAT SA MTN 0.125000% 04/30/2027
N/A
500000.00000000
PA
467433.37000000
0.106517422280
Long
DBT
NUSS
FR
N
2
2027-04-30
Fixed
0.12500000
N
N
N
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO 1.375000% 09/14/2061
532457CC0
195000.00000000
PA
96549.27000000
0.022001380353
Long
DBT
NUSS
US
N
2
2061-09-14
Fixed
1.37500000
N
N
N
N
N
N
ASR Nederland N.V.
7245000G0HS48PZWUD53
ASR NEDERLAND NV 3.375000% 05/02/2049
N/A
255000.00000000
PA
234916.09000000
0.053532028231
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
309666.78000000
0.070566008523
Long
DBT
NUSS
JP
N
2
2026-04-03
Fixed
1.16200000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
2067.81000000
0.000471206818
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
111154.29000000
USD
1230000.00000000
SEK
2023-10-04
2067.81000000
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP 1.125000% 07/13/2027
756109BB9
385000.00000000
PA
392326.89000000
0.089402365547
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
568389.57000000
0.129523041642
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-12-11
N/A
1.00000000
NC
-161137.84000000
-0.03671964487
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
4271188.59000000
USD
3366600.00000000
GBP
2023-12-11
-161137.84000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2033
N/A
552000.00000000
PA
483431.17000000
0.110162956654
Long
DBT
NUSS
IT
N
2
2033-09-01
Fixed
2.45000000
N
N
N
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2004-6 BSARM 2004-6 3A
07384MW81
5835.86020000
PA
USD
4065.37000000
0.000926405260
Long
ABS-MBS
US
N
2
2034-09-25
Floating
5.89132440
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SGD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
251.49000000
0.000057308844
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
30000.00000000
SGD
22232.30000000
USD
2023-10-04
251.49000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-11-02
N/A
1.00000000
NC
151.96000000
0.000034628224
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
220871.11000000
USD
32800000.00000000
JPY
2023-11-02
151.96000000
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
25136.82000000
0.005728108951
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
290610.02000000
0.066223406812
Long
DBT
NUSS
US
N
2
2024-11-08
Fixed
0.62500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 6.364000% 11/16/2032
N/A
249000.00000000
PA
269230.87000000
0.061351585298
Long
DBT
NUSS
GB
N
2
2032-11-16
Fixed
6.36400000
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
200716.24000000
0.045738661094
Long
DBT
NUSS
US
N
2
2025-11-18
Fixed
0.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2945.99000000
-0.00067132404
N/A
DFE
XX
N
2
EURO
N/A
110942.54000000
USD
102000.00000000
EUR
2023-10-04
-2945.99000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1492.22000000
-0.00034004296
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
223390.02000000
USD
300000.00000000
CAD
2023-10-04
-1492.22000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-11-17
N/A
1.00000000
NC
-7539.50000000
-0.00171808038
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
472261.06000000
USD
380730.11000000
GBP
2023-11-17
-7539.50000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1755.37000000
-0.00040000885
N/A
DFE
XX
N
2
EURO
N/A
155279.88000000
USD
145000.00000000
EUR
2023-10-04
-1755.37000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2674.29000000
0.000609409801
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
4894000.00000000
THB
137091.44000000
USD
2023-10-04
2674.29000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
31922000000.00000000
PA
2299933.11000000
0.524102389810
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
217892.79000000
0.049652805755
Long
DBT
NUSS
US
N
2
2028-02-11
Fixed
0.30000000
N
N
N
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN 0.000000% 02/21/2030
N/A
33000.00000000
PA
28254.54000000
0.006438566353
Long
DBT
NUSS
XX
N
2
2030-02-21
Fixed
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.000000% 12/20/2035
N/A
34400000.00000000
PA
231494.88000000
0.052752412367
Long
DBT
NUSS
JP
N
2
2035-12-20
Fixed
1.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
259750000.00000000
PA
1631155.15000000
0.371703119777
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
2966000000.00000000
PA
604610.09000000
0.137776873464
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
BANQUE FEDERATIVE DU CREDIT MUTUEL SA
VBHFXSYT7OG62HNT8T76
BANQUE FEDERATIVE DU CREDIT MUTUEL SA 3.875000% 06/16/2032
N/A
300000.00000000
PA
299556.60000000
0.068262128694
Long
DBT
NUSS
FR
N
2
2032-06-16
Fixed
3.87500000
N
N
N
N
N
N
STARBUCKS CORPORATION
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP VARIABLE RATE 02/14/2024
855244BB4
330000.00000000
PA
USD
329966.34000000
0.075191816057
Long
DBT
CORP
US
N
2
2024-02-14
Floating
5.76177120
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-10-10
N/A
1.00000000
NC
USD
4257.46000000
0.000970178198
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3250600.00000000
CNY
451084.98000000
USD
2023-10-10
4257.46000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2040
N/A
355050000.00000000
PA
2741516.58000000
0.624729208443
Long
DBT
NUSS
JP
N
2
2040-03-20
Fixed
2.30000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG MTN 3.250000% 04/02/2026
N/A
550000.00000000
PA
567889.81000000
0.129409157716
Long
DBT
NUSS
CH
N
2
2026-04-02
Fixed
3.25000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 05/31/2029
N/A
19969400.00000000
PA
1074143.09000000
0.244772753616
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.500000% 12/01/2032
N/A
355000.00000000
PA
317996.20000000
0.072464093693
Long
DBT
NUSS
IT
N
2
2032-12-01
Fixed
2.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-8065.20000000
-0.00183787544
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
221662.00000000
USD
175000.00000000
GBP
2023-10-04
-8065.20000000
N
N
N
AIR PRODUCTS AND CHEMICALS, INC.
7QEON6Y1RL5XR3R1W237
AIR PRODUCTS AND CHEMICALS INC 4.000000% 03/03/2035
009158BG0
280000.00000000
PA
287779.21000000
0.065578329666
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
591807.13000000
0.134859370384
Long
DBT
NUSS
CA
N
2
2030-12-01
Fixed
0.50000000
N
N
N
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 4.500000% 11/15/2031
09857LAW8
123000.00000000
PA
131773.08000000
0.030028084660
Long
DBT
NUSS
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 0.600000% 05/20/2027
N/A
310000.00000000
PA
285019.75000000
0.064949511561
Long
DBT
NUSS
US
N
2
2027-05-20
Fixed
0.60000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.250000% 10/31/2030
92343VGR9
310000.00000000
PA
326614.12000000
0.074427921444
Long
DBT
NUSS
US
N
2
2030-10-31
Fixed
4.25000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-14271.89000000
-0.00325223878
N/A
DFE
CH
N
2
SWISS FRANC
N/A
446110.93000000
USD
395000.00000000
CHF
2023-10-04
-14271.89000000
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 0.010000% 03/18/2025
N/A
326000.00000000
PA
325507.81000000
0.074175818584
Long
DBT
NUSS
CA
N
2
2025-03-18
Fixed
0.01000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
44398.17000000
0.010117332064
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
2182182.13000000
USD
38701000.00000000
MXN
2023-10-04
44398.17000000
N
N
N
Nordea Kiinnitysluottopankki Oyj
7437001LESKGLAEOEU84
NORDEA KIINNITYSLUOTTOPANKKI OYJ MTN 0.250000% 03/18/2026
N/A
480000.00000000
PA
466896.57000000
0.106395097782
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
1056005.66000000
0.240639646280
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.65000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN 0.125000% 01/26/2027
N/A
906000.00000000
PA
848776.32000000
0.193416797989
Long
DBT
NUSS
CA
N
2
2027-01-26
Fixed
0.12500000
N
N
N
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.250000% 12/20/2047
N/A
300000.00000000
PA
221186.44000000
0.050403353599
Long
DBT
NUSS
FR
N
2
2047-12-20
Fixed
2.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
4799.79000000
0.001093762857
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
553982.40000000
USD
930000.00000000
NZD
2023-10-04
4799.79000000
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA MTN 0.500000% 07/27/2026
N/A
410000.00000000
PA
395216.25000000
0.090060784905
Long
DBT
NUSS
AU
N
2
2026-07-27
Fixed
0.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
546.72000000
0.000124585040
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
221351.08000000
USD
300000.00000000
CAD
2023-10-04
546.72000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV MTN 2.125000% 05/26/2031
N/A
300000.00000000
PA
292198.49000000
0.066585382958
Long
DBT
NUSS
NL
N
2
2031-05-26
Fixed
2.12500000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-12
N/A
1.00000000
NC
-88393.63000000
-0.02014289568
N/A
DFE
XX
N
2
EURO
N/A
2029711.55000000
USD
1832976.36000000
EUR
2023-10-12
-88393.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
700.38000000
0.000159600655
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
91000.00000000
EUR
97050.24000000
USD
2023-10-04
700.38000000
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
1672715.11000000
0.381173688405
Long
DBT
NUSS
GB
N
2
2029-10-22
Fixed
0.87500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
58750000.00000000
PA
460267.72000000
0.104884533796
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
18305.59000000
0.004171427170
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1558000.00000000
CNY
234815.37000000
USD
2024-01-24
18305.59000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-04
N/A
1.00000000
NC
USD
7541.07000000
0.001718438154
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
265000.00000000
GBP
330987.65000000
USD
2023-10-04
7541.07000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 4.000000% 04/25/2055
N/A
139000.00000000
PA
150243.50000000
0.034237072835
Long
DBT
NUSS
FR
N
2
2055-04-25
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-11-16
N/A
1.00000000
NC
USD
-1520.64000000
-0.00034651923
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1898685.52000000
MXN
106934.82000000
USD
2023-11-16
-1520.64000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1050.85000000
-0.00023946478
N/A
DFE
XX
N
2
EURO
N/A
111164.98000000
USD
104000.00000000
EUR
2023-10-04
-1050.85000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-142.79000000
-0.00003253858
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
305000.00000000
CAD
225453.31000000
USD
2023-10-04
-142.79000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2024-01-11
N/A
1.00000000
NC
-195.08000000
-0.00004445429
N/A
DFE
CN
N
2
MALAYSIAN RINGGIT
N/A
172979.93000000
USD
1252590.03000000
CNY
2024-01-11
-195.08000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC23 FINANCIAL COMMODITY FUTURE.
