0001752724-24-128435.txt : 20240530
0001752724-24-128435.hdr.sgml : 20240530
20240530140527
ACCESSION NUMBER: 0001752724-24-128435
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240331
FILED AS OF DATE: 20240530
DATE AS OF CHANGE: 20240530
PERIOD START: 20240930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI INSTITUTIONAL INTERNATIONAL TRUST
CENTRAL INDEX KEY: 0000835597
ORGANIZATION NAME:
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: 241003831
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
2024-09-30
2024-03-31
N
452464114.29
6284249.15
446179865.14
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
5906845.76000000
CNY
EUR
JPY
N
Bloomberg Global Aggregate ex-USD Index (USD Hedged)
LGAXUSDUH
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1.54000000
0.000000345152
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
54318.00000000
USD
43000.00000000
GBP
2024-04-03
1.54000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-5581.01000000
-0.00125084308
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
945512.42000000
USD
10185000.00000000
NOK
2024-05-08
-5581.01000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
REPUBLIC OF INDONESIA 1.000000% 07/28/2029
N/A
260000.00000000
PA
244224.16000000
0.054736705772
Long
DBT
NUSS
ID
N
2
2029-07-28
Fixed
1.00000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-4372.07000000
-0.00097988957
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
131585.85000000
USD
1380000.00000000
NOK
2024-04-03
-4372.07000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/PLN SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-79.35000000
-0.00001778430
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
430000.00000000
PLN
107749.36000000
USD
2024-05-08
-79.35000000
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EFSF 3.000000% 12/15/2028
N/A
1098000.00000000
PA
1198414.11000000
0.268594395137
Long
DBT
NUSS
XX
N
2
2028-12-15
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-05-08
N/A
1.00000000
NC
USD
172.79000000
0.000038726534
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1830000.00000000
MXN
109654.83000000
USD
2024-05-08
172.79000000
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU MTN 0.875000% 09/15/2026
N/A
1350000.00000000
PA
1568135.82000000
0.351458221788
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
500000.00000000
PA
503943.06000000
0.112946167985
Long
DBT
NUSS
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
New South Wales Treasury Corporation
TC7LRO17HPNPLTAV0H77
NEW S WALES TREASURY CRP 2.000000% 03/08/2033
N/A
1010000.00000000
PA
537641.49000000
0.120498823906
Long
DBT
NUSS
AU
N
2
2033-03-08
Fixed
2.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.650000% 05/21/2029
N/A
18120000.00000000
PA
2655371.96000000
0.595134869917
Long
DBT
NUSS
CN
N
2
2029-05-21
Fixed
3.65000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.250000% 05/21/2028
N/A
3481000.00000000
PA
2154141.27000000
0.482796611479
Long
DBT
NUSS
AU
N
2
2028-05-21
Fixed
2.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
972.03000000
0.000217856088
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
50000.00000000
CHF
56497.58000000
USD
2024-04-03
972.03000000
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC 1.450000% 08/01/2039
718172CM9
115000.00000000
PA
85907.02000000
0.019253898867
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
250432.37000000
0.056128119972
Long
DBT
NUSS
CA
N
2
2026-01-09
Fixed
5.10300000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-32.11000000
-0.00000719664
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
25239.06000000
USD
116000.00000000
RON
2024-04-03
-32.11000000
N
N
N
Pfizer Investment Enterprises Pte. Ltd.
5493000FQO8XF9C0RT95
PFIZER INVESTMENT ENTERPRISES PTE LTD 4.450000% 05/19/2026
716973AB8
340000.00000000
PA
USD
336466.25000000
0.075410451319
Long
DBT
NUSS
US
N
2
2026-05-19
Fixed
4.45000000
N
N
N
N
N
N
GREAT WOLF TRUST
N/A
GREAT WOLF TRUST 2024-WOLF GWT 2024-WOLF A
39152MAA3
281000.00000000
PA
USD
281439.06000000
0.063077490041
Long
ABS-MBS
US
Y
2
2039-03-15
Floating
6.84200160
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-8.72000000
-0.00000195436
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
7091.38000000
AUD
4617.87000000
USD
2024-04-03
-8.72000000
N
N
N
INTER PIPELINE LTD
QQTTPMZD0WKQL0H5S472
INTER PIPELINE LTD/AB 5.849000% 05/18/2032
45833VAE9
320000.00000000
PA
239506.37000000
0.053679331747
Long
DBT
NUSS
CA
N
2
2032-05-18
Fixed
5.84900000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1745.34000000
-0.00039117408
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
294445.78000000
USD
271000.00000000
EUR
2024-04-03
-1745.34000000
N
N
N
Fresenius SE & Co. KGaA
XDFJ0CYCOO1FXRFTQS51
FRESENIUS SE & CO KGAA MTN 5.000000% 11/28/2029
N/A
200000.00000000
PA
227567.96000000
0.051003637272
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
1972921.59000000
0.442180775992
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
BG ENERGY CAPITAL PLC
S2M8QDKEE05NZN8JD460
BG ENERGY CAPITAL PLC MTN 2.250000% 11/21/2029
N/A
400000.00000000
PA
407650.69000000
0.091364653999
Long
DBT
NUSS
GB
N
2
2029-11-21
Fixed
2.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-6597.82000000
-0.00147873548
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4450000.00000000
MXN
261044.53000000
USD
2024-04-03
-6597.82000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.955000% 09/15/2025
EK7974596
3054000.00000000
PA
650835.59000000
0.145868435769
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
380000.00000000
PA
370097.09000000
0.082947958640
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
9924300.00000000
PA
510958.08000000
0.114518408364
Long
DBT
NUSS
MX
N
2
2053-07-31
Fixed
8.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: ZAR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1194.46000000
0.000267708180
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
53718.73000000
USD
1040000.00000000
ZAR
2024-04-03
1194.46000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 0.400000% 03/20/2056
N/A
249300000.00000000
PA
1102227.37000000
0.247036555460
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
820138.21000000
0.183813361847
Long
DBT
NUSS
CH
N
2
2024-06-11
Fixed
1.25000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC MTN 3.900000% 01/12/2028
N/A
315000.00000000
PA
343125.57000000
0.076902970485
Long
DBT
NUSS
US
N
2
2028-01-12
Fixed
3.90000000
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
481282.65000000
0.107867406757
Long
DBT
NUSS
AT
N
2
2047-02-20
Fixed
1.50000000
N
N
N
N
N
N
COMPAGNIE DE FINANCEMENT FONCIER S.A.
DKGVVH5FKILG8R13CO13
CIE DE FINANCEMENT FONCIER SA MTN 5.500000% 01/26/2027
N/A
387000.00000000
PA
496755.84000000
0.111335333306
Long
DBT
NUSS
FR
N
2
2027-01-26
Fixed
5.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-560.79000000
-0.00012568698
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
54809.13000000
USD
580000.00000000
SEK
2024-04-03
-560.79000000
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
345313.63000000
0.077393369127
Long
DBT
NUSS
GB
N
2
2029-11-02
Fixed
0.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5576.34000000
0.001249796424
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
65700000.00000000
JPY
439821.21000000
USD
2024-04-03
5576.34000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
697.27000000
0.000156275541
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
87113.48000000
USD
1460000.00000000
MXN
2024-04-03
697.27000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-300.60000000
-0.00006737193
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
923000.00000000
MXN
55212.63000000
USD
2024-04-03
-300.60000000
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
289267.22000000
0.064831975308
Long
DBT
NUSS
FR
N
2
2031-03-24
Fixed
1.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
8150.49000000
0.001826727433
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
230000.00000000
CHF
263568.02000000
USD
2024-04-03
8150.49000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (40 YEAR ISSUE) 1.000000% 03/20/2062
J2S39LUV4
229500000.00000000
PA
1166277.47000000
0.261391775183
Long
DBT
NUSS
JP
N
2
2062-03-20
Fixed
1.00000000
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
1075934.65000000
0.241143703260
Long
DBT
NUSS
CA
N
2
2027-04-08
Fixed
0.37500000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 3.750000% 05/25/2027
N/A
1056000.00000000
PA
253953.73000000
0.056917344291
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
250348.05000000
0.056109221764
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
684647.66000000
0.153446561239
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 05/25/2066
N/A
227000.00000000
PA
167419.03000000
0.037522766731
Long
DBT
NUSS
FR
N
2
2066-05-25
Fixed
1.75000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
482.14000000
0.000108059560
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
87930.05000000
USD
1470000.00000000
MXN
2024-04-03
482.14000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2868.03000000
0.000642796823
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
335000.00000000
AUD
221430.01000000
USD
2024-04-03
2868.03000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 3.125000% 09/10/2027
N/A
1609520000.00000000
PA
1188006.73000000
0.266261842548
Long
DBT
NUSS
KR
N
2
2027-09-10
Fixed
3.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CZK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2449.30000000
-0.00054894902
N/A
DFE
CZ
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
834090.13000000
USD
19471000.00000000
CZK
2024-04-03
-2449.30000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.500000% 12/01/2032
135087P32
690000.00000000
PA
473615.59000000
0.106149028004
Long
DBT
NUSS
CA
N
2
2032-12-01
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3613.55000000
0.000809886389
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
115000.00000000
CHF
131322.31000000
USD
2024-04-03
3613.55000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.250000% 04/21/2029
N/A
2918000.00000000
PA
1869039.16000000
0.418898140868
Long
DBT
NUSS
AU
N
2
2029-04-21
Fixed
3.25000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 06/24/2024
N/A
324750000.00000000
PA
2145770.20000000
0.480920446584
Long
DBT
NUSS
JP
N
2
2024-06-24
None
0.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ZAR SETTLE 2024-05-08
N/A
1.00000000
NC
USD
281.22000000
0.000063028393
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
3430000.00000000
ZAR
180916.72000000
USD
2024-05-08
281.22000000
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 4.875000% 02/10/2026
458140CD0
250000.00000000
PA
USD
249187.30000000
0.055849068832
Long
DBT
CORP
US
N
2
2026-02-10
Fixed
4.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-05-08
N/A
1.00000000
NC
USD
406.87000000
0.000091189681
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
580000.00000000
SEK
54745.15000000
USD
2024-05-08
406.87000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.500000% 02/15/2031
N/A
693000.00000000
PA
754274.51000000
0.169051669277
Long
DBT
NUSS
IT
N
2
2031-02-15
Fixed
3.50000000
N
N
N
N
N
N
Japan
N/A
10YR MINI JGB FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
-288830.16000000
-0.06473401929
N/A
DIR
SG
N
1
10YR MINI JGB FUT JUN24
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Jun 2024
2024-06-15
-294725.25000000
JPY
5895.09000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
639.05000000
0.000143226992
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
8200000.00000000
JPY
54837.04000000
USD
2024-04-03
639.05000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.875000% 03/30/2034
N/A
1700000.00000000
PA
1628168.65000000
0.364913071433
Long
DBT
NUSS
FR
N
2
2034-03-30
Fixed
1.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1336.48000000
-0.00029953839
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
56862.03000000
USD
50000.00000000
CHF
2024-04-03
-1336.48000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
493.00000000
0.000110493556
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
165875.08000000
USD
255000.00000000
AUD
2024-04-03
493.00000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.500000% 11/18/2038
N/A
2948100.00000000
PA
165114.79000000
0.037006329263
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2081.70000000
-0.00046656072
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
217381.56000000
USD
330000.00000000
AUD
2024-04-03
-2081.70000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 6.700000% 02/25/2032
N/A
945000.00000000
PA
207195.86000000
0.046437743203
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
256923.94000000
0.057583042192
Long
DBT
NUSS
US
N
2
2030-03-23
Fixed
1.96300000
N
N
N
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 2.875000% 10/20/2034
N/A
408000.00000000
PA
435271.09000000
0.097555072294
Long
DBT
NUSS
PT
N
2
2034-10-20
Fixed
2.87500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-823.34000000
-0.00018453096
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
518652.33000000
USD
2383000.00000000
RON
2024-04-03
-823.34000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1948.52000000
0.000436711773
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131571.93000000
USD
2220000.00000000
MXN
2024-04-03
1948.52000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.500000% 06/15/2035
N/A
2305000000.00000000
PA
153490.76000000
0.034401095161
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.900000% 10/31/2052
N/A
827000.00000000
PA
611521.45000000
0.137057159629
Long
DBT
NUSS
ES
N
2
2052-10-31
Fixed
1.90000000
N
N
N
N
N
N
Treasury Corporation Of Victoria
549300ZJM7BQW1P9UV75
TREASURY CORP OF VICTORIA MTN 2.000000% 11/20/2037
N/A
851000.00000000
PA
387941.19000000
0.086947265062
Long
DBT
NUSS
AU
N
2
2037-11-20
Fixed
2.00000000
N
N
N
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 1.900000% 01/26/2026
N/A
50000000.00000000
PA
341070.23000000
0.076442317694
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
540051.62000000
0.121038993956
Long
DBT
NUSS
FR
N
2
2028-10-02
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-222.67000000
-0.00004990588
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
71497.50000000
USD
328000.00000000
RON
2024-04-03
-222.67000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA GOVT INFL IX NOTE (TIPS) 4.79% 12/01/2031
135087WV2
670946.11000000
PA
580050.45000000
0.130003726147
Long
DBT
NUSS
CA
N
2
2031-12-01
Fixed
4.00000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
112.15000000
0.000025135603
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
55312.02000000
USD
75000.00000000
CAD
2024-04-03
112.15000000
N
N
N
Canada
N/A
CAN 5YR BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
41.00000000
NC
3377254.76000000
0.756926751712
N/A
DIR
CA
N
1
CAN 5YR BOND FUT JUN24
N/A
Long
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Jun 2024
2024-06-22
3372961.43000000
CAD
4293.33000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-12930.35000000
-0.00289801288
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1801000.00000000
CHF
1995355.40000000
USD
2024-05-08
-12930.35000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
599.38000000
0.000134335958
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
86000.00000000
GBP
109238.46000000
USD
2024-04-03
599.38000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3552.68000000
-0.00079624390
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
218880.86000000
USD
360000.00000000
NZD
2024-04-03
-3552.68000000
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND 1.000000% 03/31/2030
N/A
593000.00000000
PA
134939.18000000
0.030243224883
Long
DBT
NUSS
IL
N
2
2030-03-31
Fixed
1.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-989.25000000
-0.00022171551
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4800000.00000000
MXN
287703.62000000
USD
2024-04-03
-989.25000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN24 FINANCIAL COMMODITY FUTURE.
N/A
6.00000000
NC
USD
664781.25000000
0.148994004870
N/A
DIR
US
N
1
US 10YR NOTE (CBT)JUN24
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2024
2024-06-21
659727.27000000
USD
5053.98000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.400000% 03/28/2025
N/A
2682000.00000000
PA
2892590.57000000
0.648301457774
Long
DBT
NUSS
IT
N
2
2025-03-28
Fixed
3.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1017.19000000
-0.00022797756
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
219579.17000000
USD
335000.00000000
AUD
2024-04-03
-1017.19000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-744.55000000
-0.00016687216
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
54748.32000000
USD
50000.00000000
EUR
2024-04-03
-744.55000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
160.75000000
0.000036028071
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
55593.99000000
USD
50000.00000000
CHF
2024-05-08
160.75000000
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 0.864000% 03/24/2027
N/A
877000.00000000
PA
884211.65000000
0.198173812644
Long
DBT
NUSS
CA
N
2
2027-03-24
Fixed
0.86400000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
503.63000000
0.000112876003
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
122000.00000000
EUR
132272.83000000
USD
2024-04-03
503.63000000
N
N
N
DTP COMMERCIAL MORTGAGE TRUST
N/A
DTP COMMERCIAL MORTGAGE TRUST 2023-STE2 DTP 2023-STE2 A
23346GAA7
106000.00000000
PA
USD
106250.05000000
0.023813277626
Long
ABS-MBS
US
Y
2
2041-01-15
Floating
5.64849360
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
6018.74000000
0.001348949262
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
49100000.00000000
JPY
330545.73000000
USD
2024-04-03
6018.74000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4296.75000000
0.000963008494
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
19400000.00000000
JPY
132521.26000000
USD
2024-04-03
4296.75000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-4098.16000000
-0.00091849953
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
130365.84000000
USD
1350000.00000000
SEK
2024-04-03
-4098.16000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
341.61000000
0.000076563293
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
133469.77000000
USD
120000.00000000
CHF
2024-05-08
341.61000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.750000% 04/21/2027
N/A
220000.00000000
PA
148264.61000000
0.033229785022
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-6455.55000000
-0.00144684924
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
438485.38000000
USD
342000.00000000
GBP
2024-04-03
-6455.55000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2103.50000000
-0.00047144664
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
107973.19000000
USD
177000.00000000
NZD
2024-04-03
-2103.50000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
31000000.00000000
NC
14121.21000000
0.003164914220
N/A
DIR
CN
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Y
2024-09-09
0.00000000
CNY
0.00000000
CNY
-31000000.00000000
CNY
14121.21000000
N
N
N
COMPAGNIE DE FINANCEMENT FONCIER S.A.
DKGVVH5FKILG8R13CO13
CIE DE FINANCEMENT FONCIER SA MTN 1.250000% 11/15/2032
N/A
900000.00000000
PA
844868.40000000
0.189356012229
Long
DBT
NUSS
FR
N
2
2032-11-15
Fixed
1.25000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-16.00000000
NC
USD
-2064000.00000000
-0.46259371192
N/A
DIR
US
N
1
US ULTRA BOND CBT JUN24
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2024
2024-06-21
-2036510.36000000
USD
-27489.64000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2564.70000000
0.000574813029
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
181000.00000000
EUR
198058.35000000
USD
2024-04-03
2564.70000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-189.79000000
-0.00004253665
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
218303.65000000
USD
33000000.00000000
JPY
2024-04-03
-189.79000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: THB/USD SETTLE 2024-06-04
N/A
1.00000000
NC
-475.47000000
-0.00010656464
N/A
DFE
TH
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
31288.76000000
USD
1118000.00000000
THB
2024-06-04
-475.47000000
N
N
N
BPCE SFH SA
969500T1UBNNTYVWOS04
BPCE SFH SA 0.625000% 09/22/2027
F1R83CDQ6
300000.00000000
PA
298251.96000000
0.066845678907
Long
DBT
NUSS
FR
N
2
2027-09-22
Fixed
0.62500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC MTN 5.000000% 03/15/2031
N/A
260000.00000000
PA
298138.09000000
0.066820157809
Long
DBT
NUSS
ZA
N
2
2031-03-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
325.73000000
0.000073004190
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
218236.25000000
USD
335000.00000000
AUD
2024-04-03
325.73000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3857.58000000
0.000864579579
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
241000.00000000
EUR
264155.76000000
USD
2024-04-03
3857.58000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-SCHATZ FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
1369865.97000000
0.307021019330
N/A
DIR
DE
N
1
EURO-SCHATZ FUT JUN24
N/A
Long
Germany Govt. Bond Futures
Euro-Schatz Future Jun 2024
2024-06-09
1377563.97000000
EUR
-7698.00000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
989.84000000
0.000221847751
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
172000.00000000
GBP
218268.00000000
USD
2024-04-03
989.84000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
1395000.00000000
PA
743701.19000000
0.166681925408
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-882.33000000
-0.00019775208
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
335000.00000000
AUD
217679.65000000
USD
2024-04-03
-882.33000000
N
N
N
PIPELINES ENBRIDGE INC.
549300I7CU6YE54FMU33
ENBRIDGE PIPELINES INC MTN 2.820000% 05/12/2031
29250ZAZ1
400000.00000000
PA
261459.45000000
0.058599562738
Long
DBT
NUSS
CA
N
2
2031-05-12
Fixed
2.82000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1640.12000000
-0.00036759166
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
55106.78000000
USD
580000.00000000
NOK
2024-04-03
-1640.12000000
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
99202.39000000
0.022233721812
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Japan Finance Organization for Municipalities
5493007YYYNZ4NMEOD64
JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES MTN 0.050000% 02/12/2027
N/A
720000.00000000
PA
711992.31000000
0.159575177104
Long
DBT
NUSS
JP
N
2
2027-02-12
Fixed
0.05000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-268.19000000
-0.00006010804
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
50000.00000000
CHF
55486.55000000
USD
2024-05-08
-268.19000000
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 5.625000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
USD
198750.00000000
0.044544816009
Long
DBT
NUSS
SE
N
2
2173-03-17
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 2024-04-18
N/A
1.00000000
NC
-1462.95000000
-0.00032788346
N/A
DFE
AU
N
2
AUSTRALIAN DOLLAR
N/A
210844.55000000
USD
320843.99000000
AUD
2024-04-18
-1462.95000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2499.45000000
0.000560188882
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
95000.00000000
CHF
107997.99000000
USD
2024-04-03
2499.45000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2595.28000000
0.000581666767
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
103000.00000000
GBP
132709.53000000
USD
2024-04-03
2595.28000000
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA 0.125000% 10/15/2029
N/A
270000.00000000
PA
247991.26000000
0.055581006534
Long
DBT
NUSS
AU
N
2
2029-10-15
Fixed
0.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1154.54000000
0.000258761116
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
48900000.00000000
JPY
324359.63000000
USD
2024-04-03
1154.54000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1584.22000000
-0.00035506308
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1850000.00000000
MXN
109682.82000000
USD
2024-04-03
-1584.22000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
69.85000000
0.000015655121
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
43000.00000000
GBP
54389.39000000
USD
2024-04-03
69.85000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2161.43000000
-0.00048443019
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
132646.20000000
USD
200000.00000000
AUD
2024-04-03
-2161.43000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.800000% 06/22/2027
N/A
547154.00000000
PA
556726.97000000
0.124776354447
Long
DBT
NUSS
BE
N
2
2027-06-22
Fixed
0.80000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.519000% 04/20/2028
N/A
1879000.00000000
PA
395713.51000000
0.088689235197
Long
DBT
NUSS
MY
N
2
2028-04-20
Fixed
3.51900000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
621.51000000
0.000139295842
N/A
DFE
MY
N
2
MALAYSIAN RINGGIT
N/A
157584.68000000
USD
749000.00000000
MYR
2024-04-03
621.51000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
71232.40000000
0.015964951707
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
6054000.00000000
NZD
3692334.60000000
USD
2024-04-03
71232.40000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.875000% 06/10/2029
N/A
450460000.00000000
PA
311332.85000000
0.069777431552
Long
DBT
NUSS
KR
N
2
2029-06-10
Fixed
1.87500000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-879.66000000
-0.00019715367
N/A
DFE
HU
N
2
HUNGARIAN FORINT
N/A
399849.49000000
USD
145714247.00000000
HUF
2024-04-19
-879.66000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 06/03/2027
N/A
23624900.00000000
PA
1345152.14000000
0.301482035631
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
3128000.00000000
PA
276090.71000000
0.061878791844
Long
DBT
NUSS
NO
N
2
2026-02-19
Fixed
1.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/CAD SETTLE 2024-06-10
N/A
1.00000000
NC
USD
-2984.76000000
-0.00066895891
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
2252300.00000000
CAD
1663297.68000000
USD
2024-06-10
-2984.76000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2274.80000000
0.000509839232
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
19700000.00000000
JPY
132482.17000000
USD
2024-04-03
2274.80000000
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
121311.33000000
0.027188884904
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.05500000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.750000% 06/01/2033
135087Q23
323000.00000000
PA
225580.86000000
0.050558278762
Long
DBT
NUSS
CA
N
2
2033-06-01
Fixed
2.75000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 7.750000% 03/01/2029
N/A
200000.00000000
PA
246273.48000000
0.055196009331
Long
DBT
NUSS
CH
N
2
2029-03-01
Fixed
7.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-529.78000000
-0.00011873686
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
56055.33000000
USD
50000.00000000
CHF
2024-04-03
-529.78000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.000000% 06/17/2055
N/A
5339000.00000000
PA
166653.70000000
0.037351237252
Long
DBT
NUSS
TH
N
2
2055-06-17
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
515.12000000
0.000115451198
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
172000.00000000
GBP
217793.28000000
USD
2024-04-03
515.12000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
541.68000000
0.000121403954
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
122000.00000000
EUR
132310.88000000
USD
2024-04-03
541.68000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1946.67000000
-0.00043629714
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
435045.96000000
USD
390000.00000000
CHF
2024-04-03
-1946.67000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ZAR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-395.33000000
-0.00008860328
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4980000.00000000
ZAR
262554.37000000
USD
2024-04-03
-395.33000000
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 4.150000% 03/15/2037
N/A
588000.00000000
PA
717230.71000000
0.160749232772
Long
DBT
NUSS
AT
Y
2
2037-03-15
Fixed
4.15000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.600000% 07/25/2034
N/A
911000.00000000
PA
1053666.54000000
0.236152866214
Long
DBT
USGA
FR
N
2
2034-07-25
Fixed
0.60000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1370.16000000
-0.00030708691
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
54683.18000000
USD
570000.00000000
SEK
2024-04-03
-1370.16000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/NZD SETTLE 2024-06-10
N/A
1.00000000
NC
USD
298932.89000000
0.066998292248
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
23623400.00000000
NZD
14423621.22000000
USD
2024-06-10
298932.89000000
N
N
N
CAISSE FRANCAISE DE FINANCEMENT LOCAL SA
549300E6W08778I4OW85
CAISSE FRANCAISE DE FIN 1.125000% 06/12/2028
F14221EE5
300000.00000000
PA
300173.34000000
0.067276307931
Long
DBT
NUSS
FR
N
2
2028-06-12
Fixed
1.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SGD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2845.50000000
0.000637747290
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1032000.00000000
SGD
767600.13000000
USD
2024-04-03
2845.50000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/SGD SETTLE 2024-06-10
N/A
1.00000000
NC
USD
54437.11000000
0.012200709680
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
15738350.00000000
SGD
11756666.76000000
USD
2024-06-10
54437.11000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2996.60000000
-0.00067161255
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
163607.72000000
USD
24300000.00000000
JPY
2024-04-03
-2996.60000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1612.13000000
-0.00036131841
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
130497.59000000
USD
19500000.00000000
JPY
2024-04-03
-1612.13000000
N
N
N
CNP ASSURANCES SA
969500QKVPV2H8UXM738
CNP ASSURANCES SACA MTN 2.500000% 06/30/2051
N/A
200000.00000000
PA
190881.82000000
0.042781361265
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
200000.00000000
PA
199829.98000000
0.044786866376
Long
DBT
NUSS
DE
N
2
2172-06-17
Fixed
3.87500000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.200000% 06/20/2036
N/A
89650000.00000000
PA
544161.19000000
0.121960050758
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
CENTRICA PLC MTN 4.375000% 03/13/2029
N/A
179000.00000000
PA
220891.26000000
0.049507222817
Long
DBT
NUSS
GB
N
2
2029-03-13
Fixed
4.37500000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.670000% 05/25/2033
N/A
20530000.00000000
PA
2901284.16000000
0.650249907420
Long
DBT
NUSS
CN
N
2
2033-05-25
Fixed
2.67000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
338.99000000
0.000075976086
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
395000.00000000
CHF
438990.83000000
USD
2024-04-03
338.99000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-5068.02000000
-0.00113586927
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4100000.00000000
MXN
241523.81000000
USD
2024-04-03
-5068.02000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 1.450000% 03/01/2036
N/A
555000.00000000
PA
467525.15000000
0.104784008990
Long
DBT
NUSS
IT
N
2
2036-03-01
Fixed
1.45000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2616.99000000
0.000586532518
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
690000.00000000
NOK
66223.88000000
USD
2024-04-03
2616.99000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5049.59000000
-0.00113173865
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
131341.53000000
USD
1370000.00000000
NOK
2024-04-03
-5049.59000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-470.96000000
-0.00010555384
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
250000.00000000
AUD
162635.00000000
USD
2024-04-03
-470.96000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 0.500000% 09/21/2026
N/A
2364000.00000000
PA
1429774.28000000
0.320447960947
Long
DBT
NUSS
AU
N
2
2026-09-21
Fixed
0.50000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
1488.10000000
0.000333520204
N/A
DFE
CO
N
2
COLOMBIA PESO
N/A
392802.50000000
USD
1534156929.71000000
COP
2024-05-16
1488.10000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1038.27000000
-0.00023270211
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
650163.60000000
USD
601000.00000000
EUR
2024-04-03
-1038.27000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1823.75000000
-0.00040874771
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
130674.75000000
USD
102000.00000000
GBP
2024-04-03
-1823.75000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
11535.66000000
0.002585428187
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
350000.00000000
CHF
400214.51000000
USD
2024-04-03
11535.66000000
N
N
N
United States of America
N/A
US LONG BOND(CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
2.00000000
NC
USD
240875.00000000
0.053986075755
N/A
DIR
US
N
1
US LONG BOND(CBT) JUN24
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Jun 2024
2024-06-21
238174.86000000
USD
2700.14000000
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
TWDC ENTERPRISES 18 CORP 2.758000% 10/07/2024
254687CD6
800000.00000000
PA
583968.96000000
0.130881961653
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
492127.72000000
0.110298056557
Long
DBT
NUSS
US
N
2
2024-11-21
Fixed
0.62500000
N
N
N
N
N
N
OMERS Finance Trust
529900M039WCPES03P17
OMERS FINANCE TRUST 144A 5.500000% 11/15/2033
682142AK0
284000.00000000
PA
USD
298074.80000000
0.066805972946
Long
DBT
NUSS
CA
N
2
2033-11-15
Fixed
5.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/CNY SETTLE 2024-06-03
N/A
1.00000000
NC
USD
-37972.61000000
-0.00851060591
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
50596500.00000000
CNY
7080394.63000000
USD
2024-06-03
-37972.61000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2030
N/A
1796420000.00000000
PA
1186559.20000000
0.265937415088
Long
DBT
NUSS
KR
N
2
2030-12-10
Fixed
1.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1907.63000000
-0.00042754730
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
608000.00000000
CAD
447397.66000000
USD
2024-04-03
-1907.63000000
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
1189596.55000000
0.266618160733
Long
DBT
NUSS
JP
N
2
2025-10-10
Fixed
0.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-442.62000000
-0.00009920214
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
180000.00000000
CAD
132575.39000000
USD
2024-04-03
-442.62000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2361.04000000
-0.00052916776
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
65046.09000000
USD
680000.00000000
NOK
2024-04-03
-2361.04000000
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-1034.07000000
-0.00023176079
N/A
DFE
MY
N
2
MALAYSIAN RINGGIT
N/A
158672.99000000
USD
749000.00000000
MYR
2024-05-08
-1034.07000000
N
N
N
EDP - Energias de Portugal, S.A.
