0001752724-20-265638.txt : 20201221
0001752724-20-265638.hdr.sgml : 20201221
20201221102541
ACCESSION NUMBER: 0001752724-20-265638
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201031
FILED AS OF DATE: 20201221
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: 201402811
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
2020-10-31
N
3228750817.44
63723770.76
3165027046.68
0.00000000
34199979.54000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
184034135.39000000
KRW
PEN
UZS
GBP
SGD
MXN
BRL
NZD
ISK
THB
COP
CAD
EGP
USD
RSD
UAH
PHP
CLP
UYU
AUD
EUR
CNY
IDR
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
-1413960.78000000
-0.04467452439
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-06-11
0.00000000
CAD
0.00000000
CAD
41210000.00000000
CAD
-1413960.78000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
98268.57000000
0.003104825600
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7505645.00000000
TRY
943948.37000000
USD
2021-02-26
98268.57000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359A2R9
19844.58000000
PA
USD
21075.23000000
0.000665878353
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJK6
20704.26000000
PA
USD
22233.79000000
0.000702483412
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
9.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A6T2
10695.94000000
PA
USD
11373.71000000
0.000359355854
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
9.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV48HWW6 TRS USD R F .00000 / Short: BEV48HWW6 TRS USD P E GCG120212 GOLD 100 OZ FEB21
000000000
9513600.00000000
OU
Notional Amount
USD
455040.00000000
0.014377128324
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Gold (100 oz)
GCG1 Comdty
Y
equity-performance leg
2021-01-29
0.00000000
USD
0.00000000
USD
9513600.00000000
USD
455040.00000000
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
2108.89000000
0.000066631026
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
-62539.10000000
USD
3290000.00000000
USD
64647.99000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
197.06000000
0.000006226171
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5284000.00000000
PHP
108816.08000000
USD
2021-01-27
197.06000000
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
198660.01000000
0.006276723929
N/A
DFE
KR
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
5217944.75000000
USD
6159176412.00000000
KRW
2020-12-10
198660.01000000
N
N
N
Piraeus Bank SA
M6AD1Y1KW32H8THQ6F76
Piraeus Bank SA
000000000
716900.00000000
NS
551469.63000000
0.017423852051
Long
EC
CORP
GR
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV431TC4 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV431TC4 IRS USD P F .79570 2 CCPVANILLA
000000000
4475000.00000000
OU
Notional Amount
USD
28598.56000000
0.000903580272
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-11
0.00000000
USD
0.00000000
USD
4475000.00000000
USD
28598.56000000
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
-73841.47000000
-0.00233304388
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-01-09
0.00000000
USD
0.00000000
USD
465921.00000000
USD
-73841.47000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D2Y0
1478.62000000
PA
USD
1609.20000000
0.000050843167
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
11.03000000
N
N
N
N
N
N
COOF 9032505005
N/A
COOF 9032505005
000000000
1355360.72000000
PA
USD
156610.81000000
0.004948166561
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.96000000
N
N
N
N
N
N
COOF 1283797001
N/A
COOF 1283797001
000000000
858021.80000000
PA
USD
111392.41000000
0.003519477349
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.91000000
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
-108045.48000000
-0.00341373006
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-30
0.00000000
USD
0.00000000
USD
2344000.00000000
USD
-108045.48000000
N
N
N
COOF 2230627008
N/A
COOF 2230627008
000000000
1256433.19000000
PA
USD
112468.70000000
0.003553483061
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV41GL80 IRS CLP R F .00000 / Short: BEV41GL80 IRS CLP P V 06MCLICP CLICP+0BPS+1D COMPOUNDING
000000000
6143583572.00000000
OU
Notional Amount
252110.17000000
0.007965498123
N/A
DIR
CL
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2025-05-13
0.00000000
CLP
0.00000000
CLP
6143583572.00000000
CLP
252110.17000000
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
-231461.03000000
-0.00731308221
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-12
0.00000000
USD
0.00000000
USD
2390000.00000000
USD
-231461.03000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
27506000.00000000
PA
33424921.82000000
1.056070653647
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
Reitir fasteignafelag hf
967600GFEYNJK2W4G048
Reitir fasteignafelag hf
000000000
6661681.00000000
NS
2170577.49000000
0.068580061338
Long
EC
CORP
IS
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W6C8
609055.90000000
PA
USD
706931.24000000
0.022335709286
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
COOF 2303637002
N/A
COOF 2303637002
000000000
346705.11000000
PA
USD
56897.71000000
0.001797700593
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
COOF 9602635001
N/A
COOF 9602635001
000000000
1661372.99000000
PA
USD
68705.56000000
0.002170773234
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.11000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BEV1SRAX0 CDS USD R V 03MEVENT GOLD QATAR CDS 20201220 / Short: BEV1SRAX0 CDS USD P F 1.00000 GOLD QATAR CDS 20201220
000000000
9740000.00000000
OU
Notional Amount
USD
-12136.04000000
-0.00038344190
N/A
DCR
QA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Croatia Government International Bond
Croatia Government International Bond
Y
buy protection
2020-12-20
4200.14000000
USD
0.00000000
USD
9740000.00000000
USD
-16336.18000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-17277.75000000
-0.00054589580
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3182513.42000000
USD
11444000.00000000
PEN
2020-11-05
-17277.75000000
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
-12.46000000
-0.00000039367
N/A
DCR
QA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Qatar Government International Bond
Qatar Government International Bond
Y
buy protection
2020-12-20
3.40000000
USD
0.00000000
USD
10000.00000000
USD
-15.86000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV46LPN7 TRS USD R F .00000 / Short: BEV46LPN7 TRS USD P E GCG120212 GOLD100 OZ FEB21
000000000
15480000.00000000
OU
Notional Amount
USD
382400.00000000
0.012082045251
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Gold (100 oz)
GCG1 Comdty
Y
equity-performance leg
2021-01-29
0.00000000
USD
0.00000000
USD
15480000.00000000
USD
382400.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DQC8
256227.50000000
PA
USD
296988.84000000
0.009383453462
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
7.00000000
N
N
N
N
N
N
COOF 1368227004
N/A
COOF 1368227004
000000000
341690.62000000
PA
USD
46722.08000000
0.001476198443
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
3.16000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
41795948.40000000
PA
40215420.29000000
1.270618534909
Long
DBT
NUSS
NZ
Y
2
2035-09-20
Fixed
2.50000000
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
Hagar hf
635400TICHH43JJTNP54
Hagar hf
000000000
11272419.00000000
NS
4344061.56000000
0.137251956963
Long
EC
CORP
IS
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RH4QV0 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RH4QV0 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
25681000.00000000
OU
Notional Amount
USD
-359302.87000000
-0.01135228434
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Mexico Government International Bond
Mexico Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-749124.83000000
USD
25681000.00000000
USD
389821.96000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BEV49YJF0 TRS USD R F .00000 CNY SZCOMP+0BPS / Short: BEV49YJF0 TRS USD P V 03MLIBOR US0003M-1400BPS
000000000
1.00000000
NC
N/A
-264971.29000000
-0.00837184915
N/A
DFE
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
10079541.56000000
USD
10079541.56000000
USD
2021-04-16
-264971.29000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
33076.83000000
0.001045072585
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1700000.00000000
TRY
224620.08000000
USD
2021-02-26
33076.83000000
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
-279317.39000000
-0.00882511858
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-13
0.00000000
EUR
0.00000000
EUR
1821000.00000000
EUR
-279317.39000000
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-285669.80000000
-0.00902582492
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
368410000.00000000
AED
100000000.00000000
USD
2021-04-05
-285669.80000000
N
N
N
Alpha Bank AE
5299009N55YRQC69CN08
Alpha Bank AE
000000000
1247900.00000000
NS
635026.84000000
0.020063867721
Long
EC
CORP
GR
N
2
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
WTI CRUDE FUTURE DEC20 IFEU 20201119
000000000
-111.00000000
NC
USD
557044.73000000
0.017599999045
N/A
DCO
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Short
WTI Crude Oil
ENZ0 Comdty
2020-11-19
-4529734.73000000
USD
557044.73000000
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
-3301.57000000
-0.00010431411
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-04-01
0.00000000
USD
0.00000000
USD
665000.00000000
USD
-3301.57000000
N
N
N
IRSA Inversiones y Representaciones SA
549300QJINFBX83IZ837
IRSA Inversiones y Representaciones SA
450047204
129417.00000000
NS
USD
474960.39000000
0.015006519154
Long
EC
CORP
AR
N
1
N
N
N
KINGDOM OF JORDAN
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
1638000.00000000
PA
USD
1653095.23000000
0.052230050663
Long
DBT
NUSS
JO
Y
2
2030-07-07
Fixed
5.85000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV486088 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV486088 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
3100000.00000000
OU
Notional Amount
USD
-41685.70000000
-0.00131707247
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Vietnam Government International Bond
Vietnam Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-41003.53000000
USD
3100000.00000000
USD
-682.17000000
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
3645000.00000000
PA
USD
3340223.33000000
0.105535380290
Long
DBT
NUSS
OM
Y
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
8211.89000000
0.000259457182
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1127500000.00000000
CRC
1855356.26000000
USD
2021-01-21
8211.89000000
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
-5237181.72000000
-0.16547036226
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-01-09
0.00000000
NZD
0.00000000
NZD
39000000.00000000
NZD
-5237181.72000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S91ZBVX09 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S91ZBVX09 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
7810000.00000000
OU
Notional Amount
USD
-326871.93000000
-0.01032761885
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Turkey Government International Bond
Turkey Government International Bond
Y
sell protection
2021-12-20
0.00000000
USD
-348641.42000000
USD
7810000.00000000
USD
21769.49000000
N
N
N
COOF 1985837005
N/A
COOF 1985837005
000000000
1721443.79000000
PA
USD
232116.49000000
0.007333791673
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJG1
262396.79000000
PA
USD
274029.39000000
0.008658042599
Long
ABS-MBS
USGSE
US
N
2
2024-08-17
Fixed
6.00000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT2
69354WAD8
8064000.00000000
PA
USD
7804628.70000000
0.246589636830
Long
ABS-O
CORP
US
N
2
2025-08-25
Floating
2.80000000
N
N
N
N
N
N
COOF 2326577000
N/A
COOF 2326577000
000000000
2191388.45000000
PA
USD
298691.52000000
0.009437250159
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PK46
17242.05000000
PA
USD
17353.93000000
0.000548302739
Long
ABS-MBS
USGSE
US
N
2
2021-10-17
Fixed
9.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-66054.06000000
-0.00208699827
N/A
DFE
RU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3094164.52000000
USD
240726000.00000000
RUB
2020-11-09
-66054.06000000
N
N
N
COOF 2014207006
N/A
COOF 2014207006
000000000
198097.98000000
PA
USD
18010.99000000
0.000569062751
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
18400.00000000
NS
250017.54000000
0.007899380836
Long
EC
CORP
FR
N
2
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
-30290.32000000
-0.00095703194
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-08-23
0.00000000
USD
0.00000000
USD
750000.00000000
USD
-30290.32000000
N
N
N
COOF 2231357001
N/A
COOF 2231357001
000000000
1695069.42000000
PA
USD
246394.84000000
0.007784920519
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
1570000.00000000
PA
483508.35000000
0.015276594571
Long
STIV
NUSS
GE
N
2
2020-12-03
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F4ZS4
14517271.60000000
PA
USD
1521221.34000000
0.048063454673
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV41M4D5 IRS COP R V 00MDTF DTF RATE 90D NONCOMPOUNDING / Short: BEV41M4D5 IRS COP P F 3.54000 CCP CME
000000000
7936810000.00000000
OU
Notional Amount
-52552.62000000
-0.00166041614
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-14
0.00000000
COP
0.00000000
COP
7936810000.00000000
COP
-52552.62000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV41M2V7 IRS CLP R F .00000 CLF LEG-0.855FIXED / Short: BEV41M2V7 IRS CLP P V 00MCLOIS CLICP+0BPS 1D COMPOUNDING
000000000
6143583572.28000000
OU
Notional Amount
201798.73000000
0.006375892749
N/A
DIR
CL
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2025-05-14
0.00000000
CLP
0.00000000
CLP
6143583572.28000000
CLP
201798.73000000
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
-71888.79000000
-0.00227134836
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-12-06
0.00000000
USD
0.00000000
USD
568368.00000000
USD
-71888.79000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DJ50
350.92000000
PA
USD
389.67000000
0.000012311743
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
9.50000000
N
N
N
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
-12637.49000000
-0.00039928537
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-22
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-12637.49000000
N
N
N
ALAM SYNERGY PTE LTD
254900JU5LO6H7HSUP96
Alam Synergy Pte Ltd
000000000
6700000.00000000
PA
USD
4713667.15000000
0.148929758908
Long
DBT
CORP
SG
Y
2
2022-04-24
Fixed
6.63000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
13438.55000000
0.000424595107
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
562800000.00000000
CRC
938437.94000000
USD
2020-11-10
13438.55000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV47PJL8 IRS MXN R F 4.42000 2 CCPVANILLA / Short: SEV47PJL8 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
699100000.00000000
OU
Notional Amount
-8845.41000000
-0.00027947344
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2021-09-01
0.00000000
MXN
0.00000000
MXN
699100000.00000000
MXN
-8845.41000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
34779.36000000
0.001098864543
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1500000000.00000000
CRC
2499458.45000000
USD
2020-11-24
34779.36000000
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
-519169.36000000
-0.01640331511
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-12-06
0.00000000
USD
0.00000000
USD
4059770.00000000
USD
-519169.36000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
45250000.00000000
PA
2756282.44000000
0.087085588822
Long
STIV
NUSS
EG
N
2
2021-03-23
None
0.00000000
N
N
N
N
N
N
Republic of Armenia
5299000H77JSW90G7935
Republic of Armenia International Bond
000000000
2450000.00000000
PA
USD
2644064.50000000
0.083540028600
Long
DBT
NUSS
AM
Y
2
2025-03-26
Fixed
7.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJK2
97956.75000000
PA
USD
105905.90000000
0.003346129383
Long
ABS-MBS
USGSE
US
N
2
2026-06-17
Fixed
7.50000000
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
427624.10000000
0.013510914557
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-04-29
0.00000000
USD
0.00000000
USD
3430000.00000000
USD
427624.10000000
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
142462.70000000
0.004501152688
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
166200.25000000
USD
0.00000000
USD
8022000.00000000
USD
-23737.55000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED EUR / SOLD RSD
000000000
1.00000000
NC
N/A
128.07000000
0.000004046410
N/A
DFE
XX
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
1737726598.00000000
RSD
14742738.59000000
EUR
2021-01-26
128.07000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
13905.71000000
0.000439355171
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
45400000.00000000
RUB
584740.34000000
USD
2020-11-13
13905.71000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
498433.42000000
0.015748156734
N/A
DFE
ZA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
15234622.42000000
USD
257360000.00000000
ZAR
2020-12-17
498433.42000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
27526.73000000
0.000869715474
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3600000.00000000
EUR
4222761.84000000
USD
2020-11-30
27526.73000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373RUM9
28630.93000000
PA
USD
30450.50000000
0.000962092884
Long
ABS-MBS
USGA
US
N
2
2023-10-26
Fixed
6.45000000
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 REMICS
3133T6UU3
31041.76000000
PA
USD
34212.42000000
0.001080951900
Long
ABS-MBS
USGSE
US
N
2
2026-02-15
Fixed
6.50000000
N
N
N
N
N
N
JUMBO SA
549300TGIVUUMY40MZ05
JUMBO SA
000000000
67891.00000000
NS
951582.71000000
0.030065547496
Long
EC
CORP
GR
N
2
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED OMR / SOLD USD
000000000
1.00000000
NC
139169.50000000
0.004397103024
N/A
DFE
OM
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
5469934.31000000
USD
2165000.00000000
OMR
2021-02-16
139169.50000000
N
N
N
COOF 2148227007
N/A
COOF 2148227007
000000000
1278686.86000000
PA
USD
82976.46000000
0.002621666695
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.96000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
2978759.67000000
0.094114825120
N/A
DFE
EG
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
26999673.77000000
USD
489295000.00000000
EGP
2021-03-08
2978759.67000000
N
N
N
COOF 9579435001
N/A
COOF 9579435001
000000000
1140576.57000000
PA
USD
118555.46000000
0.003745796110
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 GHS
000000000
1.00000000
NC
-73689.26000000
-0.00232823476
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9254000.00000000
GHS
1380699.45000000
USD
2021-05-24
-73689.26000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225BTN8
57705.08000000
PA
USD
64126.42000000
0.002026093902
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
7.50000000
N
N
N
N
N
N
NEDER FINANCIERINGS-MAAT
XTC5E2QFTEF0435JWL77
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV
000000000
143000000000.00000000
PA
13732465.63000000
0.433881462226
Long
DBT
NUSS
NL
N
2
2022-12-08
Fixed
15.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4A9RV9 TRS USD R E BEV4A9RW7 EQUITYTRS / Short: BEV4A9RV9 TRS USD P F .24000 BEV4A9RX5 EQUITYTRS
000000000
44600000.00000000
OU
Notional Amount
USD
-1193876.72000000
-0.03772090103
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 4 Month Forward
BCOMF4 Index
Y
equity-performance leg
2020-12-17
0.00000000
USD
0.00000000
USD
44600000.00000000
USD
-1193876.72000000
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
175518.49000000
0.005545560509
N/A
DFE
KR
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
7972365.77000000
USD
9264416000.00000000
KRW
2020-12-01
175518.49000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406C7A0
459921.90000000
PA
USD
506657.85000000
0.016008010122
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Floating
6.33000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV43KZH4 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV43KZH4 IRS USD P F .72420 2 CCPVANILLA
000000000
10808000.00000000
OU
Notional Amount
USD
143468.09000000
0.004532918293
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-19
0.00000000
USD
0.00000000
USD
10808000.00000000
USD
143468.09000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-39598.25000000
-0.00125111885
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
7985000.00000000
GHS
1193572.50000000
USD
2021-07-01
-39598.25000000
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
2468128572.00000000
PA
77064688.95000000
2.434882476939
Long
DBT
NUSS
TH
Y
2
2028-03-12
Fixed
1.25000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
295900000.00000000
PA
17394158.08000000
0.549573757931
Long
STIV
NUSS
EG
N
2
2021-06-29
None
0.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1548798.12000000
0.048934751493
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
202554840.31000000
EUR
237594680.60000000
USD
2020-11-30
1548798.12000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR DEC20 XOSE 20201210
000000000
102.00000000
NC
-357244.46000000
-0.01128724825
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Long
TOPIX Index
TPZ0 Index
2020-12-10
1650658000.00000000
JPY
-357244.46000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
3446000.00000000
PA
USD
512592.50000000
0.016195517208
Long
DBT
NUSS
LB
N
2
2024-12-03
None
0.00000000
Y
N
N
N
N
N
COOF 2266577008
N/A
COOF 2266577008
000000000
2726867.97000000
PA
USD
221129.38000000
0.006986650563
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.16000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
28560000.00000000
PA
41316897.79000000
1.305420054256
Long
DBT
NUSS
RO
Y
2
2049-04-03
Fixed
4.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HEA7
87677.10000000
PA
USD
92564.24000000
0.002924595544
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
6.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-17277.75000000
-0.00054589580
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3182513.42000000
USD
11444000.00000000
PEN
2020-11-05
-17277.75000000
N
N
N
COOF 8887125010
N/A
COOF 8887125010
000000000
751995.14000000
PA
USD
54947.06000000
0.001736069208
Long
ABS-MBS
CORP
US
N
2
2027-05-15
Fixed
3.78000000
N
N
N
N
N
N
COOF 2121127001
N/A
COOF 2121127001
000000000
1066442.38000000
PA
USD
165697.79000000
0.005235272481
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
5820000.00000000
PA
1764018.58000000
0.055734707918
Long
DBT
NUSS
GE
N
2
2023-09-27
Fixed
7.38000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
2859650000.00000000
PA
30674291.78000000
0.969163654136
Long
DBT
NUSS
RS
N
2
2026-01-11
Fixed
4.50000000
N
N
N
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
3982000.00000000
PA
1213744.68000000
0.038348635322
Long
STIV
NUSS
GE
N
2
2021-01-14
None
0.00000000
N
N
N
N
N
N
COOF 9482625003
N/A
COOF 9482625003
000000000
730864.68000000
PA
USD
82204.68000000
0.002597282070
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
15052000.00000000
PA
USD
16651397.07000000
0.526105996075
Long
DBT
NUSS
BH
Y
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-521505.53000000
-0.01647712712
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4820107.67000000
USD
39693269.00000000
TRY
2021-05-17
-521505.53000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4A9R56 TRS USD R F .00000 BEV4A9R72 COMMODITYTRS / Short: BEV4A9R56 TRS USD P E BEV4A9R64 COMMODITYTRS
000000000
35100000.00000000
OU
Notional Amount
USD
947836.47000000
0.029947183895
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2020-12-17
0.00000000
USD
0.00000000
USD
35100000.00000000
USD
947836.47000000
N
N
N
Vietnam Technological & Commercial Joint Stock Bank
5493001XNKHV3FNIUD50
Vietnam Technological & Commercial Joint Stock Bank
000000000
781800.00000000
NS
770401.38000000
0.024341067821
Long
EC
CORP
VN
N
2
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MAE96
2103906.93000000
PA
USD
2423685.42000000
0.076577083994
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
7.50000000
N
N
N
N
N
N
COOF 2093807006
N/A
COOF 2093807006
000000000
721310.60000000
PA
USD
52870.98000000
0.001670474824
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.21000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1985860.07000000
0.062743857815
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
64075000.00000000
TRY
9205350.61000000
USD
2021-02-26
1985860.07000000
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
-120738.69000000
-0.00381477593
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-12-12
0.00000000
USD
0.00000000
USD
770000.00000000
USD
-120738.69000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
39000000.00000000
PA
1474138.48000000
0.046575857275
Long
DBT
NUSS
UA
N
2
2022-01-05
Fixed
17.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV43KS58 IRS USD R V 03MLIBOR US0003M+0BPS / Short: BEV43KS58 IRS USD P F .71770 CCPLCH
000000000
4394000.00000000
OU
Notional Amount
USD
61025.06000000
0.001928105482
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-19
0.00000000
USD
0.00000000
USD
4394000.00000000
USD
61025.06000000
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
2671988323.00000000
PA
21803955.04000000
0.688902645014
Long
DBT
NUSS
IS
N
2
2028-11-15
Fixed
5.00000000
N
N
N
N
N
N
WOW AIR EHF
549300LW49V05P8Z2H93
Wow Air hf
000000000
3600000.00000000
PA
0.05000000
0.000000001579
Long
DBT
CORP
IS
N
3
2023-09-24
None
0.00000000
Y
N
N
N
N
N
CBB INTL SUKUK PRGM SPC
5493006IRJ2IWXTNIM16
CBB International Sukuk Programme Co SPC
000000000
7080000.00000000
PA
USD
7654365.00000000
0.241842009155
Long
DBT
CORP
BH
Y
2
2024-11-14
Fixed
6.25000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
140000.00000000
NS
280357.73000000
0.008857988442
Long
EC
CORP
ES
N
2
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
48055.79000000
0.001518337419
N/A
DFE
ID
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3068212.19000000
USD
46357618000.00000000
IDR
2021-01-04
48055.79000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
88221.02000000
0.002787370177
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
9400000.00000000
TRY
1170734.43000000
USD
2021-01-13
88221.02000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
134350000.00000000
PA
8435927.64000000
0.266535720408
Long
STIV
NUSS
EG
N
2
2020-12-29
None
0.00000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
184700000.00000000
PA
11222968.33000000
0.354593125571
Long
STIV
NUSS
EG
N
2
2021-03-30
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV48DHJ1 TRS USD R E PRECIOUS METAL SWAP (GOLD) / Short: BEV48DHJ1 TRS USD P F .00000 PRECIOUS METAL SWAP (GOLD)
000000000
6275200.00000000
OU
Notional Amount
USD
6013984.00000000
0.190013668486
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Precious Metal Swap (Gold)
Precious Metal Swap (Gold)
Y
equity-performance leg
2021-02-02
6275200.00000000
USD
0.00000000
USD
6275200.00000000
USD
-261216.00000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
2952000.00000000
PA
USD
422490.24000000
0.013348708676
Long
DBT
NUSS
LB
Y
2
2028-03-20
None
0.00000000
Y
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
-2843628.44000000
-0.08984531247
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
2046-09-21
0.00000000
USD
-1419077.12000000
USD
8499856.00000000
USD
-1424551.32000000
N
N
N
Eik fasteignafelag hf
2138005WRSDC4DI3BJ43
Eik fasteignafelag hf
000000000
42391952.00000000
NS
2191560.70000000
0.069243032292
Long
EC
CORP
IS
N
2
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
-674474.58000000
-0.02131023116
N/A
DIR
CD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-19
0.00000000
CAD
0.00000000
CAD
20350000.00000000
CAD
-674474.58000000
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
N/A
N/A
Y
2024-08-26
0.00000000
EUR
0.00000000
EUR
2500000.00000000
EUR
-2.65000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-30456.86000000
-0.00096229383
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4061000.00000000
BHD
10723442.91000000
USD
2021-03-16
-30456.86000000
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
-2421.04000000
-0.00007649350
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-04-30
0.00000000
USD
0.00000000
USD
1940000.00000000
USD
-2421.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373HXY7
451896.83000000
PA
USD
468826.22000000
0.014812708172
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Floating
3.37000000
N
N
N
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
N/A
N/A
Y
2050-02-12
0.00000000
EUR
0.00000000
EUR
1847000.00000000
EUR
-0.41000000
N
N
N
Coteccons Construction JSC
N/A
Coteccons Construction JSC
000000000
133000.00000000
NS
324049.57000000
0.010238445524
Long
EC
CORP
VN
N
2
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
COOF 1738297001
N/A
COOF 1738297001
000000000
955565.84000000
PA
USD
118781.79000000
0.003752947075
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 TRY
000000000
1.00000000
NC
484021.57000000
0.015292809914
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
24718000.00000000
TRY
3160869.57000000
USD
2021-05-17
484021.57000000
N
N
N
COOF 8430145005
N/A
COOF 8430145005
000000000
848968.46000000
PA
USD
65390.59000000
0.002066035741
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Fixed
2.53000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BD3
248570676.02000000
PA
6528015.89000000
0.206254663663
Long
DBT
NUSS
UY
N
2
2028-12-15
Fixed
4.38000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-6972.91000000
-0.00022031122
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1277879.75000000
USD
4595000.00000000
PEN
2020-11-05
-6972.91000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-129478.40000000
-0.00409090974
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
2165000.00000000
OMR
5479625.41000000
USD
2021-02-16
-129478.40000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-79093.98000000
-0.00249899854
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5116000.00000000
BHD
13404844.94000000
USD
2022-03-16
-79093.98000000
N
N
N
COOF 9626165007
N/A
COOF 9626165007
000000000
2342709.17000000
PA
USD
188836.73000000
0.005966354385
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
2.11000000
N
N
N
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
843000.00000000
PA
252536.19000000
0.007978958355
Long
STIV
NUSS
GE
N
2
2021-04-08
None
0.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31397UBN8
3227981.15000000
PA
USD
4339246.59000000
0.137099826510
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Floating
13.05000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
92950000.00000000
PA
5305356.76000000
0.167624373559
Long
STIV
NUSS
EG
N
2
2021-09-28
None
0.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
19982000.00000000
PA
USD
20190731.97000000
0.637932367471
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4701W8 IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BEV4701W8 IRS CAD P F 1.03250 2 CCPVANILLA
000000000
8660000.00000000
OU
Notional Amount
63355.21000000
0.002001727285
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-08-19
121.20000000
CAD
0.00000000
CAD
8660000.00000000
CAD
63263.39000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-110777.77000000
-0.00350005760
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
12641000.00000000
GHS
1863080.32000000
USD
2021-06-07
-110777.77000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
686.52000000
0.000021690809
N/A
DFE
CN
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
941766.60000000
USD
6347509.73000000
CNY
2021-01-21
686.52000000
N
N
N
COOF 9679295004
N/A
COOF 9679295004
000000000
691600.83000000
PA
USD
83136.90000000
0.002626735846
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-938765.39000000
-0.02966058034
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
18170000.00000000
OMR
46099200.81000000
USD
2021-03-10
-938765.39000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
205868.09000000
0.006504465426
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
16406441.54000000
NZD
11054118.90000000
USD
2020-12-02
205868.09000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-6972.91000000
-0.00022031122
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1277879.75000000
USD
4595000.00000000
PEN
2020-11-05
-6972.91000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
17077.02000000
0.000539553683
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3109637.52000000
USD
3554222400.00000000
KRW
2021-01-19
17077.02000000
N
N
N
Grupo Kaltex SA de CV
4469000001BKEKA98385
Grupo Kaltex SA de CV
000000000
781000.00000000
PA
USD
490878.03000000
0.015509441870
Long
DBT
CORP
MX
Y
2
2022-04-11
Fixed
8.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV43ZR49 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV43ZR49 IRS USD P F .67150 2 CCPVANILLA
000000000
3600000.00000000
OU
Notional Amount
USD
66317.00000000
0.002095305949
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-26
0.00000000
USD
0.00000000
USD
3600000.00000000
USD
66317.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKZC2
1272439.30000000
PA
USD
1435274.25000000
0.045347930012
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-25291.32000000
-0.00079908701
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3039167.00000000
BHD
8023144.14000000
USD
2021-03-11
-25291.32000000
N
N
N
COOF 9748825002
N/A
COOF 9748825002
000000000
1222006.41000000
PA
USD
64064.88000000
0.002024149527
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.46000000
N
N
N
N
N
N
COOF 2005677005
N/A
COOF 2005677005
000000000
481850.18000000
PA
USD
57474.86000000
0.001815935824
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4A9RQ0 TRS USD R F .00000 BEV4A9RS6 COMMODITYTRS / Short: BEV4A9RQ0 TRS USD P E BEV4A9RR8 COMMODITYTRS
000000000
38200000.00000000
OU
Notional Amount
USD
1031549.02000000
0.032592107580
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2020-12-17
0.00000000
USD
0.00000000
USD
38200000.00000000
USD
1031549.02000000
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
535847.69000000
0.016930272067
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-20
0.00000000
USD
0.00000000
USD
32860000.00000000
USD
535847.69000000
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
3797863.59000000
0.119994664626
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2042-10-15
0.00000000
EUR
0.00000000
EUR
13427000.00000000
EUR
3797863.59000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV48DAH2 TRS USD R F .00000 / Short: BEV48DAH2 TRS USD P E GCG120212 GOLD100 OZ FEB21
000000000
15816000.00000000
OU
Notional Amount
USD
718400.00000000
0.022698068275
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Gold (100 oz)
GCG1 Comdty
Y
equity-performance leg
2021-01-29
0.00000000
USD
0.00000000
USD
15816000.00000000
USD
718400.00000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-101220.71000000
-0.00319809936
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
12659000.00000000
GHS
1878189.91000000
USD
2021-06-04
-101220.71000000
N
N
N
COOF 9595035010
N/A
COOF 9595035010
000000000
1138126.55000000
PA
USD
161801.96000000
0.005112182537
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
3.46000000
N
N
N
N
N
N
TITULO PROPIEDAD UD
N/A
Titulo de Propriedad
000000000
1686457474.40000000
PA
2635237.08000000
0.083261123558
Long
DBT
NUSS
CR
N
2
2022-01-12
Fixed
1.00000000
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
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
-304133.24000000
-0.00960918297
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-09
0.00000000
USD
0.00000000
USD
3590000.00000000
USD
-304133.24000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-452558.51000000
-0.01429872488
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9138750.00000000
OMR
23189499.86000000
USD
2021-03-29
-452558.51000000
N
N
N
COOF 2259587002
N/A
COOF 2259587002
000000000
386420.93000000
PA
USD
51188.51000000
0.001617316668
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
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
-319602.64000000
-0.01009794340
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-21
0.00000000
EUR
-97546.95000000
EUR
7400000.00000000
EUR
-190122.06000000
N
N
N
COOF 2371767008
N/A
COOF 2371767008
000000000
1554535.24000000
PA
USD
219603.02000000
0.006938424751
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
COOF 8557585005
N/A
COOF 8557585005
000000000
433275.75000000
PA
USD
83423.78000000
0.002635799908
Long
ABS-MBS
CORP
US
N
2
2042-06-15
Fixed
3.78000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-3398.01000000
-0.00010736116
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
31417857.31000000
CNY
4661401.09000000
USD
2021-01-21
-3398.01000000
N
N
N
COOF 2045537003
N/A
COOF 2045537003
000000000
1860599.21000000
PA
USD
138977.82000000
0.004391046836
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
1.91000000
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
-242986.62000000
-0.00767723676
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2047-08-25
0.00000000
USD
0.00000000
USD
6072000.00000000
USD
-242986.62000000
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
-499339.54000000
-0.01577678587
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-03-11
0.00000000
USD
0.00000000
USD
2804500.00000000
USD
-499339.54000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CLR2
251486.81000000
PA
USD
275211.47000000
0.008695390779
Long
ABS-MBS
USGA
US
N
2
2025-12-20
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV457550 IRS BRL R F 2.91520 2 CCPNDFPREDISWAP / Short: SEV457550 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
1189580000.00000000
OU
Notional Amount
-636472.31000000
-0.02010953778
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
1189580000.00000000
BRL
-636472.31000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-3038021.45000000
-0.09598721923
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1568645212.00000000
ZAR
92857155.41000000
USD
2020-12-17
-3038021.45000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359BMV6
291551.94000000
PA
USD
312139.85000000
0.009862154269
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Fixed
7.00000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
176875000.00000000
PA
11008143.24000000
0.347805660983
Long
STIV
NUSS
EG
N
2
2021-01-12
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6P6
135340.09000000
PA
USD
149588.69000000
0.004726300527
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
9.00000000
N
N
N
N
N
N
Bank of Industry Limited
5493006N5JD4B34R6G14
Bank Of Industry Limited Syndicated Term Loan Facility
000000000
6095000.00000000
PA
USD
5901416.71000000
0.186457070444
Long
LON
CORP
NG
N
2
2021-04-11
Floating
6.22000000
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
-488475.97000000
-0.01543354804
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-17
0.00000000
EUR
0.00000000
EUR
3316000.00000000
EUR
-488475.97000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4180U2 TRS COP R V 00MDTF DTF RATE 90D NONCOMPOUNDING / Short: BEV4180U2 TRS COP P F 3.85000 CCP CME
000000000
10940900000.00000000
OU
Notional Amount
-113756.58000000
-0.00359417402
N/A
DE
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Colombia Overnight Nominal Interbank Reference Rate
COOVIBR Index
Y
equity-performance leg
2025-05-06
0.00000000
COP
0.00000000
COP
10940900000.00000000
COP
-113756.58000000
N
N
N
COOF 2006697002
N/A
COOF 2006697002
000000000
1598353.50000000
PA
USD
133716.75000000
0.004224821716
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 OMR
000000000
1.00000000
NC
-240527.57000000
-0.00759954232
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6858000.00000000
OMR
17461489.50000000
USD
2021-05-27
-240527.57000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND DEC20 XEUR 20201208
000000000
-84.00000000
NC
-797179.68000000
-0.02518713642
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Buxl (FGBX)
UBZ0 Comdty
2020-12-08
-18531360.00000000
EUR
-797179.68000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312916XQ7
21812.48000000
PA
USD
23349.01000000
0.000737719130
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
67432124.80000000
PA
60828386.59000000
1.921891525502
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
COOF 2133857005
N/A
COOF 2133857005
000000000
825968.33000000
PA
USD
45442.01000000
0.001435754239
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.46000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-461.85000000
-0.00001459229
N/A
DFE
MX
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3317334.08000000
USD
70704000.00000000
MXN
2020-12-18
-461.85000000
N
N
N
National Bank of Greece SA
5UMCZOEYKCVFAW8ZLO05
National Bank of Greece SA
000000000
776900.00000000
NS
818182.26000000
0.025850719375
Long
EC
CORP
GR
N
2
N
N
N
MINISTRY OF FINANCE OF T
N/A
Republic of Belarus Ministry of Finance
000000000
12994000.00000000
PA
USD
12309346.14000000
0.388917565583
Long
DBT
NUSS
BY
Y
2
2031-02-24
Fixed
6.38000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
9400.00000000
NS
327822.79000000
0.010357661567
Long
EC
CORP
FR
N
2
N
N
N
Vingroup JSC
254900MJ9C15O3O1V757
Vingroup JSC
000000000
632834.00000000
NS
2911051.35000000
0.091975559989
Long
EC
CORP
VN
N
2
N
N
N
Bank of Cyprus Holdings PLC
635400L14KNHZXPUZM19
Bank of Cyprus Holdings PLC
000000000
4401002.00000000
NS
2328798.01000000
0.073579087181
Long
EC
CORP
IE
N
2
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
9190251.00000000
PA
USD
6157560.07000000
0.194549998441
Long
DBT
NUSS
EC
Y
2
2030-07-31
Variable
0.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV444P49 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV444P49 IRS USD P F .63570 2 CCPVANILLA
000000000
1311000.00000000
OU
Notional Amount
USD
28666.77000000
0.000905735387
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-30
0.00000000
USD
0.00000000
USD
1311000.00000000
USD
28666.77000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
29539.58000000
0.000933312087
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
711700000.00000000
CRC
1199379.83000000
USD
2020-11-05
29539.58000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
693998000.00000000
PA
24627501.33000000
0.778113455802
Long
DBT
NUSS
UA
N
2
2023-11-22
Fixed
11.67000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1000000.00000000
PA
USD
161440.00000000
0.005100746300
Long
DBT
NUSS
LB
Y
2
2021-04-12
None
0.00000000
Y
N
N
N
N
N
ELLAKTOR VALUE PLC
213800GIKEWMKWHBOI27
Ellaktor Value Plc
000000000
4445000.00000000
PA
4472815.32000000
0.141319971489
Long
DBT
CORP
GB
Y
2
2024-12-15
Fixed
6.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT DEC20 XCME 20201218
000000000
52.00000000
NC
USD
-339040.00000000
-0.01071207275
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
E-mini S&P 500 Index
ESZ0 Index
2020-12-18
8827260.00000000
USD
-339040.00000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
7398000.00000000
PA
USD
1100452.50000000
0.034769134158
Long
DBT
NUSS
LB
Y
2
2024-11-04
None
0.00000000
Y
N
N
N
N
N
COOF 7041165002
N/A
COOF 7041165002
000000000
1340186.11000000
PA
USD
243620.91000000
0.007697277350
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.69000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
29850000.00000000
PA
1831717.36000000
0.057873671630
Long
STIV
NUSS
EG
N
2
2021-03-02
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-536541.41000000
-0.01695219036
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4826234.19000000
USD
39611000.00000000
TRY
2021-05-17
-536541.41000000
N
N
N
COOF 1792627005
N/A
COOF 1792627005
000000000
608048.51000000
PA
USD
102475.86000000
0.003237756217
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
COOF 9723235006
N/A
COOF 9723235006
000000000
1517146.02000000
PA
USD
146850.34000000
0.004639781519
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D3W3
23747.50000000
PA
USD
25118.69000000
0.000793632712
Long
ABS-MBS
USGSE
US
N
2
2025-08-15
Fixed
7.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV43G677 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV43G677 IRS USD P F .73870 2 CCPVANILLA
000000000
1411000.00000000
OU
Notional Amount
USD
16778.77000000
0.000530130382
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
USD
0.00000000
USD
1411000.00000000
USD
16778.77000000
N
N
N
ARDSHININVESTBK (DILIJAN
549300DCGXFXAP2FEV07
Ardshinbank CJSC Via Dilijan Finance BV
000000000
8832000.00000000
PA
USD
7948800.00000000
0.251144773259
Long
DBT
CORP
NL
Y
2
2025-01-28
Fixed
6.50000000
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
-176570.14000000
-0.00557878771
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-07-23
0.00000000
EUR
-34247.15000000
EUR
3813000.00000000
EUR
-138643.56000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225ADX5
362.40000000
PA
USD
368.00000000
0.000011627072
Long
ABS-MBS
USGA
US
N
2
2021-08-15
Fixed
9.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RFVGM3 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RFVGM3 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
27265000.00000000
OU
Notional Amount
USD
-1540908.74000000
-0.04868548411
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Brazilian Government International Bond
Brazilian Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-1909872.52000000
USD
27265000.00000000
USD
368963.78000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: BEV48FRR7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV48FRR7 CDS USD P F 5.00000 2 SOVEREIGN
000000000
20000000.00000000
OU
Notional Amount
USD
876560.00000000
0.027695181970
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Ukraine Government International Bond
Ukraine Government International Bond
Y
buy protection
2025-12-20
554485.87000000
USD
0.00000000
USD
20000000.00000000
USD
322074.13000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-116897.22000000
-0.00369340350
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
56350000.00000000
SAR
14866112.65000000
USD
2022-03-24
-116897.22000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374J6U0
100540.03000000
PA
USD
101503.30000000
0.003207027886
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Floating
2.28000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92XUXPP2 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92XUXPP2 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
6273000.00000000
OU
Notional Amount
USD
209217.10000000
0.006610278424
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
buy protection
2030-12-20
197698.52000000
USD
0.00000000
USD
6273000.00000000
USD
11518.58000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV487433 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV487433 CDS USD P F 1.00000 2 SOVEREIGN
000000000
7990000.00000000
OU
Notional Amount
USD
1555221.54000000
0.049137701418
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
2030-12-20
1668664.46000000
USD
0.00000000
USD
7990000.00000000
USD
-113442.92000000
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
2922000.00000000
PA
913468.67000000
0.028861322716
Long
DBT
NUSS
GE
N
2
2023-01-25
Fixed
8.13000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
120000.00000000
PA
USD
17866.68000000
0.000564503232
Long
DBT
NUSS
LB
Y
2
2027-11-29
None
0.00000000
Y
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
157275000.00000000
PA
9276090.72000000
0.293080930532
Long
STIV
NUSS
EG
N
2
2021-06-15
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
2460388.92000000
0.077736742331
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
80289000.00000000
TRY
11506751.40000000
USD
2021-02-26
2460388.92000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3752.66000000
-0.00011856644
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
575680.51000000
USD
490780.66000000
EUR
2020-11-30
-3752.66000000
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
Komercijalna Banka AD Beograd
549300WZI2AGR4NZU538
Komercijalna Banka AD Beograd
000000000
84003.00000000
NS
2410213.23000000
0.076151426021
Long
EC
CORP
RS
N
2
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
48500000.00000000
PA
34665954.01000000
1.095281446215
Long
DBT
NUSS
AU
Y
2
2030-12-21
Fixed
1.00000000
N
N
N
N
N
N
COOF 9635435007
N/A
COOF 9635435007
000000000
2305476.14000000
PA
USD
366069.50000000
0.011566078096
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.71000000
N
N
N
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
11447000.00000000
PA
3471502.42000000
0.109683183391
Long
STIV
NUSS
GE
N
2
2021-02-11
None
0.00000000
N
N
N
N
N
N
COOF 9612715005
N/A
COOF 9612715005
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
3.21000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV41ZRM1 IRS CLP R V 00MCLOIS CLICP+0BPS CCP CME / Short: BEV41ZRM1 IRS CLP P F 1.24000 CCP CME
000000000
18672560000.00000000
OU
Notional Amount
-130392.81000000
-0.00411980081
N/A
DIR
CL
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-19
0.00000000
CLP
0.00000000
CLP
18672560000.00000000
CLP
-130392.81000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31363WDP7
1433.66000000
PA
USD
1606.03000000
0.000050743010
Long
ABS-MBS
USGSE
US
N
2
2026-07-20
Fixed
8.50000000
N
N
N
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
505645.64000000
0.015976029036
N/A
DIR
SD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-31
0.00000000
SGD
0.00000000
SGD
24900000.00000000
SGD
505645.64000000
N
N
N
COOF 9683905000
N/A
COOF 9683905000
000000000
1045813.97000000
PA
USD
118586.78000000
0.003746785675
Long
ABS-MBS
CORP
US
N
2
2042-11-15
Fixed
2.41000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2278.89000000
0.000072002228
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
298037.14000000
EUR
349594.41000000
USD
2020-11-30
2278.89000000
N
N
N
COOF 9657945008
N/A
COOF 9657945008
000000000
3324340.68000000
PA
USD
338427.17000000
0.010692710204
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.46000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV2K9EM6 IRS USD R V 00MCPURN CPURNSA+0BPS/INFLATION SWAP / Short: BEV2K9EM6 IRS USD P F 2.13250 INFLATION SWAP
000000000
6107000.00000000
OU
Notional Amount
USD
-210554.28000000
-0.00665252703
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2047-08-22
0.00000000
USD
0.00000000
USD
6107000.00000000
USD
-210554.28000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-114139.61000000
-0.00360627597
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4127974.60000000
USD
319231000.00000000
RUB
2020-11-13
-114139.61000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-298422.66000000
-0.00942875544
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
18671280.97000000
USD
15775432.21000000
EUR
2020-11-03
-298422.66000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-17920.57000000
-0.00056620590
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1095294228.00000000
PHP
22509129.22000000
USD
2021-01-11
-17920.57000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV42TLC2 IRS COP R F 3.33500 CCP CME / Short: SEV42TLC2 IRS COP P V 00MCOOIS COOVIBR+0BPS CCP CME
000000000
59477600000.00000000
OU
Notional Amount
225383.28000000
0.007121053838
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-08
0.00000000
COP
0.00000000
COP
59477600000.00000000
COP
225383.28000000
N
N
N
WOW AIR EHF
549300LW49V05P8Z2H93
Wow Air hf
000000000
79200.00000000
PA
0.00000000
0.000000
Long
DBT
CORP
IS
N
3
2099-12-31
None
0.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV42PUA4 IRS COP R F 3.19000 CCP CME / Short: SEV42PUA4 IRS COP P V 00MCOOIS COOVIBR+0BPS CCP CME
000000000
29306100000.00000000
OU
Notional Amount
63457.79000000
0.002004968332
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-04
0.00000000
COP
0.00000000
COP
29306100000.00000000
COP
63457.79000000
N
N
N
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-44753.10000000
-0.00141398791
N/A
DFE
US
N
2
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
6298000.00000000
GHS
932346.41000000
USD
2021-06-21
-44753.10000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-473864.06000000
-0.01497188027
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7981209.74000000
USD
65190000.00000000
TRY
2021-01-13
-473864.06000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1982.45000000
-0.00006263611
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1073482.15000000
USD
4467618.00000000
MYR
2020-12-02
-1982.45000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
BEV47DFT2 TRS USD R E PRECIOUS METAL SWAP (GOLD)
000000000
15362944.00000000
OU
Notional Amount
USD
15034960.00000000
0.475034171217
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Philadelphia Gold and Silver Index
XAU Index
Y
equity-performance leg
equity-performance leg
2021-02-21
15362944.00000000
USD
0.00000000
USD
15362944.00000000
USD
-327984.00000000
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
-24232.20000000
-0.00076562378
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-04-15
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
-24232.20000000
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
18000000.00000000
PA
5346222.91000000
0.168915552099
Long
STIV
NUSS
GE
N
2
2021-05-13
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
3852.13000000
0.000121709228
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
556500000.00000000
CRC
916124.78000000
USD
2021-01-13
3852.13000000
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
407372.64000000
0.012871063469
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
390819.23000000
USD
0.00000000
USD
29280000.00000000
USD
16553.41000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-461.85000000
-0.00001459229
N/A
DFE
MX
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3317334.08000000
USD
70704000.00000000
MXN
2020-12-18
-461.85000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
92599289.20000000
PA
69408353.22000000
2.192978201965
Long
DBT
NUSS
NZ
Y
2
2025-09-20
Fixed
2.00000000
N
N
N
N
N
N
Binh Minh Plastics JSC
N/A
Binh Minh Plastics JSC
000000000
39120.00000000
NS
91836.32000000
0.002901596689
Long
EC
CORP
VN
N
2
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128CUJJ6
15194.57000000
PA
USD
15526.45000000
0.000490562948
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
7.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
15191.99000000
0.000479995582
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2257835.60000000
USD
267260000.00000000
KES
2021-10-12
15191.99000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
158590.62000000
0.005010719265
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
31607518.99000000
USD
990390000.00000000
THB
2021-01-26
158590.62000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
196091.92000000
0.006195584338
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
24682000.00000000
NZD
16516567.48000000
USD
2021-01-28
196091.92000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
194675000.00000000
PA
11060728.58000000
0.349467110924
Long
STIV
NUSS
EG
N
2
2021-10-12
None
0.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
Long: SEV2346Q6 IRS USD R F 2.75000 1 CCP IRS ICE / Short: SEV2346Q6 IRS USD P V 03MLIBOR 2 CCP IRS ICE
000000000
8500000.00000000
OU
Notional Amount
USD
2843676.62000000
0.089846834736
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
N/A
N/A
Y
2046-09-21
1566747.96000000
USD
0.00000000
USD
8500000.00000000
USD
1276928.66000000
N
N
N
COOF 1814867009
N/A
COOF 1814867009
000000000
692186.36000000
PA
USD
54765.54000000
0.001730334028
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.46000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EGP
000000000
1.00000000
NC
-1501307.74000000
-0.04743427837
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
382092000.00000000
EGP
21908944.95000000
USD
2021-03-08
-1501307.74000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
264775000.00000000
PA
15543690.24000000
0.491107659136
Long
STIV
NUSS
EG
N
2
2021-07-06
None
0.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-205748.80000000
-0.00650069642
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
19200000.00000000
GBP
24672000.00000000
USD
2020-11-30
-205748.80000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-10353.31000000
-0.00032711600
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1755049.80000000
USD
6308000.00000000
PEN
2020-11-05
-10353.31000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-4185743.72000000
-0.13224985626
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
918337604.00000000
ZAR
51954514.31000000
USD
2020-12-17
-4185743.72000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV43KZE1 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV43KZE1 IRS USD P F .39020 2 CCPVANILLA
000000000
7257000.00000000
OU
Notional Amount
USD
7885.82000000
0.000249154900
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-19
0.00000000
USD
0.00000000
USD
7257000.00000000
USD
7885.82000000
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bond
000000000
1554000.00000000
PA
USD
1610192.64000000
0.050874530177
Long
DBT
NUSS
MN
Y
2
2026-04-07
Fixed
5.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133T8U70
106993.60000000
PA
USD
119218.98000000
0.003766760228
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
6.50000000
N
N
N
N
N
N
COOF 2237857010
N/A
COOF 2237857010
000000000
3568044.19000000
PA
USD
216836.17000000
0.006851005277
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
1.66000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV43YB80 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV43YB80 IRS USD P F .68920 CCP LCH
000000000
4127000.00000000
OU
Notional Amount
USD
69111.73000000
0.002183606300
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-26
0.00000000
USD
0.00000000
USD
4127000.00000000
USD
69111.73000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
51927.85000000
0.001640676342
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
56714000.00000000
TRY
6583168.89000000
USD
2021-01-13
51927.85000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJM8
443837.25000000
PA
USD
464104.81000000
0.014663533775
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
92694.65000000
0.002928715888
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
68401000.00000000
TRY
7969822.31000000
USD
2021-01-13
92694.65000000
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
N/A
N/A
Y
2029-07-23
0.00000000
EUR
0.00000000
EUR
6626700.00000000
EUR
0.00000000
N
N
N
FPT Corp
N/A
FPT Corp
000000000
503306.00000000
NS
1196362.65000000
0.037799444755
Long
EC
CORP
VN
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-95431.08000000
-0.00301517423
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2781000.00000000
OMR
7091854.95000000
USD
2021-04-26
-95431.08000000
N
N
N
COOF 2231267009
N/A
COOF 2231267009
000000000
121596.23000000
PA
USD
23603.94000000
0.000745773721
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FSQ9
248192.56000000
PA
USD
282228.00000000
0.008917080196
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV428VW3 IRS USD R V 03MLIBOR US003M+0BPS CCP LCH / Short: BEV428VW3 IRS USD P F .66700 CCP LCH
000000000
2316000.00000000
OU
Notional Amount
USD
41958.72000000
0.001325698623
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-26
0.00000000
USD
0.00000000
USD
2316000.00000000
USD
41958.72000000
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
19620000.00000000
PA
6426634.19000000
0.203051477766
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.90000000
N
N
N
N
N
N
COOF 1989537006
N/A
COOF 1989537006
000000000
770003.91000000
PA
USD
62449.32000000
0.001973105413
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
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
-705382.20000000
-0.02228676689
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-18
0.00000000
USD
0.00000000
USD
4700000.00000000
USD
-705382.20000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1982.45000000
-0.00006263611
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1073482.15000000
USD
4467618.00000000
MYR
2020-12-02
-1982.45000000
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
-83357.65000000
-0.00263371051
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-09-12
0.00000000
EUR
0.00000000
EUR
4728000.00000000
EUR
-83357.65000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
49987.86000000
0.001579381763
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2323108.88000000
USD
15897731.00000000
CNY
2020-11-09
49987.86000000
N
N
N
COOF 9667855009
N/A
COOF 9667855009
000000000
1533005.89000000
PA
USD
188637.81000000
0.005960069447
Long
ABS-MBS
CORP
US
N
2
2042-10-15
Fixed
2.91000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV48DHQ5 TRS USD R E PRECIOUS METAL SWAP (GOLD) / Short: BEV48DHQ5 TRS USD P F .00000 PRECIOUS METAL SWAP (GOLD)
000000000
15717200.00000000
OU
Notional Amount
USD
15034960.00000000
0.475034171217
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Precious Metal Swap (Gold)
Precious Metal Swap (Gold)
Y
equity-performance leg
2021-02-02
15717200.00000000
USD
0.00000000
USD
15717200.00000000
USD
-682240.00000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-132858.85000000
-0.00419771610
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4949470.89000000
USD
383078000.00000000
RUB
2020-11-13
-132858.85000000
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
448595.21000000
0.014173503208
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2047-08-04
0.00000000
EUR
0.00000000
EUR
1231000.00000000
EUR
448595.21000000
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
N/A
N/A
Y
2050-02-17
0.00000000
EUR
0.00000000
EUR
3316000.00000000
EUR
-1.11000000
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
23000000.00000000
PA
7855272.48000000
0.248189742588
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JP51
240990.73000000
PA
USD
278338.82000000
0.008794200362
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-40839.89000000
-0.00129034884
N/A
DFE
US
N
2
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
7752000.00000000
GHS
1165714.29000000
USD
2021-06-14
-40839.89000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-30496.93000000
-0.00096355985
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
196723000.00000000
UAH
6859239.89000000
USD
2020-11-06
-30496.93000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-674.87000000
-0.00002132272
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
138414.07000000
USD
498000.00000000
PEN
2020-11-05
-674.87000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359R3U4
119527.00000000
PA
USD
137639.49000000
0.004348761889
Long
ABS-MBS
USGSE
US
N
2
2028-04-18
Fixed
7.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV438PQ2 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV438PQ2 IRS USD P F .69270 2 CCPVANILLA
000000000
3281000.00000000
OU
Notional Amount
USD
53138.58000000
0.001678929728
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-16
0.00000000
USD
0.00000000
USD
3281000.00000000
USD
53138.58000000
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
-7667.21000000
-0.00024224785
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-08-26
0.00000000
EUR
0.00000000
EUR
2500000.00000000
EUR
-7667.21000000
N
N
N
Eurobank Ergasias Services and Holdings SA
JEUVK5RWVJEN8W0C9M24
Eurobank Ergasias Services and Holdings SA
000000000
2679600.00000000
NS
896083.62000000
0.028312036730
Long
EC
CORP
GR
N
2
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
-60654.40000000
-0.00191639436
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-25
0.00000000
USD
0.00000000
USD
450000.00000000
USD
-60654.40000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
95000000.00000000
PA
66675823.96000000
2.106643102147
Long
DBT
NUSS
AU
Y
2
2025-11-21
Fixed
0.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV434XT6 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV434XT6 IRS USD P F .92650 2 CCPVANILLA
000000000
1320000.00000000
OU
Notional Amount
USD
132773.35000000
0.004195014704
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-15
0.00000000
USD
0.00000000
USD
1320000.00000000
USD
132773.35000000
N
N
N
COOF 2128077002
N/A
COOF 2128077002
000000000
1605792.24000000
PA
USD
129629.92000000
0.004095697069
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359UNJ0
210926.35000000
PA
USD
239317.59000000
0.007561312635
Long
ABS-MBS
USGSE
US
N
2
2028-07-20
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV433L95 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV433L95 IRS USD P F .77420 2 CCPVANILLA
000000000
597000.00000000
OU
Notional Amount
USD
5037.38000000
0.000159157565
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-12
0.00000000
USD
0.00000000
USD
597000.00000000
USD
5037.38000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
2947000.00000000
PA
USD
439839.75000000
0.013896871764
Long
DBT
NUSS
LB
Y
2
2025-06-12
None
0.00000000
Y
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV41M2Y1 IRS CLP R V 00MCLOIS CLICP+0BPS CCP CME / Short: BEV41M2Y1 IRS CLP P F 1.41000 CCP CME
000000000
6418690000.00000000
OU
Notional Amount
-118138.18000000
-0.00373261202
N/A
DIR
CL
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-14
0.00000000
CLP
0.00000000
CLP
6418690000.00000000
CLP
-118138.18000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC20 XCBT 20201221
000000000
-93.00000000
NC
USD
337133.51000000
0.010651836620
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNZ0 Comdty
2020-12-21
-20332133.51000000
USD
337133.51000000
N
N
N
Eimskipafelag Islands Hf
549300IUR8Q7Y44KBL02
Eimskipafelag Islands Hf
000000000
2989145.00000000
NS
3969616.96000000
0.125421265014
Long
EC
CORP
IS
N
2
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
-13466.06000000
-0.00042546429
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-25
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-13466.06000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-35573.92000000
-0.00112396891
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
50749894.70000000
AED
13779124.84000000
USD
2021-04-08
-35573.92000000
N
N
N
Republic of Rwanda
213800AKFASSQE52AZ88
Rwanda International Government Bond
000000000
579000.00000000
PA
USD
610281.63000000
0.019282035224
Long
DBT
NUSS
RW
Y
2
2023-05-02
Fixed
6.63000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-32577.11000000
-0.00102928377
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4567000.00000000
GHS
677596.44000000
USD
2021-06-16
-32577.11000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
25000000.00000000
PA
955585.13000000
0.030192005183
Long
DBT
NUSS
UA
N
2
2022-05-11
Fixed
17.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE DEC20 XEUR 20201208
000000000
-75.00000000
NC
-110397.18000000
-0.00348803275
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXZ0 Comdty
2020-12-08
-13116460.00000000
EUR
-110397.18000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV47PGB3 IRS MXN R F 4.49193 2 CCPVANILLA / Short: SEV47PGB3 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
1554016000.00000000
OU
Notional Amount
-64272.81000000
-0.00203071913
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-08-31
0.00000000
MXN
0.00000000
MXN
1554016000.00000000
MXN
-64272.81000000
N
N
N
Loma Negra Cia Industrial Argentina SA
529900VKOQQJ8U9DDK92
Loma Negra Cia Industrial Argentina SA
54150E104
225800.00000000
NS
USD
966424.00000000
0.030534462604
Long
EC
CORP
AR
N
1
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
-2746544.77000000
-0.08677792415
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-02-28
0.00000000
GBP
0.00000000
GBP
23102000.00000000
GBP
-2746544.77000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-17517.77000000
-0.00055347931
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
114682000.00000000
JPY
1078061.25000000
USD
2020-11-19
-17517.77000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-152351.99000000
-0.00481360783
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5457844.91000000
USD
421960000.00000000
RUB
2020-11-13
-152351.99000000
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
129640.70000000
0.004096037666
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
145239.22000000
USD
0.00000000
USD
7300000.00000000
USD
-15598.52000000
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
-184896.67000000
-0.00584186698
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-08-06
0.00000000
EUR
0.00000000
EUR
7000000.00000000
EUR
-184903.48000000
N
N
N
Viet Capital Securities JSC
254900HKR2EAQLPDRS52
Viet Capital Securities JSC
000000000
448200.00000000
NS
715381.96000000
0.022602712376
Long
EC
CORP
VN
N
2
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
10000000.00000000
PA
1514965.97000000
0.047865814340
Long
DBT
NUSS
CN
N
2
2027-02-09
Fixed
3.40000000
N
N
N
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
N/A
N/A
Y
2029-07-23
0.00000000
EUR
0.00000000
EUR
3813000.00000000
EUR
0.00000000
N
N
N
COOF 9652355009
N/A
COOF 9652355009
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
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-49939.01000000
-0.00157783833
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1171833.00000000
BHD
3038591.99000000
USD
2022-03-16
-49939.01000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359VU27
227254.54000000
PA
USD
259182.41000000
0.008188947714
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-395.98000000
-0.00001251110
N/A
DFE
MY
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3290627.75000000
USD
13670913.00000000
MYR
2020-11-03
-395.98000000
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
COOF 9576235005
N/A
COOF 9576235005
000000000
1091745.25000000
PA
USD
152617.77000000
0.004822005238
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.71000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-33028.68000000
-0.00104355127
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4567000.00000000
GHS
676492.37000000
USD
2021-06-18
-33028.68000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CKT8
28754.62000000
PA
USD
30429.40000000
0.000961426223
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
6.50000000
N
N
N
N
N
N
Vietnam Prosperity JSC Bank
254900A0PM1YPJVDW880
Vietnam Prosperity JSC Bank
000000000
1581255.00000000
NS
1614006.09000000
0.050995017299
Long
EC
CORP
VN
N
2
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359HZF4
471094.00000000
PA
USD
510440.52000000
0.016127524740
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Fixed
7.00000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
4481371000.00000000
PA
177287906.96000000
5.601465780394
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
265439.34000000
0.008386637336
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
18908210.00000000
USD
2006531681.00000000
JPY
2020-12-08
265439.34000000
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SA
984245100
298100.00000000
NS
USD
959882.00000000
0.030327766108
Long
EC
CORP
AR
N
1
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
-529877.10000000
-0.01674162944
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-03-11
0.00000000
USD
0.00000000
USD
2804500.00000000
USD
-529877.10000000
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
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
-40421.90000000
-0.00127714232
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-27
0.00000000
USD
0.00000000
USD
836000.00000000
USD
-40421.90000000
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
-35283.91000000
-0.00111480595
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-18
0.00000000
USD
0.00000000
USD
780000.00000000
USD
-35283.91000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-146510.63000000
-0.00462904827
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
28093631.00000000
NZD
18429141.00000000
USD
2020-11-16
-146510.63000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-16991.07000000
-0.00053683806
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2543784.64000000
USD
189500000.00000000
INR
2021-01-05
-16991.07000000
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
-36530.44000000
-0.00115419045
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-28
0.00000000
USD
0.00000000
USD
775000.00000000
USD
-36530.44000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJF3
31354.16000000
PA
USD
33340.89000000
0.001053415642
Long
ABS-MBS
USGSE
US
N
2
2025-12-17
Fixed
7.50000000
N
N
N
N
N
N
SILKNET JSC
635400QGWS2BG73SGG55
Silknet JSC
000000000
2470000.00000000
PA
USD
2639244.40000000
0.083387736062
Long
DBT
CORP
GE
Y
2
2024-04-02
Fixed
11.00000000
N
N
N
N
N
N
COOF 9663935001
N/A
COOF 9663935001
000000000
2900370.44000000
PA
USD
199943.84000000
0.006317286931
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.96000000
N
N
N
N
N
N
REPUBLIC OF ARMENIA
5299000H77JSW90G7935
Republic of Armenia International Bond
000000000
3412000.00000000
PA
USD
3243242.48000000
0.102471240598
Long
DBT
NUSS
AM
Y
2
2029-09-26
Fixed
3.95000000
N
N
N
N
N
N
Siminn HF
N/A
Siminn HF
000000000
71023761.00000000
NS
3751389.72000000
0.118526308453
Long
EC
CORP
IS
N
2
N
N
N
COOF 2299707006
N/A
COOF 2299707006
000000000
931416.74000000
PA
USD
93797.71000000
0.002963567407
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
BEV47DGK0 TRS USD R E PRECIOUS METAL SWAP (GOLD)
000000000
15522320.00000000
OU
Notional Amount
USD
15034960.00000000
0.475034171217
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Philadelphia Gold and Silver Index
XAU Index
Y
equity-performance leg
equity-performance leg
2021-02-02
15522320.00000000
USD
0.00000000
USD
15522320.00000000
USD
-487360.00000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-372796.48000000
-0.01177861909
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6384200.76000000
USD
52200000.00000000
TRY
2021-01-13
-372796.48000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV42S7Q9 IRS COP R F 3.25500 CCP CME / Short: SEV42S7Q9 IRS COP P V 00MCOOIS COOVIBR+0BPS CCP CME
000000000
44982400000.00000000
OU
Notional Amount
130017.60000000
0.004107945937
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-05
0.00000000
COP
0.00000000
COP
44982400000.00000000
COP
130017.60000000
N
N
N
COOF 9466195005
N/A
COOF 9466195005
000000000
3525221.87000000
PA
USD
478967.86000000
0.015133136397
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
3.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDH9
435622.42000000
PA
USD
507334.02000000
0.016029373920
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-69565.84000000
-0.00219795404
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
86430000.00000000
AED
23457728.32000000
USD
2021-04-05
-69565.84000000
N
N
N
COOF 9675065008
N/A
COOF 9675065008
000000000
2608084.89000000
PA
USD
210113.55000000
0.006638602037
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.21000000
N
N
N
N
N
N
COOF 1826907005
N/A
COOF 1826907005
000000000
1735323.72000000
PA
USD
133467.39000000
0.004216943110
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
COOF 1963907001
N/A
COOF 1963907001
000000000
1495911.42000000
PA
USD
168610.49000000
0.005327300130
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
44050000.00000000
PA
2730008.79000000
0.086255464794
Long
STIV
NUSS
EG
N
2
2021-02-02
None
0.00000000
N
N
N
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
-22921.06000000
-0.00072419791
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-19
0.00000000
USD
0.00000000
USD
3700000.00000000
USD
-22921.06000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-166667.80000000
-0.00526592024
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
225892400.00000000
AED
61323813.66000000
USD
2021-04-08
-166667.80000000
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
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
16783000.00000000
PA
USD
14591643.69000000
0.461027456473
Long
DBT
NUSS
UA
Y
2
2040-05-31
None
0.00000000
N
N
N
N
N
N
COOF 1689717010
N/A
COOF 1689717010
000000000
1498276.50000000
PA
USD
174607.77000000
0.005516786031
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
2.46000000
N
N
N
N
N
N
COOF 9627335001
N/A
COOF 9627335001
000000000
1140116.46000000
PA
USD
139734.98000000
0.004414969538
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.96000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV47P8G1 IRS MXN R F 4.49500 2 CCPVANILLA / Short: SEV47P8G1 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
389616000.00000000
OU
Notional Amount
-15109.09000000
-0.00047737633
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-08-31