N/A
2.00000000
NC
USD
216125.00000000
0.049249966664
N/A
DIR
US
N
1
US 10YR NOTE (CBT)DEC23
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2023
2023-12-22
216549.72000000
USD
-424.72000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.950000% 07/30/2030
N/A
188000.00000000
PA
179232.07000000
0.040842907912
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/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
760.75000000
0.000173357603
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
108214.69000000
EUR
115371.68000000
USD
2023-10-12
760.75000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC MTN 4.000000% 06/26/2029
N/A
500000.00000000
PA
277314.88000000
0.063193747116
Long
DBT
NUSS
GB
N
2
2029-06-26
Fixed
4.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-10-04
N/A
1.00000000
NC
USD
18641.37000000
0.004247943787
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2713000.00000000
RON
596116.34000000
USD
2023-10-04
18641.37000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
11991000000.00000000
PA
784679.25000000
0.178810535129
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
194619.00000000
PA
USD
14596.43000000
0.003326194058
Long
DBT
NUSS
BR
N
2
2046-12-26
Fixed
0.00000000
N
N
Y
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.125000% 05/18/2032
N/A
5160000.00000000
PA
418780.08000000
0.095430445250
Long
DBT
NUSS
NO
N
2
2032-05-18
Fixed
2.12500000
N
N
N
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC 3.250000% MATURITY: PERPETUAL
N/A
612000.00000000
PA
604859.54000000
0.137833717439
Long
DBT
NUSS
GB
N
2
2172-06-22
Fixed
3.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
456.64000000
0.000104057859
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
87568.68000000
USD
1530000.00000000
MXN
2023-10-04
456.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-13
N/A
1.00000000
NC
USD
656409.19000000
0.149580708968
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
28776945.26000000
EUR
31135411.61000000
USD
2023-10-13
656409.19000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-11-03
N/A
1.00000000
NC
3659.06000000
0.000833816462
N/A
DFE
XX
N
2
EURO
N/A
971528.83000000
USD
920000.00000000
EUR
2023-11-03
3659.06000000
N
N
N
KYNDRYL HOLDINGS, INC.
549300LQ4LWX2R8ZV130
KYNDRYL HOLDINGS INC 2.050000% 10/15/2026
50155QAJ9
455000.00000000
PA
USD
397163.81000000
0.090504589486
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
1216000.00000000
PA
788453.37000000
0.179670571146
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.
5493000G3EFX9S7TDE29
BELL TELEPHONE CO OF CANADA OR BELL CANADA MTN 3.000000% 03/17/2031
07813ZCG7
465000.00000000
PA
285435.02000000
0.065044142139
Long
DBT
NUSS
CA
N
2
2031-03-17
Fixed
3.00000000
N
N
N
N
N
N
Japan
N/A
10YR MINI JGB FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
2.00000000
NC
194337.41000000
0.044285070973
N/A
DIR
SG
N
1
10YR MINI JGB FUT DEC23
N/A
Long
Japan Govt. Bond Futures
10YR MINI JGB FUT Dec 2023
2023-12-15
196417.19000000
JPY
-2079.78000000
N
N
N
CCEP FINANCE (IRELAND) DESIGNATED ACTIVITY COMPANY
549300C3FJ5JIMZNEN16
CCEP FINANCE IRELAND DAC 0.500000% 09/06/2029
G198A4AD7
335000.00000000
PA
289854.75000000
0.066051297975
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
229185.91000000
0.052226250676
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
113000.00000000
PA
94476.33000000
0.021529004525
Long
DBT
NUSS
IT
N
2
2040-03-01
Fixed
3.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-26.70000000
-0.00000608432
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
690000.00000000
AUD
445310.82000000
USD
2023-10-04
-26.70000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 1.750000% 06/21/2051
N/A
943000.00000000
PA
321679.54000000
0.073303443015
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-12-11
N/A
1.00000000
NC
USD
81214.95000000
0.018507037964
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
107028900.00000000
MXN
6169078.61000000
USD
2023-12-11
81214.95000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-7602.69000000
-0.00173247994
N/A
DFE
XX
N
2
EURO
N/A
664052.30000000
USD
620000.00000000
EUR
2023-10-04
-7602.69000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2417.22000000
-0.00055082940
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
167299.48000000
USD
24600000.00000000
JPY
2023-10-04
-2417.22000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.500000% 09/20/2024
N/A
877500000.00000000
PA
5911842.02000000
1.347174192760
Long
DBT
NUSS
JP
N
2
2024-09-20
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
400.38000000
0.000091237485
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
167000.00000000
AUD
108184.97000000
USD
2023-10-04
400.38000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.480000% 01/08/2029
N/A
23680000.00000000
PA
3355800.06000000
0.764710427241
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
205874.83000000
0.046914186302
Long
DBT
NUSS
SG
N
2
2042-04-01
Fixed
2.75000000
N
N
N
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 4.500000% 11/15/2039
N/A
2040000.00000000
PA
336898.81000000
0.076771568128
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 3.000000% 05/25/2054
N/A
142000.00000000
PA
126474.00000000
0.028820544980
Long
DBT
NUSS
FR
N
2
2054-05-25
Fixed
3.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND DEC23 FINANCIAL COMMODITY FUTURE.
N/A
9.00000000
NC
1165937.89000000
0.265690698509
N/A
DIR
DE
N
1
EURO-BUXL 30Y BND DEC23
N/A
Long
Germany Govt. Bond Futures
EURO BUXL 30Y BND Dec 2023
2023-12-10
1270522.53000000
EUR
-104584.64000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-11-02
N/A
1.00000000
NC
USD
45.21000000
0.000010302329
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
40800000.00000000
JPY
274976.34000000
USD
2023-11-02
45.21000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-11-03
N/A
1.00000000
NC
1200.20000000
0.000273498253
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
110363.23000000
USD
1210000.00000000
SEK
2023-11-03
1200.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
11533.64000000
0.002628253952
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
295000.00000000
CHF
334046.34000000
USD
2023-10-04
11533.64000000
N
N
N
BOSTON SCIENTIFIC CORPORATION
Y6ZDD9FP4P8JSSJMW954
BOSTON SCIENTIFIC CORP 0.625000% 12/01/2027
101137AY3
410000.00000000
PA
379574.81000000
0.086496456861
Long
DBT
NUSS
US
N
2
2027-12-01
Fixed
0.62500000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 0.000000% 05/15/2035
N/A
457000.00000000
PA
346672.80000000
0.078998837910
Long
DBT
NUSS
DE
N
2
2035-05-15
Fixed
0.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-11-02
N/A
1.00000000
NC
-1281.40000000
-0.00029200188
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
219609.06000000
USD
32400000.00000000
JPY
2023-11-02
-1281.40000000
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 1.300000% 09/15/2025
03027XBB5
535000.00000000
PA
USD
489547.36000000
0.111556697099
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.30000000
N
N
N
N
N
N
ANNINGTON FUNDING PLC
549300KK63W8VZIONZ83
ANNINGTON FUNDING PLC MTN 3.184000% 07/12/2029
N/A
355000.00000000
PA
360094.17000000
0.082057262549
Long
DBT
NUSS
GB
N
2
2029-07-12
Fixed
3.18400000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
1906700000.00000000
PA
369192.67000000
0.084130603540
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
175036.05000000
0.039886730491
Long
DBT
NUSS
US
N
2
2026-03-03
Fixed
2.87500000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 2.031000% 08/03/2032
N/A
245000.00000000
PA
181296.01000000
0.041313232846
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
1926866.83000000
0.439089078747
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
39955.61000000
0.009104973790
Long
DBT
NUSS
IT
N
2
2047-03-01
Fixed
2.70000000
N
N
N
N
N
N
AUST 3YR BOND FUT DEC23
N/A
AUST 3YR BOND FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-679870.98000000
-0.15492711671
Short
AU
N
1
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-740.26000000
-0.00016868839
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
345000.00000000
AUD
221928.50000000
USD
2023-10-04
-740.26000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 1.000000% 05/25/2027
N/A
4748000.00000000
PA
4657967.41000000
1.061444717947
Long
DBT
NUSS
FR
N
2
2027-05-25
Fixed
1.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
9585.84000000
0.002184394681
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
411000.00000000
EUR
444748.40000000
USD
2023-10-04
9585.84000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.700000% 03/20/2037
N/A
38450000.00000000
PA
246144.42000000
0.056090708986
Long
DBT
NUSS
JP
N
2
2037-03-20
Fixed
0.70000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-7.84000000
-0.00000178655
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
93204.92000000
USD
126000.00000000
CAD
2023-10-04
-7.84000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
14630000.00000000
PA
573726.99000000
0.130739318135
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/KRW SETTLE 2023-12-11
N/A
1.00000000
NC
USD
30101.47000000
0.006859439648
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2001853250.00000000
KRW
1523828.31000000
USD
2023-12-11
30101.47000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 12/25/2023
N/A
358200000.00000000
PA
2401405.13000000
0.547225552806
Long
DBT
NUSS
JP
N
2
2023-12-25
None
0.00000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
4565.26000000
0.001040318810
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
223754.34000000
USD
380000.00000000
NZD
2023-10-04
4565.26000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
2801000.00000000
PA
2055448.46000000
0.468389904617
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-4793.23000000
-0.00109226798
N/A
DFE
CH
N
2
SWISS FRANC
N/A
223445.91000000
USD
200000.00000000
CHF
2023-10-04
-4793.23000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-12
N/A
1.00000000
NC
-15560.36000000
-0.00354585175
N/A
DFE
XX
N
2
EURO
N/A
499712.09000000
USD
457132.07000000
EUR
2023-10-12
-15560.36000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.000000% 06/10/2031
N/A
2084740000.00000000
PA
1344640.86000000
0.306413036578
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
851775.58000000
0.194100261055
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
3057007.91000000
0.696622499296
Long
DBT
NUSS
JP
N
2
2027-09-20
Fixed
0.10000000
N
N
N
N
N
N
CK Hutchison Group Telecom Finance S.A.