529900CLC3WDMGI9VH80
EDP - ENERGIAS DE PORTUGAL SA 1.875000% 08/02/2081
N/A
200000.00000000
PA
202499.11000000
0.045385084765
Long
DBT
NUSS
PT
N
2
2081-08-02
Fixed
1.87500000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-13381.61000000
-0.00299915147
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
4404320.48000000
USD
4060000.00000000
EUR
2024-05-08
-13381.61000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.700000% 06/02/2037
683234YD4
570000.00000000
PA
440314.21000000
0.098685360860
Long
DBT
NUSS
CA
N
2
2037-06-02
Fixed
4.70000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/PLN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1820.17000000
0.000407945347
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
430000.00000000
PLN
109650.80000000
USD
2024-04-03
1820.17000000
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC 6.125000% 05/15/2028
34540UAE9
205000.00000000
PA
238605.27000000
0.053477372835
Long
DBT
NUSS
US
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3827.26000000
-0.00085778411
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
219155.44000000
USD
360000.00000000
NZD
2024-04-03
-3827.26000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-19
N/A
1.00000000
NC
346.32000000
0.000077618921
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
390799.47000000
USD
1559739.30000000
PLN
2024-04-19
346.32000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-6671.59000000
-0.00149526917
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
437271.32000000
USD
660000.00000000
AUD
2024-04-03
-6671.59000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDEN I/L TIP BOND .125 06/01/2026
N/A
455000.00000000
PA
54212.49000000
0.012150366754
Long
DBT
NUSS
SE
N
2
2026-06-01
Fixed
0.12500000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 4.150000% 10/01/2039
N/A
1793000.00000000
PA
1969439.89000000
0.441400440466
Long
DBT
NUSS
IT
N
2
2039-10-01
Fixed
4.15000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.500000% 03/20/2033
N/A
8300000.00000000
PA
58976.64000000
0.013218131208
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
188787.49000000
0.042311969846
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
291566.14000000
0.065347220432
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
2531118.28000000
0.567286531230
Long
DBT
NUSS
CN
N
2
2032-09-01
Fixed
2.60000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 6.070000% 10/22/2027
46647PDW3
230000.00000000
PA
USD
234675.14000000
0.052596532998
Long
DBT
CORP
US
N
2
2027-10-22
Fixed
6.07000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-522.71000000
-0.00011715230
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
109161.79000000
USD
86000.00000000
GBP
2024-04-03
-522.71000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 0.500000% 04/26/2024
N/A
500000.00000000
PA
538788.03000000
0.120755792023
Long
DBT
NUSS
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG MTN 4.625000% 03/17/2028
N/A
265000.00000000
PA
293276.44000000
0.065730541181
Long
DBT
NUSS
CH
N
2
2028-03-17
Fixed
4.62500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2513.33000000
0.000563299735
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
151000.00000000
EUR
165604.72000000
USD
2024-04-03
2513.33000000
N
N
N
CREDIT AGRICOLE HOME LOAN SFH SA
969500C9913Z7PKUGB44
CREDIT AGRICOLE HOME LOAN SFH SA MTN 3.375000% 09/04/2028
N/A
300000.00000000
PA
328645.36000000
0.073657595440
Long
DBT
NUSS
FR
N
2
2028-09-04
Fixed
3.37500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 4.500000% 06/07/2028
N/A
1622000.00000000
PA
2093656.72000000
0.469240520152
Long
DBT
NUSS
GB
N
2
2028-06-07
Fixed
4.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
565.58000000
0.000126760538
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
217436.17000000
USD
295000.00000000
CAD
2024-04-03
565.58000000
N
N
N
TAIWAN DOLLAR
N/A
FX Forward Contract: TWD/USD SETTLE 2024-05-24
N/A
1.00000000
NC
-7900.36000000
-0.00177066708
N/A
DFE
TW
N
2
TAIWAN DOLLAR
N/A
405192.89000000
USD
12672894.00000000
TWD
2024-05-24
-7900.36000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3167.76000000
-0.00070997376
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
163778.88000000
USD
24300000.00000000
JPY
2024-04-03
-3167.76000000
N
N
N
Siemens Financieringsmaatschappij N.V.
TAFO772JB70PDRN5VS48
SIEMENS FINANCIERINGSMAATSCHAPPIJ NV 144A 1.200000% 03/11/2026
82620KAZ6
775000.00000000
PA
USD
722403.17000000
0.161908509648
Long
DBT
NUSS
DE
N
2
2026-03-11
Fixed
1.20000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 5.500000% 03/04/2027
N/A
6142800.00000000
PA
332434.81000000
0.074506905392
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
695050000.00000000
PA
3399634.70000000
0.761942652641
Long
DBT
NUSS
JP
N
2
2049-12-20
Fixed
0.40000000
N
N
N
N
N
N
Banco Bilbao Vizcaya Argentaria, S.A.
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZCAYA ARGENTARIA SA MTN 8.250000% 11/30/2033
N/A
100000.00000000
PA
135768.12000000
0.030429010945
Long
DBT
NUSS
ES
N
2
2033-11-30
Fixed
8.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 2.300000% 02/15/2033
N/A
520000.00000000
PA
563557.27000000
0.126307194481
Long
DBT
NUSS
DE
N
2
2033-02-15
Fixed
2.30000000
N
N
N
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.000000% 04/26/2028
N/A
2624000.00000000
PA
227579.74000000
0.051006277463
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
644157.00000000
0.144371597718
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
323048.28000000
0.072403150666
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
555548.48000000
0.124512225540
Long
DBT
NUSS
FR
N
2
2033-02-25
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-360.93000000
-0.00008089338
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131229.25000000
USD
19800000.00000000
JPY
2024-04-03
-360.93000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/EUR SETTLE 2024-04-12
N/A
1.00000000
NC
USD
167872.53000000
0.037624407355
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
25768445.26000000
EUR
28009034.77000000
USD
2024-04-12
167872.53000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
33964.14000000
0.007612208137
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
10597000.00000000
SEK
1025118.64000000
USD
2024-04-03
33964.14000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/HUF SETTLE 2024-04-19
N/A
1.00000000
NC
USD
385.20000000
0.000086332896
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
145119518.00000000
HUF
397726.65000000
USD
2024-04-19
385.20000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-05-08
N/A
1.00000000
NC
USD
66.84000000
0.000014980505
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
119000.00000000
RON
25925.82000000
USD
2024-05-08
66.84000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MYR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
111.29000000
0.000024942855
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
749000.00000000
MYR
158317.48000000
USD
2024-04-03
111.29000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 0.800000% 09/20/2047
N/A
370100000.00000000
PA
2074560.34000000
0.464960546650
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
336311.58000000
0.075375785927
Long
DBT
CORP
US
N
2
2026-09-18
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2090.39000000
-0.00046850836
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
132575.16000000
USD
200000.00000000
AUD
2024-04-03
-2090.39000000
N
N
N
NISSAN MOTOR CO., LTD.
353800DRBDH1LUTNAY26
NISSAN MOTOR CO LTD 2.652000% 03/17/2026
N/A
165000.00000000
PA
173622.70000000
0.038913163404
Long
DBT
NUSS
JP
N
2
2026-03-17
Fixed
2.65200000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 0.625000% 03/25/2030
U94974KM0
270000.00000000
PA
245375.07000000
0.054994653316
Long
DBT
NUSS
US
N
2
2030-03-25
Fixed
0.62500000
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
406141.28000000
0.091026357693
Long
DBT
NUSS
US
N
2
2027-03-07
Fixed
1.12500000
N
N
N
N
N
N
Heimstaden Bostad Treasury B.V.
549300ORG6UYMJBCV938
HEIMSTADEN BOSTAD TREASURY BV MTN 0.625000% 07/24/2025
N/A
220000.00000000
PA
218614.80000000
0.048997011537
Long
DBT
NUSS
SE
N
2
2025-07-24
Fixed
0.62500000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 1.600000% 06/22/2047
N/A
41000.00000000
PA
32393.97000000
0.007260294004
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1507.30000000
0.000337823402
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
121000.00000000
EUR
132196.43000000
USD
2024-04-03
1507.30000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
97.16000000
0.000021775971
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4305.69000000
CHF
4878.68000000
USD
2024-04-03
97.16000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2589.93000000
-0.00058046769
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131188.70000000
USD
215000.00000000
NZD
2024-04-03
-2589.93000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
BELGIUM KINGDOM 3.750000% 06/22/2045
N/A
439269.00000000
PA
510357.21000000
0.114383738459
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
243903.43000000
0.054664822206
Long
DBT
NUSS
MX
N
2
2039-04-08
Fixed
2.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1756.43000000
-0.00039365962
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
132241.20000000
USD
200000.00000000
AUD
2024-04-03
-1756.43000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-2081.39000000
-0.00046649124
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4400000.00000000
MXN
262553.74000000
USD
2024-04-03
-2081.39000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-14787.96000000
-0.00331434947
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1651963.83000000
USD
247700000.00000000
JPY
2024-04-03
-14787.96000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
543.03000000
0.000121706522
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
121000.00000000
EUR
131232.16000000
USD
2024-04-03
543.03000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-12914.98000000
-0.00289456808
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
22700000.00000000
MXN
1352361.72000000
USD
2024-04-03
-12914.98000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
2001.37000000
0.000448556771
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
129714.75000000
USD
2190000.00000000
MXN
2024-04-03
2001.37000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S MTN 0.750000% 06/09/2029
N/A
180000.00000000
PA
172159.88000000
0.038585309076
Long
DBT
NUSS
DK
N
2
2029-06-09
Fixed
0.75000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.750000% 05/21/2041
N/A
876000.00000000
PA
467012.36000000
0.104669080002
Long
DBT
NUSS
AU
N
2
2041-05-21
Fixed
2.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-05-08
N/A
1.00000000
NC
USD
447.71000000
0.000100342941
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
580000.00000000
SEK
54785.99000000
USD
2024-05-08
447.71000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 4.625000% 01/27/2028
N/A
200000.00000000
PA
222183.10000000
0.049796756276
Long
DBT
NUSS
NL
N
2
2028-01-27
Fixed
4.62500000
N
N
N
N
N
N
SOCIETE GENERALE SFH SA
969500KN90DZLHUN3566
SOCIETE GENERALE SFH SA MTN 0.125000% 02/02/2029
N/A
500000.00000000
PA
471417.93000000
0.105656477764
Long
DBT
NUSS
FR
N
2
2029-02-02
Fixed
0.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: HUF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1220.35000000
-0.00027351077
N/A
DFE
HU
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
498475.27000000
USD
181445000.00000000
HUF
2024-04-03
-1220.35000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
570.86000000
0.000127943917
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
83285.72000000
EUR
90777.44000000
USD
2024-06-12
570.86000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-128108.26000000
-0.02871224589
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
67281000.00000000
MXN
3918463.62000000
USD
2024-04-03
-128108.26000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2025
N/A
461000.00000000
PA
269024.91000000
0.060295170405
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
597000.00000000
PA
571260.01000000
0.128033570008
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
520795.31000000
0.116723176164
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
2408000.00000000
PA
1688153.47000000
0.378357160843
Long
DBT
NUSS
CA
N
2
2026-06-01
Fixed
1.50000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/23/2034
N/A
5317400.00000000
PA
286565.53000000
0.064226459414
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2566.26000000
-0.00057516266
N/A
DFE
MY
N
2
MALAYSIAN RINGGIT
N/A
1894492.60000000
USD
8957000.00000000
MYR
2024-04-03
-2566.26000000
N
N
N
ODEBRECHT HOLDCO FINANCE LIMITED
N/A
ODEBRECHT HOLDCO FINANCE LTD ZERO COUPON 09/10/2058
G6714UAA8
310752.00000000
PA
USD
77.69000000
0.000017412260
Long
DBT
NUSS
KY
N
2
2058-09-10
Fixed
0.00000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 3.450000% 10/20/2030
N/A
735000.00000000
PA
828930.34000000
0.185783896756
Long
DBT
NUSS
AT
N
2
2030-10-20
Fixed
3.45000000
N
N
N
N
N
N
FISERV, INC.
GI7UBEJLXYLGR2C7GV83
FISERV INC 4.500000% 05/24/2031
N/A
218000.00000000
PA
245846.78000000
0.055100375254
Long
DBT
NUSS
US
N
2
2031-05-24
Fixed
4.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A
902613BF4
237000.00000000
PA
USD
256783.58000000
0.057551584027
Long
DBT
NUSS
CH
N
2
2172-05-13
Fixed
9.25000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 9.250000% 05/28/2042
N/A
828200000.00000000
PA
188532.41000000
0.042254800077
Long
DBT
NUSS
CO
N
2
2042-05-28
Fixed
9.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 3.900000% MATURITY: PERPETUAL
949746TD3
91000.00000000
PA
USD
86579.79000000
0.019404683349
Long
DBT
CORP
US
N
2
2173-03-15
Fixed
3.90000000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 5.400000% 06/01/2028
00912XBP8
135000.00000000
PA
101551.52000000
0.022760220246
Long
DBT
NUSS
US
N
2
2028-06-01
Fixed
5.40000000
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
272053.61000000
0.060973977370
Long
DBT
NUSS
GB
N
2
2025-12-01
Fixed
5.12500000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 1.800000% 08/15/2053
N/A
511000.00000000
PA
477533.04000000
0.107027025939
Long
DBT
NUSS
DE
N
2
2053-08-15
Fixed
1.80000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
64.02000000
0.000014348473
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
85000.00000000
AUD
55520.05000000
USD
2024-04-03
64.02000000
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 1.550000% 03/15/2028
171239AA4
325000.00000000
PA
327844.49000000
0.073478100563
Long
DBT
NUSS
US
N
2
2028-03-15
Fixed
1.55000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2024-05-28
N/A
1.00000000
NC
-8018.89000000
-0.00179723260
N/A
DFE
HU
N
2
HUNGARIAN FORINT
N/A
1076680.14000000
USD
391104600.00000000
HUF
2024-05-28
-8018.89000000
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 5.176000% 01/09/2030
05581KAH4
390000.00000000
PA
USD
390027.79000000
0.087414923996
Long
DBT
NUSS
FR
N
2
2030-01-09
Fixed
5.17600000
N
N
N
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.000000% 10/13/2033
N/A
700000.00000000
PA
25371.37000000
0.005686354760
Long
DBT
NUSS
CZ
N
2
2033-10-13
Fixed
2.00000000
N
N
N
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP MTN 3.106000% 11/23/2027
N/A
216000.00000000
PA
232065.52000000
0.052011652280
Long
DBT
NUSS
AU
N
2
2027-11-23
Fixed
3.10600000
N
N
N
N
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
BRK: CITIBANK, N.A. PAY: China 7-Day Reverse Repo Rate
N/A
12090000.00000000
NC
27217.75000000
0.006100174419
N/A
DIR
CN
N
2
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
Y
2026-04-02
0.00000000
CNY
0.00000000
CNY
-12090000.00000000
CNY
27217.75000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-23.18000000
-0.00000519521
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
85000.00000000
AUD
55432.85000000
USD
2024-04-03
-23.18000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1587.70000000
-0.00035584304
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
130473.16000000
USD
19500000.00000000
JPY
2024-04-03
-1587.70000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2181.52000000
0.000488932865
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1286000.00000000
NZD
771381.62000000
USD
2024-04-03
2181.52000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
13853.14000000
0.003104833068
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
385000.00000000
CHF
441399.87000000
USD
2024-04-03
13853.14000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
45.45000000
0.000010186474
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
43000.00000000
GBP
54364.99000000
USD
2024-04-03
45.45000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.000000% MATURITY: PERPETUAL
172967MU2
71000.00000000
PA
USD
68070.99000000
0.015256401132
Long
DBT
CORP
US
N
2
2173-03-10
Fixed
4.00000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.850000% 07/30/2035
N/A
504000.00000000
PA
473882.91000000
0.106208941062
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CNY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-771.32000000
-0.00017287198
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1594000.00000000
CNY
219998.62000000
USD
2024-04-03
-771.32000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2625.02000000
-0.00058833224
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
261843.12000000
USD
240000.00000000
EUR
2024-04-03
-2625.02000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-7.00000000
NC
-893966.06000000
-0.20036001842
N/A
DIR
DE
N
1
EURO-BOBL FUTURE JUN24
N/A
Short
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2024
2024-06-09
-896910.94000000
EUR
2944.88000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC CANADA MTN 3.700000% 05/20/2026
N/A
568000.00000000
PA
364705.06000000
0.081739470669
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
580890.56000000
0.130192015683
Long
DBT
NUSS
FR
N
2
2027-11-10
Fixed
0.01000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP 3.750000% 10/25/2027
026657AU0
415000.00000000
PA
453809.47000000
0.101709984124
Long
DBT
NUSS
US
N
2
2027-10-25
Fixed
3.75000000
N
N
N
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESREPUB. DEUTSCHLAND 1.000000% 05/15/2038
N/A
2686000.00000000
PA
2405399.11000000
0.539109739800
Long
DBT
NUSS
DE
N
2
2038-05-15
Fixed
1.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1818.69000000
0.000407613642
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
95000.00000000
CHF
107317.23000000
USD
2024-04-03
1818.69000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 04/15/2037
N/A
260000.00000000
PA
125300.27000000
0.028082905525
Long
DBT
NUSS
NZ
N
2
2037-04-15
Fixed
2.75000000
N
N
N
N
N
N
Treasury Corporation Of Victoria
549300ZJM7BQW1P9UV75
TREASURY CORP VICTORIA 2.000000% 09/17/2035
N/A
1105000.00000000
PA
538649.65000000
0.120724777625
Long
DBT
NUSS
AU
N
2
2035-09-17
Fixed
2.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
580.81000000
0.000130173960
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
103000.00000000
GBP
130695.06000000
USD
2024-04-03
580.81000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/INR SETTLE 2024-06-14
N/A
1.00000000
NC
USD
772.58000000
0.000173154384
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
33326525.02000000
INR
399742.41000000
USD
2024-06-14
772.58000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
2127.32000000
0.000476785298
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
425575.50000000
AUD
279856.32000000
USD
2024-04-18
2127.32000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2320.63000000
-0.00052011087
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
65005.68000000
USD
680000.00000000
NOK
2024-04-03
-2320.63000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2257.82000000
-0.00050603359
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
261475.92000000
USD
240000.00000000
EUR
2024-04-03
-2257.82000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.733000% 06/15/2028
N/A
2316000.00000000
PA
492017.13000000
0.110273270589
Long
DBT
NUSS
MY
N
2
2028-06-15
Fixed
3.73300000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1567.19000000
-0.00035124624
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
54880.21000000
USD
570000.00000000
SEK
2024-04-03
-1567.19000000
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
6.00000000
NC
USD
642093.75000000
0.143909172100
N/A
DIR
US
N
1
US 5YR NOTE (CBT) JUN24
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2024
2024-07-01
639895.44000000
USD
2198.31000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
817.85000000
0.000183300517
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
202000.00000000
EUR
218993.09000000
USD
2024-04-03
817.85000000
N
N
N
Banco Santander, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA MTN 5.750000% 08/23/2033
N/A
200000.00000000
PA
226656.01000000
0.050799246606
Long
DBT
NUSS
ES
N
2
2033-08-23
Fixed
5.75000000
N
N
N
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 3.250000% 05/25/2055
N/A
1555000.00000000
PA
1657391.90000000
0.371462728260
Long
DBT
NUSS
FR
N
2
2055-05-25
Fixed
3.25000000
N
N
N
N
N
N
BNG BANK N.V.
529900GGYMNGRQTDOO93
BNG BANK NV MTN 0.000000% 01/20/2031
N/A
900000.00000000
PA
803150.35000000
0.180005960095
Long
DBT
NUSS
NL
N
2
2031-01-20
Fixed
0.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.790000% 03/21/2030
N/A
136000.00000000
PA
148061.44000000
0.033184249574
Long
DBT
NUSS
US
N
2
2030-03-21
Fixed
3.79000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-4063.62000000
-0.00091075826
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2230000.00000000
MXN
130058.28000000
USD
2024-04-03
-4063.62000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1812.53000000
-0.00040623303
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
130663.53000000
USD
102000.00000000
GBP
2024-04-03
-1812.53000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5206.51000000
0.001166908327
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
270000.00000000
NZD
166702.64000000
USD
2024-04-03
5206.51000000
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD 4.125000% 05/01/2024
00928QAQ4
22000.00000000
PA
USD
21964.53000000
0.004922797220
Long
DBT
NUSS
US
N
2
2024-05-01
Fixed
4.12500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
2161.47000000
0.000484439162
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
146034.20000000
USD
2464000.00000000
MXN
2024-04-03
2161.47000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (2 YEAR ISSUE) 0.005000% 06/01/2025
N/A
349250000.00000000
PA
2305799.76000000
0.516787049383
Long
DBT
NUSS
JP
N
2
2025-06-01
Fixed
0.00500000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-102.78000000
-0.00002303555
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
55558.81000000
USD
85000.00000000
AUD
2024-04-03
-102.78000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 6.000000% 01/31/2029
N/A
80000.00000000
PA
98771.18000000
0.022137076931
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
507327.66000000
0.113704740988
Long
DBT
NUSS
CA
N
2
2032-04-19
Fixed
3.50000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 2.632000% 04/15/2031
N/A
1040000.00000000
PA
204189.82000000
0.045764014908
Long
DBT
NUSS
MY
N
2
2031-04-15
Fixed
2.63200000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.180000% 08/25/2025
N/A
26340000.00000000
PA
3655796.44000000
0.819354866865
Long
DBT
NUSS
CN
N
2
2025-08-25
Fixed
2.18000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-1798.83000000
-0.00040316252
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
262044.94000000
USD
2820000.00000000
NOK
2024-05-08
-1798.83000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 1.875000% 10/01/2051
N/A
161000.00000000
PA
94284.49000000
0.021131498161
Long
DBT
NUSS
SG
N
2
2051-10-01
Fixed
1.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/HKD SETTLE 2024-05-09
N/A
1.00000000
NC
USD
1772.91000000
0.000397353206
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2705000.00000000
HKD
347833.91000000
USD
2024-05-09
1772.91000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-64.05000000
-0.00001435519
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
55230.05000000
USD
8300000.00000000
JPY
2024-05-08
-64.05000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
396.91000000
0.000088957398
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1562000.00000000
RON
339821.54000000
USD
2024-04-03
396.91000000
N
N
N
GLOBAL PAYMENTS INC.
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 4.875000% 03/17/2031
37940XAS1
359000.00000000
PA
408369.73000000
0.091525808739
Long
DBT
NUSS
US
N
2
2031-03-17
Fixed
4.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
6497.69000000
0.001456293864
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2305000.00000000
NOK
218981.57000000
USD
2024-04-03
6497.69000000
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
6.00000000
NC
771181.41000000
0.172840925880
N/A
DIR
DE
N
1
EURO-BTP FUTURE JUN24
N/A
Long
Italy Govt. Bond Futures
Euro-BTP Futures Jun 2024
2024-06-09
764973.44000000
EUR
6207.97000000
N
N
N
Credicorp Capital Sociedad Titulizadora S.A.
N/A
CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA 144A 10.100000% 12/15/2043
224939AA6
500000.00000000
PA
135865.27000000
0.030450784675
Long
DBT
NUSS
PE
N
2
2043-12-15
Fixed
10.10000000
N
N
N
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2024-05-17
N/A
1.00000000
NC
-3403.76000000
-0.00076286723
N/A
DFE
SG
N
2
SINGAPORE DOLLAR
N/A
404588.02000000
USD
540144.43000000
SGD
2024-05-17
-3403.76000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC MTN 6.000000% 03/29/2040
N/A
70000.00000000
PA
88172.00000000
0.019761537193
Long
DBT
NUSS
GB
N
2
2040-03-29
Fixed
6.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-864.42000000
-0.00019373801
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2200000.00000000
MXN
131453.15000000
USD
2024-04-03
-864.42000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.065000% 06/15/2050
N/A
908000.00000000
PA
188044.90000000
0.042145536966
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
315000.00000000
PA
293421.21000000
0.065762987737
Long
DBT
NUSS
RO
N
2
2035-10-29
Fixed
3.87500000
N
N
N
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-16.00000000
NC
-1422826.53000000
-0.31889079744
N/A
DIR
CA
N
1
CAN 10YR BOND FUT JUN24
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2024
2024-06-22
-1416721.58000000
CAD
-6104.95000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-05-08
N/A
1.00000000
NC
17.68000000
0.000003962527
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
54302.02000000
USD
43000.00000000
GBP
2024-05-08
17.68000000
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 1.650000% 06/12/2029
14040HCC7
570000.00000000
PA
546470.64000000
0.122477655917
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
120139.14000000
0.026926167984
Long
DBT
NUSS
US
N
2
2031-04-30
Fixed
3.95000000
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
799812.08000000
0.179257770798
Long
DBT
NUSS
BE
N
2
2043-06-22
Fixed
3.45000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3685.17000000
-0.00082593821
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132570.63000000
USD
19500000.00000000
JPY
2024-04-03
-3685.17000000
N
N
N
INTER AMERICAN DEVELOPMENT BANK
VKU1UKDS9E7LYLMACP54
INTER-AMERICAN DEVELOPMENT BANK MTN 7.350000% 10/06/2030
N/A
25000000.00000000
PA
305106.26000000
0.068381897938
Long
DBT
NUSS
XX
N
2
2030-10-06
Fixed
7.35000000
N
N
N
N
N
N
SKY LIMITED
2138003TS48MQKF4BZ29
SKY LTD MTN 2.250000% 11/17/2025
N/A
275000.00000000
PA
291293.35000000
0.065286081412
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
748057.73000000
0.167658334327
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
395094.75000000
0.088550555699
Long
DBT
NUSS
US
N
2
2029-05-21
Fixed
0.87500000
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
140186.08000000
0.031419185613
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
151000.00000000
PA
155575.02000000
0.034868229643
Long
DBT
NUSS
GB
N
2
2172-06-22
Fixed
3.62500000
N
N
N
N
N
N
AUTOZONE, INC.
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 6.250000% 11/01/2028
053332BG6
35000.00000000
PA
USD
36704.47000000
0.008226384215
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
6.25000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/CZK SETTLE 2024-06-03
N/A
1.00000000
NC
USD
7792.92000000
0.001746587107
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
70894700.00000000
CZK
3037216.18000000
USD
2024-06-03
7792.92000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-283.36000000
-0.00006350802
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
163374.75000000
USD
151000.00000000
EUR
2024-04-03
-283.36000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.642000% 11/07/2033
N/A
242000.00000000
PA
54270.28000000
0.012163318930
Long
DBT
NUSS
MY
N
2
2033-11-07
Fixed
4.64200000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.350000% 06/17/2033
N/A
11716000.00000000
PA
341869.41000000
0.076621433800
Long
DBT
NUSS
TH
N
2
2033-06-17
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (APRIL)
01F050643
910000.00000000
PA
USD
887853.49000000
0.198990039526
Long
DBT
USGA
US
N
2
2054-04-15
Fixed
5.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
19069.78000000
0.004274011780
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
6780000.00000000
SEK
653214.12000000
USD
2024-04-03
19069.78000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 4.650000% 06/02/2041
683234B98
540000.00000000
PA
414162.94000000
0.092824211121
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
191000.00000000
PA
93776.78000000
0.021017707728
Long
DBT
NUSS
NZ
N
2
2031-05-15
Fixed
1.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5286.19000000
-0.00118476659
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
217309.15000000
USD
2300000.00000000
NOK
2024-04-03
-5286.19000000
N
N
N
NATIONAL AUSTRALIA BANK LIMITED
F8SB4JFBSYQFRQEH3Z21
NATIONAL AUSTRALIA BANK LTD MTN 0.875000% 02/19/2027
N/A
555000.00000000
PA
559941.31000000
0.125496767951
Long
DBT
NUSS
AU
N
2
2027-02-19
Fixed
0.87500000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1364.71000000
-0.00030586543
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
218459.87000000
USD
201000.00000000
EUR
2024-04-03
-1364.71000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDEN I/L BOND 0.125 12/01/2027
N/A
2615000.00000000
PA
395876.24000000
0.088725707036
Long
DBT
USGA
SE
N
2
2027-12-01
Fixed
0.12500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 0.580000% 08/08/2029
U0R8A1AT4
240000.00000000
PA
229261.39000000
0.051383177035
Long
DBT
NUSS
US
N
2
2029-08-08
Fixed
0.58000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-05-08
N/A
1.00000000
NC
1097.27000000
0.000245925485
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
2610038.11000000
USD
2067000.00000000
GBP
2024-05-08
1097.27000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.400000% 09/20/2038
N/A
50650000.00000000
PA
392957.92000000
0.088071638973
Long
DBT
NUSS
JP
N
2
2038-09-20
Fixed
2.40000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-894.77000000
-0.00020054020
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1754000.00000000
AUD
1143456.63000000
USD
2024-04-03
-894.77000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
4542.02000000
0.001017979598
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
329860.55000000
USD
5560000.00000000
MXN
2024-04-03
4542.02000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-7850.95000000
-0.00175959307
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
325671.37000000
USD
3398000.00000000
SEK
2024-04-03
-7850.95000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-19449.66000000
-0.00435915233
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
10603000.00000000
GBP
13374777.94000000
USD
2024-05-08
-19449.66000000
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-5180.26000000
-0.00116102504
N/A
DFE
KR
N
2
KOREAN WON
N/A
401298.00000000
USD
533376964.00000000
KRW
2024-04-18
-5180.26000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CAD SETTLE 2024-06-13
N/A
1.00000000
NC
USD
46641.32000000
0.010453479335
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
13611846.72000000
CAD
10117304.46000000
USD
2024-06-13
46641.32000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (MAY)
01F060659
380000.00000000
PA
USD
383385.28000000
0.085926172369
Long
DBT
USGA
US
N
2
2054-05-15
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1056.57000000
0.000236803603
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131261.00000000
USD
2200000.00000000
MXN
2024-04-03
1056.57000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-20896.07000000
-0.00468332877
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
2231883.25000000
USD
334516000.00000000
JPY
2024-04-03
-20896.07000000
N
N
N
GE HEALTHCARE TECHNOLOGIES INC.
549300OI9J7XOWZMUN85
GE HEALTHCARE TECHNOLOGIES INC 5.550000% 11/15/2024
36267VAB9
435000.00000000
PA
USD
434431.47000000
0.097366892579
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.55000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CZK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
548.38000000
0.000122905590
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2540000.00000000
CZK
109036.27000000
USD
2024-04-03
548.38000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 06/30/2032
N/A
3692000000.00000000
PA
797274.76000000
0.178689094307
Long
DBT
NUSS
CO
N
2
2032-06-30
Fixed
7.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-05-08
N/A
1.00000000
NC
USD
1470.19000000
0.000329506128
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2683000.00000000
NOK
249073.13000000
USD
2024-05-08
1470.19000000
N
N
N
European Union
529900FZRK8FGMPEOM08
EUROPEAN UNION MTN 3.750000% 04/04/2042
N/A
872000.00000000
PA
1024008.81000000
0.229505831617
Long
DBT
NUSS
XX
N
2
2042-04-04
Fixed
3.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY 0.125000% 09/21/2028
N/A
135000.00000000
PA
122953.47000000
0.027556929302
Long
DBT
NUSS
HU
N
2
2028-09-21
Fixed
0.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 06/13/2024
912797FS1
5531000.00000000
PA
USD
5472504.81000000
1.226524376729
Long
DBT
UST
US
N
2
2024-06-13
None
0.00000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
4244000.00000000
PA
896575.26000000
0.200944805010
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-27.00000000
-0.00000605137
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
20000.00000000
AUD
13021.48000000
USD
2024-04-03
-27.00000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-206.62000000
-0.00004630867
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131975.82000000
USD
122000.00000000
EUR
2024-04-03
-206.62000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
7764.89000000
0.001740304887
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2250000.00000000
SEK
218211.02000000
USD
2024-04-03
7764.89000000
N
N
N
Oersted A/S
W9NG6WMZIYEU8VEDOG48
ORSTED AS MTN 3.625000% 03/01/2026
N/A
325000.00000000
PA
350992.84000000
0.078666221276
Long
DBT
NUSS
DK
N
2
2026-03-01
Fixed
3.62500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
76.51000000
0.000017147793
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
116000.00000000
RON
25283.46000000
USD
2024-04-03
76.51000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2404.52000000
0.000538912709
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
103000.00000000
GBP
132518.77000000
USD
2024-04-03
2404.52000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-693.37000000
-0.00015540145
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
217788.53000000
USD
201000.00000000
EUR
2024-04-03
-693.37000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3469.92000000
-0.00077769533
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
1102986.71000000
USD
1018000.00000000
EUR
2024-04-03
-3469.92000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 3.000000% 08/15/2033
N/A
2803000.00000000
PA
246369.56000000
0.055217543248
Long
DBT
NUSS
NO
N
2
2033-08-15
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: CNY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1618.18000000
-0.00036267436
N/A
DFE
CN
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
509915.34000000
USD
3670000.00000000
CNY
2024-04-03
-1618.18000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-2.50000000
-0.00000056031
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
16600000.00000000
JPY
110329.50000000
USD
2024-05-08
-2.50000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
34.58000000
0.000007750237
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
119000.00000000
RON
25893.43000000
USD
2024-04-03
34.58000000
N
N
N
NJ TRUST
N/A
NJ TRUST 2023-GSP NJ 2023-GSP A
65486XAA1
112815.00000000
PA
USD
117884.79000000
0.026420912105
Long
ABS-MBS
US
Y
2
2029-01-06
Floating
6.69678120
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-1329.28000000
-0.00029792469
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
519160.80000000
USD
2383000.00000000
RON
2024-05-08
-1329.28000000
N
N
N
BNG BANK N.V.
529900GGYMNGRQTDOO93
BNG BANK NV MTN 3.300000% 07/17/2028
N/A
459000.00000000
PA
287527.82000000
0.064442132526
Long
DBT
NUSS
NL
N
2
2028-07-17
Fixed
3.30000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1803.62000000
-0.00040423608
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132010.99000000
USD
19700000.00000000
JPY
2024-04-03
-1803.62000000
N
N
N
TRANSCANADA PIPELINES LIMITED
5BV01I6231JPDAPMGH09
TRANSCANADA PIPELINES LTD 5.330000% 05/12/2032
89353ZCK2
241000.00000000
PA
181603.50000000
0.040701859090
Long
DBT
NUSS
CA
N
2
2032-05-12
Fixed
5.33000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.810000% 09/14/2050
N/A
13740000.00000000
PA
2311179.35000000
0.517992749241
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
56.11000000
0.000012575645
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132134.11000000
USD
20000000.00000000
JPY
2024-04-03
56.11000000
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BOBL FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
12.00000000
NC
1532513.26000000
0.343474320500
N/A
DIR
DE
N
1
EURO-BOBL FUTURE JUN24
N/A
Long
Germany Govt. Bond Futures
Euro-BOBL Future Jun 2024
2024-06-09
1535422.89000000
EUR
-2909.63000000
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TOTALENERGIES SE MTN 1.625000% MATURITY: PERPETUAL
N/A
170000.00000000
PA
165698.27000000
0.037137101636
Long
DBT
NUSS
FR
N
2
2173-01-25
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
1036000.00000000
PA
1221956.77000000
0.273870890524
Long
DBT
NUSS
GB
N
2
2063-10-22
Fixed
4.00000000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 3.500000% 05/31/2029
N/A
2923000.00000000
PA
3256190.37000000
0.729793212201
Long
DBT
NUSS
ES
N
2
2029-05-31
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
160.81000000
0.000036041518
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
55295.22000000
USD
85000.00000000
AUD
2024-04-03
160.81000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/THB SETTLE 2024-05-20
N/A
1.00000000
NC
USD
3856.39000000
0.000864312870
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
9401000.00000000
THB
262616.10000000
USD
2024-05-20
3856.39000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SGD SETTLE 2024-05-08
N/A
1.00000000
NC
USD
208.54000000
0.000046738998
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
75000.00000000
SGD
55890.07000000
USD
2024-05-08
208.54000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2328.30000000
-0.00052182991
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
132442.55000000
USD
103000.00000000
GBP
2024-04-03
-2328.30000000
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
1.00000000
NC
963890.45000000
0.216031812573
N/A
DIR
JP
N
1
JPN 10Y BOND(OSE) JUN24
N/A
Long
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Jun 2024
2024-06-16
960980.66000000
JPY
2909.79000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 1.500000% 05/15/2050
N/A
250000.00000000
PA
196613.13000000
0.044065890319
Long
DBT
NUSS
IE
N
2
2050-05-15
Fixed
1.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CNY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
65272.58000000
0.014629207882
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
198683000.00000000
CNY
27582985.10000000
USD
2024-04-03
65272.58000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-202.17000000
-0.00004531132
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
264068.46000000
USD
39700000.00000000
JPY
2024-05-08
-202.17000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-6216.40000000
-0.00139324978
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
2227931.56000000
USD
2057000.00000000
EUR
2024-04-03
-6216.40000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.900000% 06/20/2042
N/A
422250000.00000000
PA
2583859.20000000
0.579107082563
Long
DBT
NUSS
JP
N
2
2042-06-20
Fixed
0.90000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/CNY SETTLE 2024-04-08
N/A
1.00000000
NC
USD
508.68000000
0.000114007834
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
2323000.00000000
CNY
323053.97000000
USD
2024-04-08
508.68000000
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 2.625000% 09/22/2038
N/A
100000.00000000
PA
89889.97000000
0.020146576980
Long
DBT
NUSS
GB
N
2
2038-09-22
Fixed
2.62500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
42.90000000
0.000009614956
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
163000.00000000
RON
35463.01000000
USD
2024-04-03
42.90000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-990.66000000
-0.00022203153
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4400000.00000000
MXN
262244.85000000
USD
2024-05-08
-990.66000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.120000% 09/13/2031
N/A
9540000.00000000
PA
1373392.36000000
0.307811370997
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
746371.00000000
PA
780824.35000000
0.175002148462
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
255779.74000000
0.057326598527
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
243259.20000000
0.054520434247
Long
DBT
NUSS
CA
N
2
2028-04-20
Fixed
4.00000000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 0.010000% 10/05/2028
N/A
637000.00000000
PA
598921.58000000
0.134233215524
Long
DBT
NUSS
CA
N
2
2028-10-05
Fixed
0.01000000
N
N
N
N
N
N
NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LIMITED
254900ZJG39H1CAH6K02
NZ LOCAL GOVT FUND AGENC 4.500000% 04/15/2027
N/A
803000.00000000
PA
474761.22000000
0.106405792168
Long
DBT
NUSS
NZ
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.500000% 06/22/2055
N/A
353000.00000000
PA
390349.92000000
0.087487121337
Long
DBT
NUSS
BE
N
2
2055-06-22
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
10735.88000000
0.002406177606
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
48800000.00000000
JPY
333280.02000000
USD
2024-04-03
10735.88000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.900000% 06/22/2029
N/A
866000.00000000
PA
858145.55000000
0.192331751620
Long
DBT
NUSS
BE
N
2
2029-06-22
Fixed
0.90000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CNY SETTLE 2024-05-23
N/A
1.00000000
NC
USD
64457.54000000
0.014446537155
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
48086492.95000000
CNY
6703071.31000000
USD
2024-05-23
64457.54000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2038
N/A
1262000.00000000
PA
943837.47000000
0.211537441229
Long
DBT
NUSS
NL
N
2
2038-01-15
Fixed
0.00000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: INR/USD SETTLE 2024-06-14
N/A
1.00000000
NC
-3068.28000000
-0.00068767782
N/A
DFE
IN
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
402703.78000000
USD
33382129.92000000
INR
2024-06-14
-3068.28000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-693.37000000
-0.00015540145
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
217788.53000000
USD
201000.00000000
EUR
2024-04-03
-693.37000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.813000% 10/25/2028
N/A
435000.00000000
PA
488718.20000000
0.109533898363
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
320300000.00000000
PA
2352499.75000000
0.527253678124
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
770467.47000000
0.172680914177
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: ZAR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
169.26000000
0.000037935373
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
108601.10000000
USD
2060000.00000000
ZAR
2024-04-03
169.26000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 4.500000% 04/15/2027
N/A
2056000.00000000
PA
1232024.02000000
0.276127211525
Long
DBT
NUSS
NZ
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1298.97000000
-0.00029113146
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
56824.52000000
USD
50000.00000000
CHF
2024-04-03
-1298.97000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-64.90000000
-0.00001454570
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
25271.97000000
USD
116000.00000000
RON
2024-05-08
-64.90000000
N
N
N
South Australian Government Financing Authority
254900TDPILDN6AUAD69
SOUTH AUST GOVT FIN AUTH 4.750000% 05/24/2038
N/A
1002000.00000000
PA
633685.90000000
0.142024763892
Long
DBT
NUSS
AU
N
2
2038-05-24
Fixed
4.75000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2351.31000000
-0.00052698702
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
127959.41000000
USD
210000.00000000
NZD
2024-04-03
-2351.31000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
3119.24000000
0.000699099229
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
135446.10000000
GBP
174217.41000000
USD
2024-04-19
3119.24000000
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN24 FINANCIAL COMMODITY FUTURE.
N/A
34.00000000
NC
USD
3767093.75000000
0.844299360935
N/A
DIR
US
N
1
US 10YR NOTE (CBT)JUN24
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2024
2024-06-21
3754395.26000000
USD
12698.49000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1814.93000000
-0.00040677093
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131423.98000000
USD
120000.00000000
EUR
2024-04-03
-1814.93000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/THB SETTLE 2024-06-04
N/A
1.00000000
NC
USD
59434.75000000
0.013320805048
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
103429050.00000000
THB
2910051.49000000
USD
2024-06-04
59434.75000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2357.03000000
0.000528269019
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
400000.00000000
EUR
434387.20000000
USD
2024-04-03
2357.03000000
N
N
N
AUST 3YR BOND FUT JUN24
N/A
AUST 3YR BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-6.00000000
NC
-418505.32000000
-0.09379744643
Short
AU
N
1
N
N
N
KOREAN WON
N/A
FX Forward Contract: KRW/USD SETTLE 2024-04-18
N/A
1.00000000
NC
-6113.52000000
-0.00137019181
N/A
DFE
KR
N
2
KOREAN WON
N/A
406121.00000000
USD
538614550.00000000
KRW
2024-04-18
-6113.52000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 2.000000% 06/01/2032
135087N59
1497000.00000000
PA
992317.69000000
0.222403063770
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
1482000.00000000
PA
1111174.20000000
0.249041762485
Long
DBT
NUSS
CA
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1514.12000000
0.000339351933
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
405000.00000000
EUR
438944.67000000
USD
2024-04-03
1514.12000000
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
35.00000000
NC
4844804.68000000
1.085841172702
N/A
DIR
DE
N
1
EURO-OAT FUTURE JUN24
N/A
Long
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Jun 2024
2024-06-09
4845387.01000000
EUR
-582.33000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 5.500000% 04/15/2026
N/A
5153000000.00000000
PA
319603.00000000
0.071630977767
Long
DBT
NUSS
ID
N
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-12914.02000000
-0.00289435293
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
1657078.11000000
USD
1301566.33000000
GBP
2024-04-19
-12914.02000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 4.700000% 07/30/2041
N/A
670000.00000000
PA
832882.37000000
0.186669644928
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
136837.75000000
PA
USD
135446.10000000
0.030356838257
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
206285.57000000
0.046233724584
Long
DBT
NUSS
NL
N
2
2172-12-29
Fixed
4.37500000
N
N
N
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.450000% 07/30/2043
N/A
1109000.00000000
PA
1169003.11000000
0.262002658867
Long
DBT
NUSS
ES
N
2
2043-07-30
Fixed
3.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: SGD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3229.80000000
-0.00072387847
N/A
DFE
SG
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
1075516.57000000
USD
1447000.00000000
SGD
2024-04-03
-3229.80000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: ZAR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5769.47000000
-0.00129308165
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
276639.34000000
USD
5130000.00000000
ZAR
2024-04-03
-5769.47000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-688.71000000
-0.00015435703
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
250000.00000000
AUD
162417.25000000
USD
2024-04-03
-688.71000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1073.35000000
-0.00024056441
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
279000.00000000
GBP
351372.04000000
USD
2024-04-03
-1073.35000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 4.875000% 05/19/2030
N/A
275000.00000000
PA
316092.74000000
0.070844241234
Long
DBT
NUSS
IT
N
2
2030-05-19
Fixed
4.87500000
N
N
N
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
127375.28000000
0.028547966851
Long
DBT
NUSS
GB
N
2
2029-09-13
Fixed
0.60300000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-26
N/A
1.00000000
NC
USD
51323.72000000
0.011502921581
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
9399907.27000000
EUR
10238416.60000000
USD
2024-06-26
51323.72000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
307.98000000
0.000069025974
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
55446.76000000
USD
50000.00000000
CHF
2024-05-08
307.98000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3078.29000000
-0.00068992131
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
161583.75000000
USD
265000.00000000
NZD
2024-04-03
-3078.29000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
524.68000000
0.000117593831
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
220000.00000000
EUR
238141.27000000
USD
2024-04-03
524.68000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.875000% 09/01/2030
N/A
347000.00000000
PA
253947.52000000
0.056915952475
Long
DBT
NUSS
SG
N
2
2030-09-01
Fixed
2.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5775.52000000
0.001294437613
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
402000.00000000
EUR
439965.84000000
USD
2024-04-03
5775.52000000
N
N
N
INTERNATIONAL BUSINESS MACHINES CORPORATION
VGRQXHF3J8VDLUA7XE92
INTERNATIONAL BUSINESS MACHINES CORP 3.625000% 02/06/2031
459200LB5
275000.00000000
PA
302831.15000000
0.067871989226
Long
DBT
NUSS
US
N
2
2031-02-06
Fixed
3.62500000
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
351538.86000000
0.078788597932
Long
DBT
NUSS
NL
N
2
2029-05-23
Fixed
4.62500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-977.70000000
-0.00021912687
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
181478.19000000
USD
142889.24000000
GBP
2024-04-19
-977.70000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/THB SETTLE 2024-05-20
N/A
1.00000000
NC
USD
39272.87000000
0.008802026507
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
90159050.00000000
THB
2520873.76000000
USD
2024-05-20
39272.87000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-4853.70000000
-0.00108783483
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
1212622.16000000
USD
2020000.00000000
NZD
2024-05-08
-4853.70000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-14530.65000000
-0.00325667990
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
103861000.00000000
MXN
6199083.81000000
USD
2024-05-08
-14530.65000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.875000% 06/17/2049
N/A
8576000.00000000
PA
181456.02000000
0.040668805156
Long
DBT
NUSS
TH
N
2
2049-06-17
Fixed
1.87500000
N
N
N
N
N
N
STATE STREET BANK
549300ZFEEJ2IP5VME73
FX Forward Contract: DKK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1391.44000000
-0.00031185629
N/A
DFE
DK
N
2
STATE STREET BANK
549300ZFEEJ2IP5VME73
489535.47000000
USD
3371000.00000000
DKK
2024-04-03
-1391.44000000
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA MTN 1.250000% 05/31/2032
N/A
300000.00000000
PA
286379.10000000
0.064184675816
Long
DBT
NUSS
NL
N
2
2032-05-31
Fixed
1.25000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3272.71000000
-0.00073349567
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132819.13000000
USD
19600000.00000000
JPY
2024-04-03
-3272.71000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 8.250000% 09/29/2032
N/A
435000.00000000
PA
104450.29000000
0.023409906667
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
251319.75000000
0.056327003891
Long
DBT
NUSS
US
N
2
2028-03-08
Fixed
1.37500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
5248.64000000
0.001176350707
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
261190.82000000
USD
4430000.00000000
MXN
2024-04-03
5248.64000000
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT 1.750000% 11/11/2033
N/A
3645000.00000000
PA
322625.08000000
0.072308301025
Long
DBT
NUSS
SE
N
2
2033-11-11
Fixed
1.75000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.400000% 07/15/2028
N/A
29960000.00000000
PA
4174590.82000000
0.935629584873
Long
DBT
NUSS
CN
N
2
2028-07-15
Fixed
2.40000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-4101.77000000
-0.00091930862
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2230000.00000000
MXN
130020.13000000
USD
2024-04-03
-4101.77000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-2999.19000000
-0.00067219304
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
244861.40000000
USD
191464.90000000
GBP
2024-04-19
-2999.19000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5993.76000000
-0.00134335062
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
433540.49000000
USD
385000.00000000
CHF
2024-04-03
-5993.76000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2514.37000000
0.000563532825
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
539000.00000000
GBP
683403.49000000
USD
2024-04-03
2514.37000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
476.03000000
0.000106690157
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
122000.00000000
EUR
132245.23000000
USD
2024-04-03
476.03000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ZAR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1287.49000000
-0.00028855851
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2490000.00000000
ZAR
130187.36000000
USD
2024-04-03
-1287.49000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3049.70000000
-0.00068351358
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
164545.83000000
USD
270000.00000000
NZD
2024-04-03
-3049.70000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1710.87000000
-0.00038344849
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131319.92000000
USD
120000.00000000
EUR
2024-04-03
-1710.87000000
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
30232.69000000
0.006775897426
Long
DBT
NUSS
GB
N
2
2040-12-07
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
4098.57000000
0.000918591429
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
263543.78000000
USD
4450000.00000000
MXN
2024-04-03
4098.57000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 13.250000% 02/09/2033
N/A
2359500000.00000000
PA
717858.15000000
0.160889857675
Long
DBT
NUSS
CO
N
2
2033-02-09
Fixed
13.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/PLN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
71.89000000
0.000016112336
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
5573000.00000000
PLN
1397607.04000000
USD
2024-04-03
71.89000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
1503500.00000000
PA
83302.27000000
0.018670109637
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3446.76000000
-0.00077250460
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
215784.27000000
USD
355000.00000000
NZD
2024-04-03
-3446.76000000
N
N
N
Landwirtschaftliche Rentenbank
529900Z3J0N6S0F7CT25
LANDWIRTSCHAFTLICHE RENTENBANK MTN 0.000000% 12/13/2028
N/A
585000.00000000
PA
557174.39000000
0.124876632392
Long
DBT
NUSS
DE
N
2
2028-12-13
Fixed
0.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CZK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2.79000000
0.000000625308
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
40000.00000000
CZK
1711.26000000
USD
2024-04-03
2.79000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 2.820000% 05/22/2033
N/A
12350000.00000000
PA
1753386.96000000
0.392977607685
Long
DBT
NUSS
CN
N
2
2033-05-22
Fixed
2.82000000
N
N
N
N
N
N
BANK OF IRELAND GROUP PUBLIC LIMITED COMPANY
635400C8EK6DRI12LJ39
BANK OF IRELAND GROUP PLC MTN 4.625000% 11/13/2029
N/A
205000.00000000
PA
228257.97000000
0.051158285667
Long
DBT
NUSS
IE
N
2
2029-11-13
Fixed
4.62500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
14.00000000
NC
1767486.51000000
0.396137667360
N/A
DIR
GB
N
1
LONG GILT FUTURE JUN24
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2024
2024-06-29
1755043.67000000
GBP
12442.84000000
N
N
N
Prologis Euro Finance LLC
549300MI5D1784PRQH06
PROLOGIS EURO FINANCE LLC 0.375000% 02/06/2028
74341EAE2
286000.00000000
PA
274737.05000000
0.061575402985
Long
DBT
NUSS
US
N
2
2028-02-06
Fixed
0.37500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4559.12000000
0.001021812133
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
190694.31000000
CHF
216327.25000000
USD
2024-04-03
4559.12000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1739.96000000
-0.00038996829
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131947.33000000
USD
19700000.00000000
JPY
2024-04-03
-1739.96000000
N
N
N
PARKER-HANNIFIN CORPORATION
5493002CONDB4N2HKI23
PARKER HANNIFIN CORP 0% CP COMMERCIAL PAPER
70109LDR4
1000000.00000000
PA
USD
995712.72000000
0.223163974395
Long
ABS-APCP
US
N
2
2024-04-25
None
0.00000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 12/20/2026
N/A
1432700000.00000000
PA
9442406.04000000
2.116277935813
Long
DBT
NUSS
JP
N
2
2026-12-20
Fixed
0.10000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: THB/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1887.85000000
-0.00042311411
N/A
DFE
TH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
142507.92000000
USD
5130000.00000000
THB
2024-04-03
-1887.85000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
984.86000000
0.000220731610
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
90000.00000000
NZD
54816.90000000
USD
2024-04-03
984.86000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1675.81000000
-0.00037559068
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2220000.00000000
MXN
131844.64000000
USD
2024-04-03
-1675.81000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
308.37000000
0.000069113383
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
50000.00000000
EUR
54312.14000000
USD
2024-04-03
308.37000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ZAR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-2558.98000000
-0.00057353103
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2460000.00000000
ZAR
127331.83000000
USD
2024-04-03
-2558.98000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-2507.71000000
-0.00056204015
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
771413.77000000
USD
1286000.00000000
NZD
2024-05-08
-2507.71000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-206.81000000
-0.00004635126
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131075.13000000
USD
19800000.00000000
JPY
2024-04-03
-206.81000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
779.41000000
0.000174685157
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
318516000.00000000
JPY
2106014.42000000
USD
2024-04-03
779.41000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
121077.45000000
0.027136466582
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
9826537.10000000
EUR
10764178.39000000
USD
2024-06-12
121077.45000000
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 3.500000% 03/01/2029
ZD3400755
191000.00000000
PA
208152.93000000
0.046652246383
Long
DBT
NUSS
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SGD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
341.42000000
0.000076520709
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
105000.00000000
SGD
78150.76000000
USD
2024-04-03
341.42000000
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE MTN 0.010000% 12/15/2027
C068404C0
400000.00000000
PA
385080.51000000
0.086306115557
Long
DBT
NUSS
CA
N
2
2027-12-15
Fixed
0.01000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1445.94000000
-0.00032407110
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1510000.00000000
MXN
89372.03000000
USD
2024-04-03
-1445.94000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.250000% 03/10/2026
N/A
101780000.00000000
PA
72617.91000000
0.016275478943
Long
DBT
NUSS
KR
N
2
2026-03-10
Fixed
1.25000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-524.86000000
-0.00011763417
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
441188.21000000
USD
66300000.00000000
JPY
2024-05-08
-524.86000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1973.70000000
0.000442355237
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132148.20000000
USD
2230000.00000000
MXN
2024-04-03
1973.70000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2999.14000000
0.000672181833
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
241000.00000000
EUR
263297.32000000
USD
2024-04-03
2999.14000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 5.750000% 11/03/2027
N/A
1919300000.00000000
PA
442552.52000000
0.099187021776
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A MATURITY: PERPETUAL
853254AA8
200000.00000000
PA
USD
191351.32000000
0.042886587887
Long
DBT
NUSS
GB
Y
2
2172-07-30
Floating
7.08904080
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-644.65000000
-0.00014448209
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132173.92000000
USD
19900000.00000000
JPY
2024-04-03
-644.65000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.850000% 07/25/2029
N/A
665000.00000000
PA
134815.08000000
0.030215410988
Long
DBT
NUSS
RO
N
2
2029-07-25
Fixed
4.85000000
N
N
N
N
N
N
DOLLARAMA INC.
5493002GJ0NJP1HI0C79
DOLLARAMA INC 5.533000% 09/26/2028
25675TAQ0
471000.00000000
PA
361182.95000000
0.080950078257
Long
DBT
NUSS
CA
N
2
2028-09-26
Fixed
5.53300000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 8.000000% 07/31/2053
N/A
11566700.00000000
PA
595517.95000000
0.133470377425
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
1018000.00000000
PA
1055985.48000000
0.236672598318
Long
DBT
NUSS
IT
N
2
2028-02-01
Fixed
2.00000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.750000% 05/15/2031
N/A
7551000000.00000000
PA
531160.82000000
0.119046344646
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
6784000.00000000
PA
571680.47000000
0.128127805547
Long
DBT
NUSS
NO
N
2
2029-09-06
Fixed
1.75000000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.750000% 10/22/2053
N/A
2814000.00000000
PA
3170494.74000000
0.710586691088
Long
DBT
NUSS
GB
N
2
2053-10-22
Fixed
3.75000000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1645.27000000
-0.00036874590
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131254.32000000
USD
120000.00000000
EUR
2024-04-03
-1645.27000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 3.500000% 08/01/2025
135087Q64
3694000.00000000
PA
2697322.90000000
0.604537118490
Long
DBT
NUSS
CA
N
2
2025-08-01
Fixed
3.50000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/COP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
-5507.68000000
-0.00123440801
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1571851881.09000000
COP
398470.83000000
USD
2024-05-16
-5507.68000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-224.44000000
-0.00005030258
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
54035.91000000
USD
90000.00000000
NZD
2024-05-08
-224.44000000
N
N
N
Treasury Corporation Of Victoria
549300ZJM7BQW1P9UV75
TREASURY CORP OF VICTORIA MTN 2.000000% 11/20/2037
N/A
2435000.00000000
PA
1110031.48000000
0.248785650524
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
362814.82000000
0.081315820893
Long
DBT
NUSS
CA
N
2
2032-09-13
Fixed
5.00800000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SGD SETTLE 2024-05-08
N/A
1.00000000
NC
USD
2895.56000000
0.000648966980
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1447000.00000000
SGD
1077177.90000000
USD
2024-05-08
2895.56000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: ZAR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1098.27000000
-0.00024614961
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
129933.06000000
USD
2440000.00000000
ZAR
2024-04-03
-1098.27000000
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
136752.37000000
0.030649605839
Long
DBT
NUSS
US
N
2
2025-09-12
Fixed
1.75000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-1861.87000000
-0.00041729135
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
214062.23000000
USD
2265000.00000000
SEK
2024-05-08
-1861.87000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1548.74000000
-0.00034711113
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
1253356.16000000
USD
1159000.00000000
EUR
2024-04-03
-1548.74000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 4.500000% 10/01/2053
N/A
311000.00000000
PA
353942.20000000
0.079327246174
Long
DBT
NUSS
IT
N
2
2053-10-01
Fixed
4.50000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PLN SETTLE 2024-04-19
N/A
1.00000000
NC
USD
5207.23000000
0.001167069696
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
2280035.49000000
PLN
576986.30000000
USD
2024-04-19
5207.23000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.400000% 09/20/2034
N/A
240150000.00000000
PA
1687912.79000000
0.378303218472
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 3.500000% 12/01/2048
74814ZEW9
635000.00000000
PA
408366.12000000
0.091524999648
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-5306.89000000
-0.00118940598
N/A
DFE
HU
N
2
HUNGARIAN FORINT
N/A
404197.00000000
USD
145685128.00000000
HUF
2024-04-19
-5306.89000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CLP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
6856.63000000
0.001536741241
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
369653552.00000000
CLP
383307.00000000
USD
2024-05-16
6856.63000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-2020.43000000
-0.00045282859
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
178791.13000000
USD
704893.70000000
PLN
2024-04-19
-2020.43000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
237.37000000
0.000053200518
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
90000.00000000
NZD
54069.41000000
USD
2024-04-03
237.37000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.950000% 07/30/2037
N/A
3220000.00000000
PA
108236.45000000
0.024258479249
Long
DBT
NUSS
CZ
N
2
2037-07-30
Fixed
1.95000000
N
N
N
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 2.850000% 10/22/2034
N/A
1145637.00000000
PA
1234144.76000000
0.276602522082
Long
DBT
NUSS
BE
N
2
2034-10-22
Fixed
2.85000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA 144A 5.250000% 01/08/2027
44891ACT2
174000.00000000
PA
USD
173843.71000000
0.038962697239
Long
DBT
CORP
US
N
2
2027-01-08
Fixed
5.25000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 0.000000% 01/15/2052
N/A
565000.00000000
PA
301095.76000000
0.067483045185
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
164800000.00000000
PA
1263671.74000000
0.283220252353
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
258244.56000000
0.057879025966
Long
DBT
NUSS
IT
N
2
2032-06-03
Fixed
3.12700000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/COP SETTLE 2024-04-26
N/A
1.00000000
NC
USD
-2230.99000000
-0.00050002032
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
1353043021.28000000
COP
346641.68000000
USD
2024-04-26
-2230.99000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
749.14000000
0.000167900897
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2713000.00000000
RON
590287.56000000
USD
2024-04-03
749.14000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 10.000000% 07/24/2024
N/A
1500700000.00000000
PA
388349.44000000
0.087038764037
Long
DBT
NUSS
CO
N
2
2024-07-24
Fixed
10.00000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.600000% 09/15/2030
N/A
28130000.00000000
PA
3947244.09000000
0.884675530743
Long
DBT
NUSS
CN
N
2
2030-09-15
Fixed
2.60000000
N
N
N
N
N
N
HEATHROW FUNDING LIMITED
7TI96JO3DYEIQWZ7Z726
HEATHROW FUNDING LTD MTN 4.500000% 07/11/2033
N/A
275000.00000000
PA
313070.48000000
0.070166877633
Long
DBT
NUSS
GB
N
2
2033-07-11
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TSY INFL IX N/B 1.750000% 01/15/2034
91282CJY8
495000.00000000
PA
USD
490033.53000000
0.109828696515
Long
DBT
USGA
US
N
2
2034-01-15
Fixed
1.75000000
N
N
N
N
N
N
CDP FINANCIERE INC.
549300OXMGVYFCBFV096
CDP FINANCIAL INC 144A 1.125000% 04/06/2027
BV6010102
1062000.00000000
PA
1082626.84000000
0.242643589409
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
228314.51000000
0.051170957687
Long
DBT
NUSS
NL
N
2
2027-01-18
Fixed
0.62500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-168.08000000
-0.00003767090
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
55592.25000000
USD
75000.00000000
CAD
2024-04-03
-168.08000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 4.250000% 05/15/2034
N/A
647000.00000000
PA
375854.48000000
0.084238332870
Long
DBT
NUSS
NZ
N
2
2034-05-15
Fixed
4.25000000
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
654676.90000000
0.146729368837
Long
DBT
NUSS
AU
N
2
2037-11-20
Fixed
3.50000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-04-19
N/A
1.00000000
NC
USD
202612.76000000
0.045410556555
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
9534394.94000000
EUR
10506594.31000000
USD
2024-04-19
202612.76000000
N
N
N
Vivion Investments S.a r.l.
529900SJ7X71ESJK9N76
VIVION INVESTMENTS SARL 3.000000% 08/08/2024
N/A
200000.00000000
PA
209519.08000000
0.046958434561
Long
DBT
NUSS
LU
N
2
2024-08-08
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2442.47000000
0.000547418247
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
200000.00000000
AUD
132927.24000000
USD
2024-04-03
2442.47000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 3.622000% 08/14/2030
N/A
410000.00000000
PA
502549.24000000
0.112633778272
Long
DBT
NUSS
GB
N
2
2030-08-14
Fixed
3.62200000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-05-08
N/A
1.00000000
NC
USD
125847.45000000
0.028205542166
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
68857000.00000000
EUR
74595521.72000000
USD
2024-05-08
125847.45000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1700.65000000
0.000381157943
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
560000.00000000
SEK
54078.35000000
USD
2024-04-03
1700.65000000
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3225.89000000
-0.00072300214
N/A
DFE
IL
N
2
ISRAELI SHEKEL
N/A
116511.54000000
USD
415000.00000000
ILS
2024-04-03
-3225.89000000
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTALENERGIES CAPITAL INTERNATIONAL SA MTN 2.500000% 03/25/2026
N/A
400000.00000000
PA
425436.05000000
0.095350795327
Long
DBT
NUSS
FR
N
2
2026-03-25
Fixed
2.50000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN24 FINANCIAL COMMODITY FUTURE.
N/A
1.00000000
NC
146663.35000000
0.032870902848
N/A
DIR
DE
N
1
EURO-BUXL 30Y BND JUN24
N/A
Long
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2024
2024-06-09
144485.88000000
EUR
2177.47000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1317.56000000
0.000295297951
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
570000.00000000
NOK
53862.38000000
USD
2024-04-03
1317.56000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
11011.68000000
0.002467991243
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
65500000.00000000
JPY
443934.65000000
USD
2024-04-03
11011.68000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2208.03000000
-0.00049487441
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131093.49000000
USD
19500000.00000000
JPY
2024-04-03
-2208.03000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-840.23000000
-0.00018831643
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
215168.85000000
USD
193000.00000000
CHF
2024-04-03
-840.23000000
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2024-05-28
N/A
1.00000000
NC
-815.94000000
-0.00018287243
N/A
DFE
HU
N
2
HUNGARIAN FORINT
N/A
52141.68000000
USD
18784000.00000000
HUF
2024-05-28
-815.94000000
N
N
N
New Zealand
549300237GPHG2AI7C34
New Zealand Government Bond 2.500000% 09/20/2035
N/A
2214000.00000000
PA
1677315.37000000
0.375928073193
Long
DBT
NUSS
NZ
N
2
2035-09-20
Fixed
2.50000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-121.92000000
-0.00002732530
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
55546.09000000
USD
75000.00000000
CAD
2024-04-03
-121.92000000
N
N
N
Heineken N.V.
724500K5PTPSST86UQ23
HEINEKEN NV MTN 1.000000% 05/04/2026
N/A
335000.00000000
PA
344736.00000000
0.077263907884
Long
DBT
NUSS
NL
N
2
2026-05-04
Fixed
1.00000000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2257.24000000
-0.00050590359
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
585497.97000000
USD
540000.00000000
EUR
2024-04-03
-2257.24000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: PLN/USD SETTLE 2024-06-17
N/A
1.00000000
NC
-2001.52000000
-0.00044859039
N/A
DFE
PA
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
240170.39000000
USD
950200.00000000
PLN
2024-06-17
-2001.52000000
N
N
N
Banco Santander, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 0.250000% 07/10/2029
N/A
400000.00000000
PA
372209.56000000
0.083421415684
Long
DBT
NUSS
ES
N
2
2029-07-10
Fixed
0.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1457.98000000
0.000326769564
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
33200000.00000000
JPY
220893.75000000
USD
2024-04-03
1457.98000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3018.66000000
0.000676556751
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
670000.00000000
AUD
440142.63000000
USD
2024-04-03
3018.66000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
5944.79000000
0.001332375229
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
408052.20000000
USD
7849747.54000000
ZAR
2024-04-19
5944.79000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1037.95000000
-0.00023263039
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
436308.35000000
USD
403000.00000000
EUR
2024-04-03
-1037.95000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-2321.13000000
-0.00052022293
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
1375841.42000000
USD
1270000.00000000
EUR
2024-05-08
-2321.13000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-911.20000000
-0.00020422257
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
107487.99000000
USD
425000.00000000
PLN
2024-04-03
-911.20000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 1.000000% 01/20/2026
05578AAP3
950000.00000000
PA
USD
880509.60000000
0.197344091204
Long
DBT
NUSS
FR
N
2
2026-01-20
Fixed
1.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: ZAR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-325.56000000
-0.00007296608
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
181433.48000000
USD
3430000.00000000
ZAR
2024-04-03
-325.56000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 2.750000% 02/25/2029
N/A
719000.00000000
PA
779979.85000000
0.174812875017
Long
DBT
NUSS
FR
N
2
2029-02-25
Fixed
2.75000000
N
N
N
N
N
N
Hellenic Republic
2138003EKTMKZ5598902
HELLENIC REPUBLIC GOVERNMENT BOND 144A 3.375000% 06/15/2034
N/A
650000.00000000
PA
701786.31000000
0.157287758778
Long
DBT
NUSS
GR
N
2
2034-06-15
Fixed
3.37500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/COP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
-4137.43000000
-0.00092730092
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1269597535.33000000
COP
322159.29000000
USD
2024-05-16
-4137.43000000
N
N
N
AGEAS SA
5493005DJBML6LY3RV36
AGEAS SA/NV 1.875000% 11/24/2051
N/A
200000.00000000
PA
177334.79000000
0.039745135057
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
6033100000.00000000
PA
1419872.00000000
0.318228613824
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
ISRAELI SHEKEL
N/A
FX Forward Contract: ILS/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-205.08000000
-0.00004596352
N/A
DFE
IL
N
2
ISRAELI SHEKEL
N/A
267722.99000000
USD
980000.00000000
ILS
2024-04-03
-205.08000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 0.950000% 06/01/2032
N/A
1222000.00000000
PA
1088599.25000000
0.243982154967
Long
DBT
NUSS
IT
N
2
2032-06-01
Fixed
0.95000000
N
N
N
N
N
N
Energir Inc.
549300SULPFDEWWFVD15
ENERGIR INC MTN 6.300000% 10/31/2033
368271AV4
381000.00000000
PA
314442.90000000
0.070474471074
Long
DBT
NUSS
CA
N
2
2033-10-31
Fixed
6.30000000
N
N
N
N
N
N
PENSKE TRUCK LEASING CO., L.P.
549300ZX07JYMI8GHQ39
PENSKE TRUCK LEASNG/PTL FIN 0% 4/18/24 CP 0% 4/18/24 CP
70962ADJ2
1500000.00000000
PA
USD
1495095.63000000
0.335088099399
Long
ABS-APCP
US
N
2
2024-04-18
None
0.00000000
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
140728.05000000
0.031540654564
Long
DBT
NUSS
US
N
2
2025-07-15
Fixed
0.62500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-05-08
N/A
1.00000000
NC
USD
651.01000000
0.000145907525
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
121000.00000000
EUR
131513.97000000
USD
2024-05-08
651.01000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3347.61000000
-0.00075028262
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132233.07000000
USD
19500000.00000000
JPY
2024-04-03
-3347.61000000
N
N
N
SOCIETE NATIONALE SNCF SA
969500A4MXJ3ESPHK698
SOC NATIONALE SNCF SACA 1.000000% 05/25/2040
N/A
700000.00000000
PA
522378.58000000
0.117078026332
Long
DBT
NUSS
FR
N
2
2040-05-25
Fixed
1.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-8530.15000000
-0.00191181867
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
7910000.00000000
MXN
467211.64000000
USD
2024-04-03
-8530.15000000
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
290785.22000000
0.065172196846
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
5.37500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-8649.82000000
-0.00193863970
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
265098.85000000
USD
38800000.00000000
JPY
2024-04-03
-8649.82000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5629.97000000
-0.00126181624
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
130962.33000000
USD
1340000.00000000
SEK
2024-04-03
-5629.97000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-4195.79000000
-0.00094038084
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
438440.66000000
USD
65700000.00000000
JPY
2024-04-03
-4195.79000000
N
N
N
Enbridge Inc.
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC MTN 3.950000% 11/19/2024
29251ZBQ9
800000.00000000
PA
586339.55000000
0.131413269806
Long
DBT
NUSS
CA
N
2
2024-11-19
Fixed
3.95000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
36605.81000000
0.008204272057
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
8585178.48000000
USD
11667000.00000000
CAD
2024-04-03
36605.81000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/HKD SETTLE 2024-04-12
N/A
1.00000000
NC
USD
2492.91000000
0.000558723105
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2720000.00000000
HKD
350163.50000000
USD
2024-04-12
2492.91000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-4119.12000000
-0.00092319719
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
438675.44000000
USD
344000.00000000
GBP
2024-04-03
-4119.12000000
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC MTN 0.050000% 01/12/2027
N/A
546000.00000000
PA
539752.96000000
0.120972056825
Long
DBT
NUSS
GB
N
2
2027-01-12
Fixed
0.05000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5158.27000000
-0.00115609654
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
435814.63000000
USD
720000.00000000
NZD
2024-04-03
-5158.27000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
2.08000000
0.000000466179
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
55453.95000000
USD
85000.00000000
AUD
2024-04-03
2.08000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST 144A 2.000000% 04/16/2031
68329AAJ7
1914000.00000000
PA
USD
1610255.84000000
0.360898365392
Long
DBT
NUSS
CA
N
2
2031-04-16
Fixed
2.00000000
N
N
N
N
N
N
OEC FINANCE LIMITED
N/A
OEC FINANCE LTD 4.375000% 10/25/2029
G6714RAD9
122343.00000000
PA
USD
6728.87000000
0.001508107049
Long
DBT
NUSS
BR
N
2
2029-10-25
Fixed
6.08100000
N
N
Y
N
N
N
CREDIT AGRICOLE HOME LOAN SFH SA
969500C9913Z7PKUGB44
CREDIT AGRICOLE HOME LOAN SFH SA MTN 0.875000% 08/31/2027
F2276HCA5
300000.00000000
PA
301037.02000000
0.067469880090
Long
DBT
NUSS
FR
N
2
2027-08-31
Fixed
0.87500000
N
N
N
N
N
N
NATIONAL GRID PLC
8R95QZMKZLJX5Q2XR704
NATIONAL GRID PLC MTN 4.275000% 01/16/2035
N/A
370000.00000000
PA
410790.99000000
0.092068473298
Long
DBT
NUSS
GB
N
2
2035-01-16
Fixed
4.27500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CZK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1.12000000
0.000000251019
N/A
DFE
CZ
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1707.35000000
USD
40000.00000000
CZK
2024-04-03
1.12000000
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP 1.079000% 04/05/2027
N/A
575000.00000000
PA
581857.30000000
0.130408686151
Long
DBT
NUSS
AU
N
2
2027-04-05
Fixed
1.07900000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1404.92000000
-0.00031487749
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
54717.94000000
USD
570000.00000000
SEK
2024-04-03
-1404.92000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/ZAR SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-7042.32000000
-0.00157835898
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
7768793.81000000
ZAR
402685.16000000
USD
2024-04-19
-7042.32000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4862.80000000
0.001089874371
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2290000.00000000
SEK
219050.19000000
USD
2024-04-03
4862.80000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CNY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2344.90000000
0.000525550385
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4352000.00000000
CNY
605099.46000000
USD
2024-04-03
2344.90000000
N
N
N
JAB Holdings B.V.
529900RRNKUM3INJGF98
JAB HOLDINGS BV 4.750000% 06/29/2032
N/A
300000.00000000
PA
344392.99000000
0.077187030815
Long
DBT
NUSS
LU
N
2
2032-06-29
Fixed
4.75000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 3.000000% 10/27/2038
N/A
63560000.00000000
PA
115254.10000000
0.025831309076
Long
DBT
NUSS
HU
N
2
2038-10-27
Fixed
3.00000000
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 2.500000% 05/21/2030
N/A
1433000.00000000
PA
872360.26000000
0.195517621514
Long
DBT
NUSS
AU
N
2
2030-05-21
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1752.45000000
-0.00039276761
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
166163.26000000
USD
252000.00000000
AUD
2024-04-03
-1752.45000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/IDR SETTLE 2024-04-24
N/A
1.00000000
NC
USD
30798.03000000
0.006902604175
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
62732433971.00000000
IDR
3982000.38000000
USD
2024-04-24
30798.03000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANCE TRUST MTN 0.100000% 05/19/2028
N/A
772000.00000000
PA
737674.25000000
0.165331138322
Long
DBT
NUSS
CA
N
2
2028-05-19
Fixed
0.10000000
N
N
N
N
N
N
Repubblica Italiana
N/A
EURO-BTP FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-17.00000000
NC
-2185013.99000000
-0.48971595554
N/A
DIR
DE
N
1
EURO-BTP FUTURE JUN24
N/A
Short
Italy Govt. Bond Futures
Euro-BTP Futures Jun 2024
2024-06-09
-2166649.82000000
EUR
-18364.17000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UKTI 0.750 11/22/33 .75
N/A
350000.00000000
PA
469014.69000000
0.105117851934
Long
DBT
USGA
GB
N
2
2033-11-22
Fixed
0.75000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 5.750000% 04/25/2029
N/A
344000.00000000
PA
87760.04000000
0.019669206716
Long
DBT
NUSS
PL
N
2
2029-04-25
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5062.46000000
-0.00113462314
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
262260.01000000
USD
430000.00000000
NZD
2024-04-03
-5062.46000000
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 0.835000% 06/26/2032
N/A
600000.00000000
PA
530489.35000000
0.118895851526
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
1241620000.00000000
PA
893246.21000000
0.200198682143
Long
DBT
NUSS
KR
N
2
2025-09-10
Fixed
1.12500000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 8.375000% 01/19/2036
279158AV1
34000.00000000
PA
USD
34320.25000000
0.007692021241
Long
DBT
NUSS
CO
N
2
2036-01-19
Fixed
8.37500000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.885000% 08/15/2029
N/A
2790000.00000000
PA
595860.93000000
0.133547247770
Long
DBT
NUSS
MY
N
2
2029-08-15
Fixed
3.88500000
N
N
N
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 0.500000% 03/08/2028
09857LAT5
110000.00000000
PA
106958.97000000
0.023972164222
Long
DBT
NUSS
US
N
2
2028-03-08
Fixed
0.50000000
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
346078.56000000
0.077564808956
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
125957.32000000
0.028230166764
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
1547000.00000000
PA
1116639.27000000
0.250266620536
Long
DBT
NUSS
SG
N
2
2026-06-01
Fixed
2.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2306.09000000
0.000516852099
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
215000.00000000
NZD
130904.86000000
USD
2024-04-03
2306.09000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5025.90000000
-0.00112642913
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
216022.99000000
USD
190000.00000000
CHF
2024-04-03
-5025.90000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 3.300000% 06/17/2038
N/A
3522000.00000000
PA
102521.51000000
0.022977619119
Long
DBT
NUSS
TH
N
2
2038-06-17
Fixed
3.30000000
N
N
N
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 0.125000% 04/15/2052
N/A
207000.00000000
PA
106748.99000000
0.023925102484
Long
DBT
NUSS
FI
N
2
2052-04-15
Fixed
0.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-05-08
N/A
1.00000000
NC
USD
1333.21000000
0.000298805505
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
440000.00000000
NZD
264411.49000000
USD
2024-05-08
1333.21000000
N
N
N
SINGAPORE DOLLAR
N/A
FX Forward Contract: SGD/USD SETTLE 2024-05-17
N/A
1.00000000
NC
-1142.03000000
-0.00025595731
N/A
DFE
SG
N
2
SINGAPORE DOLLAR
N/A
402734.65000000
USD
540694.23000000
SGD
2024-05-17
-1142.03000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1890.29000000
-0.00042366098
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
3660000.00000000
MXN
218238.02000000
USD
2024-04-03
-1890.29000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.800000% 08/01/2028
N/A
4515000.00000000
PA
5001008.72000000
1.120850381366
Long
DBT
NUSS
IT
N
2
2028-08-01
Fixed
3.80000000
N
N
N
N
N
N
CADENT FINANCE PLC
5493005M8TJ0J6IMUF67
CADENT FINANCE PLC MTN 0.750000% 03/11/2032
N/A
355000.00000000
PA
309838.75000000
0.069442566598
Long
DBT
NUSS
GB
N
2
2032-03-11
Fixed
0.75000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
2374000.00000000
PA
499814.94000000
0.112020953667
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
European Financial Stability Facility SA
222100OW6UHQXNHKN143
EUROPEAN FINANCIAL STABILITY FACILITY MTN 1.800000% 07/10/2048
N/A
405000.00000000
PA
343308.50000000
0.076943969646
Long
DBT
NUSS
XX
N
2
2048-07-10
Fixed
1.80000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3136.43000000
-0.00070295193
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
130350.21000000
USD
1380000.00000000
NOK
2024-04-03
-3136.43000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: CNY/USD SETTLE 2024-04-10
N/A
1.00000000
NC
-4096.26000000
-0.00091807370
N/A
DFE
CN
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
220639.26000000
USD
1558000.00000000
CNY
2024-04-10
-4096.26000000
N
N
N
ABN AMRO Bank N.V.
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 4.375000% MATURITY: PERPETUAL
N/A
200000.00000000
PA
209329.00000000
0.046915832908
Long
DBT
NUSS
NL
N
2
2172-09-22
Fixed
4.37500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/JPY SETTLE 2024-05-16
N/A
1.00000000
NC
USD
4016.00000000
0.000900085439
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
36392287.00000000
JPY
246218.57000000
USD
2024-05-16
4016.00000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
954.04000000
0.000213824081
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
90000.00000000
NZD
54786.08000000
USD
2024-04-03
954.04000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/AUD SETTLE 2024-06-11
N/A
1.00000000
NC
USD
-1256.07000000
-0.00028151651
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
8312000.00000000
AUD
5430811.44000000
USD
2024-06-11
-1256.07000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MYR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-6916.76000000
-0.00155021786
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
8957000.00000000
MYR
1885009.58000000
USD
2024-04-03
-6916.76000000
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
PROVINCE OF ONTARIO CANADA MTN 0.250000% 12/15/2026
N/A
512000.00000000
PA
576572.24000000
0.129224172816
Long
DBT
NUSS
CA
N
2
2026-12-15
Fixed
0.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/HUF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
1014.46000000
0.000227365705
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
181445000.00000000
HUF
497300.47000000
USD
2024-05-08
1014.46000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-227.36000000
-0.00005095702
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
150000.00000000
CAD
110620.99000000
USD
2024-04-03
-227.36000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1467.02000000
-0.00032879565
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
54780.04000000
USD
570000.00000000
SEK
2024-04-03
-1467.02000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3326.28000000
0.000745502040
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
335000.00000000
AUD
221888.26000000
USD
2024-04-03
3326.28000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-37.91000000
-0.00000849657
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
437122.01000000
USD
346000.00000000
GBP
2024-05-08
-37.91000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: CNY/USD SETTLE 2024-04-08
N/A
1.00000000
NC
-7909.81000000
-0.00177278506
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
2555809.35000000
USD
18350200.00000000
CNY
2024-04-08
-7909.81000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-412.78000000
-0.00009251425
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
272010.48000000
USD
215000.00000000
GBP
2024-04-03
-412.78000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2112.54000000
-0.00047347273
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
108580.36000000
USD
178000.00000000
NZD
2024-04-03
-2112.54000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-425.95000000
-0.00009546598
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
150000.00000000
CAD
110422.40000000
USD
2024-04-03
-425.95000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 1.600000% 12/17/2029
N/A
13527000.00000000
PA
357346.91000000
0.080090326327
Long
DBT
NUSS
TH
N
2
2029-12-17
Fixed
1.60000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-8620.66000000
-0.00193210421
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
264408.74000000
USD
38700000.00000000
JPY
2024-04-03
-8620.66000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2476.72000000
0.000555094524
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
103000.00000000
GBP
132590.97000000
USD
2024-04-03
2476.72000000
N
N
N
ENEL - SPA
WOCMU6HCI0OJWNPRZS33
ENEL SPA 2.250000% MATURITY: PERPETUAL
N/A
322000.00000000
PA
324284.77000000
0.072680278814
Long
DBT
NUSS
IT
N
2
2173-03-10
Fixed
2.25000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
18.00000000
NC
USD
3680718.75000000
0.824940576116
N/A
DIR
US
N
1
US 2YR NOTE (CBT) JUN24
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2024
2024-07-01
3683561.94000000
USD
-2843.19000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/HUF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-2987.19000000
-0.00066950354
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
118000000.00000000
HUF
320395.00000000
USD
2024-04-03
-2987.19000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 3.650000% 07/28/2025
N/A
1540000.00000000
PA
324601.53000000
0.072751272605
Long
DBT
NUSS
RO
N
2
2025-07-28
Fixed
3.65000000
N
N
N
N
N
N
Nederlandse Waterschapsbank N.V.
JLP5FSPH9WPSHY3NIM24
NEDERLANDSE WATERSCHAPSBANK NV MTN 0.000000% 11/16/2026
N/A
1067000.00000000
PA
1068634.04000000
0.239507455062
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
119114.54000000
0.026696529652
Long
DBT
NUSS
US
N
2
2025-07-02
Fixed
0.25000000
N
N
N
N
N
N
New South Wales Treasury Corporation
TC7LRO17HPNPLTAV0H77
NEW S WALES TREASURY CRP 4.250000% 02/20/2036
N/A
771000.00000000
PA
478479.74000000
0.107239204944
Long
DBT
NUSS
AU
N
2
2036-02-20
Fixed
4.25000000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1705.37000000
-0.00038221581
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131314.42000000
USD
120000.00000000
EUR
2024-04-03
-1705.37000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1769.20000000
-0.00039652170
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
54146.90000000
USD
560000.00000000
SEK
2024-04-03
-1769.20000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 3.000000% 06/25/2049
N/A
1472000.00000000
PA
1533376.23000000
0.343667733531
Long
DBT
NUSS
FR
N
2
2049-06-25
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/THB SETTLE 2024-05-08
N/A
1.00000000
NC
USD
7960.47000000
0.001784139227
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
77704000.00000000
THB
2144386.80000000
USD
2024-05-08
7960.47000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3459.38000000
0.000775333059
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
19600000.00000000
JPY
133005.80000000
USD
2024-04-03
3459.38000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-6109.06000000
-0.00136919221
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
439402.14000000
USD
343000.00000000
GBP
2024-04-03
-6109.06000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MYR SETTLE 2024-05-08
N/A
1.00000000
NC
USD
5104.11000000
0.001143957941
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
8957000.00000000
MYR
1890246.67000000
USD
2024-05-08
5104.11000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: CNY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-592.99000000
-0.00013290380
N/A
DFE
CN
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
250586.55000000
USD
1805000.00000000
CNY
2024-04-03
-592.99000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.120000% 10/25/2052
N/A
40330000.00000000
PA
6129041.19000000
1.373670501262
Long
DBT
NUSS
CN
N
2
2052-10-25
Fixed
3.12000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/IDR SETTLE 2024-04-26
N/A
1.00000000
NC
USD
42469.88000000
0.009518555927
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
50914746464.00000000
IDR
3248978.78000000
USD
2024-04-26
42469.88000000
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 08/15/2051
912810SZ2
1091000.00000000
PA
USD
675951.21000000
0.151497470596
Long
DBT
UST
US
N
1
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2004-A5 JPMMT 2004-A5 3A1
466247FZ1
17426.03580000
PA
USD
16106.68000000
0.003609907406
Long
ABS-MBS
US
N
2
2034-12-25
Floating
4.93103160
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
81.03000000
0.000018160837
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
55673.71000000
USD
50000.00000000
CHF
2024-05-08
81.03000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/KRW SETTLE 2024-06-10
N/A
1.00000000
NC
USD
13571.84000000
0.003041786745
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
1694774929.00000000
KRW
1274841.98000000
USD
2024-06-10
13571.84000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1657.22000000
-0.00037142420
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
65264.11000000
USD
690000.00000000
NOK
2024-04-03
-1657.22000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.375000% 08/19/2030
N/A
9861000.00000000
PA
798798.63000000
0.179030631458
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
160401.00000000
PA
177974.46000000
0.039888501007
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 0.250000% 05/15/2028
N/A
1447000.00000000
PA
732412.30000000
0.164151804512
Long
DBT
NUSS
NZ
N
2
2028-05-15
Fixed
0.25000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1702.63000000
0.000381601711
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
114736.83000000
USD
1936000.00000000
MXN
2024-04-03
1702.63000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3480.79000000
0.000780131572
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1380000.00000000
NOK
130694.57000000
USD
2024-04-03
3480.79000000
N
N
N
FINNING INTERNATIONAL INC.
549300QLDCP11KB6XW55
FINNING INTERNATIONAL INC 4.445000% 05/16/2028
318071AG2
488000.00000000
PA
357887.10000000
0.080211396336
Long
DBT
NUSS
CA
N
2
2028-05-16
Fixed
4.44500000
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
100909.93000000
0.022616423976
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
361470.36000000
0.081014493983
Long
DBT
NUSS
AU
N
2
2029-01-06
Fixed
0.01000000
N
N
N
N
N
N
NATIONAL GAS TRANSMISSION PLC
FPCHGTHKVH9ZWXS7S453
NATIONAL GAS TRANSMISSION PLC MTN 1.125000% 01/14/2033
N/A
430000.00000000
PA
389529.67000000
0.087303282921
Long
DBT
NUSS
GB
N
2
2033-01-14
Fixed
1.12500000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-699.31000000
-0.00015673275
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
1019573.40000000
USD
4063000.00000000
PLN
2024-04-03
-699.31000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
5730.67000000
0.001284385613
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
261911.68000000
USD
4450000.00000000
MXN
2024-04-03
5730.67000000
N
N
N
Province of British Columbia
54930058TO7MEKUHWL16
BRITISH COLUMBIA PROV OF 2.950000% 12/18/2028
110709GH9
1653000.00000000
PA
1173510.90000000
0.263012966672
Long
DBT
NUSS
CA
N
2
2028-12-18
Fixed
2.95000000
N
N
N
N
N
N
CISCO SYSTEMS, INC.
549300LKFJ962MZ46593
CISCO SYSTEMS INC 4.800000% 02/26/2027
17275RBQ4
290000.00000000
PA
USD
290466.47000000
0.065100757047
Long
DBT
CORP
US
N
2
2027-02-26
Fixed
4.80000000
N
N
N
N
N
N
Province of Ontario, Canada
C7PVKCRGLG18EBQGZV36
ONTARIO (PROVINCE OF) 2.900000% 12/02/2046
68323ACY8
1419000.00000000
PA
827728.16000000
0.185514458331
Long
DBT
NUSS
CA
N
2
2046-12-02
Fixed
2.90000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
2018.77000000
0.000452456544
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
109248.27000000
USD
1850000.00000000
MXN
2024-04-03
2018.77000000
N
N
N
SUEZ SA
5493007LKZ37MXEN5D79
SUEZ SACA MTN 5.000000% 11/03/2032
N/A
300000.00000000
PA
353836.90000000
0.079303645826
Long
DBT
NUSS
FR
N
2
2032-11-03
Fixed
5.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
210964.71000000
0.047282436183
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
69808000.00000000
EUR
75608870.28000000
USD
2024-04-03
210964.71000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2280.42000000
-0.00051109881
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
685258.40000000
USD
3143000.00000000
RON
2024-04-03
-2280.42000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
81.44000000
0.000018252728
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
43000.00000000
GBP
54400.98000000
USD
2024-04-03
81.44000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 2.500000% 09/24/2026
N/A
4368000.00000000
PA
4679727.06000000
1.048843174160
Long
DBT
NUSS
FR
N
2
2026-09-24
Fixed
2.50000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/MXN SETTLE 2024-05-23
N/A
1.00000000
NC
USD
-3826.89000000
-0.00085770118
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
6866967.15000000
MXN
405981.95000000
USD
2024-05-23
-3826.89000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1563.06000000
-0.00035032060
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
57088.61000000
USD
50000.00000000
CHF
2024-04-03
-1563.06000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ILS SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1367.78000000
0.000306553501
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
275000.00000000
ILS
76436.58000000
USD
2024-04-03
1367.78000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.500000% 07/31/2053
N/A
661000.00000000
PA
440446.23000000
0.098714949824
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
438346.24000000
0.098244289858
Long
DBT
NUSS
SK
N
2
2032-10-19
Fixed
4.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
21684.48000000
0.004860031053
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
13372503.60000000
USD
10603000.00000000
GBP
2024-04-03
21684.48000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.000000% 02/05/2048
N/A
300000.00000000
PA
235992.14000000
0.052891705439
Long
DBT
NUSS
FR
N
2
2048-02-05
Fixed
2.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.660000% 03/01/2031
N/A
4680000.00000000
PA
694915.76000000
0.155747897718
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
299782.01000000
0.067188601149
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
2923000.00000000
PA
2042806.02000000
0.457843614112
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
247176.56000000
0.055398412010
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
363499.06000000
0.081469176087
Long
DBT
NUSS
CA
N
2
2032-11-15
Fixed
5.25000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 144A 5.950000% 01/08/2034
21987BBG2
295000.00000000
PA
USD
294529.06000000
0.066011284464
Long
DBT
NUSS
CL
N
2
2034-01-08
Fixed
5.95000000
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
275180.28000000
0.061674741847
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
472000.00000000
PA
357242.03000000
0.080066820112
Long
DBT
NUSS
SG
N
2
2033-09-01
Fixed
3.37500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/ILS SETTLE 2024-05-20
N/A
1.00000000
NC
USD
-9745.10000000
-0.00218411917
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
8581400.00000000
ILS
2338250.46000000
USD
2024-05-20
-9745.10000000
N
N
N
JOHN DEERE CAPITAL CORPORATION
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAPITAL CORP MTN 4.750000% 06/08/2026
24422EWX3
230000.00000000
PA
USD
229270.56000000
0.051385232260
Long
DBT
CORP
US
N
2
2026-06-08
Fixed
4.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/PEN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-26298.01000000
-0.00589403782
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
4075900.00000000
PEN
1069228.75000000
USD
2024-04-03
-26298.01000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2218.01000000
0.000497111181
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1270000.00000000
EUR
1373913.81000000
USD
2024-04-03
2218.01000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 2.350000% 07/30/2033
N/A
438000.00000000
PA
445686.87000000
0.099889507533
Long
DBT
NUSS
ES
N
2
2033-07-30
Fixed
2.35000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
13246.77000000
0.002968930477
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
6233405.36000000
USD
103861000.00000000
MXN
2024-04-03
13246.77000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
155600000.00000000
PA
1124747.06000000
0.252083777838
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
465.81000000
0.000104399601
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
122000.00000000
EUR
132235.01000000
USD
2024-04-03
465.81000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 4.500000% 04/21/2033
N/A
1251000.00000000
PA
850737.95000000
0.190671524304
Long
DBT
NUSS
AU
N
2
2033-04-21
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1827.72000000
-0.00040963748
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4400000.00000000
MXN
262807.41000000
USD
2024-04-03
-1827.72000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/23/2034
N/A
23862100.00000000
PA
1285977.23000000
0.288219467186
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
6451.97000000
0.001446046875
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
29300000.00000000
JPY
200110.64000000
USD
2024-04-03
6451.97000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 12/07/2049
N/A
393141.00000000
PA
484601.24000000
0.108611185277
Long
DBT
NUSS
GB
N
2
2049-12-07
Fixed
4.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5645.16000000
0.001265220697
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1350000.00000000
SEK
131912.84000000
USD
2024-04-03
5645.16000000
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 3.550000% 12/17/2032
N/A
106000.00000000
PA
115107.54000000
0.025798461336
Long
DBT
NUSS
US
N
2
2032-12-17
Fixed
3.55000000
N
N
N
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.906000% 07/15/2026
N/A
2953000.00000000
PA
630377.60000000
0.141283291616
Long
DBT
NUSS
MY
N
2
2026-07-15
Fixed
3.90600000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1599.63000000
0.000358516850
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
151000.00000000
EUR
164691.02000000
USD
2024-04-03
1599.63000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 3.500000% 01/22/2045
N/A
1961000.00000000
PA
2175846.19000000
0.487661223645
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
Heidelberg Materials Finance Luxembourg S.A.
529900RYHTCF5X9DD509
HEIDELBERG MATERIALS FINANCE LUXEMBOURG SA MTN 4.875000% 11/21/2033
L468AGAA7
249000.00000000
PA
289621.80000000
0.064911445501
Long
DBT
NUSS
DE
N
2
2033-11-21
Fixed
4.87500000
N
N
N
N
N
N
AMGEN INC.
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.150000% 03/02/2028
031162DP2
205000.00000000
PA
USD
206314.12000000
0.046240123349
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
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
499669.52000000
0.111988361429
Long
DBT
NUSS
FR
N
2
2027-09-15
Fixed
0.75000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-240.97000000
-0.00005400736
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
54560.51000000
USD
43000.00000000
GBP
2024-04-03
-240.97000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1382.49000000
0.000309850378
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
195000.00000000
CHF
217932.13000000
USD
2024-04-03
1382.49000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 1.200000% 03/13/2031
N/A
8010000.00000000
PA
287823.56000000
0.064508415212
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-05-08
N/A
1.00000000
NC
USD
814.34000000
0.000182513838
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1321000.00000000
RON
287870.75000000
USD
2024-05-08
814.34000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-05-08
N/A
1.00000000
NC
USD
5082.65000000
0.001139148221
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
6634087000.00000000
JPY
44098581.70000000
USD
2024-05-08
5082.65000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
13354.02000000
0.002992967868
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
9615000.00000000
GBP
12159455.91000000
USD
2024-04-03
13354.02000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 3.869000% 03/28/2026
456837BA0
505000.00000000
PA
USD
495990.12000000
0.111163716418
Long
DBT
NUSS
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT 3.250000% 09/01/2028
135087Q49
2468000.00000000
PA
1801434.83000000
0.403746329842
Long
DBT
NUSS
CA
N
2
2028-09-01
Fixed
3.25000000
N
N
N
N
N
N
Republica Portuguesa
549300P6U1FJ3IMP7K42
PORTUGAL OBRIGACOES DO TESOURO OT 144A 1.000000% 04/12/2052
N/A
200000.00000000
PA
121955.66000000
0.027333295275
Long
DBT
NUSS
PT
N
2
2052-04-12
Fixed
1.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-05-08
N/A
1.00000000
NC
USD
279.59000000
0.000062663069
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
90000.00000000
NZD
54091.06000000
USD
2024-05-08
279.59000000
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
625056.87000000
0.140090783747
Long
DBT
NUSS
US
N
2
2029-02-07
Fixed
1.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-2047.07000000
-0.00045879927
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2220000.00000000
MXN
131473.38000000
USD
2024-04-03
-2047.07000000
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 3.000000% 09/15/2033
N/A
448000.00000000
PA
492147.30000000
0.110302444922
Long
DBT
NUSS
FI
N
2
2033-09-15
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-2888.61000000
-0.00064740931
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
9217000.00000000
AUD
6014725.71000000
USD
2024-05-08
-2888.61000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 1.750000% 05/15/2041
N/A
231000.00000000
PA
88230.73000000
0.019774700046
Long
DBT
NUSS
NZ
N
2
2041-05-15
Fixed
1.75000000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1539.07000000
-0.00034494384
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131148.12000000
USD
120000.00000000
EUR
2024-04-03
-1539.07000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-05-08
N/A
1.00000000
NC
USD
861.58000000
0.000193101497
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1562000.00000000
RON
340287.86000000
USD
2024-05-08
861.58000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-05-08
N/A
1.00000000
NC
USD
89.34000000
0.000020023315
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
163000.00000000
RON
35509.62000000
USD
2024-05-08
89.34000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 02/15/2031
N/A
17926000000.00000000
PA
1120355.21000000
0.251099455070
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
Gruenenthal GmbH
529900SH895E31PGLA72
GRUENENTHAL GMBH 3.625000% 11/15/2026
N/A
165000.00000000
PA
174189.73000000
0.039040248924
Long
DBT
NUSS
DE
N
2
2026-11-15
Fixed
3.62500000
N
N
N
N
N
N
Canada Housing Trust No. 1
549300M44WH89JG50067
CANADA HOUSING TRUST NO 1 144A 2.100000% 09/15/2029
13509PHD8
1225000.00000000
PA
832755.59000000
0.186641230378
Long
DBT
NUSS
CA
N
2
2029-09-15
Fixed
2.10000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-7065.59000000
-0.00158357437
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
218447.04000000
USD
2260000.00000000
SEK
2024-04-03
-7065.59000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/ZAR SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-1006.28000000
-0.00022553236
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
7574205.52000000
ZAR
398458.58000000
USD
2024-04-19
-1006.28000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (5 YEAR ISSUE) 0.400000% 09/20/2028
J2S39LR71
301750000.00000000
PA
2000161.17000000
0.448285843058
Long
DBT
NUSS
JP
N
2
2028-09-20
Fixed
0.40000000
N
N
N
N
N
N
ASIAN DEVELOPMENT BANK
549300X0MVH42CY8Q105
ASIAN DEVELOPMENT BANK MTN 2.350000% 06/21/2027
N/A
410000000.00000000
PA
2894561.61000000
0.648743216839
Long
DBT
NUSS
XX
N
2
2027-06-21
Fixed
2.35000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1697.73000000
-0.00038050349
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2220000.00000000
MXN
131822.72000000
USD
2024-04-03
-1697.73000000
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV 6.500000% MATURITY: PERPETUAL
456837AF0
200000.00000000
PA
USD
197515.78000000
0.044268196624
Long
DBT
NUSS
NL
N
2
2172-10-16
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
326082.33000000
0.073083156699
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG 5.000000% 09/05/2030
N/A
300000.00000000
PA
336375.97000000
0.075390217327
Long
DBT
NUSS
DE
N
2
2030-09-05
Fixed
5.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-06-24
N/A
1.00000000
NC
USD
42391.31000000
0.009500946437
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
324750000.00000000
JPY
2216514.30000000
USD
2024-06-24
42391.31000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: CNY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
107210.33000000
0.024028500247
N/A
DFE
CN
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
27830435.98000000
USD
201715000.00000000
CNY
2024-04-03
107210.33000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (APRIL)
01F060642
887000.00000000
PA
USD
895075.20000000
0.200608604271
Long
DBT
USGA
US
N
2
2054-04-15
Fixed
6.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3999.12000000
-0.00089630221
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
262964.37000000
USD
205000.00000000
GBP
2024-04-03
-3999.12000000
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
493185.23000000
0.110535070838
Long
DBT
NUSS
FR
N
2
2027-04-30
Fixed
0.12500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: SEK/USD SETTLE 2024-06-10
N/A
1.00000000
NC
-375340.30000000
-0.08412309235
N/A
DFE
SE
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
10900528.60000000
USD
112181700.00000000
SEK
2024-06-10
-375340.30000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-275.36000000
-0.00006171502
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
150000.00000000
CAD
110572.99000000
USD
2024-04-03
-275.36000000
N
N
N
ASR Nederland N.V.
7245000G0HS48PZWUD53
ASR NEDERLAND NV 3.375000% 05/02/2049
N/A
255000.00000000
PA
259246.65000000
0.058103619247
Long
DBT
NUSS
NL
N
2
2049-05-02
Fixed
3.37500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-80.66000000
-0.00001807791
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
25939.51000000
USD
119000.00000000
RON
2024-04-03
-80.66000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2003.39000000
0.000449009504
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
690000.00000000
NOK
65610.28000000
USD
2024-04-03
2003.39000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-173.39000000
-0.00003886100
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132363.61000000
USD
20000000.00000000
JPY
2024-04-03
-173.39000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-357.19000000
-0.00008005515
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
50000.00000000
CHF
55397.55000000
USD
2024-05-08
-357.19000000
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP 144A 1.162000% 04/03/2026
62954WAC9
345000.00000000
PA
USD
319020.34000000
0.071500389175
Long
DBT
NUSS
JP
N
2
2026-04-03
Fixed
1.16200000
N
N
N
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP 1.125000% 07/13/2027
756109BB9
285000.00000000
PA
317851.63000000
0.071238452210
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
2826000.00000000
PA
613987.23000000
0.137609802227
Long
DBT
NUSS
MY
N
2
2031-06-30
Fixed
4.23200000
N
N
N
N
N
N
CARRIER GLOBAL CORPORATION
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP 5.800000% 11/30/2025
14448CBB9
465000.00000000
PA
USD
468086.42000000
0.104909803550
Long
DBT
CORP
US
N
2
2025-11-30
Fixed
5.80000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ZAR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1303.30000000
0.000292101930
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2050000.00000000
ZAR
109545.65000000
USD
2024-04-03
1303.30000000
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2033
N/A
579000.00000000
PA
571075.98000000
0.127992324310
Long
DBT
NUSS
IT
N
2
2033-09-01
Fixed
2.45000000
N
N
N
N
N
N
HUNGARIAN FORINT
N/A
FX Forward Contract: HUF/USD SETTLE 2024-04-19
N/A
1.00000000
NC
-850.92000000
-0.00019071232
N/A
DFE
HU
N
2
HUNGARIAN FORINT
N/A
397301.56000000
USD
144794173.00000000
HUF
2024-04-19
-850.92000000
N
N
N
BEAR STEARNS ARM TRUST
N/A
BEAR STEARNS ARM TRUST 2004-6 BSARM 2004-6 3A
07384MW81
5657.71420000
PA
USD
5217.69000000
0.001169414043
Long
ABS-MBS
US
N
2
2034-09-25
Floating
5.88015360
N
N
N
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-7729.53000000
-0.00173237983
N/A
DFE
CL
N
2
CHILEAN PESO
N/A
384991.00000000
USD
370450005.00000000
CLP
2024-05-16
-7729.53000000
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
27930.93000000
0.006260015787
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
301867.98000000
0.067656118884
Long
DBT
NUSS
US
N
2
2024-11-08
Fixed
0.62500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5527.46000000
0.001238841201
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1690000.00000000
SEK
163595.89000000
USD
2024-04-03
5527.46000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 6.364000% 11/16/2032
N/A
249000.00000000
PA
287013.82000000
0.064326932348
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
210708.10000000
0.047224923503
Long
DBT
NUSS
US
N
2
2025-11-18
Fixed
0.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: GBP/USD SETTLE 2024-06-10
N/A
1.00000000
NC
-6485.34000000
-0.00145352592
N/A
DFE
GB
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
4085368.45000000
USD
3228300.00000000
GBP
2024-06-10
-6485.34000000
N
N
N
BPCE SFH SA
969500T1UBNNTYVWOS04
BPCE SFH SA 3.125000% 01/24/2028
N/A
400000.00000000
PA
433043.53000000
0.097055820720
Long
DBT
NUSS
FR
N
2
2028-01-24
Fixed
3.12500000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 8.375000% 03/15/2034
N/A
33466000000.00000000
PA
2359822.64000000
0.528894919823
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
232755.39000000
0.052166269297
Long
DBT
NUSS
US
N
2
2028-02-11
Fixed
0.30000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CAD SETTLE 2024-06-13
N/A
1.00000000
NC
USD
-1674.44000000
-0.00037528363
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1094083.22000000
CAD
807778.07000000
USD
2024-06-13
-1674.44000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CZK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-825.24000000
-0.00018495679
N/A
DFE
CZ
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
109313.13000000
USD
2540000.00000000
CZK
2024-04-03
-825.24000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
405.68000000
0.000090922973
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1321000.00000000
RON
287460.69000000
USD
2024-04-03
405.68000000
N
N
N
N/A
N/A
KOREA 3YR BND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
62.00000000
NC
4828746.52000000
1.082242139834
N/A
DIR
KR
N
1
KOREA 3YR BND FUT JUN24
N/A
Long
Korea Govt. Bond Futures
KOREA 3YR BND FUT Jun 2024
2024-06-21
4885001.69000000
KRW
-56255.17000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
706.22000000
0.000158281458
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
121000.00000000
EUR
131395.35000000
USD
2024-04-03
706.22000000
N
N
N
Valtioneuvosto
743700M6Y2OQRVSBRD14
FINLAND GOVERNMENT BOND 144A 2.875000% 04/15/2029
N/A
329000.00000000
PA
358845.32000000
0.080426157260
Long
DBT
NUSS
FI
N
2
2029-04-15
Fixed
2.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SGD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
327.46000000
0.000073391926
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
90000.00000000
SGD
67021.18000000
USD
2024-04-03
327.46000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 0.500000% 09/20/2036
N/A
275100000.00000000
PA
1726961.63000000
0.387055034287
Long
DBT
NUSS
JP
N
2
2036-09-20
Fixed
0.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
758.45000000
0.000169987500
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
595000.00000000
CAD
440456.89000000
USD
2024-04-03
758.45000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 6.000000% 04/28/2028
N/A
2966000000.00000000
PA
680706.69000000
0.152563291888
Long
DBT
NUSS
CO
N
2
2028-04-28
Fixed
6.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/HUF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1103.83000000
0.000247395744
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
63445000.00000000
HUF
174976.57000000
USD
2024-04-03
1103.83000000
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
320258.98000000
0.071777999193
Long
DBT
NUSS
FR
N
2
2032-06-16
Fixed
3.87500000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-709.54000000
-0.00015902555
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
262435.45000000
USD
242000.00000000
EUR
2024-05-08
-709.54000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.300000% 03/20/2040
N/A
763850000.00000000
PA
5846736.89000000
1.310399089426
Long
DBT
NUSS
JP
N
2
2040-03-20
Fixed
2.30000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 2.500000% 12/01/2032
N/A
372000.00000000
PA
372592.19000000
0.083507172580
Long
DBT
NUSS
IT
N
2
2032-12-01
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
85.57000000
0.000019178364
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
32300000.00000000
JPY
213572.78000000
USD
2024-04-03
85.57000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1423.92000000
0.000319135871
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1140000.00000000
SEK
108049.96000000
USD
2024-04-03
1423.92000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-253.52000000
-0.00005682013
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
163344.91000000
USD
151000.00000000
EUR
2024-04-03
-253.52000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-05-08
N/A
1.00000000
NC
USD
8609.29000000
0.001929555919
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4415000.00000000
NZD
2648360.66000000
USD
2024-05-08
8609.29000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2838.60000000
-0.00063620082
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
167901.83000000
USD
253000.00000000
AUD
2024-04-03
-2838.60000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-2371.25000000
-0.00053145607
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2220000.00000000
MXN
131149.20000000
USD
2024-04-03
-2371.25000000
N
N
N
BOOKING HOLDINGS INC.
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC 4.500000% 11/15/2031
09857LAW8
123000.00000000
PA
142036.16000000
0.031833834535
Long
DBT
NUSS
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.250000% 10/31/2030
92343VGR9
310000.00000000
PA
350708.15000000
0.078602415169
Long
DBT
NUSS
US
N
2
2030-10-31
Fixed
4.25000000
N
N
N
N
N
N
Canada
N/A
CAN 10YR BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
13.00000000
NC
1156046.57000000
0.259098776148
N/A
DIR
CA
N
1
CAN 10YR BOND FUT JUN24
N/A
Long
Canada Govt. Bond Futures
Canadian Govt 10 Year Bond Future Jun 2024
2024-06-22
1161951.50000000
CAD
-5904.93000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
7957.00000000
0.001783361514
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
725000.00000000
NZD
441604.03000000
USD
2024-04-03
7957.00000000
N
N
N
Nordea Kiinnitysluottopankki Oyj
7437001LESKGLAEOEU84
NORDEA KIINNITYSLUOTTOPANKKI OYJ MTN 0.250000% 03/18/2026
N/A
200000.00000000
PA
203864.22000000
0.045691039853
Long
DBT
NUSS
FI
N
2
2026-03-18
Fixed
0.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2518.85000000
0.000564536904
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
103000.00000000
GBP
132633.10000000
USD
2024-04-03
2518.85000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3414.89000000
0.000765361744
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
19600000.00000000
JPY
132961.31000000
USD
2024-04-03
3414.89000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SEK SETTLE 2024-04-30
N/A
1.00000000
NC
USD
21349.93000000
0.004785050081
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
15397853.51000000
SEK
1463404.70000000
USD
2024-04-30
21349.93000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1537.98000000
-0.00034469955
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131084.40000000
USD
19600000.00000000
JPY
2024-04-03
-1537.98000000
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN 0.125000% 01/26/2027
N/A
906000.00000000
PA
896248.51000000
0.200871572211
Long
DBT
NUSS
CA
N
2
2027-01-26
Fixed
0.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1066.46000000
0.000239020198
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
201000.00000000
EUR
218161.62000000
USD
2024-04-03
1066.46000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: PEN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-5026.77000000
-0.00112662412
N/A
DFE
PE
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
1100553.53000000
USD
4075900.00000000
PEN
2024-04-03
-5026.77000000
N
N
N
Braskem Netherlands Finance B.V.
2549000TLMHFQ74DS330
BRASKEM NETHERLANDS FINANCE BV 4.500000% 01/10/2028
N15516AB8
200000.00000000
PA
USD
179557.62000000
0.040243326521
Long
DBT
NUSS
BR
N
2
2028-01-10
Fixed
4.50000000
N
N
N
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 2.250000% 12/20/2047
N/A
300000.00000000
PA
251624.42000000
0.056395288012
Long
DBT
NUSS
FR
N
2
2047-12-20
Fixed
2.25000000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA MTN 0.500000% 07/27/2026
N/A
410000.00000000
PA
414999.10000000
0.093011615364
Long
DBT
NUSS
AU
N
2
2026-07-27
Fixed
0.50000000
N
N
N
N
N
N
ING Groep N.V.
549300NYKK9MWM7GGW15
ING GROEP NV MTN 2.125000% 05/26/2031
N/A
300000.00000000
PA
310820.90000000
0.069662690830
Long
DBT
NUSS
NL
N
2
2031-05-26
Fixed
2.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CZK SETTLE 2024-05-09
N/A
1.00000000
NC
USD
2084.76000000
0.000467246544
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
19471000.00000000
CZK
833915.09000000
USD
2024-05-09
2084.76000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5892.58000000
0.001320673670
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1370000.00000000
NOK
132184.52000000
USD
2024-04-03
5892.58000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ZAR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-985.91000000
-0.00022096694
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2500000.00000000
ZAR
131016.95000000
USD
2024-04-03
-985.91000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3375.27000000
-0.00075648191
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
130589.05000000
USD
1380000.00000000
NOK
2024-04-03
-3375.27000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3931.84000000
-0.00088122309
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
131145.62000000
USD
1380000.00000000
NOK
2024-04-03
-3931.84000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PEN SETTLE 2024-05-16
N/A
1.00000000
NC
USD
3344.33000000
0.000749547494
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1384428.57000000
PEN
375397.54000000
USD
2024-05-16
3344.33000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1518.84000000
0.000340409803
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2383000.00000000
RON
519347.83000000
USD
2024-04-03
1518.84000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: THB/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2583.03000000
-0.00057892123
N/A
DFE
TH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
110035.40000000
USD
3920000.00000000
THB
2024-04-03
-2583.03000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/ILS SETTLE 2024-05-20
N/A
1.00000000
NC
USD
-190.91000000
-0.00004278767
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
417000.00000000
ILS
113906.34000000
USD
2024-05-20
-190.91000000
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2024-04-19
N/A
1.00000000
NC
2188.94000000
0.000490595871
N/A
DFE
ZA
N
2
SOUTH AFRICAN RAND
N/A
394425.97000000
USD
7520168.06000000
ZAR
2024-04-19
2188.94000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-797.91000000
-0.00017883146
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
335000.00000000
AUD
217764.07000000
USD
2024-04-03
-797.91000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-132.61000000
-0.00002972119
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
55298.61000000
USD
8300000.00000000
JPY
2024-05-08
-132.61000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-18.98000000
-0.00000425388
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
109921.63000000
USD
87000.00000000
GBP
2024-05-08
-18.98000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
291.03000000
0.000065227058
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
19700000.00000000
JPY
130498.40000000
USD
2024-04-03
291.03000000
N
N
N
AUST 10Y BOND FUT JUN24
N/A
AUST 10Y BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-20.00000000
NC
-1521083.12000000
-0.34091254196
Short
AU
N
1
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.950000% 07/30/2030
N/A
157000.00000000
PA
160692.67000000
0.036015222235
Long
DBT
NUSS
ES
N
2
2030-07-30
Fixed
1.95000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-16233.64000000
-0.00363836229
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
43864304.64000000
USD
6634087000.00000000
JPY
2024-04-03
-16233.64000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.000000% 09/15/2030
N/A
12571000000.00000000
PA
808143.64000000
0.181125080520
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
204238.00000000
PA
USD
13377.59000000
0.002998250491
Long
DBT
NUSS
BR
N
2
2046-12-26
Fixed
9.57200000
N
N
Y
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 2.125000% 05/18/2032
N/A
5410000.00000000
PA
448165.39000000
0.100445005482
Long
DBT
NUSS
NO
N
2
2032-05-18
Fixed
2.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/PLN SETTLE 2024-05-08
N/A
1.00000000
NC
USD
349.19000000
0.000078262160
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4063000.00000000
PLN
1019205.11000000
USD
2024-05-08
349.19000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
8197.16000000
0.001837187340
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
482000.00000000
EUR
528793.52000000
USD
2024-04-03
8197.16000000
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC 3.250000% MATURITY: PERPETUAL
N/A
177000.00000000
PA
185963.45000000
0.041679032275
Long
DBT
NUSS
GB
N
2
2172-06-22
Fixed
3.25000000
N
N
N
N
N
N
KYNDRYL HOLDINGS, INC.
549300LQ4LWX2R8ZV130
KYNDRYL HOLDINGS INC 2.050000% 10/15/2026
50155QAJ9
455000.00000000
PA
USD
416815.53000000
0.093418722485
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CNY SETTLE 2024-05-23
N/A
1.00000000
NC
USD
247.62000000
0.000055497797
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
5659814.19000000
CNY
781617.15000000
USD
2024-05-23
247.62000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.250000% 08/01/2036
N/A
1275000.00000000
PA
863522.41000000
0.193536839617
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
308001.29000000
0.069030746132
Long
DBT
NUSS
CA
N
2
2031-03-17
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ILS SETTLE 2024-05-08
N/A
1.00000000
NC
USD
90.73000000
0.000020334848
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
980000.00000000
ILS
268092.99000000
USD
2024-05-08
90.73000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
52555.76000000
0.011779052374
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
9380425.31000000
GBP
11902092.82000000
USD
2024-04-19
52555.76000000
N
N
N
CCEP FINANCE (IRELAND) DESIGNATED ACTIVITY COMPANY
549300C3FJ5JIMZNEN16
CCEP FINANCE IRELAND DAC 0.500000% 09/06/2029
G198A4AD7
335000.00000000
PA
312087.31000000
0.069946524794
Long
DBT
NUSS
GB
N
2
2029-09-06
Fixed
0.50000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-05-23
N/A
1.00000000
NC
USD
195791.82000000
0.043881814330
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
17344272.04000000
EUR
18965503.59000000
USD
2024-05-23
195791.82000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
4701.88000000
0.001053808198
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
6008688.57000000
USD
9217000.00000000
AUD
2024-04-03
4701.88000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 1.750000% 06/21/2051
N/A
2281000.00000000
PA
871498.85000000
0.195324558118
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
AUST 10Y BOND FUT JUN24
N/A
AUST 10Y BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-26.00000000
NC
-1977408.06000000
-0.44318630545
Short
AU
N
1
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1897.69000000
0.000425319506
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
691273.96000000
USD
938000.00000000
CAD
2024-04-03
1897.69000000
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 8.625000% 01/19/2029
279158AT6
160000.00000000
PA
USD
169593.28000000
0.038010070209
Long
DBT
NUSS
CO
N
2
2029-01-19
Fixed
8.62500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-668.10000000
-0.00014973781
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
295000.00000000
CAD
217333.65000000
USD
2024-04-03
-668.10000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2260.90000000
-0.00050672389
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
127869.00000000
USD
210000.00000000
NZD
2024-04-03
-2260.90000000
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK OF AUSTRALIA 3.768000% 08/31/2027
Q2694JNQ6
310000.00000000
PA
340777.60000000
0.076376732036
Long
DBT
NUSS
AU
N
2
2027-08-31
Fixed
3.76800000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.480000% 01/08/2029
N/A
17620000.00000000
PA
2556606.16000000
0.572998998777
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
213962.91000000
0.047954407340
Long
DBT
NUSS
SG
N
2
2042-04-01
Fixed
2.75000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-37.00000000
NC
USD
-4240546.88000000
-0.95041197761
N/A
DIR
US
N
1
US 10YR ULTRA FUT JUN24
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2024
2024-06-21
-4224090.57000000
USD
-16456.31000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
351.53000000
0.000078786612
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
110560.52000000
USD
170000.00000000
AUD
2024-04-03
351.53000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: INR/USD SETTLE 2024-06-14
N/A
1.00000000
NC
-2300.70000000
-0.00051564406
N/A
DFE
IN
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
403366.54000000
USD
33501607.96000000
INR
2024-06-14
-2300.70000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
299.54000000
0.000067134360
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
430000.00000000
RON
93739.10000000
USD
2024-04-03
299.54000000
N
N
N
Statsministeriet, Departementet
549300PTO6LS1PTM6607
KINGDOM OF DENMARK 4.500000% 11/15/2039
N/A
2485000.00000000
PA
452081.32000000
0.101322662746
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-1152.95000000
-0.00025840475
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
131377.45000000
USD
1390000.00000000
SEK
2024-05-08
-1152.95000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-952.06000000
-0.00021338031
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
288007.07000000
USD
1321000.00000000
RON
2024-04-03
-952.06000000
N
N
N
AMERICAN TOWER CORPORATION
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 1.300000% 09/15/2025
03027XBB5
535000.00000000
PA
USD
504125.63000000
0.112987086461
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.30000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1307.30000000
-0.00029299843
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
55139.34000000
USD
90000.00000000
NZD
2024-04-03
-1307.30000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
565.70000000
0.000126787433
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
86000.00000000
GBP
109204.78000000
USD
2024-04-03
565.70000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1943.23000000
-0.00043552615
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
220112.18000000
USD
870000.00000000
PLN
2024-04-03
-1943.23000000
N
N
N
ANNINGTON FUNDING PLC
549300KK63W8VZIONZ83
ANNINGTON FUNDING PLC MTN 3.184000% 07/12/2029
N/A
255000.00000000
PA
288830.56000000
0.064734108947
Long
DBT
NUSS
GB
N
2
2029-07-12
Fixed
3.18400000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2576.52000000
-0.00057746218
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
261794.62000000
USD
240000.00000000
EUR
2024-04-03
-2576.52000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.000000% 03/26/2031
N/A
1906700000.00000000
PA
423923.50000000
0.095011795269
Long
DBT
NUSS
CO
N
2
2031-03-26
Fixed
7.00000000
N
N
N
N
N
N
COLOMBIA PESO
N/A
FX Forward Contract: COP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
5503.92000000
0.001233565301
N/A
DFE
CO
N
2
COLOMBIA PESO
N/A
396650.54000000
USD
1564754651.08000000
COP
2024-05-16
5503.92000000
N
N
N
Philip Morris International Inc.
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTERNATIONAL INC MTN 2.875000% 03/03/2026
718172BH1
170000.00000000
PA
181513.87000000
0.040681770779
Long
DBT
NUSS
US
N
2
2026-03-03
Fixed
2.87500000
N
N
N
N
N
N
KfW
549300GDPG70E3MBBU98
KREDITANSTALT FUER WIEDERAUFBAU 2.600000% 06/20/2037
500769CG7
241000000.00000000
PA
1939812.22000000
0.434760143062
Long
DBT
NUSS
DE
N
2
2037-06-20
Fixed
2.60000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-15002.41000000
-0.00336241304
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
8172000.00000000
AUD
5316605.14000000
USD
2024-04-03
-15002.41000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3480.36000000
-0.00078003519
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
132365.82000000
USD
19500000.00000000
JPY
2024-04-03
-3480.36000000
N
N
N
Canada
N/A
CAN 5YR BOND FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-23.00000000
NC
-1894557.55000000
-0.42461744646
N/A
DIR
CA
N
1
CAN 5YR BOND FUT JUN24
N/A
Short
Canada Govt. Bond Futures
Canadian Govt 5 Year Bond Future Jun 2024
2024-06-22
-1896331.71000000
CAD
1774.16000000
N
N
N
Ceska republika
3157007EFDLQABN47912
CZECH REPUBLIC 2.500000% 08/25/2028
N/A
9760000.00000000
PA
396227.74000000
0.088804486924
Long
DBT
NUSS
CZ
N
2
2028-08-25
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-8710.96000000
-0.00195234269
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
325206.59000000
USD
285000.00000000
CHF
2024-04-03
-8710.96000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-05-08
N/A
1.00000000
NC
1958.92000000
0.000439042671
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
447625.93000000
USD
608000.00000000
CAD
2024-05-08
1958.92000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
9854900.00000000
PA
546016.33000000
0.122375833752
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/AUD SETTLE 2024-04-18
N/A
1.00000000
NC
USD
50958.13000000
0.011420983773
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
7210003.18000000
AUD
4756179.54000000
USD
2024-04-18
50958.13000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-515.56000000
-0.00011554981
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
109154.64000000
USD
86000.00000000
GBP
2024-04-03
-515.56000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-354.72000000
-0.00007950157
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131043.85000000
USD
121000.00000000
EUR
2024-04-03
-354.72000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
1431000.00000000
PA
1068356.63000000
0.239445280585
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-15194.01000000
-0.00340535537
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
900159.41000000
USD
9600000.00000000
NOK
2024-04-03
-15194.01000000
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMEN 6.750000% 07/13/2029
N/A
22000000.00000000
PA
261093.63000000
0.058517573382
Long
DBT
NUSS
XX
N
2
2029-07-13
Fixed
6.75000000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.000000% 06/10/2031
N/A
2185590000.00000000
PA
1482685.67000000
0.332306718846
Long
DBT
NUSS
KR
N
2
2031-06-10
Fixed
2.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.500000% 03/13/2027
71654QCG5
130000.00000000
PA
USD
122446.75000000
0.027443360753
Long
DBT
NUSS
MX
N
2
2027-03-13
Fixed
6.50000000
N
N
N
N
N
N
BPCE SFH SA
969500T1UBNNTYVWOS04
BPCE SFH SA MTN 0.375000% 01/21/2032
N/A
800000.00000000
PA
708563.28000000
0.158806646233
Long
DBT
NUSS
FR
N
2
2032-01-21
Fixed
0.37500000
N
N
N
N
N
N
Konungariket Sverige
ERE94C0BSULG2RM19605
SWEDEN GOVT 3.5% 12/1/28
N/A
225000.00000000
PA
37589.68000000
0.008424781783
Long
DBT
NUSS
SE
N
2
2028-12-01
Fixed
3.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 4.500000% 10/01/2053
N/A
1185000.00000000
PA
1348622.22000000
0.302259766826
Long
DBT
NUSS
IT
N
2
2053-10-01
Fixed
4.50000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 09/20/2027
N/A
480500000.00000000
PA
3160673.73000000
0.708385558592
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
239631.84000000
0.053707452693
Long
DBT
NUSS
GB
N
2
2034-10-17
Fixed
2.62500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-106.97000000
-0.00002397463
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
85000.00000000
AUD
55349.06000000
USD
2024-04-03
-106.97000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.828000% 07/05/2034
N/A
958000.00000000
PA
201694.49000000
0.045204749420
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
812.46000000
0.000182092484
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
121000.00000000
EUR
131501.59000000
USD
2024-04-03
812.46000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/TWD SETTLE 2024-05-24
N/A
1.00000000
NC
USD
10476.30000000
0.002347999275
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
12565014.00000000
TWD
404386.81000000
USD
2024-05-24
10476.30000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/JPY SETTLE 2024-04-26
N/A
1.00000000
NC
USD
238485.62000000
0.053450556296
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
2234125023.00000000
JPY
15058688.01000000
USD
2024-04-26
238485.62000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT BOND 2.500000% 09/20/2040
N/A
839000.00000000
PA
610529.78000000
0.136834901729
Long
DBT
NUSS
NZ
N
2
2040-09-20
Fixed
2.50000000
N
N
N
N
N
N
PERIAMA HOLDINGS, LLC
254900NINXO00BLT2Z47
PERIAMA HOLDINGS LLC/DE 5.950000% 04/19/2026
N/A
200000.00000000
PA
USD
197000.00000000
0.044152597504
Long
DBT
NUSS
IN
N
2
2026-04-19
Fixed
5.95000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (10 YEAR ISSUE) 0.100000% 12/20/2031
N/A
1196900000.00000000
PA
7651476.55000000
1.714886113831
Long
DBT
NUSS
JP
N
2
2031-12-20
Fixed
0.10000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.800000% 09/20/2031
N/A
332300000.00000000
PA
2403441.62000000
0.538671017627
Long
DBT
NUSS
JP
N
2
2031-09-20
Fixed
1.80000000
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN TREASURY DISC BILL ZERO COUPON 04/08/2024
N/A
635100000.00000000
PA
4196379.66000000
0.940513005597
Long
DBT
NUSS
JP
N
2
2024-04-08
None
0.00000000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-4826.87000000
-0.00108182156
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
873207.52000000
USD
804000.00000000
EUR
2024-04-03
-4826.87000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
19.99000000
0.000004480255
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
85000.00000000
AUD
55476.02000000
USD
2024-04-03
19.99000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.750000% 03/01/2046
N/A
142000.00000000
PA
100376.62000000
0.022496895947
Long
DBT
NUSS
SG
N
2
2046-03-01
Fixed
2.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: HUF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-27.84000000
-0.00000623963
N/A
DFE
HU
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4412.68000000
USD
1600000.00000000
HUF
2024-04-03
-27.84000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 1.125000% 11/03/2028
92343VFP4
240000.00000000
PA
261042.48000000
0.058506109395
Long
DBT
NUSS
US
N
2
2028-11-03
Fixed
1.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/THB SETTLE 2024-04-03
N/A
1.00000000
NC
USD
885.13000000
0.000198379637
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1940000.00000000
THB
54063.09000000
USD
2024-04-03
885.13000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-05-08
N/A
1.00000000
NC
USD
2435.50000000
0.000545856097
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2820000.00000000
NOK
262681.61000000
USD
2024-05-08
2435.50000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1379.79000000
-0.00030924524
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
164338.41000000
USD
129000.00000000
GBP
2024-04-03
-1379.79000000
N
N
N
BERKSHIRE HATHAWAY INC.
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC 0.500000% 01/15/2041
N/A
170000.00000000
PA
117674.23000000
0.026373720374
Long
DBT
NUSS
US
N
2
2041-01-15
Fixed
0.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: CNY/USD SETTLE 2024-04-08
N/A
1.00000000
NC
-17614.72000000
-0.00394789666
N/A
DFE
CN
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
962618.28000000
USD
6806000.00000000
CNY
2024-04-08
-17614.72000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 7.375000% 05/15/2048
N/A
13671000000.00000000
PA
903553.51000000
0.202508804317
Long
DBT
NUSS
ID
N
2
2048-05-15
Fixed
7.37500000
N
N
N
N
N
N
AES Andes S.A.
549300IF4IFG0FS0RM26
AES ANDES SA 144A 6.300000% 03/15/2029
00111VAA5
202000.00000000
PA
USD
203951.32000000
0.045710561128
Long
DBT
NUSS
CL
N
2
2029-03-15
Fixed
6.30000000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP MTN 4.050000% 09/13/2029
U89233WV5
400000.00000000
PA
447162.96000000
0.100220335998
Long
DBT
NUSS
US
N
2
2029-09-13
Fixed
4.05000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA 6.250000% 07/15/2027
N/A
422981.00000000
PA
506450.92000000
0.113508241758
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
1540000.00000000
PA
875885.31000000
0.196307672854
Long
DBT
NUSS
CA
N
2
2048-06-02
Fixed
2.80000000
N
N
N
N
N
N
AGL CLO LTD
N/A
AGL CLO 12 LTD AGL 2021-12A A1
00120BAA8
250000.00000000
PA
USD
250102.50000000
0.056054187905
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
6.73941960
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 10.000000% 11/20/2036
N/A
43127000.00000000
PA
2738535.63000000
0.613773915849
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
196657.10000000
0.044075745089
Long
DBT
NUSS
GB
N
2
2028-07-22
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-2468.83000000
-0.00055332617
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
711000.00000000
GBP
895698.46000000
USD
2024-04-03
-2468.83000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1933.00000000
-0.00043323335
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
219211.16000000
USD
172000.00000000
GBP
2024-04-03
-1933.00000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA MTN 2.000000% 06/05/2025
N/A
440000.00000000
PA
277055.09000000
0.062094933376
Long
DBT
NUSS
FR
N
2
2025-06-05
Fixed
2.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-37589.99000000
-0.00842485126
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
11667000.00000000
CAD
8589558.68000000
USD
2024-05-08
-37589.99000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2101.38000000
-0.00047097149
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131710.43000000
USD
120000.00000000
EUR
2024-04-03
-2101.38000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 1.250000% 07/31/2051
N/A
3544556.00000000
PA
2260767.70000000
0.506694245221
Long
DBT
NUSS
GB
N
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1523.96000000
-0.00034155732
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
248853.35000000
USD
2683000.00000000
NOK
2024-04-03
-1523.96000000
N
N
N
V.F. CORPORATION
CWAJJ9DJ5Z7P057HV541
VF CORP 0.250000% 02/25/2028
918204AX6
395000.00000000
PA
361351.65000000
0.080987888121
Long
DBT
NUSS
US
N
2
2028-02-25
Fixed
0.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5881.32000000
0.001318150024
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1350000.00000000
SEK
132149.00000000
USD
2024-04-03
5881.32000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1649.96000000
-0.00036979705
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
131658.90000000
USD
1390000.00000000
SEK
2024-04-03
-1649.96000000
N
N
N
Bayer Aktiengesellschaft
549300J4U55H3WP1XT59
BAYER AG MTN 4.625000% 05/26/2033
D07112XH9
255000.00000000
PA
283512.04000000
0.063542096394
Long
DBT
NUSS
DE
N
2
2033-05-26
Fixed
4.62500000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: CNY/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-5313.70000000
-0.00119093227
N/A
DFE
CN
N
2
MALAYSIAN RINGGIT
N/A
390905.95000000
USD
2793019.67000000
CNY
2024-05-23
-5313.70000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 11/13/2042
N/A
41942700.00000000
PA
2146435.19000000
0.481069487375
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
10790.74000000
0.002418473096
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1300000.00000000
AUD
858941.72000000
USD
2024-04-03
10790.74000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 2.500000% 05/25/2030
N/A
154708.00000000
PA
165859.85000000
0.037173315731
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
2.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-6975.53000000
-0.00156338968
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
218356.98000000
USD
2260000.00000000
SEK
2024-04-03
-6975.53000000
N
N
N
Reino de Espana
9598007A56S18711AH60
BONOS Y OBLIG DEL ESTADO 2.800000% 05/31/2026
N/A
3755000.00000000
PA
4035656.78000000
0.904491012550
Long
DBT
NUSS
ES
N
2
2026-05-31
Fixed
2.80000000
N
N
N
N
N
N
Bundeskanzleramt Oesterreich
529900QWWUI4XRVR7I03
REPUBLIC OF AUSTRIA GOVERNMENT BOND 144A 2.900000% 02/20/2033
N/A
603000.00000000
PA
656445.14000000
0.147125675380
Long
DBT
NUSS
AT
N
2
2033-02-20
Fixed
2.90000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1431.17000000
0.000320760776
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
103000.00000000
GBP
131545.42000000
USD
2024-04-03
1431.17000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
970.26000000
0.000217459387
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131347.31000000
USD
2200000.00000000
MXN
2024-04-03
970.26000000
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 2.000000% 06/15/2029
92826CAS1
362000.00000000
PA
372486.28000000
0.083483435516
Long
DBT
NUSS
US
N
2
2029-06-15
Fixed
2.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ZAR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1197.65000000
-0.00026842313
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2090000.00000000
ZAR
109156.74000000
USD
2024-04-03
-1197.65000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 0.500000% 04/30/2030
N/A
353000.00000000
PA
331715.46000000
0.074345681174
Long
DBT
NUSS
ES
N
2
2030-04-30
Fixed
0.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/CNY SETTLE 2024-06-11
N/A
1.00000000
NC
USD
-5186.85000000
-0.00116250203
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
4594000.00000000
CNY
641118.68000000
USD
2024-06-11
-5186.85000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.50000% 10/18/2034
P6S32JS68
4221200000.00000000
PA
886981.66000000
0.198794640749
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-10274.39000000
-0.00230274622
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
438649.18000000
USD
4580000.00000000
SEK
2024-04-03
-10274.39000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 1.500000% 12/10/2026
N/A
738360000.00000000
PA
522890.25000000
0.117192704300
Long
DBT
NUSS
KR
N
2
2026-12-10
Fixed
1.50000000
N
N
N
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA-GOV'T 2.000000% 12/01/2051
135087H72
1835000.00000000
PA
1023938.81000000
0.229490142877
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-148.90000000
-0.00003337219
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
120000.00000000
AUD
78141.96000000
USD
2024-04-03
-148.90000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.750000% 02/17/2027
N/A
10730000.00000000
PA
937834.01000000
0.210191916595
Long
DBT
NUSS
NO
N
2
2027-02-17
Fixed
1.75000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-12.00000000
NC
USD
-1375312.50000000
-0.30824172210
N/A
DIR
US
N
1
US 10YR ULTRA FUT JUN24
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2024
2024-06-21
-1372373.59000000
USD
-2938.91000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1030.20000000
-0.00023089343
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
340454.83000000
USD
1562000.00000000
RON
2024-04-03
-1030.20000000
N
N
N
European Union
529900FZRK8FGMPEOM08
EUROPEAN UNION 3.250000% 07/04/2034
N/A
1073000.00000000
PA
1197173.79000000
0.268316408591
Long
DBT
NUSS
XX
N
2
2034-07-04
Fixed
3.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
7599.39000000
0.001703212223
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
343000.00000000
GBP
440892.47000000
USD
2024-04-03
7599.39000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4548.95000000
0.001019532783
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
44000000.00000000
JPY
295367.43000000
USD
2024-04-03
4548.95000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: ZAR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
119.83000000
0.000026856882
N/A
DFE
ZA
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
130299.00000000
USD
2470000.00000000
ZAR
2024-04-03
119.83000000
N
N
N
Stadshypotek AB
549300UOX05QGUJJ5707
STADSHYPOTEK AB MTN 2.500000% 12/01/2027
N/A
6000000.00000000
PA
548450.89000000
0.122921479172
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
227500.00000000
PA
USD
228754.89000000
0.051269657793
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4566.29000000
0.001023419108
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
270000.00000000
NZD
166062.42000000
USD
2024-04-03
4566.29000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.375000% 06/19/2024
N/A
425000.00000000
PA
457364.87000000
0.102506837653
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
205901.09000000
0.046147553058
Long
DBT
NUSS
BE
N
2
2172-10-24
Fixed
4.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1256.26000000
-0.00028155909
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
56781.81000000
USD
50000.00000000
CHF
2024-04-03
-1256.26000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4415.93000000
0.000989719694
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
39300000.00000000
JPY
264169.71000000
USD
2024-04-03
4415.93000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33
91282CHP9
475000.00000000
PA
USD
462671.51000000
0.103696187602
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
368698.11000000
0.082634412443
Long
DBT
NUSS
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1069.03000000
0.000239596199
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
434750.54000000
USD
345000.00000000
GBP
2024-04-03
1069.03000000
N
N
N
CHILEAN PESO
N/A
FX Forward Contract: CLP/USD SETTLE 2024-05-16
N/A
1.00000000
NC
-1192.89000000
-0.00026735630
N/A
DFE
CL
N
2
CHILEAN PESO
N/A
402743.00000000
USD
394300116.00000000
CLP
2024-05-16
-1192.89000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-290.47000000
-0.00006510154
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
130979.60000000
USD
121000.00000000
EUR
2024-04-03
-290.47000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2161.94000000
-0.00048454450
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
218292.95000000
USD
32700000.00000000
JPY
2024-04-03
-2161.94000000
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
305226.75000000
0.068408902742
Long
DBT
NUSS
GB
N
2
2031-10-17
Fixed
1.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
BRK: DEUTSCHE BANK PAY: China 7-Day Reverse Repo Rate
N/A
23220000.00000000
NC
5911.21000000
0.001324849116
N/A
DIR
CN
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Y
2024-06-03
0.00000000
CNY
0.00000000
CNY
-23220000.00000000
CNY
5911.21000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5351.88000000
0.001199489358
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
507000.00000000
EUR
552950.12000000
USD
2024-04-03
5351.88000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CNY SETTLE 2024-04-10
N/A
1.00000000
NC
USD
15050.66000000
0.003373227071
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1558000.00000000
CNY
231593.66000000
USD
2024-04-10
15050.66000000
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 3.375000% 06/10/2032
N/A
944670000.00000000
PA
701548.89000000
0.157234547054
Long
DBT
NUSS
KR
N
2
2032-06-10
Fixed
3.37500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-05-08
N/A
1.00000000
NC
428.70000000
0.000096082327
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
133382.68000000
USD
120000.00000000
CHF
2024-05-08
428.70000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ILS SETTLE 2024-04-03
N/A
1.00000000
NC
USD
321.40000000
0.000072033730
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
200000.00000000
ILS
54916.89000000
USD
2024-04-03
321.40000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
0.79000000
0.000000177058
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
43000.00000000
GBP
54320.33000000
USD
2024-04-03
0.79000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5556.71000000
0.001245396853
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1370000.00000000
NOK
131848.65000000
USD
2024-04-03
5556.71000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-7489.43000000
-0.00167856745
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
2648250.29000000
USD
4415000.00000000
NZD
2024-04-03
-7489.43000000
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1687.19000000
-0.00037814122
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
115787.04000000
USD
455000.00000000
PLN
2024-04-03
-1687.19000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-408.57000000
-0.00009157069
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
400000.00000000
AUD
260560.96000000
USD
2024-04-03
-408.57000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-19
N/A
1.00000000
NC
1364.23000000
0.000305757858
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
238231.33000000
USD
189670.55000000
GBP
2024-04-19
1364.23000000
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
224963.66000000
0.050419948898
Long
DBT
NUSS
GB
N
2
2024-10-03
Fixed
0.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SGD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
530.52000000
0.000118902720
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
75000.00000000
SGD
56108.62000000
USD
2024-04-03
530.52000000
N
N
N
GLENCORE CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
213800HCUCI1HC7X6Q34
GLENCORE CAPITAL FINANCE DAC MTN 1.250000% 03/01/2033
G39146AH1
331000.00000000
PA
287412.66000000
0.064416322307
Long
DBT
NUSS
AU
N
2
2033-03-01
Fixed
1.25000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1086.33000000
-0.00024347355
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
162358.40000000
USD
24400000.00000000
JPY
2024-04-03
-1086.33000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.230000% 01/10/2025
N/A
20000.00000000
PA
2795.05000000
0.000626440191
Long
DBT
NUSS
CN
N
2
2025-01-10
Fixed
3.23000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3324.44000000
-0.00074508965
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
437880.76000000
USD
344000.00000000
GBP
2024-04-03
-3324.44000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1671.09000000
0.000374532813
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
434332.40000000
USD
590000.00000000
CAD
2024-04-03
1671.09000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 2.750000% 05/15/2051
N/A
2245000.00000000
PA
914170.84000000
0.204888411921
Long
DBT
NUSS
NZ
N
2
2051-05-15
Fixed
2.75000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
4910.60000000
0.001100587539
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
329491.97000000
USD
5560000.00000000
MXN
2024-04-03
4910.60000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
976.38000000
0.000218831031
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
50000.00000000
CHF
56501.93000000
USD
2024-04-03
976.38000000
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO 5.000000% 02/27/2026
532457CE6
590000.00000000
PA
USD
589184.04000000
0.132050790731
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
263962.13000000
0.059160475544
Long
DBT
NUSS
GB
N
2
2025-08-28
Fixed
3.58800000
N
N
N
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 0.950000% 06/17/2025
N/A
32540000.00000000
PA
878673.53000000
0.196932582272
Long
DBT
NUSS
TH
N
2
2025-06-17
Fixed
0.95000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1796.79000000
0.000402705307
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
120000.00000000
EUR
131405.84000000
USD
2024-04-03
1796.79000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MYR SETTLE 2024-05-08
N/A
1.00000000
NC
USD
6639.04000000
0.001487973913
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4371000.00000000
MYR
926585.24000000
USD
2024-05-08
6639.04000000
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2033
N/A
924115.00000000
PA
995920.77000000
0.223210603572
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
1117000.00000000
PA
1347802.84000000
0.302076123398
Long
DBT
NUSS
IT
N
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1005.81000000
0.000225427025
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
90000.00000000
NZD
54837.85000000
USD
2024-04-03
1005.81000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-8719.51000000
-0.00195425896
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
264507.59000000
USD
38700000.00000000
JPY
2024-04-03
-8719.51000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/DKK SETTLE 2024-05-08
N/A
1.00000000
NC
USD
1318.64000000
0.000295540005
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
3371000.00000000
DKK
490385.43000000
USD
2024-05-08
1318.64000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 3.000000% 06/22/2034
N/A
608058.00000000
PA
665570.45000000
0.149170884210
Long
DBT
NUSS
BE
N
2
2034-06-22
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1910.81000000
0.000428260024
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2265000.00000000
SEK
213759.91000000
USD
2024-04-03
1910.81000000
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
321345.03000000
0.072021409997
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
212569.32000000
0.047642069176
Long
DBT
NUSS
US
N
2
2033-01-18
Fixed
5.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-287.64000000
-0.00006446727
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
924000.00000000
MXN
55285.74000000
USD
2024-04-03
-287.64000000
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
TITULOS DE TESORERIA 7.500000% 08/26/2026
N/A
1818400000.00000000
PA
453762.60000000
0.101699479392
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4958.88000000
0.001111408287
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
362000.00000000
EUR
395946.19000000
USD
2024-04-03
4958.88000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PEN SETTLE 2024-05-16
N/A
1.00000000
NC
USD
4379.73000000
0.000981606374
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1460997.66000000
PEN
397010.23000000
USD
2024-05-16
4379.73000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.750000% 05/25/2053
N/A
724427.00000000
PA
419337.55000000
0.093983969865
Long
DBT
NUSS
FR
N
2
2053-05-25
Fixed
0.75000000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 01/15/2030
N/A
1217000.00000000
PA
1313762.76000000
0.294446895219
Long
DBT
NUSS
NL
N
2
2030-01-15
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
9225.99000000
0.002067773721
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2060000.00000000
NOK
199124.82000000
USD
2024-04-03
9225.99000000
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 2.500000% 07/25/2026
N/A
543000.00000000
PA
128514.43000000
0.028803278686
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
1060000.00000000
PA
594742.80000000
0.133296647040
Long
DBT
NUSS
NZ
N
2
2029-04-20
Fixed
3.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUXL 30Y BND JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-6.00000000
NC
-879980.13000000
-0.19722542381
N/A
DIR
DE
N
1
EURO-BUXL 30Y BND JUN24
N/A
Short
Germany Govt. Bond Futures
EURO BUXL 30Y BND Jun 2024
2024-06-09
-884364.61000000
EUR
4384.48000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-10571.86000000
-0.00236941664
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
429547.67000000
USD
4545000.00000000
NOK
2024-04-03
-10571.86000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2606.73000000
0.000584232997
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
401000.00000000
EUR
435716.98000000
USD
2024-04-03
2606.73000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.000000% 11/25/2029
N/A
528381.00000000
PA
493079.23000000
0.110511313603
Long
DBT
NUSS
FR
N
2
2029-11-25
Fixed
0.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CNY SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-461662.56000000
-0.10347005682
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
201715000.00000000
CNY
27880442.29000000
USD
2024-05-08
-461662.56000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3551.90000000
-0.00079606909
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
131260.66000000
USD
115000.00000000
CHF
2024-04-03
-3551.90000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SGD SETTLE 2024-05-17
N/A
1.00000000
NC
USD
5541.15000000
0.001241909470
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
553847.53000000
SGD
416903.18000000
USD
2024-05-17
5541.15000000
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOCIETY MTN 0.625000% 03/25/2027
N/A
345000.00000000
PA
345983.69000000
0.077543546231
Long
DBT
NUSS
GB
N
2
2027-03-25
Fixed
0.62500000
N
N
N
N
N
N
CaixaBank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 1.250000% 01/11/2027
N/A
300000.00000000
PA
306735.93000000
0.068747147499
Long
DBT
NUSS
ES
N
2
2027-01-11
Fixed
1.25000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-844.89000000
-0.00018936085
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
170128.00000000
USD
229073.93000000
CAD
2024-04-03
-844.89000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT 3.750000% 01/29/2038
N/A
593000.00000000
PA
715956.80000000
0.160463717872
Long
DBT
NUSS
GB
N
2
2038-01-29
Fixed
3.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/PEN SETTLE 2024-05-03
N/A
1.00000000
NC
USD
4193.36000000
0.000939836224
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
4075900.00000000
PEN
1099722.09000000
USD
2024-05-03
4193.36000000
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
56224.15000000
0.012601229771
Long
DBT
NUSS
GB
N
2
2052-09-09
Fixed
2.25000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
54.00000000
NC
7778687.37000000
1.743397221109
N/A
DIR
DE
N
1
EURO-BUND FUTURE JUN24
N/A
Long
Germany Govt. Bond Futures
Euro-Bund Future Jun 2024
2024-06-09
7813489.13000000
EUR
-34801.76000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-952.89000000
-0.00021356633
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
131642.02000000
USD
121000.00000000
EUR
2024-04-03
-952.89000000
N
N
N
United States of America
N/A
US LONG BOND(CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
22.00000000
NC
USD
2649625.00000000
0.593846833309
N/A
DIR
US
N
1
US LONG BOND(CBT) JUN24
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Jun 2024
2024-06-21
2609099.68000000
USD
40525.32000000
N
N
N
AGRICULTURAL DEVELOPMENT BANK OF CHINA
300300C1020311000158
AGRICUL DEV BANK CHINA 3.740000% 07/12/2029
N/A
8500000.00000000
PA
1252235.52000000
0.280657111142
Long
DBT
NUSS
CN
N
2
2029-07-12
Fixed
3.74000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-27.00000000
NC
USD
-3483000.00000000
-0.78062688886
N/A
DIR
US
N
1
US ULTRA BOND CBT JUN24
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2024
2024-06-21
-3454168.55000000
USD
-28831.45000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-7327.91000000
-0.00164236680
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
262745.44000000
USD
230000.00000000
CHF
2024-04-03
-7327.91000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-57.87000000
-0.00001297010
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
590000.00000000
CAD
435945.62000000
USD
2024-04-03
-57.87000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CNY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
727.10000000
0.000162961186
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1770000.00000000
CNY
245873.14000000
USD
2024-04-03
727.10000000
N
N
N
Ireland
549300KXBEJAOJ9OVF93
IRELAND GOVERNMENT BOND 1.300000% 05/15/2033
N/A
246000.00000000
PA
236617.82000000
0.053031935882
Long
DBT
NUSS
IE
N
2
2033-05-15
Fixed
1.30000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 1.250000% 01/15/2026
91324PDW9
175000.00000000
PA
USD
163971.59000000
0.036750109722
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 1.750000% 04/25/2032
N/A
719000.00000000
PA
138181.78000000
0.030969972156
Long
DBT
NUSS
PL
N
2
2032-04-25
Fixed
1.75000000
N
N
N
N
N
N
TAPESTRY, INC.
549300LJNVY5SW3VTN33
TAPESTRY INC 5.875000% 11/27/2031
N/A
204000.00000000
PA
234574.11000000
0.052573889663
Long
DBT
NUSS
US
N
2
2031-11-27
Fixed
5.87500000
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
219945.35000000
0.049295220870
Long
DBT
NUSS
FR
N
2
2048-09-27
Fixed
4.75000000
N
N
N
N
N
N
Santander Holdings USA, Inc.
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA INC 6.174000% 01/09/2030
80282KBJ4
206000.00000000
PA
USD
207856.82000000
0.046585880771
Long
DBT
CORP
US
N
2
2030-01-09
Fixed
6.17400000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: EUR/USD SETTLE 2024-06-12
N/A
1.00000000
NC
-2629.77000000
-0.00058939683
N/A
DFE
XX
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
307255.42000000
USD
281254.05000000
EUR
2024-06-12
-2629.77000000
N
N
N
SABRA HEALTH CARE LIMITED PARTNERSHIP
549300OVKLRFSIQG0H81
SABRA HEALTH CARE LP 3.900000% 10/15/2029
78572XAG6
121000.00000000
PA
USD
109070.13000000
0.024445327663
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
357617.36000000
0.080150940896
Long
DBT
NUSS
CA
N
2
2027-01-14
Fixed
0.01000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-05-08
N/A
1.00000000
NC
USD
-645.72000000
-0.00014472190
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
100000.00000000
CHF
110863.76000000
USD
2024-05-08
-645.72000000
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS' FINANC 0.500000% 05/06/2025
N/A
1066000.00000000
PA
1112651.96000000
0.249372965239
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
558048.15000000
0.125072463730
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
307584.16000000
0.068937256929
Long
DBT
NUSS
GB
N
2
2029-11-17
Fixed
0.80000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: NZD/USD SETTLE 2024-05-23
N/A
1.00000000
NC
-2732.00000000
-0.00061230911
N/A
DFE
NZ
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
136253.08000000
USD
223310.80000000
NZD
2024-05-23
-2732.00000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3697.37000000
-0.00082867253
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
198677.94000000
USD
29500000.00000000
JPY
2024-04-03
-3697.37000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/25/2030
N/A
700000.00000000
PA
675523.10000000
0.151401520502
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
1.12500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
1071.03000000
0.000240044449
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
265819.42000000
EUR
288979.47000000
USD
2024-06-12
1071.03000000
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.500000% 06/15/2025
N/A
2225000000.00000000
PA
140544.78000000
0.031499579201
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
213681.50000000
0.047891336363
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
27841.36000000
0.006239940924
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
88955.74000000
0.019937192811
Long
DBT
NUSS
CO
N
2
2036-07-09
Fixed
6.25000000
N
N
N
N
N
N
MALAYSIAN RINGGIT
N/A
FX Forward Contract: MYR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1270.72000000
-0.00028479994
N/A
DFE
MY
N
2
MALAYSIAN RINGGIT
N/A
924527.39000000
USD
4371000.00000000
MYR
2024-04-03
-1270.72000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 6.375000% MATURITY: PERPETUAL
N/A
210000.00000000
PA
255334.07000000
0.057226712801
Long
DBT
NUSS
GB
N
2
2173-03-15
Fixed
6.37500000
N
N
N
Y
Y
BARCLAYS PLC
BARC 6.375 PERP
GBP
XXXX
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1851.03000000
-0.00041486184
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
132335.80000000
USD
200000.00000000
AUD
2024-04-03
-1851.03000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CZK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-473.35000000
-0.00010608950
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
16861000.00000000
CZK
719689.77000000
USD
2024-04-03
-473.35000000
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: CNY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-375.67000000
-0.00008419698
N/A
DFE
CN
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
109375.63000000
USD
787000.00000000
CNY
2024-04-03
-375.67000000
N
N
N
Canada
4BFD7AQU0A75QLAHK410
CANADA-GOV'T WI 3.500000% 09/01/2028
ZK2235842
1129000.00000000
PA
824076.14000000
0.184695949859
Long
DBT
NUSS
CA
N
2
2028-09-01
Fixed
3.50000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 3.500000% 03/01/2030
N/A
552000.00000000
PA
604327.12000000
0.135444731422
Long
DBT
NUSS
IT
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-972.22000000
-0.00021789867
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
920000.00000000
MXN
54360.58000000
USD
2024-04-03
-972.22000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
500.43000000
0.000112158803
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
218061.55000000
USD
335000.00000000
AUD
2024-04-03
500.43000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 1.750000% 06/21/2051
N/A
571000.00000000
PA
218161.27000000
0.048895364189
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 7.625000% MATURITY: PERPETUAL
95002YAA1
3000.00000000
PA
USD
3206.12000000
0.000718571197
Long
DBT
CORP
US
N
2
2172-09-15
Fixed
7.62500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-05-08
N/A
1.00000000
NC
USD
187.55000000
0.000042034617
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
328000.00000000
RON
71462.72000000
USD
2024-05-08
187.55000000
N
N
N
SAPUTO INC.
549300HH4U1DPY0TBT90
SAPUTO INC 5.250000% 11/29/2029
80310ZAK5
472000.00000000
PA
357321.35000000
0.080084597696
Long
DBT
NUSS
CA
N
2
2029-11-29
Fixed
5.25000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-19.00000000
NC
USD
-2033296.88000000
-0.45571237943
N/A
DIR
US
N
1
US 5YR NOTE (CBT) JUN24
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2024
2024-07-01
-2044655.57000000
USD
11358.69000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-3141.59000000
-0.00070410842
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2220000.00000000
MXN
130378.86000000
USD
2024-04-03
-3141.59000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
74147.73000000
0.016618349637
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2499000.00000000
CHF
2849314.70000000
USD
2024-04-03
74147.73000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: RON/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-104.03000000
-0.00002331570
N/A
DFE
RO
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
35524.14000000
USD
163000.00000000
RON
2024-04-03
-104.03000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.700000% 02/16/2032
71643VAB1
57000.00000000
PA
USD
47403.63000000
0.010624331957
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
ITALY BUONI POLIENNALI DEL TESORO 144A 2.450000% 09/01/2033
N/A
2404000.00000000
PA
2371099.58000000
0.531422362426
Long
DBT
NUSS
IT
N
2
2033-09-01
Fixed
2.45000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-05-08
N/A
1.00000000
NC
USD
86.28000000
0.000019337492
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
200000.00000000
AUD
130662.70000000
USD
2024-05-08
86.28000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1559.97000000
-0.00034962805
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
218838.13000000
USD
172000.00000000
GBP
2024-04-03
-1559.97000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 7.500000% MATURITY: PERPETUAL
539439AU3
200000.00000000
PA
USD
199200.48000000
0.044645779777
Long
DBT
NUSS
GB
N
2
2171-12-27
Fixed
7.50000000
N
N
N
Y
Y
LLOYDS BANKING GROUP PLC
LLOY 7.5 PERP
GBP
XXXX
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.390000% 07/10/2027
N/A
16630000.00000000
PA
2378538.96000000
0.533089712431
Long
DBT
NUSS
CN
N
2
2027-07-10
Fixed
3.39000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-170.06000000
-0.00003811467
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
55695.61000000
USD
50000.00000000
CHF
2024-04-03
-170.06000000
N
N
N
GENERTEL S.P.A.
815600DEEE5337E9A213
GENERTEL SPA 4.250000% 12/14/2047
N/A
200000.00000000
PA
214659.86000000
0.048110611161
Long
DBT
NUSS
IT
N
2
2047-12-14
Fixed
4.25000000
N
N
N
N
N
N
NRTH MORTGAGE TRUST
N/A
NRTH 2024-PARK MORTGAGE TRUST NRTH 2024-PARK A
67021HAA4
308000.00000000
PA
USD
308385.59000000
0.069116877316
Long
ABS-MBS
US
Y
2
2041-03-15
Floating
6.94130040
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2810.96000000
-0.00063000601
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
314458.29000000
USD
3332000.00000000
SEK
2024-04-03
-2810.96000000
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 2.500000% 03/31/2032
N/A
300000.00000000
PA
307150.65000000
0.068840096561
Long
DBT
NUSS
FR
N
2
2032-03-31
Fixed
2.50000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC.
CZCBJZWDMLTHWJDXU843
CHUBB INA HOLDINGS INC 0.875000% 06/15/2027
171239AC0
115000.00000000
PA
114873.81000000
0.025746076633
Long
DBT
NUSS
US
N
2
2027-06-15
Fixed
0.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CZK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1188.69000000
0.000266414980
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2540000.00000000
CZK
109676.58000000
USD
2024-04-03
1188.69000000
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 6.250000% 06/01/2032
748148QT3
720000.00000000
PA
611275.08000000
0.137001941987
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
13022300.00000000
PA
724812.13000000
0.162448417472
Long
DBT
NUSS
MX
N
2
2026-03-05
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-686.11000000
-0.00015377430
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
129284.88000000
USD
215000.00000000
NZD
2024-04-03
-686.11000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-05-08
N/A
1.00000000
NC
-244.02000000
-0.00005469094
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
2117262.53000000
USD
318516000.00000000
JPY
2024-05-08
-244.02000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.500000% 12/07/2042
N/A
134514.00000000
PA
173391.01000000
0.038861235915
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
28570.78000000
0.006403422079
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
12283000.00000000
NOK
1160865.57000000
USD
2024-04-03
28570.78000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.392000% 04/15/2026
N/A
2816000.00000000
PA
606643.48000000
0.135963885284
Long
DBT
NUSS
MY
N
2
2026-04-15
Fixed
4.39200000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
1850.23000000
0.000414682540
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
129865.89000000
USD
2190000.00000000
MXN
2024-04-03
1850.23000000
N
N
N
SNCF RESEAU SA
969500VZN4KDEZ14C105
SNCF RESEAU MTN 1.125000% 05/19/2027
N/A
300000.00000000
PA
305093.26000000
0.068378984314
Long
DBT
NUSS
FR
N
2
2027-05-19
Fixed
1.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1012.06000000
0.000226827806
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
50000.00000000
CHF
56537.61000000
USD
2024-04-03
1012.06000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-192.89000000
-0.00004323144
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
55718.44000000
USD
50000.00000000
CHF
2024-04-03
-192.89000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 0.500000% 05/25/2040
N/A
729669.00000000
PA
530936.58000000
0.118996086888
Long
DBT
NUSS
FR
N
2
2040-05-25
Fixed
0.50000000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.180000% 08/15/2026
N/A
26830000.00000000
PA
3721540.71000000
0.834089792203
Long
DBT
NUSS
CN
N
2
2026-08-15
Fixed
2.18000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1883.46000000
-0.00042213020
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2220000.00000000
MXN
131636.99000000
USD
2024-04-03
-1883.46000000
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
157.55000000
0.000035310871
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
55266.62000000
USD
75000.00000000
CAD
2024-04-03
157.55000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: MXN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
2668.28000000
0.000598027882
N/A
DFE
MX
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
130852.17000000
USD
2220000.00000000
MXN
2024-04-03
2668.28000000
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2592.28000000
-0.00058099439
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
161097.74000000
USD
265000.00000000
NZD
2024-04-03
-2592.28000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5068.72000000
0.001136026162
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
29300000.00000000
JPY
198727.39000000
USD
2024-04-03
5068.72000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (20 YEAR ISSUE) 1.700000% 06/20/2033
N/A
491600000.00000000
PA
3553506.78000000
0.796429211095
Long
DBT
NUSS
JP
N
2
2033-06-20
Fixed
1.70000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5785.15000000
0.001296595936
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
10185000.00000000
NOK
944678.13000000
USD
2024-04-03
5785.15000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
AUSTRALIAN GOVERNMENT 3.000000% 03/21/2047
N/A
753000.00000000
PA
394809.18000000
0.088486552362
Long
DBT
NUSS
AU
N
2
2047-03-21
Fixed
3.00000000
N
N
N
N
N
N
VIRGIN MONEY UK PLC
213800ZK9VGCYYR6O495
VIRGIN MONEY UK PLC MTN 3.125000% 06/22/2025
N/A
191000.00000000
PA
239697.63000000
0.053722197868
Long
DBT
NUSS
GB
N
2
2025-06-22
Fixed
3.12500000
N
N
N
N
N
N
Government of the Republic of Korea
549300O0QCVSQGPGDT58
KOREA TREASURY BOND 2.625000% 09/10/2035
N/A
700180000.00000000
PA
482490.82000000
0.108138187689
Long
DBT
NUSS
KR
N
2
2035-09-10
Fixed
2.62500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-421.97000000
-0.00009457396
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
219857.74000000
USD
33200000.00000000
JPY
2024-04-03
-421.97000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1216.05000000
0.000272547036
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
233000.00000000
GBP
295552.16000000
USD
2024-04-03
1216.05000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC MTN 5.262000% 01/29/2034
N/A
250000.00000000
PA
291201.82000000
0.065265567263
Long
DBT
NUSS
GB
N
2
2034-01-29
Fixed
5.26200000
N
N
N
N
N
N
Koninkrijk der Nederlanden
254900G14ALGVKORFN62
NETHERLANDS GOVERNMENT BOND 144A 2.500000% 07/15/2033
N/A
245000.00000000
PA
263365.02000000
0.059026648348
Long
DBT
NUSS
NL
N
2
2033-07-15
Fixed
2.50000000
N
N
N
N
N
N
MCKESSON CORPORATION
549300WZWOM80UCFSF54
MCKESSON CORP 3.125000% 02/17/2029
581557BH7
315000.00000000
PA
371697.06000000
0.083306551693
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
115000.00000000
PA
27760.73000000
0.006221869736
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
639676.87000000
0.143367489207
Long
DBT
NUSS
IE
N
2
2030-10-18
Fixed
0.20000000
N
N
N
N
N
N
POLISH ZLOTY
N/A
FX Forward Contract: PLN/USD SETTLE 2024-04-03
N/A
1.00000000
NC
348.09000000
0.000078015622
N/A
DFE
PA
N
2
POLISH ZLOTY
N/A
355743.77000000
USD
1420000.00000000
PLN
2024-04-03
348.09000000
N
N
N
CARGILL, INCORPORATED
QXZYQNMR4JZ5RIRN4T31
CARGILL INC 3.875000% 04/24/2030
N/A
325000.00000000
PA
361288.33000000
0.080973696535
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
359893.37000000
0.080661051319
Long
DBT
NUSS
CA
N
2
2033-02-07
Fixed
4.65700000
N
N
N
N
N
N
ENEL Finance International N.V.
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTERNATIONAL NV MTN 1.125000% 10/17/2034
N/A
225000.00000000
PA
190899.96000000
0.042785426890
Long
DBT
NUSS
IT
N
2
2034-10-17
Fixed
1.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
15120.87000000
0.003388962878
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
77500000.00000000
JPY
527357.97000000
USD
2024-04-03
15120.87000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CZK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
164.52000000
0.000036873022
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2540000.00000000
CZK
108652.41000000
USD
2024-04-03
164.52000000
N
N
N
ELMWOOD CLO
N/A
ELMWOOD CLO XII LTD ELM12 2021-5A D
29002YAG7
750000.00000000
PA
USD
742251.75000000
0.166357069870
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-20
Floating
8.62941960
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SGD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1425.12000000
0.000319404821
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
145000.00000000
SGD
108876.11000000
USD
2024-04-03
1425.12000000
N
N
N
PAPREC HOLDING SA
969500ASAFSVN9KVC873
PAPREC HOLDING SA 144A 7.250000% 11/17/2029
ZH9776902
105000.00000000
PA
120781.81000000
0.027070206308
Long
DBT
NUSS
FR
N
2
2029-11-17
Fixed
7.25000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CZK SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-726.18000000
-0.00016275499
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
9396876.81000000
CZK
400665.19000000
USD
2024-04-19
-726.18000000
N
N
N
Romania
315700IASY927EDWBK92
ROMANIA GOVERNMENT BOND 4.750000% 10/11/2034
N/A
430000.00000000
PA
80704.83000000
0.018087958759
Long
DBT
NUSS
RO
N
2
2034-10-11
Fixed
4.75000000
N
N
N
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 2.375000% 06/01/2025
N/A
3804000.00000000
PA
2779502.33000000
0.622955571768
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
1755808.34000000
0.393520299139
Long
DBT
NUSS
CA
N
2
2027-04-06
Fixed
0.25000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3296.38000000
-0.00073880070
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
164320.47000000
USD
145000.00000000
CHF
2024-04-03
-3296.38000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 0.800000% 06/22/2025
N/A
531955.00000000
PA
557618.31000000
0.124976125900
Long
DBT
NUSS
BE
N
2
2025-06-22
Fixed
0.80000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/HUF SETTLE 2024-04-19
N/A
1.00000000
NC
USD
3707.85000000
0.000831021363
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
208250714.00000000
HUF
573904.34000000
USD
2024-04-19
3707.85000000
N
N
N
LSTAR COMMERCIAL MORTGAGE TRUST
N/A
LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2
50219QAC8
28307.74130000
PA
USD
28253.03000000
0.006332206405
Long
ABS-MBS
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 2.850000% 06/04/2027
N/A
15530000.00000000
PA
2194532.23000000
0.491849229752
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
362624.02000000
0.081273057870
Long
DBT
NUSS
MY
N
2
2040-05-22
Fixed
3.75700000
N
N
N
N
N
N
KBC GROEP NV
213800X3Q9LSAKRUWY91
KBC GROUP NV MTN 4.875000% 04/25/2033
N/A
300000.00000000
PA
329519.51000000
0.073853514186
Long
DBT
NUSS
BE
N
2
2033-04-25
Fixed
4.87500000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3354.37000000
-0.00075179770
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
263652.55000000
USD
241000.00000000
EUR
2024-04-03
-3354.37000000
N
N
N
Korea Housing Finance Corporation
9884002AAOBT56QW9B80
KOREA HOUSING FINANCE CO 3.714000% 04/11/2027
N/A
440000.00000000
PA
480237.24000000
0.107633104387
Long
DBT
NUSS
KR
N
2
2027-04-11
Fixed
3.71400000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3700.69000000
-0.00082941662
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
263998.87000000
USD
241000.00000000
EUR
2024-04-03
-3700.69000000
N
N
N
OMERS Finance Trust
529900M039WCPES03P17
OMERS FINANCE TRUST 144A 3.125000% 01/25/2029
ZF4011507
250000.00000000
PA
270057.35000000
0.060526565876
Long
DBT
NUSS
CA
N
2
2029-01-25
Fixed
3.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
840.76000000
0.000188435217
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
570000.00000000
SEK
54153.78000000
USD
2024-04-03
840.76000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-495.96000000
-0.00011115696
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
250000.00000000
AUD
162610.00000000
USD
2024-04-03
-495.96000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-300.60000000
-0.00006737193
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
923000.00000000
MXN
55212.63000000
USD
2024-04-03
-300.60000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/THB SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2259.66000000
0.000506445982
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
3920000.00000000
THB
109712.03000000
USD
2024-04-03
2259.66000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-517.64000000
-0.00011601599
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
56043.19000000
USD
50000.00000000
CHF
2024-04-03
-517.64000000
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 1.500000% 04/30/2042
N/A
408000.00000000
PA
517505.44000000
0.115985834510
Long
DBT
NUSS
CH
N
2
2042-04-30
Fixed
1.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
12371.88000000
0.002772845878
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1987658.41000000
USD
1801000.00000000
CHF
2024-04-03
12371.88000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.250000% 05/20/2027
20030NDB4
190000.00000000
PA
186776.32000000
0.041861216651
Long
DBT
NUSS
US
N
2
2027-05-20
Fixed
0.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: MXN/USD SETTLE 2024-05-23
N/A
1.00000000
NC
4935.00000000
0.001106056186
N/A
DFE
MX
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
400293.14000000
USD
6790210.57000000
MXN
2024-05-23
4935.00000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-05-08
N/A
1.00000000
NC
USD
1654.97000000
0.000370919920
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1390000.00000000
SEK
131879.47000000
USD
2024-05-08
1654.97000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.375 07/15/33
91282CHP9
683500.00000000
PA
USD
665759.96000000
0.149213358113
Long
DBT
USGA
US
N
2
2033-07-15
Fixed
1.37500000
N
N
N
N
N
N
CaixaBank, S.A.
7CUNS533WID6K7DGFI87
CAIXABANK SA 3.500000% 04/06/2028
N/A
200000.00000000
PA
239751.90000000
0.053734361124
Long
DBT
NUSS
ES
N
2
2028-04-06
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/HUF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-6.71000000
-0.00000150387
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1600000.00000000
HUF
4378.13000000
USD
2024-04-03
-6.71000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-4188.37000000
-0.00093871784
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
220738.01000000
USD
195000.00000000
CHF
2024-04-03
-4188.37000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3821.10000000
-0.00085640350
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
131024.09000000
USD
1360000.00000000
SEK
2024-04-03
-3821.10000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 1.741000% 05/04/2030
N/A
110000.00000000
PA
108310.67000000
0.024275113796
Long
DBT
NUSS
US
N
2
2030-05-04
Fixed
1.74100000
N
N
N
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
266340.65000000
0.059693561007
Long
DBT
NUSS
US
N
2
2028-08-13
Fixed
0.33400000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-4039.96000000
-0.00090545547
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
216377.47000000
USD
355000.00000000
NZD
2024-04-03
-4039.96000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1213.46000000
-0.00027196655
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
670000.00000000
AUD
435910.51000000
USD
2024-04-03
-1213.46000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
8424.13000000
0.001888056960
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
665000.00000000
AUD
442285.98000000
USD
2024-04-03
8424.13000000
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
287841.54000000
0.064512444977
Long
DBT
NUSS
GB
N
2
2024-10-17
Fixed
3.87500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CNY SETTLE 2024-05-23
N/A
1.00000000
NC
USD
1715.66000000
0.000384522058
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1279434.78000000
CNY
178348.91000000
USD
2024-05-23
1715.66000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
730.47000000
0.000163716486
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
151000.00000000
EUR
163821.86000000
USD
2024-04-03
730.47000000
N
N
N
Japan
N/A
10YR MINI JGB FUT JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-7.00000000
NC
-673937.04000000
-0.15104604502
N/A
DIR
SG
N
1
10YR MINI JGB FUT JUN24
N/A
Short
Japan Govt. Bond Futures
10YR MINI JGB FUT Jun 2024
2024-06-15
-685696.88000000
JPY
11759.84000000
N
N
N
Grifols, S.A.
959800HSSNXWRKBK4N60
GRIFOLS SA 144A 3.875000% 10/15/2028
BR6667835
100000.00000000
PA
85159.79000000
0.019086426047
Long
DBT
NUSS
ES
N
2
2028-10-15
Fixed
3.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
6311.30000000
0.001414519231
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
29300000.00000000
JPY
199969.97000000
USD
2024-04-03
6311.30000000
N
N
N
CU Inc.
549300N7TTF71B34GI65
CU INC MTN 5.896000% 11/20/2034
12657ZAJ2
586000.00000000
PA
474992.35000000
0.106457594147
Long
DBT
NUSS
CA
N
2
2034-11-20
Fixed
5.89600000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/SGD SETTLE 2024-05-17
N/A
1.00000000
NC
USD
494.80000000
0.000110896980
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
540976.01000000
SGD
402296.70000000
USD
2024-05-17
494.80000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
6453.50000000
0.001446389786
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1350000.00000000
SEK
132721.18000000
USD
2024-04-03
6453.50000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
316.73000000
0.000070987067
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
19900000.00000000
JPY
131846.00000000
USD
2024-04-03
316.73000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1579.59000000
-0.00035402538
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
55046.25000000
USD
580000.00000000
NOK
2024-04-03
-1579.59000000
N
N
N
New Zealand
549300237GPHG2AI7C34
NEW ZEALAND GOVERNMENT 4.500000% 05/15/2030
N/A
212000.00000000
PA
127381.31000000
0.028549318324
Long
DBT
NUSS
NZ
N
2
2030-05-15
Fixed
4.50000000
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
416897.76000000
0.093437152272
Long
DBT
NUSS
KR
N
2
2025-04-27
Fixed
0.82900000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-04-03
N/A
1.00000000
NC
USD
89.25000000
0.000020003143
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
328000.00000000
RON
71364.08000000
USD
2024-04-03
89.25000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/CNY SETTLE 2024-05-23
N/A
1.00000000
NC
USD
75874.53000000
0.017005368446
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
62627232.63000000
CNY
8721920.09000000
USD
2024-05-23
75874.53000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-4660.85000000
-0.00104461235
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
131874.63000000
USD
1380000.00000000
NOK
2024-04-03
-4660.85000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
6054.60000000
0.001356986379
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1350000.00000000
SEK
132322.28000000
USD
2024-04-03
6054.60000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-11114.37000000
-0.00249100662
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
394240.66000000
USD
345000.00000000
CHF
2024-04-03
-11114.37000000
N
N
N
Republika Slovenija
485100000LWQHIX4XX88
REPUBLIKA SLOVENIJA 1.250000% 03/22/2027
N/A
556000.00000000
PA
573467.89000000
0.128528410805
Long
DBT
NUSS
SI
N
2
2027-03-22
Fixed
1.25000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-06-12
N/A
1.00000000
NC
USD
4307.68000000
0.000965458178
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
333252.78000000
EUR
365253.04000000
USD
2024-06-12
4307.68000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
859.74000000
0.000192689107
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
86000.00000000
GBP
109498.82000000
USD
2024-04-03
859.74000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-187.46000000
-0.00004201444
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
473000.00000000
GBP
597327.48000000
USD
2024-04-03
-187.46000000
N
N
N
Schweizerische Eidgenossenschaft
5067006OA1BJ88912Q83
SWITZERLAND 3.500000% 04/08/2033
N/A
214000.00000000
PA
296134.00000000
0.066370991417
Long
DBT
NUSS
CH
N
2
2033-04-08
Fixed
3.50000000
N
N
N
N
N
N
Magyarorszag
5299003F3UFKGCCMAP43
HUNGARY GOVERNMENT BOND 4.750000% 11/24/2032
N/A
149280000.00000000
PA
356954.51000000
0.080002379732
Long
DBT
NUSS
HU
N
2
2032-11-24
Fixed
4.75000000
N
N
N
N
N
N
Mizuho Financial Group, Inc.
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP INC 0.470000% 09/06/2029
N/A
259000.00000000
PA
243791.13000000
0.054639652984
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
782724.56000000
0.175428032763
Long
DBT
NUSS
CA
N
2
2024-12-02
Fixed
1.35000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/COP SETTLE 2024-05-16
N/A
1.00000000
NC
USD
-5911.41000000
-0.00132489394
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1541264483.24000000
COP
390205.89000000
USD
2024-05-16
-5911.41000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: NOK/USD SETTLE 2024-06-10
N/A
1.00000000
NC
-120688.97000000
-0.02704939855
N/A
DFE
NO
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
5594543.13000000
USD
59266050.00000000
NOK
2024-06-10
-120688.97000000
N
N
N
Statsministerens Kontor
549300L0BT3FJTN9MX24
NORWAY GOVERNMENT BOND 144A 1.250000% 09/17/2031
N/A
15646000.00000000
PA
1227396.01000000
0.275089959430
Long
DBT
NUSS
NO
N
2
2031-09-17
Fixed
1.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2024-04-25
N/A
1.00000000
NC
-5311.84000000
-0.00119051539
N/A
DFE
ID
N
2
INDONESIA RUPIAH
N/A
399871.60000000
USD
6264643229.00000000
IDR
2024-04-25
-5311.84000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/EUR SETTLE 2024-05-10
N/A
1.00000000
NC
USD
202663.39000000
0.045421903997
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
9534394.94000000
EUR
10515081.83000000
USD
2024-05-10
202663.39000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/MXN SETTLE 2024-06-10
N/A
1.00000000
NC
USD
-275567.64000000
-0.06176155885
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
155786000.00000000
MXN
8994676.61000000
USD
2024-06-10
-275567.64000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CNY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
126.78000000
0.000028414549
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1578000.00000000
CNY
218680.71000000
USD
2024-04-03
126.78000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/DKK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1803.70000000
0.000404254010
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
3371000.00000000
DKK
489947.73000000
USD
2024-04-03
1803.70000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/KRW SETTLE 2024-04-18
N/A
1.00000000
NC
USD
3332.17000000
0.000746822136
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
535367239.00000000
KRW
400928.00000000
USD
2024-04-18
3332.17000000
N
N
N
J.P. MORGAN SECURITIES
984500653R409CC5AB28
FX Forward Contract: USD/CHF SETTLE 2024-06-10
N/A
1.00000000
NC
USD
181305.91000000
0.040635161773
N/A
DFE
US
N
2
J.P. MORGAN SECURITIES
984500653R409CC5AB28
5783300.00000000
CHF
6654590.91000000
USD
2024-06-10
181305.91000000
N
N
N
Development Bank of Japan Inc.
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN 2.300000% 03/19/2026
25159MAG2
180000000.00000000
PA
1234987.96000000
0.276791504164
Long
DBT
NUSS
JP
N
2
2026-03-19
Fixed
2.30000000
N
N
N
N
N
N
UPL CORPORATION LIMITED
213800AQLATW4WEEH674
UPL CORP LTD 4.625000% 06/16/2030
N/A
200000.00000000
PA
USD
159668.03000000
0.035785574938
Long
DBT
NUSS
IN
N
2
2030-06-16
Fixed
4.62500000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: JPY/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2974.83000000
-0.00066673335
N/A
DFE
JP
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
131199.34000000
USD
19400000.00000000
JPY
2024-04-03
-2974.83000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1041.52000000
-0.00023343052
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2210000.00000000
MXN
131877.49000000
USD
2024-04-03
-1041.52000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3305.69000000
0.000740887309
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
241000.00000000
EUR
263603.87000000
USD
2024-04-03
3305.69000000
N
N
N
N/A
N/A
KOREA 10YR BND FU JUN24 FINANCIAL COMMODITY FUTURE.
N/A
64.00000000
NC
5399532.04000000
1.210169364838
N/A
DIR
KR
N
1
KOREA 10YR BND FU JUN24
N/A
Long
Korea Govt. Bond Futures
KOFEX Korea Exchange 10 Year Treasury Electronic Day Session Bond Future Jun 2024
2024-06-21
5444746.91000000
KRW
-45214.87000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
5626.46000000
0.001261029562
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
401000.00000000
EUR
438736.71000000
USD
2024-04-03
5626.46000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4271.14000000
0.000957268656
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1390000.00000000
NOK
132406.76000000
USD
2024-04-03
4271.14000000
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028
92343VGH1
445000.00000000
PA
USD
400617.17000000
0.089788267311
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
Republique Francaise
N/A
EURO-OAT FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-10.00000000
NC
-1384229.90000000
-0.31024033313
N/A
DIR
DE
N
1
EURO-OAT FUTURE JUN24
N/A
Short
France Govt. Bond Future
Eurex Long Term Euro OAT Bond Future Jun 2024
2024-06-09
-1396025.28000000
EUR
11795.38000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 2.875000% 01/12/2033
N/A
1015000.00000000
PA
1107323.75000000
0.248178780916
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
150335.66000000
0.033693958814
Long
DBT
NUSS
KR
N
2
2026-06-29
Fixed
0.01000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-08
N/A
1.00000000
NC
USD
242273.53000000
0.054299521096
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
635100000.00000000
JPY
4443294.27000000
USD
2024-04-08
242273.53000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 2.400000% 10/19/2028
N/A
4017000.00000000
PA
4346627.14000000
0.974187201082
Long
DBT
NUSS
DE
N
2
2028-10-19
Fixed
2.40000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3749.74000000
0.000840409954
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
403000.00000000
EUR
439020.14000000
USD
2024-04-03
3749.74000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-05-08
N/A
1.00000000
NC
USD
543.53000000
0.000121818585
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
242000.00000000
EUR
262269.44000000
USD
2024-05-08
543.53000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2450.83000000
0.000549291931
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
200000.00000000
AUD
132935.60000000
USD
2024-04-03
2450.83000000
N
N
N
TIME WARNER CABLE, LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 5.750000% 06/02/2031
88732JAZ1
295000.00000000
PA
361202.74000000
0.080954513688
Long
DBT
NUSS
US
N
2
2031-06-02
Fixed
5.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/PLN SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-1102.47000000
-0.00024709093
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1230000.00000000
PLN
307343.29000000
USD
2024-04-03
-1102.47000000
N
N
N
Republique Francaise
969500KCGF3SUYJHPV70
FRENCH REPUBLIC GOVERNMENT BOND OAT 144A 1.750000% 06/25/2039
N/A
256000.00000000
PA
233761.71000000
0.052391810627
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
440743.45000000
0.098781564215
Long
DBT
CORP
US
N
2
2025-02-17
Fixed
4.05000000
N
N
N
N
N
N
COMPAGNIE CREDIT FORD DU CANADA.
N/A
FORD CREDIT CANADA CO 6.382000% 11/10/2028
34527ACP3
126000.00000000
PA
96962.97000000
0.021731812117
Long
DBT
NUSS
US
N
2
2028-11-10
Fixed
6.38200000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2861.78000000
-0.00064139604
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
130570.54000000
USD
115000.00000000
CHF
2024-04-03
-2861.78000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/PLN SETTLE 2024-04-19
N/A
1.00000000
NC
USD
829.49000000
0.000185909330
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
1604378.63000000
PLN
403169.77000000
USD
2024-04-19
829.49000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3781.71000000
-0.00084757522
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
131920.02000000
USD
1370000.00000000
SEK
2024-04-03
-3781.71000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/RON SETTLE 2024-05-08
N/A
1.00000000
NC
USD
1907.51000000
0.000427520412
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
3143000.00000000
RON
684888.82000000
USD
2024-05-08
1907.51000000
N
N
N
KommuneKredit
529900D8QLTZ6PRLJL76
KOMMUNEKREDIT MTN 0.125000% 09/26/2040
N/A
275000.00000000
PA
187227.98000000
0.041962444885
Long
DBT
NUSS
DK
N
2
2040-09-26
Fixed
0.12500000
N
N
N
N
N
N
United Kingdom of Great Britain and Northern Ireland
ECTRVYYCEF89VWYS6K36
UK TSY GILT 4.250000% 06/07/2032
N/A
562977.00000000
PA
733704.24000000
0.164441360384
Long
DBT
NUSS
GB
N
2
2032-06-07
Fixed
4.25000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
POLAND GOVERNMENT BOND 6.000000% 10/25/2033
N/A
1857000.00000000
PA
484365.58000000
0.108558368013
Long
DBT
NUSS
PL
N
2
2033-10-25
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
FX Forward Contract: NZD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2730.63000000
-0.00061200206
N/A
DFE
NZ
N
2
GOLDMAN, SACHS & CO.
KD3XUN7C6T14HNAYLU02
110394.72000000
USD
180000.00000000
NZD
2024-04-03
-2730.63000000
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA MTN 3.375000% 01/23/2026
N/A
248000.00000000
PA
303445.28000000
0.068009631027
Long
DBT
NUSS
FR
N
2
2026-01-23
Fixed
3.37500000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-120256.74000000
-0.02695252506
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
74491010.57000000
USD
68857000.00000000
EUR
2024-04-03
-120256.74000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 1.400000% 04/30/2028
N/A
1537000.00000000
PA
1569770.78000000
0.351824656970
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
29670100.00000000
PA
1539019.02000000
0.344932423052
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-16.00000000
NC
USD
-3271750.00000000
-0.73328051210
N/A
DIR
US
N
1
US 2YR NOTE (CBT) JUN24
N/A
Short
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2024
2024-07-01
-3274092.16000000
USD
2342.16000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 0.000000% 09/14/2026
20030NDX6
450000.00000000
PA
447497.11000000
0.100295227320
Long
DBT
NUSS
US
N
2
2026-09-14
Fixed
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-05-08
N/A
1.00000000
NC
549.70000000
0.000123201435
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
1144605.50000000
USD
1754000.00000000
AUD
2024-05-08
549.70000000
N
N
N
Royaume de Belgique
549300SZ25JZFHRHWD76
KINGDOM OF BELGIUM GOVERNMENT BOND 144A 4.250000% 03/28/2041
N/A
30000.00000000
PA
36961.76000000
0.008284049301
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
226213.84000000
0.050700145316
Long
DBT
CORP
US
N
2
2026-08-03
Fixed
5.27200000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MYR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-3402.27000000
-0.00076253328
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
4371000.00000000
MYR
919854.40000000
USD
2024-04-03
-3402.27000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
7572.76000000
0.001697243778
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
230000.00000000
CHF
262990.29000000
USD
2024-04-03
7572.76000000
N
N
N
Raizen Fuels Finance S.A.
52990010NH26VC32Q522
RAIZEN FUELS FINANCE SA 144A 6.450000% 03/05/2034
75102XAB2
200000.00000000
PA
USD
205197.60000000
0.045989883460
Long
DBT
NUSS
BR
N
2
2034-03-05
Fixed
6.45000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: THB/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-10577.88000000
-0.00237076587
N/A
DFE
TH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2140547.09000000
USD
77704000.00000000
THB
2024-04-03
-10577.88000000
N
N
N
CPUK FINANCE LIMITED
6354003CVDDPNXREIR29
CPUK FINANCE LTD MTN 3.690000% 08/28/2028
N/A
100000.00000000
PA
116833.29000000
0.026185244814
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
99443.80000000
0.022287827795
Long
DBT
NUSS
US
N
2
2026-09-14
Fixed
0.00000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2618.57000000
-0.00058688663
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
108496.36000000
USD
1132000.00000000
SEK
2024-04-03
-2618.57000000
N
N
N
HONEYWELL INTERNATIONAL INC.
ISRPG12PN4EIEOEMW547
HONEYWELL INTERNATIONAL INC 4.125000% 11/02/2034
438516CG9
620000.00000000
PA
706082.06000000
0.158250543147
Long
DBT
NUSS
US
N
2
2034-11-02
Fixed
4.12500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/MXN SETTLE 2024-05-08
N/A
1.00000000
NC
USD
229.90000000
0.000051526305
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1830000.00000000
MXN
109711.94000000
USD
2024-05-08
229.90000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
427133.04000000
0.095731132973
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
6837787000.00000000
JPY
45621561.43000000
USD
2024-04-03
427133.04000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-10438.42000000
-0.00233950942
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
435406.18000000
USD
4610000.00000000
NOK
2024-04-03
-10438.42000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 3.502000% 05/31/2027
N/A
423000.00000000
PA
89361.77000000
0.020028194228
Long
DBT
NUSS
MY
N
2
2027-05-31
Fixed
3.50200000
N
N
N
N
N
N
Repubblica Italiana
815600DE60799F5A9309
BUONI POLIENNALI DEL TES 3.850000% 09/15/2026
N/A
2167000.00000000
PA
2377088.52000000
0.532764632768
Long
DBT
NUSS
IT
N
2
2026-09-15
Fixed
3.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3368.52000000
-0.00075496907
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
221930.50000000
USD
335000.00000000
AUD
2024-04-03
-3368.52000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
79.46000000
0.000017808961
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
55376.57000000
USD
85000.00000000
AUD
2024-04-03
79.46000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/SEK SETTLE 2024-05-08
N/A
1.00000000
NC
USD
2738.97000000
0.000613871268
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
3332000.00000000
SEK
314903.03000000
USD
2024-05-08
2738.97000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-244.37000000
-0.00005476939
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
200000.00000000
AUD
130240.40000000
USD
2024-04-03
-244.37000000
N
N
N
Reino de Espana
9598007A56S18711AH60
SPAIN GOVERNMENT BOND 144A 3.250000% 04/30/2034
N/A
2132000.00000000
PA
2320924.22000000
0.520176816869
Long
DBT
NUSS
ES
N
2
2034-04-30
Fixed
3.25000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS, LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.900000% 11/15/2024
25470DBC2
665000.00000000
PA
USD
657061.33000000
0.147263778878
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT 6.375000% 08/15/2028
N/A
18269000000.00000000
PA
1144454.04000000
0.256500601980
Long
DBT
NUSS
ID
N
2
2028-08-15
Fixed
6.37500000
N
N
N
N
N
N
PERUVIAN NEW SOL
N/A
FX Forward Contract: PEN/USD SETTLE 2024-05-16
N/A
1.00000000
NC
223.07000000
0.000049995532
N/A
DFE
PE
N
2
PERUVIAN NEW SOL
N/A
221332.94000000
USD
824420.95000000
PEN
2024-05-16
223.07000000
N
N
N
Republic of Singapore
549300ZSV6VOGFH1ER70
SINGAPORE GOVERNMENT 3.500000% 03/01/2027
N/A
390000.00000000
PA
291166.38000000
0.065257624278
Long
DBT
NUSS
SG
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/THB SETTLE 2024-04-03
N/A
1.00000000
NC
USD
32706.90000000
0.007330429397
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
80894000.00000000
THB
2250118.22000000
USD
2024-04-03
32706.90000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CAD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-24129.87000000
-0.00540810374
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
11927000.00000000
CAD
8789791.55000000
USD
2024-04-03
-24129.87000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/GBP SETTLE 2024-04-19
N/A
1.00000000
NC
USD
-51.26000000
-0.00001148864
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
81810.66000000
GBP
103293.57000000
USD
2024-04-19
-51.26000000
N
N
N
United Kingdom of Great Britain and Northern Ireland
N/A
LONG GILT FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
26.00000000
NC
3282474.95000000
0.735684240025
N/A
DIR
GB
N
1
LONG GILT FUTURE JUN24
N/A
Long
U.K. Gilt Futures
U.K. Long Gilt Future Jun 2024
2024-06-29
3275994.64000000
GBP
6480.31000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
EUROPEAN INVESTMENT BANK 4.125000% 02/13/2034
298785KA3
498000.00000000
PA
USD
489358.34000000
0.109677369651
Long
DBT
NUSS
XX
N
2
2034-02-13
Fixed
4.12500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV SA
5493008H3828EMEXB082
ANHEUSER-BUSCH INBEV SA/NV MTN 9.750000% 07/30/2024
N/A
250000.00000000
PA
319805.21000000
0.071676298055
Long
DBT
NUSS
BE
N
2
2024-07-30
Fixed
9.75000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CHF SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1290.27000000
0.000289181583
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
50000.00000000
CHF
56815.82000000
USD
2024-04-03
1290.27000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/ILS SETTLE 2024-04-03
N/A
1.00000000
NC
USD
3250.40000000
0.000728495446
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
920000.00000000
ILS
254389.67000000
USD
2024-04-03
3250.40000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/CZK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
1075.63000000
0.000241075423
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2620000.00000000
CZK
112980.46000000
USD
2024-04-03
1075.63000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-59.24000000
-0.00001327715
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
43000.00000000
GBP
54260.30000000
USD
2024-04-03
-59.24000000
N
N
N
VODAFONE GROUP PUBLIC LIMITED COMPANY
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC MTN 4.200000% 12/13/2027
N/A
780000.00000000
PA
495473.00000000
0.111047816970
Long
DBT
NUSS
GB
N
2
2027-12-13
Fixed
4.20000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-47.48000000
-0.00001064144
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
40000.00000000
AUD
26049.47000000
USD
2024-04-03
-47.48000000
N
N
N
People's Republic of China
300300CHN201808MOF68
CHINA GOVERNMENT BOND 3.810000% 09/14/2050
N/A
1920000.00000000
PA
322959.56000000
0.072383266308
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3348.91000000
-0.00075057398
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
164373.00000000
USD
145000.00000000
CHF
2024-04-03
-3348.91000000
N
N
N
Gobierno de la Republica de Panama
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 6.875000% 01/31/2036
698299BW3
285000.00000000
PA
USD
277674.00000000
0.062233646494
Long
DBT
NUSS
PA
N
2
2036-01-31
Fixed
6.87500000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-6903.57000000
-0.00154726166
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
500832.41000000
USD
391000.00000000
GBP
2024-04-03
-6903.57000000
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-17906.35000000
-0.00401325819
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
395774.07000000
USD
4040000.00000000
SEK
2024-04-03
-17906.35000000
N
N
N
Kingdom of Thailand
254900PHJ6MSKT6C7026
THAILAND GOVERNMENT BOND 4.675000% 06/29/2044
N/A
2840000.00000000
PA
96316.77000000
0.021586982633
Long
DBT
NUSS
TH
N
2
2044-06-29
Fixed
4.67500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CZK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1872.77000000
-0.00041973431
N/A
DFE
CZ
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
219275.67000000
USD
5090000.00000000
CZK
2024-04-03
-1872.77000000
N
N
N
WESTFIELD AMERICA MANAGEMENT PTY LIMITED
875500W7WGQNQWSP6E89
WESTFIELD AMERICA MANAGEMENT LTD 2.625000% 03/30/2029
N/A
155000.00000000
PA
171559.10000000
0.038450659342
Long
DBT
NUSS
FR
N
2
2029-03-30
Fixed
2.62500000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1394.78000000
-0.00031260487
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
271810.11000000
USD
365926.07000000
CAD
2024-04-03
-1394.78000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/GBP SETTLE 2024-04-03
N/A
1.00000000
NC
USD
4240.38000000
0.000950374575
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
860000.00000000
GBP
1090631.19000000
USD
2024-04-03
4240.38000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NOK SETTLE 2024-04-03
N/A
1.00000000
NC
USD
6443.61000000
0.001444173191
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
2305000.00000000
NOK
218927.49000000
USD
2024-04-03
6443.61000000
N
N
N
407 INTERNATIONAL INC.
549300LRF8PWZNJ8BC94
407 INTERNATIONAL INC MTN 5.750000% 02/14/2036
35085ZAM8
464000.00000000
PA
364243.00000000
0.081635911536
Long
DBT
NUSS
CA
N
2
2036-02-14
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
4110.43000000
0.000921249550
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
1456666.53000000
USD
2239000.00000000
AUD
2024-04-03
4110.43000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1942.22000000
-0.00043529978
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
219220.38000000
USD
172000.00000000
GBP
2024-04-03
-1942.22000000
N
N
N
Kerajaan Malaysia
254900GSIL471JOBYY43
MALAYSIA GOVERNMENT 4.457000% 03/31/2053
Y2R35QFJ5
182000.00000000
PA
40068.46000000
0.008980338005
Long
DBT
NUSS
MY
N
2
2053-03-31
Fixed
4.45700000
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
302828.51000000
0.067871397537
Long
DBT
NUSS
ES
N
2
2027-04-26
Fixed
1.00000000
N
N
N
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-217.06000000
-0.00004864854
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
54536.60000000
USD
43000.00000000
GBP
2024-04-03
-217.06000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/JPY SETTLE 2024-04-03
N/A
1.00000000
NC
USD
2350.91000000
0.000526897375
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
39500000.00000000
JPY
263426.59000000
USD
2024-04-03
2350.91000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.500000% 05/26/2033
N/A
21640400.00000000
PA
1161366.29000000
0.260291057651
Long
DBT
NUSS
MX
N
2
2033-05-26
Fixed
7.50000000
N
N
N
N
N
N
SWEDISH KRONE
N/A
FX Forward Contract: SEK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2646.05000000
-0.00059304558
N/A
DFE
SE
N
2
SWEDISH KRONE
N/A
218704.08000000
USD
2310000.00000000
SEK
2024-04-03
-2646.05000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 2.000000% 03/20/2042
N/A
303200000.00000000
PA
2211239.43000000
0.495593728620
Long
DBT
NUSS
JP
N
2
2042-03-20
Fixed
2.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/NZD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
929.47000000
0.000208317334
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
90000.00000000
NZD
54761.51000000
USD
2024-04-03
929.47000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/JPY SETTLE 2024-05-16
N/A
1.00000000
NC
USD
1568.64000000
0.000351571221
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
13709450.00000000
JPY
92809.51000000
USD
2024-05-16
1568.64000000
N
N
N
Bundesrepublik Deutschland
529900AQBND3S6YJLY83
BUNDESOBLIGATION 0.000000% 10/09/2026
N/A
1714000.00000000
PA
1734502.91000000
0.388745222614
Long
DBT
NUSS
DE
N
2
2026-10-09
Fixed
0.00000000
N
N
N
N
N
N
Bundesrepublik Deutschland
N/A
EURO-BUND FUTURE JUN24 FINANCIAL COMMODITY FUTURE.
N/A
2.00000000
NC
288099.54000000
0.064570269191
N/A
DIR
DE
N
1
EURO-BUND FUTURE JUN24
N/A
Long
Germany Govt. Bond Futures
Euro-Bund Future Jun 2024
2024-06-09
286536.38000000
EUR
1563.16000000
N
N
N
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
FX Forward Contract: AUD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
3299.04000000
0.000739396879
N/A
DFE
AU
N
2
MORGAN STANLEY & CO, INC
9R7GPTSO7KV3UQJZQ078
652386.91000000
USD
1005000.00000000
AUD
2024-04-03
3299.04000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/EUR SETTLE 2024-04-03
N/A
1.00000000
NC
USD
9232.17000000
0.002069158812
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
1511000.00000000
EUR
1641226.14000000
USD
2024-04-03
9232.17000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: CHF/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1452.69000000
-0.00032558394
N/A
DFE
CH
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
56978.24000000
USD
50000.00000000
CHF
2024-04-03
-1452.69000000
N
N
N
Japan
353800WZS8AXZXFUC241
JAPAN (30 YEAR ISSUE) 1.600000% 12/20/2053
N/A
14400000.00000000
PA
91923.08000000
0.020602247475
Long
DBT
NUSS
JP
N
2
2053-12-20
Fixed
1.60000000
N
N
N
N
N
N
BNP PARIBAS
74KKBLHM4AWY05GPNY79
FX Forward Contract: EUR/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-2541.64000000
-0.00056964471
N/A
DFE
XX
N
2
BNP PARIBAS
74KKBLHM4AWY05GPNY79
436731.96000000
USD
402000.00000000
EUR
2024-04-03
-2541.64000000
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT 7.750000% 05/29/2031
N/A
12668000.00000000
PA
701877.74000000
0.157308250514
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2024-04-03
N/A
1.00000000
NC
469.09000000
0.000105134730
N/A
DFE
CA
N
2
CANADIAN DOLLAR
N/A
191668.04000000
USD
260000.00000000
CAD
2024-04-03
469.09000000
N
N
N
BRITISH STERLING POUND
N/A
FX Forward Contract: GBP/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-1187.06000000
-0.00026604965
N/A
DFE
GB
N
2
BRITISH STERLING POUND
N/A
131301.31000000
USD
103000.00000000
GBP
2024-04-03
-1187.06000000
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/USD SETTLE 2024-04-03
N/A
1.00000000
NC
-3889.90000000
-0.00087182329
N/A
DFE
NO
N
2
NORWEIGAN KRONE
N/A
131103.68000000
USD
1380000.00000000
NOK
2024-04-03
-3889.90000000
N
N
N
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
FX Forward Contract: USD/AUD SETTLE 2024-04-03
N/A
1.00000000
NC
USD
-13.29000000
-0.00000297861
N/A
DFE
US
N
2
BARCLAYS CAPITAL INC.
213800IQAOC5HG62T347
12908.62000000
AUD
8408.60000000
USD
2024-04-03
-13.29000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK 3.700000% 10/20/2030
N/A
9430000.00000000
PA
1400570.37000000
0.313902638694
Long
DBT
NUSS
CN
N
2
2030-10-20
Fixed
3.70000000
N
N
N
N
N
N
Japan
N/A
JPN 10Y BOND(OSE) JUN24 FINANCIAL COMMODITY FUTURE.
N/A
-3.00000000
NC
-2891671.35000000
-0.64809543772
N/A
DIR
JP
N
1
JPN 10Y BOND(OSE) JUN24
N/A
Short
Japan Govt. Bond Futures
Japan Govt 10 Year Bond Future (TSE) Jun 2024
2024-06-16
-2951242.71000000
JPY
59571.36000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
FX Forward Contract: USD/KRW SETTLE 2024-04-18
N/A
1.00000000
NC
USD
5333.74000000
0.001195423733
N/A
DFE
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
535016377.00000000
KRW
402669.00000000
USD
2024-04-18
5333.74000000
N
N
N
2024-03-31
SEI INSTITUTIONAL INTERNATIONAL TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO