0001752724-19-193550.txt : 20191219 0001752724-19-193550.hdr.sgml : 20191219 20191219092044 ACCESSION NUMBER: 0001752724-19-193550 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20191031 FILED AS OF DATE: 20191219 PERIOD START: 20191031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Global Macro Portfolio CENTRAL INDEX KEY: 0000918706 IRS NUMBER: 043162525 STATE OF INCORPORATION: NY FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-08342 FILM NUMBER: 191294289 BUSINESS ADDRESS: STREET 1: TWO INTERNATIONAL PLACE CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 617-482-8260 MAIL ADDRESS: STREET 1: TWO INTERNATIONAL PLACE CITY: BOSTON STATE: MA ZIP: 02110 FORMER COMPANY: FORMER CONFORMED NAME: Strategic Income Portfolio DATE OF NAME CHANGE: 20050401 FORMER COMPANY: FORMER CONFORMED NAME: STRATEGIC INCOME PORTFOLIO DATE OF NAME CHANGE: 19960207 FORMER COMPANY: FORMER CONFORMED NAME: SHORT TERM INCOME PORTFOLIO DATE OF NAME CHANGE: 19940429 0000918706 S000005247 Global Macro Portfolio C000014299 Global Macro Portfolio NPORT-P 1 primary_doc.xml NPORT-P false 0000918706 XXXXXXXX S000005247 C000014299 Global Macro Portfolio 811-08342 0000918706 XY6HWOQF1NBIQHYB7D92 TWO INTERNATIONAL PLACE BOSTON 02110 617-482-8260 Global Macro Portfolio S000005247 XY6HWOQF1NBIQHYB7D92 2019-10-31 2019-10-31 N 4289759650.77 729735995.81 3560023654.96 0.00000000 7060856.89000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 208495784.87000000 HUF AUD USD NZD EGP UAH ISK PHP THB DOP PKR EUR CLP SGD MXN LKR CNY GBP CAD RSD PLN N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2ZP3M6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2ZP3M6 IRS USD P F 2.98000 CCP LCH 000000000 2895000.00000000 OU Notional Amount USD -236978.39000000 -0.00665665211 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-05 0.00000000 USD 0.00000000 USD 2895000.00000000 USD -236978.39000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 338965.81000000 0.009521448250 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2923379.50000000 USD 52767000.00000000 EGP 2019-11-12 338965.81000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3QJ5S3 IRS USD R F 1.76500 CCP LCH / Short: SEV3QJ5S3 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 10794000.00000000 OU Notional Amount USD -157980.12000000 -0.00443761433 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-04-20 0.00000000 USD 0.00000000 USD 10794000.00000000 USD -157980.12000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -84601.11000000 -0.00237641988 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 12659000.00000000 GHS 2036846.34000000 USD 2020-06-04 -84601.11000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC -4188.82000000 -0.00011766270 N/A DFE UG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 907828.77000000 USD 3610435000.00000000 UGX 2020-08-14 -4188.82000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD RUB 000000000 1.00000000 NC -789792.14000000 -0.02218502506 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 2437796000.00000000 RUB 37216839.05000000 USD 2019-11-07 -789792.14000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 362206UP7 2406.37000000 PA USD 2423.25000000 0.000068068367 Long ABS-MBS USGA US N 2 2021-10-15 Fixed 8.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 731202.63000000 0.020539263242 N/A DFE EG N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6322437.67000000 USD 114120000.00000000 EGP 2019-11-13 731202.63000000 N N N COOF 9632135005 N/A COOF 9632135005 000000000 3672717.60000000 PA USD 302316.35000000 0.008491975877 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.11000000 N N N N N N Yapi ve Kredi Bankasi AS B85ZYWEZ5IZCZ2WNIO12 YAPI VE KREDI BANKASI AS EUR TERM LOAN 000000000 2600000.00000000 PA 2900718.70000000 0.081480320951 Long LON CORP TR N 3 2019-11-04 Floating 2.15000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 40981.34000000 0.001151153586 N/A DFE UG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 912134.27000000 USD 3552763000.00000000 UGX 2019-11-20 40981.34000000 N N N COOF 9637215004 N/A COOF 9637215004 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.71000000 N N N N N N RMOF SD 12/8/2017 N/A RMOF SD 12/8/2017 000000000 41559168.63000000 PA USD 3472165.37000000 0.097532087045 Long ABS-MBS CORP US N 2 2039-10-29 Fixed 2.33000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED PHP / SOLD USD 000000000 1.00000000 NC 273248.83000000 0.007675477931 N/A DFE PH N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 9191625.92000000 USD 481200000.00000000 PHP 2019-12-10 273248.83000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 15284.53000000 0.000429337877 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 1639000.00000000 EUR 1854004.02000000 USD 2020-01-27 15284.53000000 N N N COOF 9631805003 N/A COOF 9631805003 000000000 2227729.45000000 PA USD 240973.74000000 0.006768880304 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.71000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359B4M6 105134.88000000 PA USD 112595.24000000 0.003162766624 Long ABS-MBS USGSE US N 2 2023-08-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31373HXY7 721966.90000000 PA USD 736246.25000000 0.020680937020 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 3.41000000 N N N N N N ARION BANKI HF RIL4VBPDB0M7Z3KXSF19 Arion Banki HF 000000000 280000000.00000000 PA 2427360.09000000 0.068183819133 Long DBT CORP IS Y 2 2022-09-02 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3DYAC3 IRS NZD R V 03MBBR NDBB3M+0BPS CCP LCH / Short: BEV3DYAC3 IRS NZD P F 2.49000 CCP LCH 000000000 11120000.00000000 OU Notional Amount -722219.54000000 -0.02028693093 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 New Zealand Bank Bills 3 Months MNDBB3 Index Y 2029-02-22 0.00000000 NZD 0.00000000 NZD 11120000.00000000 NZD -722219.54000000 N N N Government of Barbados 529900UD1KUUS4SFD905 Barbados Government International Bond 000000000 2475000.00000000 PA USD 1798582.50000000 0.050521644638 Long DBT NUSS BB Y 2 2022-08-04 Fixed 7.00000000 Y Y N N N N UBS AG BFM8T61CT2L1QCEMIK50 PURCHASED USD / SOLD MYR 000000000 1.00000000 NC -26690.88000000 -0.00074973883 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 18950000.00000000 MYR 4518144.10000000 USD 2019-11-27 -26690.88000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 Egypt Treasury Bills 000000000 531025000.00000000 PA 30528673.31000000 0.857541305026 Long STIV NUSS EG N 2 2020-04-28 None 0.00000000 N N N N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 Sri Lanka Government International Bond 000000000 9710000.00000000 PA USD 9821082.40000000 0.275871268055 Long DBT NUSS LK Y 2 2030-03-28 Fixed 7.55000000 N N N N N N FHLMC-GNMA N/A FHLMC-GNMA 312913WW2 30717.18000000 PA USD 32617.49000000 0.000916215541 Long ABS-MBS USGSE US N 2 2022-12-25 Fixed 8.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -2639745.65000000 -0.07414966600 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 12196846.11000000 USD 56075000.00000000 TRY 2020-02-10 -2639745.65000000 N N N COOF 9447195010 N/A COOF 9447195010 000000000 2492384.49000000 PA USD 324142.18000000 0.009105056915 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.41000000 N N N N N N Ice Futures Europe 549300UF4R84F48NCH34 WTI CRUDE FUTURE MAY20 IFEU 20200420 000000000 638.00000000 NC USD 1004012.31000000 0.028202405582 N/A DCO GB N 1 Ice Futures Europe 549300UF4R84F48NCH34 Long Light Sweet Crude Oil ENK0 Comdty 2020-04-20 33007767.69000000 USD 1004012.31000000 N N N BRASKEM NETHERLANDS N/A Braskem Netherlands Finance BV N15516AE2 2710000.00000000 PA USD 2700298.20000000 0.075850569033 Long DBT CORP NL Y 2 2050-01-31 Fixed 5.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3PCCE2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3PCCE2 IRS USD P F 1.69750 CCP LCH 000000000 2390000.00000000 OU Notional Amount USD 53298.41000000 0.001497136400 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-09-12 0.00000000 USD 0.00000000 USD 2390000.00000000 USD 53298.41000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -3577320.76000000 -0.10048587050 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 16383057.73000000 USD 75000000.00000000 TRY 2020-02-03 -3577320.76000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -538.41000000 -0.00001512377 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 1252500000.00000000 KRW 1071120.61000000 USD 2020-01-08 -538.41000000 N N N BANK OF GEORGIA PROMISSORY BANK OF GEORGIA PROMISSORY N/A BANK OF GEORGIA PROMISSORY BANK OF GEORGIA PROMISSORY 000000000 7363470.82000000 PA 2454124.34000000 0.068935618913 Long STIV CORP GE N 2 2020-05-28 Variable 7.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S&P500 EMINI OPTN Dec19P 2950 000000000 156.00000000 NC USD 234000.00000000 0.006572990032 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S&P 500 EMINI Index Future N/A 7800.00000000 NC N/A 234000.00000000 0.01000000 DE US Long S&P 500 EMINI Index ESZ9 Index 2019-12-20 7800.00000000 USD 50.00000000 2950.00000000 USD 2019-12-20 XXXX -495300.00000000 N N N Hagar hf 635400TICHH43JJTNP54 Hagar hf 000000000 17208433.00000000 NS 5786979.23000000 0.162554516230 Long EC CORP IS N 2 N N N COOF 9131835005 N/A COOF 9131835005 000000000 796514.19000000 PA USD 119346.25000000 0.003352400477 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.66000000 N N N N N N Freddie Mac N/A Freddie Mac Non Gold Pool 3128HDZJ1 14212.19000000 PA USD 14594.92000000 0.000409966938 Long ABS-MBS USGSE US N 2 2029-06-01 Floating 4.05000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3DZ5F9 IRS NZD R V 03MBBR NDBB3M+0BPS CCP LCH / Short: BEV3DZ5F9 IRS NZD P F 2.49750 CCP LCH 000000000 13700000.00000000 OU Notional Amount -895583.82000000 -0.02515668171 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 New Zealand Bank Bills 3 Months MNDBB3 Index Y 2029-02-22 0.00000000 NZD 0.00000000 NZD 13700000.00000000 NZD -895583.82000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 435672.90000000 0.012237921492 N/A DFE EG N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 7288800.23000000 USD 127882000.00000000 EGP 2020-02-10 435672.90000000 N N N COOF 9668685008 N/A COOF 9668685008 000000000 1204694.94000000 PA USD 152508.05000000 0.004283905523 Long ABS-MBS CORP US N 2 2033-09-15 Fixed 3.21000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NPJ99 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NPJ99 IRS USD P F 1.64620 CCP LCH 000000000 1700000.00000000 OU Notional Amount USD 57718.91000000 0.001621306923 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-08-28 0.00000000 USD 0.00000000 USD 1700000.00000000 USD 57718.91000000 N N N COOF 9632055005 N/A COOF 9632055005 000000000 2136935.74000000 PA USD 150693.06000000 0.004232922997 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.91000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -4749.86000000 -0.00013342214 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 50749894.70000000 AED 13779124.84000000 USD 2021-04-08 -4749.86000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BEV3PR9W3 TRS USD R E BCOMF4 TRS / Short: BEV3PR9W3 TRS USD P F .24000 0.24 FIXED 000000000 50400000.00000000 OU Notional Amount USD -27161.49000000 -0.00076295813 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Bloomberg Commodity Index 4 Month Forward BCOMF4 Index Y equity-performance leg 2019-11-20 0.00000000 USD 0.00000000 USD 50400000.00000000 USD -27161.49000000 N N N EGYPT GOVERNMENT BOND 529900GFIVH4086NMH82 Egypt Government Bond 000000000 65015000.00000000 PA 4109314.32000000 0.115429410539 Long DBT NUSS EG N 2 2029-09-10 Fixed 14.40000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 1694.33000000 0.000047593223 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4343286.43000000 USD 3887647.88000000 EUR 2019-12-06 1694.33000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3K1MR1 IRS USD R F 2.53500 CCP LCH / Short: SEV3K1MR1 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 40887000.00000000 OU Notional Amount USD 1857066.28000000 0.052164436531 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-03-28 0.00000000 USD 0.00000000 USD 40887000.00000000 USD 1857066.28000000 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 Ukraine Government Bond 000000000 354530000.00000000 PA 14340440.05000000 0.402818673129 Long DBT NUSS UA N 2 2021-01-20 Fixed 15.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3H9L73 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3H9L73 IRS USD P F 2.91450 CCP LCH 000000000 1883000.00000000 OU Notional Amount USD -140938.37000000 -0.00395891667 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-05-03 0.00000000 USD 0.00000000 USD 1883000.00000000 USD -140938.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GVM2 2721718.73000000 PA USD 3047811.53000000 0.085612114564 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 6.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 Long: BEV12H7V8 CDS USD R V 03MEVENT BNP CROATIA CDS 20200320 / Short: BEV12H7V8 CDS USD P F 1.00000 BNP CROATIA CDS 20200320 000000000 6250000.00000000 OU Notional Amount USD -20293.75000000 -0.00057004536 N/A DCR CR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 CROATIA CROATIA Y buy protection 2020-03-20 39581.44000000 USD 0.00000000 USD 6250000.00000000 USD -59875.19000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC 14339.21000000 0.000402784121 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 77354.42000000 USD 538000.00000000 TRY 2020-02-10 14339.21000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -804222.22000000 -0.02259036169 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 37289000.00000000 EUR 40982102.56000000 USD 2020-01-09 -804222.22000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3LCWW4 IRS CLP R V 00MCLICP CLICP+0BPS / Short: BEV3LCWW4 IRS CLP P F 2.71000 000000000 38498099000.00000000 OU Notional Amount -1419967.29000000 -0.03988645659 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-10 0.00000000 CLP 0.00000000 CLP 38498099000.00000000 CLP -1419967.29000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -117606.22000000 -0.00330352355 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 20315000.00000000 NZD 12928466.00000000 USD 2020-02-03 -117606.22000000 N N N COOF 9641005003 N/A COOF 9641005003 000000000 673830.63000000 PA USD 93627.22000000 0.002629960614 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.46000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M7X76 4511270.00000000 PA USD 5143686.22000000 0.144484607927 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -1269.38000000 -0.00003565650 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 103120.75000000 EUR 113741.16000000 USD 2019-11-01 -1269.38000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381D3W3 37779.75000000 PA USD 40284.38000000 0.001131576188 Long ABS-MBS USGSE US N 2 2025-08-15 Fixed 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2EUMB1 IRS NZD R V 03MNDBB NDBB3M CITI 20270428 / Short: BEV2EUMB1 IRS NZD P F 3.40000 CITI 20270428 000000000 30800000.00000000 OU Notional Amount -3077589.83000000 -0.08644857810 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 New Zealand Bank Bills 3 Months MNDBB3 Index Y 2027-04-28 0.00000000 NZD 0.00000000 NZD 30800000.00000000 NZD -3077589.83000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED AED / SOLD USD 000000000 1.00000000 NC 16527.65000000 0.000464256746 N/A DFE AE N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 29380559.86000000 USD 108000000.00000000 AED 2020-02-10 16527.65000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FUUH6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FUUH6 IRS USD P F 2.36550 CCP LCH 000000000 5290000.00000000 OU Notional Amount USD -198244.23000000 -0.00556862114 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-04-03 0.00000000 USD 0.00000000 USD 5290000.00000000 USD -198244.23000000 N N N Fannie Mae N/A Fannie Mae REMICS 31359BMV6 487178.01000000 PA USD 520169.68000000 0.014611410777 Long ABS-MBS USGSE US N 2 2023-07-25 Fixed 7.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -159594.38000000 -0.00448295841 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 12400803.00000000 EUR 13671017.25000000 USD 2019-11-01 -159594.38000000 N N N COOF 8887125010 N/A COOF 8887125010 000000000 837143.65000000 PA USD 69716.86000000 0.001958325751 Long ABS-MBS CORP US N 2 2027-05-15 Fixed 3.78000000 N N N N N N COOF 2326577000 N/A COOF 2326577000 000000000 2243954.03000000 PA USD 318920.51000000 0.008958381766 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC -11847.27000000 -0.00033278627 N/A DFE UG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 964710.40000000 USD 3654323000.00000000 UGX 2020-03-27 -11847.27000000 N N N Fannie Mae N/A Fannie Mae REMICS 3136B2XJ6 3960014.79000000 PA USD 526027.77000000 0.014775962773 Long ABS-MBS USGSE US N 2 2048-08-25 Fixed 4.00000000 N N N N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 218000000.00000000 PA 1242892.67000000 0.034912483468 Long DBT NUSS LK N 2 2025-08-01 Fixed 11.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BSV3M2ZA0 IRS EUR R F .30250 CCP LCH/BEV3M2ZA0 / Short: BSV3M2ZA0 IRS EUR P V 06MEURIB EUR006M+0 BPS/BEV3M2ZA0 000000000 2800000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2024-07-23 0.00000000 EUR 0.00000000 EUR 2800000.00000000 EUR 0.00000000 N N N COOF 9466195005 N/A COOF 9466195005 000000000 3590500.00000000 PA USD 500825.05000000 0.014068025904 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 3.29000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 775979.43000000 0.021797030166 N/A DFE EG N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 6799778.15000000 USD 122600000.00000000 EGP 2019-11-14 775979.43000000 N N N COOF 9648365009 N/A COOF 9648365009 000000000 2517353.87000000 PA USD 255274.88000000 0.007170595050 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.58000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC 35407.28000000 0.000994579908 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 9346765700.00000000 KRW 8038500.54000000 USD 2020-01-29 35407.28000000 N N N COOF 9334725007 N/A COOF 9334725007 000000000 1474585.50000000 PA USD 157329.94000000 0.004419350972 Long ABS-MBS CORP US N 2 2042-07-15 Fixed 2.41000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Long: BEV16VJC2 CDS USD R V 03MEVENT CITI CROATIA CDS 20200620 / Short: BEV16VJC2 CDS USD P F 1.00000 CITI CROATIA CDS 20200620 000000000 167248.00000000 OU Notional Amount USD -887.42000000 -0.00002492736 N/A DCR CR N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 CROATIA CROATIA Y buy protection 2020-06-20 1532.45000000 USD 0.00000000 USD 167248.00000000 USD -2419.87000000 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 Ukraine Government Bond 000000000 776650000.00000000 PA 32397400.00000000 0.910033278988 Long DBT NUSS UA N 2 2021-03-24 Fixed 18.00000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC 3245.61000000 0.000091168214 N/A DFE KR N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 762849.17000000 USD 891312970.00000000 KRW 2019-11-01 3245.61000000 N N N Deutsche Bank AG/London 7LTWFZYICNSX8D621K86 Deutsche Bank AG/London 25152EDT6 1825000.00000000 PA USD 1614270.90000000 0.045344386904 Long SN CORP DE N 3 2020-07-27 Fixed 9.50000000 N N N N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic International Bond 000000000 2135700000.00000000 PA 40499439.65000000 1.137617150199 Long DBT NUSS DO Y 2 2023-02-15 Fixed 8.90000000 N N N N N N COOF 9703695007 N/A COOF 9703695007 000000000 1614331.19000000 PA USD 207760.14000000 0.005835920211 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 3.16000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: B92RGU9D2 CDS USD R V 03MEVENT CCP ICE 7FB37H/XS0114288789 / Short: B92RGU9D2 CDS USD P F 1.00000 CCP ICE 000000000 103173000.00000000 OU Notional Amount USD -1191235.46000000 -0.03346144788 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Russian Foreign Bond - Eurobond Russian Foreign Bond - Eurobond Y buy protection 2024-12-20 0.00000000 USD -903037.06000000 USD 103173000.00000000 USD -288198.40000000 N N N COOF 9541525009 N/A COOF 9541525009 000000000 459405.02000000 PA USD 30150.97000000 0.000846931731 Long ABS-MBS CORP US N 2 2027-07-15 Fixed 2.96000000 N N N N N N Iceland Rikisbref 254900IPCJWRC6XAJN15 Iceland Rikisbref 000000000 1165417327.00000000 PA 11677701.84000000 0.328023152984 Long DBT NUSS IS N 2 2025-06-12 Fixed 8.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BSV3NLB96 IRS EUR R F .44780 - VE FIXED CCP LCH/BEV3NLB96 / Short: BSV3NLB96 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3NLB96 000000000 2500000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2024-08-26 0.00000000 EUR 0.00000000 EUR 2500000.00000000 EUR -2.65000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED NZD / SOLD USD 000000000 1.00000000 NC 285953.67000000 0.008032353088 N/A DFE NZ N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 20261689.80000000 USD 32010000.00000000 NZD 2020-01-09 285953.67000000 N N N Republic of El Salvador 529900AKDMUSFSDOM949 El Salvador Government International Bond 000000000 3216000.00000000 PA USD 3513512.16000000 0.098693506013 Long DBT NUSS SV Y 2 2035-06-15 Fixed 7.65000000 N N N N N N Titulo de Propriedad N/A Titulo de Propriedad 000000000 1682012723.20000000 PA 2389244.76000000 0.067113170910 Long DBT NUSS CR N 2 2022-01-12 Fixed 1.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -67415.75000000 -0.00189368825 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7445000.00000000 NZD 4705947.28000000 USD 2019-11-04 -67415.75000000 N N N EGYPT TREASURY BILL 529900GFIVH4086NMH82 Egypt Treasury Bills 000000000 128750000.00000000 PA 7583268.67000000 0.213011749498 Long STIV NUSS EG N 2 2020-03-10 None 0.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC 17823.81000000 0.000500665493 N/A DFE KR N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 455329.97000000 USD 551268000.00000000 KRW 2019-11-12 17823.81000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC 11450.27000000 0.000321634660 N/A DFE KR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 288088.99000000 USD 348991000.00000000 KRW 2019-11-12 11450.27000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV2DT6V9 IRS JPY R V 06MJIBOR 1 CCP IRS / Short: BEV2DT6V9 IRS JPY P F .85300 2 CCP IRS 000000000 914788000.00000000 OU Notional Amount -1370274.33000000 -0.03849059620 N/A DIR JP N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 ICE Libor Japan 6 Months JPY0006M Index Y 2047-06-19 0.00000000 JPY 0.00000000 JPY 914788000.00000000 JPY -1370274.33000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RJK6 64741.13000000 PA USD 69151.63000000 0.001942448609 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 9.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 82991.24000000 0.002331199116 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 13901000.00000000 NZD 8997691.93000000 USD 2019-11-18 82991.24000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV0GJNW1 CDS USD R V 03MEVENT GLD QATAR CDS 20231220 / Short: BEV0GJNW1 CDS USD P F 1.00000 GLD QATAR CDS 20231220 000000000 3700000.00000000 OU Notional Amount USD -98305.30000000 -0.00276136648 N/A DCR QA N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Qatar Government International Bond Qatar Government International Bond Y buy protection 2023-12-20 5228.95000000 USD 0.00000000 USD 3700000.00000000 USD -103534.25000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3N9BB8 IRS USD R F 1.65500 CCP LCH / Short: SEV3N9BB8 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 23596000.00000000 OU Notional Amount USD -541475.58000000 -0.01520988713 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-07 0.00000000 USD 0.00000000 USD 23596000.00000000 USD -541475.58000000 N N N BANK OF GEORGIA PROMISSORY NO BANK OF GEORGIA PROMISSORY NO N/A BANK OF GEORGIA PROMISSORY NO BANK OF GEORGIA PROMISSORY NO 000000000 1309302.25000000 PA 435848.04000000 0.012242841122 Long STIV CORP GE N 2 2020-06-10 Variable 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FSZX1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FSZX1 IRS USD P F 2.73000 CCP LCH 000000000 10054000.00000000 OU Notional Amount USD -1157530.89000000 -0.03251469659 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-04-04 0.00000000 USD 0.00000000 USD 10054000.00000000 USD -1157530.89000000 N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY 000000000 2301860.86000000 PA 767474.50000000 0.021558129225 Long STIV CORP GE N 2 2020-05-18 Variable 7.40000000 N N N N N N SSI Securities Corp 213800IF2RICE613K743 SSI Securities Corp 000000000 668470.00000000 NS 613321.68000000 0.017228022604 Long EC CORP VN N 2 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED SEK / SOLD USD 000000000 1.00000000 NC -272444.99000000 -0.00765289830 N/A DFE SE N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 16025824.81000000 USD 152037000.00000000 SEK 2019-11-13 -272444.99000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3JZ7Z7 IRS CNY R F 2.90250 CCP LCH / Short: SEV3JZ7Z7 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 90742000.00000000 OU Notional Amount -105693.78000000 -0.00296890667 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-06 0.00000000 CNY 0.00000000 CNY 90742000.00000000 CNY -105693.78000000 N N N COOF 1856837009 N/A COOF 1856837009 000000000 2052222.76000000 PA USD 193771.03000000 0.005442970294 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.41000000 N N N N N N EGYPT GOVERNMENT BOND 529900GFIVH4086NMH82 Egypt Government Bond 000000000 137650000.00000000 PA 9505410.17000000 0.267004129502 Long DBT NUSS EG N 2 2029-05-07 Fixed 16.10000000 N N N N N N Republic of El Salvador 529900AKDMUSFSDOM949 El Salvador Government International Bond 000000000 25604000.00000000 PA USD 30437011.04000000 0.854966539269 Long DBT NUSS SV Y 2 2029-02-28 Fixed 8.63000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 6163.74000000 0.000173137613 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 6632697.00000000 NZD 4260319.24000000 USD 2019-11-25 6163.74000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BEV1657M0 CDS USD R V 03MEVENT GOLD CROATIA CDS 20200620 / Short: BEV1657M0 CDS USD P F 1.00000 GOLD CROATIA CDS 20200620 000000000 1700000.00000000 OU Notional Amount USD -9020.20000000 -0.00025337472 N/A DCR HR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CROATIA CROATIA Y buy protection 2020-06-20 16005.67000000 USD 0.00000000 USD 1700000.00000000 USD -25025.87000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3H8PP1 IRS CNY R F 3.21500 CCP LCH / Short: SEV3H8PP1 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 147945000.00000000 OU Notional Amount 113973.00000000 0.003201467491 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-19 0.00000000 CNY 0.00000000 CNY 147945000.00000000 CNY 113973.00000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -171559.06000000 -0.00481904269 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 171309000.00000000 AED 46457937.84000000 USD 2020-02-10 -171559.06000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Long: BEV14PVS8 CDS USD R V 03MLIBOR BARC CROTIA CDS 20200320 / Short: BEV14PVS8 CDS USD P F 1.00000 BARC CROTIA CDS 20200320 000000000 9040000.00000000 OU Notional Amount USD -29352.88000000 -0.00082451362 N/A DCR CR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 CROATIA CROATIA Y buy protection 2020-03-20 49961.89000000 USD 0.00000000 USD 9040000.00000000 USD -79314.77000000 N N N Republic of El Salvador 529900AKDMUSFSDOM949 El Salvador Government International Bond 000000000 16930000.00000000 PA USD 16951331.80000000 0.476157841714 Long DBT NUSS SV Y 2 2019-12-01 Fixed 7.38000000 N N N N N N Republic of Serbia 254900W94OCY91V32O78 Serbia Treasury Bonds 000000000 7189920000.00000000 PA 80544852.68000000 2.262480828400 Long DBT NUSS RS N 2 2028-02-08 Fixed 5.88000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BEV1SRAX0 CDS USD R V 03MEVENT GOLD QATAR CDS 20201220 / Short: BEV1SRAX0 CDS USD P F 1.00000 GOLD QATAR CDS 20201220 000000000 9740000.00000000 OU Notional Amount USD -99786.30000000 -0.00280296733 N/A DCR QA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CROATIA CROATIA Y buy protection 2020-12-20 35572.65000000 USD 0.00000000 USD 9740000.00000000 USD -135358.95000000 N N N Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Long: BEV0UYZ41 CDS USD R V 00MEVENT NOM QATAR CDS 20240920 / Short: BEV0UYZ41 CDS USD P F 1.00000 NOM QATAR CDS 20240920 000000000 9620000.00000000 OU Notional Amount USD -257912.20000000 -0.00724467658 N/A DCR QA N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Qatar Government International Bond Qatar Government International Bond Y buy protection 2024-09-20 0.00000000 USD -16114.84000000 USD 9620000.00000000 USD -241797.36000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 8342.24000000 0.000234331027 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 3782910.09000000 USD 3380495.86000000 EUR 2020-01-22 8342.24000000 N N N COOF 2045537003 N/A COOF 2045537003 000000000 1902274.71000000 PA USD 148069.48000000 0.004159227419 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 1.91000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV36LSG1 IRS SGD R F 2.44500 CCP LCH / Short: SEV36LSG1 IRS SGD P V 06MSOR SORF6M+0BPS CCP LCH 000000000 71000000.00000000 OU Notional Amount 1938534.07000000 0.054452842393 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2023-10-22 0.00000000 SGD 0.00000000 SGD 71000000.00000000 SGD 1938534.07000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -17964.56000000 -0.00050461911 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7985000.00000000 GHS 1302248.97000000 USD 2020-07-02 -17964.56000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 18153.54000000 0.000509927510 N/A DFE UG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 390708.61000000 USD 1574165000.00000000 UGX 2020-04-14 18153.54000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -60492.00000000 -0.00169920219 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 12400803.00000000 EUR 13835079.87000000 USD 2020-01-08 -60492.00000000 N N N Republic of Rwanda 213800AKFASSQE52AZ88 Rwanda International Government Bond 000000000 11193000.00000000 PA USD 11928268.17000000 0.335061486273 Long DBT NUSS RW N 2 2023-05-02 Fixed 6.63000000 N N N N N N Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Long: BRSJ3WP73 CDS USD R V 03MEVENT NOMURA S.AFRICA CDS 20221220 / Short: BRSJ3WP73 CDS USD P F 1.00000 NOMURA S.AFRICA CDS 20221220 000000000 7068000.00000000 OU Notional Amount USD 63194.99000000 0.001775128373 N/A DCR ZA N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-12-20 211824.97000000 USD 0.00000000 USD 7068000.00000000 USD -148629.98000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 116150.29000000 0.003262626916 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 9200000.00000000 EUR 10404142.00000000 USD 2019-12-13 116150.29000000 N N N HSBC Bank plc MP6I5ZYZBEU3UXPYFY54 Long: BEV3PUAK0 CDS USD R F 1.00000 BILATERAL/49ACF8 / Short: BEV3PUAK0 CDS USD P V 03MEVENT BILATERAL/49ACF8 000000000 34050000.00000000 OU Notional Amount USD 389429.85000000 0.010938968044 N/A DCR US N 2 HSBC Bank plc MP6I5ZYZBEU3UXPYFY54 Indonesia Government International Bond Indonesia Government International Bond Y sell protection 2024-12-20 204678.84000000 USD 0.00000000 USD 34050000.00000000 USD 184751.01000000 N N N Wow Air hf 549300LW49V05P8Z2H93 Wow Air hf 000000000 3600000.00000000 PA 401548.04000000 0.011279364378 Long DBT CORP IS N 2 2023-09-24 Floating 9.00000000 Y N N N N N PAKISTAN T BILL BEV3RCG71 N/A PAKISTAN T BILL BEV3RCG71 000000000 1195000000.00000000 PA 7474991.96000000 0.209970289090 Long STIV NUSS PK N 2 2020-01-16 Variable 1.00000000 N N N N N N REPUBLIC OF EL SALVADOR 529900AKDMUSFSDOM949 El Salvador Government International Bond 000000000 13474000.00000000 PA USD 13719900.50000000 0.385387902714 Long DBT NUSS SV N 2 2050-01-20 Fixed 7.12000000 N N N N N N Republic of Serbia 254900W94OCY91V32O78 Serbia Treasury Bonds 000000000 18371480000.00000000 PA 196045379.80000000 5.506856099870 Long DBT NUSS RS N 2 2023-07-21 Fixed 5.75000000 N N N N N N Vietnam Prosperity JSC Bank 254900A0PM1YPJVDW880 Vietnam Prosperity JSC Bank 000000000 2180305.00000000 NS 2016627.36000000 0.056646459559 Long EC CORP VN N 2 N N N COOF 8430145005 N/A COOF 8430145005 000000000 882910.68000000 PA USD 77550.35000000 0.002178366143 Long ABS-MBS CORP US N 2 2036-06-15 Fixed 2.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202BMR3 13756.08000000 PA USD 14734.79000000 0.000413895845 Long ABS-MBS USGA US N 2 2023-07-20 Fixed 8.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BSV3MT0U5 IRS EUR R F .05000 CCP LCH/BEV3MT0U5 / Short: BSV3MT0U5 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3MT0U5 000000000 6420700.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2029-08-06 0.00000000 EUR 0.00000000 EUR 6420700.00000000 EUR -6.24000000 N N N COOF 8641855006 N/A COOF 8641855006 000000000 2035248.30000000 PA USD 283183.31000000 0.007954534504 Long ABS-MBS CORP US N 2 2042-01-15 Fixed 3.78000000 N N N N N N COOF 9027485007 N/A COOF 9027485007 000000000 1151523.28000000 PA USD 117729.11000000 0.003306975498 Long ABS-MBS CORP US N 2 2041-12-15 Fixed 2.41000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 PURCHASED USD / SOLD MYR 000000000 1.00000000 NC -58384.57000000 -0.00164000511 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 26693000.00000000 MYR 6347164.43000000 USD 2019-12-18 -58384.57000000 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 Ukraine Government Bond 000000000 1148193000.00000000 PA 40469086.16000000 1.136764529741 Long DBT NUSS UA N 2 2023-08-23 Fixed 10.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC 9509.76000000 0.000267126314 N/A DFE TR N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 54154.43000000 USD 373541.04000000 TRY 2020-02-10 9509.76000000 N N N Freddie Mac N/A Freddie Mac Non Gold Pool 31290K3N7 777.35000000 PA USD 790.38000000 0.000022201537 Long ABS-MBS USGSE US N 2 2020-12-01 Fixed 10.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NX2E9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NX2E9 IRS USD P F 1.58050 CCP LCH 000000000 300000.00000000 OU Notional Amount USD 14822.56000000 0.000416361278 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-09-03 0.00000000 USD 0.00000000 USD 300000.00000000 USD 14822.56000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PJK2 136924.80000000 PA USD 148979.84000000 0.004184799159 Long ABS-MBS USGSE US N 2 2026-06-17 Fixed 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3N9C92 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3N9C92 IRS USD P F 1.41750 CCP LCH 000000000 16365000.00000000 OU Notional Amount USD 263828.18000000 0.007410854690 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-08-19 0.00000000 USD 0.00000000 USD 16365000.00000000 USD 263828.18000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV27VS13 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV27VS13 IRS HUF P F 2.14460 2 CCP IRS 000000000 3277496000.00000000 OU Notional Amount -918061.58000000 -0.02578807527 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-11-10 0.00000000 HUF 0.00000000 HUF 3277496000.00000000 HUF -918061.58000000 N N N Freddie Mac N/A Freddie Mac Non Gold Pool 31300LA96 1131592.68000000 PA USD 1192912.33000000 0.033508550661 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV38VUA7 IRS SGD R F 2.07500 CCP LCH / Short: SEV38VUA7 IRS SGD P V 06MSIBOR SORF6M+0BPS CCO LCH 000000000 50640000.00000000 OU Notional Amount 878170.82000000 0.024667555755 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2023-12-13 0.00000000 SGD 0.00000000 SGD 50640000.00000000 SGD 878170.82000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED HUF / SOLD EUR 000000000 1.00000000 NC N/A 244510.11000000 0.006868215879 N/A DFE HU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 13971138.09000000 EUR 4663356326.00000000 HUF 2019-11-12 244510.11000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -39708.66000000 -0.00111540438 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 16091000.00000000 EUR 18006472.64000000 USD 2020-01-22 -39708.66000000 N N N COOF 2319337000 N/A COOF 2319337000 000000000 1471238.59000000 PA USD 136140.35000000 0.003824141724 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.16000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -724088.47000000 -0.02033942861 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 33573475.43000000 EUR 36898592.44000000 USD 2020-01-09 -724088.47000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3P6404 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3P6404 IRS USD P F 1.47420 CCP LCH 000000000 4575000.00000000 OU Notional Amount USD 51716.85000000 0.001452710852 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-09-09 0.00000000 USD 0.00000000 USD 4575000.00000000 USD 51716.85000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2L7SE2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2L7SE2 IRS USD P F 1.84125 CCP LCH 000000000 16017000.00000000 OU Notional Amount USD -145208.04000000 -0.00407885042 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2022-09-15 0.00000000 USD 0.00000000 USD 16017000.00000000 USD -145208.04000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202BSS5 21256.28000000 PA USD 22807.79000000 0.000640664001 Long ABS-MBS USGA US N 2 2023-10-20 Fixed 7.50000000 N N N N N N NEW ZEALAND GVT ILB 549300237GPHG2AI7C34 New Zealand Government Inflation Linked Bond 000000000 66111853.15000000 PA 55215393.29000000 1.550983887791 Long DBT NUSS NZ Y 2 2030-09-20 Fixed 3.00000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD INR 000000000 1.00000000 NC 8299.02000000 0.000233116990 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 551700000.00000000 INR 7760770.76000000 USD 2019-11-22 8299.02000000 N N N COOF 9576235005 N/A COOF 9576235005 000000000 1112047.13000000 PA USD 162343.19000000 0.004560171665 Long ABS-MBS CORP US N 2 2042-10-15 Fixed 3.71000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BEV3G0M07 SWAPTION APR29 2.800 PUT 000000000 19447000.00000000 NC USD 1143566.64000000 0.032122444984 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 19447000.00000000 OU Notional Amount N/A 1143566.64000000 0.03000000 DIR US ICE Libor USD 3 Months US0003M Index 2049-04-09 0.00000000 N/A 0.00000000 N/A 19447000.00000000 USD 1.00000000 2.80000000 USD 2029-04-05 XXXX -1003382.16000000 N N N Fannie Mae N/A Fannie Mae REMICS 313920CC2 2281584.90000000 PA USD 2546471.20000000 0.071529614598 Long ABS-MBS USGSE US N 2 2031-07-25 Fixed 6.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED USD / SOLD CNH 000000000 1.00000000 NC -38246.84000000 -0.00107434229 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 37000000.00000000 CNY 5200134.92000000 USD 2020-01-21 -38246.84000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED USD / SOLD MYR 000000000 1.00000000 NC -43799.82000000 -0.00123032384 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 19041000.00000000 MYR 4525490.20000000 USD 2019-12-18 -43799.82000000 N N N COOF 9631225006 N/A COOF 9631225006 000000000 125083.12000000 PA USD 19810.89000000 0.000556481976 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2M0HD0 IRS EUR R F 1.84670 CCP LCH / Short: SEV2M0HD0 IRS EUR P V 00MCPTFE CPTFEMU+0BPS INFLATION CCP LCH 000000000 13427000.00000000 OU Notional Amount 2596344.10000000 0.072930529446 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euro-stat Eurozone HICP ex Tobacco NSA CPTFEMU Index Y 2042-10-15 0.00000000 EUR 0.00000000 EUR 13427000.00000000 EUR 2596344.10000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MUUQ8 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3MUUQ8 IRS USD P F 1.86500 CCP LCH 000000000 7887000.00000000 OU Notional Amount USD -138988.18000000 -0.00390413641 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-08-07 0.00000000 USD 0.00000000 USD 7887000.00000000 USD -138988.18000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3K5SA3 IRS CNY R F 2.93830 CCP LCH / Short: SEV3K5SA3 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 231000000.00000000 OU Notional Amount -220825.08000000 -0.00620291046 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-12 0.00000000 CNY 0.00000000 CNY 231000000.00000000 CNY -220825.08000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -3938322.00000000 -0.11062628739 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 18214736.84000000 USD 83851541.04000000 TRY 2020-02-14 -3938322.00000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3NH7R0 IRS CLP R F .00000 -VE FIXED / Short: BEV3NH7R0 IRS CLP P V 06MCLICP CLICP+0BPS+1D COMPOUNDING 000000000 6200509265.50000000 OU Notional Amount -6333.36000000 -0.00017790218 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-08-22 0.00000000 CLP 0.00000000 CLP 6200509265.50000000 CLP -6333.36000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED INR / SOLD USD 000000000 1.00000000 NC -11105.68000000 -0.00031195523 N/A DFE IN N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 5478358.31000000 USD 391100000.00000000 INR 2019-12-30 -11105.68000000 N N N COOF 8667815003 N/A COOF 8667815003 000000000 824550.74000000 PA USD 55609.29000000 0.001562048328 Long ABS-MBS CORP US N 2 2032-08-15 Fixed 2.03000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3LCX52 IRS CLP R F .03350 CLF CURRENCY / Short: BEV3LCX52 IRS CLP P V 00MCLICP CLICP+0BPS 000000000 36252622424.12000000 OU Notional Amount 1247538.00000000 0.035042969398 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-10 0.00000000 CLP 0.00000000 CLP 36252622424.12000000 CLP 1247538.00000000 N N N Republic of El Salvador 529900AKDMUSFSDOM949 El Salvador Government International Bond 000000000 12746000.00000000 PA USD 13972929.96000000 0.392495424588 Long DBT NUSS SV Y 2 2023-01-24 Fixed 7.75000000 N N N N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 106000000.00000000 PA 591773.69000000 0.016622746008 Long DBT NUSS LK N 2 2023-03-15 Fixed 10.00000000 N N N N N N COOF 2160437003 N/A COOF 2160437003 000000000 573735.76000000 PA USD 52100.57000000 0.001463489432 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N COOF 8397915008 N/A COOF 8397915008 000000000 633713.58000000 PA USD 56092.49000000 0.001575621272 Long ABS-MBS CORP US N 2 2036-11-15 Fixed 2.63000000 N N N N N N Fannie Mae - CAS N/A Fannie Mae Connecticut Avenue Securities 30711XYX6 5000000.00000000 PA USD 5049619.50000000 0.141842301889 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 4.07000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 371892.85000000 0.010446358958 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 31856720.59000000 USD 28896819.38000000 EUR 2019-11-01 371892.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BUU0 1319357.21000000 PA USD 1536333.68000000 0.043155153698 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 8.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3KUYD5 IRS CLP R V 00MCLOIS CLICP+0BPS / Short: BEV3KUYD5 IRS CLP P F 2.72000 000000000 25665399000.00000000 OU Notional Amount -972291.90000000 -0.02731138875 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-06-27 0.00000000 CLP 0.00000000 CLP 25665399000.00000000 CLP -972291.90000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3H8NL2 IRS CNY R F 3.18250 CCP LCH / Short: SEV3H8NL2 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 163300000.00000000 OU Notional Amount 86937.04000000 0.002442035458 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-04-30 0.00000000 CNY 0.00000000 CNY 163300000.00000000 CNY 86937.04000000 N N N COOF 1788507001 N/A COOF 1788507001 000000000 913690.92000000 PA USD 64447.82000000 0.001810319993 Long ABS-MBS CORP US N 2 2028-02-15 Fixed 2.96000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31397UBN8 3901841.28000000 PA USD 5057351.68000000 0.142059496513 Long ABS-MBS USGSE US N 2 2041-05-25 Floating 8.03000000 N N N N N N Fannie Mae - CAS N/A Fannie Mae Connecticut Avenue Securities 30711XUV4 3942383.00000000 PA USD 3959925.42000000 0.111233121007 Long ABS-MBS USGSE US N 2 2030-05-28 Floating 4.22000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -239222.93000000 -0.00671970057 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 11091938.89000000 EUR 12190484.52000000 USD 2020-01-09 -239222.93000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 112400000.00000000 PA 4597545.05000000 0.129143665761 Long DBT NUSS TH N 2 2046-06-17 Fixed 2.88000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -4245.86000000 -0.00011926493 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 25380000.00000000 AED 6889063.81000000 USD 2021-04-08 -4245.86000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -16734.03000000 -0.00047005389 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3039000.00000000 GHS 494041.91000000 USD 2020-05-29 -16734.03000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED AED / SOLD USD 000000000 1.00000000 NC 6655.31000000 0.000186945667 N/A DFE AE N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 13875663.18000000 USD 51000000.00000000 AED 2020-02-03 6655.31000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD TRY 000000000 1.00000000 NC 2197146.98000000 0.061717201708 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 84595000.00000000 TRY 16600141.82000000 USD 2020-02-14 2197146.98000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 2885.00000000 0.000081038787 N/A DFE XX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1721916.32000000 USD 1543256.59000000 EUR 2019-12-06 2885.00000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 Egypt Government International Bond 000000000 38240000.00000000 PA 44445651.45000000 1.248465059721 Long DBT NUSS EG Y 2 2031-04-11 Fixed 6.38000000 N N N N N N COOF 2133857005 N/A COOF 2133857005 000000000 921228.10000000 PA USD 55906.99000000 0.001570410632 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 2.46000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -16265.02000000 -0.00045687954 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 34887000.00000000 THB 1139613.89000000 USD 2019-12-16 -16265.02000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -29467.06000000 -0.00082772090 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 225892400.00000000 AED 61323813.66000000 USD 2021-04-08 -29467.06000000 N N N The Republic of Benin N/A Benin Government International Bond 000000000 31650000.00000000 PA 36446460.04000000 1.023770164819 Long DBT NUSS BJ Y 2 2026-03-26 Fixed 5.75000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BEV3PRA27 TRS USD R E BCOMF6 TRS / Short: BEV3PRA27 TRS USD P F .26000 0.26 FIXED 000000000 39600000.00000000 OU Notional Amount USD 108032.36000000 0.003034596690 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Bloomberg Commodity Index 6 Month Forward BCOMF6 Index Y equity-performance leg 2019-11-20 0.00000000 USD 0.00000000 USD 39600000.00000000 USD 108032.36000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3PHKU6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3PHKU6 IRS USD P F 1.63770 CCP LCH 000000000 7194000.00000000 OU Notional Amount USD -25183.46000000 -0.00070739586 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-09-16 0.00000000 USD 0.00000000 USD 7194000.00000000 USD -25183.46000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3MC3V7 IRS CLP R F .23500 -VE FIXED / Short: BEV3MC3V7 IRS CLP P V 00MCLICP CLICP+0BPS+1D COMPOUNDING 000000000 19176018167.00000000 OU Notional Amount 327018.85000000 0.009185861715 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-26 0.00000000 CLP 0.00000000 CLP 19176018167.00000000 CLP 327018.85000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -466.06000000 -0.00001309148 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1069364.85000000 EUR 1194696.12000000 USD 2019-12-06 -466.06000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV3PNSE1 CDS USD R V 03MEVENT CCP ICE 5B6994 / Short: BEV3PNSE1 CDS USD P F 1.00000 5B6994 000000000 184080000.00000000 OU Notional Amount USD -5083921.44000000 -0.14280583312 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Penerbangan Malaysia Bhd Penerbangan Malaysia Bhd Y buy protection 2024-12-20 0.00000000 USD -4640305.56000000 USD 184080000.00000000 USD -443615.88000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: S92RGBAS9 CDS USD R F 1.00000 CCP ICE / Short: S92RGBAS9 CDS USD P V 03MEVENT CCP ICE/49ACF8 000000000 48625000.00000000 OU Notional Amount USD 556124.13000000 0.015621360527 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Indonesia Government International Bond Indonesia Government International Bond Y sell protection 2024-12-20 284063.83000000 USD 0.00000000 USD 48625000.00000000 USD 272060.30000000 N N N Viet Capital Securities JSC 254900HKR2EAQLPDRS52 Viet Capital Securities JSC 000000000 448200.00000000 NS 674397.67000000 0.018943628901 Long EC CORP VN N 2 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -38649.97000000 -0.00108566610 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 15523645119.00000000 KRW 13253346.81000000 USD 2020-01-29 -38649.97000000 N N N Republic of Angola 549300QHR2R3J8JSGK83 Angolan Government International Bond 000000000 5770000.00000000 PA USD 6041391.95000000 0.169700893464 Long DBT NUSS AO N 2 2028-05-09 Fixed 8.25000000 N N N N N N Bank of Georgia JSC 549300RPLD8RXL49Z691 Bank of Georgia Promissory Note 000000000 3235123.73000000 PA 1081180.98000000 0.030370050448 Long STIV CORP GE N 2 2020-04-24 Variable 7.45000000 N N N N N N Arion Banki HF RIL4VBPDB0M7Z3KXSF19 Arion Banki HF 000000000 1240000000.00000000 PA 10914964.06000000 0.306598076807 Long DBT CORP IS Y 2 2024-04-12 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3R4HY9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3R4HY9 IRS USD P F 1.66920 CCP LCH 000000000 682000.00000000 OU Notional Amount USD -4347.02000000 -0.00012210649 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-10-22 0.00000000 USD 0.00000000 USD 682000.00000000 USD -4347.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402DJ50 1268.74000000 PA USD 1339.80000000 0.000037634581 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 9.50000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -126918.16000000 -0.00356509316 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 129626500.00000000 AED 35157716.30000000 USD 2020-02-03 -126918.16000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 Egypt Government International Bond 000000000 9369000.00000000 PA 10842228.28000000 0.304554950495 Long DBT NUSS EG Y 2 2025-04-11 Fixed 4.75000000 N N N N N N Bank for Investment and Development of Vietnam JSC 254900FSO240QVE6NR86 Bank for Investment and Development of Vietnam JSC 000000000 468816.00000000 NS 818127.56000000 0.022980958535 Long EC CORP VN N 2 N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY NOT N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY NOT 000000000 1184972.60000000 PA 394239.34000000 0.011074065180 Long STIV CORP GE N 2 2020-06-16 Variable 7.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV2448U4 IRS PLN R F 2.22000 2 CCP IRS / Short: SEV2448U4 IRS PLN P V 06MWIBR6 1 CCP IRS 000000000 35503000.00000000 OU Notional Amount 265864.70000000 0.007468059927 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-08-01 0.00000000 PLN 0.00000000 PLN 35503000.00000000 PLN 265864.70000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -6305.94000000 -0.00017713196 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 2194000.00000000 NZD 1400531.12000000 USD 2019-11-12 -6305.94000000 N N N COOF 1533797005 N/A COOF 1533797005 000000000 281794.01000000 PA USD 35689.50000000 0.001002507383 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.96000000 N N N N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 1991100000.00000000 PA 11023081.88000000 0.309635074043 Long DBT NUSS LK N 2 2025-03-15 Fixed 10.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810EH7 1500000.00000000 PA USD 1618798.83000000 0.045471575104 Long DBT UST US N 2 2021-02-15 Fixed 7.88000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359H6F6 121878.79000000 PA USD 134288.77000000 0.003772131396 Long ABS-MBS USGSE US N 2 2024-07-25 Fixed 8.00000000 N N N N N N COOF 9627335001 N/A COOF 9627335001 000000000 1163734.27000000 PA USD 146692.32000000 0.004120543406 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.96000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -32800.05000000 -0.00092134359 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 11412000.00000000 NZD 7284804.55000000 USD 2019-11-12 -32800.05000000 N N N COOF 9642635006 N/A COOF 9642635006 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.21000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 1040903.19000000 0.029238659370 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 59084337.02000000 EUR 67304445.41000000 USD 2020-01-22 1040903.19000000 N N N COOF 2191127007 N/A COOF 2191127007 000000000 201937.51000000 PA USD 26539.01000000 0.000745472855 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225AH78 1726.29000000 PA USD 1758.37000000 0.000049392087 Long ABS-MBS USGA US N 2 2021-11-15 Fixed 9.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2M0HA6 IRS EUR R V 00MCPTFE CPTFEMU+0BPS INFLATION CCP LCH / Short: BEV2M0HA6 IRS EUR P F 1.63750 CCP LCH 000000000 13427000.00000000 OU Notional Amount -1241356.42000000 -0.03486933066 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euro-stat Eurozone HICP ex Tobacco NSA CPTFEMU Index Y 2032-10-15 0.00000000 EUR 0.00000000 EUR 13427000.00000000 EUR -1241356.42000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV261PQ8 IRS PLN R F 2.46000 2 CCP IRS / Short: SEV261PQ8 IRS PLN P V 06MWIB6M 1 CCP IRS 000000000 20724000.00000000 OU Notional Amount 244831.07000000 0.006877231550 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-10-19 0.00000000 PLN 0.00000000 PLN 20724000.00000000 PLN 244831.07000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BTS7 3255.53000000 PA USD 3321.81000000 0.000093308649 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 7.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 313399C47 383283.28000000 PA USD 438813.96000000 0.012326152928 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 6.50000000 N N N N N N Iceland Rikisbref 254900IPCJWRC6XAJN15 Iceland Rikisbref 000000000 3916153467.00000000 PA 40741215.41000000 1.144408559005 Long DBT NUSS IS N 2 2031-01-24 Fixed 6.50000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 392787.60000000 0.011033286238 N/A DFE EG N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 2958115.18000000 USD 56500000.00000000 EGP 2020-04-21 392787.60000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3JZ7S3 IRS CNY R F 2.90250 CCP LCH / Short: SEV3JZ7S3 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 29590000.00000000 OU Notional Amount -34465.62000000 -0.00096812896 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-06 0.00000000 CNY 0.00000000 CNY 29590000.00000000 CNY -34465.62000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 18618.90000000 0.000522999333 N/A DFE UG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 989391.07000000 USD 3964490000.00000000 UGX 2020-06-26 18618.90000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 895986.94000000 0.025168005239 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 111047449.77000000 EUR 125344253.69000000 USD 2020-01-10 895986.94000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 Long: BEV14N4A2 CDS USD R V 03MEVENT BNP CROATIA CDS 20200320 / Short: BEV14N4A2 CDS USD P F 1.00000 BNP CROATIA CDS 20200320 000000000 2760000.00000000 OU Notional Amount USD -8961.72000000 -0.00025173203 N/A DCR CR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 CROATIA CROATIA Y buy protection 2020-03-20 15063.21000000 USD 0.00000000 USD 2760000.00000000 USD -24024.93000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Long: BEV3N7WL7 IRS CLP R V 06MCLICP CLICP+0BPS 1D COMPOUNDING / Short: BEV3N7WL7 IRS CLP P F 2.13000 000000000 15052150000.00000000 OU Notional Amount 34792.68000000 0.000977315977 N/A DIR CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-08-19 0.00000000 CLP 0.00000000 CLP 15052150000.00000000 CLP 34792.68000000 N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 Nigeria Treasury Bill 000000000 2770496000.00000000 PA 7364739.35000000 0.206873326241 Long STIV NUSS NG N 2 2020-02-27 None 0.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV2DT5N8 IRS JPY R V 06MJIBOR 1 CCP IRS / Short: BEV2DT5N8 IRS JPY P F .85600 2 CCP IRS 000000000 425700000.00000000 OU Notional Amount -640866.93000000 -0.01800176044 N/A DIR JP N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 ICE Libor Japan 6 Months JPY0006M Index Y 2047-06-19 0.00000000 JPY 0.00000000 JPY 425700000.00000000 JPY -640866.93000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PJJ5 53101.62000000 PA USD 54889.20000000 0.001541821215 Long ABS-MBS USGSE US N 2 2025-10-17 Fixed 8.50000000 N N N N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 96000000.00000000 PA 559156.12000000 0.015706528219 Long DBT NUSS LK N 2 2023-05-15 Fixed 11.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV27BZR2 IRS PLN R F 2.54000 2 CCP IRS / Short: SEV27BZR2 IRS PLN P V 06MWIBR6 1 CCP IRS 000000000 17423000.00000000 OU Notional Amount 231126.03000000 0.006492261074 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-11-07 0.00000000 PLN 0.00000000 PLN 17423000.00000000 PLN 231126.03000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MAE88 7714128.41000000 PA USD 8792395.01000000 0.246975746853 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 7.00000000 N N N N N N COOF 2235657005 N/A COOF 2235657005 000000000 2151799.59000000 PA USD 181496.77000000 0.005098190000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.16000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED BRL / SOLD USD 000000000 1.00000000 NC 2023995.25000000 0.056853421386 N/A DFE BR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 52555732.96000000 USD 218892000.00000000 BRL 2019-11-04 2023995.25000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MUUW5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3MUUW5 IRS USD P F 1.86500 CCP LCH 000000000 23662000.00000000 OU Notional Amount USD -416982.18000000 -0.01171290475 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-08-07 0.00000000 USD 0.00000000 USD 23662000.00000000 USD -416982.18000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV25A0Y9 IRS PLN R F 2.30000 2 CCP IRS / Short: SEV25A0Y9 IRS PLN P V 06MWIB06 1 CCP IRS 000000000 47555000.00000000 OU Notional Amount 427498.62000000 0.012008308411 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-09-21 0.00000000 PLN 0.00000000 PLN 47555000.00000000 PLN 427498.62000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AZL4 2741393.82000000 PA USD 3150327.95000000 0.088491770149 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 968027.33000000 0.027191598253 N/A DFE EG N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 7734120.73000000 USD 147335000.00000000 EGP 2020-05-07 968027.33000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV26V5L5 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV26V5L5 IRS HUF P F 2.18000 2 CCP IRS 000000000 1222117000.00000000 OU Notional Amount -352181.42000000 -0.00989267078 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-11-03 0.00000000 HUF 0.00000000 HUF 1222117000.00000000 HUF -352181.42000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2RCVM3 IRS NZD R V 03MNDBB NDBB3M+0BPS CCP LCH / Short: BEV2RCVM3 IRS NZD P F 3.12750 CCP LCH 000000000 39000000.00000000 OU Notional Amount -3625925.76000000 -0.10185117042 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 New Zealand Bank Bills 3 Months MNDBB3 Index Y 2028-01-09 0.00000000 NZD 0.00000000 NZD 39000000.00000000 NZD -3625925.76000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -18558.41000000 -0.00052130018 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4567000.00000000 GHS 741998.38000000 USD 2020-06-17 -18558.41000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -1008.74000000 -0.00002833520 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2314558.98000000 EUR 2585829.00000000 USD 2019-12-06 -1008.74000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PL78 631365.26000000 PA USD 713565.45000000 0.020043840130 Long ABS-MBS USGSE US N 2 2030-02-17 Fixed 6.60000000 N N N N N N PetroVietnam Gas JSC 5493008AE7RS4XK4BZ08 PetroVietnam Gas JSC 000000000 165200.00000000 NS 734955.11000000 0.020644669284 Long EC CORP VN N 2 N N N COOF 2137117003 N/A COOF 2137117003 000000000 1070472.94000000 PA USD 102876.28000000 0.002889763944 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.41000000 N N N N N N COOF 2231357001 N/A COOF 2231357001 000000000 1727938.03000000 PA USD 259114.39000000 0.007278445738 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC -20246.37000000 -0.00056871447 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 5074838.09000000 USD 4506961.00000000 EUR 2020-01-22 -20246.37000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 71838.97000000 0.002017935187 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 12033000.00000000 NZD 7788592.69000000 USD 2019-11-18 71838.97000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED EUR / SOLD RSD 000000000 1.00000000 NC N/A -20934.47000000 -0.00058804300 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1700894000.00000000 RSD 14437602.92000000 EUR 2019-12-04 -20934.47000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -71844.28000000 -0.00201808434 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7596000.00000000 NZD 4798332.43000000 USD 2019-11-04 -71844.28000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 3128C6R76 240003.86000000 PA USD 255548.51000000 0.007178281235 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 4.50000000 N N N N N N COOF 1825007004 N/A COOF 1825007004 000000000 1262091.64000000 PA USD 134838.02000000 0.003787559664 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N COOF 9335025000 N/A COOF 9335025000 000000000 2571517.69000000 PA USD 383424.69000000 0.010770284895 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.16000000 N N N N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic International Bond 000000000 1282000000.00000000 PA 25370054.16000000 0.712637235560 Long DBT NUSS DO Y 2 2029-07-06 Fixed 11.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3PN316 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3PN316 IRS USD P F 1.70620 CCP LCH 000000000 600000.00000000 OU Notional Amount USD -5798.71000000 -0.00016288403 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-09-19 0.00000000 USD 0.00000000 USD 600000.00000000 USD -5798.71000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 64805.11000000 0.001820356162 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 12032000.00000000 NZD 7780917.53000000 USD 2019-11-18 64805.11000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED INR / SOLD USD 000000000 1.00000000 NC -4459.99000000 -0.00012527978 N/A DFE IN N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 2243320.67000000 USD 160600000.00000000 INR 2020-01-22 -4459.99000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 PURCHASED XOF / SOLD EUR 000000000 1.00000000 NC N/A 68611.23000000 0.001927268935 N/A DFE XX N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 1554170.09000000 EUR 1059944000.00000000 XOF 2019-11-05 68611.23000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 BEV2ZP5A0 SWAPTION JUL28 2.98 CALL 000000000 28963000.00000000 NC USD 3143986.07000000 0.088313628636 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 IRS Swap N/A 28963000.00000000 OU Notional Amount N/A 3143986.07000000 0.09000000 DIR US ICE Libor USD 3 Months US0003M Index 2038-07-07 0.00000000 N/A 0.00000000 N/A 28963000.00000000 USD 1.00000000 2.98000000 USD 2028-07-05 XXXX 1487302.47000000 N N N Standard Chartered Bank 549300O1LQYCQ7G1IM57 BEV3M3E11 USD PUT BRL CALL JUL20 3.570 PUT 000000000 36740000.00000000 OU Notional Amount USD 169444.88000000 0.004759656014 N/A DFE US N 2 Standard Chartered Bank 549300O1LQYCQ7G1IM57 Put Purchased Standard Chartered Bank 549300O1LQYCQ7G1IM57 Standard Chartered Bank 549300O1LQYCQ7G1IM57 FX Contract N/A 1.00000000 NC USD 169444.88000000 0.00000000 DFE US 131161800.00000000 BRL 36740000.00000000 USD 2020-07-20 1.00000000 3.57000000 USD 2020-07-20 XXXX -454216.62000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC 44083.24000000 0.001238285030 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 11839230000.00000000 KRW 10170959.70000000 USD 2019-12-26 44083.24000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -38261.01000000 -0.00107474033 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 89327000.00000000 THB 2922382.35000000 USD 2020-01-10 -38261.01000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -1021.21000000 -0.00002868548 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 1879000000.00000000 KRW 1607465.21000000 USD 2020-01-22 -1021.21000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED INR / SOLD USD 000000000 1.00000000 NC 212923.14000000 0.005980947337 N/A DFE IN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 30327136.22000000 USD 2173365000.00000000 INR 2019-11-22 212923.14000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3JZ8H6 IRS CNY R F 2.89800 CCP LCH / Short: SEV3JZ8H6 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 59180000.00000000 OU Notional Amount -70610.05000000 -0.00198341519 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-06 0.00000000 CNY 0.00000000 CNY 59180000.00000000 CNY -70610.05000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2M0HS7 IRS USD R V 00MCPURN CPURNSA+0BPS INFLATION CCP LCH / Short: BEV2M0HS7 IRS USD P F 2.21950 CCP LCH 000000000 5275000.00000000 OU Notional Amount USD -670128.83000000 -0.01882371846 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA CPURNSA Index Y 2047-10-05 0.00000000 USD 0.00000000 USD 5275000.00000000 USD -670128.83000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Long: BEV3N7WG8 IRS CLP R F .00000 CLF LEG/-0.49FIXED / Short: BEV3N7WG8 IRS CLP P V 06MCLICP CLICP+0BPS+1D COMPOUNDING 000000000 14569483952.80000000 OU Notional Amount 5574.36000000 0.000156582105 N/A DIR CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-08-19 0.00000000 CLP 0.00000000 CLP 14569483952.80000000 CLP 5574.36000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381D4E2 1686.43000000 PA USD 1728.89000000 0.000048564003 Long ABS-MBS USGSE US N 2 2028-05-15 Fixed 9.25000000 N N N N N N COOF 2199827010 N/A COOF 2199827010 000000000 669845.14000000 PA USD 94740.43000000 0.002661230350 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.21000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 143063.84000000 0.004018620488 N/A DFE AU N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 10000317.14000000 USD 14711000.00000000 AUD 2019-11-12 143063.84000000 N N N COOF 9693035003 N/A COOF 9693035003 000000000 861676.42000000 PA USD 117334.45000000 0.003295889616 Long ABS-MBS CORP US N 2 2042-10-15 Fixed 2.91000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 PURCHASED PHP / SOLD USD 000000000 1.00000000 NC 256877.29000000 0.007215606268 N/A DFE PH N 2 UBS AG BFM8T61CT2L1QCEMIK50 9299263.09000000 USD 485840000.00000000 PHP 2019-12-10 256877.29000000 N N N COOF 9482625003 N/A COOF 9482625003 000000000 743666.04000000 PA USD 86590.50000000 0.002432301253 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Grupo Kaltex SA de CV 4469000001BKEKA98385 Grupo Kaltex SA de CV 000000000 1427000.00000000 PA USD 1220099.27000000 0.034272223677 Long DBT CORP MX Y 2 2022-04-11 Fixed 8.