254900OM17Q9YNDIUG82
CK HUTCHISON GROUP TELECOM FINANCE SA 2.625000% 10/17/2034
N/A
260000.00000000
PA
212331.11000000
0.048385425514
Long
DBT
NUSS
GB
N
2
2034-10-17
Fixed
2.62500000
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2023-11-03
N/A
1.00000000
NC
1115.24000000
0.000254137803
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
130186.46000000
USD
2480000.00000000
ZAR
2023-11-03
1115.24000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.000000% 09/01/2024
N/A
3890000.00000000
PA
2825093.02000000
0.643774376212
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
199302.90000000
0.045416593087
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/EUR SETTLE 2023-10-02
N/A
1.00000000
NC
USD
-4171.67000000
-0.00095062861
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1162984.12000000
EUR
1227137.81000000
USD
2023-10-02
-4171.67000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 04/25/2032
N/A
1090000.00000000
PA
182104.08000000
0.041497373600
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT BOND 2.500000% 09/20/2040
N/A
800000.00000000
PA
540013.58000000
0.123056799599
Long
DBT
NUSS
NZ
N
2
2040-09-20
Fixed
2.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.800000% 09/20/2031
N/A
316950000.00000000
PA
2317446.65000000
0.528093326820
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
136053.92000000
0.031003590628
Long
DBT
NUSS
SG
N
2
2046-03-01
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2024-01-11
N/A
1.00000000
NC
USD
-25593.08000000
-0.00583208021
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
143586700.23000000
CNY
19781052.00000000
USD
2024-01-11
-25593.08000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 1.125000% 11/03/2028
92343VFP4
240000.00000000
PA
234794.58000000
0.053504338868
Long
DBT
NUSS
US
N
2
2028-11-03
Fixed
1.12500000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 4.500000% 03/23/2028
N/A
101260000.00000000
PA
243951.48000000
0.055590987890
Long
DBT
NUSS
HU
N
2
2028-03-23
Fixed
4.50000000
N
N
N
N
N
N
Balder Finland Oyj
5493007P4MCJM21IB748
BALDER FINLAND OYJ MTN 1.375000% 05/24/2030
N/A
380000.00000000
PA
258103.57000000
0.058815926979
Long
DBT
NUSS
SE
N
2
2030-05-24
Fixed
1.37500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-12-11
N/A
1.00000000
NC
USD
77803.91000000
0.017729739613
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1807200.00000000
CHF
2069411.16000000
USD
2023-12-11
77803.91000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 1.750000% 12/01/2053
135087M68
517000.00000000
PA
241448.94000000
0.055020716003
Long
DBT
NUSS
CA
N
2
2053-12-01
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2757.20000000
0.000628303102
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
207000.00000000
EUR
221926.67000000
USD
2023-10-04
2757.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1278.63000000
0.000291370664
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
300000.00000000
CAD
223176.43000000
USD
2023-10-04
1278.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3684.66000000
0.000839650119
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
207000.00000000
EUR
222854.13000000
USD
2023-10-04
3684.66000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
590.13000000
0.000134477190
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
154955.29000000
USD
241000.00000000
AUD
2023-10-04
590.13000000
N
N
N
BERKSHIRE HATHAWAY INC.,
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC 0.500000% 01/15/2041
N/A
170000.00000000
PA
96505.70000000
0.021991451742
Long
DBT
NUSS
US
N
2
2041-01-15
Fixed
0.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.375000% 05/15/2048
N/A
13040000000.00000000
PA
884239.40000000
0.201498026481
Long
DBT
NUSS
ID
N
2
2048-05-15
Fixed
7.37500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
77.81000000
0.000017731127
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
221819.99000000
USD
300000.00000000
CAD
2023-10-04
77.81000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA 6.250000% 07/15/2027
N/A
663000.00000000
PA
775691.26000000
0.176762376850
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
1144130.18000000
0.260721217928
Long
DBT
NUSS
CA
N
2
2048-06-02
Fixed
2.80000000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 0% CP 05/10/2023 COMMERCIAL PAPER (ISITC)
6840C3X57
700000.00000000
PA
USD
699372.10000000
0.159370977957
Long
ABS-APCP
US
N
2
2023-10-05
None
0.00000000
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
2375996.99000000
0.541435616204
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
180478.23000000
0.041126879403
Long
DBT
NUSS
GB
N
2
2028-07-22
Fixed
3.00000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1712.71000000
-0.00039028761
N/A
DFE
XX
N
2
EURO
N/A
110768.05000000
USD
103000.00000000
EUR
2023-10-04
-1712.71000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
95.00000000
NC
10560025.83000000
2.406389451025
N/A
DIR
DE
N
1
EURO-SCHATZ FUT DEC23
N/A
Long
Germany Govt. Bond Futures
Euro-Schatz Future Dec 2023
2023-12-10
10667339.53000000
EUR
-107313.70000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA MTN 2.000000% 06/05/2025
N/A
440000.00000000
PA
267110.74000000
0.060868455943
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
1873794.52000000
0.426995107673
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/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
421.68000000
0.000096091270
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
295000.00000000
CAD
218621.19000000
USD
2023-10-04
421.68000000
N
N
N
V.F. CORPORATION
CWAJJ9DJ5Z7P057HV541
VF CORP 0.250000% 02/25/2028
918204AX6
395000.00000000
PA
344869.61000000
0.078587931965
Long
DBT
NUSS
US
N
2
2028-02-25
Fixed
0.25000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.000000% 07/30/2042
N/A
944000.00000000
PA
575959.83000000
0.131248131532
Long
DBT
NUSS
ES
N
2
2042-07-30
Fixed
1.00000000
N
N
N
N
N
N
Canada
N/A
CAN 5YR BOND FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
66.00000000
NC
5271213.02000000
1.201189429802
N/A
DIR
CA
N
1
CAN 5YR BOND FUT DEC23
N/A
Long
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Dec 2023
2023-12-21
5287969.93000000
CAD
-16756.91000000
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
221416.69000000
0.050455822331
Long
DBT
NUSS
DE
N
2
2034-02-10
Fixed
7.07900000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-1542.44000000
-0.00035148695
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2410000.00000000
SEK
220662.41000000
USD
2023-11-03
-1542.44000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
19576.94000000
0.004461138889
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
2142249.20000000
USD
3598000.00000000
NZD
2023-10-04
19576.94000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 06/20/2028
N/A
254550000.00000000
PA
1689079.34000000
0.384902723833
Long
DBT
NUSS
JP
N
2
2028-06-20
Fixed
0.10000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-10-04
N/A
1.00000000
NC
USD
10604.46000000
0.002416514986
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1562000.00000000
RON
343083.60000000
USD
2023-10-04
10604.46000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.750000% 10/25/2029
N/A
3091000.00000000
PA
614241.58000000
0.139971670741
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
137262.60000000
0.031279021280
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
3753079.48000000
0.855241361614
Long
DBT
NUSS
IT
N
2
2026-04-01
Fixed
0.00000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 4.125000% 07/05/2034
N/A
220000.00000000
PA
221490.72000000
0.050472692083
Long
DBT
NUSS
CL
N
2
2034-07-05
Fixed
4.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-77.98000000
-0.00001776986
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
96000.00000000
NOK
8944.28000000
USD
2023-10-04
-77.98000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
997.46000000
0.000227298423
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
166290.19000000
USD
1780000.00000000
NOK
2023-10-04
997.46000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
7921.90000000
0.001805220640
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1345247.69000000
EUR
1432683.01000000
USD
2023-10-12
7921.90000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-6100.57000000
-0.00139018100
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
332024.38000000
USD
5665000.00000000
MXN
2023-10-04
-6100.57000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.900000% 02/20/2033
N/A
603000.00000000
PA
611464.25000000
0.139338780469
Long
DBT
NUSS
AT
N
2
2033-02-20
Fixed
2.90000000
N
N
N
N
N
N
HALEON US CAPITAL LLC
549300N8C3A3L0UVQB07
HALEON US CAPITAL LLC 3.024000% 03/24/2024
36264FAH4
265000.00000000
PA
USD
261166.38000000
0.059513871643
Long
DBT
CORP
US
N
2
2024-03-24
Fixed
3.02400000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1926.01000000
0.000438893826
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
300000.00000000
CAD
223823.81000000
USD
2023-10-04
1926.01000000
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 2.000000% 06/15/2029
92826CAS1
362000.00000000
PA
348587.17000000
0.079435079246
Long
DBT
NUSS
US
N
2
2029-06-15
Fixed
2.00000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 04/30/2030
N/A
353000.00000000
PA
307007.71000000
0.069960067013
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
536413.31000000
0.122236380038
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
714308.87000000
0.162774727752
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2026
N/A
738360000.00000000
PA
508190.40000000
0.115805021442
Long
DBT
NUSS
KR
N
2
2026-12-10
Fixed
1.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 1.100000% 04/01/2027
N/A
82000.00000000
PA
78756.67000000
0.017946851924
Long
DBT
NUSS
IT
N
2
2027-04-01
Fixed
1.10000000
N
N
N
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-10-10
N/A
1.00000000
NC
-308.75000000
-0.00007035709
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
112063.74000000
USD
813000.00000000
CNY
2023-10-10
-308.75000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA-GOV'T 2.000000% 12/01/2051
135087H72
1750000.00000000
PA
886584.69000000
0.202032464674
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
8681.96000000
0.001978421009
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
189889.62000000
EUR
209795.37000000
USD
2023-10-12
8681.96000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 02/17/2027
N/A
10007000.00000000
PA
870191.50000000
0.198296829920
Long
DBT
NUSS
NO
N
2
2027-02-17
Fixed
1.75000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.550000% 10/31/2033
N/A
2204000.00000000
PA
2263345.19000000
0.515764835893
Long
DBT
NUSS
ES
N
2
2033-10-31
Fixed
3.55000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1382.86000000
-0.00031512230
N/A
DFE
XX
N
2
EURO
N/A
100909.09000000
USD
94000.00000000
EUR
2023-10-04
-1382.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
70.49000000
0.000016063066
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
345000.00000000
AUD
222739.25000000
USD
2023-10-04
70.49000000
N
N
N
European Union
529900FZRK8FGMPEOM08
EUROPEAN UNION 3.250000% 07/04/2034
N/A
1073000.00000000
PA
1103329.96000000
0.251423776748
Long
DBT
NUSS
XX
N
2
2034-07-04
Fixed
3.25000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA-GOV'T 2.000000% 12/01/2051
135087H72
66000.00000000
PA
33436.91000000
0.007619510481
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Stadshypotek AB
549300UOX05QGUJJ5707
STADSHYPOTEK AB MTN 2.500000% 12/01/2027
N/A
6000000.00000000
PA
520412.80000000
0.118590228116
Long
DBT
NUSS
SE
N
2
2027-12-01
Fixed
2.50000000
N
N
N
N
N
N
MILEAGE PLUS HOLDINGS, LLC
N/A
MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECT 6.500000% 06/20/2027
599191AA1
262149.67100000
PA
USD
259738.29000000
0.059188442447
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
444267.66000000
0.101238484419
Long
DBT
NUSS
US
N
2
2024-06-19
Fixed
2.37500000
N
N
N
N
N
N
KBC GROEP NV
213800X3Q9LSAKRUWY91
KBC GROUP NV 4.250000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
181575.63000000
0.041376951877
Long
DBT
NUSS
BE
N
2
2171-10-24
Fixed
4.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33
91282CHP9
475000.00000000
PA
USD
442003.00000000
0.100722419967
Long
DBT
USGA
US
N
2
2033-07-15
Fixed
1.37500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 0.406000% 10/29/2027
N/A
370000.00000000
PA
346839.69000000
0.079036868341
Long
DBT
NUSS
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1633.54000000
0.000372246572
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
147000.00000000
CHF
162343.26000000
USD
2023-10-04
1633.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
226162.56000000
0.051537298048
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
12822389.75000000
EUR
13806444.05000000
USD
2023-10-12
226162.56000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-2334.88000000
-0.00053206599
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3590000.00000000
NOK
335059.87000000
USD
2023-10-04
-2334.88000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-10-10
N/A
1.00000000
NC
USD
187.82000000
0.000042799901
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1237000.00000000
CNY
170225.86000000
USD
2023-10-10
187.82000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MYR SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-1699.40000000
-0.00038725456
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1125000.00000000
MYR
239709.18000000
USD
2023-11-03
-1699.40000000
N
N
N
GATWICK FUNDING LIMITED
213800NK8FA3GKS6X167
GATWICK FUNDING LTD MTN 5.250000% 01/23/2024
N/A
100000.00000000
PA
121672.05000000
0.027726289908
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
271523.71000000
0.061874071329
Long
DBT
NUSS
GB
N
2
2031-10-17
Fixed
1.50000000
N
N
N
N
N
N
Iberdrola International B.V.
549300ZMLFJKWC63XN87
IBERDROLA INTERNATIONAL BV 1.874000% MATURITY: PERPETUAL
N/A
400000.00000000
PA
382628.03000000
0.087192216182
Long
DBT
NUSS
ES
N
2
2172-04-28
Fixed
1.87400000
N
N
N
N
N
N
BRK: DEUTSCHE BANK
N/A
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
23220000.00000000
NC
19857.08000000
0.004524976416
N/A
DIR
XX
N
2
BRK: DEUTSCHE BANK
N/A
Y
2024-06-03
0.00000000
CNY
0.00000000
CNY
-23220000.00000000
CNY
19857.08000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-11-03
N/A
1.00000000
NC
USD
128.78000000
0.000029346029
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
100000.00000000
CHF
109839.31000000
USD
2023-11-03
128.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2024-04-10
N/A
1.00000000
NC
USD
14423.25000000
0.003286730279
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1558000.00000000
CNY
231593.66000000
USD
2024-04-10
14423.25000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 3.375000% 06/10/2032
N/A
872000000.00000000
PA
615782.15000000
0.140322731567
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
1467603.20000000
0.334433354200
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/THB SETTLE 2023-12-04
N/A
1.00000000
NC
USD
113686.67000000
0.025906603621
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
104118050.00000000
THB
2989578.49000000
USD
2023-12-04
113686.67000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.150000% 03/01/2072
N/A
76000.00000000
PA
41006.00000000
0.009344333756
Long
DBT
NUSS
IT
N
2
2072-03-01
Fixed
2.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/RON SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3848.23000000
0.000876923998
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
561000.00000000
RON
123259.75000000
USD
2023-10-04
3848.23000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CZK SETTLE 2023-12-05
N/A
1.00000000
NC
USD
80282.86000000
0.018294635876
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
67624700.00000000
CZK
3014559.10000000
USD
2023-12-05
80282.86000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-1945.42000000
-0.00044331692
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
190000.00000000
NZD
112214.38000000
USD
2023-10-04
-1945.42000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1829.52000000
-0.00041690595
N/A
DFE
XX
N
2
EURO
N/A
165941.92000000
USD
155000.00000000
EUR
2023-10-04
-1829.52000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-10454.63000000
-0.00238237214
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
1805358.46000000
USD
2781000.00000000
AUD
2023-10-04
-10454.63000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1210.72000000
-0.00027589552
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
285979.57000000
USD
385000.00000000
CAD
2023-10-04
-1210.72000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ILS SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2443.49000000
0.000556815736
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2341000.00000000
ILS
617398.07000000
USD
2023-10-04
2443.49000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2756.54000000
0.000628152703
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
208000.00000000
EUR
222984.80000000
USD
2023-10-04
2756.54000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-1793.53000000
-0.00040870465
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
370000.00000000
NZD
220426.02000000
USD
2023-11-03
-1793.53000000
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
216367.89000000
0.049305315765
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
1569952.23000000
0.357756367806
Long
DBT
NUSS
CN
N
2
2025-01-10
Fixed
3.23000000
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
1408818.91000000
0.321037752937
Long
DBT
NUSS
ES
N
2
2025-05-31
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-5833.70000000
-0.00132936740
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
427000.00000000
NZD
250725.43000000
USD
2023-10-04
-5833.70000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 0.000000% 01/31/2026
N/A
2315000.00000000
PA
2261994.54000000
0.515457053511
Long
DBT
NUSS
ES
N
2
2026-01-31
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/THB SETTLE 2023-10-04
N/A
1.00000000
NC
USD
66071.47000000
0.015056183666
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
56022000.00000000
THB
1604755.08000000
USD
2023-10-04
66071.47000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 05/15/2051
N/A
645000.00000000
PA
235989.60000000
0.053776656717
Long
DBT
NUSS
NZ
N
2
2051-05-15
Fixed
2.75000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 2.200000% 06/15/2027
02209SAY9
330000.00000000
PA
323047.89000000
0.073615258824
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
2.20000000
N
N
N
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO 5.000000% 02/27/2026
532457CE6
590000.00000000
PA
USD
587757.24000000
0.133936492662
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
248095.31000000
0.056535272398
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
211873.50000000
0.048281146614
Long
DBT
NUSS
AU
N
2
2025-06-06
Fixed
2.25000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 0.950000% 06/17/2025
N/A
42847000.00000000
PA
1145790.42000000
0.261099548823
Long
DBT
NUSS
TH
N
2
2025-06-17
Fixed
0.95000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
534.77000000
0.000121861907
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
62553.54000000
USD
105000.00000000
NZD
2023-10-04
534.77000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2121.87000000
0.000483525861
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
208000.00000000
EUR
222350.13000000
USD
2023-10-04
2121.87000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-252.57000000
-0.00005755495
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
111201.47000000
USD
150000.00000000
CAD
2023-10-04
-252.57000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2033
N/A
874000.00000000
PA
879626.11000000
0.200446762728
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
1125755.66000000
0.256534083180
Long
DBT
NUSS
IT
N
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-7377.05000000
-0.00168106173
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
750000.00000000
NZD
443253.75000000
USD
2023-10-04
-7377.05000000
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 1.985000% 07/13/2033
BQ4140563
320000.00000000
PA
226246.58000000
0.051556444293
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
585156.61000000
0.133343868298
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
309634.20000000
0.070558584283
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
191873.06000000
0.043723501717
Long
DBT
NUSS
US
N
2
2033-01-18
Fixed
5.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-178.88000000
-0.00004076267
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
300000.00000000
CAD
221718.92000000
USD
2023-10-04
-178.88000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
1565300000.00000000
PA
355845.86000000
0.081089169428
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.750000% 05/25/2053
N/A
691000.00000000
PA
336474.30000000
0.076674831964
Long
DBT
NUSS
FR
N
2
2053-05-25
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
KOREA 10YR BND FU DEC23 FINANCIAL COMMODITY FUTURE.
N/A
63.00000000
NC
5037572.25000000
1.147948017962
N/A
DIR
KR
N
1
KOREA 10YR BND FU DEC23
N/A
Long
Korea Govt. Bond Futures
KOFEX Korea Exchange 10 Year Treasury Electronic Day Session Bond Future Dec 2023
2023-12-22
5175218.93000000
KRW
-137646.68000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2030
N/A
318000.00000000
PA
326040.66000000
0.074297242967
Long
DBT
NUSS
NL
N
2
2030-01-15
Fixed
2.50000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
1769000.00000000
PA
378683.24000000
0.086293288358
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 3.000000% 04/20/2029
N/A
1021000.00000000
PA
547022.78000000
0.124654036690
Long
DBT
NUSS
NZ
N
2
2029-04-20
Fixed
3.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 4.880000% 02/09/2028
N/A
10600000.00000000
PA
1581051.80000000
0.360285707089
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
706540.20000000
0.161004424740
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) 0.000000% 11/25/2029
N/A
504000.00000000
PA
440762.95000000
0.100439840806
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
67313.79000000
0.015339280108
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
135783.10000000
0.030941876916
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
598432.80000000
0.136369209720
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
292321.10000000
0.066613322985
Long
DBT
NUSS
ES
N
2
2027-01-11
Fixed
1.25000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.750000% 01/29/2038
N/A
1342000.00000000
PA
1473349.91000000
0.335742898565
Long
DBT
NUSS
GB
N
2
2038-01-29
Fixed
3.75000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-739.50000000
-0.00016851521
N/A
DFE
XX
N
2
EURO
N/A
94971.78000000
USD
89000.00000000
EUR
2023-10-04
-739.50000000
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
47546.48000000
0.010834760231
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
1220569.78000000
0.278140062355
Long
DBT
NUSS
CN
N
2
2029-07-12
Fixed
3.74000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2765.02000000
-0.00063008510
N/A
DFE
XX
N
2
EURO
N/A
111820.36000000
USD
103000.00000000
EUR
2023-10-04
-2765.02000000
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-11-03
N/A
1.00000000
NC
-1039.90000000
-0.00023696953
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
130420.98000000
USD
2260000.00000000
MXN
2023-11-03
-1039.90000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
5810.56000000
0.001324094326
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
200000.00000000
CHF
224463.24000000
USD
2023-10-04
5810.56000000
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 1.250000% 01/15/2026
91324PDW9
175000.00000000
PA
USD
159448.68000000
0.036334723769
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-8680.04000000
-0.00197798348
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
7962976.67000000
USD
10754000.00000000
CAD
2023-10-04
-8680.04000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 04/25/2032
N/A
1321000.00000000
PA
220696.78000000
0.050291771233
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
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
201226.03000000
0.045854830628
Long
DBT
NUSS
FR
N
2
2048-09-27
Fixed
4.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
4558.70000000
0.001038823935
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
10430000.00000000
NOK
984789.12000000
USD
2023-10-04
4558.70000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-1353.59000000
-0.00030845234
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
960000.00000000
MXN
53604.74000000
USD
2023-11-03
-1353.59000000
N
N
N
SABRA HEALTH CARE LIMITED PARTNERSHIP
549300OVKLRFSIQG0H81
SABRA HEALTH CARE LP 3.900000% 10/15/2029
78572XAG6
121000.00000000
PA
USD
100469.58000000
0.022894729743
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.90000000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 0.010000% 01/14/2027
N/A
362000.00000000
PA
338452.81000000
0.077125689346
Long
DBT
NUSS
CA
N
2
2027-01-14
Fixed
0.01000000
N
N
N
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANC 0.500000% 05/06/2025
N/A
1066000.00000000
PA
1067981.87000000
0.243368751859
Long
DBT
NUSS
CA
N
2
2025-05-06
Fixed
0.50000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAVISKA ENSKILDA BANKEN AB MTN 3.000000% 12/06/2027
N/A
6000000.00000000
PA
530702.44000000
0.120935002793
Long
DBT
NUSS
SE
N
2
2027-12-06
Fixed
3.00000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 0.800000% 11/17/2029
N/A
325000.00000000
PA
282484.46000000
0.064371776695
Long
DBT
NUSS
GB
N
2
2029-11-17
Fixed
0.80000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
3688.71000000
0.000840573022
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
273763.45000000
EUR
293633.47000000
USD
2023-10-12
3688.71000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.620000% 09/25/2029
N/A
37340000.00000000
PA
5091697.95000000
1.160282032632
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
181128.84000000
0.041275138609
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
1.12500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-862.98000000
-0.00019665349
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
690000.00000000
AUD
444474.54000000
USD
2023-10-04
-862.98000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3072.67000000
0.000700191533
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
415000.00000000
EUR
442470.39000000
USD
2023-10-04
3072.67000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
2225000000.00000000
PA
144378.10000000
0.032900481721
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
203683.40000000
0.046414809300
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
25690.88000000
0.005854366609
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
76305.15000000
0.017388206333
Long
DBT
NUSS
CO
N
2
2036-07-09
Fixed
6.25000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-11-03
N/A
1.00000000
NC
-1479.26000000
-0.00033708967
N/A
DFE
XX
N
2
EURO
N/A
220896.53000000
USD
207000.00000000
EUR
2023-11-03
-1479.26000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-10-10
N/A
1.00000000
NC
-12871.06000000
-0.00293302151
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
1384254.63000000
USD
9976600.00000000
CNY
2023-10-10
-12871.06000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
37.10000000
0.000008454245
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
222699.82000000
USD
2370000.00000000
NOK
2023-10-04
37.10000000
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2
30711XAR5
1416.91020000
PA
USD
1421.81000000
0.000323998126
Long
DBT
USGA
US
N
2
2024-11-25
Floating
10.42943040
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.500000% 03/01/2030
N/A
527000.00000000
PA
533155.42000000
0.121493981084
Long
DBT
NUSS
IT
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 0.500000% 09/15/2027
N/A
510000.00000000
PA
483440.32000000
0.110165041731
Long
DBT
NUSS
DE
N
2
2027-09-15
Fixed
0.50000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 1.750000% 06/21/2051
N/A
571000.00000000
PA
194781.57000000
0.044386284924
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
7909.21000000
0.001802328878
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
200000.00000000
CHF
226561.89000000
USD
2023-10-04
7909.21000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-11-03
N/A
1.00000000
NC
498.59000000
0.000113617308
N/A
DFE
XX
N
2
EURO
N/A
89600.29000000
USD
85000.00000000
EUR
2023-11-03
498.59000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.300000% 12/15/2024
171239AE6
190000.00000000
PA
191814.49000000
0.043710154948
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.30000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
6050.80000000
0.001378839552
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
7580000.00000000
MXN
442150.09000000
USD
2023-10-04
6050.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-1244.93000000
-0.00028369120
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2520000.00000000
ZAR
132174.53000000
USD
2023-11-03
-1244.93000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 7.625000% MATURITY: PERPETUAL
95002YAA1
50000.00000000
PA
USD
50408.35000000
0.011486915243
Long
DBT
CORP
US
N
2
2172-09-15
Fixed
7.62500000
N
N
N
N
N
N
SAPUTO INC.
549300HH4U1DPY0TBT90
SAPUTO INC 5.250000% 11/29/2029
80310ZAK5
472000.00000000
PA
340440.47000000
0.077578631804
Long
DBT
NUSS
CA
N
2
2029-11-29
Fixed
5.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 3.250000% 07/04/2042
N/A
840000.00000000
PA
916564.14000000
0.208864098742
Long
DBT
NUSS
DE
N
2
2042-07-04
Fixed
3.25000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
32024.02000000
0.007297545020
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
2194556.28000000
USD
38701000.00000000
MXN
2023-10-04
32024.02000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2027
N/A
685000.00000000
PA
657288.44000000
0.149781070023
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/CNY SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-491690.67000000
-0.11204510864
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
189411000.00000000
CNY
25885367.55000000
USD
2023-11-03
-491690.67000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-11-03
N/A
1.00000000
NC
3717.90000000
0.000847224759
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
272555.06000000
USD
460000.00000000
NZD
2023-11-03
3717.90000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.390000% 07/10/2027
N/A
16630000.00000000
PA
2341563.81000000
0.533589078473
Long
DBT
NUSS
CN
N
2
2027-07-10
Fixed
3.39000000
N
N
N
N
N
N
GENERTEL S.P.A.
815600DEEE5337E9A213
GENERTEL SPA 4.250000% 12/14/2047
N/A
200000.00000000
PA
203174.13000000
0.046298758262
Long
DBT
NUSS
IT
N
2
2047-12-14
Fixed
4.25000000
N
N
N
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-11-03
N/A
1.00000000
NC
3263.33000000
0.000743638605
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
373909.32000000
USD
628000.00000000
NZD
2023-11-03
3263.33000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
2348.53000000
0.000535176514
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
111794.07000000
USD
1240000.00000000
SEK
2023-10-04
2348.53000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-1710.28000000
-0.00038973387
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
370000.00000000
NZD
220509.27000000
USD
2023-11-03
-1710.28000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 3.750000% 05/25/2027
N/A
1980000.00000000
PA
433254.42000000
0.098728817777
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
633726.14000000
0.144411758331
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
108548.14000000
0.024735649630
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
0.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
11428.48000000
0.002604290382
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
64900000.00000000
JPY
446422.74000000
USD
2023-10-04
11428.48000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 6.250000% 06/01/2032
748148QT3
720000.00000000
PA
586251.48000000
0.133593364242
Long
DBT
NUSS
CA
N
2
2032-06-01
Fixed
6.25000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.750000% 03/05/2026
N/A
18020000.00000000
PA
929675.84000000
0.211851956639
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.460000% 02/15/2026
N/A
21120000.00000000
PA
2895725.07000000
0.659869812223
Long
DBT
NUSS
CN
N
2
2026-02-15
Fixed
2.46000000
N
N
N
N
N
N
MEXICAN PESO
N/A
FX Forward Contract: MXN/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1883.44000000
-0.00042919309
N/A
DFE
MX
N
2
MEXICAN PESO
N/A
130757.11000000
USD
2240000.00000000
MXN
2023-10-04
-1883.44000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 0.375000% 10/22/2026
N/A
600000.00000000
PA
647762.72000000
0.147610375321
Long
DBT
NUSS
GB
N
2
2026-10-22
Fixed
0.37500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.500000% 12/07/2042
N/A
126000.00000000
PA
147715.12000000
0.033660912600
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
610821.85000000
0.139192392136
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/19/2027
N/A
300000.00000000
PA
291635.66000000
0.066457126816
Long
DBT
NUSS
FR
N
2
2027-05-19
Fixed
1.12500000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.500000% 05/25/2040
N/A
696000.00000000
PA
445663.72000000
0.101556614706
Long
DBT
NUSS
FR
N
2
2040-05-25
Fixed
0.50000000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 2.750000% 06/17/2052
N/A
4755000.00000000
PA
107160.90000000
0.024419529220
Long
DBT
NUSS
TH
N
2
2052-06-17
Fixed
2.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
14118.91000000
0.003217378123
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
616000.00000000
EUR
666333.36000000
USD
2023-10-04
14118.91000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
480350000.00000000
PA
3502941.71000000
0.798240659085
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
691000.00000000
PA
330464.95000000
0.075305437923
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
29.00000000
NC
3553959.20000000
0.809866383466
N/A
DIR
DE
N
1
EURO-BOBL FUTURE DEC23
N/A
Long
Germany Govt. Bond Futures
Euro-BOBL Future Dec 2023
2023-12-10
3621341.63000000
EUR
-67382.43000000
N
N
N
VIRGIN MONEY UK PLC
213800ZK9VGCYYR6O495
VIRGIN MONEY UK PLC MTN 3.125000% 06/22/2025
N/A
191000.00000000
PA
225525.94000000
0.051392226845
Long
DBT
NUSS
GB
N
2
2025-06-22
Fixed
3.12500000
N
N
N
N
N
N
N/A
N/A
BRK: CITIBANK, N.A. PAY: 3-MONTH NZD RATE
N/A
2350000.00000000
NC
-106026.53000000
-0.02416103212
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2033-04-26
0.00000000
NZD
0.00000000
NZD
-2350000.00000000
NZD
-106026.53000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.625000% 09/10/2035
N/A
700180000.00000000
PA
448924.67000000
0.102299710965
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 2023-10-04
N/A
1.00000000
NC
USD
7032.50000000
0.001602546630
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
65300000.00000000
JPY
444707.77000000
USD
2023-10-04
7032.50000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 07/15/2033
N/A
245000.00000000
PA
244968.87000000
0.055822827906
Long
DBT
NUSS
NL
N
2
2033-07-15
Fixed
2.50000000
N
N
N
N
N
N
WELLTOWER OP LLC
T6IZ0MBEG5ACZDTR7D06
WELLTOWER OP LLC 4.500000% 12/01/2034
95040QAB0
140000.00000000
PA
141276.15000000
0.032193617943
Long
DBT
NUSS
US
N
2
2034-12-01
Fixed
4.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1439.44000000
-0.00032801560
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
110068.67000000
USD
89000.00000000
GBP
2023-10-04
-1439.44000000
N
N
N
MCKESSON CORPORATION
549300WZWOM80UCFSF54
MCKESSON CORP 3.125000% 02/17/2029
581557BH7
315000.00000000
PA
338968.14000000
0.077243121320
Long
DBT
CORP
US
N
2
2029-02-17
Fixed
3.12500000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 7.900000% 02/24/2038
N/A
110000.00000000
PA
25032.61000000
0.005704361864
Long
DBT
NUSS
RO
N
2
2038-02-24
Fixed
7.90000000
N
N
N
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 0.200000% 10/18/2030
N/A
690000.00000000
PA
594614.20000000
0.135499037724
Long
DBT
NUSS
IE
N
2
2030-10-18
Fixed
0.20000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1095.44000000
0.000249625834
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
111852.48000000
USD
175000.00000000
AUD
2023-10-04
1095.44000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
97.28000000
0.000022167897
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
173000.00000000
AUD
111754.37000000
USD
2023-10-04
97.28000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-128.98000000
-0.00002939160
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
170000.00000000
AUD
109591.86000000
USD
2023-10-04
-128.98000000
N
N
N
CARGILL, INCORPORATED
QXZYQNMR4JZ5RIRN4T31
CARGILL INC 3.875000% 04/24/2030
N/A
325000.00000000
PA
337940.68000000
0.077008986579
Long
DBT
NUSS
US
N
2
2030-04-24
Fixed
3.87500000
N
N
N
N
N
N
METRO INC.
549300KQ7DCG4IXSNW78
METRO INC/CN 4.657000% 02/07/2033
59162NAL3
490000.00000000
PA
337320.78000000
0.076867725483
Long
DBT
NUSS
CA
N
2
2033-02-07
Fixed
4.65700000
N
N
N
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.750000% 09/22/2046
N/A
100000.00000000
PA
67712.68000000
0.015430178057
Long
DBT
NUSS
GB
N
2
2046-09-22
Fixed
2.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-4793.18000000
-0.00109225658
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
126848.49000000
USD
100000.00000000
GBP
2023-10-04
-4793.18000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-3954.50000000
-0.00090114051
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2360000.00000000
NOK
217842.60000000
USD
2023-10-04
-3954.50000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-10-10
N/A
1.00000000
NC
USD
1564.62000000
0.000356541273
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3958000.00000000
CNY
545631.35000000
USD
2023-10-10
1564.62000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
35.81000000
0.000008160283
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
4740000.00000000
NOK
445509.66000000
USD
2023-10-04
35.81000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
8131.08000000
0.001852887999
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
334348.32000000
USD
570000.00000000
NZD
2023-10-04
8131.08000000
N
N
N
ELMWOOD CLO
N/A
ELMWOOD CLO XII LTD ELM12 2021-5A D
29002YAG7
750000.00000000
PA
USD
736759.50000000
0.167890715163
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-20
Floating
8.63775000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3449.22000000
-0.00078599870
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
221928.23000000
USD
179000.00000000
GBP
2023-10-04
-3449.22000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-4202.45000000
-0.00095764267
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
685271.10000000
USD
558000.00000000
GBP
2023-10-04
-4202.45000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 1.250000% 08/15/2048
N/A
1335000.00000000
PA
989893.79000000
0.225574256373
Long
DBT
NUSS
DE
N
2
2048-08-15
Fixed
1.25000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-12-11
N/A
1.00000000
NC
USD
-6607.48000000
-0.00150569424
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3300000.00000000
CNY
452022.22000000
USD
2023-12-11
-6607.48000000
N
N
N
CHINESE YUAN RENMINBI
N/A
FX Forward Contract: CNY/USD SETTLE 2023-10-10
N/A
1.00000000
NC
162386.20000000
0.037004117694
N/A
DFE
CN
N
2
CHINESE YUAN RENMINBI
N/A
25874052.32000000
USD
189411000.00000000
CNY
2023-10-10
162386.20000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NOK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-163.45000000
-0.00003724653
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2118000.00000000
NOK
198890.05000000
USD
2023-10-04
-163.45000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.375000% 06/01/2025
N/A
4769000.00000000
PA
3416086.06000000
0.778448234021
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
1665006.19000000
0.379417001057
Long
DBT
NUSS
CA
N
2
2027-04-06
Fixed
0.25000000
N
N
N
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
30960.08830000
PA
USD
30065.84000000
0.006851320382
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (5 YEAR ISSUE) 0.300000% 12/20/2027
N/A
129350000.00000000
PA
868536.82000000
0.197919766023
Long
DBT
NUSS
JP
N
2
2027-12-20
Fixed
0.30000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.850000% 06/04/2027
N/A
12570000.00000000
PA
1741468.72000000
0.396841070709
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
1767000.00000000
PA
352906.20000000
0.080419287845
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
205983.63000000
0.046938979344
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
189991.85000000
0.043294816791
Long
DBT
NUSS
ES
N
2
2172-01-09
Fixed
5.87500000
N
N
N
Y
Y
Caixabank, S.A.
CABKX 5.875 PERP
EUR
XXXX
N
N
N
PERUVIAN NEW SOL
N/A
FX Forward Contract: PEN/USD SETTLE 2023-10-02
N/A
1.00000000
NC
3516.66000000
0.000801366745
N/A
DFE
PE
N
2
PERUVIAN NEW SOL
N/A
1021813.98000000
USD
3887900.00000000
PEN
2023-10-02
3516.66000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 5.500000% 01/31/2042
N/A
675000.00000000
PA
201427.75000000
0.045900798023
Long
DBT
NUSS
IL
N
2
2042-01-31
Fixed
5.50000000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.500000% 04/30/2042
N/A
408000.00000000
PA
473882.99000000
0.107987143830
Long
DBT
NUSS
CH
N
2
2042-04-30
Fixed
1.50000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-11.00000000
NC
USD
-1305562.50000000
-0.29750796808
N/A
DIR
US
N
1
US ULTRA BOND CBT DEC23
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2023
2023-12-22
-1377467.11000000
USD
71904.61000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.250000% 05/20/2027
20030NDB4
190000.00000000
PA
176290.78000000
0.040172654890
Long
DBT
NUSS
US
N
2
2027-05-20
Fixed
0.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
509.04000000
0.000115998625
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
111792.55000000
USD
1220000.00000000
SEK
2023-10-04
509.04000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
163.92000000
0.000037353635
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
112784.00000000
USD
175000.00000000
AUD
2023-10-04
163.92000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
977.62000000
0.000222777339
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
109920.93000000
USD
1180000.00000000
NOK
2023-10-04
977.62000000
N
N
N
Caixabank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 3.500000% 04/06/2028
N/A
300000.00000000
PA
330366.17000000
0.075282928210
Long
DBT
NUSS
ES
N
2
2028-04-06
Fixed
3.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.400000% 04/01/2028
N/A
670000.00000000
PA
689098.88000000
0.157029945024
Long
DBT
NUSS
IT
N
2
2028-04-01
Fixed
3.40000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1672.80000000
0.000381193032
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
208000.00000000
EUR
221901.06000000
USD
2023-10-04
1672.80000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-11-03
N/A
1.00000000
NC
USD
80.67000000
0.000018382856
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
103000.00000000
EUR
109259.31000000
USD
2023-11-03
80.67000000
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
248068.18000000
0.056529090089
Long
DBT
NUSS
US
N
2
2028-08-13
Fixed
0.33400000
N
N
N
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
274518.32000000
0.062556474765
Long
DBT
NUSS
GB
N
2
2024-10-17
Fixed
3.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-12
N/A
1.00000000
NC
USD
2472.84000000
0.000563503933
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
288239.96000000
EUR
307749.77000000
USD
2023-10-12
2472.84000000
N
N
N
Grifols, S.A.
959800HSSNXWRKBK4N60
GRIFOLS SA 144A 3.875000% 10/15/2028
BR6667835
100000.00000000
PA
89627.43000000
0.020424050617
Long
DBT
NUSS
ES
N
2
2028-10-15
Fixed
3.87500000
N
N
N
N
N
N
OVINTIV INC.
2549003MEX7YMKLGI239
OVINTIV INC 6.250000% 07/15/2033
69047QAC6
68000.00000000
PA
USD
65750.19000000
0.014982971269
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
6.25000000
N
N
N
N
N
N
CU Inc.
549300N7TTF71B34GI65
CU INC MTN 5.896000% 11/20/2034
12657ZAJ2
586000.00000000
PA
447839.23000000
0.102052363902
Long
DBT
NUSS
CA
N
2
2034-11-20
Fixed
5.89600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
5587.42000000
0.001273245800
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
65100000.00000000
JPY
441922.19000000
USD
2023-10-04
5587.42000000
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 0.700000% 10/15/2027
N/A
735000.00000000
PA
706723.23000000
0.161046133110
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
401099.53000000
0.091401450464
Long
DBT
NUSS
KR
N
2
2025-04-27
Fixed
0.82900000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-5883.79000000
-0.00134078177
N/A
DFE
CH
N
2
SWISS FRANC
N/A
224536.47000000
USD
200000.00000000
CHF
2023-10-04
-5883.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
5339.58000000
0.001216768707
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
200000.00000000
CHF
223992.26000000
USD
2023-10-04
5339.58000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-12
N/A
1.00000000
NC
-5091.68000000
-0.00116027794
N/A
DFE
XX
N
2
EURO
N/A
420705.97000000
USD
392419.58000000
EUR
2023-10-12
-5091.68000000
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 9.500000% 10/21/2026
N/A
96610000.00000000
PA
271594.51000000
0.061890205037
Long
DBT
NUSS
HU
N
2
2026-10-21
Fixed
9.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-95.27000000
-0.00002170986
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
173000.00000000
AUD
111561.82000000
USD
2023-10-04
-95.27000000
N
N
N
Republika Slovenija
485100000LWQHIX4XX88
REPUBLIKA SLOVENIJA 1.250000% 03/22/2027
N/A
556000.00000000
PA
542361.81000000
0.123591907750
Long
DBT
NUSS
SI
N
2
2027-03-22
Fixed
1.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
1770568.87000000
0.403472332328
N/A
DIR
DE
N
1
EURO-BUND FUTURE DEC23
N/A
Long
Germany Govt. Bond Futures
Euro-Bund Future Dec 2023
2023-12-10
1845034.07000000
EUR
-74465.20000000
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA MTN 6.875000% 03/11/2031
R8412TAC6
185000.00000000
PA
245949.07000000
0.056046193168
Long
DBT
NUSS
NO
N
2
2031-03-11
Fixed
6.87500000
N
N
N
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 3.500000% 04/08/2033
N/A
214000.00000000
PA
284461.39000000
0.064822274030
Long
DBT
NUSS
CH
N
2
2033-04-08
Fixed
3.50000000
N
N
N
N
N
N
NATIONAL GRID PLC
8R95QZMKZLJX5Q2XR704
NATIONAL GRID PLC MTN 3.875000% 01/16/2029
N/A
330000.00000000
PA
340283.87000000
0.077542946229
Long
DBT
NUSS
GB
N
2
2029-01-16
Fixed
3.87500000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 4.750000% 11/24/2032
N/A
38380000.00000000
PA
86579.02000000
0.019729387386
Long
DBT
NUSS
HU
N
2
2032-11-24
Fixed
4.75000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3009.20000000
-0.00068572816
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
664561.31000000
USD
1025000.00000000
AUD
2023-10-04
-3009.20000000
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP INC 0.470000% 09/06/2029
N/A
259000.00000000
PA
223882.22000000
0.051017660482
Long
DBT
NUSS
JP
N
2
2029-09-06
Fixed
0.47000000
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
763159.48000000
0.173906669518
Long
DBT
NUSS
CA
N
2
2024-12-02
Fixed
1.35000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
INT EX INC 0 CP 20/10/202
45856XXL6
1000000.00000000
PA
USD
996672.00000000
0.227118856103
Long
ABS-APCP
US
N
2
2023-10-20
None
0.00000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 3.000000% 04/20/2029
N/A
345000.00000000
PA
184841.20000000
0.042121100928
Long
DBT
NUSS
NZ
N
2
2029-04-20
Fixed
3.00000000
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.250000% 09/17/2031
N/A
14924000.00000000
PA
1140248.38000000
0.259836644090
Long
DBT
NUSS
NO
N
2
2031-09-17
Fixed
1.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
6147.31000000
0.001400831984
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
218455.87000000
USD
2440000.00000000
SEK
2023-10-04
6147.31000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-1121.71000000
-0.00025561216
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
950000.00000000
MXN
53264.14000000
USD
2023-11-03
-1121.71000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/PEN SETTLE 2023-11-02
N/A
1.00000000
NC
USD
10545.21000000
0.002403013260
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3887900.00000000
PEN
1035889.37000000
USD
2023-11-02
10545.21000000
N
N
N
Canada
N/A
CAN 10YR BOND FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
-255465.98000000
-0.05821488027
N/A
DIR
CA
N
1
CAN 10YR BOND FUT DEC23
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Dec 2023
2023-12-21
-255952.30000000
CAD
486.32000000
N
N
N
NEW ZEALAND DOLLAR
N/A
FX Forward Contract: NZD/USD SETTLE 2023-11-03
N/A
1.00000000
NC
4852.44000000
0.001105760593
N/A
DFE
NZ
N
2
NEW ZEALAND DOLLAR
N/A
547693.48000000
USD
920000.00000000
NZD
2023-11-03
4852.44000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-4447.68000000
-0.00101352500
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
308575.02000000
USD
45375000.00000000
JPY
2023-10-04
-4447.68000000
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 2.300000% 03/19/2026
25159MAG2
180000000.00000000
PA
1263736.14000000
0.287976692967
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
383135.80000000
0.087307925404
Long
DBT
NUSS
JP
N
2
2046-06-20
Fixed
0.30000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG MTN 1.250000% 07/17/2025
N/A
134000.00000000
PA
137898.66000000
0.031423964872
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
120062.25000000
0.027359453141
Long
DBT
NUSS
IT
N
2
2171-10-13
Fixed
3.37500000
N
N
N
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
11657027.98000000
2.656371263950
N/A
DIR
JP
N
1
JPN 10Y BOND(OSE) DEC23
N/A
Long
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Dec 2023
2023-12-16
11863531.76000000
JPY
-206503.78000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1784.23000000
0.000406585392
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
150000.00000000
CHF
165773.74000000
USD
2023-10-04
1784.23000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-982.67000000
-0.00022392811
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
223651.43000000
USD
345000.00000000
AUD
2023-10-04
-982.67000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028
92343VGH1
445000.00000000
PA
USD
382228.39000000
0.087101147325
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 2.875000% 01/12/2033
N/A
1015000.00000000
PA
1027797.72000000
0.234211699006
Long
DBT
NUSS
XX
N
2
2033-01-12
Fixed
2.87500000
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
142059.37000000
0.032372095948
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
1612287.54000000
0.367403621045
Long
DBT
USGA
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN 0.000000% 01/15/2027
N/A
268000.00000000
PA
254262.77000000
0.057940696108
Long
DBT
NUSS
XX
N
2
2027-01-15
Fixed
0.00000000
N
N
N
N
N
N
TIME WARNER CABLE, LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 5.750000% 06/02/2031
88732JAZ1
295000.00000000
PA
335521.54000000
0.076457719653
Long
DBT
NUSS
US
N
2
2031-06-02
Fixed
5.75000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 06/25/2039
N/A
256000.00000000
PA
210342.77000000
0.047932328099
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
432306.98000000
0.098512917773
Long
DBT
CORP
US
N
2
2025-02-17
Fixed
4.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3011.53000000
0.000686259119
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
147000.00000000
GBP
182432.84000000
USD
2023-10-04
3011.53000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
2664.79000000
0.000607244967
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
223231.05000000
USD
350000.00000000
AUD
2023-10-04
2664.79000000
N
N
N
KommuneKredit
529900D8QLTZ6PRLJL76
KOMMUNEKREDIT MTN 0.125000% 09/26/2040
N/A
275000.00000000
PA
161772.24000000
0.036864210189
Long
DBT
NUSS
DK
N
2
2040-09-26
Fixed
0.12500000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 3.375000% 01/23/2026
N/A
248000.00000000
PA
284868.55000000
0.064915056523
Long
DBT
NUSS
FR
N
2
2026-01-23
Fixed
3.37500000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.400000% 04/30/2028
N/A
978000.00000000
PA
945790.37000000
0.215524091123
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
28301000.00000000
PA
1339202.31000000
0.305173714861
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
5175000.00000000
NC
-368410.16000000
-0.08395228732
N/A
DIR
XX
N
2
BRK: CITIBANK, N.A.
N/A
Y
2027-08-18
0.00000000
EUR
0.00000000
EUR
-5175000.00000000
EUR
-368410.16000000
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-3093.79000000
-0.00070500430
N/A
DFE
JP
N
2
JAPANESE YEN
N/A
222266.55000000
USD
32700000.00000000
JPY
2023-10-04
-3093.79000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
5755.64000000
0.001311579308
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
32500000.00000000
JPY
223587.90000000
USD
2023-10-04
5755.64000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.000000% 09/14/2026
20030NDX6
450000.00000000
PA
424560.14000000
0.096747589321
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
33467.58000000
0.007626499476
Long
DBT
NUSS
BE
N
2
2041-03-28
Fixed
4.25000000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 5.272000% 08/03/2026
857477CD3
225000.00000000
PA
USD
222886.29000000
0.050790710711
Long
DBT
CORP
US
N
2
2026-08-03
Fixed
5.27200000
N
N
N
N
N
N
Becton Dickinson Euro Finance S.a r.l.
549300W40NLZ25XUTH09
BECTON DICKINSON EURO FINANCE SARL 1.336000% 08/13/2041
N/A
300000.00000000
PA
187461.01000000
0.042718095978
Long
DBT
NUSS
US
N
2
2041-08-13
Fixed
1.33600000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
3133.53000000
0.000714060141
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
206000.00000000
EUR
221244.21000000
USD
2023-10-04
3133.53000000
N
N
N
CPUK FINANCE LIMITED
6354003CVDDPNXREIR29
CPUK FINANCE LTD MTN 3.690000% 08/28/2028
N/A
100000.00000000
PA
106920.05000000
0.024364644989
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
94346.70000000
0.021499464799
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
643955.57000000
0.146742812519
Long
DBT
NUSS
US
N
2
2034-11-02
Fixed
4.12500000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
12083500.00000000
PA
612118.95000000
0.139487971693
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
525000.00000000
PA
110931.10000000
0.025278671958
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2517.75000000
-0.00057373789
N/A
DFE
CH
N
2
SWISS FRANC
N/A
221170.43000000
USD
200000.00000000
CHF
2023-10-04
-2517.75000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/AUD SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-809.26000000
-0.00018441192
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
345000.00000000
AUD
221859.50000000
USD
2023-10-04
-809.26000000
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-12
N/A
1.00000000
NC
-4166.30000000
-0.00094940490
N/A
DFE
XX
N
2
EURO
N/A
666603.51000000
USD
625467.75000000
EUR
2023-10-12
-4166.30000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-4503.29000000
-0.00102619725
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
126558.60000000
USD
100000.00000000
GBP
2023-10-04
-4503.29000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1166.34000000
0.000265782330
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
2300000.00000000
MXN
133491.98000000
USD
2023-10-04
1166.34000000
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.900000% 11/15/2024
25470DBC2
665000.00000000
PA
USD
646641.80000000
0.147354943175
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-2375.83000000
-0.00054139756
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1220000.00000000
SEK
109925.76000000
USD
2023-10-04
-2375.83000000
N
N
N
SWISS FRANC
N/A
FX Forward Contract: CHF/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-8994.51000000
-0.00204964403
N/A
DFE
CH
N
2
SWISS FRANC
N/A
388356.90000000
USD
347000.00000000
CHF
2023-10-04
-8994.51000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
881000.00000000
PA
646501.28000000
0.147322921867
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-2800.31000000
-0.00063812689
N/A
DFE
XX
N
2
EURO
N/A
110796.86000000
USD
102000.00000000
EUR
2023-10-04
-2800.31000000
N
N
N
ANHEUSER-BUSCH INBEV SA
5493008H3828EMEXB082
ANHEUSER-BUSCH INBEV SA/NV MTN 9.750000% 07/30/2024
N/A
250000.00000000
PA
314448.31000000
0.071655610342
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/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
4496.63000000
0.001024679595
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
148000.00000000
CHF
166299.61000000
USD
2023-10-04
4496.63000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/ZAR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
-425.97000000
-0.00009706886
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1030000.00000000
ZAR
54242.18000000
USD
2023-10-04
-425.97000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CHF SETTLE 2023-10-04
N/A
1.00000000
NC
USD
2418.36000000
0.000551089181
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
100000.00000000
CHF
111744.70000000
USD
2023-10-04
2418.36000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-10-04
N/A
1.00000000
NC
-1678.37000000
-0.00038246230
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
362568.57000000
USD
3840000.00000000
NOK
2023-10-04
-1678.37000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
1354000.00000000
PA
289845.74000000
0.066049244801
Long
DBT
NUSS
PL
N
2
2026-07-25
Fixed
2.50000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE DEC23 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
1379128.55000000
0.314271995897
N/A
DIR
GB
N
1
LONG GILT FUTURE DEC23
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Dec 2023
2023-12-30
1411748.62000000
GBP
-32620.07000000
N
N
N
VODAFONE GROUP PUBLIC LIMITED COMPANY
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC MTN 4.200000% 12/13/2027
N/A
780000.00000000
PA
476664.78000000
0.108621050434
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
460423.71000000
0.104920080365
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
3140000.00000000
PA
486064.23000000
0.110762971078
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
384757.66000000
0.087677510370
Long
DBT
NUSS
NL
N
2
2026-07-15
Fixed
0.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-11-03
N/A
1.00000000
NC
USD
-5621.30000000
-0.00128096628
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
925000.00000000
NZD
549927.58000000
USD
2023-11-03
-5621.30000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.400000% 01/08/2028
N/A
7190000.00000000
PA
1012974.53000000
0.230833831506
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
353335.59000000
0.080517136050
Long
DBT
NUSS
US
N
2
2032-09-09
Fixed
0.62500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/MXN SETTLE 2023-11-16
N/A
1.00000000
NC
USD
1687.42000000
0.000384524598
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
1639901.71000000
MXN
95360.80000000
USD
2023-11-16
1687.42000000
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK ABP MTN 6.125000% MATURITY: PERPETUAL
65557DAL5
200000.00000000
PA
USD
191616.24000000
0.043664978287
Long
DBT
NUSS
FI
N
2
2168-03-23
Fixed
6.12500000
N
N
N
Y
Y
Nordea Bank Abp
NDAFI 6.125 PERP
EUR
XXXX
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 6.875000% 01/31/2036
698299BW3
285000.00000000
PA
USD
285058.39000000
0.064958316737
Long
DBT
NUSS
PA
N
2
2036-01-31
Fixed
6.87500000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/NZD SETTLE 2023-12-11
N/A
1.00000000
NC
USD
-97570.72000000
-0.02223414555
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
22439500.00000000
NZD
13379468.85000000
USD
2023-12-11
-97570.72000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.675000% 06/29/2044
N/A
2840000.00000000
PA
89064.31000000
0.020295728390
Long
DBT
NUSS
TH
N
2
2044-06-29
Fixed
4.67500000
N
N
N
N
N
N
WESTFIELD AMERICA MANAGEMENT PTY LIMITED
875500W7WGQNQWSP6E89
WESTFIELD AMERICA MANAGEMENT LTD 2.625000% 03/30/2029
N/A
155000.00000000
PA
149331.99000000
0.034029360460
Long
DBT
NUSS
FR
N
2
2029-03-30
Fixed
2.62500000
N
N
N
N
N
N
Banco de Sabadell, S.A.
SI5RG2M0WQQLZCXKRM20
BANCO DE SABADELL SA 1.000000% 04/26/2027
N/A
300000.00000000
PA
287907.38000000
0.065607536691
Long
DBT
NUSS
ES
N
2
2027-04-26
Fixed
1.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
1552.83000000
0.000353854601
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
224043.27000000
USD
305000.00000000
CAD
2023-10-04
1552.83000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 03/20/2042
N/A
289200000.00000000
PA
2133481.07000000
0.486171759753
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/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
574.47000000
0.000130908633
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
154000.00000000
EUR
163628.08000000
USD
2023-10-04
574.47000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-11-27
N/A
1.00000000
NC
USD
44602.15000000
0.010163814462
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
243650000.00000000
JPY
1692589.84000000
USD
2023-11-27
44602.15000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 0.000000% 10/09/2026
N/A
2486000.00000000
PA
2412971.06000000
0.549861164914
Long
DBT
NUSS
DE
N
2
2026-10-09
Fixed
0.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/JPY SETTLE 2023-10-04
N/A
1.00000000
NC
USD
7132.76000000
0.001625393601
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
81400000.00000000
JPY
552718.78000000
USD
2023-10-04
7132.76000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.250000% 01/22/2044
N/A
520000.00000000
PA
502736.48000000
0.114562197251
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
2013615.42000000
0.458857107275
Long
DBT
NUSS
IT
N
2
2024-05-30
Fixed
1.75000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/EUR SETTLE 2023-10-04
N/A
1.00000000
NC
USD
1214.45000000
0.000276745503
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
103000.00000000
EUR
110269.79000000
USD
2023-10-04
1214.45000000
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/SEK SETTLE 2023-12-07
N/A
1.00000000
NC
USD
-7705.99000000
-0.00175601966
N/A
DFE
US
N
2
U.S. DOLLARS
N/A
3178772.30000000
SEK
285892.52000000
USD
2023-12-07
-7705.99000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2023-12-11
N/A
1.00000000
NC
4734.43000000
0.001078868801
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
4685099.03000000
USD
49777350.00000000
NOK
2023-12-11
4734.43000000
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-04
N/A
1.00000000
NC
26602.16000000
0.006062026573
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
3613548.00000000
USD
5640000.00000000
AUD
2023-10-04
26602.16000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.700000% 10/20/2030
N/A
9430000.00000000
PA
1364413.33000000
0.310918732303
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
400325.11000000
0.091224977778
Long
DBT
NUSS
FR
N
2
2025-05-07
Fixed
0.37500000
N
N
N
N
N
N
2023-09-30
SEI INSTITUTIONAL INTERNATIONAL TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO