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