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3MZ1T3 IRS SGD R F 1.54500 CCP LCH / Short: SEV3MZ1T3 IRS SGD P V 06MSIBOR SORF6M+0BPS CCP LCH 000000000 10889000.00000000 OU Notional Amount 16251.19000000 0.000456491067 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2024-08-14 0.00000000 SGD 0.00000000 SGD 10889000.00000000 SGD 16251.19000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -503050.11000000 -0.01413052717 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 39088001.65000000 EUR 43091785.66000000 USD 2019-11-01 -503050.11000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3JZ7L8 IRS CNY R F 2.89500 CCP LCH / Short: SEV3JZ7L8 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 78906000.00000000 OU Notional Amount -95638.17000000 -0.00268644759 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-06 0.00000000 CNY 0.00000000 CNY 78906000.00000000 CNY -95638.17000000 N N N Republic of the Philippines 529900RAHBALMYIJ3T08 Philippine Government International Bond 718286BM8 1649000000.00000000 PA 39376800.67000000 1.106082556927 Long DBT NUSS PH N 2 2036-01-14 Fixed 6.25000000 N N N N N N PetroVietnam Nhon Trach 2 Power JSC 5493008AE7RS4XK4BZ08 PetroVietnam Nhon Trach 2 Power JSC 000000000 882000.00000000 NS 873118.08000000 0.024525625799 Long EC CORP VN N 2 N N N COOF 8690125006 N/A COOF 8690125006 000000000 846019.28000000 PA USD 143407.74000000 0.004028280536 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.78000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -549914.57000000 -0.01544693584 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 42729463.77000000 EUR 47106242.74000000 USD 2019-11-01 -549914.57000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 59045.92000000 0.001658582237 N/A DFE UG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4845294.97000000 USD 19325459000.00000000 UGX 2020-07-02 59045.92000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371Y2S9 1297390.95000000 PA USD 1298985.44000000 0.036488112605 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 2.39000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -1016358.77000000 -0.02854921395 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4837709.18000000 USD 22380694.00000000 TRY 2020-02-03 -1016358.77000000 N N N Reliance Communications Ltd 3358004XUDHE13A1HZ26 Reliance Communications Ltd 000000000 1800000.00000000 PA USD 261000.00000000 0.007331411959 Long DBT CORP IN Y 2 2020-11-06 Fixed 6.50000000 N Y N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC -273460.57000000 -0.00768142564 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 279951000.00000000 ZAR 18139765.44000000 USD 2019-12-20 -273460.57000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 161431.80000000 0.004534570992 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 31371824.43000000 USD 28273348.20000000 EUR 2019-11-01 161431.80000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 3514.15000000 0.000098711422 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 3781510.45000000 NZD 2428942.82000000 USD 2019-11-25 3514.15000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3K5W59 IRS CNY R F 2.94500 CCP LCH / Short: SEV3K5W59 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 147200000.00000000 OU Notional Amount -134502.18000000 -0.00377812601 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-12 0.00000000 CNY 0.00000000 CNY 147200000.00000000 CNY -134502.18000000 N N N Heimavellir HF 21380098BQ8B2T7EEQ97 Heimavellir HF 000000000 75681248.00000000 NS 727723.82000000 0.020441544510 Long EC CORP IS N 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -261355.13000000 -0.00734138745 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 9138750.00000000 OMR 23189499.86000000 USD 2021-03-29 -261355.13000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -164991.62000000 -0.00463456527 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 28896819.38000000 EUR 32063621.82000000 USD 2019-11-01 -164991.62000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED THB / SOLD USD 000000000 1.00000000 NC 75243.71000000 0.002113573315 N/A DFE TH N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4979578.39000000 USD 152588000.00000000 THB 2019-12-06 75243.71000000 N N N Komercijalna Banka AD Beograd 549300WZI2AGR4NZU538 Komercijalna Banka AD Beograd 000000000 78483.00000000 NS 2462049.00000000 0.069158220242 Long EC CORP RS N 2 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED BRL / SOLD USD 000000000 1.00000000 NC 253596.89000000 0.007123460813 N/A DFE BR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 70447257.80000000 USD 284068000.00000000 BRL 2019-12-03 253596.89000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 70804.63000000 0.001988880885 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 13759807.00000000 USD 12400803.00000000 EUR 2019-11-01 70804.63000000 N N N COOF 1368227004 N/A COOF 1368227004 000000000 350101.73000000 PA USD 49374.21000000 0.001386906795 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 3.16000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NHLE3 IRS AUD R V 06MBBSW BBSW6M+0BPS CCP LCH / Short: BEV3NHLE3 IRS AUD P F 1.10000 CCP LCH 000000000 31000000.00000000 OU Notional Amount 338779.63000000 0.009516218509 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2029-08-22 0.00000000 AUD 0.00000000 AUD 31000000.00000000 AUD 338779.63000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 59462.70000000 0.001670289463 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 6376340.38000000 EUR 7212788.71000000 USD 2020-01-27 59462.70000000 N N N COOF 9626165007 N/A COOF 9626165007 000000000 2366227.16000000 PA USD 198117.34000000 0.005565056842 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 2.11000000 N N N N N N COOF 9723235006 N/A COOF 9723235006 000000000 1551330.38000000 PA USD 155614.76000000 0.004371172078 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 2.41000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3K5SM7 IRS CNY R F 2.95500 CCP LCH / Short: SEV3K5SM7 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 77000000.00000000 OU Notional Amount -65506.14000000 -0.00184004788 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-12 0.00000000 CNY 0.00000000 CNY 77000000.00000000 CNY -65506.14000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED NZD / SOLD USD 000000000 1.00000000 NC 118846.25000000 0.003338355626 N/A DFE NZ N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 12906119.50000000 USD 20315000.00000000 NZD 2019-11-04 118846.25000000 N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 NIGERIA TREASURY BILL 04/20 ZCP 000000000 615675000.00000000 PA 1615252.47000000 0.045371958912 Long STIV NUSS NG N 2 2020-04-02 None 0.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -26329.68000000 -0.00073959283 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7532000.00000000 GHS 1243930.64000000 USD 2020-05-22 -26329.68000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -136916.54000000 -0.00384594466 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 286784006.64000000 THB 9364834.41000000 USD 2019-12-16 -136916.54000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202KPP4 146100.55000000 PA USD 148471.29000000 0.004170514142 Long ABS-MBS USGA US N 2 2024-10-20 Floating 4.13000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED JPY / SOLD USD 000000000 1.00000000 NC -752536.68000000 -0.02113853032 N/A DFE JP N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 77435835.04000000 USD 8270611797.00000000 JPY 2019-11-27 -752536.68000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3MV444 IRS USD R F 2.07000 CCP LCH / Short: SEV3MV444 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 47226000.00000000 OU Notional Amount USD 466964.55000000 0.013116894584 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-03 0.00000000 USD 0.00000000 USD 47226000.00000000 USD 466964.55000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -137677.14000000 -0.00386730969 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 23782000.00000000 NZD 15134864.80000000 USD 2020-02-03 -137677.14000000 N N N COOF 9635435007 N/A COOF 9635435007 000000000 2343107.19000000 PA USD 381341.93000000 0.010711780790 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.71000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 5513.57000000 0.000154874532 N/A DFE XX N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 882983.88000000 USD 792969.33000000 EUR 2020-01-07 5513.57000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2H0BR1 IRS NZD R V 03MBBR NDBB3M+0BPS/BEV2H0BR1/CCP / Short: BEV2H0BR1 IRS NZD P F 3.16867 BEV2H0BR1/CCP 000000000 95900000.00000000 OU Notional Amount -8686102.18000000 -0.24399001304 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 New Zealand Bank Bills 3 Months MNDBB3 Index Y 2027-06-26 0.00000000 NZD 0.00000000 NZD 95900000.00000000 NZD -8686102.18000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -10446.58000000 -0.00029344130 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6298000.00000000 GHS 1035855.26000000 USD 2020-06-22 -10446.58000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -31950.37000000 -0.00089747633 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 7703664.40000000 EUR 8577953.27000000 USD 2019-12-06 -31950.37000000 N N N COOF 1929207010 N/A COOF 1929207010 000000000 1404709.03000000 PA USD 126051.40000000 0.003540746135 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N EGYPT TREASURY BILL 529900GFIVH4086NMH82 Egypt Treasury Bills 000000000 55125000.00000000 PA 3378180.70000000 0.094892085767 Long STIV NUSS EG N 2 2019-12-03 None 0.00000000 N N N N N N Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 PURCHASED USD / SOLD BHD 000000000 1.00000000 NC -72049.14000000 -0.00202383879 N/A DFE US N 2 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 1350000.00000000 BHD 3505582.97000000 USD 2020-03-12 -72049.14000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3GU435 IRS USD R V 03MLIBOR US0003M +0BPS CCP LCH / Short: BEV3GU435 IRS USD P F 2.92500 CCP LCH 000000000 1569000.00000000 OU Notional Amount USD -118800.27000000 -0.00333706406 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-04-20 0.00000000 USD 0.00000000 USD 1569000.00000000 USD -118800.27000000 N N N COOF 9612025010 N/A COOF 9612025010 000000000 556891.21000000 PA USD 75816.99000000 0.002129676579 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 2.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225BTN8 74996.03000000 PA USD 83338.00000000 0.002340939501 Long ABS-MBS USGA US N 2 2028-11-20 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411VVG1 27814.26000000 PA USD 32574.57000000 0.000915009931 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 10.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Long: BEV13YL69 CDS USD R V 03MLIBOR CITI CROATIA CDS 20200320 / Short: BEV13YL69 CDS USD P F 1.00000 CITI CROATIA CDS 20200320 000000000 10000000.00000000 OU Notional Amount USD -32470.00000000 -0.00091207259 N/A DCR HR N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 CROATIA CROATIA Y buy protection 2020-03-20 60392.12000000 USD 0.00000000 USD 10000000.00000000 USD -92862.12000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3JRNF1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3JRNF1 IRS USD P F 2.04450 CCP LCH 000000000 5910000.00000000 OU Notional Amount USD -146614.81000000 -0.00411836617 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-05-31 0.00000000 USD 0.00000000 USD 5910000.00000000 USD -146614.81000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3MYY45 IRS SGD R F 1.56500 CCP LCH / Short: SEV3MYY45 IRS SGD P V 06MSIBOR SORF6M+0BPS CCP LCH 000000000 15387000.00000000 OU Notional Amount 33393.45000000 0.000938012025 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2024-08-14 0.00000000 SGD 0.00000000 SGD 15387000.00000000 SGD 33393.45000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NK348 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NK348 IRS USD P F 1.40300 CCP LCH 000000000 750000.00000000 OU Notional Amount USD 2797.16000000 0.000078571388 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-08-23 0.00000000 USD 0.00000000 USD 750000.00000000 USD 2797.16000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BEV3L6DD0 IRS CLP R V 00MCLOIS CLICP+0BPS CCP CME / Short: BEV3L6DD0 IRS CLP P F 2.73000 CCP CME 000000000 10266159707.00000000 OU Notional Amount -392734.88000000 -0.01103180534 N/A DIR CL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-08 0.00000000 CLP 0.00000000 CLP 10266159707.00000000 CLP -392734.88000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -145785.71000000 -0.00409507700 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 10086530.72000000 NZD 6323629.40000000 USD 2019-11-25 -145785.71000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3P67T8 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3P67T8 IRS USD P F 1.46320 CCP LCH 000000000 1290000.00000000 OU Notional Amount USD 15875.68000000 0.000445943104 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-09-09 0.00000000 USD 0.00000000 USD 1290000.00000000 USD 15875.68000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC -1440.84000000 -0.00004047276 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 2041102.32000000 USD 1818678.00000000 EUR 2020-01-22 -1440.84000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NHL78 IRS AUD R V 06MBBSW BBSW6M+0BPS CCP LCH / Short: BEV3NHL78 IRS AUD P F 1.09800 CCP LCH 000000000 42000000.00000000 OU Notional Amount 464381.60000000 0.013044340291 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2029-08-22 0.00000000 AUD 0.00000000 AUD 42000000.00000000 AUD 464381.60000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BRSJ3X9U8 CDS USD R V 99MEVENT CITIBANK EGYPT 10Y REC CR PR / Short: BRSJ3X9U8 CDS USD P F 1.00000 CITIBANK EGYPT 10Y PAY FIX 1% 000000000 4550000.00000000 OU Notional Amount USD 13945.75000000 0.000391731947 N/A DCR EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Egypt Treasury Bills Egypt Treasury Bills Y buy protection 2020-06-20 32047.50000000 USD 0.00000000 USD 4550000.00000000 USD -18101.75000000 N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 Long: BEV3H1VR5 CDS USD R V 03MEVENT 8B9825AD0 / Short: BEV3H1VR5 CDS USD P F 1.00000 000000000 23540000.00000000 OU Notional Amount USD 2969665.16000000 0.083417006397 N/A DCR US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2029-06-20 2866871.21000000 USD 0.00000000 USD 23540000.00000000 USD 102793.95000000 N N N COOF 1728057006 N/A COOF 1728057006 000000000 798667.65000000 PA USD 72260.16000000 0.002029766288 Long ABS-MBS CORP US N 2 2028-02-15 Fixed 3.71000000 N N N N N N COOF 1689717010 N/A COOF 1689717010 000000000 1531120.36000000 PA USD 180351.61000000 0.005066022798 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 2.46000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -50319.20000000 -0.00141345128 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 4087774.48000000 EUR 4508774.37000000 USD 2019-11-01 -50319.20000000 N N N COOF 9667855009 N/A COOF 9667855009 000000000 1567299.59000000 PA USD 197507.29000000 0.005547920720 Long ABS-MBS CORP US N 2 2042-10-15 Fixed 2.91000000 N N N N N N COOF 2066977005 N/A COOF 2066977005 000000000 1388423.24000000 PA USD 123355.42000000 0.003465016863 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -785.69000000 -0.00002206979 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 23880033.00000000 NZD 15333130.39000000 USD 2020-01-28 -785.69000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV27E0W3 IRS PLN R F 2.50000 1 CCP IRS / Short: SEV27E0W3 IRS PLN P V 06MWIBR6 2 CCP IRS 000000000 17421000.00000000 OU Notional Amount 219198.05000000 0.006157207683 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-11-08 0.00000000 PLN 0.00000000 PLN 17421000.00000000 PLN 219198.05000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED JPY / SOLD USD 000000000 1.00000000 NC -581749.94000000 -0.01634118186 N/A DFE JP N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 22223000.00000000 USD 2336092871.00000000 JPY 2019-11-12 -581749.94000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ET6N1 495835.47000000 PA USD 554721.93000000 0.015581973148 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 8.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MT0U5 IRS EUR R V 06MEURIB EUR006M+0BPS/BSV3MT0U5CCP LCH / Short: BEV3MT0U5 IRS EUR P F .00000 CCP LCH/BSV3MT0U5 000000000 6420700.00000000 OU Notional Amount 38972.20000000 0.001094717445 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2029-08-06 0.00000000 EUR 0.00000000 EUR 6420700.00000000 EUR 38972.20000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -135050.41000000 -0.00379352563 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7598944733.00000000 KRW 6366728.16000000 USD 2020-01-08 -135050.41000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3M2X53 IRS EUR R V 06MEURIB EUR006M+0 BPS CCP LCH / Short: BEV3M2X53 IRS EUR P F .11300 CCP LCH 000000000 6626700.00000000 OU Notional Amount -79276.95000000 -0.00222686582 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2029-07-23 0.00000000 EUR -24182.59000000 EUR 6626700.00000000 EUR -52506.33000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED BHD / SOLD USD 000000000 1.00000000 NC -520.02000000 -0.00001460720 N/A DFE BH N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3920944.42000000 USD 1478000.00000000 BHD 2019-11-04 -520.02000000 N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 US 2YR NOTE (CBT) DEC19 XCBT 20191231 000000000 -503.00000000 NC USD 235781.25000000 0.006623024812 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short 2 Year US Treasury Note TUZ9 Comdty 2019-12-31 -108683366.94000000 USD 235781.25000000 N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 China Government Bond 000000000 10000000.00000000 PA 1436513.32000000 0.040351229632 Long DBT NUSS CN N 2 2027-02-09 Fixed 3.40000000 N N N N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY NOT N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY NOT 000000000 2842550.68000000 PA 944815.61000000 0.026539587979 Long STIV CORP GE N 2 2020-06-26 Variable 7.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC -114192.47000000 -0.00320763233 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7383645.97000000 USD 6481857.54000000 EUR 2020-01-22 -114192.47000000 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 Ukraine Government Bond 000000000 39000000.00000000 PA 1633132.37000000 0.045874199957 Long DBT NUSS UA N 2 2022-01-05 Fixed 17.25000000 N N N N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 Ukraine Government Bond 000000000 4570194000.00000000 PA 199465400.66000000 5.602923463221 Long DBT NUSS UA N 2 2025-02-26 Fixed 15.84000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -135.44000000 -0.00000380446 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 313100000.00000000 KRW 267767.25000000 USD 2020-01-09 -135.44000000 N N N EGYPT TREASURY BILL 529900GFIVH4086NMH82 Egypt Treasury Bills 000000000 206350000.00000000 PA 11956062.96000000 0.335842233613 Long STIV NUSS EG N 2 2020-04-21 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2KELS4 IRS EUR R V 00MCPTFE CPTFEMU+0BPS INFLATION SWAP / Short: BEV2KELS4 IRS EUR P F 1.58500 INFLATION SWAP CCP LCH 000000000 13669000.00000000 OU Notional Amount -1138444.51000000 -0.03197856588 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euro-stat Eurozone HICP ex Tobacco NSA CPTFEMU Index Y 2032-08-15 0.00000000 EUR 0.00000000 EUR 13669000.00000000 EUR -1138444.51000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -83014.44000000 -0.00233185079 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2165000.00000000 OMR 5479625.41000000 USD 2021-02-16 -83014.44000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -8195.66000000 -0.00023021363 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 9160033.05000000 NZD 5873165.87000000 USD 2020-01-23 -8195.66000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3MC545 IRS CLP R V 00MCLICP CLICP+0BPS / Short: BEV3MC545 IRS CLP P F 2.43500 000000000 20898950000.00000000 OU Notional Amount -383585.63000000 -0.01077480565 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-26 0.00000000 CLP 0.00000000 CLP 20898950000.00000000 CLP -383585.63000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 MSCI TAIWAN INDEX NOV19 XSIM 20191128 000000000 235.00000000 NC USD 74423.91000000 0.002090545378 N/A DE SG N 2 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long MSCI Taiwan Index TWX9 Index 2019-11-28 9983975.00000000 USD 74423.91000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD BRL 000000000 1.00000000 NC 519261.08000000 0.014585888475 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 38197000.00000000 BRL 9910408.06000000 USD 2020-07-23 519261.08000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 33647.62000000 0.000945151584 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 15258005.94000000 USD 13634906.65000000 EUR 2020-01-22 33647.62000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SEV29EZS2 IRS PLN R F 2.41000 1 CCPVANILLA / Short: SEV29EZS2 IRS PLN P V 06MWIBOR 2 CCPVANILLA 000000000 38447000.00000000 OU Notional Amount 139715.28000000 0.003924560439 N/A DIR PL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2021-12-13 0.00000000 PLN 0.00000000 PLN 38447000.00000000 PLN 139715.28000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: B92RGS392 CDS USD R V 03MEVENT 7BB99W XS0113419690 CCP ICE / Short: B92RGS392 CDS USD P F 1.00000 CCP ICE 000000000 12396000.00000000 OU Notional Amount USD -329349.32000000 -0.00925132392 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Qatar Government International Bond Qatar Government International Bond Y buy protection 2023-12-20 0.00000000 USD -94677.86000000 USD 12396000.00000000 USD -234671.46000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FTLN6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FTLN6 IRS USD P F 2.64000 CCP LCH 000000000 6368000.00000000 OU Notional Amount USD -969298.12000000 -0.02722729436 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2059-04-04 0.00000000 USD 0.00000000 USD 6368000.00000000 USD -969298.12000000 N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 2095750000.00000000 PA 11953143.36000000 0.335760222922 Long DBT NUSS LK N 2 2026-06-01 Fixed 11.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 33983.41000000 0.000954583825 N/A DFE UG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4258091.66000000 USD 16955721000.00000000 UGX 2020-07-10 33983.41000000 N N N Fannie Mae N/A Fannie Mae REMICS 31358S2U4 212639.13000000 PA USD 238603.80000000 0.006702309398 Long ABS-MBS USGSE US N 2 2027-03-18 Fixed 8.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -98694.42000000 -0.00277229674 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 17017214.00000000 EUR 18880598.93000000 USD 2019-11-01 -98694.42000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PJF3 42525.62000000 PA USD 45665.58000000 0.001282732487 Long ABS-MBS USGSE US N 2 2025-12-17 Fixed 7.50000000 N N N N N N VietinBank 213800LHW17DHRGTI512 Vietnam Joint Stock Commercial Bank for Industry and Trade 000000000 148700.00000000 NS 146630.00000000 0.004118792856 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MD9D9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3MD9D9 IRS USD P F 1.77870 CCP LCH 000000000 11500000.00000000 OU Notional Amount USD -157409.47000000 -0.00442158494 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-07-29 0.00000000 USD 0.00000000 USD 11500000.00000000 USD -157409.47000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -15662.94000000 -0.00043996730 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 1399897000.00000000 KRW 1182111.31000000 USD 2020-01-08 -15662.94000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -18216.80000000 -0.00051170446 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 284180000.00000000 AED 77166209.57000000 USD 2021-04-08 -18216.80000000 N N N COOF 8868325005 N/A COOF 8868325005 000000000 1224165.92000000 PA USD 157371.07000000 0.004420506301 Long ABS-MBS CORP US N 2 2043-07-15 Fixed 2.98000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 Long: BEV3PU3L6 CDS USD R F 1.00000 49ACF8 / Short: BEV3PU3L6 CDS USD P V 03MEVENT BILATERAL/49ACF8 000000000 31925000.00000000 OU Notional Amount USD 365126.23000000 0.010256286625 N/A DCR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Indonesia Government International Bond Indonesia Government International Bond Y sell protection 2024-12-20 199624.23000000 USD 0.00000000 USD 31925000.00000000 USD 165502.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406C7A0 722026.35000000 PA USD 786172.47000000 0.022083349612 Long ABS-MBS USGSE US N 2 2032-07-01 Floating 6.33000000 N N N N N N RIKISBREF 254900IPCJWRC6XAJN15 Iceland Rikisbref 000000000 447499561.00000000 PA 4025255.48000000 0.113068222858 Long DBT NUSS IS N 2 2022-10-26 Fixed 7.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3P7AB1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3P7AB1 IRS USD P F 1.48920 000000000 235000.00000000 OU Notional Amount USD 2346.90000000 0.000065923719 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-09-10 0.00000000 USD 0.00000000 USD 235000.00000000 USD 2346.90000000 N N N Bank of Georgia JSC 549300RPLD8RXL49Z691 Bank of Georgia Promissory Note 000000000 1937483.95000000 PA 647619.40000000 0.018191435304 Long STIV CORP GE N 2 2020-04-22 Variable 7.45000000 N N N N N N NEW ZEALAND GVT ILB 549300237GPHG2AI7C34 New Zealand Government Inflation Linked Bond 000000000 90801974.51000000 PA 65184031.76000000 1.830999961732 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 28013.08000000 0.000786879041 N/A DFE AU N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 28046358.18000000 USD 40680000.00000000 AUD 2019-12-16 28013.08000000 N N N COOF 9632755003 N/A COOF 9632755003 000000000 1848624.85000000 PA USD 124790.58000000 0.003505330079 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 1.66000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3PR3U3 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3PR3U3 IRS USD P F 1.82450 CCP LCH. 000000000 700000.00000000 OU Notional Amount USD -4992.91000000 -0.00014024934 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-09-20 0.00000000 USD 0.00000000 USD 700000.00000000 USD -4992.91000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED NOK / SOLD EUR 000000000 1.00000000 NC N/A -1039371.23000000 -0.02919562707 N/A DFE NO N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 48378363.61000000 EUR 486950000.00000000 NOK 2019-11-15 -1039371.23000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Long: BEV14BQ71 CDS USD R V 03MEVENT BARC CROATIA CDS 20200320 / Short: BEV14BQ71 CDS USD P F 1.00000 BARC CROATIA CDS 20200320 000000000 4520000.00000000 OU Notional Amount USD -14676.44000000 -0.00041225681 N/A DCR CR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 CROATIA CROATIA Y buy protection 2020-03-20 25032.36000000 USD 0.00000000 USD 4520000.00000000 USD -39708.80000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC 1263.51000000 0.000035491618 N/A DFE KR N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 1605482.19000000 USD 1879000000.00000000 KRW 2019-12-11 1263.51000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3LJNR0 IRS USD R V 00MUSCPI CPURNSA+0BPS CCP LCH / Short: BEV3LJNR0 IRS USD P F 1.88300 CCP LCH 000000000 36990000.00000000 OU Notional Amount USD -559775.22000000 -0.01572391855 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA CPURNSA Index Y 2024-07-15 0.00000000 USD 0.00000000 USD 36990000.00000000 USD -559775.22000000 N N N Aragvi Finance International DAC 635400VKAYT1VT6VBF50 Aragvi Finance International DAC 000000000 8727000.00000000 PA USD 9076080.00000000 0.254944373399 Long DBT CORP IE Y 2 2024-04-09 Fixed 12.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 1713.53000000 0.000048132545 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 1765725.99000000 USD 1577118.40000000 EUR 2020-01-10 1713.53000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PK53 124324.33000000 PA USD 136664.86000000 0.003838875053 Long ABS-MBS USGSE US N 2 2030-04-17 Fixed 8.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PLD5 218375.06000000 PA USD 227960.57000000 0.006403344249 Long ABS-MBS USGSE US N 2 2024-06-17 Fixed 8.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -556.36000000 -0.00001562798 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 16910085.00000000 NZD 10857796.48000000 USD 2020-01-28 -556.36000000 N N N Barclays Capital Inc. AC28XWWI3WIBK2824319 Long: BEV3Q8CS9 CDS USD R V 03MEVENT 993A96/XS1303921214 / Short: BEV3Q8CS9 CDS USD P F 5.00000 000000000 3441601.00000000 OU Notional Amount USD -90961.51000000 -0.00255508161 N/A DCR US N 2 Barclays Capital Inc. AC28XWWI3WIBK2824319 Ukraine Government International Bond Ukraine Government International Bond Y buy protection 2024-12-20 0.00000000 USD -51496.53000000 USD 3441601.00000000 USD -39464.98000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3M2ZA0 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH / Short: BEV3M2ZA0 IRS EUR P F .00000 CCP LCH -VE FIXED 000000000 2800000.00000000 OU Notional Amount 3526.65000000 0.000099062544 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2024-07-23 0.00000000 EUR 0.00000000 EUR 2800000.00000000 EUR 3526.65000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PJX4 24432.81000000 PA USD 26672.01000000 0.000749208785 Long ABS-MBS USGSE US N 2 2026-11-20 Fixed 7.31000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31283HSP1 1297301.18000000 PA USD 1487335.63000000 0.041778813124 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 6.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -17453.97000000 -0.00049027679 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 86430000.00000000 AED 23457728.32000000 USD 2021-04-05 -17453.97000000 N N N WOW AIR EHF 549300LW49V05P8Z2H93 Wow Air hf 000000000 79200.00000000 PA 8834.05000000 0.000248145823 Long DBT CORP IS N 2 2099-12-31 None 0.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -133235.96000000 -0.00374255827 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 10823672.40000000 EUR 11938402.42000000 USD 2019-11-01 -133235.96000000 N N N Freddie Mac N/A Freddie Mac Non Gold Pool 3128SGAA8 1409868.05000000 PA USD 1424765.56000000 0.040021238567 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 2.88000000 N N N N N N Vietnam Technological & Commercial Joint Stock Bank 5493001XNKHV3FNIUD50 Vietnam Technological & Commercial Joint Stock Bank 000000000 781800.00000000 NS 854444.09000000 0.024001079004 Long EC CORP VN N 2 N N N COOF 8557585005 N/A COOF 8557585005 000000000 442647.17000000 PA USD 83654.16000000 0.002349820341 Long ABS-MBS CORP US N 2 2042-06-15 Fixed 3.78000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC 645017.88000000 0.018118359385 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 17095107.05000000 USD 101880000.00000000 TRY 2019-11-18 645017.88000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -60818.18000000 -0.00170836449 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 1881030000.00000000 KRW 1553671.43000000 USD 2019-11-12 -60818.18000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31283H6C4 866851.45000000 PA USD 997218.06000000 0.028011557131 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.50000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 1518102.91000000 0.042643056820 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 69360000.00000000 EUR 79272237.60000000 USD 2020-01-15 1518102.91000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NSJP7 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NSJP7 IRS USD P F 1.40500 CCP LCH 000000000 2705964.00000000 OU Notional Amount USD 46937.54000000 0.001318461464 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-08-29 0.00000000 USD 0.00000000 USD 2705964.00000000 USD 46937.54000000 N N N COOF 9681265005 N/A COOF 9681265005 000000000 762982.10000000 PA USD 53890.31000000 0.001513762694 Long ABS-MBS CORP US N 2 2028-02-15 Fixed 2.96000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3KUYA1 IRS CLP R F .07000 CLF CURRENCY / Short: BEV3KUYA1 IRS CLP P V 00MCLOIS CLICP+0BPS 1D COMPOUNDING 000000000 24109563881.77000000 OU Notional Amount 946268.20000000 0.026580390798 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-06-27 0.00000000 CLP 0.00000000 CLP 24109563881.77000000 CLP 946268.20000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV2614P3 IRS PLN R F 2.47000 2 CCP IRS / Short: SEV2614P3 IRS PLN P V 06MWIB6M 1 CCP IRS 000000000 13817000.00000000 OU Notional Amount 165585.39000000 0.004651244094 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-10-19 0.00000000 PLN 0.00000000 PLN 13817000.00000000 PLN 165585.39000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MQGR1 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3MQGR1 / Short: BEV3MQGR1 IRS EUR P F .11300 CCP LCH/BSV3MQGR1 000000000 3813000.00000000 OU Notional Amount -45615.91000000 -0.00128133727 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2029-07-23 0.00000000 EUR -38181.38000000 EUR 3813000.00000000 EUR -3260.23000000 N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 US ULTRA BOND CBT DEC19 XCBT 20191219 000000000 -12.00000000 NC USD -65303.58000000 -0.00183435803 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Ultra Long Bond WNZ9 Comdty 2019-12-19 -2211696.42000000 USD -65303.58000000 N N N Coteccons Construction JSC N/A Coteccons Construction JSC 000000000 133000.00000000 NS 452328.09000000 0.012705760799 Long EC CORP VN N 2 N N N COOF 1283797001 N/A COOF 1283797001 000000000 875335.97000000 PA USD 115979.15000000 0.003257819645 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 2.91000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NHMW2 IRS AUD R V 06MBBSW BBSW6M+0BPS CCP LCH / Short: BEV3NHMW2 IRS AUD P F 1.10800 CCP LCH 000000000 25000000.00000000 OU Notional Amount 260376.09000000 0.007313886514 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2029-08-22 0.00000000 AUD 0.00000000 AUD 25000000.00000000 AUD 260376.09000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2SXYM3 IRS PLN R F 2.73250 1 CCPVANILLA LCH / Short: SEV2SXYM3 IRS PLN P V 06MWIBOR 2 CCPVANILLA LCH 000000000 56176000.00000000 OU Notional Amount 464296.81000000 0.013041958565 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2023-02-06 0.00000000 PLN 0.00000000 PLN 56176000.00000000 PLN 464296.81000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -186375.04000000 -0.00523521914 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 32641934.15000000 EUR 36219163.71000000 USD 2019-11-01 -186375.04000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MSGU0 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3MSGU0 / Short: BEV3MSGU0 IRS EUR P F .00000 CCP LCH/BSV3MSGU0 000000000 7000000.00000000 OU Notional Amount 64013.75000000 0.001798127097 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2029-08-06 0.00000000 EUR 0.00000000 EUR 7000000.00000000 EUR 64013.75000000 N N N Eurohold Bulgaria AD 74780000J0W85Y204X80 Eurohold Bulgaria AD 000000000 9200000.00000000 PA 10231513.91000000 0.287400166449 Long DBT CORP BG Y 2 2022-12-07 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PLG8 663934.41000000 PA USD 730693.48000000 0.020524961371 Long ABS-MBS USGSE US N 2 2030-10-17 Fixed 8.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359XSV2 70885.84000000 PA USD 80940.27000000 0.002273587982 Long ABS-MBS USGSE US N 2 2030-02-25 Fixed 7.50000000 N N N N N N COOF 9575225000 N/A COOF 9575225000 000000000 907776.78000000 PA USD 55404.91000000 0.001556307355 Long ABS-MBS CORP US N 2 2027-07-15 Fixed 2.71000000 N N N N N N COOF 9617315002 N/A COOF 9617315002 000000000 1458575.27000000 PA USD 149437.63000000 0.004197658343 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 2.41000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385JP51 296986.60000000 PA USD 335361.06000000 0.009420191900 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3P3YF5 IRS USD R F 1.65000 CCP LCH / Short: SEV3P3YF5 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 13406000.00000000 OU Notional Amount USD -516691.24000000 -0.01451370243 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-04-05 0.00000000 USD 0.00000000 USD 13406000.00000000 USD -516691.24000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -45624.53000000 -0.00128157940 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 103796000.00000000 THB 3394577.62000000 USD 2020-01-10 -45624.53000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 BEV3FTLT3 SWAPTION MAR29 2.775 CALL 000000000 13876000.00000000 NC USD 1347147.02000000 0.037840956986 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 13876000.00000000 OU Notional Amount N/A 1347147.02000000 0.04000000 DIR US ICE Libor USD 3 Months US0003M Index 2039-04-04 0.00000000 N/A 0.00000000 N/A 13876000.00000000 USD 1.00000000 2.77500000 USD 2029-03-29 XXXX 569397.22000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PK95 332387.09000000 PA USD 359337.47000000 0.010093682088 Long ABS-MBS USGSE US N 2 2027-09-17 Fixed 7.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 919460.95000000 0.025827383161 N/A DFE EG N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 7556004.31000000 USD 140315000.00000000 EGP 2020-02-10 919460.95000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV3PVE32 CDS USD R V 03MEVENT CCP ICE/993A96 / Short: BEV3PVE32 CDS USD P F 5.00000 CCP ICE 000000000 3441601.00000000 OU Notional Amount USD -90961.51000000 -0.00255508161 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Ukraine Government International Bond Ukraine Government International Bond Y buy protection 2024-12-20 0.00000000 USD -88798.01000000 USD 3441601.00000000 USD -2163.50000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -236958.25000000 -0.00665608639 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 508254000.00000000 THB 16602554.47000000 USD 2019-12-16 -236958.25000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC -4054.59000000 -0.00011389222 N/A DFE UG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 416710.71000000 USD 1580167000.00000000 UGX 2020-03-20 -4054.59000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -68160.25000000 -0.00191460104 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7445000.00000000 NZD 4705202.78000000 USD 2019-11-04 -68160.25000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -36067.04000000 -0.00101311236 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 40311000.00000000 NZD 25846324.80000000 USD 2020-01-23 -36067.04000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3L6D65 IRS CLP R F .05000 CLF CURRENCY / Short: BEV3L6D65 IRS CLP P V 00MCLICP CLICP+0BPS 000000000 9632226502.50000000 OU Notional Amount 344194.42000000 0.009668318341 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-08 0.00000000 CLP 0.00000000 CLP 9632226502.50000000 CLP 344194.42000000 N N N COOF 1847217009 N/A COOF 1847217009 000000000 1734227.33000000 PA USD 200005.36000000 0.005618090759 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FJWG1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FJWG1 IRS USD P F 2.80000 CCP LCH 000000000 10359000.00000000 OU Notional Amount USD -684624.55000000 -0.01923089890 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-03-27 12456.23000000 USD 0.00000000 USD 10359000.00000000 USD -697080.78000000 N N N COOF 2309137006 N/A COOF 2309137006 000000000 697514.10000000 PA USD 108404.11000000 0.003045039036 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.16000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -1005764.52000000 -0.02825162463 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 72337012.85000000 EUR 80045606.62000000 USD 2020-01-07 -1005764.52000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED NOK / SOLD USD 000000000 1.00000000 NC -193445.57000000 -0.00543382821 N/A DFE NO N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 23498158.75000000 USD 214242700.00000000 NOK 2019-12-20 -193445.57000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Bill 912796SW0 5000000.00000000 PA USD 4991429.85000000 0.140207772019 Long STIV UST US N 2 2019-12-12 None 0.00000000 N N N N N N Tryggingamidstodin HF N/A Tryggingamidstodin HF 000000000 890510.00000000 NS 220093.99000000 0.006182374369 Long EC CORP IS N 2 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -208437.35000000 -0.00585494283 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 42729463.77000000 EUR 47671553.55000000 USD 2020-01-08 -208437.35000000 N N N PetroVietnam Technical Services Corp 5493008AE7RS4XK4BZ08 PetroVietnam Technical Services Corp 000000000 672281.00000000 NS 535172.07000000 0.015032823426 Long EC CORP VN N 2 N N N Trade & Development Bank of Mongolia LLC 549300O080RZNQXWR806 Trade & Development Bank of Mongolia LLC 89253YAA0 4990000.00000000 PA USD 5122235.00000000 0.143882049571 Long DBT CORP MN Y 2 2020-05-19 Fixed 9.38000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV26TBW9 IRS PLN R F 2.50000 2 CCP IRS / Short: SEV26TBW9 IRS PLN P V 06MWIBR6 1 CCP IRS 000000000 26131000.00000000 OU Notional Amount 327984.22000000 0.009212978670 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-10-31 0.00000000 PLN 0.00000000 PLN 26131000.00000000 PLN 327984.22000000 N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY 000000000 2384464.27000000 PA 792326.52000000 0.022256215036 Long STIV CORP GE N 2 2020-06-29 Variable 7.50000000 N N N N N N COOF 2268427002 N/A COOF 2268427002 000000000 1302716.73000000 PA USD 141979.83000000 0.003988170971 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Republic of Serbia 254900W94OCY91V32O78 Serbia Treasury Bonds 000000000 230000000.00000000 PA 2933945.64000000 0.082413655760 Long DBT NUSS RS N 2 2024-10-23 Fixed 10.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BEV3PR9Z6 TRS USD R E BCOMF5 TRS / Short: BEV3PR9Z6 TRS USD P F .25000 0.25 FIXED 000000000 43200000.00000000 OU Notional Amount USD 131626.00000000 0.003697334983 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Bloomberg Commodity Index 5 Month Forward BCOMF5 Index Y equity-performance leg 2019-11-20 0.00000000 USD 0.00000000 USD 43200000.00000000 USD 131626.00000000 N N N COOF 9624165003 N/A COOF 9624165003 000000000 2208473.05000000 PA USD 151734.60000000 0.004262179544 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 1.81000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 797692.53000000 0.022406944652 N/A DFE EG N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 6800109.68000000 USD 124000000.00000000 EGP 2019-12-16 797692.53000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -105111.19000000 -0.00295254189 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1935000.00000000 OMR 4904942.97000000 USD 2020-05-21 -105111.19000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD JPY 000000000 1.00000000 NC 247555.79000000 0.006953768120 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 2720714972.00000000 JPY 25473428.20000000 USD 2019-11-27 247555.79000000 N N N COOF 9032505005 N/A COOF 9032505005 000000000 1385249.62000000 PA USD 163137.97000000 0.004582496798 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 2.96000000 N N N N N N COOF 1971467000 N/A COOF 1971467000 000000000 793340.39000000 PA USD 72312.41000000 0.002031233975 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.41000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -58254.18000000 -0.00163634249 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3912000.00000000 OMR 9949641.39000000 USD 2021-07-06 -58254.18000000 N N N Republic of Serbia 254900W94OCY91V32O78 Serbia Treasury Bonds 000000000 1710860000.00000000 PA 19102625.08000000 0.536587026700 Long DBT NUSS RS N 2 2022-02-05 Fixed 10.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3N0FF4 IRS CNY R F 2.66500 CCP LCH / Short: SEV3N0FF4 IRS CNY P V 03MCNRR0 CNRR007+0BPS CCP LCH 000000000 196330000.00000000 OU Notional Amount -555618.31000000 -0.01560715219 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-08-12 0.00000000 CNY 0.00000000 CNY 196330000.00000000 CNY -555618.31000000 N N N Republic of El Salvador 529900AKDMUSFSDOM949 El Salvador Government International Bond 000000000 973000.00000000 PA USD 1011929.73000000 0.028424803542 Long DBT NUSS SV Y 2 2025-01-30 Fixed 5.88000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV25TX22 IRS PLN R F 2.49000 2 CCP IRS / Short: SEV25TX22 IRS PLN P V 06MWIBR6 1 CCP IRS 000000000 13591000.00000000 OU Notional Amount 167114.11000000 0.004694185381 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-10-13 0.00000000 PLN 0.00000000 PLN 13591000.00000000 PLN 167114.11000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NUM78 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH / Short: BEV3NUM78 IRS EUR P F .00000 CCP LCH -VE FIXED 000000000 1000000.00000000 OU Notional Amount 13148.92000000 0.000369349231 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2024-08-30 0.00000000 EUR 0.00000000 EUR 1000000.00000000 EUR 13148.92000000 N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 1660000000.00000000 PA 9461724.49000000 0.265777011813 Long DBT NUSS LK N 2 2024-08-01 Fixed 11.00000000 N N N N N N COOF 9627715008 N/A COOF 9627715008 000000000 1082091.62000000 PA USD 65956.04000000 0.001852685442 Long ABS-MBS CORP US N 2 2027-08-15 Fixed 2.71000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC -567976.70000000 -0.01595429567 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 581457300.00000000 ZAR 37676232.75000000 USD 2019-12-20 -567976.70000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S&P500 EMINI OPTN Dec19P 2900 000000000 562.00000000 NC USD 625225.00000000 0.017562383304 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S&P 500 EMINI Index Future N/A 28100.00000000 NC N/A 625225.00000000 0.02000000 DE US Long S&P 500 EMINI Index ESZ9 Index 2019-12-20 28100.00000000 USD 50.00000000 2900.00000000 USD 2019-12-20 XXXX -2090706.17000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Long: BEV3R95E5 TRS USD R F .00000 CNY CSIN0905 / Short: BEV3R95E5 TRS USD P V 03MLIBOR US0003M-1100BPS 000000000 8948242.80000000 OU Notional Amount USD -50439.54000000 -0.00141683159 N/A DE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 China Securities Index Co 500 Index CSIN0905 Index Y 2020-01-17 0.00000000 USD 0.00000000 USD 8948242.80000000 USD -50439.54000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 140960.73000000 0.003959544757 N/A DFE XX N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 32239025.51000000 USD 28896819.38000000 EUR 2020-01-08 140960.73000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV27BW46 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV27BW46 IRS HUF P F 2.15000 2 CCP IRS 000000000 1198308000.00000000 OU Notional Amount -337113.63000000 -0.00946942106 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-11-07 0.00000000 HUF 0.00000000 HUF 1198308000.00000000 HUF -337113.63000000 N N N COOF 7774145004 N/A COOF 7774145004 000000000 1024012.96000000 PA USD 82680.91000000 0.002322482039 Long ABS-MBS CORP US N 2 2039-07-15 Fixed 2.39000000 N N N N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -26912.92000000 -0.00075597587 N/A DFE US N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 7410000.00000000 GHS 1222772.28000000 USD 2020-05-22 -26912.92000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -156068.46000000 -0.00438391637 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 364369037.61000000 THB 11920535.15000000 USD 2020-01-10 -156068.46000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385W6C8 766311.56000000 PA USD 867962.52000000 0.024380807660 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NLB96 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3NLB96 / Short: BEV3NLB96 IRS EUR P F .00000 -VE FIXED CCP LCH/BSV3NLB96 000000000 2500000.00000000 OU Notional Amount 22721.39000000 0.000638237051 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2024-08-26 0.00000000 EUR 0.00000000 EUR 2500000.00000000 EUR 22721.39000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -140194.10000000 -0.00393801035 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 9163031000.00000000 KRW 7695176.15000000 USD 2019-12-11 -140194.10000000 N N N COOF 2004107007 N/A COOF 2004107007 000000000 2778837.23000000 PA USD 286882.01000000 0.008058429881 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.28000000 N N N N N N Jasa Marga Persero Tbk PT 213800OEG8K7MC4FWG29 Jasa Marga Persero Tbk PT 000000000 18080000000.00000000 PA 1271798.23000000 0.035724432005 Long DBT CORP ID Y 2 2020-12-11 Fixed 7.50000000 N N N N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 971000000.00000000 PA 5585641.73000000 0.156899006056 Long DBT NUSS LK N 2 2024-01-01 Fixed 11.40000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -23191.54000000 -0.00065144342 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 728826494.00000000 KRW 602360.84000000 USD 2019-11-12 -23191.54000000 N N N COOF 9663935001 N/A COOF 9663935001 000000000 2970447.35000000 PA USD 215713.75000000 0.006059334737 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.96000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 135379.95000000 0.003802782316 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 36346467.26000000 USD 32641934.15000000 EUR 2019-12-06 135379.95000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -80410.88000000 -0.00225871757 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 6248086.22000000 EUR 6888077.69000000 USD 2019-11-01 -80410.88000000 N N N COOF 9645535006 N/A COOF 9645535006 000000000 1807721.93000000 PA USD 220908.50000000 0.006205253712 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.71000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 128705.16000000 0.003615289460 N/A DFE EG N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 971458.50000000 USD 18550000.00000000 EGP 2020-04-21 128705.16000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -21289.42000000 -0.00059801344 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 891312970.00000000 KRW 744805.36000000 USD 2019-11-01 -21289.42000000 N N N COOF 9657945008 N/A COOF 9657945008 000000000 3400514.22000000 PA USD 354625.84000000 0.009961333810 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.46000000 N N N N N N COOF 9679295004 N/A COOF 9679295004 000000000 705746.14000000 PA USD 88958.75000000 0.002498824688 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.21000000 N N N N N N Pnmac Gmsr Issuer Trust N/A PNMAC GMSR ISSUER TRUST 2018-GT2 69354WAD8 8064000.00000000 PA USD 8100647.65000000 0.227544770347 Long ABS-O CORP US N 2 2025-08-25 Floating 4.47000000 N N N N N N COOF 9657845002 N/A COOF 9657845002 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-10-15 Fixed 2.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202CLR2 344344.46000000 PA USD 377334.09000000 0.010599201763 Long ABS-MBS USGA US N 2 2025-12-20 Fixed 7.00000000 N N N N N N COOF 2006697002 N/A COOF 2006697002 000000000 1752181.85000000 PA USD 161581.36000000 0.004538772088 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 Long: BRSJ3WM92 CDS USD R V 03MEVENT BOA SOUTH AFRICA 10YR 20220920 / Short: BRSJ3WM92 CDS USD P F 1.00000 BOA SOUTH AFRICA 10YR 20220920 000000000 16100000.00000000 OU Notional Amount USD 107580.20000000 0.003021895650 N/A DCR ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-09-20 348115.84000000 USD 0.00000000 USD 16100000.00000000 USD -240535.64000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 14692.34000000 0.000412703437 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 9606000.00000000 NZD 6175899.13000000 USD 2019-11-25 14692.34000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -138384.17000000 -0.00388716995 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 9163030000.00000000 KRW 7696985.22000000 USD 2019-12-11 -138384.17000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED USD / SOLD TRY 000000000 1.00000000 NC 6280487.71000000 0.176417021871 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 238615000.00000000 TRY 47022366.74000000 USD 2020-02-03 6280487.71000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -58217.73000000 -0.00163531862 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 6359000.00000000 NZD 4018856.21000000 USD 2019-11-04 -58217.73000000 N N N COOF 1989537006 N/A COOF 1989537006 000000000 847318.28000000 PA USD 75782.87000000 0.002128718158 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3JZ7P9 IRS CNY R F 2.90000 CCP LCH / Short: SEV3JZ7P9 IRS CNY P V 03MCNDRD CNRR007+0BPS CCP LCH 000000000 118359000.00000000 OU Notional Amount -139726.67000000 -0.00392488038 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 China Interbank Repo Rate 3 Months RP3M Index Y 2024-06-06 0.00000000 CNY 0.00000000 CNY 118359000.00000000 CNY -139726.67000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -663.63000000 -0.00001864116 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1522693.50000000 EUR 1701155.61000000 USD 2019-12-06 -663.63000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV2614E8 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV2614E8 IRS HUF P F 2.09000 2 CCP IRS 000000000 2436021000.00000000 OU Notional Amount -649768.60000000 -0.01825180568 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-10-19 0.00000000 HUF 0.00000000 HUF 2436021000.00000000 HUF -649768.60000000 N N N FPT Corp N/A FPT Corp 000000000 38492.00000000 NS 102775.28000000 0.002886926884 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NGLL9 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3NGLL9 / Short: BEV3NGLL9 IRS EUR P F .00000 CCP LCH -VE FIXED/BSV3NGLL9 000000000 7139000.00000000 OU Notional Amount 94622.76000000 0.002657925035 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2024-08-22 0.00000000 EUR 0.00000000 EUR 7139000.00000000 EUR 94622.76000000 N N N COOF 9682415004 N/A COOF 9682415004 000000000 3612019.92000000 PA USD 380047.02000000 0.010675407155 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.71000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 24317.16000000 0.000683061753 N/A DFE XX N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 1935325.75000000 USD 1748949.00000000 EUR 2020-01-07 24317.16000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC 46947.42000000 0.001318738990 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 264829.59000000 USD 1826000.00000000 TRY 2020-02-03 46947.42000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3H8P71 IRS CNY R F 3.18000 CCP LCH / Short: SEV3H8P71 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 102100000.00000000 OU Notional Amount 52832.26000000 0.001484042386 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-04-30 0.00000000 CNY 0.00000000 CNY 102100000.00000000 CNY 52832.26000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -3073710.05000000 -0.08633959624 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 14263741.04000000 USD 65656000.00000000 TRY 2020-02-10 -3073710.05000000 N N N COOF 9662825001 N/A COOF 9662825001 000000000 2155624.33000000 PA USD 333348.62000000 0.009363663062 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.21000000 N N N N N N COOF 1293627000 N/A COOF 1293627000 000000000 1534416.98000000 PA USD 140230.04000000 0.003939019894 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.41000000 N N N N N N Atento Luxco 1 SA 549300MLFF3HYCZQTC48 Atento Luxco 1 SA 000000000 4000000.00000000 PA USD 4090000.00000000 0.114886877066 Long DBT CORP LU N 2 2022-08-10 Fixed 6.13000000 N N N N N N COOF 1691217001 N/A COOF 1691217001 000000000 1678899.09000000 PA USD 221131.80000000 0.006211526142 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MS37 2615521.53000000 PA USD 2985434.61000000 0.083859965532 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 7.00000000 N N N N N N NEW ZEALAND GVT ILB 549300237GPHG2AI7C34 New Zealand Government Inflation Linked Bond 000000000 40976420.00000000 PA 34793899.94000000 0.977350245735 Long DBT NUSS NZ Y 2 2035-09-20 Fixed 2.50000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 140676.61000000 0.003951563911 N/A DFE AU N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 15134635.18000000 USD 22121000.00000000 AUD 2020-01-09 140676.61000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BEV3PR9T0 TRS USD R F .00000 0 FIXED / Short: BEV3PR9T0 TRS USD P E BCOM 000000000 43200000.00000000 OU Notional Amount USD 147246.17000000 0.004136100887 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Bloomberg Commodity Index BCOM Index Y equity-performance leg 2019-11-20 0.00000000 USD 0.00000000 USD 43200000.00000000 USD 147246.17000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3KZ6Q6 IRS CLP R F .09500 CLF CURRENCY / Short: BEV3KZ6Q6 IRS CLP P V 00MCLICP CLICP+0BPS+1D COMPOUNDING 000000000 4809394299.50000000 OU Notional Amount 193514.44000000 0.005435762757 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-01 0.00000000 CLP 0.00000000 CLP 4809394299.50000000 CLP 193514.44000000 N N N Siminn HF N/A Siminn HF 000000000 99569761.00000000 NS 3819927.18000000 0.107300612305 Long EC CORP IS N 2 N N N COOF 8544575003 N/A COOF 8544575003 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-09-15 Fixed 2.48000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 Egypt Government International Bond 000000000 20913000.00000000 PA USD 22470704.81000000 0.631195379241 Long DBT NUSS EG N 2 2049-03-01 Fixed 8.70000000 N N N N N N PAKISTAN T BILL 12 19 2019 BEV3Q45N7 N/A PAKISTAN T BILL 12 19 2019 BEV3Q45N7 000000000 2832300000.00000000 PA 17889824.83000000 0.502519830312 Long STIV NUSS PK N 2 2019-12-19 None 0.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -485.79000000 -0.00001364569 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1114643.41000000 EUR 1245281.40000000 USD 2019-12-06 -485.79000000 N N N COOF 9643545005 N/A COOF 9643545005 000000000 899322.93000000 PA USD 124958.86000000 0.003510057013 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.46000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PJG1 444675.83000000 PA USD 466438.78000000 0.013102125862 Long ABS-MBS USGSE US N 2 2024-08-17 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202BLD5 44666.74000000 PA USD 47706.12000000 0.001340050646 Long ABS-MBS USGA US N 2 2023-06-20 Fixed 8.00000000 N N N N N N BANK OF GEORGIA PROMISSORY NOT N/A BANK OF GEORGIA PROMISSORY NOT 000000000 1565487.03000000 PA 522193.65000000 0.014668263489 Long STIV CORP GE N 2 2020-05-13 Variable 7.40000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -222333.13000000 -0.00624527114 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 225318683.00000000 AED 61108343.19000000 USD 2020-02-10 -222333.13000000 N N N GEORGIA T-BILL N/A Georgia Treasury Bills 000000000 2686000.00000000 PA 865111.70000000 0.024300728979 Long STIV NUSS GE N 2 2020-06-04 None 0.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED NZD / SOLD USD 000000000 1.00000000 NC 346762.02000000 0.009740441457 N/A DFE NZ N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 15382975.41000000 USD 24519000.00000000 NZD 2019-12-06 346762.02000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FLSC0 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FLSC0 IRS USD P F 2.80700 CCP LCH 000000000 13741000.00000000 OU Notional Amount USD -915578.36000000 -0.02571832236 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-03-28 0.00000000 USD 0.00000000 USD 13741000.00000000 USD -915578.36000000 N N N COOF 2299707006 N/A COOF 2299707006 000000000 952950.08000000 PA USD 101076.55000000 0.002839210067 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 43270.42000000 0.001215453159 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 4640000.00000000 EUR 5248675.20000000 USD 2020-01-27 43270.42000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31363WHX6 3656.07000000 PA USD 3732.49000000 0.000104844528 Long ABS-MBS USGSE US N 2 2020-12-15 Fixed 8.00000000 N N N N N N Bank of Georgia JSC 549300RPLD8RXL49Z691 Bank of Georgia Promissory Note 000000000 1309516.56000000 PA 437491.86000000 0.012289015534 Long STIV CORP GE N 2 2020-04-28 Variable 7.45000000 N N N N N N Bao Viet Holdings 5493008AE7RS4XK4BZ08 Bao Viet Holdings 000000000 156900.00000000 NS 487305.39000000 0.013688262697 Long EC CORP VN N 2 N N N COOF 9626555006 N/A COOF 9626555006 000000000 1119241.94000000 PA USD 62622.99000000 0.001759061064 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.41000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC -2954.93000000 -0.00008300310 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 243189.55000000 USD 214365.72000000 EUR 2020-01-10 -2954.93000000 N N N COOF 1205867003 N/A COOF 1205867003 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 3.16000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -24548.83000000 -0.00068956929 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5795000.00000000 GHS 936338.67000000 USD 2020-06-26 -24548.83000000 N N N Bank of Cyprus Holdings PLC 635400L14KNHZXPUZM19 Bank of Cyprus Holdings PLC 000000000 4401002.00000000 NS 6301357.04000000 0.177003235111 Long EC CORP IE N 2 N N N Fannie Mae N/A Fannie Mae REMICS 31358KKJ6 103587.12000000 PA USD 107652.05000000 0.003023913895 Long ABS-MBS USGSE US N 2 2021-12-25 Fixed 7.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GLW1 1293055.99000000 PA USD 1424596.57000000 0.040016491688 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 6.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV2346Q6 IRS USD R V 03MLIBOR 1 CCP IRS / Short: BEV2346Q6 IRS USD P F 2.75000 2 CCP IRS 000000000 8499856.00000000 OU Notional Amount USD -1749666.88000000 -0.04914761949 N/A DIR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 ICE Libor USD 3 Months US0003M Index Y 2046-09-21 0.00000000 USD -1474009.14000000 USD 8499856.00000000 USD -275657.74000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 Long: BEV14VNL9 CDS USD R V 03MLIBOR BARC CROTIA CDS 20200320 / Short: BEV14VNL9 CDS USD P F 1.00000 BARC CROTIA CDS 20200320 000000000 4520000.00000000 OU Notional Amount USD -14676.44000000 -0.00041225681 N/A DCR CR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 CROATIA CROATIA Y buy protection 2020-03-20 25002.81000000 USD 0.00000000 USD 4520000.00000000 USD -39679.25000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2LARP1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2LARP1 IRS USD P F 2.17500 CCP LCH 000000000 47201000.00000000 OU Notional Amount USD -2206760.50000000 -0.06198724261 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2027-09-19 0.00000000 USD 0.00000000 USD 47201000.00000000 USD -2206760.50000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Long: BRSJ3XBC5 CDS USD R V 99MEVENT DEUTSCHE BNK EGYPT 10Y REC CP / Short: BRSJ3XBC5 CDS USD P F 1.00000 DEUTSCHE BNK EGYPT 10Y PAY 1% 000000000 4600000.00000000 OU Notional Amount USD 14099.00000000 0.000396036694 N/A DCR EG N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank 5.125% Deutsche Bank 5.125% Y buy protection 2020-06-20 32553.80000000 USD 0.00000000 USD 4600000.00000000 USD -18454.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31387CV57 104014.35000000 PA USD 107773.20000000 0.003027316963 Long ABS-MBS USGSE US N 2 2028-05-01 Floating 4.74000000 N N N N N N Hoa Sen Group N/A Hoa Sen Group 000000000 170944.00000000 NS 52568.58000000 0.001476635693 Long EC CORP VN N 2 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -3770583.06000000 -0.10591455072 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 17459566.99000000 USD 80401306.00000000 TRY 2020-02-14 -3770583.06000000 N N N EV CASH RESERVES FUND LLC N/A EV CASH RESERVES FUND LLC 000000000 559146894.88900000 NS USD 559146894.89000000 15.70626908927 Long STIV US N 2 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PJY2 16714.83000000 PA USD 17292.48000000 0.000485740592 Long ABS-MBS USGSE US N 2 2024-09-17 Fixed 7.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -390613.82000000 -0.01097222540 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 29780000.00000000 NZD 18729505.62000000 USD 2020-01-21 -390613.82000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -68318.34000000 -0.00191904174 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 3568000.00000000 OMR 9084659.45000000 USD 2021-04-08 -68318.34000000 N N N Republic of Fiji N/A Fiji Government International Bond 000000000 53368000.00000000 PA USD 53501420.00000000 1.502838890563 Long DBT NUSS FJ Y 2 2020-10-02 Fixed 6.63000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 219006.12000000 0.006151816426 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 18760287.23000000 USD 17017214.00000000 EUR 2019-11-01 219006.12000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -21806.24000000 -0.00061253076 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3855000.00000000 GHS 624544.35000000 USD 2020-06-03 -21806.24000000 N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic International Bond 000000000 278300000.00000000 PA 5518202.59000000 0.155004660778 Long DBT NUSS DO Y 2 2026-12-04 Fixed 11.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2ZMLK7 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2ZMLK7 IRS USD P F 3.01000 CCP LCH 000000000 2895000.00000000 OU Notional Amount USD -243847.85000000 -0.00684961319 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-05 0.00000000 USD 0.00000000 USD 2895000.00000000 USD -243847.85000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 43985.47000000 0.001235538700 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 8547908.98000000 USD 7703664.40000000 EUR 2019-11-01 43985.47000000 N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 Australia Government Bond 000000000 56785400.00000000 PA 50796134.72000000 1.426848235944 Long DBT NUSS AU Y 2 2030-09-20 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NSNA5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NSNA5 IRS USD P F 1.56800 CCP LCH 000000000 3310000.00000000 OU Notional Amount USD 172417.77000000 0.004843163605 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-08-29 0.00000000 USD 0.00000000 USD 3310000.00000000 USD 172417.77000000 N N N Vietnam Dairy Products JSC N/A Vietnam Dairy Products JSC 000000000 546768.00000000 NS 3058791.93000000 0.085920550717 Long EC CORP VN N 2 N N N COOF 2117027003 N/A COOF 2117027003 000000000 725368.13000000 PA USD 102616.65000000 0.002882471015 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.21000000 N N N N N N Republic of Macedonia (The) 635400RD1N6RVNCE4958 Republic of Macedonia (The) EUR Term Loan 000000000 9350000.00000000 PA 10547974.62000000 0.296289453169 Long LON CORP MK N 2 2022-12-16 Floating 4.50000000 N N N N N N COOF 7760935004 N/A COOF 7760935004 000000000 827881.15000000 PA USD 88235.35000000 0.002478504598 Long ABS-MBS CORP US N 2 2041-02-15 Fixed 2.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410FU78 245.30000000 PA USD 245.69000000 0.000006901358 Long ABS-MBS USGSE US N 2 2020-06-01 Fixed 5.50000000 N N N N N N Republic of Argentina 549300KPBYGYF7HCHO27 Bonos De La Nacion Argentina En Moneda Dua 000000000 8195137.00000000 PA USD 2207114.30000000 0.061997180746 Long DBT NUSS AR N 2 2020-02-13 Fixed 4.50000000 N N N N N N COOF 9678215000 N/A COOF 9678215000 000000000 485862.58000000 PA USD 77828.34000000 0.002186174799 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.46000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 Egypt Government International Bond 000000000 8011000.00000000 PA USD 8454617.14000000 0.237487667482 Long DBT NUSS EG Y 2 2047-01-31 Fixed 8.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2RCVH4 IRS NZD R V 03MNDBB NDBB3M+0BPS CCP LCH / Short: BEV2RCVH4 IRS NZD P F 3.13000 CCP LCH 000000000 39000000.00000000 OU Notional Amount -3630805.21000000 -0.10198823271 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 New Zealand Bank Bills 3 Months MNDBB3 Index Y 2028-01-09 0.00000000 NZD 0.00000000 NZD 39000000.00000000 NZD -3630805.21000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED INR / SOLD USD 000000000 1.00000000 NC 31409.57000000 0.000882285429 N/A DFE IN N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 6137794.59000000 USD 442534990.00000000 INR 2020-01-22 31409.57000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3P3WL4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3P3WL4 IRS USD P F 1.34820 CCP LCH 000000000 1348000.00000000 OU Notional Amount USD 30660.10000000 0.000861233041 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-09-06 0.00000000 USD 0.00000000 USD 1348000.00000000 USD 30660.10000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 EURO-BOBL FUTURE DEC19 XEUR 20191206 000000000 -256.00000000 NC 437108.25000000 0.012278240044 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bobl (FGBM) OEZ9 Comdty 2019-12-06 -34854640.00000000 EUR 437108.25000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -1088426.14000000 -0.03057356482 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5260688.91000000 USD 24435900.00000000 TRY 2020-02-03 -1088426.14000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385HJZ6 2215274.63000000 PA USD 2284569.75000000 0.064172881177 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.09000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3133T3WY0 219108.04000000 PA USD 234845.83000000 0.006596749144 Long ABS-MBS USGSE US N 2 2024-01-15 Fixed 6.50000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -9397.76000000 -0.00026398026 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 19684451.00000000 THB 642789.07000000 USD 2019-12-16 -9397.76000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PD28 1137.17000000 PA USD 1151.00000000 0.000032331245 Long ABS-MBS USGSE US N 2 2021-03-17 Fixed 10.50000000 N N N N N N COOF 2033337005 N/A COOF 2033337005 000000000 311015.59000000 PA USD 26306.80000000 0.000738950146 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.16000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -57590.89000000 -0.00161771088 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 6360000.00000000 NZD 4020124.20000000 USD 2019-11-04 -57590.89000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD TRY 000000000 1.00000000 NC 3267838.96000000 0.091792619283 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 122269000.00000000 TRY 24106664.04000000 USD 2020-02-10 3267838.96000000 N N N COOF 1860197010 N/A COOF 1860197010 000000000 326335.55000000 PA USD 39332.63000000 0.001104841816 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV26QDG8 IRS PLN R F 2.46000 2 CCP IRS / Short: SEV26QDG8 IRS PLN P V 06MWIBR6 1 CCP IRS 000000000 43554000.00000000 OU Notional Amount 516293.74000000 0.014502536781 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-10-28 0.00000000 PLN 0.00000000 PLN 43554000.00000000 PLN 516293.74000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 99010.75000000 0.002781182362 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 18941116.19000000 USD 17071758.62000000 EUR 2019-11-01 99010.75000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FTL63 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FTL63 IRS USD P F 2.64750 CCP LCH 000000000 3351000.00000000 OU Notional Amount USD -514996.66000000 -0.01446610219 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2059-04-04 0.00000000 USD 0.00000000 USD 3351000.00000000 USD -514996.66000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED BRL / SOLD USD 000000000 1.00000000 NC 424743.36000000 0.011930913981 N/A DFE BR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 15826596.87000000 USD 65176000.00000000 BRL 2019-11-04 424743.36000000 N N N COOF 2231267009 N/A COOF 2231267009 000000000 124130.25000000 PA USD 24050.38000000 0.000675567982 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N COOF 2373147003 N/A COOF 2373147003 000000000 917146.03000000 PA USD 68051.85000000 0.001911556118 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 1.91000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416CBV7 1021588.23000000 PA USD 1146817.02000000 0.032213747186 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 7.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BEV3PRA50 TRS USD R F .00000 0 FIXED / Short: BEV3PRA50 TRS USD P E BCOM 000000000 39600000.00000000 OU Notional Amount USD 134975.39000000 0.003791418346 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Bloomberg Commodity Index BCOM Index Y equity-performance leg 2019-11-20 0.00000000 USD 0.00000000 USD 39600000.00000000 USD 134975.39000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD NGN 000000000 1.00000000 NC 50365.29000000 0.001414745936 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 5961241225.94000000 NGN 16459333.00000000 USD 2019-11-29 50365.29000000 N N N PNMAC FMSR Issuer Trust N/A PNMAC GMSR ISSUER TRUST 2018-GT1 69354WAC0 9000000.00000000 PA USD 9064377.00000000 0.254615639628 Long ABS-O CORP US N 2 2023-02-25 Floating 4.67000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 865009.64000000 0.024297862144 N/A DFE EG N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 7185263.16000000 USD 136520000.00000000 EGP 2020-05-13 865009.64000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 41081.37000000 0.001153963399 N/A DFE EG N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 558961.19000000 USD 9793000.00000000 EGP 2019-12-16 41081.37000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC -363651.41000000 -0.01021485937 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 287302000.00000000 ZAR 18575880.62000000 USD 2019-12-03 -363651.41000000 N N N Bank of Georgia JSC 549300RPLD8RXL49Z691 Bank of Georgia Promissory Note 000000000 2630632.77000000 PA 878505.95000000 0.024676969457 Long STIV CORP GE N 2 2020-04-30 Variable 7.40000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -38265.64000000 -0.00107487038 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2781000.00000000 OMR 7091854.95000000 USD 2021-04-26 -38265.64000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3LJP07 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3LJP07 IRS USD P F 1.85200 CCP LCH 000000000 2455000.00000000 OU Notional Amount USD -40993.79000000 -0.00115150330 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-07-15 0.00000000 USD 0.00000000 USD 2455000.00000000 USD -40993.79000000 N N N RMOF SD 10/06/17 N/A RMOF SD 10/06/17 000000000 23664601.67000000 PA USD 2017755.77000000 0.056678156258 Long ABS-MBS CORP US N 2 2036-03-19 Fixed 2.24000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -50053.94000000 -0.00140600020 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 3600000.00000000 EUR 3983634.00000000 USD 2020-01-07 -50053.94000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD PHP 000000000 1.00000000 NC -498577.68000000 -0.01400489795 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 1162888000.00000000 PHP 22348618.21000000 USD 2020-01-09 -498577.68000000 N N N Kinh Bac City Development Share Holding Corp N/A Kinh Bac City Development Share Holding Corp 000000000 513300.00000000 NS 322337.59000000 0.009054366522 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2KELV7 IRS EUR R F 1.77500 INFLATION SWAP CCP LCH / Short: SEV2KELV7 IRS EUR P V 00MCPTFE CPTFEMU+0BPS INFLATION SWAP 000000000 13669000.00000000 OU Notional Amount 2281383.87000000 0.064083390761 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euro-stat Eurozone HICP ex Tobacco NSA CPTFEMU Index Y 2042-08-15 0.00000000 EUR 0.00000000 EUR 13669000.00000000 EUR 2281383.87000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PL45 802745.05000000 PA USD 897597.28000000 0.025213239208 Long ABS-MBS USGSE US N 2 2031-08-17 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EKZC2 1708808.25000000 PA USD 1909207.11000000 0.053629056855 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.50000000 N N N N N N EGYPT TREASURY BILL 529900GFIVH4086NMH82 Egypt Treasury Bills 000000000 967625000.00000000 PA 53463979.09000000 1.501787186596 Long STIV NUSS EG N 2 2020-08-04 None 0.00000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC 21367.63000000 0.000600210337 N/A DFE KR N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 1180165.12000000 USD 1399897000.00000000 KRW 2019-11-12 21367.63000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2KR1P3 IRS EUR R V 00MCPTFE BEV2KR1P3+0BPS INFLATION SWAP / Short: BEV2KR1P3 IRS EUR P F 1.60084 CCP LCH INFLATION SWAP 000000000 13346000.00000000 OU Notional Amount -1155637.49000000 -0.03246151155 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euro-stat Eurozone HICP ex Tobacco NSA CPTFEMU Index Y 2032-08-15 0.00000000 EUR 0.00000000 EUR 13346000.00000000 EUR -1155637.49000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BSV3MQGR1 IRS EUR R F .00000 CCP LCH/BEV3MQGR1 / Short: BSV3MQGR1 IRS EUR P V 06MEURIB EUR006M+0 BPS/BEV3MQGR1 000000000 3813000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2029-07-23 0.00000000 EUR 0.00000000 EUR 3813000.00000000 EUR 0.00000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED JPY / SOLD USD 000000000 1.00000000 NC -228512.44000000 -0.00641884611 N/A DFE JP N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7744860.85000000 USD 811362000.00000000 JPY 2019-11-12 -228512.44000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BSV3MSGU0 IRS EUR R F .07800 CCP LCH/BEV3MSGU0 / Short: BSV3MSGU0 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3MSGU0 000000000 7000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2029-08-06 0.00000000 EUR 0.00000000 EUR 7000000.00000000 EUR -6.81000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC 161429.09000000 0.004534494869 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 47840000.00000000 ZAR 3316832.37000000 USD 2019-11-29 161429.09000000 N N N ISLANDSBANKI 549300PZMFIQR79Q0T97 Islandsbanki HF 000000000 880000000.00000000 PA 7773641.28000000 0.218359259191 Long DBT CORP IS N 2 2023-10-26 Fixed 6.40000000 N N N N N N COOF 8187925002 N/A COOF 8187925002 000000000 966723.03000000 PA USD 99422.81000000 0.002792757004 Long ABS-MBS CORP US N 2 2041-04-15 Fixed 3.03000000 N N N N N N Kingdom of Jordan 5493000JZ4MYPVMBVN50 Jordan Government International Bond 000000000 210000.00000000 PA USD 222148.50000000 0.006240084941 Long DBT NUSS JO Y 2 2047-10-10 Fixed 7.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FLK04 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FLK04 IRS USD P F 2.80500 CCP LCH 000000000 23460000.00000000 OU Notional Amount USD -1559507.25000000 -0.04380609235 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-03-28 0.00000000 USD 0.00000000 USD 23460000.00000000 USD -1559507.25000000 N N N EGYPT GOVERNMENT BOND 529900GFIVH4086NMH82 Egypt Government Bond 000000000 615363000.00000000 PA 40674782.48000000 1.142542477866 Long DBT NUSS EG N 2 2026-08-06 Fixed 15.60000000 N N N N N N COOF 2230627008 N/A COOF 2230627008 000000000 1285572.41000000 PA USD 121538.43000000 0.003413978158 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.41000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 Long: BRSJ3WP40 CDS USD R V 03MEVENT HSBC S.AFRICA CDS 20221220 / Short: BRSJ3WP40 CDS USD P F 1.00000 HSBC S.AFRICA CDS 20221220 000000000 7300000.00000000 OU Notional Amount USD 65269.30000000 0.001833395121 N/A DCR ZA N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-12-20 213477.40000000 USD 0.00000000 USD 7300000.00000000 USD -148208.10000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3P61S6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3P61S6 IRS USD P F 1.64950 CCP LCH 000000000 3590000.00000000 OU Notional Amount USD 119895.55000000 0.003367830150 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-09-09 0.00000000 USD 0.00000000 USD 3590000.00000000 USD 119895.55000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36201VYZ9 259048.65000000 PA USD 295611.18000000 0.008303629656 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3H8PS5 IRS CNY R F 3.21500 CCP LCH / Short: SEV3H8PS5 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 42255000.00000000 OU Notional Amount 32552.16000000 0.000914380441 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-19 0.00000000 CNY 0.00000000 CNY 42255000.00000000 CNY 32552.16000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2HB7T8 IRS EUR R V 06MEURIB EUR006M+0BPS /BEV2HB7T8/CCP / Short: BEV2HB7T8 IRS EUR P F .25000 BEV2HB7T8/CCP/BSV2HB7T8 000000000 2712500.00000000 OU Notional Amount -53099.22000000 -0.00149154121 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2022-09-20 0.00000000 EUR -6137.10000000 EUR 2712500.00000000 EUR -45806.35000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PJM8 680180.76000000 PA USD 721368.63000000 0.020263029123 Long ABS-MBS USGSE US N 2 2028-02-17 Fixed 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2YV3C6 IRS HUF R V 06MBUBOR BUBOR06M +0BPS CCP LCH / Short: BEV2YV3C6 IRS HUF P F 1.88500 CCP LCH 000000000 558039000.00000000 OU Notional Amount -90910.06000000 -0.00255363640 N/A DIR HU N 2 LCH Limited F226TOH6YD6XJB17KS62 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2023-06-18 0.00000000 HUF 0.00000000 HUF 558039000.00000000 HUF -90910.06000000 N N N Ice Futures Europe 549300UF4R84F48NCH34 WTI CRUDE FUTURE JAN20 IFEU 20191218 000000000 -637.00000000 NC USD -1094848.21000000 -0.03075395885 N/A DCO GB N 1 Ice Futures Europe 549300UF4R84F48NCH34 Short Light Sweet Crude Oil ENF0 Comdty 2019-12-18 -33462401.79000000 USD -1094848.21000000 N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government International Bond 000000000 4600000.00000000 PA USD 4507123.65000000 0.126603755672 Long DBT NUSS LK Y 2 2028-04-18 Fixed 6.75000000 N N N N N N COOF 9675065008 N/A COOF 9675065008 000000000 2748466.94000000 PA USD 232350.51000000 0.006526656351 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.21000000 N N N N N N EXPORT-IMPORT BK INDIA 335800OFZ8YEIVN1QI11 Export-Import Bank of India 000000000 5000000.00000000 PA USD 5219676.45000000 0.146619150766 Long DBT NUSS IN Y 2 2024-03-12 Fixed 3.88000000 N N N N N N COOF 1553317009 N/A COOF 1553317009 000000000 821570.50000000 PA USD 102411.44000000 0.002876706727 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -99337.80000000 -0.00279036909 N/A DFE US N 2 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 1500000.00000000 OMR 3787878.79000000 USD 2020-04-06 -99337.80000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV26TBZ2 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV26TBZ2 IRS HUF P F 2.08500 2 CCP IRS 000000000 1825240000.00000000 OU Notional Amount -485804.77000000 -0.01364611073 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-11-02 0.00000000 HUF 0.00000000 HUF 1825240000.00000000 HUF -485804.77000000 N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY NOT N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY NOT 000000000 2140085.10000000 PA 711802.58000000 0.019994321639 Long STIV CORP GE N 2 2020-06-19 Variable 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3GNWE6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3GNWE6 IRS USD P F 2.94250 CCP LCH 000000000 3138000.00000000 OU Notional Amount USD -241911.37000000 -0.00679521805 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-04-18 0.00000000 USD 0.00000000 USD 3138000.00000000 USD -241911.37000000 N N N COOF 9329855006 N/A COOF 9329855006 000000000 1698080.88000000 PA USD 145769.18000000 0.004094612680 Long ABS-MBS CORP US N 2 2042-04-15 Fixed 2.46000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -186103.84000000 -0.00522760121 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 423387000.00000000 THB 13846584.03000000 USD 2020-01-10 -186103.84000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3L4H58 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3L4H58 IRS USD P F 1.74625 CCP LCH 000000000 186000.00000000 OU Notional Amount USD -2192.00000000 -0.00006157262 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-07-05 0.00000000 USD 0.00000000 USD 186000.00000000 USD -2192.00000000 N N N COOF 2329437010 N/A COOF 2329437010 000000000 444136.82000000 PA USD 53453.59000000 0.001501495360 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 Long: BRSJ3WMC5 CDS USD R V 03MEVENT BOFA S.AFRICA CDS 20220920 / Short: BRSJ3WMC5 CDS USD P F 1.00000 BOFA S.AFRICA CDS 20220920 000000000 29280000.00000000 OU Notional Amount USD 195648.96000000 0.005495720786 N/A DCR ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-09-20 598725.96000000 USD 0.00000000 USD 29280000.00000000 USD -403077.00000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -9799.48000000 -0.00027526446 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7872000.00000000 GHS 1284909.82000000 USD 2020-07-13 -9799.48000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PLX1 187854.55000000 PA USD 197464.94000000 0.005546731121 Long ABS-MBS USGSE US N 2 2024-03-17 Fixed 6.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -3058254.28000000 -0.08590544828 N/A DFE TR N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 14248363.49000000 USD 65656458.96000000 TRY 2020-02-10 -3058254.28000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Long: BEV161RW5 CDS USD R V 03MEVENT CITI CROATIA CDS 20200320 / Short: BEV161RW5 CDS USD P F 1.00000 CITI CROATIA CDS 20200320 000000000 1000000.00000000 OU Notional Amount USD -5306.00000000 -0.00014904395 N/A DCR HR N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 CROATIA CROATIA Y buy protection 2020-06-20 9383.75000000 USD 0.00000000 USD 1000000.00000000 USD -14689.75000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 88311.11000000 0.002480632674 N/A DFE UG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1966531.54000000 USD 7669473000.00000000 UGX 2019-11-26 88311.11000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BEV15RZF7 CDS USD R V 03MEVENT GOLD CROATIA CDS 20200320 / Short: BEV15RZF7 CDS USD P F 1.00000 GOLD CROATIA CDS 20200320 000000000 3410000.00000000 OU Notional Amount USD -11072.27000000 -0.00031101675 N/A DCR CR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CROATIA CROATIA Y buy protection 2020-03-20 19387.95000000 USD 0.00000000 USD 3410000.00000000 USD -30460.22000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -1525.95000000 -0.00004286347 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3501300.00000000 EUR 3911657.96000000 USD 2019-12-06 -1525.95000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2KEX93 IRS USD R V 00MCPURN CPURNSA+0BPS INFLATION SWAP / Short: BEV2KEX93 IRS USD P F 2.14600 INFLATION SWAP CCP LCH 000000000 6072000.00000000 OU Notional Amount USD -620253.77000000 -0.01742274293 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA CPURNSA Index Y 2047-08-25 0.00000000 USD 0.00000000 USD 6072000.00000000 USD -620253.77000000 N N N SILKNET JSC 635400QGWS2BG73SGG55 Silknet JSC 000000000 5761000.00000000 PA USD 6340038.11000000 0.178089774801 Long DBT CORP GE Y 2 2024-04-02 Fixed 11.00000000 N N N N N N COOF 2363557004 N/A COOF 2363557004 000000000 391362.23000000 PA USD 45756.48000000 0.001285285841 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ET6P6 218662.24000000 PA USD 240305.71000000 0.006750115541 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 9.00000000 N N N N N N Republic of Montenegro 747800V014106FYLL014 Montenegro Government International Bond 000000000 1000000.00000000 PA 1193689.63000000 0.033530384786 Long DBT NUSS ME Y 2 2025-04-21 Fixed 3.38000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 Long: BRSJ3WMW1 CDS USD R V 03MEVENT BOFA SAFRICA CDS 10YR 20220920 / Short: BRSJ3WMW1 CDS USD P F 1.00000 BOFA SAFRICA CDS 10YR 20220920 000000000 19900000.00000000 OU Notional Amount USD 132971.80000000 0.003735138102 N/A DCR ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-09-20 567011.50000000 USD 0.00000000 USD 19900000.00000000 USD -434039.70000000 N N N COOF 9630945008 N/A COOF 9630945008 000000000 2718836.92000000 PA USD 169384.44000000 0.004757958272 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 1.61000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -156836.12000000 -0.00440547971 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 13793450.00000000 OMR 35093372.34000000 USD 2021-08-09 -156836.12000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PC52 953.37000000 PA USD 957.73000000 0.000026902349 Long ABS-MBS USGSE US N 2 2021-01-17 Fixed 8.30000000 N N N N N N COOF 2188787005 N/A COOF 2188787005 000000000 232925.83000000 PA USD 31247.61000000 0.000877736021 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -42040.42000000 -0.00118090282 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 3310000.00000000 OMR 8422391.86000000 USD 2021-07-19 -42040.42000000 N N N COOF 2128077002 N/A COOF 2128077002 000000000 1644540.62000000 PA USD 139739.00000000 0.003925226727 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.16000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -137919.40000000 -0.00387411470 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 28273348.20000000 EUR 31543443.65000000 USD 2020-01-08 -137919.40000000 N N N Fannie Mae N/A Fannie Mae REMICS 31358RAL7 156119.10000000 PA USD 163740.73000000 0.004599428146 Long ABS-MBS USGSE US N 2 2022-10-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KU69 1004068.67000000 PA USD 1118667.90000000 0.031423046822 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31363WDP7 1675.37000000 PA USD 1880.79000000 0.000052830828 Long ABS-MBS USGSE US N 2 2026-07-20 Fixed 8.50000000 N N N N N N Bank of Georgia JSC 549300RPLD8RXL49Z691 Bank of Georgia Promissory Note 000000000 1904163.07000000 PA 637120.22000000 0.017896516477 Long STIV CORP GE N 2 2020-04-10 Variable 7.45000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -582.90000000 -0.00001637348 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 1252500000.00000000 KRW 1071598.71000000 USD 2020-01-22 -582.90000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 420091.29000000 0.011800238726 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 35985447.46000000 USD 32641934.15000000 EUR 2019-11-01 420091.29000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 243971.61000000 0.006853089575 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 47412185.70000000 USD 42729463.77000000 EUR 2019-11-01 243971.61000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED USD / SOLD BHD 000000000 1.00000000 NC -83456.59000000 -0.00234427065 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1478000.00000000 BHD 3836967.81000000 USD 2019-11-04 -83456.59000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385W2S7 104627.73000000 PA USD 118475.85000000 0.003327951201 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402CVV1 18259320.00000000 PA USD 20759894.62000000 0.583139232546 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 6.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -208531.30000000 -0.00585758186 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 20970000.00000000 NZD 13246757.39000000 USD 2019-12-16 -208531.30000000 N N N Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 PURCHASED MAD / SOLD USD 000000000 1.00000000 NC 72846.87000000 0.002046246796 N/A DFE MA N 2 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 4993855.61000000 USD 48765000.00000000 MAD 2019-12-20 72846.87000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 131108.32000000 0.003682793506 N/A DFE AU N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 4843944.29000000 USD 7210696.92000000 AUD 2019-12-06 131108.32000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BEV3PR9Q6 TRS USD R F .00000 0 FIXED / Short: BEV3PR9Q6 TRS USD P E BCOM 000000000 50400000.00000000 OU Notional Amount USD 171786.93000000 0.004825443498 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Bloomberg Commodity Index BCOM Index Y equity-performance leg 2019-11-20 0.00000000 USD 0.00000000 USD 50400000.00000000 USD 171786.93000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2JN307 IRS EUR R F 1.89500 INFLATION/ CCP LCH / Short: SEV2JN307 IRS EUR P V 00MCPI CPTFEMU INFLATION/ CCP LCH 000000000 1231000.00000000 OU Notional Amount 310928.41000000 0.008733886067 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 European Union Consumer Price Index (cpi) CPTFEMU Index Y 2047-08-04 0.00000000 EUR 0.00000000 EUR 1231000.00000000 EUR 310928.41000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED USD / SOLD TRY 000000000 1.00000000 NC 2360782.71000000 0.066313680436 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 80401306.00000000 TRY 16049766.64000000 USD 2020-02-14 2360782.71000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD BHD 000000000 1.00000000 NC -12861.51000000 -0.00036127597 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 5625000.00000000 BHD 14903030.95000000 USD 2019-12-23 -12861.51000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2SXYJ0 IRS HUF R V 06MBUBOR CCP LCH / Short: BEV2SXYJ0 IRS HUF P F 1.25250 CCP LCH 000000000 3930924000.00000000 OU Notional Amount -318873.39000000 -0.00895705818 N/A DIR HU N 2 LCH Limited F226TOH6YD6XJB17KS62 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2023-02-06 0.00000000 HUF 0.00000000 HUF 3930924000.00000000 HUF -318873.39000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PGF6 123340.50000000 PA USD 129650.43000000 0.003641841812 Long ABS-MBS USGSE US N 2 2024-09-17 Fixed 6.50000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD EGP 000000000 1.00000000 NC -126750.08000000 -0.00356037184 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 74000740.00000000 EGP 4447159.86000000 USD 2019-11-13 -126750.08000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -97820.63000000 -0.00274775224 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 17071758.62000000 EUR 18992843.62000000 USD 2019-12-13 -97820.63000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -11481.14000000 -0.00032250178 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3047000.00000000 GHS 502390.77000000 USD 2020-05-22 -11481.14000000 N N N COOF 2237237001 N/A COOF 2237237001 000000000 2535375.79000000 PA USD 252805.00000000 0.007101216859 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.41000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED CAD / SOLD USD 000000000 1.00000000 NC 412425.88000000 0.011584919651 N/A DFE CA N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 55855783.80000000 USD 74088787.31000000 CAD 2019-12-24 412425.88000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD TRY 000000000 1.00000000 NC 1279826.98000000 0.035949957192 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 46954000.00000000 TRY 9296901.30000000 USD 2020-02-03 1279826.98000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3QF0D9 IRS USD R F 1.81100 CCP LCH / Short: SEV3QF0D9 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 20450000.00000000 OU Notional Amount USD -216872.86000000 -0.00609189379 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-05 0.00000000 USD 0.00000000 USD 20450000.00000000 USD -216872.86000000 N N N Republic of El Salvador 529900AKDMUSFSDOM949 El Salvador Government International Bond 000000000 3867000.00000000 PA USD 4466423.67000000 0.125460505403 Long DBT NUSS SV Y 2 2032-04-10 Fixed 8.25000000 N N N N N N COOF 1651067010 N/A COOF 1651067010 000000000 1656522.12000000 PA USD 122850.12000000 0.003450823137 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 1.91000000 N N N N N N Republic of El Salvador 529900AKDMUSFSDOM949 El Salvador Government International Bond 000000000 8993000.00000000 PA USD 9453981.18000000 0.265559504550 Long DBT NUSS SV N 2 2027-01-18 Fixed 6.38000000 N N N N N N COOF 8222885010 N/A COOF 8222885010 000000000 1010550.66000000 PA USD 124976.28000000 0.003510546336 Long ABS-MBS CORP US N 2 2042-04-15 Fixed 2.93000000 N N N N N N TBC BANK JSC 2138001MSA39Q44QTA18 TBC Bank JSC 000000000 2772000.00000000 PA USD 2830905.00000000 0.079519274992 Long DBT CORP GE Y 2 2024-06-19 Fixed 5.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2YUWK8 IRS PLN R F 2.52500 CCP LCH / Short: SEV2YUWK8 IRS PLN P V 06MWIBOR WIBO6M CCP LCH 000000000 8210000.00000000 OU Notional Amount 59493.14000000 0.001671144513 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2023-06-18 0.00000000 PLN 0.00000000 PLN 8210000.00000000 PLN 59493.14000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC -61997.06000000 -0.00174147887 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 49080000.00000000 ZAR 3175193.43000000 USD 2019-11-29 -61997.06000000 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Bill 912796RM3 49900000.00000000 PA USD 49886697.66000000 1.401302420855 Long STIV UST US N 2 2019-11-07 None 0.00000000 N N N N N N Chicago Board Of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) DEC19 XCBT 20191231 000000000 -898.00000000 NC USD 673500.00000000 0.018918413619 N/A DIR US N 1 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Short 5 Year US Treasury Note FVZ9 Comdty 2019-12-31 -107717906.25000000 USD 673500.00000000 N N N Reginn HF 9676000V0KP4AUXNSZ66 Reginn HF 000000000 22125500.00000000 NS 3547028.19000000 0.099634961274 Long EC CORP IS N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2PU0K3 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH / Short: BEV2PU0K3 IRS EUR P F 1.00000 CCP LCH 000000000 7400000.00000000 OU Notional Amount -376880.95000000 -0.01058647319 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2023-03-21 0.00000000 EUR -138583.93000000 EUR 7400000.00000000 EUR -201200.81000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 3132FCBL8 675259.58000000 PA USD 719264.39000000 0.020203921650 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BSV3M2X53 IRS EUR R F .00000 CCP LCH/BEV3M2X53 / Short: BSV3M2X53 IRS EUR P V 06MEURIB EUR006M+0 BPS/BEV3M2X53 000000000 6626700.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2029-07-23 0.00000000 EUR 0.00000000 EUR 6626700.00000000 EUR 0.00000000 N N N PetroVietnam Drilling & Well Services JSC 5493008AE7RS4XK4BZ08 PetroVietnam Drilling & Well Services JSC 000000000 286509.00000000 NS 201829.67000000 0.005669335082 Long EC CORP VN N 2 N N N COOF 1212507009 N/A COOF 1212507009 000000000 2897398.44000000 PA USD 457380.60000000 0.012847684294 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 3.66000000 N N N N N N Export-Import Bank of India 335800OFZ8YEIVN1QI11 Export-Import Bank of India 30216KAC6 20200000.00000000 PA USD 21365038.84000000 0.600137552744 Long DBT NUSS IN Y 2 2028-02-01 Fixed 3.88000000 N N N N N N COOF 9602635001 N/A COOF 9602635001 000000000 1696685.07000000 PA USD 73270.26000000 0.002058139695 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.11000000 N N N N N N Fannie Mae - CAS N/A Fannie Mae Connecticut Avenue Securities 30711XQX5 13132047.00000000 PA USD 13424765.58000000 0.377097651059 Long ABS-MBS USGSE US N 2 2030-02-25 Floating 4.47000000 N N N N N N COOF 9612715005 N/A COOF 9612715005 000000000 641446.86000000 PA USD 93513.03000000 0.002626753051 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 3.21000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Long: BEV3N4D35 TRS USD R F .00000 CNY CSIN0905+0BPS / Short: BEV3N4D35 TRS USD P V 03MLIBOR US0003M-1325BPS 000000000 3715807.68000000 OU Notional Amount USD 274332.40000000 0.007705915089 N/A DE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 China Securities Index Co 500 Index CSIN0905 Index Y equity-performance leg 2019-11-12 0.00000000 USD 0.00000000 USD 3715807.68000000 USD 274332.40000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 839026.78000000 0.023568011376 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 66457398.78000000 EUR 75155675.42000000 USD 2019-12-13 839026.78000000 N N N Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -63541.67000000 -0.00178486651 N/A DFE US N 2 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 368410000.00000000 AED 100000000.00000000 USD 2021-04-05 -63541.67000000 N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 Nigeria Government International Bond 000000000 7811000.00000000 PA USD 8082112.00000000 0.227024109481 Long DBT NUSS NG N 2 2032-02-16 Fixed 7.88000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 1327.14000000 0.000037278965 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 113683.68000000 USD 103121.00000000 EUR 2019-11-01 1327.14000000 N N N Landsbankinn HF 549300TLZPT6JELDWM92 Landsbankinn HF 000000000 1660000000.00000000 PA 13962472.74000000 0.392201684405 Long DBT CORP IS Y 2 2023-11-23 Fixed 5.00000000 N N N N N N Freddie Mac - STACR N/A Freddie Mac Structured Agency Credit Risk Debt Notes 3137G0QQ5 4506486.00000000 PA USD 4600521.94000000 0.129227285711 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 4.32000000 N N N N N N COOF 1576187010 N/A COOF 1576187010 000000000 1229636.44000000 PA USD 170464.95000000 0.004788309475 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 3.16000000 N N N N N N GEORGIA T-BILL N/A Georgia Treasury Bills 000000000 4120000.00000000 PA 1388724.14000000 0.039008845855 Long STIV NUSS GE N 2 2019-11-14 None 0.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3NH7U3 IRS CLP R V 06MCLOIS CLICP+0BPS 1D COMPUNDING / Short: BEV3NH7U3 IRS CLP P F 2.12000 000000000 6653230000.00000000 OU Notional Amount 20180.03000000 0.000566851008 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-08-22 0.00000000 CLP 0.00000000 CLP 6653230000.00000000 CLP 20180.03000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3N0HG0 IRS CNY R F 2.67250 CCP LCH / Short: SEV3N0HG0 IRS CNY P V 03MCNRR0 CNRR007+0BPS CCP LCH 000000000 111819000.00000000 OU Notional Amount -310891.91000000 -0.00873286079 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-08-12 0.00000000 CNY 0.00000000 CNY 111819000.00000000 CNY -310891.91000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 3128CUJJ6 75722.89000000 PA USD 78284.09000000 0.002198976680 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NLCU8 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NLCU8 IRS USD P F 1.71320 CCP LCH 000000000 1062000.00000000 OU Notional Amount USD 19683.20000000 0.000552895202 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-08-27 0.00000000 USD 0.00000000 USD 1062000.00000000 USD 19683.20000000 N N N REP LEBANON REPUBLIC OF GOVERM REP LEBANON REPUBLIC OF GOVERM N/A REP LEBANON REPUBLIC OF GOVERM REP LEBANON REPUBLIC OF GOVERM 000000000 10493606.66000000 PA USD 10493606.66000000 0.294762273429 Long STIV NUSS US N 2 2020-10-29 Variable 1.35000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PMQ5 328025.86000000 PA USD 364049.30000000 0.010226035984 Long ABS-MBS USGSE US N 2 2032-03-25 Fixed 7.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3KZ6T0 IRS CLP R V 00MCLICP CLICP+0BPS / Short: BEV3KZ6T0 IRS CLP P F 2.76500 000000000 5133080000.00000000 OU Notional Amount -209198.14000000 -0.00587631320 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-01 0.00000000 CLP 0.00000000 CLP 5133080000.00000000 CLP -209198.14000000 N N N COOF 9600905006 N/A COOF 9600905006 000000000 578477.39000000 PA USD 98052.44000000 0.002754263721 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 3.71000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2ZJQ11 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2ZJQ11 IRS USD P F 2.99300 CCP LCH 000000000 1629000.00000000 OU Notional Amount USD -135045.03000000 -0.00379337451 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-03 0.00000000 USD 0.00000000 USD 1629000.00000000 USD -135045.03000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED JPY / SOLD USD 000000000 1.00000000 NC 53104.95000000 0.001491702166 N/A DFE JP N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 15481777.29000000 USD 1673177598.00000000 JPY 2019-12-16 53104.95000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -2635702.53000000 -0.07403609597 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 12210125.20000000 USD 56075000.00000000 TRY 2020-02-03 -2635702.53000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3J1TG0 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3J1TG0 IRS USD P F 2.14800 CCP LCH 000000000 1650000.00000000 OU Notional Amount USD -48158.71000000 -0.00135276376 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-05-17 0.00000000 USD 0.00000000 USD 1650000.00000000 USD -48158.71000000 N N N Freddie Mac N/A Freddie Mac REMICS 3133T6UU3 40536.46000000 PA USD 44265.82000000 0.001243413648 Long ABS-MBS USGSE US N 2 2026-02-15 Fixed 6.50000000 N N N N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY 000000000 1021086.26000000 PA 339841.88000000 0.009546056794 Long STIV CORP GE N 2 2020-06-12 Variable 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3K9BS4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3K9BS4 IRS USD P F 1.87470 CCP LCH 000000000 2470000.00000000 OU Notional Amount USD -42786.77000000 -0.00120186757 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-06-14 0.00000000 USD 0.00000000 USD 2470000.00000000 USD -42786.77000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3MV3M5 IRS USD R F 2.08000 CCP LCH / Short: SEV3MV3M5 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 24672000.00000000 OU Notional Amount USD 244329.78000000 0.006863150464 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-04-18 0.00000000 USD 0.00000000 USD 24672000.00000000 USD 244329.78000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC 1703.71000000 0.000047856704 N/A DFE KR N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 2408158.31000000 USD 2818200000.00000000 KRW 2019-12-11 1703.71000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225A6T2 21208.21000000 PA USD 22604.88000000 0.000634964320 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 9.00000000 N N N N N N Bank of Industry Limited N/A BANK OF INDUSTRY LIMITED SYNDICATED TERM LOAN FACILITY 000000000 18285000.00000000 PA USD 18193776.14000000 0.511057731727 Long LON CORP NG N 2 2021-05-21 Floating 7.98000000 N N N N N N COOF 1136997002 N/A COOF 1136997002 000000000 1124854.72000000 PA USD 217242.89000000 0.006102287823 Long ABS-MBS CORP US N 2 2043-06-15 Fixed 3.66000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD AUD 000000000 1.00000000 NC -41008.19000000 -0.00115190779 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 59551230.00000000 AUD 41056910.68000000 USD 2019-12-16 -41008.19000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PMR3 617666.63000000 PA USD 695569.74000000 0.019538346017 Long ABS-MBS USGSE US N 2 2029-08-17 Fixed 7.00000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 TOPIX INDX FUTR DEC19 XOSE 20191212 000000000 131.00000000 NC 1403226.95000000 0.039416225452 N/A DE JP N 2 Osaka Exchange 3538001249AILNPRUX57 Long TOPIX Index TPZ9 Index 2019-12-12 2018710000.00000000 JPY 1403226.95000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2J62Q8 IRS USD R V 00MCPI CPURNSA INFLATION/CCP LCH / Short: BEV2J62Q8 IRS USD P F 2.16000 INFLATION/CCP LCH 000000000 3927000.00000000 OU Notional Amount USD -422839.80000000 -0.01187744355 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA CPURNSA Index Y 2047-08-04 0.00000000 USD 0.00000000 USD 3927000.00000000 USD -422839.80000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -125950.35000000 -0.00353790767 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 9163030000.00000000 KRW 7709419.04000000 USD 2019-12-11 -125950.35000000 N N N COOF 2266577008 N/A COOF 2266577008 000000000 2782978.62000000 PA USD 237733.15000000 0.006677853099 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.16000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -577667.35000000 -0.01622650313 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 43121582.05000000 EUR 47768579.34000000 USD 2020-01-17 -577667.35000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2KR2H0 IRS EUR R F 1.79250 CCP LCH INFLATION SWAP / Short: SEV2KR2H0 IRS EUR P V 00MCPTFE CPTFEMU+0BPS INFLATION SWAP 000000000 13346000.00000000 OU Notional Amount 2320637.68000000 0.065186018547 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euro-stat Eurozone HICP ex Tobacco NSA CPTFEMU Index Y 2042-08-15 0.00000000 EUR 0.00000000 EUR 13346000.00000000 EUR 2320637.68000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3H8P06 IRS CNY R F 3.17750 CCP LCH / Short: SEV3H8P06 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 102100000.00000000 OU Notional Amount 51308.90000000 0.001441251659 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-04-30 0.00000000 CNY 0.00000000 CNY 102100000.00000000 CNY 51308.90000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3K5RS5 IRS CNY R F 2.94000 CCP LCH / Short: SEV3K5RS5 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 180000000.00000000 OU Notional Amount -170143.41000000 -0.00477927751 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-12 0.00000000 CNY 0.00000000 CNY 180000000.00000000 CNY -170143.41000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 4542.58000000 0.000127599713 N/A DFE EG N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 108956.98000000 USD 1849000.00000000 EGP 2019-12-09 4542.58000000 N N N Republic of Albania 254900EDM43U3SGRND29 Albania Government International Bond 000000000 1000000.00000000 PA 1180823.54000000 0.033168980165 Long DBT NUSS AL Y 2 2020-11-12 Fixed 5.75000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC 4857.79000000 0.000136453868 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 1246230000.00000000 KRW 1071189.22000000 USD 2020-01-09 4857.79000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3MZ1A4 IRS SGD R F 1.56250 CCP LCH / Short: SEV3MZ1A4 IRS SGD P V 06MSIBOR SORF6M+0BPS CCP LCH 000000000 10653000.00000000 OU Notional Amount 22217.00000000 0.000624068886 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2024-08-14 0.00000000 SGD 0.00000000 SGD 10653000.00000000 SGD 22217.00000000 N N N COOF 2323427006 N/A COOF 2323427006 000000000 472111.70000000 PA USD 53062.61000000 0.001490512848 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV27E0E3 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV27E0E3 IRS HUF P F 2.12000 2 CCP IRS 000000000 1190373000.00000000 OU Notional Amount -326621.47000000 -0.00917469943 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-11-08 0.00000000 HUF 0.00000000 HUF 1190373000.00000000 HUF -326621.47000000 N N N Bank for Foreign Trade of Vietnam JSC 2549004TS5QUBFGAWE51 Bank for Foreign Trade of Vietnam JSC 000000000 846990.00000000 NS 3194967.56000000 0.089745683446 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3H9LB4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3H9LB4 IRS USD P F 2.91500 CCP LCH 000000000 1255000.00000000 OU Notional Amount USD -93961.52000000 -0.00263935100 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-05-02 0.00000000 USD 0.00000000 USD 1255000.00000000 USD -93961.52000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -84102.07000000 -0.00236240199 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 8892000.00000000 NZD 5617005.26000000 USD 2019-11-04 -84102.07000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Long: BEV15D7F9 CDS USD R V 03MLIBOR BARC CROTIA CDS 20200320 / Short: BEV15D7F9 CDS USD P F 1.00000 BARC CROTIA CDS 20200320 000000000 4520000.00000000 OU Notional Amount USD -14676.44000000 -0.00041225681 N/A DCR CR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 CROATIA CROATIA Y buy protection 2020-03-20 25728.51000000 USD 0.00000000 USD 4520000.00000000 USD -40404.95000000 N N N COOF 9667865001 N/A COOF 9667865001 000000000 1917170.04000000 PA USD 129681.60000000 0.003642717368 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.61000000 N N N N N N Fannie Mae STRIP B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 31397VD87 23542913.89000000 PA USD 3436693.34000000 0.096535688329 Long ABS-MBS USGSE US N 2 2048-02-25 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3KKQH7 IRS USD R V 00MUSCPI CPURNSA+0 BPS CCP LCH / Short: BEV3KKQH7 IRS USD P F 1.73200 CCP LCH 000000000 74987000.00000000 OU Notional Amount USD -512447.66000000 -0.01439450154 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA CPURNSA Index Y 2024-06-21 0.00000000 USD 0.00000000 USD 74987000.00000000 USD -512447.66000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 203663.47000000 0.005720845975 N/A DFE UG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4207179.38000000 USD 16908653925.00000000 UGX 2020-03-25 203663.47000000 N N N COOF 2014207006 N/A COOF 2014207006 000000000 203068.54000000 PA USD 19066.74000000 0.000535579025 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.16000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 140056.85000000 0.003934155038 N/A DFE AU N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7200368.81000000 USD 10639000.00000000 AUD 2019-12-06 140056.85000000 N N N Fannie Mae - CAS N/A Fannie Mae Connecticut Avenue Securities 30711XUX0 5000000.00000000 PA USD 5069168.00000000 0.142391413409 Long ABS-MBS USGSE US N 2 2030-05-28 Floating 4.22000000 N N N N N N COOF 2303637002 N/A COOF 2303637002 000000000 353212.84000000 PA USD 59282.26000000 0.001665220957 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M8GT5 1103261.39000000 PA USD 1251753.37000000 0.035161377881 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359VU27 280559.95000000 PA USD 313243.88000000 0.008798926927 Long ABS-MBS USGSE US N 2 2029-06-25 Fixed 6.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED USD / SOLD BHD 000000000 1.00000000 NC -151250.50000000 -0.00424858132 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2830000.00000000 BHD 7349694.84000000 USD 2020-02-18 -151250.50000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2U4SY5 IRS PLN R F 3.14000 LCH CCP / Short: SEV2U4SY5 IRS PLN P V 06MWIBO6 WIBO6M 000000000 9965000.00000000 OU Notional Amount 270590.81000000 0.007600814944 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2028-02-07 117769.59000000 PLN 0.00000000 PLN 9965000.00000000 PLN 235489.62000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BEV1TM3Z3 CDS USD R V 03MEVENT GOLD QATAR CDS 20201220 / Short: BEV1TM3Z3 CDS USD P F 1.00000 GOLD QATAR CDS 20201220 000000000 1660000.00000000 OU Notional Amount USD -17006.70000000 -0.00047771311 N/A DCR QA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Qatar Government International Bond Qatar Government International Bond Y buy protection 2020-12-20 8912.02000000 USD 0.00000000 USD 1660000.00000000 USD -25918.72000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV2AJ5D5 IRS PLN R F 2.46000 1 CCP IRS / Short: SEV2AJ5D5 IRS PLN P V 06MWIBOR 2 CCP IRS 000000000 95706000.00000000 OU Notional Amount 387994.25000000 0.010898642469 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2022-01-12 0.00000000 PLN 0.00000000 PLN 95706000.00000000 PLN 387994.25000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3K11Y9 IRS CNY R F 2.87000 CCP LCH / Short: SEV3K11Y9 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 39453000.00000000 OU Notional Amount -54679.47000000 -0.00153592996 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-10 0.00000000 CNY 0.00000000 CNY 39453000.00000000 CNY -54679.47000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED NZD / SOLD USD 000000000 1.00000000 NC 124658.21000000 0.003501611845 N/A DFE NZ N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 5407198.96000000 USD 8624774.63000000 NZD 2019-11-25 124658.21000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED PHP / SOLD USD 000000000 1.00000000 NC 108427.76000000 0.003045703357 N/A DFE PH N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 3919631.75000000 USD 204789000.00000000 PHP 2019-12-10 108427.76000000 N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 1035380000.00000000 PA 5966047.59000000 0.167584492920 Long DBT NUSS LK N 2 2023-09-01 Fixed 11.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2YUVL7 IRS HUF R V 06MBUBOR BUBOR06M +0BPS CCP LCH / Short: BEV2YUVL7 IRS HUF P F 2.97150 CCP LCH 000000000 2735497000.00000000 OU Notional Amount -1424710.74000000 -0.04001969868 N/A DIR HU N 2 LCH Limited F226TOH6YD6XJB17KS62 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2028-06-18 0.00000000 HUF 0.00000000 HUF 2735497000.00000000 HUF -1424710.74000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED AED / SOLD USD 000000000 1.00000000 NC 1333.93000000 0.000037469694 N/A DFE AE N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3863185.09000000 USD 14203000.00000000 AED 2020-05-21 1333.93000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PKD6 217050.92000000 PA USD 228322.90000000 0.006413521991 Long ABS-MBS USGSE US N 2 2030-03-17 Fixed 7.50000000 N N N N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic International Bond 25714PBP2 68800000.00000000 PA 1499959.86000000 0.042133423970 Long DBT NUSS DO Y 2 2022-02-04 Fixed 16.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38373RUM9 46439.57000000 PA USD 49349.53000000 0.001386213541 Long ABS-MBS USGA US N 2 2023-10-26 Fixed 6.45000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 3198.18000000 0.000089835919 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 621518.14000000 USD 560133.15000000 EUR 2019-11-01 3198.18000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SEV3N9CC5 IRS MXN R F 6.90000 CCP CME / Short: SEV3N9CC5 IRS MXN P V 01MMTIIE MXIBTIIE+0BPS CCP CME 000000000 410080000.00000000 OU Notional Amount 448172.37000000 0.012589027867 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-08-03 0.00000000 MXN 0.00000000 MXN 410080000.00000000 MXN 448172.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402CS29 41543.04000000 PA USD 46196.94000000 0.001297658231 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 9.50000000 N N N N N N Tan Tao Investment & Industry JSC N/A Tan Tao Investment & Industry JSC 000000000 1064400.00000000 NS 145251.81000000 0.004080079911 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3A3WT3 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3A3WT3 IRS USD P F 3.04300 CCP LCH 000000000 13700000.00000000 OU Notional Amount USD -1173323.21000000 -0.03295829813 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-12-21 0.00000000 USD 0.00000000 USD 13700000.00000000 USD -1173323.21000000 N N N COOF 2237857010 N/A COOF 2237857010 000000000 3669995.18000000 PA USD 235968.19000000 0.006628275901 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 1.66000000 N N N N N N COOF 1985837005 N/A COOF 1985837005 000000000 1753854.05000000 PA USD 247891.86000000 0.006963208226 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N Reitir fasteignafelag hf 967600GFEYNJK2W4G048 Reitir fasteignafelag hf 000000000 9332181.00000000 NS 5616238.11000000 0.157758449221 Long EC CORP IS N 2 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3M4D44 IRS CLP R V 06MCLICP CLICP+0BPS 1D COMPOUNDING / Short: BEV3M4D44 IRS CLP P F 2.46000 000000000 5133080000.00000000 OU Notional Amount -103048.45000000 -0.00289460014 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-23 0.00000000 CLP 0.00000000 CLP 5133080000.00000000 CLP -103048.45000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -146147.78000000 -0.00410524744 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 15880000.00000000 NZD 10047434.80000000 USD 2020-01-09 -146147.78000000 N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic International Bond 000000000 263800000.00000000 PA 5268107.48000000 0.147979563918 Long DBT NUSS DO Y 2 2026-11-06 Fixed 11.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3N1B41 IRS USD R V 03MLIBOR US0003M+0 BPS CCP LCH / Short: BEV3N1B41 IRS USD P F 1.56875 CCP LCH 000000000 40340000.00000000 OU Notional Amount USD 94806.66000000 0.002663090731 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-08-13 0.00000000 USD 0.00000000 USD 40340000.00000000 USD 94806.66000000 N N N Fannie Mae N/A Fannie Mae REMICS 31359HG81 206944.47000000 PA USD 223898.47000000 0.006289241075 Long ABS-MBS USGSE US N 2 2024-05-17 Fixed 7.50000000 N N N N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 Nigeria Government International Bond 000000000 8758000.00000000 PA USD 9667255.56000000 0.271550318114 Long DBT NUSS NG N 2 2031-01-21 Fixed 8.75000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3133T8U70 138361.02000000 PA USD 151987.74000000 0.004269290171 Long ABS-MBS USGSE US N 2 2027-01-15 Fixed 6.50000000 N N N N N N COOF 1963907001 N/A COOF 1963907001 000000000 1525677.47000000 PA USD 179720.94000000 0.005048307466 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225ATR1 99677.19000000 PA USD 105993.79000000 0.002977333868 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 6.50000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359HWH3 138022.92000000 PA USD 148577.08000000 0.004173485751 Long ABS-MBS USGSE US N 2 2024-04-25 Fixed 7.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED NOK / SOLD USD 000000000 1.00000000 NC -453400.47000000 -0.01273588363 N/A DFE NO N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 21896642.69000000 USD 197130000.00000000 NOK 2019-12-20 -453400.47000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -1139.60000000 -0.00003201102 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2614821.88000000 EUR 2921283.19000000 USD 2019-12-06 -1139.60000000 N N N COOF 9766785007 N/A COOF 9766785007 000000000 862175.04000000 PA USD 134436.61000000 0.003776284177 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BRSJ3WN34 CDS USD R V 03MEVENT GS S.AFRICA 10YR CDS 20220920 / Short: BRSJ3WN34 CDS USD P F 1.00000 GS S.AFRICA 10YR CDS 20220920 000000000 10690000.00000000 OU Notional Amount USD 71430.58000000 0.002006463634 N/A DCR ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-09-20 294629.21000000 USD 0.00000000 USD 10690000.00000000 USD -223198.63000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD RUB 000000000 1.00000000 NC 19233.05000000 0.000540250623 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 2129450000.00000000 RUB 33131072.68000000 USD 2019-11-25 19233.05000000 N N N COOF 1126547003 N/A COOF 1126547003 000000000 1571039.41000000 PA USD 116510.59000000 0.003272747635 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 1.91000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -33134.41000000 -0.00093073566 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 7901000.00000000 GHS 1288381.57000000 USD 2020-06-08 -33134.41000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3GNWS5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3GNWS5 IRS USD P F 2.94000 CCP LCH 000000000 6276000.00000000 OU Notional Amount USD -482600.49000000 -0.01355610346 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-04-18 0.00000000 USD 0.00000000 USD 6276000.00000000 USD -482600.49000000 N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY NOT N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY NOT 000000000 2878744.03000000 PA 959611.51000000 0.026955200386 Long STIV CORP GE N 2 2020-05-26 Variable 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FLX42 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FLX42 IRS USD P F 2.21600 CCP LCH 000000000 4853000.00000000 OU Notional Amount USD -150926.31000000 -0.00423947492 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-03-28 0.00000000 USD 0.00000000 USD 4853000.00000000 USD -150926.31000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -554074.49000000 -0.01556378675 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 18170000.00000000 OMR 46099200.81000000 USD 2021-03-10 -554074.49000000 N N N GEORGIA T-BOND N/A Georgia Treasury Bond 000000000 18240000.00000000 PA 5707245.44000000 0.160314817909 Long DBT NUSS GE N 2 2024-05-30 Fixed 7.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 168340.45000000 0.004728632905 N/A DFE AU N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 11766942.77000000 USD 17307000.00000000 AUD 2019-11-18 168340.45000000 N N N KIDO Group Corp N/A KIDO Group Corp 000000000 373100.00000000 NS 349069.78000000 0.009805265746 Long EC CORP VN N 2 N N N Democratic Socialist Republic of Sri Lanka 254900HXCCIOHM74FA02 Sri Lanka Government Bonds 000000000 282000000.00000000 PA 1586091.67000000 0.044552840759 Long DBT NUSS LK N 2 2022-10-01 Fixed 10.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381D3R4 13582.26000000 PA USD 14322.66000000 0.000402319236 Long ABS-MBS USGSE US N 2 2026-01-15 Fixed 8.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2ZMM00 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2ZMM00 IRS USD P F 3.00950 CCP LCH 000000000 3763000.00000000 OU Notional Amount USD -316811.26000000 -0.00889913356 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-05 0.00000000 USD 0.00000000 USD 3763000.00000000 USD -316811.26000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31364QMJ3 175.38000000 PA USD 175.62000000 0.000004933113 Long ABS-MBS USGSE US N 2 2020-01-01 Fixed 9.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -469090.52000000 -0.01317661244 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 20760781021.00000000 KRW 17294165.54000000 USD 2020-01-08 -469090.52000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Long: BEV3PUEH3 CDS USD R F 1.00000 BILATERAL/49ACF8 / Short: BEV3PUEH3 CDS USD P V 03MEVENT BILATERAL/49ACF8 000000000 17650000.00000000 OU Notional Amount USD 201863.05000000 0.005670272716 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Indonesia Government International Bond Indonesia Government International Bond Y sell protection 2024-12-20 101830.62000000 USD 0.00000000 USD 17650000.00000000 USD 100032.43000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -150130.25000000 -0.00421711383 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 18259000.00000000 NZD 11570563.97000000 USD 2020-01-09 -150130.25000000 N N N COOF 9664715007 N/A COOF 9664715007 000000000 722683.66000000 PA USD 64449.63000000 0.001810370835 Long ABS-MBS CORP US N 2 2042-11-15 Fixed 2.41000000 N N N N N N Freddie Mac N/A Freddie Mac Non Gold Pool 31348QHB7 19423.31000000 PA USD 19500.68000000 0.000547768270 Long ABS-MBS USGSE US N 2 2023-09-01 Floating 3.44000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3JZ8P8 IRS CNY R F 2.90000 CCP LCH / Short: SEV3JZ8P8 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 59180000.00000000 OU Notional Amount -69863.93000000 -0.00196245690 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-06-06 0.00000000 CNY 0.00000000 CNY 59180000.00000000 CNY -69863.93000000 N N N Petrovietnam Fertilizer & Chemicals JSC 5493008AE7RS4XK4BZ08 Petrovietnam Fertilizer & Chemicals JSC 000000000 385500.00000000 NS 226541.14000000 0.006363472885 Long EC CORP VN N 2 N N N Fannie Mae N/A Fannie Mae REMICS 31396QCX5 2939635.93000000 PA USD 3185787.52000000 0.089487818867 Long ABS-MBS USGSE US N 2 2039-07-25 Variable 5.84000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 143943.25000000 0.004043322852 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 19083051.32000000 EUR 21557646.00000000 USD 2020-01-31 143943.25000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 Long: BEV150P34 CDS USD R V 03MEVENT BNP CROATIA CDS 20200320 / Short: BEV150P34 CDS USD P F 1.00000 BNP CROATIA CDS 20200320 000000000 2340000.00000000 OU Notional Amount USD -7597.98000000 -0.00021342498 N/A DCR HR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 CROATIA CROATIA Y buy protection 2020-03-20 13290.87000000 USD 0.00000000 USD 2340000.00000000 USD -20888.85000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -190674.04000000 -0.00535597677 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 39088001.65000000 EUR 43608919.92000000 USD 2020-01-08 -190674.04000000 N N N GEORGIA T-BILL N/A Georgia Treasury Bills 000000000 1815000.00000000 PA 588465.65000000 0.016529824153 Long STIV NUSS GE N 2 2020-05-07 None 0.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED EUR / SOLD RSD 000000000 1.00000000 NC N/A -26796.00000000 -0.00075269162 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1940908594.00000000 RSD 16498712.97000000 EUR 2019-11-04 -26796.00000000 N N N Fannie Mae N/A Fannie Mae REMICS 31358R6U2 157500.98000000 PA USD 164086.46000000 0.004609139598 Long ABS-MBS USGSE US N 2 2023-01-25 Fixed 6.68000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED BRL / SOLD USD 000000000 1.00000000 NC -522506.11000000 -0.01467704039 N/A DFE BR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 9913653.09000000 USD 38197000.00000000 BRL 2020-07-23 -522506.11000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3LEWM2 IRS CLP R V 00MCLICP CLICP+0BPS 1D COMPOUNING / Short: BEV3LEWM2 IRS CLP P F 2.68500 000000000 15765888000.00000000 OU Notional Amount -555173.98000000 -0.01559467109 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-11 0.00000000 CLP 0.00000000 CLP 15765888000.00000000 CLP -555173.98000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BRSJ3X9N4 CDS USD R V 99MEVENT CITIBANK EGYPT 10Y REC CR PR / Short: BRSJ3X9N4 CDS USD P F 1.00000 CITIBANK EGYPT 10Y PAY FIX 1% 000000000 50000.00000000 OU Notional Amount USD 153.25000000 0.000004304746 N/A DCR EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Egypt Treasury Bills Egypt Treasury Bills Y buy protection 2020-06-20 369.94000000 USD 0.00000000 USD 50000.00000000 USD -216.69000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -23489.82000000 -0.00065982202 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 241351000.00000000 THB 7977226.90000000 USD 2020-01-24 -23489.82000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED EUR / SOLD PLN 000000000 1.00000000 NC N/A -210450.99000000 -0.00591150538 N/A DFE XX N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 44973117.00000000 PLN 10360476.04000000 EUR 2019-11-12 -210450.99000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3M4D02 IRS CLP R F .21000 CLF CURRENCY -VE FIXED / Short: BEV3M4D02 IRS CLP P V 06MCLOIS CLICP+0BPS 000000000 4817073101.50000000 OU Notional Amount 89333.78000000 0.002509359168 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-23 0.00000000 CLP 0.00000000 CLP 4817073101.50000000 CLP 89333.78000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PD69 61460.99000000 PA USD 62398.00000000 0.001752741162 Long ABS-MBS USGSE US N 2 2022-10-25 Fixed 7.95000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD BRL 000000000 1.00000000 NC -246399.55000000 -0.00692128968 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 284068000.00000000 BRL 70584668.90000000 USD 2019-11-04 -246399.55000000 N N N COOF 8471595007 N/A COOF 8471595007 000000000 932632.66000000 PA USD 108782.98000000 0.003055681381 Long ABS-MBS CORP US N 2 2041-07-15 Fixed 3.03000000 N N N N N N Sjova-Almennar Tryggingar hf 213800R3IXBON2LBEI63 Sjova-Almennar Tryggingar hf 000000000 18251135.00000000 NS 2361621.11000000 0.066337230841 Long EC CORP IS N 2 N N N COOF 2148227007 N/A COOF 2148227007 000000000 1407180.32000000 PA USD 100753.38000000 0.002830132318 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 2.96000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -188187.53000000 -0.00528613144 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 376755451.00000000 THB 12292687.63000000 USD 2019-12-06 -188187.53000000 N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 1365.76000000 0.000038363790 N/A DFE XX N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 217136.73000000 USD 195503.91000000 EUR 2019-12-06 1365.76000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -27676.06000000 -0.00077741225 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4740000.00000000 GHS 765133.17000000 USD 2020-06-08 -27676.06000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3H8NV0 IRS CNY R F 3.17750 CCP LCH / Short: SEV3H8NV0 IRS CNY P V 03MCNDR7 CNRR007+0BPS CCP LCH 000000000 306300000.00000000 OU Notional Amount 153926.70000000 0.004323754978 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 CFETS China Fixing Repo Rate 7 Days CNRR007 Index Y 2024-04-30 0.00000000 CNY 0.00000000 CNY 306300000.00000000 CNY 153926.70000000 N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic International Bond 000000000 913000000.00000000 PA 17544779.21000000 0.492827602017 Long DBT NUSS DO Y 2 2026-03-06 Fixed 10.38000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PH99 71566.46000000 PA USD 75728.48000000 0.002127190359 Long ABS-MBS USGSE US N 2 2024-08-17 Fixed 7.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 14248.82000000 0.000400245093 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 6461336.96000000 USD 5774000.00000000 EUR 2020-01-22 14248.82000000 N N N Freddie Mac N/A Freddie Mac Non Gold Pool 31346AF83 278893.61000000 PA USD 291069.07000000 0.008176043144 Long ABS-MBS USGSE US N 2 2030-06-01 Floating 4.45000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -153786.46000000 -0.00431981567 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 10874000.00000000 NZD 6822238.86000000 USD 2019-12-06 -153786.46000000 N N N COOF 9473635004 N/A COOF 9473635004 000000000 964158.53000000 PA USD 131232.90000000 0.003686292921 Long ABS-MBS CORP US N 2 2042-07-15 Fixed 3.46000000 N N N N N N PAKISTAN T BILL BEV3PG2K0 N/A PAKISTAN T BILL BEV3PG2K0 000000000 2925800000.00000000 PA 18575209.19000000 0.521772072051 Long STIV CORP PK N 2 2019-12-05 None 0.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -38183.17000000 -0.00107255382 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 11411000.00000000 NZD 7278780.21000000 USD 2019-11-12 -38183.17000000 N N N Barbados 529900UD1KUUS4SFD905 BARBADOS TERM LOAN 000000000 25760000.00000000 PA USD 17910928.00000000 0.503112612048 Long LON CORP BB N 2 2019-12-20 None 0.00000000 Y N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 200667.86000000 0.005636700186 N/A DFE AU N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 11665798.50000000 USD 17210000.00000000 AUD 2019-11-12 200667.86000000 N N N COOF 8264205003 N/A COOF 8264205003 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2037-04-15 Fixed 3.53000000 N N N N N N GEORGIA T-BILL N/A Georgia Treasury Bills 000000000 160000.00000000 PA 51191.02000000 0.001437940445 Long STIV NUSS GE N 2 2020-07-02 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED USD / SOLD MYR 000000000 1.00000000 NC -22161.95000000 -0.00062252254 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 18950000.00000000 MYR 4522673.03000000 USD 2019-11-27 -22161.95000000 N N N COOF 1814867009 N/A COOF 1814867009 000000000 842414.52000000 PA USD 73403.71000000 0.002061888265 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.46000000 N N N N N N COOF 2254177009 N/A COOF 2254177009 000000000 1583747.31000000 PA USD 182408.37000000 0.005123796572 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.41000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD BHD 000000000 1.00000000 NC -0.25000000 -0.00000000702 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 100.00000000 BHD 264.92000000 USD 2019-12-24 -0.25000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3GTZL4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3GTZL4 IRS USD P F 2.92600 CCP LCH 000000000 2039000.00000000 OU Notional Amount USD -154546.17000000 -0.00434115570 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-04-20 0.00000000 USD 0.00000000 USD 2039000.00000000 USD -154546.17000000 N N N COOF 1826907005 N/A COOF 1826907005 000000000 1763802.69000000 PA USD 144057.36000000 0.004046528168 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.16000000 N N N N N N COOF 6578505003 N/A COOF 6578505003 000000000 935940.70000000 PA USD 75264.33000000 0.002114152525 Long ABS-MBS CORP US N 2 2029-02-15 Fixed 2.99000000 N N N N N N UKRAINE T-BILL 6354001WLTJXOMEXPY07 Ukraine Treasury Bill 000000000 464285000.00000000 PA 17609849.34000000 0.494655402512 Long STIV NUSS UA N 2 2020-04-01 None 0.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV2AJ5A1 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV2AJ5A1 IRS HUF P F 1.46000 2 CCP IRS 000000000 6569260000.00000000 OU Notional Amount -519025.25000000 -0.01457926408 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2022-01-12 0.00000000 HUF 0.00000000 HUF 6569260000.00000000 HUF -519025.25000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -28106.76000000 -0.00078951048 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 3054000.00000000 NZD 1932296.34000000 USD 2020-01-09 -28106.76000000 N N N Iceland Rikisbref 254900IPCJWRC6XAJN15 Iceland Rikisbref 000000000 4227587523.00000000 PA 38390714.44000000 1.078383689572 Long DBT NUSS IS N 2 2028-11-15 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MLKR7 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3MLKR7 IRS USD P F 2.20500 CCP LCH 000000000 7814900.00000000 OU Notional Amount USD -747064.43000000 -0.02098481646 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-08-01 0.00000000 USD 0.00000000 USD 7814900.00000000 USD -747064.43000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -16977.84000000 -0.00047690244 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4270697.51000000 EUR 4756113.53000000 USD 2019-12-06 -16977.84000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31388SAM7 3061039.72000000 PA USD 3492845.14000000 0.098112975601 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.00000000 N N N N N N Eimskipafelag Islands Hf 549300IUR8Q7Y44KBL02 Eimskipafelag Islands Hf 000000000 4064445.00000000 NS 5596239.43000000 0.157196692280 Long EC CORP IS N 2 N N N Freddie Mac STRIP S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 31325W4R0 16619671.97000000 PA USD 2156224.61000000 0.060567704571 Long ABS-MBS USGSE US N 2 2047-12-15 Fixed 3.50000000 N N N N N N COOF 9574295008 N/A COOF 9574295008 000000000 2462811.48000000 PA USD 191915.05000000 0.005390836370 Long ABS-MBS CORP US N 2 2042-07-15 Fixed 1.91000000 N N N N N N COOF 9669465003 N/A COOF 9669465003 000000000 864852.67000000 PA USD 106948.80000000 0.003004159813 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 2.91000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2UMUC0 IRS HUF R V 06MBUBOR BUBOR06M+0BPS CCP LCH / Short: BEV2UMUC0 IRS HUF P F 1.14500 CCP LCH 000000000 2129000000.00000000 OU Notional Amount -150521.57000000 -0.00422810589 N/A DIR HU N 2 LCH Limited F226TOH6YD6XJB17KS62 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2023-03-13 0.00000000 HUF 0.00000000 HUF 2129000000.00000000 HUF -150521.57000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BEV1UPG31 CDS USD R V 03MEVENT GOLD QATAR CDS 20201220 / Short: BEV1UPG31 CDS USD P F 1.00000 GOLD QATAR CDS 20201220 000000000 10000.00000000 OU Notional Amount USD -102.45000000 -0.00000287778 N/A DCR QA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Qatar Government International Bond Qatar Government International Bond Y buy protection 2020-12-20 28.77000000 USD 0.00000000 USD 10000.00000000 USD -131.22000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -6895.06000000 -0.00019368017 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 560133.15000000 EUR 617821.26000000 USD 2019-11-01 -6895.06000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV0W5VX2 CDS USD R V 03MEVENT GLD QATAR CDS 20240920 / Short: BEV0W5VX2 CDS USD P F 1.00000 GLD QATAR CDS 20240920 000000000 3090000.00000000 OU Notional Amount USD -82842.90000000 -0.00232703229 N/A DCR QA N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Qatar Government International Bond Qatar Government International Bond Y buy protection 2024-09-20 0.00000000 USD -1292.65000000 USD 3090000.00000000 USD -81550.25000000 N N N Freddie Mac N/A Freddie Mac REMICS 3137F4ZS4 28816054.64000000 PA USD 3930655.37000000 0.110410934054 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3PEYF1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3PEYF1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH 000000000 550000.00000000 OU Notional Amount USD -1662.07000000 -0.00004668704 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-09-13 0.00000000 USD 0.00000000 USD 550000.00000000 USD -1662.07000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 BEV3FTLS5 SWAPTION MAR29 2.64 CALL 000000000 25135000.00000000 NC USD 5647698.27000000 0.158642155709 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 IRS Swap N/A 25135000.00000000 OU Notional Amount N/A 5647698.27000000 0.16000000 DIR US ICE Libor USD 3 Months US0003M Index 2059-04-04 0.00000000 N/A 0.00000000 N/A 25135000.00000000 USD 1.00000000 2.64000000 USD 2029-03-29 XXXX 2566147.27000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 EURO-BUND FUTURE DEC19 XEUR 20191206 000000000 -53.00000000 NC 164450.94000000 0.004619377732 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bund (FGBL) RXZ9 Comdty 2019-12-06 -9250730.00000000 EUR 164450.94000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -61581.31000000 -0.00172980058 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 24030500000.00000000 KRW 20514341.81000000 USD 2020-01-29 -61581.31000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390PTM9 19545.69000000 PA USD 20604.85000000 0.000578784075 Long ABS-MBS USGSE US N 2 2025-07-01 Floating 7.60000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M7PT7 4383318.42000000 PA USD 4957425.08000000 0.139252588198 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -75774.39000000 -0.00212847995 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 5599201000.00000000 KRW 4712140.54000000 USD 2019-12-11 -75774.39000000 N N N COOF 1607627004 N/A COOF 1607627004 000000000 1485460.03000000 PA USD 124256.27000000 0.003490321470 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 1.91000000 N N N N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 Thailand Government Bond 000000000 2480895326.00000000 PA 80121876.40000000 2.250599551167 Long DBT NUSS TH Y 2 2028-03-12 Fixed 1.25000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC 19761.19000000 0.000555085918 N/A DFE TR N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 106818.82000000 USD 743458.96000000 TRY 2020-02-14 19761.19000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD AUD 000000000 1.00000000 NC -542026.02000000 -0.01522534883 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 50000000.00000000 AUD 33964330.00000000 USD 2019-12-16 -542026.02000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36203CKT8 57888.83000000 PA USD 61489.16000000 0.001727212118 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 6.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV25TX55 IRS HUF R V 06MBUBOR BUBOR6M+0BPS /BEV25TX55/CCP / Short: BEV25TX55 IRS HUF P F 2.14000 BEV25TX55/CCP 000000000 957698000.00000000 OU Notional Amount -266273.67000000 -0.00747954777 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-10-13 0.00000000 HUF 0.00000000 HUF 957698000.00000000 HUF -266273.67000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD CNH 000000000 1.00000000 NC -20146.13000000 -0.00056589876 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 48820000.00000000 CNY 6891294.84000000 USD 2020-01-23 -20146.13000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC 1537142.41000000 0.043177870682 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 717447000.00000000 ZAR 48858100.15000000 USD 2019-11-29 1537142.41000000 N N N COOF 2099157002 N/A COOF 2099157002 000000000 874148.79000000 PA USD 83429.26000000 0.002343502967 Long ABS-MBS CORP US N 2 2028-04-15 Fixed 3.71000000 N N N N N N COOF 1425577001 N/A COOF 1425577001 000000000 2724241.54000000 PA USD 205718.43000000 0.005778569187 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 1.91000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 8377.05000000 0.000235308829 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 5477000.00000000 NZD 3521278.32000000 USD 2019-11-25 8377.05000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED ZAR / SOLD USD 000000000 1.00000000 NC -2578.39000000 -0.00007242620 N/A DFE ZA N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 465335.69000000 USD 7016000.00000000 ZAR 2019-11-29 -2578.39000000 N N N COOF 2260027006 N/A COOF 2260027006 000000000 382469.13000000 PA USD 41714.81000000 0.001171756539 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3ECCM6 IRS GBP R V 06MLIBOR BP0006M+0BPS CCP LCH / Short: BEV3ECCM6 IRS GBP P F 1.48570 CCP LCH 000000000 26040000.00000000 OU Notional Amount -2070944.54000000 -0.05817221290 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2029-02-28 0.00000000 GBP 0.00000000 GBP 26040000.00000000 GBP -2070944.54000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -85847.63000000 -0.00241143425 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1946000.00000000 OMR 4940465.61000000 USD 2020-08-27 -85847.63000000 N N N COOF 8133675004 N/A COOF 8133675004 000000000 666632.72000000 PA USD 52020.11000000 0.001461229335 Long ABS-MBS CORP US N 2 2041-02-15 Fixed 2.38000000 N N N N N N COOF 2148157010 N/A COOF 2148157010 000000000 1097951.00000000 PA USD 77704.28000000 0.002182689991 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 2.96000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC 2559.45000000 0.000071894185 N/A DFE KR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 763535.33000000 USD 891312970.00000000 KRW 2019-11-01 2559.45000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202DQC8 328267.50000000 PA USD 376414.61000000 0.010573373844 Long ABS-MBS USGA US N 2 2031-10-20 Fixed 7.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 26890.38000000 0.000755342733 N/A DFE UG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 880075.76000000 USD 3554626000.00000000 UGX 2020-06-15 26890.38000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: B91ZBY231 CDS USD R V 03MEVENT 2I65BZDL3 CCP ICE / Short: B91ZBY231 CDS USD P F 1.00000 CCP ICE 000000000 3000000.00000000 OU Notional Amount USD 120954.00000000 0.003397561694 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.EM.S31.V1 2I65BZDL3 Y buy protection 2024-06-20 81465.67000000 USD 0.00000000 USD 3000000.00000000 USD 39488.33000000 N N N Ethiopian Railways Corporation N/A ETHIOPIAN RAILWAYS CORPORATION DELAYED DRAW TERM LOAN 000000000 6933333.35000000 PA USD 6929422.95000000 0.194645418727 Long LON CORP ET N 2 2021-08-02 Floating 5.94000000 N N N N N N Hoa Phat Group JSC 549300ODJEFGL5CWKD32 Hoa Phat Group JSC 000000000 1584567.00000000 NS 1486014.76000000 0.041741710281 Long EC CORP VN N 2 N N N Fannie Mae N/A Fannie Mae REMICS 31358Q5Q4 131512.77000000 PA USD 132397.38000000 0.003719002816 Long ABS-MBS USGSE US N 2 2022-10-25 Floating 2.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RDH9 529850.40000000 PA USD 601621.31000000 0.016899362709 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N ICE Clear Europe Limited 5R6J7JCQRIPQR1EEP713 Long: BEV3PU3Q5 CDS USD R F 1.00000 BILATERAL/49ACF8 / Short: BEV3PU3Q5 CDS USD P V 03MEVENT BILATERAL/49ACF8 000000000 5055000.00000000 OU Notional Amount USD 57814.04000000 0.001623979096 N/A DCR US N 2 ICE Clear Europe Limited 5R6J7JCQRIPQR1EEP713 Indonesia Government International Bond Indonesia Government International Bond Y sell protection 2024-12-20 31608.48000000 USD 0.00000000 USD 5055000.00000000 USD 26205.56000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD NGN 000000000 1.00000000 NC 4279.97000000 0.000120223077 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2945617160.30000000 NGN 8112413.00000000 USD 2019-11-29 4279.97000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31408GLF2 35760.33000000 PA USD 39544.16000000 0.001110783630 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 9.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: BEV29EZY9 IRS HUF R V 06MBUBOR 1 CCPVANILLA / Short: BEV29EZY9 IRS HUF P F 1.26500 2 CCPVANILLA 000000000 2635868000.00000000 OU Notional Amount -166224.21000000 -0.00466918835 N/A DIR HU N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2021-12-13 0.00000000 HUF 0.00000000 HUF 2635868000.00000000 HUF -166224.21000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412BLZ3 117971.80000000 PA USD 141310.94000000 0.003969382051 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 11.50000000 N N N N N N COOF 2093807006 N/A COOF 2093807006 000000000 789536.59000000 PA USD 63742.26000000 0.001790501024 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.21000000 N N N N N N United Republic of Tanzania N/A Tanzania Government International Bond 000000000 23001222.41000000 PA USD 23405123.88000000 0.657442931520 Long DBT NUSS TZ Y 2 2020-03-09 Floating 7.99000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV38VYB1 IRS SGD R F 2.08500 CCP LCH / Short: SEV38VYB1 IRS SGD P V 06MSIBOR SORF6M+0BPS CCP LCH 000000000 53070000.00000000 OU Notional Amount 935854.90000000 0.026287884314 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2023-12-13 0.00000000 SGD 0.00000000 SGD 53070000.00000000 SGD 935854.90000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -64083.68000000 -0.00180009140 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 1881030000.00000000 KRW 1550405.93000000 USD 2019-11-12 -64083.68000000 N N N Bank of Georgia JSC 549300RPLD8RXL49Z691 Bank of Georgia Promissory Note 000000000 3252757.18000000 PA 1087809.75000000 0.030556250616 Long STIV CORP GE N 2 2020-04-16 Variable 7.45000000 N N N N N N Fannie Mae - CAS N/A Fannie Mae Connecticut Avenue Securities 30711XJ70 5500000.00000000 PA USD 5529872.70000000 0.155332470678 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 3.97000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 Long: BEV2LJ6X8 CDS USD R V 03MEVENT BOA OMAN XOMR00000 / Short: BEV2LJ6X8 CDS USD P F 1.00000 000000000 16680000.00000000 OU Notional Amount USD 642580.32000000 0.018049889053 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 iTraxx Europe Senior Financials S28.V1 2I667DBL7 Y buy protection 2022-12-20 563565.06000000 USD 0.00000000 USD 16680000.00000000 USD 79015.26000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED THB / SOLD USD 000000000 1.00000000 NC 71415.75000000 0.002006047063 N/A DFE TH N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4669938.04000000 USD 143125451.00000000 THB 2019-12-06 71415.75000000 N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY 000000000 2027540.77000000 PA 674624.09000000 0.018949988971 Long STIV CORP GE N 2 2020-06-15 Variable 7.50000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -7769.07000000 -0.00021823085 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1531000.00000000 GHS 249551.75000000 USD 2020-05-29 -7769.07000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD THB 000000000 1.00000000 NC -198276.00000000 -0.00556951355 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 401662000.00000000 THB 13107684.85000000 USD 2019-12-06 -198276.00000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3ECDU7 IRS GBP R V 06MLIBOR BP0006M+0BPS CCP LCH / Short: BEV3ECDU7 IRS GBP P F 1.48520 CCP LCH 000000000 23102000.00000000 OU Notional Amount -1835941.85000000 -0.05157105760 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2029-02-28 0.00000000 GBP 0.00000000 GBP 23102000.00000000 GBP -1835941.85000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 BEV2ZP585 SWAPTION JUL28 2.98 PUT 000000000 28963000.00000000 NC USD 773564.08000000 0.021729183707 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 IRS Swap N/A 28963000.00000000 OU Notional Amount N/A 773564.08000000 0.02000000 DIR US ICE Libor USD 3 Months US0003M Index 2038-07-07 0.00000000 N/A 0.00000000 N/A 28963000.00000000 USD 1.00000000 2.98000000 USD 2028-07-05 XXXX -883119.52000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 97508.10000000 0.002738973373 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 18932161.09000000 USD 17017214.00000000 EUR 2019-12-13 97508.10000000 N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic International Bond 25714PBF4 114300000.00000000 PA 2385712.19000000 0.067013942075 Long DBT NUSS DO Y 2 2021-06-04 Fixed 15.95000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 39527.71000000 0.001110321554 N/A DFE UG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 959093.17000000 USD 3849800000.00000000 UGX 2020-04-20 39527.71000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 222832.52000000 0.006259298858 N/A DFE EG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2134095.34000000 USD 38275000.00000000 EGP 2019-11-27 222832.52000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -99143.71000000 -0.00278491716 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7703664.40000000 EUR 8492750.74000000 USD 2019-11-01 -99143.71000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PK46 66039.50000000 PA USD 66718.83000000 0.001874111985 Long ABS-MBS USGSE US N 2 2021-10-17 Fixed 9.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED ZAR / SOLD USD 000000000 1.00000000 NC 459328.58000000 0.012902402470 N/A DFE ZA N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 37505523.07000000 USD 577210000.00000000 ZAR 2019-12-20 459328.58000000 N N N COOF 2308487004 N/A COOF 2308487004 000000000 1401850.64000000 PA USD 130681.17000000 0.003670794990 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.46000000 N N N N N N DIGICEL INTL FINANCE LTD N/A Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd 000000000 2870000.00000000 PA USD 2733675.00000000 0.076788113365 Long DBT CORP LC Y 2 2024-05-25 Fixed 8.75000000 N N N N N N COOF 9511595007 N/A COOF 9511595007 000000000 1537684.99000000 PA USD 113294.27000000 0.003182402168 Long ABS-MBS CORP US N 2 2027-06-15 Fixed 3.21000000 N N N N N N COOF 9675505009 N/A COOF 9675505009 000000000 1990409.95000000 PA USD 186218.21000000 0.005230813838 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.36000000 N N N N N N COOF 2347087005 N/A COOF 2347087005 000000000 313206.57000000 PA USD 51960.99000000 0.001459568672 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 Egypt Government International Bond 000000000 1025000.00000000 PA 1149411.38000000 0.032286621983 Long DBT NUSS EG Y 2 2030-04-16 Fixed 5.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AZP5 79913.15000000 PA USD 79997.03000000 0.002247092653 Long ABS-MBS USGSE US N 2 2027-07-01 Floating 2.40000000 N N N N N N The Ministry of Finance and Planning, Government of the United Republic of Tanzania N/A The Ministry of Finance and Planning, Government of the United Republic of Tanzania Term Loan 000000000 50691428.57000000 PA USD 51831580.18000000 1.455933589311 Long LON CORP TZ N 2 2022-06-23 Floating 7.42000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC 20483.64000000 0.000575379322 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 9195000.00000000 ZAR 626636.74000000 USD 2019-12-03 20483.64000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 BEV3G0LX6 SWAPTION APR29 2.800 CALL 000000000 19446000.00000000 NC USD 4042873.96000000 0.113563120693 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 19446000.00000000 OU Notional Amount N/A 4042873.96000000 0.11000000 DIR US ICE Libor USD 3 Months US0003M Index 2049-04-05 0.00000000 N/A 0.00000000 N/A 19446000.00000000 USD 1.00000000 2.80000000 USD 2029-04-03 XXXX 1896035.56000000 N N N Fannie Mae N/A Fannie Mae REMICS 31392ASN9 589677.62000000 PA USD 666340.10000000 0.018717294169 Long ABS-MBS USGSE US N 2 2031-12-25 Fixed 6.00000000 N N N N N N COOF 1661267004 N/A COOF 1661267004 000000000 1466985.27000000 PA USD 151496.24000000 0.004255484083 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.41000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 Ukraine Government International Bond 000000000 47964000.00000000 PA USD 45201273.60000000 1.269690259979 Long DBT NUSS UA N 2 2040-05-31 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31373UV20 646455.78000000 PA USD 646974.75000000 0.018173327278 Long ABS-MBS USGSE US N 2 2024-07-01 Floating 2.39000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC 18780.78000000 0.000527546494 N/A DFE KR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 454372.14000000 USD 551267000.00000000 KRW 2019-11-12 18780.78000000 N N N Softlogic Life Insurance PLC N/A Softlogic Life Insurance PLC 000000000 23974288.00000000 NS 5224788.14000000 0.146762736610 Long EC CORP LK N 2 N N N Binh Minh Plastics JSC N/A Binh Minh Plastics JSC 000000000 255600.00000000 NS 583795.74000000 0.016398647778 Long EC CORP VN N 2 N N N Government of The Republic of Kenya Acting through The National Treasury N/A Government of The Republic of Kenya Acting through The National Treasury 2019 1st Lien Term Loan 000000000 17415000.00000000 PA USD 17726693.67000000 0.497937524805 Long LON CORP KE N 2 2025-06-29 Floating 8.65000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD ZAR 000000000 1.00000000 NC 698273.33000000 0.019614289051 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 203198000.00000000 ZAR 14100690.47000000 USD 2019-11-29 698273.33000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31374J7D7 314151.36000000 PA USD 314528.18000000 0.008835002530 Long ABS-MBS USGSE US N 2 2025-05-01 Floating 2.54000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 50319.20000000 0.001413451282 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 4508773.84000000 USD 4087774.00000000 EUR 2019-11-01 50319.20000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -20228.54000000 -0.00056821364 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4567000.00000000 GHS 739595.14000000 USD 2020-06-19 -20228.54000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Long: BEV15BLT7 CDS USD R V 03MEVENT CITI CROTIA CDS 20200320 / Short: BEV15BLT7 CDS USD P F 1.00000 CITI CROTIA CDS 20200320 000000000 4260000.00000000 OU Notional Amount USD -13832.22000000 -0.00038854292 N/A DCR CR N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 CROATIA CROATIA Y buy protection 2020-03-20 24507.18000000 USD 0.00000000 USD 4260000.00000000 USD -38339.40000000 N N N Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 PURCHASED USD / SOLD MYR 000000000 1.00000000 NC -29914.90000000 -0.00084030059 N/A DFE US N 2 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 25266000.00000000 MYR 6025757.21000000 USD 2019-11-20 -29914.90000000 N N N COOF 7041165002 N/A COOF 7041165002 000000000 1364372.42000000 PA USD 249926.99000000 0.007020374419 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.69000000 N N N N N N Eik fasteignafelag hf 2138005WRSDC4DI3BJ43 Eik fasteignafelag hf 000000000 55172752.00000000 NS 3489086.43000000 0.098007394561 Long EC CORP IS N 2 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -55277.38000000 -0.00155272507 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 3824496.56000000 NZD 2397722.22000000 USD 2019-11-25 -55277.38000000 N N N Invitation Homes Trust N/A Invitation Homes 2018-SFR3 Trust 46187VAJ8 13000000.00000000 PA USD 13028732.60000000 0.365973203067 Long ABS-O CORP US N 2 2037-07-17 Floating 3.89000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED JPY / SOLD USD 000000000 1.00000000 NC -234019.89000000 -0.00657354873 N/A DFE JP N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 7750377.56000000 USD 811363000.00000000 JPY 2019-11-12 -234019.89000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -28868.36000000 -0.00081090360 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 3511000.00000000 NZD 2224889.10000000 USD 2020-01-09 -28868.36000000 N N N GEORGIA T-BILL N/A Georgia Treasury Bills 000000000 2194000.00000000 PA 736515.71000000 0.020688506071 Long STIV NUSS GE N 2 2019-12-12 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3LEPQ1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3LEPQ1 IRS USD R F 1.83750 000000000 885000.00000000 OU Notional Amount USD -14198.59000000 -0.00039883414 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-07-11 0.00000000 USD 0.00000000 USD 885000.00000000 USD -14198.59000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED KRW / SOLD USD 000000000 1.00000000 NC -86597.47000000 -0.00243249703 N/A DFE KR N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 20067775.79000000 USD 23366880000.00000000 KRW 2019-12-11 -86597.47000000 N N N COOF 9652355009 N/A COOF 9652355009 000000000 2054208.05000000 PA USD 313752.05000000 0.008813201270 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.71000000 N N N N N N COOF 2121127001 N/A COOF 2121127001 000000000 1086426.18000000 PA USD 174123.01000000 0.004891063287 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MD9A5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3MD9A5 IRS USD P F 1.95770 CCP LCH 000000000 6200000.00000000 OU Notional Amount USD -204997.61000000 -0.00575832156 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-07-29 0.00000000 USD 0.00000000 USD 6200000.00000000 USD -204997.61000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long: SEV3N1AW0 IRS MXN R F 7.05740 CCP CME / Short: SEV3N1AW0 IRS MXN P V 01MMIBOR MXIBTIIE+0BPS CCP CME 000000000 1062440000.00000000 OU Notional Amount 1797358.64000000 0.050487266776 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-07-30 0.00000000 MXN 0.00000000 MXN 1062440000.00000000 MXN 1797358.64000000 N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic Bond 000000000 5308800000.00000000 PA 102805349.29000000 2.887771522157 Long DBT NUSS DO Y 2 2023-04-07 Fixed 10.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -7344.85000000 -0.00020631464 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 2195000.00000000 NZD 1400133.43000000 USD 2019-11-12 -7344.85000000 N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 Australia Government Bond 000000000 33222400.00000000 PA 24841418.53000000 0.697788018778 Long DBT NUSS AU Y 2 2027-11-21 Fixed 0.75000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV2346Q6 IRS USD R F 2.75000 1 CCP IRS / Short: SEV2346Q6 IRS USD P V 03MLIBOR 2 CCP IRS 000000000 8500000.00000000 OU Notional Amount USD 1749696.53000000 0.049148452358 N/A DIR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 ICE Libor USD 3 Months US0003M Index Y 2046-09-21 1627396.27000000 USD 0.00000000 USD 8500000.00000000 USD 122300.26000000 N N N COOF 9662795005 N/A COOF 9662795005 000000000 2889210.61000000 PA USD 310713.59000000 0.008727851837 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.61000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31283HHD0 48146.40000000 PA USD 53157.39000000 0.001493175190 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 9.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 963.35000000 0.000027060213 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2469460.18000000 USD 2210398.00000000 EUR 2019-12-06 963.35000000 N N N Arion Banki HF RIL4VBPDB0M7Z3KXSF19 Arion Banki HF 000000000 15974003.00000000 NS 9959614.66000000 0.279762597816 Long EC CORP IS Y 2 N N N Fannie Mae N/A Fannie Mae REMICS 31359KQT7 38007.58000000 PA USD 42144.08000000 0.001183814605 Long ABS-MBS USGSE US N 2 2026-07-25 Fixed 7.00000000 N N N N N N COOF 2254917006 N/A COOF 2254917006 000000000 2712656.07000000 PA USD 319465.20000000 0.008973681946 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -39335.40000000 -0.00110491962 N/A DFE US N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 9254000.00000000 GHS 1518293.68000000 USD 2020-05-26 -39335.40000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -194113.30000000 -0.00545258455 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 14799000.00000000 NZD 9307520.27000000 USD 2020-01-21 -194113.30000000 N N N COOF 9110125005 N/A COOF 9110125005 000000000 1478840.31000000 PA USD 136205.21000000 0.003825963622 Long ABS-MBS CORP US N 2 2042-02-15 Fixed 2.16000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC -4962378.58000000 -0.13939173053 N/A DFE TR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 23012320.95000000 USD 105714000.00000000 TRY 2020-02-03 -4962378.58000000 N N N Republic of Montenegro 747800V014106FYLL014 Montenegro Government International Bond 000000000 1104000.00000000 PA 1320101.39000000 0.037081253327 Long DBT NUSS ME Y 2 2021-03-10 Fixed 5.75000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV1WGGT2 IRS USD R V 03MLIBOR 1 CCP VANILLA / Short: BEV1WGGT2 IRS USD P F 2.50000 2 CCP VANILLA 000000000 144.00000000 OU Notional Amount USD -21.78000000 -0.00000061179 N/A DIR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 ICE Libor USD 3 Months US0003M Index Y 2046-06-15 0.00000000 USD -11.91000000 USD 144.00000000 USD -9.87000000 N N N COOF 9584325008 N/A COOF 9584325008 000000000 2734298.14000000 PA USD 194383.96000000 0.005460187314 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 1.91000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3765R4 CDS USD R V 03MEVENT 8B9825AD0 / Short: BEV3765R4 CDS USD P F 1.00000 000000000 16600000.00000000 OU Notional Amount USD 1962103.40000000 0.055114897825 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2028-12-20 2100163.52000000 USD 0.00000000 USD 16600000.00000000 USD -138060.12000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Long: BEV161LV3 CDS USD R V 03MEVENT CITI CROATIA CDS 20200320 / Short: BEV161LV3 CDS USD P F 1.00000 CITI CROATIA CDS 20200320 000000000 1660000.00000000 OU Notional Amount USD -5390.02000000 -0.00015140405 N/A DCR HR N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 CROATIA CROATIA Y buy protection 2020-03-20 9136.47000000 USD 0.00000000 USD 1660000.00000000 USD -14526.49000000 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 Ukraine Government Bond 000000000 138200000.00000000 PA 5808413.94000000 0.163156610824 Long DBT NUSS UA N 2 2022-05-11 Fixed 17.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 BEV3FTDT2 SWAPTION MAR29 2.775 PUT 000000000 13876000.00000000 NC USD 457579.56000000 0.012853273021 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 IRS Swap N/A 13876000.00000000 OU Notional Amount N/A 457579.56000000 0.01000000 DIR US ICE Libor USD 3 Months US0003M Index 2039-04-04 0.00000000 N/A 0.00000000 N/A 13876000.00000000 USD 1.00000000 2.77500000 USD 2029-03-29 XXXX -320170.24000000 N N N GEORGIA T-BOND N/A Georgia Treasury Bond 000000000 4385000.00000000 PA 1458185.82000000 0.040960003677 Long DBT NUSS GE N 2 2021-01-17 Fixed 7.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225ADX5 4890.52000000 PA USD 5006.23000000 0.000140623503 Long ABS-MBS USGA US N 2 2021-08-15 Fixed 9.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 BEV3FTLU0 SWAPTION MAR29 2.64 PUT 000000000 25135000.00000000 NC USD 1821801.89000000 0.051173870360 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 IRS Swap N/A 25135000.00000000 OU Notional Amount N/A 1821801.89000000 0.05000000 DIR US ICE Libor USD 3 Months US0003M Index 2059-04-04 0.00000000 N/A 0.00000000 N/A 25135000.00000000 USD 1.00000000 2.64000000 USD 2029-03-29 XXXX -1259749.11000000 N N N COOF 9595035010 N/A COOF 9595035010 000000000 1160892.24000000 PA USD 169294.19000000 0.004755423177 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 3.46000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31358TLW7 122470.95000000 PA USD 130637.15000000 0.003669558482 Long ABS-MBS USGSE US N 2 2023-02-25 Fixed 7.50000000 N N N N N N COOF 9056075001 N/A COOF 9056075001 000000000 410510.53000000 PA USD 29790.61000000 0.000836809327 Long ABS-MBS CORP US N 2 2027-03-15 Fixed 3.46000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2SHPN6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2SHPN6 IRS USD P F 2.30100 CCP LCH 000000000 2100000.00000000 OU Notional Amount USD -1740.56000000 -0.00004889180 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2020-01-30 0.00000000 USD 0.00000000 USD 2100000.00000000 USD -1740.56000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 203175.54000000 0.005707140167 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 17879088.15000000 USD 16170000.00000000 EUR 2019-12-13 203175.54000000 N N N COOF 1738297001 N/A COOF 1738297001 000000000 974739.96000000 PA USD 124449.38000000 0.003495745873 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N Yoma Strategic Holdings Ltd 529900WRBT4SP5D5ZN49 Yoma Strategic Holdings Ltd 000000000 43974000.00000000 NS 10151369.38000000 0.285148930565 Long EC CORP SG N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3K6VC3 IRS CAD R V 03MCADBA CDOR03+0BPS CCP LCH / Short: BEV3K6VC3 IRS CAD P F 1.79970 CCP LCH 000000000 155500000.00000000 OU Notional Amount -107310.46000000 -0.00301431873 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 Canada Bankers Acceptances 3 Months CDOR03 Index Y 2024-06-11 0.00000000 CAD 0.00000000 CAD 155500000.00000000 CAD -107310.46000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV2AKTZ7 IRS PLN R F 2.43500 1 CCP IRS / Short: SEV2AKTZ7 IRS PLN P V 06MWIBOR 2 CCP IRS 000000000 98984000.00000000 OU Notional Amount 387914.73000000 0.010896408776 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2022-01-13 0.00000000 PLN 0.00000000 PLN 98984000.00000000 PLN 387914.73000000 N N N Refrigeration Electrical Engineering Corp N/A Refrigeration Electrical Engineering Corp 000000000 807810.00000000 NS 1303512.74000000 0.036615283108 Long EC CORP VN N 2 N N N Saigon - Hanoi Commercial Joint Stock Bank 2549007HTI2GPELM0894 Saigon - Hanoi Commercial Joint Stock Bank 000000000 958301.00000000 NS 272458.11000000 0.007653266843 Long EC CORP VN N 2 N N N COOF 2298157005 N/A COOF 2298157005 000000000 3666802.06000000 PA USD 355302.90000000 0.009980352223 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.41000000 N N N N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 NIGERIA OMO BILL BILLS 03/20 0.00000 000000000 6733944000.00000000 PA 17856244.55000000 0.501576570288 Long DBT NUSS NG N 2 2020-03-05 None 0.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV2AKTU8 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV2AKTU8 IRS HUF P F 1.43500 2 CCP IRS 000000000 6043740000.00000000 OU Notional Amount -466717.28000000 -0.01310994884 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2022-01-13 0.00000000 HUF 0.00000000 HUF 6043740000.00000000 HUF -466717.28000000 N N N Masan Group Corp 254900M1892CMJ87XD24 Masan Group Corp 000000000 954000.00000000 NS 3046193.69000000 0.085566669922 Long EC CORP VN N 2 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 1999.91000000 0.000056176873 N/A DFE XX N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1193649.05000000 USD 1069800.40000000 EUR 2019-12-06 1999.91000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -180115.46000000 -0.00505938941 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 8351330.00000000 EUR 9178445.72000000 USD 2020-01-09 -180115.46000000 N N N Fannie Mae N/A Fannie Mae REMICS 31359UNJ0 282249.45000000 PA USD 311667.17000000 0.008754637614 Long ABS-MBS USGSE US N 2 2028-07-20 Fixed 6.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED TRY / SOLD USD 000000000 1.00000000 NC 3538.55000000 0.000099396811 N/A DFE TR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19922.58000000 USD 137406.00000000 TRY 2020-02-03 3538.55000000 N N N COOF 9561145010 N/A COOF 9561145010 000000000 1306585.17000000 PA USD 88032.83000000 0.002472815872 Long ABS-MBS CORP US N 2 2027-07-15 Fixed 2.96000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -32747.73000000 -0.00091987394 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 7752000.00000000 GHS 1259463.85000000 USD 2020-06-15 -32747.73000000 N N N COOF 9384175006 N/A COOF 9384175006 000000000 1406571.93000000 PA USD 122487.89000000 0.003440648205 Long ABS-MBS CORP US N 2 2037-05-15 Fixed 2.56000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2K9DZ8 IRS EUR R F 1.77200 CCP INFLATION SWAP / Short: SEV2K9DZ8 IRS EUR P V 00MCPTFE CPTFEMU+0BPS/INFLATION SWAP 000000000 13634000.00000000 OU Notional Amount 2259266.11000000 0.063462109496 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euro-stat Eurozone HICP ex Tobacco NSA CPTFEMU Index Y 2042-08-15 0.00000000 EUR 0.00000000 EUR 13634000.00000000 EUR 2259266.11000000 N N N COOF 1311887002 N/A COOF 1311887002 000000000 1820434.13000000 PA USD 116204.13000000 0.003264139265 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 1.66000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2K9DS4 IRS EUR R V 00MCPTFE CPTFEMU+0BPS/INFLATION SWAP / Short: BEV2K9DS4 IRS EUR P F 1.56917 CCP INFLATION SWAP 000000000 13634000.00000000 OU Notional Amount -1090609.91000000 -0.03063490627 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euro-stat Eurozone HICP ex Tobacco NSA CPTFEMU Index Y 2032-08-15 0.00000000 EUR 0.00000000 EUR 13634000.00000000 EUR -1090609.91000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NHN01 IRS AUD R V 06MBBSW BBSW6M+0BPS CCP LCH / Short: BEV3NHN01 IRS AUD P F 1.10900 CCP LCH 000000000 7000000.00000000 OU Notional Amount 72456.15000000 0.002035271588 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2029-08-22 0.00000000 AUD 0.00000000 AUD 7000000.00000000 AUD 72456.15000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2ZTC22 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2ZTC22 IRS USD P F 2.96800 CCP LCH 000000000 6233000.00000000 OU Notional Amount USD -504212.74000000 -0.01416318510 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-07 0.00000000 USD 0.00000000 USD 6233000.00000000 USD -504212.74000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 Long: BEV3PU2C7 CDS USD R F 1.00000 49ACF8 / Short: BEV3PU2C7 CDS USD P V 03MEVENT BILATERAL/49ACF8 000000000 2475000.00000000 OU Notional Amount USD 28306.58000000 0.000795123368 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Indonesia Government International Bond Indonesia Government International Bond Y sell protection 2024-12-20 15475.92000000 USD 0.00000000 USD 2475000.00000000 USD 12830.66000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -63395.27000000 -0.00178075417 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 2262315267.00000000 KRW 1878351.80000000 USD 2019-11-12 -63395.27000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 178821.53000000 0.005023043309 N/A DFE AU N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 11757151.32000000 USD 17308000.00000000 AUD 2019-11-18 178821.53000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -405566.89000000 -0.01139225267 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 28677000.00000000 NZD 17991663.03000000 USD 2019-12-06 -405566.89000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED AUD / SOLD USD 000000000 1.00000000 NC 566162.80000000 0.015903343766 N/A DFE AU N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 35476784.07000000 USD 52226533.06000000 AUD 2019-12-16 566162.80000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PCY9 3778.48000000 PA USD 3812.78000000 0.000107099850 Long ABS-MBS USGSE US N 2 2021-12-25 Fixed 8.15000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV36NL25 IRS SGD R F 2.43750 CCP LCH / Short: SEV36NL25 IRS SGD P V 06MSORF SORF6M+0BPS CCP LCH 000000000 19000000.00000000 OU Notional Amount 516489.40000000 0.014508032812 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2023-10-23 0.00000000 SGD 0.00000000 SGD 19000000.00000000 SGD 516489.40000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BSV3NUM78 IRS EUR R F .52200 CCP LCH -VE FIXED/BEV3NUM78 / Short: BSV3NUM78 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3NUM78 000000000 1000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2024-08-30 0.00000000 EUR 0.00000000 EUR 1000000.00000000 EUR -19.27000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 204485.87000000 0.005743946945 N/A DFE UG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4207179.19000000 USD 16904446000.00000000 UGX 2020-03-23 204485.87000000 N N N Domesco Medical Import Export HQD377W2YR662HK5JX27 Domesco Medical Import Export JSC 000000000 240160.00000000 NS 726408.89000000 0.020404608519 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3G0KX7 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3G0KX7 IRS USD P F 2.79900 CCP LCH 000000000 2197000.00000000 OU Notional Amount USD -274502.63000000 -0.00771069679 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-04-05 0.00000000 USD 0.00000000 USD 2197000.00000000 USD -274502.63000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2KR371 IRS USD R V 00MCPURN CPURNSA+0BPS INFLATION SWAP / Short: BEV2KR371 IRS USD P F 2.14900 CCP LCH INFLATION SWAP 000000000 6054000.00000000 OU Notional Amount USD -624038.81000000 -0.01752906358 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA CPURNSA Index Y 2047-09-01 0.00000000 USD 0.00000000 USD 6054000.00000000 USD -624038.81000000 N N N Freddie Mac N/A Freddie Mac REMICS 31392PAB1 727283.26000000 PA USD 852143.76000000 0.023936463422 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31389AZU0 1702205.50000000 PA USD 1732300.32000000 0.048659798020 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.52000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC -39070.47000000 -0.00109747782 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 1190822000.00000000 KRW 983013.04000000 USD 2019-11-12 -39070.47000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BEV150RT5 CDS USD R V 03MEVENT GOLD CROTIA CDS 2020320 / Short: BEV150RT5 CDS USD P F 1.00000 GOLD CROTIA CDS 2020320 000000000 2210000.00000000 OU Notional Amount USD -7175.87000000 -0.00020156804 N/A DCR CR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CROATIA CROATIA Y buy protection 2020-03-20 12552.50000000 USD 0.00000000 USD 2210000.00000000 USD -19728.37000000 N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 Ecuador Government International Bond 000000000 10232000.00000000 PA USD 9720400.00000000 0.273043129543 Long DBT NUSS EC N 2 2025-03-27 Fixed 7.88000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -7745.16000000 -0.00021755922 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2591720.21000000 EUR 2888858.34000000 USD 2019-12-06 -7745.16000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31368HEA7 145086.84000000 PA USD 153348.95000000 0.004307526153 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 6.00000000 N N N N N N COOF 8193515004 N/A COOF 8193515004 000000000 843500.48000000 PA USD 59514.42000000 0.001671742262 Long ABS-MBS CORP US N 2 2041-03-15 Fixed 1.93000000 N N N N N N BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY N/A BANK OF GEORGIA PROMISSORY NOT BANK OF GEORGIA PROMISSORY 000000000 1943930.84000000 PA 646682.96000000 0.018165130984 Long STIV CORP GE N 2 2020-06-17 Variable 7.50000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -572013.33000000 -0.01606768340 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 41140580.50000000 EUR 45524726.46000000 USD 2020-01-07 -572013.33000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31374CLQ7 5144153.59000000 PA USD 5942901.49000000 0.166934325891 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 7.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD SGD 000000000 1.00000000 NC -118644.39000000 -0.00333268543 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 11272943.00000000 SGD 8168029.82000000 USD 2019-11-12 -118644.39000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 31283HTW5 33701.24000000 PA USD 36652.99000000 0.001029571529 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 9.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Long: BRSJ3XBQ4 CDS USD R V 99MEVENT DEUTSCHE BNK EGYPT 10Y REC CP / Short: BRSJ3XBQ4 CDS USD P F 1.00000 DEUTSCHE BNK EGYPT 10Y PAY 1% 000000000 4550000.00000000 OU Notional Amount USD 13945.75000000 0.000391731947 N/A DCR EG N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank 5.125% Deutsche Bank 5.125% Y buy protection 2020-06-20 32243.23000000 USD 0.00000000 USD 4550000.00000000 USD -18297.48000000 N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MAE96 2660275.62000000 PA USD 3050922.73000000 0.085699507242 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 7.50000000 N N N N N N GEORGIA T-BOND N/A Georgia Treasury Bond 000000000 2898000.00000000 PA 929113.69000000 0.026098525741 Long DBT NUSS GE N 2 2023-09-27 Fixed 7.38000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -104695.94000000 -0.00294087764 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 6858000.00000000 OMR 17461489.50000000 USD 2021-05-27 -104695.94000000 N N N Pha Lai Thermal Power JSC 5493008AE7RS4XK4BZ08 Pha Lai Thermal Power JSC 000000000 219100.00000000 NS 243379.67000000 0.006836462158 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3MZ1D8 IRS SGD R F 1.54750 CCP LCH / Short: SEV3MZ1D8 IRS SGD P V 06MSIBOR SORF6M+0BPS CCP LCH 000000000 9469000.00000000 OU Notional Amount 14934.22000000 0.000419497774 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2024-08-14 0.00000000 SGD 0.00000000 SGD 9469000.00000000 SGD 14934.22000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV2YUVP8 IRS PLN R F 3.03000 CCP LCH / Short: SEV2YUVP8 IRS PLN P V 06MWIBOR WIBO6M+0 BPS CCP LCH 000000000 6154000.00000000 OU Notional Amount 159359.13000000 0.004476350312 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2028-06-18 0.00000000 PLN 0.00000000 PLN 6154000.00000000 PLN 159359.13000000 N N N Government of The Republic of Kenya Acting through The National Treasury 549300VVURQQYU45PR87 Government of The Republic of Kenya Acting through The National Treasury 2019 Term Loan 000000000 2904166.66000000 PA USD 2950511.35000000 0.082878981601 Long LON CORP KE N 2 2024-10-24 Floating 8.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3Q1QB6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3Q1QB6 IRS USD P F 1.44000 CCP LCH 000000000 9529000.00000000 OU Notional Amount USD 21348.10000000 0.000599661745 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-09-26 0.00000000 USD 0.00000000 USD 9529000.00000000 USD 21348.10000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3JV323 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3JV323 IRS USD P F 2.51750 CCP LCH 000000000 18263000.00000000 OU Notional Amount USD -800304.93000000 -0.02248032618 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-06-04 0.00000000 USD 0.00000000 USD 18263000.00000000 USD -800304.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381D2Y0 4114.86000000 PA USD 4384.52000000 0.000123159855 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 9.54000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: B92DT3SZ9 CDS USD R V 03MEVENT QATAR 7BB99WAC2 XS0113419690 / Short: B92DT3SZ9 CDS USD P F 1.00000 Z92DT3SZ9/CCP 000000000 119078600.00000000 OU Notional Amount USD -2814184.55000000 -0.07904960255 N/A DCR QA N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Qatar Government International Bond Qatar Government International Bond Y buy protection 2022-12-20 0.00000000 USD -3979.82000000 USD 119078600.00000000 USD -2810204.73000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 Long: BEV12J355 CDS USD R V 03MEVENT BNP CROATIA CDS 20200320 / Short: BEV12J355 CDS USD P F 1.00000 BNP CROATIA CDS 20200320 000000000 1500000.00000000 OU Notional Amount USD -4870.50000000 -0.00013681088 N/A DCR CR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 CROATIA CROATIA Y buy protection 2020-03-20 9512.68000000 USD 0.00000000 USD 1500000.00000000 USD -14383.18000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3LPMY2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3LPMY2 IRS USD P F 2.08500 CCP LCH 000000000 10813000.00000000 OU Notional Amount USD -478232.17000000 -0.01343339866 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-07-15 0.00000000 USD -447837.00000000 USD 10813000.00000000 USD -30395.17000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED SEK / SOLD USD 000000000 1.00000000 NC -43608.02000000 -0.00122493624 N/A DFE SE N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 20967916.10000000 USD 201942000.00000000 SEK 2019-11-13 -43608.02000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BEV3PU8X5 CDS USD R F 1.00000 BILATERAL/49ACF8 / Short: BEV3PU8X5 CDS USD P V 03MEVENT BILATERAL/49ACF8 000000000 5450000.00000000 OU Notional Amount USD 62331.65000000 0.001750877410 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Indonesia Government International Bond Indonesia Government International Bond Y sell protection 2024-12-20 32760.67000000 USD 0.00000000 USD 5450000.00000000 USD 29570.98000000 N N N COOF 9650315004 N/A COOF 9650315004 000000000 825668.47000000 PA USD 105452.64000000 0.002962133126 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.21000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Long: BEV3LEWH3 IRS CLP R F .02500 CLF CURRENCY / Short: BEV3LEWH3 IRS CLP P V 00MCLICP CLICP+0BPS 000000000 14348714113.00000000 OU Notional Amount 464754.39000000 0.013054811850 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Sinacofi Chile Interbank Rate Average CLICP Index Y 2024-07-11 0.00000000 CLP 0.00000000 CLP 14348714113.00000000 CLP 464754.39000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 PURCHASED USD / SOLD GHS 000000000 1.00000000 NC -13325.72000000 -0.00037431549 N/A DFE US N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 3669000.00000000 GHS 605445.54000000 USD 2020-05-22 -13325.72000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3K58E7 IRS USD R F 2.52000 CCP LCH / Short: SEV3K58E7 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 16757000.00000000 OU Notional Amount USD 1428532.41000000 0.040127048257 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-04-04 0.00000000 USD 0.00000000 USD 16757000.00000000 USD 1428532.41000000 N N N COOF 1908407001 N/A COOF 1908407001 000000000 1702030.43000000 PA USD 150896.04000000 0.004238624644 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.16000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359A2R9 31388.43000000 PA USD 33371.19000000 0.000937386748 Long ABS-MBS USGSE US N 2 2023-07-25 Fixed 6.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 Long: BEV2JCG49 CDS USD R V 03MEVENT BOA OMAN XS1575874471/6EA256 / Short: BEV2JCG49 CDS USD P F 1.00000 OMAN SULTANATE OF (GOVEMENT) 000000000 20851000.00000000 OU Notional Amount USD 621547.46000000 0.017459082305 N/A DCR OM N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Oman Government International Bond Oman Government International Bond Y buy protection 2022-06-20 548754.85000000 USD 0.00000000 USD 20851000.00000000 USD 72792.61000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD AED 000000000 1.00000000 NC -9721.90000000 -0.00027308526 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 14203000.00000000 AED 3854797.12000000 USD 2020-05-21 -9721.90000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD AUD 000000000 1.00000000 NC -723685.05000000 -0.02032809666 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 55430000.00000000 AUD 37498949.30000000 USD 2019-11-15 -723685.05000000 N N N COOF 8753925008 N/A COOF 8753925008 000000000 1312792.11000000 PA USD 95035.48000000 0.002669518217 Long ABS-MBS CORP US N 2 2042-05-15 Fixed 1.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31374J6U0 132066.52000000 PA USD 132585.08000000 0.003724275253 Long ABS-MBS USGSE US N 2 2024-11-01 Floating 2.74000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED NZD / SOLD USD 000000000 1.00000000 NC 139128.79000000 0.003908086110 N/A DFE NZ N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 15108704.60000000 USD 23782000.00000000 NZD 2019-11-04 139128.79000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3MYYB9 IRS SGD R F 1.56500 CCP LCH / Short: SEV3MYYB9 IRS SGD P V 06MSIBOR SORF6M+0BPS CCP LCH 000000000 10652000.00000000 OU Notional Amount 23117.37000000 0.000649360011 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 Singapore Interbank Offer Rate 6 Months SIBF6M Index Y 2024-08-14 0.00000000 SGD 0.00000000 SGD 10652000.00000000 SGD 23117.37000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC 1259529.13000000 0.035379796655 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 71494106.66000000 EUR 81440724.25000000 USD 2020-01-22 1259529.13000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410FSQ9 287178.68000000 PA USD 320834.89000000 0.009012156128 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 Long: BRSJ3WM50 CDS USD R V 03MEVENT BOA S AFRICA 10YR 20220920 / Short: BRSJ3WM50 CDS USD P F 1.00000 BOA S AFRICA 10YR 20220920 000000000 20830000.00000000 OU Notional Amount USD 139186.06000000 0.003909694807 N/A DCR ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-09-20 471718.33000000 USD 0.00000000 USD 20830000.00000000 USD -332532.27000000 N N N Vingroup JSC 254900MJ9C15O3O1V757 Vingroup JSC 000000000 1385904.00000000 NS 7099958.48000000 0.199435710774 Long EC CORP VN N 2 N N N COOF 2239927000 N/A COOF 2239927000 000000000 758794.32000000 PA USD 89362.01000000 0.002510152141 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N COOF 1792627005 N/A COOF 1792627005 000000000 617124.10000000 PA USD 106237.97000000 0.002984192811 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -53340.24000000 -0.00149831139 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 3711000.00000000 OMR 9440345.97000000 USD 2021-07-06 -53340.24000000 N N N COOF 9726965008 N/A COOF 9726965008 000000000 601649.40000000 PA USD 71030.32000000 0.001995220450 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3K1N25 IRS USD R F 2.54700 CCP LCH / Short: SEV3K1N25 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 12266000.00000000 OU Notional Amount USD 568593.99000000 0.015971635166 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-03-28 0.00000000 USD 0.00000000 USD 12266000.00000000 USD 568593.99000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3MD261 IRS USD R V 03MLIBOR US0003M+0BPS LCH CCP / Short: BEV3MD261 IRS USD P F 1.96220 LCH CCP 000000000 10500000.00000000 OU Notional Amount USD -351437.20000000 -0.00987176586 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-07-29 0.00000000 USD 0.00000000 USD 10500000.00000000 USD -351437.20000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV26Q544 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV26Q544 IRS HUF P F 2.07500 2 CCP IRS 000000000 1218150000.00000000 OU Notional Amount -321020.66000000 -0.00901737435 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-10-28 0.00000000 HUF 0.00000000 HUF 1218150000.00000000 HUF -321020.66000000 N N N COOF 2312927008 N/A COOF 2312927008 000000000 754754.82000000 PA USD 132303.53000000 0.003716366598 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Heimavellir HF 21380098BQ8B2T7EEQ97 Heimavellir HF 000000000 1036833100.00000000 PA 8847670.36000000 0.248528414907 Long DBT CORP IS N 3 2023-04-25 Fixed 7.91000000 N N N N N N Dominican Republic 254900EHU7Q8FGVPI369 Dominican Republic International Bond 000000000 811400000.00000000 PA 15828522.63000000 0.444618467856 Long DBT NUSS DO Y 2 2022-03-04 Fixed 10.38000000 N N N N N N COOF 2371767008 N/A COOF 2371767008 000000000 1583668.87000000 PA USD 235525.75000000 0.006615847893 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136B1TS3 24623619.85000000 PA USD 3242002.42000000 0.091066878600 Long ABS-MBS USGSE US N 2 2048-04-25 Fixed 3.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC -229284.99000000 -0.00644054681 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 23057000.00000000 NZD 14565116.12000000 USD 2019-12-16 -229284.99000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD NZD 000000000 1.00000000 NC 74866.28000000 0.002102971419 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 13900000.00000000 NZD 8988925.67000000 USD 2019-11-18 74866.28000000 N N N COOF 1988577005 N/A COOF 1988577005 000000000 1902513.19000000 PA USD 178949.11000000 0.005026626993 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.41000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3M1B42 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3M1B42 IRS USD P F 1.80150 CCP LCH 000000000 350000.00000000 OU Notional Amount USD -5098.02000000 -0.00014320185 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-07-22 0.00000000 USD 0.00000000 USD 350000.00000000 USD -5098.02000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2ZP3G9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV2ZP3G9 IRS USD P F 2.98200 CCP LCH 000000000 4052000.00000000 OU Notional Amount USD -332299.62000000 -0.00933419696 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2038-07-06 0.00000000 USD 0.00000000 USD 4052000.00000000 USD -332299.62000000 N N N Export-Import Bank of India 335800OFZ8YEIVN1QI11 Export-Import Bank of India 30216KAA0 5000000.00000000 PA USD 5131396.55000000 0.144139394772 Long DBT NUSS IN Y 2 2026-08-05 Fixed 3.38000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359HZF4 713710.40000000 PA USD 769906.14000000 0.021626433266 Long ABS-MBS USGSE US N 2 2024-04-25 Fixed 7.00000000 N N N N N N COOF 2287837002 N/A COOF 2287837002 000000000 1452434.48000000 PA USD 175572.98000000 0.004931792510 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 Egypt Treasury Bills 000000000 570100000.00000000 PA 33124369.47000000 0.930453634032 Long STIV NUSS EG N 2 2020-04-14 None 0.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PL86 552884.68000000 PA USD 608415.12000000 0.017090198801 Long ABS-MBS USGSE US N 2 2035-06-17 Fixed 7.00000000 N N N N N N COOF 1693407003 N/A COOF 1693407003 000000000 1798207.25000000 PA USD 168273.23000000 0.004726744716 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 2.41000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV25A5P3 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV25A5P3 IRS HUF P F 1.93000 2 CCP IRS 000000000 964125000.00000000 OU Notional Amount -221204.50000000 -0.00621356826 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-09-21 0.00000000 HUF 0.00000000 HUF 964125000.00000000 HUF -221204.50000000 N N N COOF 8224545006 N/A COOF 8224545006 000000000 707625.40000000 PA USD 67135.84000000 0.001885825671 Long ABS-MBS CORP US N 2 2041-03-15 Fixed 2.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NUMH6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NUMH6 IRS USD P F 1.53750 CCP LCH 000000000 600000.00000000 OU Notional Amount USD 35483.00000000 0.000996706860 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-08-30 0.00000000 USD 0.00000000 USD 600000.00000000 USD 35483.00000000 N N N HA TIEN 1 Cement JSC N/A HA TIEN 1 Cement JSC 000000000 219600.00000000 NS 160374.70000000 0.004504877370 Long EC CORP VN N 2 N N N COOF 8313115008 N/A COOF 8313115008 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-05-15 Fixed 2.93000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 Long: BRSJ3WNY6 CDS USD R V 03MEVENT GOLDMAN S.AFRICA CDS 20221220 / Short: BRSJ3WNY6 CDS USD P F 1.00000 GOLDMAN S.AFRICA CDS 20221220 000000000 8022000.00000000 OU Notional Amount USD 71724.70000000 0.002014725376 N/A DCR ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-12-20 244286.63000000 USD 0.00000000 USD 8022000.00000000 USD -172561.93000000 N N N COOF 2259587002 N/A COOF 2259587002 000000000 495624.91000000 PA USD 67079.67000000 0.001884247873 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381D4D4 37572.70000000 PA USD 40346.95000000 0.001133333761 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 7.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED EUR / SOLD RSD 000000000 1.00000000 NC N/A -32934.51000000 -0.00092512053 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1414414000.00000000 RSD 11997743.66000000 EUR 2019-11-25 -32934.51000000 N N N COOF 9579435001 N/A COOF 9579435001 000000000 1163913.93000000 PA USD 126666.65000000 0.003558028324 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Mongolian Mining Corp 254900XQ2EY5O3SAYL47 Mongolian Mining Corp 000000000 5097450.00000000 NS 473449.83000000 0.013299064160 Long EC CORP KY N 2 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -363868.97000000 -0.01022097056 N/A DFE US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 28273348.20000000 EUR 31169387.26000000 USD 2019-11-01 -363868.97000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 PURCHASED EUR / SOLD USD 000000000 1.00000000 NC 223180.02000000 0.006269060029 N/A DFE XX N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 43371655.75000000 USD 39088001.65000000 EUR 2019-11-01 223180.02000000 N N N Republic of Serbia 254900W94OCY91V32O78 Serbia Treasury Bonds 000000000 2630080000.00000000 PA 27255714.94000000 0.765604883046 Long DBT NUSS RS N 2 2026-01-11 Fixed 4.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335PD51 43215.13000000 PA USD 43678.85000000 0.001226925836 Long ABS-MBS USGSE US N 2 2027-05-17 Fixed 9.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED EUR / SOLD RSD 000000000 1.00000000 NC N/A -26970.67000000 -0.00075759805 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1501457000.00000000 RSD 12745273.97000000 EUR 2019-11-22 -26970.67000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV26QD86 IRS HUF R V 06MBUBOR 1 CCP IRS / Short: BEV26QD86 IRS HUF P F 2.06000 2 CCP IRS 000000000 3015613000.00000000 OU Notional Amount -784261.74000000 -0.02202967777 N/A DIR HU N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 National Bank of Hungary Budapest Interbank Offer Rate 6 Month BUBOR06M Index Y 2026-10-28 0.00000000 HUF 0.00000000 HUF 3015613000.00000000 HUF -784261.74000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BSV3NGLL9 IRS EUR R F .52600 CCP LCH/BEV3NGLL9 / Short: BSV3NGLL9 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3NGLL9 000000000 7139000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR DE N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2024-08-22 0.00000000 EUR 0.00000000 EUR 7139000.00000000 EUR -2.72000000 N N N Fannie Mae N/A Fannie Mae REMICS 31359R3U4 163056.60000000 PA USD 185117.99000000 0.005199908987 Long ABS-MBS USGSE US N 2 2028-04-18 Fixed 7.00000000 N N N N N N COOF 1856857004 N/A COOF 1856857004 000000000 2933933.92000000 PA USD 251639.98000000 0.007068491796 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.16000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3NLUP9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NLUP9 IRS USD P F 1.70220 CCP LCH 000000000 1226000.00000000 OU Notional Amount USD 25852.42000000 0.000726186747 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-08-27 0.00000000 USD 0.00000000 USD 1226000.00000000 USD 25852.42000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: SEV3QYMW2 IRS USD R F 1.98750 CCP LCH / Short: SEV3QYMW2 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH 000000000 6785000.00000000 OU Notional Amount USD 18129.32000000 0.000509247178 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-05-04 0.00000000 USD 0.00000000 USD 6785000.00000000 USD 18129.32000000 N N N COOF 9679725002 N/A COOF 9679725002 000000000 711518.59000000 PA USD 89686.37000000 0.002519263316 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.21000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359AMH9 77869.54000000 PA USD 83185.23000000 0.002336648237 Long ABS-MBS USGSE US N 2 2023-06-25 Fixed 7.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FTDZ8 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FTDZ8 IRS USD P F 2.77500 CCP LCH 000000000 3372000.00000000 OU Notional Amount USD -216173.29000000 -0.00607224307 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2039-04-04 0.00000000 USD 0.00000000 USD 3372000.00000000 USD -216173.29000000 N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC 3649.09000000 0.000102501847 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 934674300.00000000 KRW 803371.36000000 USD 2020-01-08 3649.09000000 N N N COOF 2126017002 N/A COOF 2126017002 000000000 652656.84000000 PA USD 118586.45000000 0.003331057922 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.46000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3FSZG8 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3FSZG8 IRS USD P F 2.72950 CCP LCH 000000000 6032000.00000000 OU Notional Amount USD -694043.37000000 -0.01949547074 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-04-04 0.00000000 USD 0.00000000 USD 6032000.00000000 USD -694043.37000000 N N N Danang Rubber JSC N/A Danang Rubber JSC 000000000 68640.00000000 NS 67660.94000000 0.001900575573 Long EC CORP VN N 2 N N N COOF 9683905000 N/A COOF 9683905000 000000000 1066382.61000000 PA USD 121432.36000000 0.003410998683 Long ABS-MBS CORP US N 2 2042-11-15 Fixed 2.41000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 312916XQ7 39174.04000000 PA USD 41930.44000000 0.001177813522 Long ABS-MBS USGSE US N 2 2023-07-15 Fixed 7.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV2K9EM6 IRS USD R V 00MCPURN CPURNSA+0BPS/INFLATION SWAP / Short: BEV2K9EM6 IRS USD P F 2.13250 INFLATION SWAP 000000000 6107000.00000000 OU Notional Amount USD -594639.32000000 -0.01670324069 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA CPURNSA Index Y 2047-08-22 0.00000000 USD 0.00000000 USD 6107000.00000000 USD -594639.32000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 PURCHASED USD / SOLD KRW 000000000 1.00000000 NC 2191.56000000 0.000061560265 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 891312970.00000000 KRW 765371.15000000 USD 2020-01-29 2191.56000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 PURCHASED USD / SOLD OMR 000000000 1.00000000 NC -133511.68000000 -0.00375030317 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1884000.00000000 OMR 4750977.18000000 USD 2020-03-12 -133511.68000000 N N N COOF 2005677005 N/A COOF 2005677005 000000000 497074.31000000 PA USD 61644.26000000 0.001731568831 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED UGX / SOLD USD 000000000 1.00000000 NC 9.87000000 0.000000277245 N/A DFE UG N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 645807.02000000 USD 2576770000.00000000 UGX 2020-08-10 9.87000000 N N N COOF 9748825002 N/A COOF 9748825002 000000000 1358330.05000000 PA USD 78593.15000000 0.002207658083 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 2.46000000 N N N N N N Asx - Trade24 549300USWUR0S7VMM868 SPI 200 FUTURES DEC19 XSFE 20191219 000000000 102.00000000 NC -67012.16000000 -0.00188235153 N/A DE AU N 2 Asx - Trade24 549300USWUR0S7VMM868 Long S&P/ASX 200 XPZ9 Index 2019-12-19 17011050.00000000 AUD -67012.16000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 PURCHASED USD / SOLD TRY 000000000 1.00000000 NC 1758346.02000000 0.049391413946 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 66030000.00000000 TRY 13012119.42000000 USD 2020-02-10 1758346.02000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV26Q510 IRS PLN R F 2.47000 2 CCP IRS / Short: SEV26Q510 IRS PLN P V 06MWIBR6 1 CCP IRS 000000000 17423000.00000000 OU Notional Amount 209510.91000000 0.005885098816 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-10-28 0.00000000 PLN 0.00000000 PLN 17423000.00000000 PLN 209510.91000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Long: BRSJ3XBW1 CDS USD R V 99MEVENT DEUTSCHE BNK EGYPT 10Y REC CP / Short: BRSJ3XBW1 CDS USD P F 1.00000 DEUTSCHE BNK EGYPT 10Y PAY 1% 000000000 5100000.00000000 OU Notional Amount USD 15631.50000000 0.000439084161 N/A DCR EG N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank 5.125% Deutsche Bank 5.125% Y buy protection 2020-06-20 31940.12000000 USD 0.00000000 USD 5100000.00000000 USD -16308.62000000 N N N BARBADOS GOVT OF 529900UD1KUUS4SFD905 Barbados Government International Bond 000000000 32126000.00000000 PA USD 23040767.20000000 0.647208261324 Long DBT NUSS BB Y 2 2035-12-05 Fixed 6.63000000 Y N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -209.37000000 -0.00000588114 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 480407.27000000 EUR 536711.77000000 USD 2019-12-06 -209.37000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 PURCHASED USD / SOLD EUR 000000000 1.00000000 NC -2323.11000000 -0.00006525546 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 560133.15000000 EUR 623702.66000000 USD 2019-12-06 -2323.11000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3G0L40 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3G0L40 IRS USD P F 2.80000 CCP LCH 000000000 10041000.00000000 OU Notional Amount USD -1255994.45000000 -0.03528050855 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-04-05 0.00000000 USD 0.00000000 USD 10041000.00000000 USD -1255994.45000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED EGP / SOLD USD 000000000 1.00000000 NC 5374.96000000 0.000150981019 N/A DFE EG N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 121751.91000000 USD 2071000.00000000 EGP 2019-12-09 5374.96000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BEV3R3YW6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3R3YW6 IRS USD P F 1.69420 CCP LCH 000000000 3543000.00000000 OU Notional Amount USD -30745.59000000 -0.00086363442 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-10-22 0.00000000 USD 0.00000000 USD 3543000.00000000 USD -30745.59000000 N N N COOF 1717067003 N/A COOF 1717067003 000000000 460926.75000000 PA USD 55313.64000000 0.001553743608 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 2.91000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SEV25A5V0 IRS PLN R F 2.28000 2 CCP IRS / Short: SEV25A5V0 IRS PLN P V 06MWIBR6 1 CCP IRS 000000000 12853000.00000000 OU Notional Amount 111211.11000000 0.003123886827 N/A DIR PL N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Warsaw Interbank Offer Rate 6 Months WIB06M Index Y 2026-09-21 0.00000000 PLN 0.00000000 PLN 12853000.00000000 PLN 111211.11000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: BEV3EHAL9 CDS USD R V 03MEVENT 8B9825/US836205AJ33/CCP / Short: BEV3EHAL9 CDS USD P F 1.00000 CCP ICE/BEV3EHAL9 000000000 32140000.00000000 OU Notional Amount USD 214759.48000000 0.006032529578 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y buy protection 2022-09-20 0.00000000 USD -281122.82000000 USD 32140000.00000000 USD 495882.30000000 N N N 2019-11-25 Global Macro Portfolio James Kirchner James Kirchner Treasurer