0001752724-20-123842.txt : 20200622
0001752724-20-123842.hdr.sgml : 20200622
20200622114529
ACCESSION NUMBER: 0001752724-20-123842
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200430
FILED AS OF DATE: 20200622
PERIOD START: 20201031
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: 20977800
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
2020-10-31
2020-04-30
N
3188374993.73
63830697.91
3124544295.82
0.00000000
35858772.81000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
10712993.75000000
0.00000000
0.00000000
218849619.02000000
USD
EUR
PHP
MXN
THB
NZD
CAD
RUB
UAH
ISK
CNY
ZAR
GBP
GEL
RSD
SGD
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
236661.05000000
0.007574258118
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
5407386.52000000
USD
95900000.00000000
EGP
2020-11-12
236661.05000000
N
N
N
Tencent Holdings Ltd
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032XAG9
1850000.00000000
PA
USD
1999028.95000000
0.063978256050
Long
DBT
CORP
KY
Y
2
2028-01-19
Fixed
3.60000000
N
N
N
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
816151.97000000
0.026120672095
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
816151.97000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
45836.58000000
0.001466984483
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
101024000.00000000
SAR
26680047.54000000
USD
2022-03-28
45836.58000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-59209.86000000
-0.00189499185
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
11436200.47000000
USD
10368738.81000000
EUR
2020-07-06
-59209.86000000
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
-405631.01000000
-0.01298208543
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
-405631.01000000
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
632548.04000000
0.020244489439
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
632548.04000000
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
549603.18000000
0.017589866808
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
549603.18000000
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
1626282.45000000
0.052048628408
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
1626282.45000000
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
601212.14000000
0.019241594391
Long
STIV
CORP
GE
N
2
2020-06-17
Variable
7.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
-14808.68000000
-0.00047394687
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4237718.80000000
USD
75050000.00000000
EGP
2021-03-08
-14808.68000000
N
N
N
FPT Corp
N/A
FPT Corp
000000000
412440.00000000
NS
956873.47000000
0.030624416855
Long
EC
CORP
VN
N
2
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
403636.28000000
0.012918244767
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
403636.28000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV40C2K4 IRS MXN R F 5.37500 CCP CME / Short: SEV40C2K4 IRS MXN P V 01MMXIBT MXIBTIIE+0BPS CCP CME
000000000
428165000.00000000
OU
Notional Amount
145102.11000000
0.004643944724
N/A
DIR
MN
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-13
0.00000000
MXN
0.00000000
MXN
428165000.00000000
MXN
145102.11000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
516835.09000000
0.016541134996
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
40237000.00000000
TRY
5753439.39000000
USD
2021-02-26
516835.09000000
N
N
N
COOF 2237857010
N/A
COOF 2237857010
000000000
3631200.21000000
PA
USD
203005.12000000
0.006497111283
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
1.66000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV40F6H0 IRS MXN R F 5.20000 CCP CME / Short: SEV40F6H0 IRS MXN P V 01MMXIBT MXIBTIIE+0BPS CCP CME
000000000
428163000.00000000
OU
Notional Amount
86521.76000000
0.002769100124
N/A
DIR
MN
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-15
0.00000000
MXN
0.00000000
MXN
428163000.00000000
MXN
86521.76000000
N
N
N
COOF 2199827010
N/A
COOF 2199827010
000000000
665861.35000000
PA
USD
82738.34000000
0.002648013027
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.21000000
N
N
N
N
N
N
Bank of Cyprus Holdings PLC
635400L14KNHZXPUZM19
Bank of Cyprus Holdings PLC
000000000
4401002.00000000
NS
3174453.48000000
0.101597326824
Long
EC
CORP
IE
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV3ZNVJ5 TRS USD R F .00000 / Short: BEV3ZNVJ5 TRS USD P E BCOM+0BPS
000000000
115000000.00000000
OU
Notional Amount
USD
4407305.42000000
0.141054342737
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2020-05-28
0.00000000
USD
0.00000000
USD
115000000.00000000
USD
4407305.42000000
N
N
N
COOF 8224545006
N/A
COOF 8224545006
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Fixed
2.38000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-4679.54000000
-0.00014976711
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
11100000.00000000
TRY
1575138.36000000
USD
2020-05-29
-4679.54000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
1612989.44000000
0.051623190049
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
7734120.73000000
USD
147335000.00000000
EGP
2020-05-07
1612989.44000000
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
-1277124.67000000
-0.04087394989
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
-1277124.67000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711X3H5
876334.15000000
PA
USD
796543.75000000
0.025493117542
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Floating
2.49000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZLMY6 IRS USD R V 03MLIBOR US0003M+0 BPS CCP LCH / Short: BEV3ZLMY6 IRS USD P F .75720 CCP LCH
000000000
2373000.00000000
OU
Notional Amount
USD
-22133.23000000
-0.00070836665
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-03-30
0.00000000
USD
0.00000000
USD
2373000.00000000
USD
-22133.23000000
N
N
N
COOF 9650315004
N/A
COOF 9650315004
000000000
818298.74000000
PA
USD
86313.84000000
0.002762445714
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
COOF 2298157005
N/A
COOF 2298157005
000000000
3632068.95000000
PA
USD
306689.65000000
0.009815500148
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
736000000.00000000
PA
43646580.89000000
1.396894291061
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
COOF 1533797005
N/A
COOF 1533797005
000000000
279433.68000000
PA
USD
30931.66000000
0.000989957480
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.96000000
N
N
N
N
N
N
PetroVietnam Nhon Trach 2 Power JSC
N/A
PetroVietnam Nhon Trach 2 Power JSC
000000000
485400.00000000
NS
427512.34000000
0.013682390119
Long
EC
CORP
VN
N
2
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-189620.01000000
-0.00606872529
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
631593000.00000000
INR
8183058.45000000
USD
2020-05-22
-189620.01000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT JUN20 XCME 20200619
000000000
62.00000000
NC
USD
-135935.00000000
-0.00435055442
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
E-mini S&P 500 Index
ESM0 Index
2020-06-19
9133375.00000000
USD
-135935.00000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-357544.16000000
-0.01144308181
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
21161299.15000000
USD
31921000.00000000
AUD
2020-06-09
-357544.16000000
N
N
N
COOF 9511595007
N/A
COOF 9511595007
000000000
1458204.56000000
PA
USD
92698.30000000
0.002966778231
Long
ABS-MBS
CORP
US
N
2
2027-06-15
Fixed
3.21000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV407UT5 IRS NZD R V 03MNDBB3 NDBB3M+0BPS CCP LCH / Short: BEV407UT5 IRS NZD P F 1.03000 CCP LCH
000000000
37070000.00000000
OU
Notional Amount
-549242.04000000
-0.01757830864
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
New Zealand Bank Bills 3 Months
MNDBB3 Index
Y
2030-04-15
0.00000000
NZD
0.00000000
NZD
37070000.00000000
NZD
-549242.04000000
N
N
N
SSI Securities Corp
213800IF2RICE613K743
SSI Securities Corp
000000000
775425.00000000
NS
431281.59000000
0.013803023710
Long
EC
CORP
VN
N
2
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
1269020.03000000
0.040614563592
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
1269020.03000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN20 XCBT 20200630
000000000
-151.00000000
NC
USD
-457719.05000000
-0.01464914581
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUM0 Comdty
2020-06-30
-32827163.84000000
USD
-457719.05000000
N
N
N
NTPC Ltd
335800Q4TRGJXNLVMB81
NTPC Ltd
000000000
2000000.00000000
PA
USD
1991782.00000000
0.063746319828
Long
DBT
CORP
IN
Y
2
2026-02-26
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJY2
13397.45000000
PA
USD
13760.62000000
0.000440404062
Long
ABS-MBS
USGSE
US
N
2
2024-09-17
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
756232.00000000
PA
USD
661567.48000000
0.021173246955
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
2.59000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PKD6
175728.23000000
PA
USD
183960.32000000
0.005887588799
Long
ABS-MBS
USGSE
US
N
2
2030-03-17
Fixed
7.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZQPX4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZQPX4 IRS USD P F .46120 CCP LCH
000000000
1010000.00000000
OU
Notional Amount
USD
-2527.57000000
-0.00008089403
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-04-01
0.00000000
USD
0.00000000
USD
1010000.00000000
USD
-2527.57000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
10646.60000000
0.000340740888
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1210834.91000000
USD
1114643.41000000
EUR
2020-05-05
10646.60000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-53876.88000000
-0.00172431160
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7752000.00000000
GHS
1259463.85000000
USD
2020-06-15
-53876.88000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225ATR1
81098.34000000
PA
USD
86418.41000000
0.002765792442
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
6.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
546950.10000000
0.017504955866
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6858000.00000000
OMR
17461489.50000000
USD
2021-05-27
546950.10000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
531955.93000000
0.017025072446
N/A
DFE
EG
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
26999673.77000000
USD
489295000.00000000
EGP
2021-03-08
531955.93000000
N
N
N
COOF 2126017002
N/A
COOF 2126017002
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.46000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3TA8A5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3TA8A5 IRS USD P F 1.81220 CCP LCH
000000000
568368.00000000
OU
Notional Amount
USD
-145630.80000000
-0.00466086527
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-12-06
0.00000000
USD
0.00000000
USD
568368.00000000
USD
-145630.80000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-3644.09000000
-0.00011662788
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2555000.00000000
BHD
6701463.57000000
USD
2022-03-14
-3644.09000000
N
N
N
COOF 9723235006
N/A
COOF 9723235006
000000000
1535175.30000000
PA
USD
134615.58000000
0.004308326823
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.41000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-139751.59000000
-0.00447270311
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
54429000.00000000
PLN
11826478.07000000
EUR
2020-07-03
-139751.59000000
N
N
N
COOF 7041165002
N/A
COOF 7041165002
000000000
1353587.35000000
PA
USD
218422.76000000
0.006990547718
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.69000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-615965.26000000
-0.01971376308
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
29255000.00000000
AUD
18448641.83000000
USD
2020-05-15
-615965.26000000
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
1000000000.00000000
PA
7728288.91000000
0.247341313750
Long
DBT
CORP
IS
Y
2
2024-04-12
Fixed
6.00000000
N
N
N
N
N
N
COOF 9663935001
N/A
COOF 9663935001
000000000
2939175.52000000
PA
USD
176420.01000000
0.005646263688
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.96000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-11319.98000000
-0.00036229219
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1189129.42000000
EUR
1292482.60000000
USD
2020-06-02
-11319.98000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJK2
117605.80000000
PA
USD
127941.94000000
0.004094739196
Long
ABS-MBS
USGSE
US
N
2
2026-06-17
Fixed
7.50000000
N
N
N
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
-326573.88000000
-0.01045188831
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2023-03-21
0.00000000
EUR
-118177.56000000
EUR
7400000.00000000
EUR
-173379.51000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
9840000.00000000
PA
USD
1623600.00000000
0.051962777489
Long
DBT
NUSS
LB
N
2
2029-05-25
None
0.00000000
Y
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B1TS3
21652766.83000000
PA
USD
1635095.70000000
0.052330693541
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Fixed
3.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
936.72000000
0.000029979411
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1505125.52000000
USD
1374333.00000000
EUR
2020-05-05
936.72000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283H6C4
794160.05000000
PA
USD
920604.62000000
0.029463644385
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJ70
5500000.00000000
PA
USD
4896492.70000000
0.156710618778
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Floating
2.64000000
N
N
N
N
N
N
COOF 9561145010
N/A
COOF 9561145010
000000000
1241690.96000000
PA
USD
72233.91000000
0.002311822242
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388SAM7
2881684.96000000
PA
USD
3318576.64000000
0.106209940580
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
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
261756.49000000
0.008377429321
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
261756.49000000
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
112400000.00000000
PA
4016058.64000000
0.128532619792
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
2.88000000
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
1206238.50000000
0.038605261625
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
469102.50000000
USD
0.00000000
USD
19900000.00000000
USD
737136.00000000
N
N
N
COOF 9335025000
N/A
COOF 9335025000
000000000
2561718.78000000
PA
USD
315524.76000000
0.010098264902
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.16000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AU8
10400000.00000000
PA
USD
8783112.00000000
0.281100575586
Long
DBT
NUSS
ZA
N
2
2028-10-12
Fixed
4.30000000
N
N
N
N
N
N
Landsbankinn HF
549300TLZPT6JELDWM92
Landsbankinn HF
000000000
560000000.00000000
PA
4147948.41000000
0.132753707974
Long
DBT
CORP
IS
Y
2
2023-11-23
Fixed
5.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
56042.96000000
0.001793636277
N/A
DFE
PH
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5035369.97000000
USD
256728338.00000000
PHP
2020-05-08
56042.96000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MAE88
6902060.81000000
PA
USD
7950634.31000000
0.254457404256
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
7.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
479471.78000000
0.015345334698
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
66095025000.00000000
IDR
4767041.11000000
USD
2020-07-21
479471.78000000
N
N
N
COOF 9643545005
N/A
COOF 9643545005
000000000
891643.07000000
PA
USD
102024.92000000
0.003265273599
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810EH7
1500000.00000000
PA
USD
1591523.43000000
0.050936177545
Long
DBT
UST
US
N
2
2021-02-15
Fixed
7.88000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
47972.73000000
0.001535351253
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5455922.69000000
USD
5022491.70000000
EUR
2020-05-05
47972.73000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV3Y3096 CDS USD R V 03MEVENT MOAGBNAB1/XS0546428144 / Short: BEV3Y3096 CDS USD P F 1.00000
000000000
1543000.00000000
OU
Notional Amount
USD
123254.84000000
0.003944730121
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Emirate of Dubai Government International Bonds
Emirate of Dubai Government International Bonds
Y
buy protection
2024-12-20
20344.79000000
USD
0.00000000
USD
1543000.00000000
USD
102910.05000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CKT8
49631.51000000
PA
USD
52818.57000000
0.001690440749
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3VUJR9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3VUJR9 IRS USD P F 1.60120 CCP LCH
000000000
4760000.00000000
OU
Notional Amount
USD
-262952.82000000
-0.00841571746
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-01-23
0.00000000
USD
0.00000000
USD
4760000.00000000
USD
-262952.82000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8GT5
1022390.83000000
PA
USD
1185796.59000000
0.037951025101
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
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
-2097.80000000
-0.00006713939
N/A
DCR
HR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Croatia Government International Bond
Croatia Government International Bond
Y
buy protection
2020-06-20
3449.50000000
USD
0.00000000
USD
1700000.00000000
USD
-5547.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3ZMSJ1 IRS SGD R F 1.06000 CCP LCH / Short: SEV3ZMSJ1 IRS SGD P V 06MSORF SORF6M+0BPS CCP LCH
000000000
24900000.00000000
OU
Notional Amount
307382.35000000
0.009837669781
N/A
DIR
SD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Singapore Interbank Offer Rate 6 Months
SIBF6M Index
Y
2025-03-31
0.00000000
SGD
0.00000000
SGD
24900000.00000000
SGD
307382.35000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
1380919.69000000
0.044195874958
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
13793450.00000000
OMR
35093372.34000000
USD
2021-08-09
1380919.69000000
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
235687.14000000
0.007543088453
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
235687.14000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SD7B9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3SD7B9 IRS USD P F 1.90570 CCP LCH
000000000
4700000.00000000
OU
Notional Amount
USD
-1317962.95000000
-0.04218096545
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-11-18
0.00000000
USD
0.00000000
USD
4700000.00000000
USD
-1317962.95000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
100433.23000000
0.003214332091
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
6473000.00000000
NZD
4070258.65000000
USD
2020-06-12
100433.23000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
406344.49000000
0.013004920126
N/A
DFE
SE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
8872917.46000000
USD
90456917.96000000
SEK
2020-07-24
406344.49000000
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
-275935.76000000
-0.00883123213
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
-275935.76000000
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
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
789098.26000000
0.025254827113
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
50858000.00000000
NZD
31979795.20000000
USD
2020-06-12
789098.26000000
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
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-53361.15000000
-0.00170780584
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
39747000.00000000
UAH
1402010.58000000
USD
2020-06-02
-53361.15000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HHD0
43343.35000000
PA
USD
47811.30000000
0.001530184739
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
9.00000000
N
N
N
N
N
N
SILKNET JSC
635400QGWS2BG73SGG55
Silknet JSC
000000000
2470000.00000000
PA
USD
2262124.80000000
0.072398551143
Long
DBT
CORP
GE
Y
2
2024-04-02
Fixed
11.00000000
N
N
N
N
N
N
Alpha Bank AE
5299009N55YRQC69CN08
Alpha Bank AE
000000000
1247900.00000000
NS
911247.58000000
0.029164175435
Long
EC
CORP
GR
N
2
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396QCX5
2675933.06000000
PA
USD
2982115.86000000
0.095441625327
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
5.85000000
N
N
N
N
N
N
COOF 1792627005
N/A
COOF 1792627005
000000000
612325.07000000
PA
USD
92475.97000000
0.002959662633
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-19122.12000000
-0.00061199708
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3039167.00000000
BHD
8023144.14000000
USD
2021-03-11
-19122.12000000
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
80061.69000000
0.002562347735
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
92842000.00000000
ZAR
5031611.92000000
USD
2020-09-03
80061.69000000
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
-874047.43000000
-0.02797359701
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
-874047.43000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
124738.11000000
0.003992201684
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3600000.00000000
EUR
4075146.00000000
USD
2020-07-10
124738.11000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
40635000.00000000
PA
45080904.53000000
1.442799341661
Long
DBT
NUSS
RO
Y
2
2049-04-03
Fixed
4.63000000
N
N
N
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-57080.01000000
-0.00182682671
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
368410000.00000000
AED
100000000.00000000
USD
2021-04-05
-57080.01000000
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
15671218.64000000
0.501552135489
Long
LON
CORP
KE
N
2
2020-06-30
Floating
8.37000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BEV40MBR7 TRS USD R F .00000 / Short: BEV40MBR7 TRS USD P V 03MLIBOR US0003M-1000BPS
000000000
1.00000000
NC
N/A
43624.17000000
0.001396177037
N/A
DFE
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
4086186.60000000
USD
4086186.60000000
USD
2020-07-17
43624.17000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
75000000.00000000
PA
2268266.91000000
0.072595127328
Long
DBT
NUSS
UA
N
2
2027-05-26
Fixed
9.79000000
N
N
N
N
N
N
Hagar hf
635400TICHH43JJTNP54
Hagar hf
000000000
13723319.00000000
NS
4367770.18000000
0.139789030542
Long
EC
CORP
IS
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3Z8N99 IRS USD R F .84050 CCP LCH / Short: SEV3Z8N99 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH
000000000
32860000.00000000
OU
Notional Amount
USD
693417.96000000
0.022192610964
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2027-03-20
0.00000000
USD
0.00000000
USD
32860000.00000000
USD
693417.96000000
N
N
N
COOF 8753925008
N/A
COOF 8753925008
000000000
1299784.44000000
PA
USD
80910.17000000
0.002589503055
Long
ABS-MBS
CORP
US
N
2
2042-05-15
Fixed
1.93000000
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
365896.69000000
0.011710401753
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
365896.69000000
N
N
N
COOF 9703695007
N/A
COOF 9703695007
000000000
1600170.61000000
PA
USD
179500.54000000
0.005744855025
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
3.16000000
N
N
N
N
N
N
BANK OF GEORGIA PROMISSORY NOT
N/A
BANK OF GEORGIA PROMISSORY NOT
000000000
1565487.03000000
PA
488637.42000000
0.015638677955
Long
STIV
CORP
GE
N
2
2020-05-13
Variable
7.40000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV3XGSP2 CDS USD R V 03MLIBRO / Short: BEV3XGSP2 CDS USD P F 1.00000
000000000
4550000.00000000
OU
Notional Amount
USD
22081.15000000
0.000706699854
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Egypt Government International Bond
Egypt Government International Bond
Y
buy protection
2020-06-20
3134.03000000
USD
0.00000000
USD
4550000.00000000
USD
18947.12000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3XJNX4 IRS CAD R V 03MCD000 CD0003M+0BPS CCP LCH / Short: BEV3XJNX4 IRS CAD P F 1.71000 CCP LCH
000000000
23340000.00000000
OU
Notional Amount
-750177.22000000
-0.02400917218
N/A
DIR
CD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2025-02-19
0.00000000
CAD
0.00000000
CAD
23340000.00000000
CAD
-750177.22000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QQ5
1329915.00000000
PA
USD
1264701.02000000
0.040476335115
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Floating
2.99000000
N
N
N
N
N
N
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-62832.14000000
-0.00201092172
N/A
DFE
US
N
2
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
9254000.00000000
GHS
1518293.68000000
USD
2020-05-26
-62832.14000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD RSD
000000000
1.00000000
NC
N/A
-20041.52000000
-0.00064142217
N/A
DFE
XX
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
1348379350.68000000
RSD
11430818.50000000
EUR
2020-07-27
-20041.52000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
478230.20000000
0.015305598344
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
31228503.74000000
USD
28896819.38000000
EUR
2020-07-06
478230.20000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
51467.24000000
0.001647191882
N/A
DFE
XX
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8647345.26000000
USD
7926000.00000000
EUR
2020-07-17
51467.24000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CLR2
295641.12000000
PA
USD
324688.78000000
0.010391556312
Long
ABS-MBS
USGA
US
N
2
2025-12-20
Fixed
7.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-78755.99000000
-0.00252055924
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
11091938.89000000
EUR
12076958.52000000
USD
2020-05-08
-78755.99000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359VU27
258554.21000000
PA
USD
296609.30000000
0.009492881902
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV40DL96 IRS MXN R F 5.29330 CCP CME / Short: SEV40DL96 IRS MXN P V 01MMXIBT MXIBTIIE+0BPS CCP CME
000000000
1338015000.00000000
OU
Notional Amount
368075.98000000
0.011780149204
N/A
DIR
MN
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-14
0.00000000
MXN
0.00000000
MXN
1338015000.00000000
MXN
368075.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3RXHV1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3RXHV1 IRS USD P F 1.63950 CCP LCH
000000000
1500000.00000000
OU
Notional Amount
USD
-83799.91000000
-0.00268198822
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2024-11-07
0.00000000
USD
0.00000000
USD
1500000.00000000
USD
-83799.91000000
N
N
N
COOF 9579435001
N/A
COOF 9579435001
000000000
1153525.25000000
PA
USD
109457.45000000
0.003503149247
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31346AF83
250040.56000000
PA
USD
260262.22000000
0.008329605707
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Floating
4.40000000
N
N
N
N
N
N
COOF 9627715008
N/A
COOF 9627715008
000000000
1029863.56000000
PA
USD
54151.87000000
0.001733112571
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 AUD / SOLD USD
000000000
1.00000000
NC
625801.13000000
0.020028556831
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8996665.16000000
USD
14764582.00000000
AUD
2020-06-09
625801.13000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4095M4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV4095M4 IRS USD P F .80070 CCP LCH
000000000
1886000.00000000
OU
Notional Amount
USD
-25341.31000000
-0.00081104019
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-04-15
0.00000000
USD
0.00000000
USD
1886000.00000000
USD
-25341.31000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
150055.87000000
0.004802488164
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9200000.00000000
EUR
10244660.00000000
USD
2020-07-06
150055.87000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PK53
111795.43000000
PA
USD
122955.98000000
0.003935165206
Long
ABS-MBS
USGSE
US
N
2
2030-04-17
Fixed
8.00000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1000000.00000000
PA
USD
167500.00000000
0.005360781737
Long
DBT
NUSS
LB
Y
2
2021-04-12
None
0.00000000
Y
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
-4577095.02000000
-0.14648840236
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
-4577095.02000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
110249.38000000
0.003528494703
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
14440000.00000000
TRY
1989528.80000000
USD
2021-02-26
110249.38000000
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
48700000.00000000
PA
597482.83000000
0.019122239066
Long
DBT
NUSS
RS
N
2
2024-10-23
Fixed
10.00000000
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
2384464.27000000
PA
736265.14000000
0.023563920696
Long
STIV
CORP
GE
N
2
2020-06-29
Variable
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDH9
484008.02000000
PA
USD
562048.26000000
0.017988167450
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
KIDO Group Corp
N/A
KIDO Group Corp
000000000
24450.00000000
NS
18055.77000000
0.000577868907
Long
EC
CORP
VN
N
2
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
8811.08000000
0.000281995682
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
56350000.00000000
SAR
14866112.65000000
USD
2022-03-24
8811.08000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
401930.01000000
0.012863636164
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4688820000.00000000
HUF
13648144.37000000
EUR
2020-06-18
401930.01000000
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1300000.00000000
PA
USD
375388.00000000
0.012014167970
Long
DBT
NUSS
EC
Y
2
2027-06-02
Fixed
9.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225AH78
393.93000000
PA
USD
397.71000000
0.000012728576
Long
ABS-MBS
USGA
US
N
2
2021-11-15
Fixed
9.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-31087.23000000
-0.00099493644
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4567000.00000000
GHS
741998.38000000
USD
2020-06-17
-31087.23000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
3576372.43000000
0.114460609016
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
309175000.00000000
ZAR
20132906.16000000
USD
2020-07-20
3576372.43000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
114822.83000000
0.003674866448
N/A
DFE
TW
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
19994281.87000000
USD
594430000.00000000
TWD
2020-06-09
114822.83000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD UGX
000000000
1.00000000
NC
5789.68000000
0.000185296780
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3554626000.00000000
UGX
931505.77000000
USD
2020-06-15
5789.68000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3W1YA2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3W1YA2 IRS USD P F 1.49050 CCP LCH
000000000
775000.00000000
OU
Notional Amount
USD
-39129.06000000
-0.00125231253
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-01-28
0.00000000
USD
0.00000000
USD
775000.00000000
USD
-39129.06000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-186142.04000000
-0.00595741402
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
29780000.00000000
NZD
18073482.00000000
USD
2020-07-17
-186142.04000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV3X7R08 IRS EUR R F .00000 CCP LCH/BEV3X7R08 / Short: BSV3X7R08 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3X7R08
000000000
3316000.00000000
OU
Notional Amount
0.00000000
0.000000
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-17
0.00000000
EUR
0.00000000
EUR
3316000.00000000
EUR
-1.11000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1595000.00000000
PA
USD
267162.50000000
0.008550446871
Long
DBT
NUSS
LB
N
2
2033-05-17
None
0.00000000
Y
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F4ZS4
22840649.29000000
PA
USD
1922186.82000000
0.061518949261
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-85329.74000000
-0.00273094992
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
254454000.00000000
PHP
4949503.99000000
USD
2020-06-02
-85329.74000000
N
N
N
Bank for Investment and Development of Vietnam JSC
254900FSO240QVE6NR86
Bank for Investment and Development of Vietnam JSC
000000000
468816.00000000
NS
715844.17000000
0.022910354350
Long
EC
CORP
VN
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3Z6DB9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3Z6DB9 IRS USD P F .51700 CCP LCH
000000000
3700000.00000000
OU
Notional Amount
USD
-18128.00000000
-0.00058018060
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-03-19
0.00000000
USD
0.00000000
USD
3700000.00000000
USD
-18128.00000000
N
N
N
COOF 6578505003
N/A
COOF 6578505003
000000000
899640.84000000
PA
USD
65953.98000000
0.002110835173
Long
ABS-MBS
CORP
US
N
2
2029-02-15
Fixed
2.99000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR Trust 2019-DNA4
35565AAH3
369853.00000000
PA
USD
310018.81000000
0.009922048806
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Floating
2.44000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
866373.53000000
0.027727996404
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
64075000.00000000
TRY
9205350.61000000
USD
2021-02-26
866373.53000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
45640.33000000
0.001460703567
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
880075.76000000
USD
3554626000.00000000
UGX
2020-06-15
45640.33000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CH8
5295000.00000000
PA
USD
5450933.83000000
0.174455322566
Long
DBT
NUSS
PH
N
2
2045-05-05
Fixed
2.95000000
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
647974.35000000
0.020738203355
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
243753.96000000
USD
0.00000000
USD
10690000.00000000
USD
404220.39000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PD69
45515.12000000
PA
USD
45660.03000000
0.001461334059
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.95000000
N
N
N
N
N
N
COOF 9631225006
N/A
COOF 9631225006
000000000
123917.57000000
PA
USD
17184.62000000
0.000549988042
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
COOF 9766785007
N/A
COOF 9766785007
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
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
1101527.37000000
0.035254016768
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
1101527.37000000
N
N
N
COOF 9645535006
N/A
COOF 9645535006
000000000
1790290.62000000
PA
USD
180609.81000000
0.005780356842
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
155348.88000000
0.004971889187
N/A
DFE
ZA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
13553181.07000000
USD
257360000.00000000
ZAR
2020-09-17
155348.88000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZHC34 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZHC34 IRS USD P F .56220 CCP LCH
000000000
2700000.00000000
OU
Notional Amount
USD
-17471.75000000
-0.00055917754
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-03-25
0.00000000
USD
0.00000000
USD
2700000.00000000
USD
-17471.75000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
311634.69000000
0.009973764507
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3310000.00000000
OMR
8422391.86000000
USD
2021-07-19
311634.69000000
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
497575.30000000
0.015924731829
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
179544.75000000
USD
0.00000000
USD
7300000.00000000
USD
318030.55000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-20442.44000000
-0.00065425348
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5116000.00000000
BHD
13404844.94000000
USD
2022-03-16
-20442.44000000
N
N
N
Hoa Phat Group JSC
549300ODJEFGL5CWKD32
Hoa Phat Group JSC
000000000
794407.00000000
NS
727586.14000000
0.023286152191
Long
EC
CORP
VN
N
2
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PGF6
98477.40000000
PA
USD
103372.06000000
0.003308388366
Long
ABS-MBS
USGSE
US
N
2
2024-09-17
Fixed
6.50000000
N
N
N
N
N
N
RMOF SD 10/06/17
N/A
RMOF SD 10/06/17
000000000
21482189.28000000
PA
USD
1457639.57000000
0.046651269177
Long
ABS-MBS
CORP
US
N
2
2036-03-19
Fixed
2.24000000
N
N
N
N
N
N
COOF 2006697002
N/A
COOF 2006697002
000000000
1676634.50000000
PA
USD
134053.21000000
0.004290328358
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
4385000.00000000
PA
1351648.88000000
0.043259072428
Long
DBT
NUSS
GE
N
2
2021-01-17
Fixed
7.25000000
N
N
N
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
25057000.00000000
PA
7097351.18000000
0.227148361746
Long
DBT
NUSS
GE
N
2
2024-05-30
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-50858.32000000
-0.00162770360
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
50898000.00000000
SAR
13371338.50000000
USD
2022-03-14
-50858.32000000
N
N
N
COOF 8868325005
N/A
COOF 8868325005
000000000
1213787.92000000
PA
USD
131243.37000000
0.004200400364
Long
ABS-MBS
CORP
US
N
2
2043-07-15
Fixed
2.98000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-2563.77000000
-0.00008205260
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
4247300.00000000
ZAR
223672.78000000
USD
2020-09-17
-2563.77000000
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
521355.48000000
0.016685808573
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
521355.48000000
N
N
N
Freddie Mac - STACR
549300Y6KOVOWQ8OJC33
Freddie Mac STACR Trust 2019-DNA2
35564LAH0
4260265.36000000
PA
USD
3758591.00000000
0.120292453687
Long
ABS-MBS
USGSE
US
N
2
2049-03-25
Floating
3.40000000
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
4370767.67000000
0.139884964212
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
4370767.67000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2065649.51000000
0.066110424895
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
68113610.80000000
EUR
76820573.67000000
USD
2020-07-17
2065649.51000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31363WHX6
1682.82000000
PA
USD
1700.14000000
0.000054412414
Long
ABS-MBS
USGSE
US
N
2
2020-12-15
Fixed
8.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-55524.03000000
-0.00177702809
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
71026000.00000000
UAH
2536642.86000000
USD
2020-06-09
-55524.03000000
N
N
N
Ethiopian Railways Corporation
N/A
ETHIOPIAN RAILWAYS CORPORATION DELAYED DRAW TERM LOAN
000000000
5200000.02000000
PA
USD
5012430.82000000
0.160421179712
Long
LON
CORP
ET
N
2
2021-08-02
Floating
5.51000000
N
N
N
N
N
N
COOF 9626165007
N/A
COOF 9626165007
000000000
2342709.17000000
PA
USD
162057.05000000
0.005186581935
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
2.11000000
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
-57966.84000000
-0.00185520941
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
-57966.84000000
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
854532.73000000
0.027349035542
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
854532.73000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359H6F6
106686.51000000
PA
USD
118319.76000000
0.003786784529
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
8.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
-1370246.67000000
-0.04385428850
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
15049500000.00000000
HUF
41443835.54000000
EUR
2020-05-04
-1370246.67000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
10288286.47000000
0.329273183413
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
817827898.00000000
ZAR
54211049.85000000
USD
2020-06-18
10288286.47000000
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325W4R0
14676098.71000000
PA
USD
1350930.48000000
0.043236080276
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Fixed
3.50000000
N
N
N
N
N
N
COOF 9630945008
N/A
COOF 9630945008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
1.61000000
N
N
N
N
N
N
COOF 1717067003
N/A
COOF 1717067003
000000000
456850.18000000
PA
USD
48095.82000000
0.001539290707
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
2.91000000
N
N
N
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
4053474.36000000
0.129730097455
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
4053474.36000000
N
N
N
ARDSHININVESTBK (DILIJAN
549300DCGXFXAP2FEV07
Ardshinbank CJSC Via Dilijan Finance BV
000000000
4747000.00000000
PA
USD
4090689.32000000
0.130921149860
Long
DBT
CORP
NL
Y
2
2025-01-28
Fixed
6.50000000
N
N
N
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
288684.00000000
0.009239235314
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S31.V1
2I65BZDL3
Y
buy protection
2024-06-20
72707.99000000
USD
0.00000000
USD
3000000.00000000
USD
215976.01000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV3X54N7 IRS EUR R F .00000 CCP LCH /BEV3X54N7 / Short: BSV3X54N7 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3X54N7
000000000
781000.00000000
OU
Notional Amount
0.00000000
0.000000
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-14
0.00000000
EUR
0.00000000
EUR
781000.00000000
EUR
0.02000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
8571000.00000000
PA
USD
7699757.85000000
0.246428186673
Long
DBT
NUSS
EG
Y
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RH4N19 CDS USD R V 00MEVENT / Short: B92RH4N19 CDS USD P F 1.00000
000000000
24202000.00000000
OU
Notional Amount
USD
1812390.97000000
0.058004969634
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Mexico Government International Bond
Mexico Government International Bond
Y
buy protection
2025-06-20
2136595.18000000
USD
0.00000000
USD
24202000.00000000
USD
-324204.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373HXY7
575586.11000000
PA
USD
585934.52000000
0.018752639249
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Floating
3.39000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV40C9B7 IRS MXN R F 5.34500 CCP CME / Short: SEV40C9B7 IRS MXN P V 01MMXIBT MXIBTIIE+0BPS CCP CME
000000000
884875000.00000000
OU
Notional Amount
279156.20000000
0.008934301247
N/A
DIR
MN
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-13
0.00000000
MXN
0.00000000
MXN
884875000.00000000
MXN
279156.20000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CS3
13045000.00000000
PA
USD
13543136.50000000
0.433443575055
Long
DBT
NUSS
ID
N
2
2030-10-15
Fixed
3.85000000
N
N
N
N
N
N
COOF 1136997002
N/A
COOF 1136997002
000000000
1116705.28000000
PA
USD
181873.85000000
0.005820812021
Long
ABS-MBS
CORP
US
N
2
2043-06-15
Fixed
3.66000000
N
N
N
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
2284904.11000000
0.073127595376
Long
STIV
CORP
GE
N
2
2020-05-28
Variable
7.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358KKJ6
70273.77000000
PA
USD
72863.23000000
0.002331963419
Long
ABS-MBS
USGSE
US
N
2
2021-12-25
Fixed
7.10000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-13963.01000000
-0.00044688148
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
30370000.00000000
CNY
4270487.65000000
USD
2020-07-08
-13963.01000000
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
1262610.45000000
0.040409427118
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
390264.12000000
USD
0.00000000
USD
20830000.00000000
USD
872346.33000000
N
N
N
COOF 2005677005
N/A
COOF 2005677005
000000000
492519.30000000
PA
USD
53353.26000000
0.001707553324
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S91ZBUE69 CDS USD R F 1.00000 CCP ICE / Short: S91ZBUE69 CDS USD P V 03MEVENT CCP ICE
000000000
16540000.00000000
OU
Notional Amount
USD
-847228.42000000
-0.02711526353
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Turkey Government International Bond
Turkey Government International Bond
Y
sell protection
2021-06-20
0.00000000
USD
-952507.48000000
USD
16540000.00000000
USD
105279.06000000
N
N
N
COOF 1728057006
N/A
COOF 1728057006
000000000
761162.10000000
PA
USD
59673.32000000
0.001909824740
Long
ABS-MBS
CORP
US
N
2
2028-02-15
Fixed
3.71000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-3806.08000000
-0.00012181232
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
25380000.00000000
AED
6889063.81000000
USD
2021-04-08
-3806.08000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-1688840.24000000
-0.05405076965
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
42159303.08000000
AUD
25787644.15000000
USD
2020-06-12
-1688840.24000000
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
000000000
8910000.00000000
PA
USD
9238556.25000000
0.295676917186
Long
DBT
NUSS
PY
Y
2
2031-04-28
Fixed
4.95000000
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
1688000.00000000
OU
Notional Amount
USD
-119566.04000000
-0.00382667130
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
1688000.00000000
USD
-119566.04000000
N
N
N
COOF 8887125010
N/A
COOF 8887125010
000000000
795655.94000000
PA
USD
56933.40000000
0.001822134513
Long
ABS-MBS
CORP
US
N
2
2027-05-15
Fixed
3.78000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X9ZQ8 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3X9ZQ8 / Short: BEV3X9ZQ8 IRS EUR P F .35320 CCP LCH/BSV3X9ZQ8
000000000
2876000.00000000
OU
Notional Amount
-390913.61000000
-0.01251105994
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-18
0.00000000
EUR
0.00000000
EUR
2876000.00000000
EUR
-390913.61000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PLG8
595946.76000000
PA
USD
656305.80000000
0.021004848639
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
313920CC2
2046445.17000000
PA
USD
2349267.59000000
0.075187527126
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.00000000
N
N
N
N
N
N
COOF 1311887002
N/A
COOF 1311887002
000000000
1800726.94000000
PA
USD
99985.61000000
0.003200006161
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
1.66000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358RAL7
118342.90000000
PA
USD
124433.26000000
0.003982445061
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.00000000
N
N
N
N
N
N
COOF 1689717010
N/A
COOF 1689717010
000000000
1516408.06000000
PA
USD
157249.99000000
0.005032733580
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
2.46000000
N
N
N
N
N
N
COOF 8187925002
N/A
COOF 8187925002
000000000
956756.50000000
PA
USD
83168.24000000
0.002661771833
Long
ABS-MBS
CORP
US
N
2
2041-04-15
Fixed
3.03000000
N
N
N
N
N
N
COOF 2148227007
N/A
COOF 2148227007
000000000
1371040.65000000
PA
USD
85079.75000000
0.002722949074
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.96000000
N
N
N
N
N
N
COOF 2373147003
N/A
COOF 2373147003
000000000
903813.94000000
PA
USD
58333.31000000
0.001866938166
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
1.91000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EGP
000000000
1.00000000
NC
192778.76000000
0.006169820036
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
179916000.00000000
EGP
10316284.40000000
USD
2021-03-08
192778.76000000
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR3 Trust
46187VAJ8
13000000.00000000
PA
USD
11988823.60000000
0.383698308135
Long
ABS-O
CORP
US
N
2
2037-07-17
Floating
2.75000000
N
N
N
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
11610.60000000
0.000371593387
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
4598.70000000
USD
0.00000000
USD
3700000.00000000
USD
7011.90000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PH99
57417.78000000
PA
USD
60608.85000000
0.001939766067
Long
ABS-MBS
USGSE
US
N
2
2024-08-17
Fixed
7.00000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
2475755464.00000000
PA
68374471.70000000
2.188302204307
Long
DBT
NUSS
TH
Y
2
2028-03-12
Fixed
1.25000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED OMR / SOLD USD
000000000
1.00000000
NC
-50021.61000000
-0.00160092497
N/A
DFE
OM
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5037783.38000000
USD
2000000.00000000
OMR
2021-03-10
-50021.61000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
83826.21000000
0.002682829944
N/A
DFE
NO
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
31568476.97000000
USD
324146700.00000000
NOK
2020-07-16
83826.21000000
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
405320.80000000
0.012972157269
Long
STIV
CORP
GE
N
2
2020-06-10
Variable
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PLX1
143806.04000000
PA
USD
150953.69000000
0.004831222594
Long
ABS-MBS
USGSE
US
N
2
2024-03-17
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X2QW0 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3X2QW0 / Short: BEV3X2QW0 IRS EUR P F .38670 CCP LCH/BSV3X2QW0
000000000
1821000.00000000
OU
Notional Amount
-267209.31000000
-0.00855194501
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-13
0.00000000
EUR
0.00000000
EUR
1821000.00000000
EUR
-267209.31000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
367301.56000000
0.011755364149
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
120050000.00000000
UAH
4803921.57000000
USD
2020-05-12
367301.56000000
N
N
N
Eimskipafelag Islands Hf
549300IUR8Q7Y44KBL02
Eimskipafelag Islands Hf
000000000
3639045.00000000
NS
3219423.30000000
0.103036570942
Long
EC
CORP
IS
N
2
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
2246875.92000000
0.071910515815
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
34308536.38000000
USD
56089807.00000000
AUD
2020-06-12
2246875.92000000
N
N
N
COOF 9675505009
N/A
COOF 9675505009
000000000
1972518.86000000
PA
USD
152437.62000000
0.004878715280
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374CLQ7
4637093.57000000
PA
USD
5428225.79000000
0.173728559305
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-159920.84000000
-0.00511821324
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2195181.74000000
USD
14300000.00000000
TRY
2020-05-29
-159920.84000000
N
N
N
COOF 1826907005
N/A
COOF 1826907005
000000000
1750712.57000000
PA
USD
124086.68000000
0.003971352883
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
160000.00000000
PA
49176.13000000
0.001573865669
Long
STIV
NUSS
GE
N
2
2020-07-02
None
0.00000000
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
-2033961.02000000
-0.06509624532
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
-2033961.02000000
N
N
N
COOF 2191127007
N/A
COOF 2191127007
000000000
200226.42000000
PA
USD
23155.75000000
0.000741092070
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
7398000.00000000
PA
USD
1239165.00000000
0.039659063296
Long
DBT
NUSS
LB
Y
2
2024-11-04
None
0.00000000
Y
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZQNG3 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZQNG3 IRS USD P F .46520 CCP LCH
000000000
5400000.00000000
OU
Notional Amount
USD
-14140.87000000
-0.00045257383
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-04-01
0.00000000
USD
0.00000000
USD
5400000.00000000
USD
-14140.87000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-113156.86000000
-0.00362154763
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
122510000.00000000
SAR
32193679.02000000
USD
2022-03-14
-113156.86000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-264963.15000000
-0.00848005740
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
69182000.00000000
PLN
14955036.75000000
EUR
2020-06-25
-264963.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389AZU0
1474875.14000000
PA
USD
1497223.48000000
0.047918139038
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.45000000
N
N
N
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
2922000.00000000
PA
889828.74000000
0.028478672592
Long
DBT
NUSS
GE
N
2
2023-01-25
Fixed
8.13000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV3ZCP31 CDS USD R F 1.00000 / Short: BEV3ZCP31 CDS USD P V 00MEVENT
000000000
15486000.00000000
OU
Notional Amount
USD
-1135185.74000000
-0.03633124169
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Hellenic Republic Government Bond
Hellenic Republic Government Bond
Y
sell protection
2025-06-20
0.00000000
USD
-838703.77000000
USD
15486000.00000000
USD
-296481.97000000
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
1042074.18000000
0.033351237215
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
1042074.18000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
2952000.00000000
PA
USD
494460.00000000
0.015825027690
Long
DBT
NUSS
LB
Y
2
2028-03-20
None
0.00000000
Y
N
N
N
N
N
COOF 2099157002
N/A
COOF 2099157002
000000000
866323.49000000
PA
USD
71641.00000000
0.002292846355
Long
ABS-MBS
CORP
US
N
2
2028-04-15
Fixed
3.71000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-577349.95000000
-0.01847789294
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
39417010.84000000
USD
35397612.00000000
EUR
2020-07-06
-577349.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X0JL6 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3X0JL6 / Short: BEV3X0JL6 IRS EUR P F .37120 CCP LCH / BSV3X0JL6
000000000
1847000.00000000
OU
Notional Amount
-261540.15000000
-0.00837050543
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-12
0.00000000
EUR
0.00000000
EUR
1847000.00000000
EUR
-261540.15000000
N
N
N
COOF 9334725007
N/A
COOF 9334725007
000000000
1474585.50000000
PA
USD
130084.10000000
0.004163298314
Long
ABS-MBS
CORP
US
N
2
2042-07-15
Fixed
2.41000000
N
N
N
N
N
N
Republic of Belarus
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond
000000000
6700000.00000000
PA
USD
6577631.20000000
0.210514896805
Long
DBT
NUSS
BY
Y
2
2023-02-28
Fixed
6.88000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED AED / SOLD USD
000000000
1.00000000
NC
3164.56000000
0.000101280689
N/A
DFE
AE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3863185.09000000
USD
14203000.00000000
AED
2020-05-21
3164.56000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
17707000.00000000
PA
4501194.25000000
0.144059223484
Long
DBT
NUSS
AR
Y
2
2047-11-09
Fixed
6.25000000
N
N
N
N
N
N
COOF 9675065008
N/A
COOF 9675065008
000000000
2641635.01000000
PA
USD
184397.39000000
0.005901577079
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.21000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-17939.34000000
-0.00057414260
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1884473.00000000
EUR
2048261.97000000
USD
2020-06-02
-17939.34000000
N
N
N
COOF 9679295004
N/A
COOF 9679295004
000000000
699514.48000000
PA
USD
72639.71000000
0.002324809736
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PMR3
582879.37000000
PA
USD
659668.66000000
0.021112475853
Long
ABS-MBS
USGSE
US
N
2
2029-08-17
Fixed
7.00000000
N
N
N
N
N
N
COOF 9641005003
N/A
COOF 9641005003
000000000
668106.14000000
PA
USD
76447.04000000
0.002446662065
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XUV4
3942383.00000000
PA
USD
3207624.92000000
0.102658967718
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Floating
2.89000000
N
N
N
N
N
N
COOF 8133675004
N/A
COOF 8133675004
000000000
660023.90000000
PA
USD
43612.11000000
0.001395791061
Long
ABS-MBS
CORP
US
N
2
2041-02-15
Fixed
2.38000000
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
3941769.60000000
0.126155023798
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
1985620.59000000
USD
0.00000000
USD
16600000.00000000
USD
1956149.01000000
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HR4
18915000.00000000
PA
USD
4468857.90000000
0.143024309368
Long
DBT
NUSS
AR
N
2
2048-01-11
Fixed
6.88000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-135170.84000000
-0.00432609773
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
178584633.00000000
THB
5384569.53000000
USD
2020-07-01
-135170.84000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
399686.22000000
0.012791824412
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5396160000.00000000
HUF
15666018.29000000
EUR
2020-05-18
399686.22000000
N
N
N
Vingroup JSC
254900MJ9C15O3O1V757
Vingroup JSC
000000000
632834.00000000
NS
2483485.97000000
0.079483141695
Long
EC
CORP
VN
N
2
N
N
N
COOF 1283797001
N/A
COOF 1283797001
000000000
866707.00000000
PA
USD
100761.51000000
0.003224838583
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.91000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1284.41000000
-0.00004110711
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1884473.00000000
EUR
2063814.53000000
USD
2020-05-05
-1284.41000000
N
N
N
COOF 9384175006
N/A
COOF 9384175006
000000000
1387168.95000000
PA
USD
83951.79000000
0.002686849090
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Fixed
2.56000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJF3
37130.40000000
PA
USD
39795.97000000
0.001273656771
Long
ABS-MBS
USGSE
US
N
2
2025-12-17
Fixed
7.50000000
N
N
N
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
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128HDZJ1
10370.11000000
PA
USD
10720.18000000
0.000343095792
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Floating
3.92000000
N
N
N
N
N
N
Atento Luxco 1 SA
549300MLFF3HYCZQTC48
Atento Luxco 1 SA
000000000
2353000.00000000
PA
USD
1508861.25000000
0.048290601993
Long
DBT
CORP
LU
Y
2
2022-08-10
Fixed
6.13000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD UGX
000000000
1.00000000
NC
24303.47000000
0.000777824466
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
16955721000.00000000
UGX
4414402.76000000
USD
2020-07-10
24303.47000000
N
N
N
COOF 1856837009
N/A
COOF 1856837009
000000000
2032997.42000000
PA
USD
166824.59000000
0.005339165465
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.41000000
N
N
N
N
N
N
Heimavellir HF
21380098BQ8B2T7EEQ97
Heimavellir HF
000000000
1036833100.00000000
PA
7718816.79000000
0.247038161703
Long
DBT
CORP
IS
N
3
2023-04-25
Fixed
7.91000000
N
N
N
N
N
N
Republic of Armenia
5299000H77JSW90G7935
Republic of Armenia International Bond
000000000
2450000.00000000
PA
USD
2620870.35000000
0.083880083041
Long
DBT
NUSS
AM
Y
2
2025-03-26
Fixed
7.15000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358S2U4
184302.92000000
PA
USD
208678.56000000
0.006678687841
Long
ABS-MBS
USGSE
US
N
2
2027-03-18
Fixed
8.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-222440.23000000
-0.00711912550
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1058600000.00000000
TWD
35589174.65000000
USD
2020-06-09
-222440.23000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
120000.00000000
PA
USD
20100.00000000
0.000643293808
Long
DBT
NUSS
LB
Y
2
2027-11-29
None
0.00000000
Y
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359A2R9
26119.13000000
PA
USD
28071.18000000
0.000898408770
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZCS87 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZCS87 IRS USD P F .61320 CCP LCH
000000000
2750000.00000000
OU
Notional Amount
USD
-24706.60000000
-0.00079072650
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-03-24
0.00000000
USD
0.00000000
USD
2750000.00000000
USD
-24706.60000000
N
N
N
COOF 9667865001
N/A
COOF 9667865001
000000000
1899255.34000000
PA
USD
106161.82000000
0.003397673706
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.61000000
N
N
N
N
N
N
COOF 2287837002
N/A
COOF 2287837002
000000000
1438729.79000000
PA
USD
152296.23000000
0.004874190140
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
31385W2S7
96892.51000000
PA
USD
112042.18000000
0.003585872671
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-457395.89000000
-0.01463880318
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2095294228.00000000
PHP
41096287.69000000
USD
2020-05-08
-457395.89000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-3870.47000000
-0.00012387310
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
50749894.70000000
AED
13779124.84000000
USD
2021-04-08
-3870.47000000
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216KAE2
2000000.00000000
PA
USD
1847598.50000000
0.059131774911
Long
DBT
NUSS
IN
Y
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
29202.19000000
0.000934606369
N/A
DFE
CH
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
23738426.29000000
USD
22895000.00000000
CHF
2020-07-15
29202.19000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED OMR / SOLD USD
000000000
1.00000000
NC
-7026.91000000
-0.00022489391
N/A
DFE
OM
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
4989743.59000000
USD
1946000.00000000
OMR
2020-08-27
-7026.91000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
21104.98000000
0.000675457858
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
279420000.00000000
HUF
810735.53000000
EUR
2020-06-18
21104.98000000
N
N
N
COOF 2239927000
N/A
COOF 2239927000
000000000
752083.02000000
PA
USD
77167.03000000
0.002469705105
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
3000000.00000000
PA
USD
3001746.00000000
0.096069881422
Long
DBT
NUSS
BH
Y
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
Komercijalna Banka AD Beograd
549300WZI2AGR4NZU538
Komercijalna Banka AD Beograd
000000000
84003.00000000
NS
1924074.55000000
0.061579365431
Long
EC
CORP
RS
N
2
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
1774807.20000000
0.056802113587
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
495340.65000000
USD
0.00000000
USD
29280000.00000000
USD
1279466.55000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1326000.00000000
PA
USD
222105.00000000
0.007108396584
Long
DBT
NUSS
LB
N
2
2034-05-17
None
0.00000000
Y
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
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-39177.68000000
-0.00125386860
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
85212776.00000000
CNY
11982222.85000000
USD
2020-07-08
-39177.68000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MAE96
2380396.29000000
PA
USD
2747480.77000000
0.087932207383
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
7.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE JUN20 XEUR 20200608
000000000
-131.00000000
NC
30146.82000000
0.000964838937
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bobl (FGBM)
OEM0 Comdty
2020-06-08
-17836960.00000000
EUR
30146.82000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BEV3TX4U5 CDS USD R V 03MEVENT 993A96AF1/XS1577952952 / Short: BEV3TX4U5 CDS USD P F 5.00000
000000000
20000000.00000000
OU
Notional Amount
USD
1296960.00000000
0.041508773030
N/A
DCR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Ukraine Government International Bond
Ukraine Government International Bond
Y
buy protection
2024-12-20
0.00000000
USD
-745391.56000000
USD
20000000.00000000
USD
2042351.56000000
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
-2182684.63000000
-0.06985609494
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
-2182684.63000000
N
N
N
COOF 9679725002
N/A
COOF 9679725002
000000000
705218.22000000
PA
USD
73232.01000000
0.002343766100
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3ZMLB5 IRS SGD R F 1.07300 CCP LCH / Short: SEV3ZMLB5 IRS SGD P V 06MSORF SORF6M+0BPS CCP LCH
000000000
72840000.00000000
OU
Notional Amount
931714.08000000
0.029819198954
N/A
DIR
SD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Singapore Interbank Offer Rate 6 Months
SIBF6M Index
Y
2025-03-31
0.00000000
SGD
0.00000000
SGD
72840000.00000000
SGD
931714.08000000
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
2303368.27000000
0.073718534670
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
444936.36000000
USD
0.00000000
USD
20851000.00000000
USD
1858431.91000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373UV20
531443.46000000
PA
USD
530488.03000000
0.016978092796
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Floating
2.29000000
N
N
N
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
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-40912.78000000
-0.00130939990
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
7985000.00000000
GHS
1302248.97000000
USD
2020-07-02
-40912.78000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-227879.05000000
-0.00729319313
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
13769477.34000000
EUR
14880536.47000000
USD
2020-07-06
-227879.05000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31392PAB1
664622.39000000
PA
USD
803476.20000000
0.025714988296
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
7.00000000
N
N
N
N
N
N
COOF 2231357001
N/A
COOF 2231357001
000000000
1713103.71000000
PA
USD
224924.59000000
0.007198636623
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
Republic of Macedonia (The)
N/A
Republic of Macedonia (The) EUR Term Loan
000000000
7700000.00000000
PA
8528008.16000000
0.272936062113
Long
LON
CORP
MK
N
2
2020-06-10
Floating
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6P6
168451.34000000
PA
USD
185976.04000000
0.005952101247
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374J6U0
115022.05000000
PA
USD
115095.65000000
0.003683597961
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Floating
2.64000000
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
-91338.92000000
-0.00292327172
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
-91345.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZSQS0 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZSQS0 IRS USD P F .46520 CCP LCH
000000000
2300000.00000000
OU
Notional Amount
USD
-5912.47000000
-0.00018922663
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-04-03
0.00000000
USD
0.00000000
USD
2300000.00000000
USD
-5912.47000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-175090.53000000
-0.00560371412
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
592645000.00000000
INR
7681275.88000000
USD
2020-05-22
-175090.53000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
89661.21000000
0.002869577177
N/A
DFE
TW
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
15612848.97000000
USD
464170000.00000000
TWD
2020-06-09
89661.21000000
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
402944.96000000
0.012896119300
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
402944.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SP7F3 IRS USD R V 03MLIBOR US0003M+0BPSCCP LCH / Short: BEV3SP7F3 IRS USD P F 1.81220 CCP LCH
000000000
100000.00000000
OU
Notional Amount
USD
-25572.06000000
-0.00081842526
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-11-22
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-25572.06000000
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
-79399.60000000
-0.00254115776
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
-79406.41000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV410F74 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV410F74 IRS USD P F .68000 CCP LCH
000000000
3850000.00000000
OU
Notional Amount
USD
-9016.74000000
-0.00028857776
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-04-29
0.00000000
USD
0.00000000
USD
3850000.00000000
USD
-9016.74000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV40F5Y4 IRS MXN R F 5.16000 CCP CME / Short: SEV40F5Y4 IRS MXN P V 01MMXIBT MXIBTIIE+0BPS CCP CME
000000000
279022000.00000000
OU
Notional Amount
47648.61000000
0.001524977900
N/A
DIR
MN
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-15
0.00000000
MXN
0.00000000
MXN
279022000.00000000
MXN
47648.61000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
4688.20000000
0.000150044280
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
7533050.36000000
USD
6878442.72000000
EUR
2020-05-05
4688.20000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
332479.97000000
0.010640910754
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3711000.00000000
OMR
9440345.97000000
USD
2021-07-06
332479.97000000
N
N
N
Bank for Foreign Trade of Vietnam JSC
2549004TS5QUBFGAWE51
Bank for Foreign Trade of Vietnam JSC
000000000
539910.00000000
NS
1566942.57000000
0.050149475304
Long
EC
CORP
VN
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EGP
000000000
1.00000000
NC
409408.97000000
0.013102997789
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
382092000.00000000
EGP
21908944.95000000
USD
2021-03-08
409408.97000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
339291.12000000
0.010858899342
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
19083051.32000000
EUR
21252508.01000000
USD
2020-05-08
339291.12000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31397UBN8
3901841.28000000
PA
USD
5342935.63000000
0.170998876128
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Floating
12.04000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
22107.69000000
0.000707549258
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2514300.79000000
USD
2314558.98000000
EUR
2020-05-05
22107.69000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BSS5
18516.91000000
PA
USD
19877.05000000
0.000636158368
Long
ABS-MBS
USGA
US
N
2
2023-10-20
Fixed
7.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-326289.56000000
-0.01044278874
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
43382723.00000000
EUR
47229685.96000000
USD
2020-05-22
-326289.56000000
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
-52710.15000000
-0.00168697080
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
-52710.15000000
N
N
N
COOF 2093807006
N/A
COOF 2093807006
000000000
747946.01000000
PA
USD
52378.00000000
0.001676340452
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.21000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZMGS4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZMGS4 IRS USD P F .60100 CCP LCH
000000000
3300000.00000000
OU
Notional Amount
USD
-26365.61000000
-0.00084382257
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-03-30
0.00000000
USD
0.00000000
USD
3300000.00000000
USD
-26365.61000000
N
N
N
NORTH MACEDONIA
635400RD1N6RVNCE4958
North Macedonia Government International Bond
000000000
1000000.00000000
PA
1182742.78000000
0.037853288928
Long
DBT
NUSS
MK
Y
2
2023-07-26
Fixed
5.63000000
N
N
N
N
N
N
COOF 1607627004
N/A
COOF 1607627004
000000000
1470790.02000000
PA
USD
108179.41000000
0.003462246003
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
1.91000000
N
N
N
N
N
N
COOF 1738297001
N/A
COOF 1738297001
000000000
966164.82000000
PA
USD
108170.35000000
0.003461956040
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
16334.26000000
0.000522772553
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
5813606.28000000
USD
625358000.00000000
JPY
2020-06-10
16334.26000000
N
N
N
COOF 9624165003
N/A
COOF 9624165003
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
1.81000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225BTN8
67683.68000000
PA
USD
75562.55000000
0.002418354257
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
7.50000000
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
481761.95000000
0.015418630827
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
178154.97000000
USD
0.00000000
USD
7068000.00000000
USD
303606.98000000
N
N
N
WOW AIR EHF
549300LW49V05P8Z2H93
Wow Air hf
000000000
79200.00000000
PA
2604.60000000
0.000083359355
Long
DBT
CORP
IS
N
2
2099-12-31
None
0.00000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
1255000000.00000000
PA
74424536.70000000
2.381932520513
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
92775.45000000
0.002969247391
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4640000.00000000
EUR
5177776.00000000
USD
2020-05-08
92775.45000000
N
N
N
COOF 2128077002
N/A
COOF 2128077002
000000000
1625474.64000000
PA
USD
120254.25000000
0.003848697237
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
TITULO PROPIEDAD UD
N/A
Titulo de Propriedad
000000000
1688405607.20000000
PA
2686870.07000000
0.085992382108
Long
DBT
NUSS
CR
N
2
2022-01-12
Fixed
1.00000000
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
11334.53000000
0.000362757859
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
11334.53000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HTW5
17042.23000000
PA
USD
18321.93000000
0.000586387270
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
9.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-43376.94000000
-0.00138826452
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
71172000.00000000
UAH
2585722.07000000
USD
2020-05-13
-43376.94000000
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
1309848.66000000
0.041921270303
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
1309848.66000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV3XJE89 IRS EUR R F .00000 CCP LCH/BEV3XJE89 / Short: BSV3XJE89 IRS EUR P V 06MEURIB EUR006M+0BPS /BEV3XJE89
000000000
4108000.00000000
OU
Notional Amount
0.00000000
0.000000
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-21
0.00000000
EUR
0.00000000
EUR
4108000.00000000
EUR
32.80000000
N
N
N
COOF 9648365009
N/A
COOF 9648365009
000000000
2492720.46000000
PA
USD
208611.74000000
0.006676549290
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.58000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJZ6
2004754.42000000
PA
USD
2063303.47000000
0.066035340665
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
4.03000000
N
N
N
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
22081.15000000
0.000706699854
N/A
DCR
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Egypt Treasury Bills
Egypt Treasury Bills
Y
buy protection
2020-06-20
6906.79000000
USD
0.00000000
USD
4550000.00000000
USD
15174.36000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359BMV6
372480.39000000
PA
USD
396155.41000000
0.012678822013
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D3R4
10516.13000000
PA
USD
11051.68000000
0.000353705339
Long
ABS-MBS
USGSE
US
N
2
2026-01-15
Fixed
8.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
478187.66000000
0.015304236865
N/A
DFE
ID
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9162836.24000000
USD
148621203894.00000000
IDR
2020-07-21
478187.66000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZNN39 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZNN39 IRS USD P F .48370 CCP LCH
000000000
4525000.00000000
OU
Notional Amount
USD
-14245.70000000
-0.00045592888
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-03-31
0.00000000
USD
0.00000000
USD
4525000.00000000
USD
-14245.70000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-236096.19000000
-0.00755617996
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
61480227.00000000
PLN
13289286.69000000
EUR
2020-06-26
-236096.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZQPA4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZQPA4 IRS USD P F .46420 CCP LCH
000000000
665000.00000000
OU
Notional Amount
USD
-1722.11000000
-0.00005511555
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-04-01
0.00000000
USD
0.00000000
USD
665000.00000000
USD
-1722.11000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
1249195.90000000
0.039980098911
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
16208593.96000000
USD
13858000.00000000
GBP
2020-06-23
1249195.90000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV3ZCNZ2 CDS USD R F 1.00000 / Short: BEV3ZCNZ2 CDS USD P V 00MEVENT
000000000
38714000.00000000
OU
Notional Amount
USD
-2837891.06000000
-0.09082575861
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Hellenic Republic Government Bond
Hellenic Republic Government Bond
Y
sell protection
2025-06-20
0.00000000
USD
-2079517.23000000
USD
38714000.00000000
USD
-758373.83000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
42456.77000000
0.001358814789
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4828594.61000000
USD
4445000.00000000
EUR
2020-05-05
42456.77000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358TLW7
94702.65000000
PA
USD
101305.48000000
0.003242248161
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
7.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3YRWN7 IRS USD R F .62050 CCP LCH / Short: SEV3YRWN7 IRS USD P V 03MLIBOR US003M+0BPS CCP LCH
000000000
2804500.00000000
OU
Notional Amount
USD
-164970.90000000
-0.00527983873
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-03-11
0.00000000
USD
0.00000000
USD
2804500.00000000
USD
-164970.90000000
N
N
N
UBS Switzerland AG
549300WOIFUSNYH0FL22
Long: BEV3X6FD5 TRS USD R F .00000 CNY SZCOMPSHEL+0BPS / Short: BEV3X6FD5 TRS USD P V 03MLIBOR US0003M-900BPS
000000000
1.00000000
NC
N/A
28203.62000000
0.000902647468
N/A
DFE
US
N
2
UBS Switzerland AG
549300WOIFUSNYH0FL22
4350254.78000000
USD
4350254.78000000
USD
2020-05-12
28203.62000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-1043967.72000000
-0.03341183933
N/A
DFE
CL
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
17123408.82000000
USD
13423553874.00000000
CLP
2020-05-07
-1043967.72000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD UGX
000000000
1.00000000
NC
4454.20000000
0.000142555188
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2576770000.00000000
UGX
664458.48000000
USD
2020-08-10
4454.20000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD RSD
000000000
1.00000000
NC
N/A
-33399.05000000
-0.00106892547
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2551876957.00000000
RSD
21638912.55000000
EUR
2020-07-24
-33399.05000000
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
242.65000000
0.000007765932
N/A
DCR
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Egypt Treasury Bills
Egypt Treasury Bills
Y
buy protection
2020-06-20
79.73000000
USD
0.00000000
USD
50000.00000000
USD
162.92000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
253119.67000000
0.008101010772
N/A
DFE
GB
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
9053250.31000000
USD
7387574.00000000
GBP
2020-06-18
253119.67000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV410AX2 IRS MXN R F 5.00100 CCP CME / Short: SEV410AX2 IRS MXN P V 01MMXIBT MXIBTIIE+0BPS CCP CME
000000000
2151774000.00000000
OU
Notional Amount
111780.47000000
0.003577496729
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-26
0.00000000
MXN
0.00000000
MXN
2151774000.00000000
MXN
111780.47000000
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
-357975.36000000
-0.01145688222
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
-357975.36000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225ADX5
1686.78000000
PA
USD
1717.57000000
0.000054970256
Long
ABS-MBS
USGA
US
N
2
2021-08-15
Fixed
9.50000000
N
N
N
N
N
N
COOF 9447195010
N/A
COOF 9447195010
000000000
2471843.51000000
PA
USD
280433.85000000
0.008975192010
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.41000000
N
N
N
N
N
N
COOF 2319337000
N/A
COOF 2319337000
000000000
1455761.66000000
PA
USD
117893.30000000
0.003773135818
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.16000000
N
N
N
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
-117854.30000000
-0.00377188763
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2029-07-23
0.00000000
EUR
-36225.01000000
EUR
3813000.00000000
EUR
-77654.36000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJG1
353283.42000000
PA
USD
371129.25000000
0.011877868094
Long
ABS-MBS
USGSE
US
N
2
2024-08-17
Fixed
6.00000000
N
N
N
N
N
N
Republic of Rwanda
213800AKFASSQE52AZ88
Rwanda International Government Bond
000000000
579000.00000000
PA
USD
543756.27000000
0.017402738400
Long
DBT
NUSS
RW
Y
2
2023-05-02
Fixed
6.63000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
7189920000.00000000
PA
80920675.85000000
2.589839291388
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.88000000
N
N
N
N
N
N
Desarrolladora Energetica SA
N/A
DESARROLLADORA ENERGETICA SA TERM LOAN
000000000
1825000.00000000
PA
USD
1140625.00000000
0.036505323401
Long
LON
CORP
AR
N
3
2020-07-18
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-276568.66000000
-0.00885148789
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
36771945.00000000
EUR
40032697.22000000
USD
2020-05-22
-276568.66000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
1710361000.00000000
PA
56886067.91000000
1.820619665597
Long
DBT
NUSS
UA
N
2
2023-08-23
Fixed
10.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3XJE89 IRS EUR R V 06MEURIB EUR006M+0BPS/BSV3XJE89 / Short: BEV3XJE89 IRS EUR P F .31900 CCP LCH/BSV3XJE89
000000000
4108000.00000000
OU
Notional Amount
-512499.13000000
-0.01640236404
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-21
0.00000000
EUR
0.00000000
EUR
4108000.00000000
EUR
-512499.13000000
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
-536913.45000000
-0.01718373622
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
-536913.45000000
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
-1312252.99000000
-0.04199822008
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
-1312252.99000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133T6UU3
35347.34000000
PA
USD
39230.99000000
0.001255574774
Long
ABS-MBS
USGSE
US
N
2
2026-02-15
Fixed
6.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RJ9VM1 CDS USD R V 03MEVENT CCP ICE / Short: B92RJ9VM1 CDS USD P F 1.00000 CCP ICE
000000000
42800000.00000000
OU
Notional Amount
USD
1443686.80000000
0.046204715418
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
buy protection
2025-06-20
2479199.98000000
USD
0.00000000
USD
42800000.00000000
USD
-1035513.18000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-278901.46000000
-0.00892614837
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
60828880.20000000
USD
92906533.06000000
AUD
2020-06-12
-278901.46000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GLF2
30074.72000000
PA
USD
33516.75000000
0.001072692425
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
9.00000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT2
69354WAD8
8064000.00000000
PA
USD
6701370.28000000
0.214475124867
Long
ABS-O
CORP
US
N
2
2025-08-25
Floating
3.14000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
2408.98000000
0.000077098602
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4000000.00000000
AED
1085187.19000000
USD
2022-01-31
2408.98000000
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
-2556517.74000000
-0.08182049918
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
-2556517.74000000
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
878066.05000000
0.028102211614
Long
STIV
CORP
GE
N
2
2020-06-26
Variable
7.50000000
N
N
N
N
N
N
COOF 2004107007
N/A
COOF 2004107007
000000000
2752577.37000000
PA
USD
248586.97000000
0.007955943218
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.28000000
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
2140085.10000000
PA
661698.83000000
0.021177450768
Long
STIV
CORP
GE
N
2
2020-06-19
Variable
7.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD UGX
000000000
1.00000000
NC
-41879.38000000
-0.00134033561
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6950215194.00000000
UGX
1761778.25000000
USD
2020-07-02
-41879.38000000
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
-32310.20000000
-0.00103407719
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
-32310.20000000
N
N
N
COOF 2323427006
N/A
COOF 2323427006
000000000
467470.82000000
PA
USD
45696.70000000
0.001462507670
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Viet Capital Securities JSC
254900HKR2EAQLPDRS52
Viet Capital Securities JSC
000000000
448200.00000000
NS
338097.79000000
0.010820707213
Long
EC
CORP
VN
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406C7A0
577377.90000000
PA
USD
626541.97000000
0.020052267168
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Floating
6.33000000
N
N
N
N
N
N
Vietnam Dairy Products JSC
N/A
Vietnam Dairy Products JSC
000000000
395068.00000000
NS
1670853.39000000
0.053475106505
Long
EC
CORP
VN
N
2
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358Q5Q4
97129.92000000
PA
USD
97407.19000000
0.003117484688
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
1.64000000
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
2351896.68000000
0.075271670276
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
473985.28000000
USD
0.00000000
USD
16680000.00000000
USD
1877911.40000000
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
11447000.00000000
PA
3334149.32000000
0.106708339019
Long
STIV
NUSS
GE
N
2
2021-02-11
None
0.00000000
N
N
N
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
58916.73000000
0.001885610329
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
58916.73000000
N
N
N
COOF 2309137006
N/A
COOF 2309137006
000000000
691684.67000000
PA
USD
94622.84000000
0.003028372493
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.16000000
N
N
N
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
1281093.02000000
0.041000955618
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
1281093.02000000
N
N
N
COOF 2254917006
N/A
COOF 2254917006
000000000
2687855.59000000
PA
USD
276020.05000000
0.008833929810
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
2042000.00000000
PA
USD
342035.00000000
0.010946716308
Long
DBT
NUSS
LB
Y
2
2031-11-20
None
0.00000000
Y
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
41475095.30000000
PA
33348762.62000000
1.067316045562
Long
DBT
NUSS
NZ
Y
2
2035-09-20
Fixed
2.50000000
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
975901.50000000
0.031233402621
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
288004.76000000
USD
0.00000000
USD
16100000.00000000
USD
687896.74000000
N
N
N
Softlogic Life Insurance PLC
N/A
Softlogic Life Insurance PLC
000000000
23762288.00000000
NS
3581943.51000000
0.114638909577
Long
EC
CORP
LK
N
2
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128C6R76
204307.43000000
PA
USD
221029.34000000
0.007073970444
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
4.50000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
225152.96000000
0.007205945529
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3568000.00000000
OMR
9084659.45000000
USD
2021-04-08
225152.96000000
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
Republic of Uzbekistan Bond
000000000
3500000.00000000
PA
USD
3528437.50000000
0.112926467540
Long
DBT
NUSS
UZ
Y
2
2024-02-20
Fixed
4.75000000
N
N
N
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
1217748464.00000000
PA
10768121.41000000
0.344630140926
Long
DBT
NUSS
IS
N
2
2025-06-12
Fixed
8.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD UGX
000000000
1.00000000
NC
-14395.34000000
-0.00046071806
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3610435000.00000000
UGX
909422.20000000
USD
2020-08-14
-14395.34000000
N
N
N
COOF 1908407001
N/A
COOF 1908407001
000000000
1684927.65000000
PA
USD
130280.71000000
0.004169590751
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W6C8
685475.82000000
PA
USD
792950.41000000
0.025378113892
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
-191968.82000000
-0.00614389817
N/A
DFE
XX
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
5364200000.00000000
HUF
15031479.74000000
EUR
2020-05-26
-191968.82000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV3ZNVR7 TRS USD R E BCOMF4+0BPS / Short: BEV3ZNVR7 TRS USD P F .24000
000000000
43700000.00000000
OU
Notional Amount
USD
-69177.61000000
-0.00221400637
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 4 Month Forward
BCOMF4 Index
Y
equity-performance leg
2020-06-20
0.00000000
USD
0.00000000
USD
43700000.00000000
USD
-69177.61000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359KQT7
34388.49000000
PA
USD
38813.60000000
0.001242216346
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VVG1
25309.02000000
PA
USD
29843.83000000
0.000955141843
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
10.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
14197.26000000
0.000454378579
N/A
DFE
UG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
645807.02000000
USD
2576770000.00000000
UGX
2020-08-10
14197.26000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KPP4
125421.25000000
PA
USD
128467.79000000
0.004111568850
Long
ABS-MBS
USGA
US
N
2
2024-10-20
Floating
3.13000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GY0
6956000.00000000
PA
USD
1739069.56000000
0.055658342316
Long
DBT
NUSS
AR
N
2
2046-04-22
Fixed
7.63000000
N
N
N
N
N
N
COOF 2230627008
N/A
COOF 2230627008
000000000
1272896.46000000
PA
USD
104635.58000000
0.003348826903
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
17999.69000000
0.000576074086
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2047099.25000000
USD
1884473.00000000
EUR
2020-05-05
17999.69000000
N
N
N
Siminn HF
N/A
Siminn HF
000000000
86467161.00000000
NS
3485277.58000000
0.111545148668
Long
EC
CORP
IS
N
2
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
32907000.00000000
PA
USD
29675762.95000000
0.949762913897
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
ADANI ELECTRICITY MUMBAI
335800AIC1B5EBFVUC38
Adani Electricity Mumbai Ltd
000000000
2300000.00000000
PA
USD
1963174.52000000
0.062830746954
Long
DBT
CORP
IN
Y
2
2030-02-12
Fixed
3.95000000
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
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HAH8
15790178.00000000
PA
USD
12177652.13000000
0.389741702375
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
2.19000000
N
N
N
N
N
N
COOF 8641855006
N/A
COOF 8641855006
000000000
2017429.60000000
PA
USD
240723.45000000
0.007704273878
Long
ABS-MBS
CORP
US
N
2
2042-01-15
Fixed
3.78000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
785385.17000000
0.025135990904
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
18170000.00000000
OMR
46099200.81000000
USD
2021-03-10
785385.17000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
46664000.00000000
PA
USD
40988724.32000000
1.311830476362
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-358812.88000000
-0.01148368677
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
20063193.56000000
NZD
11947471.26000000
USD
2020-05-20
-358812.88000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-25871.71000000
-0.00082801546
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
7702773.00000000
PLN
1668376.97000000
EUR
2020-06-26
-25871.71000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
2923039.06000000
0.093550892010
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
38197000.00000000
BRL
9910408.06000000
USD
2020-07-23
2923039.06000000
N
N
N
EUROHOLD BULGARIA
74780000J0W85Y204X80
Eurohold Bulgaria AD
000000000
9200000.00000000
PA
10059434.50000000
0.321948852300
Long
DBT
CORP
BG
Y
2
2022-12-07
Fixed
6.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-42314.41000000
-0.00135425860
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4445000.00000000
EUR
4831337.18000000
USD
2020-06-02
-42314.41000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-498209.78000000
-0.01594503815
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
28584073.87000000
USD
3012675633.00000000
JPY
2020-06-10
-498209.78000000
N
N
N
COOF 1825007004
N/A
COOF 1825007004
000000000
1250526.59000000
PA
USD
116138.55000000
0.003716975629
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-31992.34000000
-0.00102390419
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
61170000.00000000
CNY
8597571.26000000
USD
2020-07-08
-31992.34000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128CUJJ6
46928.53000000
PA
USD
48322.35000000
0.001546540724
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
7.50000000
N
N
N
N
N
N
WOW AIR EHF
549300LW49V05P8Z2H93
Wow Air hf
000000000
3600000.00000000
PA
118391.21000000
0.003789071262
Long
DBT
CORP
IS
N
2
2023-09-24
None
0.00000000
Y
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
635390.03000000
0.020335446383
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
849609457.64000000
THB
26894886.28000000
USD
2020-05-18
635390.03000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Long: BEV3YBK62 CDS USD R V 03MEVENT MOAGBNAB1/XS0546428144 / Short: BEV3YBK62 CDS USD P F 1.00000
000000000
5061000.00000000
OU
Notional Amount
USD
404272.68000000
0.012938612537
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Emirate of Dubai Government International Bonds
Emirate of Dubai Government International Bonds
Y
buy protection
2024-12-20
78020.61000000
USD
0.00000000
USD
5061000.00000000
USD
326252.07000000
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
22758000.00000000
PA
7129120.55000000
0.228165129857
Long
DBT
NUSS
GE
N
2
2022-04-09
Fixed
9.38000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-43731.54000000
-0.00139961337
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2129000.00000000
NZD
1261994.56000000
USD
2020-06-08
-43731.54000000
N
N
N
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
Long: S91ZC0FS5 CDS USD R F 1.00000 / Short: S91ZC0FS5 CDS USD P V 03MEVENT
000000000
69675000.00000000
OU
Notional Amount
USD
443899.43000000
0.014206853479
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2025-06-20
0.00000000
USD
-969678.20000000
USD
69675000.00000000
USD
1413577.63000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
394481.87000000
0.012625260922
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
119496000.00000000
UAH
4810628.02000000
USD
2020-05-12
394481.87000000
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
5820000.00000000
PA
1693619.64000000
0.054203732757
Long
DBT
NUSS
GE
N
2
2023-09-27
Fixed
7.38000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-593680.61000000
-0.01900055028
N/A
DFE
ZA
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6228444.57000000
USD
105223000.00000000
ZAR
2020-07-20
-593680.61000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
134132.62000000
0.004292869849
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
20568775.31000000
USD
18891147.00000000
EUR
2020-05-08
134132.62000000
N
N
N
Freddie Mac - STACR
5493007222WHFWMBOC78
Freddie Mac STACR Trust 2019-DNA1
35563KAH3
1512465.00000000
PA
USD
1358020.70000000
0.043463000406
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Floating
3.14000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
1859799.00000000
PA
USD
1799415.60000000
0.057589697237
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
3.94000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-372317.11000000
-0.01191588515
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8344144.47000000
USD
43350000.00000000
BRL
2020-05-05
-372317.11000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7PT7
4111593.86000000
PA
USD
4748703.42000000
0.151980672072
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
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
620229.50000000
0.019850238667
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
620229.50000000
N
N
N
COOF 9682415004
N/A
COOF 9682415004
000000000
3581896.87000000
PA
USD
311186.09000000
0.009959407213
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
4288000.00000000
PA
USD
1254240.00000000
0.040141533652
Long
DBT
NUSS
EC
Y
2
2030-03-27
Fixed
9.50000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
377722.45000000
0.012088881265
N/A
DFE
HU
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
43314128.91000000
EUR
15389510000.00000000
HUF
2020-05-04
377722.45000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
10000000.00000000
PA
1512440.76000000
0.048405163019
Long
DBT
NUSS
CN
N
2
2027-02-09
Fixed
3.40000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
65614.75000000
0.002099978230
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
60110000.00000000
ZAR
3271466.46000000
USD
2020-09-03
65614.75000000
N
N
N
COOF 1989537006
N/A
COOF 1989537006
000000000
810802.73000000
PA
USD
62874.10000000
0.002012264639
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
ONGC VIDESH VANKORNEFT
254900FXH0X0S4UIS503
ONGC Videsh Vankorneft Pte Ltd
000000000
2100000.00000000
PA
USD
2006862.84000000
0.064228977092
Long
DBT
CORP
SG
Y
2
2026-07-27
Fixed
3.75000000
N
N
N
N
N
N
ISLANDSBANKI
549300PZMFIQR79Q0T97
Islandsbanki HF
000000000
860000000.00000000
PA
6641595.87000000
0.212562064774
Long
DBT
CORP
IS
N
2
2023-10-26
Fixed
6.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3Z8DY5 IRS USD R F .96500 CCP LCH / Short: SEV3Z8DY5 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH
000000000
4680000.00000000
OU
Notional Amount
USD
151355.55000000
0.004844083990
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-03-20
0.00000000
USD
0.00000000
USD
4680000.00000000
USD
151355.55000000
N
N
N
COOF 9131835005
N/A
COOF 9131835005
000000000
789788.75000000
PA
USD
97965.29000000
0.003135346492
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.66000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RHAZK0 CDS USD R V 00MEVENT / Short: B92RHAZK0 CDS USD P F 1.00000 CCP ICE
000000000
79208000.00000000
OU
Notional Amount
USD
16220768.70000000
0.519140302209
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Turkey Government International Bond
Turkey Government International Bond
Y
buy protection
2025-06-20
16532742.49000000
USD
0.00000000
USD
79208000.00000000
USD
-311973.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3STLD4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3STLD4 IRS USD P F 1.83570 CCP LCH
000000000
100000.00000000
OU
Notional Amount
USD
-26191.05000000
-0.00083823583
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-11-26
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-26191.05000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1577.55000000
-0.00005048896
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2314558.98000000
EUR
2534830.93000000
USD
2020-05-05
-1577.55000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371Y2S9
1107287.00000000
PA
USD
1102687.11000000
0.035291133861
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Floating
2.29000000
N
N
N
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
-204821.68000000
-0.00655524968
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2029-07-23
0.00000000
EUR
-22943.50000000
EUR
6626700.00000000
EUR
-179416.41000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-490378.64000000
-0.01569440512
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
980879037.61000000
THB
29827313.06000000
USD
2020-07-10
-490378.64000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3TRSR9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3TRSR9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH
000000000
33064000.00000000
OU
Notional Amount
USD
-2666931.66000000
-0.08535425993
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2026-12-16
0.00000000
USD
0.00000000
USD
33064000.00000000
USD
-2666931.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412BLZ3
110661.45000000
PA
USD
132982.77000000
0.004256069282
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
11.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN20 XCBT 20200619
000000000
-171.00000000
NC
USD
-153140.62000000
-0.00490121456
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYM0 Comdty
2020-06-19
-23626546.88000000
USD
-153140.62000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
-239.44000000
-0.00000766319
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
556500000.00000000
CRC
975460.12000000
USD
2020-07-21
-239.44000000
N
N
N
Coteccons Construction JSC
N/A
Coteccons Construction JSC
000000000
133000.00000000
NS
357093.51000000
0.011428658908
Long
EC
CORP
VN
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D2Y0
2681.59000000
PA
USD
2875.81000000
0.000092039341
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
11.03000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV3XGSV9 CDS USD R V 03MLIBOR / Short: BEV3XGSV9 CDS USD P F 1.00000
000000000
4600000.00000000
OU
Notional Amount
USD
22323.80000000
0.000714465787
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Egypt Government International Bond
Egypt Government International Bond
Y
buy protection
2020-06-20
3168.47000000
USD
0.00000000
USD
4600000.00000000
USD
19155.33000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV3ZNVU0 TRS USD R E BCOMF6+0BPS / Short: BEV3ZNVU0 TRS USD P F .26000
000000000
34000000.00000000
OU
Notional Amount
USD
36472.91000000
0.001167303342
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 6 Month Forward
BCOMF6 Index
Y
equity-performance leg
2020-06-02
0.00000000
USD
0.00000000
USD
34000000.00000000
USD
36472.91000000
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
-26736.30000000
-0.00085568638
N/A
DCR
QA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Croatia Government International Bond
Croatia Government International Bond
Y
buy protection
2020-12-20
19972.11000000
USD
0.00000000
USD
9740000.00000000
USD
-46708.41000000
N
N
N
COOF 9631805003
N/A
COOF 9631805003
000000000
2204185.09000000
PA
USD
196927.73000000
0.006302606439
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
Barbados Government International Bond
067070AH5
32357200.00000000
PA
USD
27988978.00000000
0.895777923118
Long
DBT
NUSS
BB
N
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
32771.33000000
0.001048835506
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1639000.00000000
EUR
1828960.10000000
USD
2020-05-08
32771.33000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
327116.42000000
0.010469252122
N/A
DFE
CA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8079273.56000000
USD
11700000.01000000
CAD
2020-06-22
327116.42000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
1167833.57000000
0.037376124625
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
13423553874.00000000
CLP
17247274.67000000
USD
2020-05-07
1167833.57000000
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
-180315.96000000
-0.00577095227
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
-180315.96000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-28907.19000000
-0.00092516499
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2982097.20000000
EUR
3239022.77000000
USD
2020-05-05
-28907.19000000
N
N
N
COOF 2347087005
N/A
COOF 2347087005
000000000
310780.84000000
PA
USD
45254.32000000
0.001448349446
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
COOF 2371767008
N/A
COOF 2371767008
000000000
1570952.94000000
PA
USD
203203.07000000
0.006503446607
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV3ZNVN6 TRS USD R E BCOMF4+0BPS / Short: BEV3ZNVN6 TRS USD P F .25000
000000000
37300000.00000000
OU
Notional Amount
USD
-38618.44000000
-0.00123597031
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 4 Month Forward
BCOMF4 Index
Y
equity-performance leg
2020-06-02
0.00000000
USD
0.00000000
USD
37300000.00000000
USD
-38618.44000000
N
N
N
JSC GEORGIA CAPITAL
635400VNH3KVFQNWDH25
Georgia Capital JSC
000000000
400000.00000000
PA
USD
356000.00000000
0.011393661484
Long
DBT
CORP
GE
Y
2
2024-03-09
Fixed
6.13000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
4636000.00000000
PA
USD
4670579.92000000
0.149480355463
Long
DBT
NUSS
BH
Y
2
2022-07-05
Fixed
6.13000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
17062630000.00000000
PA
175997405.15000000
5.632738360773
Long
DBT
NUSS
RS
N
2
2023-07-21
Fixed
5.75000000
N
N
N
N
N
N
COOF 9632135005
N/A
COOF 9632135005
000000000
3635054.35000000
PA
USD
247085.32000000
0.007907883409
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.11000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-40997.07000000
-0.00131209757
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5774000.00000000
EUR
6286760.07000000
USD
2020-05-08
-40997.07000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-9200.53000000
-0.00029445989
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
24220000.00000000
CNY
3406469.76000000
USD
2020-07-23
-9200.53000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
173246.78000000
0.005544705518
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
288627683.00000000
AED
78294207.98000000
USD
2022-02-10
173246.78000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
197684.06000000
0.006326812529
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8353661.76000000
USD
13944848.95000000
NZD
2020-06-29
197684.06000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1057619.44000000
0.033848758086
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
80289000.00000000
TRY
11506751.40000000
USD
2021-02-26
1057619.44000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
290504.11000000
0.009297487329
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
304119367.00000000
THB
9689959.12000000
USD
2020-06-08
290504.11000000
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
2448455.90000000
0.078362015967
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
2448455.90000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-35742.03000000
-0.00114391177
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
76200000.00000000
CNY
10714180.26000000
USD
2020-07-08
-35742.03000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DQC8
294708.88000000
PA
USD
340240.93000000
0.010889297695
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
7.00000000
N
N
N
N
N
N
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-45436.11000000
-0.00145416757
N/A
DFE
US
N
2
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
7410000.00000000
GHS
1222772.28000000
USD
2020-05-22
-45436.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZP5
72142.43000000
PA
USD
71914.66000000
0.002301604752
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Floating
2.24000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZSQY7 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZSQY7 IRS USD P F .46170 CCP LCH
000000000
373917.00000000
OU
Notional Amount
USD
-923.14000000
-0.00002954478
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-04-03
0.00000000
USD
0.00000000
USD
373917.00000000
USD
-923.14000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-840262.04000000
-0.02689230685
N/A
DFE
ZA
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
11762031.80000000
USD
203952000.00000000
ZAR
2020-07-20
-840262.04000000
N
N
N
COOF 9466195005
N/A
COOF 9466195005
000000000
3559794.11000000
PA
USD
434020.74000000
0.013890689294
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
3.29000000
N
N
N
N
N
N
Eik fasteignafelag hf
2138005WRSDC4DI3BJ43
Eik fasteignafelag hf
000000000
51609452.00000000
NS
2381710.09000000
0.076225838538
Long
EC
CORP
IS
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374J7D7
281201.99000000
PA
USD
280637.62000000
0.008981713601
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Floating
2.44000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
-10051.89000000
-0.00032170739
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
711700000.00000000
CRC
1235397.25000000
USD
2020-08-06
-10051.89000000
N
N
N
ELLAKTOR VALUE PLC
213800GIKEWMKWHBOI27
Ellaktor Value Plc
000000000
4445000.00000000
PA
3170031.53000000
0.101455803786
Long
DBT
CORP
GB
Y
2
2024-12-15
Fixed
6.38000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
7398000.00000000
PA
USD
1174432.50000000
0.037587321183
Long
DBT
NUSS
LB
Y
2
2024-04-22
None
0.00000000
Y
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
10171706.37000000
0.325542076123
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
717447000.00000000
ZAR
48788659.79000000
USD
2020-05-26
10171706.37000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV3Z9BQ2 CDS USD R V 03MLIBOR CCP ICE / Short: BEV3Z9BQ2 CDS USD P F 1.00000 5B6994/USY6826RAA06 CCP ICE
000000000
98728000.00000000
OU
Notional Amount
USD
373389.30000000
0.011950200241
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Penerbangan Malaysia Bhd
Penerbangan Malaysia Bhd
Y
buy protection
2025-06-20
694201.52000000
USD
0.00000000
USD
98728000.00000000
USD
-320812.22000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-76989.84000000
-0.00246403419
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2583000.00000000
BHD
6701258.27000000
USD
2022-03-16
-76989.84000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZL4
2509054.02000000
PA
USD
2903805.75000000
0.092935336326
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CJ4
4300000.00000000
PA
USD
4395679.60000000
0.140682262238
Long
DBT
NUSS
PH
N
2
2030-05-05
Fixed
2.46000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJX4
20995.26000000
PA
USD
22940.10000000
0.000734190263
Long
ABS-MBS
USGSE
US
N
2
2026-11-20
Fixed
7.31000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-479040.71000000
-0.01533153844
N/A
DFE
IN
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
10892670.99000000
USD
785552200.00000000
INR
2020-05-22
-479040.71000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-11344.03000000
-0.00036306190
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
21690000.00000000
CNY
3048574.80000000
USD
2020-07-08
-11344.03000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-232617.50000000
-0.00744484564
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
32761689.12000000
EUR
35671090.92000000
USD
2020-05-08
-232617.50000000
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
-2883062.68000000
-0.09227146127
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
-2883062.68000000
N
N
N
QNB Finansbank AS/Turkey
789000Q21SW842S9IJ58
QNB Finansbank AS
000000000
3640000.00000000
PA
USD
3649100.00000000
0.116788230683
Long
DBT
CORP
TR
Y
2
2024-09-07
Fixed
6.88000000
N
N
N
N
N
N
Grupo Kaltex SA de CV
4469000001BKEKA98385
Grupo Kaltex SA de CV
000000000
781000.00000000
PA
USD
470201.05000000
0.015048628071
Long
DBT
CORP
MX
Y
2
2022-04-11
Fixed
8.88000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
159791.70000000
0.005114080162
N/A
DFE
SE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3943492.90000000
USD
40000000.00000000
SEK
2020-07-24
159791.70000000
N
N
N
COOF 9584325008
N/A
COOF 9584325008
000000000
2705114.48000000
PA
USD
159362.69000000
0.005100349840
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
1.91000000
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
-2084911.88000000
-0.06672691063
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
-2084911.88000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-40903.12000000
-0.00130909073
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5795000.00000000
GHS
936338.67000000
USD
2020-06-26
-40903.12000000
N
N
N
COOF 2303637002
N/A
COOF 2303637002
000000000
350274.15000000
PA
USD
51606.86000000
0.001651660373
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3XZ4U5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3XZ4U5 IRS USD P F 1.16450 CCP LCH
000000000
1500000.00000000
OU
Notional Amount
USD
-53290.59000000
-0.00170554759
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-02-28
0.00000000
USD
0.00000000
USD
1500000.00000000
USD
-53290.59000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359HZF4
589790.24000000
PA
USD
640712.46000000
0.020505788983
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Fixed
7.00000000
N
N
N
N
N
N
COOF 2363557004
N/A
COOF 2363557004
000000000
385923.87000000
PA
USD
39528.06000000
0.001265082401
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
COOF 9612715005
N/A
COOF 9612715005
000000000
635773.67000000
PA
USD
76405.25000000
0.002445324590
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
3.21000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7X76
4058490.04000000
PA
USD
4674862.66000000
0.149617423131
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
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
-1308297.17000000
-0.04187161538
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
-1308297.17000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0LJ6
3145450.00000000
PA
USD
3098389.04000000
0.099162909744
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Floating
4.29000000
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
-20558.96000000
-0.00065798267
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
-20558.96000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-294017.42000000
-0.00940992964
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
166286000.00000000
NOK
14538756.54000000
EUR
2020-05-26
-294017.42000000
N
N
N
COOF 9612025010
N/A
COOF 9612025010
000000000
551471.68000000
PA
USD
62073.73000000
0.001986649063
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
2.96000000
N
N
N
N
N
N
Bayan Resources Tbk PT
254900UPPX8UP6LW9723
Bayan Resources Tbk PT
000000000
5385000.00000000
PA
USD
4291123.09000000
0.137335965943
Long
DBT
CORP
ID
Y
2
2023-01-24
Fixed
6.13000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
240368.08000000
0.007692900379
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
7926000.00000000
EUR
8939180.58000000
USD
2020-07-17
240368.08000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
236.67000000
0.000007574544
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
380284.00000000
USD
347238.05000000
EUR
2020-05-05
236.67000000
N
N
N
COOF 2045537003
N/A
COOF 2045537003
000000000
1882905.50000000
PA
USD
128017.46000000
0.004097156189
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
1.91000000
N
N
N
N
N
N
COOF 2133857005
N/A
COOF 2133857005
000000000
879120.58000000
PA
USD
46251.01000000
0.001480248177
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.46000000
N
N
N
N
N
N
COOF 1693407003
N/A
COOF 1693407003
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
2.41000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-10610.91000000
-0.00033959864
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1114643.41000000
EUR
1211522.64000000
USD
2020-06-02
-10610.91000000
N
N
N
Hellenic Telecommunications Organization SA
ELPUFM0XZRZO4LFXW404
Hellenic Telecommunications Organization SA
000000000
171200.00000000
NS
2261806.56000000
0.072388365977
Long
EC
CORP
GR
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
366533.99000000
0.011730798327
Long
STIV
CORP
GE
N
2
2020-06-16
Variable
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HSP1
1123456.82000000
PA
USD
1296100.90000000
0.041481277821
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3Z8NC2 IRS USD R F .71000 CCP LCH / Short: SEV3Z8NC2 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH
000000000
14720000.00000000
OU
Notional Amount
USD
203759.10000000
0.006521242162
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-03-20
0.00000000
USD
0.00000000
USD
14720000.00000000
USD
203759.10000000
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
4794887523.00000000
PA
39704802.06000000
1.270738971859
Long
DBT
NUSS
IS
N
2
2028-11-15
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3TA7J7 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3TA7J7 IRS USD P F 1.81770 CCP LCH
000000000
4059770.00000000
OU
Notional Amount
USD
-1046117.96000000
-0.03348065704
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-12-06
0.00000000
USD
0.00000000
USD
4059770.00000000
USD
-1046117.96000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
79729.68000000
0.002551721865
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
8362327.71000000
USD
7703664.40000000
EUR
2020-05-05
79729.68000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
864349.42000000
0.027663215437
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
64092000.00000000
TRY
9205538.95000000
USD
2021-02-26
864349.42000000
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
3269000.00000000
PA
1009303.90000000
0.032302435313
Long
STIV
NUSS
GE
N
2
2020-06-11
None
0.00000000
N
N
N
N
N
N
COOF 1971467000
N/A
COOF 1971467000
000000000
785828.87000000
PA
USD
62310.49000000
0.001994226488
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.41000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-92502.22000000
-0.00296050275
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
14799000.00000000
NZD
8981513.10000000
USD
2020-07-17
-92502.22000000
N
N
N
COOF 9595035010
N/A
COOF 9595035010
000000000
1150508.70000000
PA
USD
138649.33000000
0.004437425649
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
3.46000000
N
N
N
N
N
N
Freddie Mac - STACR
549300KB1O80CETXGJ21
Freddie Mac STACR Trust 2019-DNA3
35564TAH3
316473.83000000
PA
USD
273829.87000000
0.008763833829
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
2.54000000
N
N
N
N
N
N
COOF 1985837005
N/A
COOF 1985837005
000000000
1739391.18000000
PA
USD
214102.55000000
0.006852280836
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6N1
410348.26000000
PA
USD
462492.85000000
0.014801929696
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
8.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31348QHB7
12535.38000000
PA
USD
12564.24000000
0.000402114318
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Floating
3.47000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3YRUM1 IRS USD R F .57800 CCP LCH / Short: SEV3YRUM1 IRS USD P V 03MLIBOR US003M+0BPS CCP LCH
000000000
2804500.00000000
OU
Notional Amount
USD
-196700.25000000
-0.00629532601
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-03-11
0.00000000
USD
0.00000000
USD
2804500.00000000
USD
-196700.25000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD RSD
000000000
1.00000000
NC
N/A
-23203.11000000
-0.00074260781
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1721134880.00000000
RSD
14599498.52000000
EUR
2020-07-06
-23203.11000000
N
N
N
COOF 9473635004
N/A
COOF 9473635004
000000000
964923.50000000
PA
USD
108273.82000000
0.003465267563
Long
ABS-MBS
CORP
US
N
2
2042-07-15
Fixed
3.46000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-76305.28000000
-0.00244212508
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
4158000.00000000
NZD
2473323.93000000
USD
2020-07-09
-76305.28000000
N
N
N
ARAGVI FINANCE INTL
635400VKAYT1VT6VBF50
Aragvi Finance International DAC
000000000
11426000.00000000
PA
USD
10311965.00000000
0.330031006882
Long
DBT
CORP
IE
Y
2
2024-04-09
Fixed
12.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128SGAA8
1231550.67000000
PA
USD
1241514.04000000
0.039734243539
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.85000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-42251.07000000
-0.00135223142
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
1946000.00000000
OMR
4940465.61000000
USD
2020-08-27
-42251.07000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
63115000.00000000
PA
2373053.81000000
0.075948797178
Long
DBT
NUSS
UA
N
2
2022-10-12
Fixed
14.91000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-144655.48000000
-0.00462965048
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1260091883.00000000
JPY
11600204.03000000
USD
2020-05-26
-144655.48000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
11358.06000000
0.000363510929
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1291748.91000000
USD
1189129.42000000
EUR
2020-05-05
11358.06000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-168985.37000000
-0.00540832051
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
279951000.00000000
ZAR
14742876.10000000
USD
2020-09-17
-168985.37000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-775324.01000000
-0.02481398682
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1284446912.00000000
ZAR
67641986.21000000
USD
2020-09-17
-775324.01000000
N
N
N
COOF 9600905006
N/A
COOF 9600905006
000000000
573932.36000000
PA
USD
80188.54000000
0.002566407527
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
3.71000000
N
N
N
N
N
N
Reginn HF
9676000V0KP4AUXNSZ66
Reginn HF
000000000
19224700.00000000
NS
2217272.89000000
0.070963080695
Long
EC
CORP
IS
N
2
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
57424000000.00000000
PA
3661624.47000000
0.117189072176
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
7.50000000
N
N
N
N
N
N
COOF 1212507009
N/A
COOF 1212507009
000000000
2872248.10000000
PA
USD
396931.11000000
0.012703648033
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
3.66000000
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
-139295.75000000
-0.00445811410
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
-139295.75000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
332815.89000000
0.010651661762
N/A
DFE
AU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
15579544.60000000
USD
24417818.00000000
AUD
2020-05-15
332815.89000000
N
N
N
COOF 9748825002
N/A
COOF 9748825002
000000000
1294498.37000000
PA
USD
64936.58000000
0.002078273624
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.46000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV408QN1 IRS USD R V 03MLIBOR U30003M+0BPS CCP LCH / Short: BEV408QN1 IRS USD P F .57870 CCP LCH
000000000
3000000.00000000
OU
Notional Amount
USD
-20540.88000000
-0.00065740402
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-04-15
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
-20540.88000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-568721.17000000
-0.01820173171
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
12924000.00000000
AUD
7854237.90000000
USD
2020-06-12
-568721.17000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3305.55000000
0.000105793027
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
377418.25000000
USD
347238.05000000
EUR
2020-06-02
3305.55000000
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
5841521.62000000
0.186955954755
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
2718598.82000000
USD
0.00000000
USD
23540000.00000000
USD
3122922.80000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-45157.83000000
-0.00144526131
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
7532000.00000000
GHS
1243930.64000000
USD
2020-05-22
-45157.83000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV40DL47 IRS MXN R F 5.25000 CCP CME / Short: SEV40DL47 IRS MXN P V 01MMXIBT MXIBTIIE+0BPS CCP CME
000000000
428165000.00000000
OU
Notional Amount
103293.63000000
0.003305878240
N/A
DIR
MN
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-14
0.00000000
MXN
0.00000000
MXN
428165000.00000000
MXN
103293.63000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3XPFH4 IRS EUR R V 06MEURIB EUR006M+0BPS/BSV3XPFH4 / Short: BEV3XPFH4 IRS EUR P F .26120 CCP LCH/BSV3XPFH4
000000000
16000000.00000000
OU
Notional Amount
-1694144.70000000
-0.05422053712
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-25
0.00000000
EUR
0.00000000
EUR
16000000.00000000
EUR
-1694140.53000000
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
-94905.64000000
-0.00303742341
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
-3347.22000000
USD
119078600.00000000
USD
-91558.42000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV3ZQPP1 CDS USD R V 03MLIBOR / Short: BEV3ZQPP1 CDS USD P F 5.00000
000000000
35369153.00000000
OU
Notional Amount
USD
2469120.57000000
0.079023381851
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Ukraine Government International Bond
Ukraine Government International Bond
Y
buy protection
2025-06-20
5974891.27000000
USD
0.00000000
USD
35369153.00000000
USD
-3505770.70000000
N
N
N
COOF 1814867009
N/A
COOF 1814867009
000000000
803194.04000000
PA
USD
60717.65000000
0.001943248174
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.46000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
39000000.00000000
PA
1492698.80000000
0.047773328161
Long
DBT
NUSS
UA
N
2
2022-01-05
Fixed
17.25000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
237361.03000000
0.007596660745
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
11272943.00000000
SGD
8234827.07000000
USD
2020-08-06
237361.03000000
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
817554.16000000
0.026165548719
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
817554.16000000
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
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
9369000.00000000
PA
9042960.68000000
0.289416946083
Long
DBT
NUSS
EG
Y
2
2025-04-11
Fixed
4.75000000
N
N
N
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
1948166.10000000
0.062350407469
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
-232579.79000000
USD
32140000.00000000
USD
2180745.89000000
N
N
N
COOF 2188787005
N/A
COOF 2188787005
000000000
230414.50000000
PA
USD
27102.10000000
0.000867393687
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
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-807.19000000
-0.00002583384
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1184298.06000000
EUR
1297005.34000000
USD
2020-05-05
-807.19000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-810.48000000
-0.00002593914
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1189129.42000000
EUR
1302296.49000000
USD
2020-05-05
-810.48000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
348463.33000000
0.011152452870
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3912000.00000000
OMR
9949641.39000000
USD
2021-07-06
348463.33000000
N
N
N
RELIANCE COMMUNICATION
3358004XUDHE13A1HZ26
Reliance Communications Ltd
000000000
1800000.00000000
PA
USD
117000.00000000
0.003744546049
Long
DBT
CORP
IN
Y
2
2020-11-06
None
0.00000000
Y
Y
N
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
-10340.39000000
-0.00033094073
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
-10340.39000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-31894.21000000
-0.00102076357
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3855000.00000000
GHS
624544.35000000
USD
2020-06-03
-31894.21000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
127493.08000000
0.004080373581
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6376340.38000000
EUR
7115358.23000000
USD
2020-05-08
127493.08000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD RON
000000000
1.00000000
NC
N/A
-2893.36000000
-0.00009260102
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1729000.00000000
RON
352225.01000000
EUR
2020-06-18
-2893.36000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-19577.48000000
-0.00062657072
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
25265000.00000000
SAR
6685631.12000000
USD
2021-03-11
-19577.48000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
18165.59000000
0.000581383660
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1049872000.00000000
JPY
9803641.80000000
USD
2020-05-26
18165.59000000
N
N
N
J.P. Morgan Securities Plc
8I5DZWZKVSZI1NUHU748
BB ANGOLA (REPUBLIC OF) REPO BB ANGOLA (REPUBLIC OF)
000000000
469889.58000000
PA
USD
469889.58000000
0.015038659577
Long
RA
CORP
US
N
2
Repurchase
N
0.65000000
2021-04-22
469889.58000000
USD
469889.58000000
USD
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-205175.80000000
-0.00656658317
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
28896819.84000000
EUR
31463001.93000000
USD
2020-05-08
-205175.80000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
2102530.62000000
0.067290792542
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
69790100.00000000
CAD
52241618.07000000
USD
2020-05-20
2102530.62000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
1009995.99000000
0.032324585423
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
91690000.00000000
ZAR
5944747.37000000
USD
2020-05-27
1009995.99000000
N
N
N
COOF 8667815003
N/A
COOF 8667815003
000000000
801525.23000000
PA
USD
44984.60000000
0.001439717147
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Fixed
2.03000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GK0
5672216.00000000
PA
USD
1815676.34000000
0.058110116807
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
3.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGUB80 CDS USD R V 00MEVENT / Short: B92RGUB80 CDS USD P F 1.00000 CCP ICE
000000000
73003000.00000000
OU
Notional Amount
USD
2409975.04000000
0.077130448853
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Russian Foreign Bond - Eurobond
Russian Foreign Bond - Eurobond
Y
buy protection
2025-06-20
6483332.58000000
USD
0.00000000
USD
73003000.00000000
USD
-4073357.54000000
N
N
N
COOF 1126547003
N/A
COOF 1126547003
000000000
1554580.04000000
PA
USD
100275.34000000
0.003209278874
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 TRY
000000000
1.00000000
NC
53257.82000000
0.001704498799
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
30870000.00000000
TRY
4070803.23000000
USD
2021-02-26
53257.82000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-32936.88000000
-0.00105413387
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
7872000.00000000
GHS
1284909.82000000
USD
2020-07-13
-32936.88000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
2481756.40000000
0.079427787383
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
77435835.04000000
USD
8574262485.00000000
JPY
2020-05-26
2481756.40000000
N
N
N
Refrigeration Electrical Engineering Corp
N/A
Refrigeration Electrical Engineering Corp
000000000
807810.00000000
NS
1035410.44000000
0.033137966435
Long
EC
CORP
VN
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3TMMR6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3TMMR6 IRS USD P F 1.93120 CCP LCH
000000000
770000.00000000
OU
Notional Amount
USD
-221769.87000000
-0.00709767086
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-12-12
0.00000000
USD
0.00000000
USD
770000.00000000
USD
-221769.87000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES JUN20 XSFE 20200618
000000000
84.00000000
NC
508788.26000000
0.016283598881
N/A
DE
AU
N
2
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
S&P ASX Share Price Index 200
XPM0 Index
2020-06-18
10710000.00000000
AUD
508788.26000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
3446000.00000000
PA
USD
577205.00000000
0.018473253868
Long
DBT
NUSS
LB
N
2
2024-12-03
None
0.00000000
Y
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1344309.73000000
0.043024185376
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
91400000.00000000
TRY
14352900.35000000
USD
2020-05-29
1344309.73000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD RON
000000000
1.00000000
NC
N/A
-79229.00000000
-0.00253569776
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
41977000.00000000
RON
8543197.31000000
EUR
2020-06-18
-79229.00000000
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31300LA96
1047182.06000000
PA
USD
1097915.41000000
0.035138417191
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Floating
4.36000000
N
N
N
N
N
N
REPUBLIC OF ARMENIA
5299000H77JSW90G7935
Republic of Armenia International Bond
000000000
3412000.00000000
PA
USD
3184808.57000000
0.101928738032
Long
DBT
NUSS
AM
Y
2
2029-09-26
Fixed
3.95000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-19097.89000000
-0.00061122161
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3047000.00000000
GHS
502390.77000000
USD
2020-05-22
-19097.89000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-25552.85000000
-0.00081781045
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
225892400.00000000
AED
61323813.66000000
USD
2021-04-08
-25552.85000000
N
N
N
COOF 9032505005
N/A
COOF 9032505005
000000000
1372529.10000000
PA
USD
141577.11000000
0.004531128273
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.96000000
N
N
N
N
N
N
Bank of Industry Limited
5493006N5JD4B34R6G14
Bank Of Industry Limited Syndicated Term Loan Facility
000000000
12190000.00000000
PA
USD
11107564.57000000
0.355493906258
Long
LON
CORP
NG
N
2
2020-07-14
Floating
7.31000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND JUN20 XEUR 20200608
000000000
-68.00000000
NC
550351.20000000
0.017613806939
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Buxl (FGBX)
UBM0 Comdty
2020-06-08
-15407814.18000000
EUR
550351.20000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
-10737.94000000
-0.00034366419
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
934700000.00000000
CRC
1625565.22000000
USD
2020-08-03
-10737.94000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
55154.19000000
0.001765191489
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1818677.68000000
EUR
2051159.25000000
USD
2020-07-17
55154.19000000
N
N
N
Masan Group Corp
254900M1892CMJ87XD24
Masan Group Corp
000000000
429280.00000000
NS
1076152.04000000
0.034441887779
Long
EC
CORP
VN
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CVV1
16786620.00000000
PA
USD
19515780.29000000
0.624596051210
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.00000000
N
N
N
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
-5860.42000000
-0.00018756079
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
-5860.42000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJJ5
42029.17000000
PA
USD
43022.58000000
0.001376923350
Long
ABS-MBS
USGSE
US
N
2
2025-10-17
Fixed
8.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3XJKS8 IRS CAD R V 03MCD000 CD0003M+0BPS CCP LCH / Short: BEV3XJKS8 IRS CAD P F 1.70400 CCP LCH
000000000
20350000.00000000
OU
Notional Amount
-649723.84000000
-0.02079419520
N/A
DIR
CD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2025-02-19
0.00000000
CAD
0.00000000
CAD
20350000.00000000
CAD
-649723.84000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359XSV2
60751.34000000
PA
USD
70950.93000000
0.002270760894
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Fixed
7.50000000
N
N
N
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
4048581.33000000
0.129573497659
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
4048581.33000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE JUN20 XEUR 20200608
000000000
-53.00000000
NC
14520.01000000
0.000464708086
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXM0 Comdty
2020-06-08
-9258040.00000000
EUR
14520.01000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PL78
600312.33000000
PA
USD
685094.08000000
0.021926207956
Long
ABS-MBS
USGSE
US
N
2
2030-02-17
Fixed
6.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KU69
917209.68000000
PA
USD
1031897.76000000
0.033025544281
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
7.00000000
N
N
N
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
5641242467.00000000
PA
54034662.80000000
1.729361394309
Long
DBT
NUSS
IS
N
2
2031-01-24
Fixed
6.50000000
N
N
N
N
N
N
COOF 1847217009
N/A
COOF 1847217009
000000000
1716466.35000000
PA
USD
172177.80000000
0.005510493169
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-11701.28000000
-0.00037449557
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1531000.00000000
GHS
249551.75000000
USD
2020-05-29
-11701.28000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
78472.41000000
0.002511483357
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
12033472.86000000
USD
11052000.00000000
EUR
2020-05-08
78472.41000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-17614.45000000
-0.00056374460
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1850344.00000000
EUR
2011166.65000000
USD
2020-06-02
-17614.45000000
N
N
N
COOF 1988577005
N/A
COOF 1988577005
000000000
1884429.17000000
PA
USD
154134.79000000
0.004933032641
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.41000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
132007.63000000
0.004224860251
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4258091.66000000
USD
16955721000.00000000
UGX
2020-07-10
132007.63000000
N
N
N
National Bank of Greece SA
5UMCZOEYKCVFAW8ZLO05
National Bank of Greece SA
000000000
776900.00000000
NS
1053534.20000000
0.033718011340
Long
EC
CORP
GR
N
2
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AQ1
2000000.00000000
PA
USD
2048770.00000000
0.065570201796
Long
DBT
CORP
KY
N
2
2025-04-07
Fixed
3.08000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PD51
38734.72000000
PA
USD
43228.44000000
0.001383511831
Long
ABS-MBS
USGSE
US
N
2
2027-05-17
Fixed
9.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-5250.66000000
-0.00016804562
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
7703664.40000000
EUR
8436806.73000000
USD
2020-05-05
-5250.66000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XUX0
6456848.00000000
PA
USD
6009875.28000000
0.192344057597
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Floating
2.89000000
N
N
N
N
N
N
COOF 1691217001
N/A
COOF 1691217001
000000000
1663787.41000000
PA
USD
193041.72000000
0.006178235983
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
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
-109247.81000000
-0.00349643978
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
-109247.81000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
27506000.00000000
PA
25700015.79000000
0.822520449602
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133T8U70
122446.10000000
PA
USD
137118.30000000
0.004388425543
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
6.50000000
N
N
N
N
N
N
Binh Minh Plastics JSC
N/A
Binh Minh Plastics JSC
000000000
39120.00000000
NS
78884.42000000
0.002524669600
Long
EC
CORP
VN
N
2
N
N
N
Phu Nhuan Jewelry JSC
N/A
Phu Nhuan Jewelry JSC
000000000
532630.00000000
NS
1384101.43000000
0.044297705487
Long
EC
CORP
VN
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-205228.07000000
-0.00656825605
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
12400803.00000000
EUR
13401423.79000000
USD
2020-07-06
-205228.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D3W3
30642.83000000
PA
USD
32633.01000000
0.001044408621
Long
ABS-MBS
USGSE
US
N
2
2025-08-15
Fixed
7.50000000
N
N
N
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
Fannie Mae
N/A
Fannie Mae REMICS
31359R3U4
151401.80000000
PA
USD
174922.33000000
0.005598330938
Long
ABS-MBS
USGSE
US
N
2
2028-04-18
Fixed
7.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-17119.85000000
-0.00054791509
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
8834427.38000000
USD
8035900.00000000
EUR
2020-07-06
-17119.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV3X9ZQ8 IRS EUR R F .00000 CCP LCH/BEV3X9ZQ8 / Short: BSV3X9ZQ8 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3X9ZQ8
000000000
2876000.00000000
OU
Notional Amount
0.00000000
0.000000
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-18
0.00000000
EUR
0.00000000
EUR
2876000.00000000
EUR
-0.88000000
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
-56.78000000
-0.00000181722
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ICE Libor USD 3 Months
US0003M Index
Y
2046-06-15
0.00000000
USD
-11.69000000
USD
144.00000000
USD
-45.09000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359AMH9
62107.78000000
PA
USD
67065.14000000
0.002146397479
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Fixed
7.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
Long: SEV21RGY9 CDS USD R F 1.00000 / Short: SEV21RGY9 CDS USD P V 03MEVENT
000000000
3290000.00000000
OU
Notional Amount
USD
-81536.07000000
-0.00260953477
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
Republic of South Africa Government International Bond
Republic of South Africa Government International Bond
Y
sell protection
2021-06-20
0.00000000
USD
-112353.79000000
USD
3290000.00000000
USD
30817.72000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-32837.88000000
-0.00105096541
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4567000.00000000
GHS
739595.14000000
USD
2020-06-19
-32837.88000000
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
-242085.17000000
-0.00774785527
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
-242085.17000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZKZE8 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZKZE8 IRS USD P F .76170 CCP LCH
000000000
3277000.00000000
OU
Notional Amount
USD
-32702.95000000
-0.00104664702
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-03-27
0.00000000
USD
0.00000000
USD
3277000.00000000
USD
-32702.95000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-208478.14000000
-0.00667227346
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
29895899.59000000
EUR
32602375.38000000
USD
2020-07-17
-208478.14000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-12673.89000000
-0.00040562363
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
27020000.00000000
CNY
3799175.20000000
USD
2020-07-08
-12673.89000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV4100U9 IRS MXN R F 5.02500 CCP CME / Short: SEV4100U9 IRS MXN P V 01MMIXIB MXIBTIIE+0BPS CCP CME
000000000
493526000.00000000
OU
Notional Amount
35044.21000000
0.001121578274
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-26
0.00000000
MXN
0.00000000
MXN
493526000.00000000
MXN
35044.21000000
N
N
N
COOF 2148157010
N/A
COOF 2148157010
000000000
1048987.97000000
PA
USD
64350.89000000
0.002059528811
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.96000000
N
N
N
N
N
N
COOF 9056075001
N/A
COOF 9056075001
000000000
389277.33000000
PA
USD
24291.01000000
0.000777425688
Long
ABS-MBS
CORP
US
N
2
2027-03-15
Fixed
3.46000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HEA7
116098.92000000
PA
USD
122949.77000000
0.003934966457
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
6.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
821574.24000000
0.026294210042
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
137564000.00000000
PLN
30971721.90000000
EUR
2020-06-17
821574.24000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-54175.96000000
-0.00173388356
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7901000.00000000
GHS
1288381.57000000
USD
2020-06-08
-54175.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390PTM9
16931.49000000
PA
USD
17751.78000000
0.000568139809
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Floating
7.64000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
7397000.00000000
PA
USD
1238997.50000000
0.039653702514
Long
DBT
NUSS
LB
N
2
2023-05-26
None
0.00000000
Y
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
807265.75000000
0.025836271583
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
807265.75000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-79780.59000000
-0.00255335122
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7703664.40000000
EUR
8364946.95000000
USD
2020-05-22
-79780.59000000
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
REPUBLIC OF SURINAME INT
N/A
Suriname Government International Bond
000000000
16043000.00000000
PA
USD
6136447.50000000
0.196394959361
Long
DBT
NUSS
SR
Y
2
2026-10-26
Fixed
9.25000000
N
N
N
N
N
N
COOF 2033337005
N/A
COOF 2033337005
000000000
307635.19000000
PA
USD
22653.09000000
0.000725004604
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X54N7 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH / Short: BEV3X54N7 IRS EUR P F .38970 CCP LCH
000000000
781000.00000000
OU
Notional Amount
-115427.24000000
-0.00369421038
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-14
0.00000000
EUR
0.00000000
EUR
781000.00000000
EUR
-115427.24000000
N
N
N
JASA MARGA (PERSERO)
213800OEG8K7MC4FWG29
Jasa Marga Persero Tbk PT
000000000
18080000000.00000000
PA
1170215.57000000
0.037452359743
Long
DBT
CORP
ID
Y
2
2020-12-11
Fixed
7.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV40W220 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV40W220 IRS USD P F .63350 CCP LCH
000000000
7530000.00000000
OU
Notional Amount
USD
19119.27000000
0.000611905871
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-04-27
0.00000000
USD
0.00000000
USD
7530000.00000000
USD
19119.27000000
N
N
N
COOF 9110125005
N/A
COOF 9110125005
000000000
1465429.04000000
PA
USD
116113.48000000
0.003716173272
Long
ABS-MBS
CORP
US
N
2
2042-02-15
Fixed
2.16000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
434385.67000000
0.013902368757
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
43350000.00000000
BRL
8406213.03000000
USD
2020-05-05
434385.67000000
N
N
N
COOF 2326577000
N/A
COOF 2326577000
000000000
2221705.29000000
PA
USD
275664.65000000
0.008822555352
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-759.72000000
-0.00002431458
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1114643.41000000
EUR
1220721.79000000
USD
2020-05-05
-759.72000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-13292.60000000
-0.00042542523
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
284180000.00000000
AED
77166209.57000000
USD
2021-04-08
-13292.60000000
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
202250.24000000
0.006472951600
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
202250.24000000
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
-27.45000000
-0.00000087852
N/A
DCR
QA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Qatar Government International Bond
Qatar Government International Bond
Y
buy protection
2020-12-20
16.16000000
USD
0.00000000
USD
10000.00000000
USD
-43.61000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
66916195.33000000
PA
52989868.30000000
1.695923094157
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
COOF 2329437010
N/A
COOF 2329437010
000000000
416304.28000000
PA
USD
43694.24000000
0.001398419605
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAE9
420513.63000000
PA
USD
393039.20000000
0.012579088749
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Variable
2.89000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV410FA7 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV410FA7 IRS USD P F .83050 CCP LCH
000000000
3430000.00000000
OU
Notional Amount
USD
11313.89000000
0.000362097282
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-04-29
0.00000000
USD
0.00000000
USD
3430000.00000000
USD
11313.89000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED OMR / SOLD USD
000000000
1.00000000
NC
6222.57000000
0.000199151281
N/A
DFE
OM
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5009708.74000000
USD
1935000.00000000
OMR
2020-05-21
6222.57000000
N
N
N
OPAP SA
213800M4NRGFJCI34834
OPAP SA
000000000
215671.00000000
NS
1931832.02000000
0.061827640676
Long
EC
CORP
GR
N
2
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-9023.02000000
-0.00028877875
N/A
DFE
CH
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
23812985.50000000
USD
22930000.00000000
CHF
2020-07-15
-9023.02000000
N
N
N
COOF 2237237001
N/A
COOF 2237237001
000000000
2508367.77000000
PA
USD
218621.89000000
0.006996920808
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
COOF 9662825001
N/A
COOF 9662825001
000000000
2121006.89000000
PA
USD
271094.83000000
0.008676299784
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
40714.83000000
0.001303064579
N/A
DFE
UG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
989391.07000000
USD
3964490000.00000000
UGX
2020-06-26
40714.83000000
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
-1234.00000000
-0.00003949375
N/A
DCR
HR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Croatia Government International Bond
Croatia Government International Bond
Y
buy protection
2020-06-20
2022.36000000
USD
0.00000000
USD
1000000.00000000
USD
-3256.36000000
N
N
N
COOF 9662795005
N/A
COOF 9662795005
000000000
2889210.61000000
PA
USD
255762.14000000
0.008185582145
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.61000000
N
N
N
N
N
N
Republic of Montenegro
747800V014106FYLL014
Montenegro Government International Bond
000000000
1104000.00000000
PA
1227691.79000000
0.039291867029
Long
DBT
NUSS
ME
Y
2
2021-03-10
Fixed
5.75000000
N
N
N
N
N
N
COOF 8471595007
N/A
COOF 8471595007
000000000
929140.42000000
PA
USD
88402.12000000
0.002829280420
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
3.03000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-474801.25000000
-0.01519585594
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
37995203878.00000000
KRW
30847774.52000000
USD
2020-07-29
-474801.25000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SX2T1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3SX2T1 IRS USD P F 1.55200 CCP LCH
000000000
836000.00000000
OU
Notional Amount
USD
-43336.46000000
-0.00138696897
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2024-11-27
0.00000000
USD
0.00000000
USD
836000.00000000
USD
-43336.46000000
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
8019.04000000
0.000256646705
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
8019.04000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
91897129.55000000
PA
62890587.38000000
2.012792312278
Long
DBT
NUSS
NZ
Y
2
2025-09-20
Fixed
2.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
38240000.00000000
PA
35335418.78000000
1.130898314588
Long
DBT
NUSS
EG
Y
2
2031-04-11
Fixed
6.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3ZML66 IRS SGD R F 1.08000 CCP LCH / Short: SEV3ZML66 IRS SGD P V 06MSORF6 SORF6M+0BPS CCP LCH
000000000
14570000.00000000
OU
Notional Amount
189871.85000000
0.006076785349
N/A
DIR
SD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Singapore Interbank Offer Rate 6 Months
SIBF6M Index
Y
2025-03-31
0.00000000
SGD
0.00000000
SGD
14570000.00000000
SGD
189871.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FU78
0.34000000
PA
USD
0.34000000
0.000000010881
Long
ABS-MBS
USGSE
US
N
2
2020-06-01
Fixed
5.50000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
750674000.00000000
PA
26072250.75000000
0.834433705576
Long
DBT
NUSS
UA
N
2
2023-11-22
Fixed
11.67000000
N
N
N
N
N
N
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-22497.32000000
-0.00072001923
N/A
DFE
US
N
2
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
3669000.00000000
GHS
605445.54000000
USD
2020-05-22
-22497.32000000
N
N
N
COOF 9664715007
N/A
COOF 9664715007
000000000
700670.65000000
PA
USD
51599.48000000
0.001651424179
Long
ABS-MBS
CORP
US
N
2
2042-11-15
Fixed
2.41000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN20 XCBT 20200619
000000000
-19.00000000
NC
USD
-6078.86000000
-0.00019455189
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNM0 Comdty
2020-06-19
-4264764.89000000
USD
-6078.86000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SPG89 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3SPG89 IRS USD P F 1.83020 CCP LCH
000000000
1500000.00000000
OU
Notional Amount
USD
-390705.01000000
-0.01250438377
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-11-22
0.00000000
USD
0.00000000
USD
1500000.00000000
USD
-390705.01000000
N
N
N
COOF 2117027003
N/A
COOF 2117027003
000000000
719105.28000000
PA
USD
89100.78000000
0.002851640801
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.21000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-24539.38000000
-0.00078537468
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3039000.00000000
GHS
494041.91000000
USD
2020-05-29
-24539.38000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV3X0JL6 IRS EUR R F .37120 CCP LCH/BEV3X0JL6 / Short: BSV3X0JL6 IRS EUR P V 06MEURIB EUR006M+0BPS /BEV3X0JL6
000000000
1847000.00000000
OU
Notional Amount
0.00000000
0.000000
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-12
0.00000000
EUR
0.00000000
EUR
1847000.00000000
EUR
-0.41000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKZC2
1472127.46000000
PA
USD
1657194.20000000
0.053037948676
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
COOF 9693035003
N/A
COOF 9693035003
000000000
853779.04000000
PA
USD
96265.82000000
0.003080955521
Long
ABS-MBS
CORP
US
N
2
2042-10-15
Fixed
2.91000000
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
546787.54000000
0.017499753187
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
205456.79000000
USD
0.00000000
USD
8022000.00000000
USD
341330.75000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
17673.70000000
0.000565640884
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2010024.99000000
USD
1850344.00000000
EUR
2020-05-05
17673.70000000
N
N
N
FHLMC-GNMA
N/A
FHLMC-GNMA
312913WW2
22154.40000000
PA
USD
23465.67000000
0.000751010956
Long
ABS-MBS
USGSE
US
N
2
2022-12-25
Fixed
8.00000000
N
N
N
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
Yoma Strategic Holdings Ltd
529900WRBT4SP5D5ZN49
Yoma Strategic Holdings Ltd
000000000
43974000.00000000
NS
6137556.10000000
0.196430439735
Long
EC
CORP
SG
N
2
N
N
N
EV CASH RESERVES FUND LLC
N/A
EV CASH RESERVES FUND LLC
000000000
694904360.47100000
NS
USD
694904360.47000000
22.24018271719
Long
STIV
US
N
2
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XYX6
5000000.00000000
PA
USD
4436026.00000000
0.141973535338
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
2.74000000
N
N
N
N
N
N
Military Commercial Joint Stock Bank
5493007XE88E8JRNTJ93
Military Commercial Joint Stock Bank
000000000
1863880.00000000
NS
1357715.14000000
0.043453221060
Long
EC
CORP
VN
N
2
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BLD5
37404.64000000
PA
USD
39849.87000000
0.001275381822
Long
ABS-MBS
USGA
US
N
2
2023-06-20
Fixed
8.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-35815.17000000
-0.00114625259
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
241351000.00000000
THB
7423840.94000000
USD
2020-06-24
-35815.17000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-28000.90000000
-0.00089615948
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6298000.00000000
GHS
1035855.26000000
USD
2020-06-22
-28000.90000000
N
N
N
COOF 9575225000
N/A
COOF 9575225000
000000000
862025.25000000
PA
USD
45396.71000000
0.001452906590
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.71000000
N
N
N
N
N
N
COOF 2312927008
N/A
COOF 2312927008
000000000
748878.61000000
PA
USD
115671.78000000
0.003702036810
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SRD47 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3SRD47 IRS USD P F 1.84520 CCP LCH
000000000
3150000.00000000
OU
Notional Amount
USD
-832775.11000000
-0.02665269015
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-11-25
0.00000000
USD
0.00000000
USD
3150000.00000000
USD
-832775.11000000
N
N
N
COOF 2231267009
N/A
COOF 2231267009
000000000
122873.33000000
PA
USD
21026.92000000
0.000672959574
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
COOF 9657945008
N/A
COOF 9657945008
000000000
3366931.41000000
PA
USD
290519.51000000
0.009297980201
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.46000000
N
N
N
N
N
N
COOF 9574295008
N/A
COOF 9574295008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-07-15
Fixed
1.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DJ50
491.07000000
PA
USD
539.69000000
0.000017272598
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
9.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CT1
4600000.00000000
PA
USD
4622844.15000000
0.147952588036
Long
DBT
NUSS
ID
N
2
2050-10-15
Fixed
4.20000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3079155.17000000
0.098547336138
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
188784531.81000000
EUR
210221015.40000000
USD
2020-07-06
3079155.17000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SB806 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3SB806 IRS USD P F 1.96800 CCP LCH
000000000
1085000.00000000
OU
Notional Amount
USD
-322104.41000000
-0.01030884441
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-11-15
0.00000000
USD
0.00000000
USD
1085000.00000000
USD
-322104.41000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MS37
2365508.31000000
PA
USD
2731871.14000000
0.087432626372
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
7.00000000
N
N
N
N
N
N
Vietnam Technological & Commercial Joint Stock Bank
5493001XNKHV3FNIUD50
Vietnam Technological & Commercial Joint Stock Bank
000000000
781800.00000000
NS
614121.27000000
0.019654746800
Long
EC
CORP
VN
N
2
N
N
N
COOF 9617315002
N/A
COOF 9617315002
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
2.41000000
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
65.77000000
0.000002104946
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ICE Libor USD 3 Months
US0003M Index
Y
2046-09-21
8650544.60000000
USD
0.00000000
USD
8499856.00000000
USD
-150478.83000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-166927.41000000
-0.00534245618
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
598944200.00000000
INR
7772944.00000000
USD
2020-05-22
-166927.41000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
1706715.18000000
0.054622851155
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
296497000.00000000
ZAR
17541191.16000000
USD
2020-08-19
1706715.18000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SR7K8 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3SR7K8 IRS USD P F 1.84470 CCP LCH
000000000
100000.00000000
OU
Notional Amount
USD
-26424.11000000
-0.00084569484
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-11-25
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-26424.11000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
-13893.89000000
-0.00044466932
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
340010000.00000000
HUF
951902.62000000
EUR
2020-05-04
-13893.89000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
13083.04000000
0.000418718339
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1493783.15000000
USD
1374333.00000000
EUR
2020-06-02
13083.04000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
602104.27000000
0.019270146715
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
82526178894.00000000
IDR
5955558.84000000
USD
2020-07-21
602104.27000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
65479.70000000
0.002095655999
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7476282.57000000
USD
6878442.72000000
EUR
2020-06-02
65479.70000000
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
-4556.70000000
-0.00014583566
N/A
DCR
QA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Qatar Government International Bond
Qatar Government International Bond
Y
buy protection
2020-12-20
5003.62000000
USD
0.00000000
USD
1660000.00000000
USD
-9560.32000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
47964000.00000000
PA
USD
35686031.39000000
1.142119554449
Long
DBT
NUSS
UA
Y
2
2040-05-31
None
0.00000000
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
2301860.86000000
PA
717819.85000000
0.022973585330
Long
STIV
CORP
GE
N
2
2020-05-18
Variable
7.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3W7V38 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3W7V38 IRS USD P F 1.46450 CCP LCH
000000000
2344000.00000000
OU
Notional Amount
USD
-116297.21000000
-0.00372205348
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-01-30
0.00000000
USD
0.00000000
USD
2344000.00000000
USD
-116297.21000000
N
N
N
TRAD & DEV BANK MONGOLIA
549300O080RZNQXWR806
Trade & Development Bank of Mongolia LLC
89253YAA0
4990000.00000000
PA
USD
4980643.75000000
0.159403845119
Long
DBT
CORP
MN
Y
2
2020-05-19
Fixed
9.38000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
463519.41000000
0.014834784407
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9138750.00000000
OMR
23189499.86000000
USD
2021-03-29
463519.41000000
N
N
N
COOF 9668685008
N/A
COOF 9668685008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2033-09-15
Fixed
3.21000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796SR1
54900000.00000000
PA
USD
54897331.31000000
1.756970812781
Long
STIV
UST
US
N
2
2020-05-21
None
0.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
149599.62000000
0.004787886035
N/A
DFE
CA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3644053.29000000
USD
5280000.00000000
CAD
2020-06-22
149599.62000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3VUMH7 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3VUMH7 IRS USD P F 1.59200 CCP LCH
000000000
3880000.00000000
OU
Notional Amount
USD
-212666.45000000
-0.00680631893
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-01-23
0.00000000
USD
0.00000000
USD
3880000.00000000
USD
-212666.45000000
N
N
N
Fannie Mae Connecticut Avenue Securities
N/A
Fannie Mae Connecticut Avenue Securities
30711XJV7
2116893.00000000
PA
USD
1741774.48000000
0.055744912380
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
3.49000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GLW1
1138051.53000000
PA
USD
1266071.63000000
0.040520201031
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
6.50000000
N
N
N
N
N
N
COOF 1425577001
N/A
COOF 1425577001
000000000
2695524.91000000
PA
USD
177567.08000000
0.005682975281
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
1.91000000
N
N
N
N
N
N
Ashmore Group PLC
549300U3L59WB4YI2X12
Ashmore Group PLC
000000000
-1867300.00000000
NS
-8902973.87000000
-0.28493671483
Short
EC
CORP
GB
N
2
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-55154.20000000
-0.00176519180
N/A
DFE
XX
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2051159.61000000
USD
1818678.00000000
EUR
2020-07-17
-55154.20000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
62440.15000000
0.001998376213
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
2165000.00000000
OMR
5479625.41000000
USD
2021-02-16
62440.15000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PL86
502470.06000000
PA
USD
554579.27000000
0.017749124912
Long
ABS-MBS
USGSE
US
N
2
2035-06-17
Fixed
7.00000000
N
N
N
N
N
N
Kingdom of Jordan
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
8600000.00000000
PA
USD
8008672.60000000
0.256314900406
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31363WDP7
1560.41000000
PA
USD
1753.66000000
0.000056125304
Long
ABS-MBS
USGSE
US
N
2
2026-07-20
Fixed
8.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EGP
000000000
1.00000000
NC
409408.97000000
0.013102997789
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
382092000.00000000
EGP
21908944.95000000
USD
2021-03-08
409408.97000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
2229.23000000
0.000071345764
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
37000000.00000000
CNY
5208846.59000000
USD
2020-10-21
2229.23000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312916XQ7
30645.49000000
PA
USD
33121.18000000
0.001060032339
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
COOF 1576187010
N/A
COOF 1576187010
000000000
1218980.78000000
PA
USD
147450.92000000
0.004719117606
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
3.16000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
2759650000.00000000
PA
27793066.67000000
0.889507846221
Long
DBT
NUSS
RS
N
2
2026-01-11
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BTS7
1438.78000000
PA
USD
1463.04000000
0.000046824108
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-110988.34000000
-0.00355214487
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1935000.00000000
OMR
4904942.97000000
USD
2020-05-21
-110988.34000000
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
2686000.00000000
PA
830711.57000000
0.026586647246
Long
STIV
NUSS
GE
N
2
2020-06-04
None
0.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B2XJ6
3246114.10000000
PA
USD
264830.32000000
0.008475806227
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Fixed
4.00000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAA8
3000000.00000000
PA
USD
3013350.00000000
0.096441263579
Long
DBT
NUSS
MX
N
2
2025-01-30
Fixed
3.60000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3UNNB6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3UNNB6 IRS USD P F 1.89770 CCP LCH
000000000
1062802.00000000
OU
Notional Amount
USD
-295980.59000000
-0.00947276024
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-01-08
0.00000000
USD
0.00000000
USD
1062802.00000000
USD
-295980.59000000
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
270213.53000000
0.008648094071
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
270213.53000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-2609918.64000000
-0.08352957720
N/A
DFE
CA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
52749006.09000000
USD
69790100.00000000
CAD
2020-05-20
-2609918.64000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373RUM9
37582.50000000
PA
USD
40162.55000000
0.001285389042
Long
ABS-MBS
USGA
US
N
2
2023-10-26
Fixed
6.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BUU0
1117328.88000000
PA
USD
1307712.89000000
0.041852915695
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
8.50000000
N
N
N
N
N
N
COOF 9632755003
N/A
COOF 9632755003
000000000
1831776.40000000
PA
USD
101864.30000000
0.003260133009
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
1.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FSQ9
265508.30000000
PA
USD
299624.13000000
0.009589370533
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
25208.89000000
0.000806802132
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1707085.00000000
TRY
268171.36000000
USD
2020-05-29
25208.89000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR JUN20 XOSE 20200611
000000000
61.00000000
NC
345935.16000000
0.011071539631
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Long
TOPIX Index
TPM0 Index
2020-06-11
843111500.00000000
JPY
345935.16000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
338816.68000000
0.010843715048
N/A
DFE
GB
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
4611933.60000000
USD
3930000.00000000
GBP
2020-06-18
338816.68000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1352486.99000000
0.043285895860
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
91343000.00000000
TRY
14352965.03000000
USD
2020-05-29
1352486.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3XUNG6 IRS EUR R V 06MEURIB EUR006M+0BPS/BSV3XUNG6 / Short: BEV3XUNG6 IRS EUR P F .21020 CCP LCH BSV3XUNG6
000000000
2510000.00000000
OU
Notional Amount
-223757.40000000
-0.00716128109
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-26
0.00000000
EUR
0.00000000
EUR
2510000.00000000
EUR
-223757.80000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3UPDC0 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3UPDC0 IRS USD P F 1.93670 CCP LCH
000000000
465921.00000000
OU
Notional Amount
USD
-134597.66000000
-0.00430775329
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-01-09
0.00000000
USD
0.00000000
USD
465921.00000000
USD
-134597.66000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN20 XCBT 20200630
000000000
-523.00000000
NC
USD
-1692515.85000000
-0.05416840632
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVM0 Comdty
2020-06-30
-63935812.28000000
USD
-1692515.85000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PK46
38352.88000000
PA
USD
39299.26000000
0.001257759733
Long
ABS-MBS
USGSE
US
N
2
2021-10-17
Fixed
9.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-40299.39000000
-0.00128976856
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4740000.00000000
GHS
765133.17000000
USD
2020-06-08
-40299.39000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1267219.65000000
0.040556943029
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
36572549.25000000
EUR
41399577.16000000
USD
2020-07-10
1267219.65000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
-386025.49000000
-0.01235461729
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
15389510000.00000000
HUF
43170752.92000000
EUR
2020-08-04
-386025.49000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV40G746 IRS MXN R F 5.14000 CCP CME / Short: SEV40G746 IRS MXN P V 01MMXIBO MXIBTIIE+0BPS CCP CME
000000000
428165000.00000000
OU
Notional Amount
66062.05000000
0.002114293917
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-04-18
0.00000000
MXN
0.00000000
MXN
428165000.00000000
MXN
66062.05000000
N
N
N
COOF 8430145005
N/A
COOF 8430145005
000000000
867678.56000000
PA
USD
49892.92000000
0.001596806294
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Fixed
2.53000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
24741.89000000
0.000791855952
N/A
DFE
CA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3989488.94000000
USD
5587000.00000000
CAD
2020-06-22
24741.89000000
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
3982000.00000000
PA
1167947.84000000
0.037379781799
Long
STIV
NUSS
GE
N
2
2021-01-14
None
0.00000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV3XGSS6 CDS USD R V 03MLIBOR / Short: BEV3XGSS6 CDS USD P F 1.00000
000000000
5100000.00000000
OU
Notional Amount
USD
24750.30000000
0.000792125111
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Egypt Government International Bond
Egypt Government International Bond
Y
buy protection
2020-06-20
3512.87000000
USD
0.00000000
USD
5100000.00000000
USD
21237.43000000
N
N
N
COOF 9626555006
N/A
COOF 9626555006
000000000
1111045.81000000
PA
USD
51315.80000000
0.001642345095
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.41000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-378145.09000000
-0.01210240771
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5016547.37000000
USD
32590000.00000000
TRY
2020-05-29
-378145.09000000
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
38898.65000000
0.001244938343
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
-83266.36000000
USD
12396000.00000000
USD
122165.01000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XCL6
1576340.77000000
PA
USD
1601544.09000000
0.051256885432
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
5.79000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3YD219 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3YD219 IRS USD P F .82900 CCP LCH
000000000
740000.00000000
OU
Notional Amount
USD
-14495.60000000
-0.00046392685
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-03-05
0.00000000
USD
0.00000000
USD
740000.00000000
USD
-14495.60000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
83867.30000000
0.002684145016
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9616573.81000000
USD
8851532.33000000
EUR
2020-05-08
83867.30000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
1454967.98000000
0.046565765828
N/A
DFE
EG
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7185263.16000000
USD
136520000.00000000
EGP
2020-05-13
1454967.98000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359UNJ0
250567.63000000
PA
USD
283672.44000000
0.009078842005
Long
ABS-MBS
USGSE
US
N
2
2028-07-20
Fixed
6.50000000
N
N
N
N
N
N
COOF 2066977005
N/A
COOF 2066977005
000000000
1326617.48000000
PA
USD
102135.95000000
0.003268827077
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359HWH3
110827.26000000
PA
USD
120116.24000000
0.003844280273
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PK95
270782.96000000
PA
USD
292449.17000000
0.009359738327
Long
ABS-MBS
USGSE
US
N
2
2027-09-17
Fixed
7.50000000
N
N
N
N
N
N
COOF 8557585005
N/A
COOF 8557585005
000000000
438603.02000000
PA
USD
68508.17000000
0.002192581173
Long
ABS-MBS
CORP
US
N
2
2042-06-15
Fixed
3.78000000
N
N
N
N
N
N
COOF 7774145004
N/A
COOF 7774145004
000000000
1014774.84000000
PA
USD
64138.86000000
0.002052742861
Long
ABS-MBS
CORP
US
N
2
2039-07-15
Fixed
2.39000000
N
N
N
N
N
N
Vietnam Prosperity JSC Bank
254900A0PM1YPJVDW880
Vietnam Prosperity JSC Bank
000000000
1581255.00000000
NS
1392916.08000000
0.044579815426
Long
EC
CORP
VN
N
2
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133T3WY0
180721.62000000
PA
USD
196234.88000000
0.006280432006
Long
ABS-MBS
USGSE
US
N
2
2024-01-15
Fixed
6.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-47811.87000000
-0.00153020298
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5022491.70000000
EUR
5459021.57000000
USD
2020-06-02
-47811.87000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
696753000.00000000
PA
26467315.35000000
0.847077616579
Long
DBT
NUSS
UA
N
2
2021-03-24
Fixed
18.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-175105.39000000
-0.00560418971
N/A
DFE
XX
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
6512090.42000000
USD
5774000.00000000
EUR
2020-07-17
-175105.39000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387CV57
97620.60000000
PA
USD
101792.76000000
0.003257843396
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Floating
3.79000000
N
N
N
N
N
N
COOF 2308487004
N/A
COOF 2308487004
000000000
1390121.96000000
PA
USD
110821.39000000
0.003546801693
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.46000000
N
N
N
N
N
N
COOF 2254177009
N/A
COOF 2254177009
000000000
1571130.87000000
PA
USD
159455.33000000
0.005103314752
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D4D4
30892.86000000
PA
USD
33162.34000000
0.001061349651
Long
ABS-MBS
USGSE
US
N
2
2027-11-15
Fixed
7.50000000
N
N
N
N
N
N
COOF 9669465003
N/A
COOF 9669465003
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.91000000
N
N
N
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
41210000.00000000
OU
Notional Amount
-1291279.43000000
-0.04132696827
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
41210000.00000000
CAD
-1291279.43000000
N
N
N
COOF 8193515004
N/A
COOF 8193515004
000000000
834433.74000000
PA
USD
49798.48000000
0.001593783774
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Fixed
1.93000000
N
N
N
N
N
N
RMOF SD 12/8/2017
N/A
RMOF SD 12/8/2017
000000000
34798780.27000000
PA
USD
2564283.19000000
0.082069029823
Long
ABS-MBS
CORP
US
N
2
2039-10-29
Fixed
2.33000000
N
N
N
N
N
N
COOF 9627335001
N/A
COOF 9627335001
000000000
1153135.53000000
PA
USD
119970.18000000
0.003839605671
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.96000000
N
N
N
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
269958.87000000
0.008639943762
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
269958.87000000
N
N
N
COOF 1368227004
N/A
COOF 1368227004
000000000
347077.61000000
PA
USD
42793.69000000
0.001369597802
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
3.16000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
16156.17000000
0.000517072842
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
84513000.00000000
SAR
22298944.59000000
USD
2022-03-24
16156.17000000
N
N
N
COOF 9683905000
N/A
COOF 9683905000
000000000
1055993.86000000
PA
USD
99618.51000000
0.003188257248
Long
ABS-MBS
CORP
US
N
2
2042-11-15
Fixed
2.41000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
371454.18000000
0.011888267370
N/A
DFE
GB
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8093169.88000000
USD
6719000.00000000
GBP
2020-06-30
371454.18000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-140513.18000000
-0.00449707754
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
52401000.00000000
PLN
11380388.75000000
EUR
2020-07-03
-140513.18000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
248191000.00000000
PA
9245586.29000000
0.295901911276
Long
DBT
NUSS
UA
N
2
2021-01-20
Fixed
15.70000000
N
N
N
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
JUMBO SA
549300TGIVUUMY40MZ05
JUMBO SA
000000000
123900.00000000
NS
1939022.91000000
0.062057782717
Long
EC
CORP
GR
N
2
N
N
N
Republic of Albania
254900EDM43U3SGRND29
Albania Government International Bond
000000000
1000000.00000000
PA
1115684.46000000
0.035707109721
Long
DBT
NUSS
AL
Y
2
2020-11-12
Fixed
5.75000000
N
N
N
N
N
N
Eurobank Ergasias Services and Holdings SA
JEUVK5RWVJEN8W0C9M24
Eurobank Ergasias Services and Holdings SA
000000000
2679600.00000000
NS
1082371.24000000
0.034640931205
Long
EC
CORP
GR
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
1870.57000000
0.000059866970
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
8220000.00000000
PLN
1807004.85000000
EUR
2020-07-03
1870.57000000
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
627240.52000000
0.020074624028
Long
STIV
CORP
GE
N
2
2020-06-15
Variable
7.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-807077.23000000
-0.02583023806
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
11336350.03000000
USD
73980000.00000000
TRY
2020-05-29
-807077.23000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PL45
730977.47000000
PA
USD
820983.68000000
0.026275309365
Long
ABS-MBS
USGSE
US
N
2
2031-08-17
Fixed
7.00000000
N
N
N
N
N
N
COOF 1856857004
N/A
COOF 1856857004
000000000
2911822.48000000
PA
USD
217553.04000000
0.006962712619
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
13876503.00000000
NS
5378099.87000000
0.172124295923
Long
EC
CORP
IS
Y
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-252488.27000000
-0.00808080302
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
35560275.55000000
EUR
38718205.82000000
USD
2020-05-08
-252488.27000000
N
N
N
COOF 2137117003
N/A
COOF 2137117003
000000000
1059189.26000000
PA
USD
88749.51000000
0.002840398522
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
Piraeus Bank SA
M6AD1Y1KW32H8THQ6F76
Piraeus Bank SA
000000000
716900.00000000
NS
956861.26000000
0.030624026078
Long
EC
CORP
GR
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
-12095.17000000
-0.00038710188
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
563300000.00000000
CRC
975411.26000000
USD
2020-07-22
-12095.17000000
N
N
N
COOF 1293627000
N/A
COOF 1293627000
000000000
1519711.33000000
PA
USD
120538.56000000
0.003857796484
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
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
69379.44000000
0.002220465880
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
-14471.76000000
USD
9620000.00000000
USD
83851.20000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
209305.61000000
0.006698756368
N/A
DFE
NZ
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3904995.12000000
USD
6708000.00000000
NZD
2020-05-29
209305.61000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CBV7
894400.42000000
PA
USD
1012191.70000000
0.032394858391
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
7.00000000
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
-206.38000000
-0.00000660512
N/A
DCR
CR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Croatia Government International Bond
Croatia Government International Bond
Y
buy protection
2020-06-20
330.27000000
USD
0.00000000
USD
167248.00000000
USD
-536.65000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-134850.92000000
-0.00431585880
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
6565000.00000000
NZD
3891495.66000000
USD
2020-06-08
-134850.92000000
N
N
N
COOF 2121127001
N/A
COOF 2121127001
000000000
1080175.46000000
PA
USD
151643.97000000
0.004853314776
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SRDT2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3SRDT2 IRS USD P F 1.84520 CCP LCH
000000000
450000.00000000
OU
Notional Amount
USD
-118967.87000000
-0.00380752707
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-11-25
0.00000000
USD
0.00000000
USD
450000.00000000
USD
-118967.87000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
11311.92000000
0.000362034233
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1286500.61000000
USD
1184298.06000000
EUR
2020-05-05
11311.92000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAE8
713862.65000000
PA
USD
657979.63000000
0.021058419011
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Floating
2.49000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-15938.04000000
-0.00051009166
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
86430000.00000000
AED
23457728.32000000
USD
2021-04-05
-15938.04000000
N
N
N
BENIN INTL GOV BOND
N/A
Benin Government International Bond
000000000
15118000.00000000
PA
13824543.83000000
0.442449922969
Long
DBT
NUSS
BJ
Y
2
2026-03-26
Fixed
5.75000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV3Y9W15 CDS USD R V 03MEVENT MOAGBN/XS0546428144 / Short: BEV3Y9W15 CDS USD P F 1.00000
000000000
6748000.00000000
OU
Notional Amount
USD
539030.24000000
0.017251483383
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Emirate of Dubai Government International Bonds
Emirate of Dubai Government International Bonds
Y
buy protection
2024-12-20
104117.49000000
USD
0.00000000
USD
6748000.00000000
USD
434912.75000000
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
COOF 1860197010
N/A
COOF 1860197010
000000000
323453.60000000
PA
USD
34061.63000000
0.001090131128
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
COOF 1788507001
N/A
COOF 1788507001
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2028-02-15
Fixed
2.96000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3029.62000000
-0.00009696197
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4445000.00000000
EUR
4868021.76000000
USD
2020-05-05
-3029.62000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
1025000.00000000
PA
928307.64000000
0.029710176976
Long
DBT
NUSS
EG
Y
2
2030-04-16
Fixed
5.63000000
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
4020646.18000000
0.128679442483
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
4020646.18000000
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-4438.93000000
-0.00014206647
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
1350000.00000000
BHD
3538199.45000000
USD
2022-03-16
-4438.93000000
N
N
N
COOF 9678215000
N/A
COOF 9678215000
000000000
481559.94000000
PA
USD
63613.57000000
0.002035931130
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
328868.13000000
0.010525315017
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
109551230.00000000
AUD
71726695.92000000
USD
2020-06-12
328868.13000000
N
N
N
COOF 2259587002
N/A
COOF 2259587002
000000000
491354.90000000
PA
USD
58365.71000000
0.001867975118
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PD28
541.29000000
PA
USD
545.44000000
0.000017456625
Long
ABS-MBS
USGSE
US
N
2
2021-03-17
Fixed
10.50000000
N
N
N
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
-760303.55000000
-0.02433326200
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
-760303.55000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
169875.16000000
0.005436797942
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4845294.97000000
USD
19325459000.00000000
UGX
2020-07-02
169875.16000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GVM2
2442904.61000000
PA
USD
2757118.33000000
0.088240654283
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
6.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-707154.64000000
-0.02263224883
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
42729463.77000000
EUR
46177304.20000000
USD
2020-07-06
-707154.64000000
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
-2080419.97000000
-0.06658314855
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
-2080419.97000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PLD5
179823.70000000
PA
USD
186468.38000000
0.005967858424
Long
ABS-MBS
USGSE
US
N
2
2024-06-17
Fixed
8.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED OMR / SOLD USD
000000000
1.00000000
NC
-52749.05000000
-0.00168821578
N/A
DFE
OM
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
5469934.31000000
USD
2165000.00000000
OMR
2021-02-16
-52749.05000000
N
N
N
COOF 8222885010
N/A
COOF 8222885010
000000000
924771.83000000
PA
USD
98641.67000000
0.003156993809
Long
ABS-MBS
CORP
US
N
2
2042-04-15
Fixed
2.93000000
N
N
N
N
N
N
COOF 9482625003
N/A
COOF 9482625003
000000000
736884.78000000
PA
USD
75024.38000000
0.002401130305
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV40CXY0 IRS RUB R F 6.51000 / Short: BEV40CXY0 IRS RUB P V 03MMOSPR MOSPRIME+0BPS
000000000
2864900000.00000000
OU
Notional Amount
1061776.12000000
0.033981791246
N/A
DIR
RU
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Moscow Interbank Offered Rate 3 Months
MMIBR3M Index
Y
2025-04-16
0.00000000
RUB
0.00000000
RUB
2864900000.00000000
RUB
1061776.12000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1261.15000000
-0.00004036268
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1850344.00000000
EUR
2026437.54000000
USD
2020-05-05
-1261.15000000
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
22285.08000000
0.000713226566
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
-1160.85000000
USD
3090000.00000000
USD
23445.93000000
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
9000000.00000000
PA
USD
7555243.50000000
0.241803053011
Long
ABS-O
CORP
US
N
2
2023-02-25
Floating
3.34000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
88200000.00000000
PA
3426377.91000000
0.109660084338
Long
DBT
NUSS
UA
N
2
2022-05-11
Fixed
17.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-36504.72000000
-0.00116832141
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1171833.00000000
BHD
3038591.99000000
USD
2022-03-16
-36504.72000000
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
-1306252.32000000
-0.04180617063
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
-1306252.32000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-630766.47000000
-0.02018747088
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
14386052.48000000
USD
1037630000.00000000
INR
2020-05-22
-630766.47000000
N
N
N
COOF 8690125006
N/A
COOF 8690125006
000000000
838770.37000000
PA
USD
117277.10000000
0.003753414542
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.78000000
N
N
N
N
N
N
COOF 9681265005
N/A
COOF 9681265005
000000000
729015.66000000
PA
USD
44588.36000000
0.001427035617
Long
ABS-MBS
CORP
US
N
2
2028-02-15
Fixed
2.96000000
N
N
N
N
N
N
COOF 1929207010
N/A
COOF 1929207010
000000000
1343256.46000000
PA
USD
104362.56000000
0.003340088989
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 NZD / SOLD USD
000000000
1.00000000
NC
88851.88000000
0.002843674839
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8627083.50000000
USD
14215000.00000000
NZD
2020-07-17
88851.88000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3TL8P8 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3TL8P8 IRS USD P F 1.93520 CCP LCH
000000000
770000.00000000
OU
Notional Amount
USD
-222584.39000000
-0.00712373930
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2049-12-11
0.00000000
USD
0.00000000
USD
770000.00000000
USD
-222584.39000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X2RV1 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3X2RV1 / Short: BEV3X2RV1 IRS EUR P F .38320 CCP LCH/BSV3X2RV1
000000000
454000.00000000
OU
Notional Amount
-66097.05000000
-0.00211541408
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-13
0.00000000
EUR
0.00000000
EUR
454000.00000000
EUR
-66097.05000000
N
N
N
COOF 9635435007
N/A
COOF 9635435007
000000000
2323324.72000000
PA
USD
311597.74000000
0.009972581935
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.71000000
N
N
N
N
N
N
COOF 9667855009
N/A
COOF 9667855009
000000000
1553275.18000000
PA
USD
161851.54000000
0.005180004655
Long
ABS-MBS
CORP
US
N
2
2042-10-15
Fixed
2.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CS29
37742.93000000
PA
USD
41993.97000000
0.001344003029
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
9.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X84H4 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3X84H4 IRS USD P F 1.43800 CCP LCH
000000000
780000.00000000
OU
Notional Amount
USD
-37914.63000000
-0.00121344511
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-02-18
0.00000000
USD
0.00000000
USD
780000.00000000
USD
-37914.63000000
N
N
N
FIJI GOVT INTL BOND
N/A
Fiji Government International Bond
000000000
53368000.00000000
PA
USD
53718029.50000000
1.719227650952
Long
DBT
NUSS
FJ
Y
2
2020-10-02
Fixed
6.63000000
N
N
N
N
N
N
COOF 9726965008
N/A
COOF 9726965008
000000000
598164.60000000
PA
USD
61966.52000000
0.001983217843
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-11273.98000000
-0.00036081997
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1184298.06000000
EUR
1287231.33000000
USD
2020-06-02
-11273.98000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-22033.57000000
-0.00070517707
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2314558.98000000
EUR
2515728.87000000
USD
2020-06-02
-22033.57000000
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
-1311399.08000000
-0.04197089097
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
-1311399.08000000
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
316011.92000000
0.010113856296
Long
STIV
CORP
GE
N
2
2020-06-12
Variable
7.50000000
N
N
N
N
N
N
COOF 2299707006
N/A
COOF 2299707006
000000000
943305.62000000
PA
USD
87080.48000000
0.002786981772
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
4290000.00000000
PA
1332752.73000000
0.042654307438
Long
STIV
NUSS
GE
N
2
2020-05-14
None
0.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31392ASN9
535125.17000000
PA
USD
619455.17000000
0.019825456493
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D4E2
616.41000000
PA
USD
632.25000000
0.000020234950
Long
ABS-MBS
USGSE
US
N
2
2028-05-15
Fixed
1.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
15631.78000000
0.000500289914
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
15656729.11000000
USD
24047320.00000000
AUD
2020-06-12
15631.78000000
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
535872.68000000
0.017150426726
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
535872.68000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-17909.72000000
-0.00057319462
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2040394.50000000
EUR
2218055.73000000
USD
2020-05-05
-17909.72000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
205077.24000000
0.006563428794
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2781000.00000000
OMR
7091854.95000000
USD
2021-04-26
205077.24000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
4502709000.00000000
PA
177587844.49000000
5.683639842378
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-646889.98000000
-0.02070349845
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
39088001.65000000
EUR
42242012.50000000
USD
2020-07-06
-646889.98000000
N
N
N
COOF 2235657005
N/A
COOF 2235657005
000000000
2132784.06000000
PA
USD
156314.74000000
0.005002801215
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.16000000
N
N
N
N
N
N
COOF 9632055005
N/A
COOF 9632055005
000000000
2110220.53000000
PA
USD
123148.28000000
0.003941319704
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.91000000
N
N
N
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 Term Loan
000000000
2613749.99000000
PA
USD
2434519.93000000
0.077915999886
Long
LON
CORP
KE
N
2
2020-10-26
Floating
7.69000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
1501999.40000000
PA
USD
1387694.54000000
0.044412701777
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.79000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PCY9
1859.65000000
PA
USD
1894.86000000
0.000060644363
Long
ABS-MBS
USGSE
US
N
2
2021-12-25
Fixed
8.15000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
1000000.00000000
PA
36984.24000000
0.001183668288
Long
DBT
NUSS
UA
N
2
2020-07-08
Fixed
14.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV411GK2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV411GK2 IRS USD P F .42720 CCP LCH
000000000
1940000.00000000
OU
Notional Amount
USD
-410.27000000
-0.00001313055
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-04-30
0.00000000
USD
0.00000000
USD
1940000.00000000
USD
-410.27000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
313399C47
352008.08000000
PA
USD
415763.47000000
0.013306371446
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
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
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGS1S2 CDS USD R V 03MEVENT 7BB99W/XS0113419690 CCP ICE / Short: B92RGS1S2 CDS USD P F 1.00000 CCP ICE
000000000
8250000.00000000
OU
Notional Amount
USD
101029.50000000
0.003233415513
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Qatar Government International Bond
Qatar Government International Bond
Y
buy protection
2025-06-20
318655.62000000
USD
0.00000000
USD
8250000.00000000
USD
-217626.12000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RFVHS9 CDS USD R V 03MEVENT 115CCBAF5/US105756BV13 CCP ICE / Short: B92RFVHS9 CDS USD P F 1.00000 CCP ICE
000000000
54309077.00000000
OU
Notional Amount
USD
5340863.25000000
0.170932550296
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Brazilian Government International Bond
Brazilian Government International Bond
Y
buy protection
2025-06-20
5849179.51000000
USD
0.00000000
USD
54309077.00000000
USD
-508316.26000000
N
N
N
COOF 2014207006
N/A
COOF 2014207006
000000000
200861.16000000
PA
USD
16496.11000000
0.000527952508
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1359777.72000000
0.043519233246
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
91293000.00000000
TRY
14353139.46000000
USD
2020-05-29
1359777.72000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
909838.92000000
0.029119091741
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
41310962579.00000000
KRW
34835114.75000000
USD
2020-05-12
909838.92000000
N
N
N
COOF 9329855006
N/A
COOF 9329855006
000000000
1677971.30000000
PA
USD
123288.56000000
0.003945809318
Long
ABS-MBS
CORP
US
N
2
2042-04-15
Fixed
2.46000000
N
N
N
N
N
N
Republic of Montenegro
747800V014106FYLL014
Montenegro Government International Bond
000000000
1000000.00000000
PA
1079716.48000000
0.034555966495
Long
DBT
NUSS
ME
Y
2
2025-04-21
Fixed
3.38000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-11552.53000000
-0.00036973487
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
14203000.00000000
AED
3854797.12000000
USD
2020-05-21
-11552.53000000
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
000000000
1875000.00000000
PA
USD
1887116.14000000
0.060396523823
Long
DBT
CORP
IN
Y
2
2027-11-30
Fixed
3.67000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZRUR9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZRUR9 IRS USD P F .46270 CCP LCH
000000000
2325000.00000000
OU
Notional Amount
USD
-5800.55000000
-0.00018564467
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-04-02
0.00000000
USD
0.00000000
USD
2325000.00000000
USD
-5800.55000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-191722.71000000
-0.00613602150
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
10720266.54000000
NZD
6383832.96000000
USD
2020-05-20
-191722.71000000
N
N
N
COOF 1553317009
N/A
COOF 1553317009
000000000
814507.32000000
PA
USD
88824.87000000
0.002842810393
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-2926284.09000000
-0.09365474811
N/A
DFE
BR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9913653.09000000
USD
38197000.00000000
BRL
2020-07-23
-2926284.09000000
N
N
N
COOF 2260027006
N/A
COOF 2260027006
000000000
379935.53000000
PA
USD
36041.81000000
0.001153506130
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
COOF 8397915008
N/A
COOF 8397915008
000000000
623283.35000000
PA
USD
36057.72000000
0.001154015324
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Fixed
2.63000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
678849.44000000
0.021726350332
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
134057000.00000000
PLN
30071108.12000000
EUR
2020-06-17
678849.44000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJK6
35948.62000000
PA
USD
38309.89000000
0.001226095275
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
9.50000000
N
N
N
N
N
N
Reitir fasteignafelag hf
967600GFEYNJK2W4G048
Reitir fasteignafelag hf
000000000
8110081.00000000
NS
2810236.76000000
0.089940691951
Long
EC
CORP
IS
N
2
N
N
N
COOF 1651067010
N/A
COOF 1651067010
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
1.91000000
N
N
N
N
N
N
COOF 1963907001
N/A
COOF 1963907001
000000000
1509120.59000000
PA
USD
155061.60000000
0.004962694886
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
COOF 9027485007
N/A
COOF 9027485007
000000000
1141088.07000000
PA
USD
100443.92000000
0.003214674220
Long
ABS-MBS
CORP
US
N
2
2041-12-15
Fixed
2.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JP51
266568.50000000
PA
USD
307115.54000000
0.009829130616
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
COOF 9652355009
N/A
COOF 9652355009
000000000
2054208.05000000
PA
USD
259199.83000000
0.008295604269
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.71000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359B4M6
84046.44000000
PA
USD
90998.19000000
0.002912366776
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJM8
560456.95000000
PA
USD
592311.87000000
0.018956744213
Long
ABS-MBS
USGSE
US
N
2
2028-02-17
Fixed
7.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
2044.10000000
0.000065420740
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
154000.00000000
TRY
22086.28000000
USD
2021-02-26
2044.10000000
N
N
N
UNITED REP OF TANZANIA
N/A
Tanzania Government International Bond
000000000
229.99000000
PA
USD
229.99000000
0.000007360753
Long
DBT
NUSS
TZ
Y
2
2020-03-09
Floating
7.99000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
3600000.00000000
PA
USD
3467667.60000000
0.110981547121
Long
DBT
NUSS
OM
Y
2
2021-06-15
Fixed
3.63000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-117849.86000000
-0.00377174553
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
12659000.00000000
GHS
2036846.34000000
USD
2020-06-04
-117849.86000000
N
N
N
COOF 2266577008
N/A
COOF 2266577008
000000000
2755904.12000000
PA
USD
204953.56000000
0.006559470456
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.16000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3ZN315 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3ZN315 IRS USD P F .48220 CCP LCH
000000000
4530000.00000000
OU
Notional Amount
USD
-14064.34000000
-0.00045012451
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-03-31
0.00000000
USD
0.00000000
USD
4530000.00000000
USD
-14064.34000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359HG81
172535.29000000
PA
USD
188593.05000000
0.006035857780
Long
ABS-MBS
USGSE
US
N
2
2024-05-17
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201VYZ9
215855.55000000
PA
USD
248851.75000000
0.007964417413
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
-25667.60000000
-0.00082148299
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1127500000.00000000
CRC
1950692.04000000
USD
2020-07-23
-25667.60000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BM8
1649000000.00000000
PA
36987159.30000000
1.183761720052
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
6.25000000
N
N
N
N
N
N
COOF 2160437003
N/A
COOF 2160437003
000000000
548636.60000000
PA
USD
43133.78000000
0.001380482269
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-22390.06000000
-0.00071658641
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4061000.00000000
BHD
10723442.91000000
USD
2021-03-16
-22390.06000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
5107986.00000000
PA
USD
3906535.59000000
0.125027371038
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
2.54000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X1TL3 IRS EUR R V 06MEURIB EUR006M+0BPS/ BSV3X1TL3 / Short: BEV3X1TL3 IRS EUR P F .37770 CCP LCH BSV3X1TL3
000000000
1561000.00000000
OU
Notional Amount
-224443.56000000
-0.00718324141
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-13
0.00000000
EUR
0.00000000
EUR
1561000.00000000
EUR
-224416.86000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-231981.10000000
-0.00742447787
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
830713000.00000000
JPY
7510288.40000000
USD
2020-05-21
-231981.10000000
N
N
N
COOF 7760935004
N/A
COOF 7760935004
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2041-02-15
Fixed
2.89000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3WAB66 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3WAB66 IRS USD P F 1.41300 CCP LCH
000000000
4650000.00000000
OU
Notional Amount
USD
-221272.39000000
-0.00708174917
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-02-03
0.00000000
USD
0.00000000
USD
4650000.00000000
USD
-221272.39000000
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
1815000.00000000
PA
564514.46000000
0.018067097360
Long
STIV
NUSS
GE
N
2
2020-05-07
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PMQ5
297037.72000000
PA
USD
330371.23000000
0.010573421232
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Fixed
7.50000000
N
N
N
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
16900000.00000000
OU
Notional Amount
-1981445.52000000
-0.06341550422
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
16900000.00000000
NZD
-1981445.52000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
818584.67000000
0.026198529849
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
203952000.00000000
ZAR
11710678.17000000
USD
2020-08-19
818584.67000000
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
42242857.14000000
PA
USD
40520193.43000000
1.296835301205
Long
LON
CORP
TZ
N
2
2022-06-23
Floating
7.12000000
N
N
N
N
N
N
COOF 2268427002
N/A
COOF 2268427002
000000000
1290487.92000000
PA
USD
122693.61000000
0.003926768142
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1381085.52000000
0.044201182292
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
91142000.00000000
TRY
14352956.04000000
USD
2020-05-29
1381085.52000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-816402.94000000
-0.02612870430
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2820604435.00000000
JPY
25473428.20000000
USD
2020-05-26
-816402.94000000
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31397VD87
20694176.00000000
PA
USD
1686802.98000000
0.053985567823
Long
ABS-MBS
USGSE
US
N
2
2048-02-25
Fixed
3.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1344324.45000000
0.043024656485
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
91401000.00000000
TRY
14353057.39000000
USD
2020-05-29
1344324.45000000
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31290K3N7
25.03000000
PA
USD
25.23000000
0.000000807477
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
10.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAA6
3389798.00000000
PA
USD
3254947.43000000
0.104173508897
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
1.24000000
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
2878744.03000000
PA
894475.47000000
0.028627389638
Long
STIV
CORP
GE
N
2
2020-05-26
Variable
7.50000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
453000.00000000
PA
USD
75877.50000000
0.002428434127
Long
DBT
NUSS
LB
Y
2
2030-02-26
None
0.00000000
Y
N
N
N
N
N
COOF 9602635001
N/A
COOF 9602635001
000000000
1678795.99000000
PA
USD
59912.12000000
0.001917467455
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.11000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2506439.57000000
0.080217764022
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
72337012.85000000
EUR
81884413.49000000
USD
2020-07-10
2506439.57000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A6T2
15656.77000000
PA
USD
16685.74000000
0.000534021553
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
9.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
15988.77000000
0.000511715261
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
907828.77000000
USD
3610435000.00000000
UGX
2020-08-14
15988.77000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
167933.25000000
0.005374647759
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
16075504.81000000
EUR
17810855.55000000
USD
2020-07-17
167933.25000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3PCC44 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH / Short: BEV3PCC44 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH
000000000
4728000.00000000
OU
Notional Amount
-15521.35000000
-0.00049675563
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2029-09-12
0.00000000
EUR
0.00000000
EUR
4728000.00000000
EUR
-15521.35000000
N
N
N
COOF 9541525009
N/A
COOF 9541525009
000000000
436194.64000000
PA
USD
24678.14000000
0.000789815655
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.96000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586TAC0
14972000.00000000
PA
USD
15598503.34000000
0.499224906520
Long
DBT
NUSS
RO
Y
2
2023-08-22
Fixed
4.38000000
N
N
N
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
303220.30000000
0.009704464756
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
103617246.00000000
ZAR
5830940.11000000
USD
2020-08-31
303220.30000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
BEV3M3E11 USD PUT BRL CALL JUL20 3.570 PUT
000000000
36740000.00000000
OU
Notional Amount
USD
36.74000000
0.000001175851
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
Put
Purchased
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
FX Contract
N/A
1.00000000
NC
USD
36.74000000
0.00000000
DFE
XX
131161800.00000000
BRL
36740000.00000000
USD
2020-07-20
1.00000000
3.57000000
USD
2020-07-20
XXXX
-623624.76000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BMR3
11914.39000000
PA
USD
12735.79000000
0.000407604719
Long
ABS-MBS
USGA
US
N
2
2023-07-20
Fixed
8.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD UGX
000000000
1.00000000
NC
6362.07000000
0.000203615932
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3964490000.00000000
UGX
1036467.97000000
USD
2020-06-26
6362.07000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358R6U2
114816.62000000
PA
USD
120547.09000000
0.003858069484
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
6.68000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X7R08 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3X7R08 / Short: BEV3X7R08 IRS EUR P F .36920 CCP LCH/BSV3X7R08
000000000
3316000.00000000
OU
Notional Amount
-468023.84000000
-0.01497894719
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-02-17
0.00000000
EUR
0.00000000
EUR
3316000.00000000
EUR
-468023.84000000
N
N
N
COOF 9576235005
N/A
COOF 9576235005
000000000
1104872.37000000
PA
USD
133265.78000000
0.004265126923
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.71000000
N
N
N
N
N
N
COOF 1661267004
N/A
COOF 1661267004
000000000
1446677.34000000
PA
USD
130576.33000000
0.004179051971
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-908591.01000000
-0.02907915279
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
64093000.00000000
NZD
38394911.65000000
USD
2020-06-29
-908591.01000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-199553.54000000
-0.00638664461
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
10874000.00000000
NZD
6468235.79000000
USD
2020-07-09
-199553.54000000
N
N
N
2020-05-19
Global Macro Portfolio
James Kirchner
James Kirchner
Treasurer