0.00000000
MXN
0.00000000
MXN
389616000.00000000
MXN
-15109.09000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV48J4T0 TRS USD R E PRECIOUS METAL SWAP (GOLD) / Short: BEV48J4T0 TRS USD P F .00000 PRECIOUS METAL SWAP (GOLD)
000000000
9456000.00000000
OU
Notional Amount
USD
9020976.00000000
0.285020502730
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Precious Metal Swap (Gold)
Precious Metal Swap (Gold)
Y
equity-performance leg
2021-02-02
9456000.00000000
USD
0.00000000
USD
9456000.00000000
USD
-435024.00000000
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
000000000
37100.00000000
NS
293480.89000000
0.009272618706
Long
EC
CORP
FR
N
2
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4193A1 IRS COP R V 00MDTF DTF RATE 90D COLUMBIA DEPT / Short: BEV4193A1 IRS COP P F 3.69550
000000000
72092900000.00000000
OU
Notional Amount
-615265.27000000
-0.01943949485
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-07
0.00000000
COP
0.00000000
COP
72092900000.00000000
COP
-615265.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BUU0
999860.60000000
PA
USD
1174854.70000000
0.037119894480
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
8.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3PCEU4 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH / Short: BEV3PCEU4 IRS EUR P F .00000 CCP LCH/BSV3PCEU4 DUMMY
000000000
2500000.00000000
OU
Notional Amount
-6787.72000000
-0.00021446009
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-09-12
0.00000000
EUR
0.00000000
EUR
2500000.00000000
EUR
-6787.72000000
N
N
N
Government of The Republic of Kenya Acting through The National Treasury
549300VVURQQYU45PR87
Government of The Republic of Kenya Acting through The National Treasury 2019 Term Loan
000000000
2323333.33000000
PA
USD
2313628.77000000
0.073099810392
Long
LON
CORP
KE
N
2
2024-10-24
Floating
6.95000000
N
N
N
N
N
N
PetroVietnam Nhon Trach 2 Power JSC
N/A
PetroVietnam Nhon Trach 2 Power JSC
000000000
485400.00000000
NS
476256.46000000
0.015047468883
Long
EC
CORP
VN
N
2
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
12016.74000000
0.000379672584
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
65760000.00000000
UAH
2267586.21000000
USD
2021-01-11
12016.74000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
308686000000.00000000
PA
20995852.08000000
0.663370384212
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
Bank for Foreign Trade of Vietnam JSC
2549004TS5QUBFGAWE51
Bank for Foreign Trade of Vietnam JSC
000000000
539910.00000000
NS
1939069.54000000
0.061265496673
Long
EC
CORP
VN
N
2
N
N
N
Kingdom of Jordan
5493000JZ4MYPVMBVN50
Jordan Government International Bond
000000000
17147000.00000000
PA
USD
17779460.92000000
0.561747519303
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.38000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
600880000.00000000
PA
6142831.47000000
0.194084643808
Long
DBT
NUSS
RS
N
2
2032-08-20
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV48NJG3 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV48NJG3 CDS USD P F 1.00000 2 SOVEREIGN
000000000
11190000.00000000
OU
Notional Amount
USD
2178088.74000000
0.068817381585
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
2030-12-20
2279645.76000000
USD
0.00000000
USD
11190000.00000000
USD
-101557.02000000
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
-1878988.38000000
-0.05936721400
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-08-15
0.00000000
EUR
0.00000000
EUR
13346000.00000000
EUR
-1878988.38000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31392PAB1
612405.41000000
PA
USD
736076.89000000
0.023256575035
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
7.00000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
65544000.00000000
PA
20910005.87000000
0.660658046885
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
717086.66000000
0.022656572895
N/A
DFE
EG
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
8309926.68000000
USD
147335000.00000000
EGP
2021-03-08
717086.66000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
-9475.11000000
-0.00029936900
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
13670913.00000000
MYR
3280756.66000000
USD
2020-11-03
-9475.11000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV44ZM35 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV44ZM35 IRS USD P F .33070 2 CCPVANILLA
000000000
760000.00000000
OU
Notional Amount
USD
3214.76000000
0.000101571327
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-15
0.00000000
USD
0.00000000
USD
760000.00000000
USD
3214.76000000
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
-3097227.87000000
-0.09785786422
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-02-28
0.00000000
GBP
0.00000000
GBP
26040000.00000000
GBP
-3097227.87000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
48565.39000000
0.001534438388
N/A
DFE
CN
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2313608.67000000
USD
15897730.64000000
CNY
2021-01-11
48565.39000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
313399C47
314719.93000000
PA
USD
369886.46000000
0.011686676118
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
Ashmore Group PLC
549300U3L59WB4YI2X12
Ashmore Group PLC
000000000
-1867300.00000000
NS
-8639152.41000000
-0.27295666932
Short
EC
CORP
GB
N
2
N
N
N
COOF 9631805003
N/A
COOF 9631805003
000000000
2197733.11000000
PA
USD
228620.94000000
0.007223348699
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV41CY44 IRS CLP R V 00MCLOIS CLICP+0BPS BILATERAL / Short: BEV41CY44 IRS CLP P F 1.52500 BILATERAL
000000000
13031890000.00000000
OU
Notional Amount
-340252.32000000
-0.01075037637
N/A
DIR
CL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2025-05-11
0.00000000
CLP
0.00000000
CLP
13031890000.00000000
CLP
-340252.32000000
N
N
N
COOF 9334725007
N/A
COOF 9334725007
000000000
1474585.50000000
PA
USD
155980.75000000
0.004928259623
Long
ABS-MBS
CORP
US
N
2
2042-07-15
Fixed
2.41000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128SGAA8
1062378.94000000
PA
USD
1089051.50000000
0.034408916067
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.82000000
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
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
62900.92000000
0.001987373854
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
8226304.77000000
EUR
9649368.30000000
USD
2020-11-30
62900.92000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
84812.46000000
0.002679675678
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
11091938.89000000
EUR
13010726.74000000
USD
2020-11-30
84812.46000000
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
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGS2A0 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGS2A0 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
8250000.00000000
OU
Notional Amount
USD
-208931.25000000
-0.00660124690
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Qatar Government International Bond
Qatar Government International Bond
Y
buy protection
2025-12-20
0.00000000
USD
-214112.14000000
USD
8250000.00000000
USD
5180.89000000
N
N
N
COOF 2188787005
N/A
COOF 2188787005
000000000
227762.97000000
PA
USD
29820.68000000
0.000942193528
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
31283HTW5
12107.38000000
PA
USD
13015.86000000
0.000411240087
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
9.00000000
N
N
N
N
N
N
FHLMC-GNMA
N/A
FHLMC-GNMA
312913WW2
14924.87000000
PA
USD
15700.33000000
0.000496056740
Long
ABS-MBS
USGSE
US
N
2
2022-12-25
Fixed
8.00000000
N
N
N
N
N
N
COOF 9329855006
N/A
COOF 9329855006
000000000
1656472.75000000
PA
USD
135395.63000000
0.004277866444
Long
ABS-MBS
CORP
US
N
2
2042-04-15
Fixed
2.46000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-1347332.62000000
-0.04256938724
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
8590484.39000000
USD
64285000.00000000
TRY
2021-02-26
-1347332.62000000
N
N
N
COOF 1860197010
N/A
COOF 1860197010
000000000
320772.95000000
PA
USD
37180.70000000
0.001174735616
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-22858.00000000
-0.00072220551
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
244150000.00000000
UAH
8367032.21000000
USD
2021-01-05
-22858.00000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-384949.05000000
-0.01216258326
N/A
DFE
NO
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
16918057.21000000
USD
157860700.00000000
NOK
2020-12-07
-384949.05000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV41CWE4 IRS CLP R F .00000 CLF LEG -0.615 FIXED RATE / Short: BEV41CWE4 IRS CLP P V 06MCLICP CLICP+0BPS+1D COMPOUNDING
000000000
12285939135.00000000
OU
Notional Amount
605932.42000000
0.019144620600
N/A
DIR
CL
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2025-05-11
0.00000000
CLP
0.00000000
CLP
12285939135.00000000
CLP
605932.42000000
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-19915.78000000
-0.00062924517
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
1350000.00000000
BHD
3538199.45000000
USD
2022-03-16
-19915.78000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B2XJ6
2225044.41000000
PA
USD
221135.37000000
0.006986839819
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Fixed
4.00000000
N
N
N
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
1000000000.00000000
PA
7860712.39000000
0.248361618212
Long
DBT
CORP
IS
Y
2
2024-04-12
Fixed
6.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4702R8 IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BEV4702R8 IRS CAD P F 1.03750 2 CCPVANILLA
000000000
13202000.00000000
OU
Notional Amount
91782.49000000
0.002899895913
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-08-19
186.53000000
CAD
0.00000000
CAD
13202000.00000000
CAD
91641.45000000
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
-157859.13000000
-0.00498760761
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-01-08
0.00000000
USD
0.00000000
USD
1062802.00000000
USD
-157859.13000000
N
N
N
COOF 9662825001
N/A
COOF 9662825001
000000000
2097489.05000000
PA
USD
324090.69000000
0.010239744723
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358Q5Q4
73573.02000000
PA
USD
74041.76000000
0.002339372109
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
1.30000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
447855.89000000
0.014150144166
N/A
DFE
KR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
10259283.91000000
USD
12175000000.00000000
KRW
2020-12-10
447855.89000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
58904.64000000
0.001861110162
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
7703664.40000000
EUR
9036316.68000000
USD
2020-11-30
58904.64000000
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
KBC Group NV
213800X3Q9LSAKRUWY91
KBC Group NV
000000000
5400.00000000
NS
266796.80000000
0.008429526701
Long
EC
CORP
BE
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MS37
2204664.83000000
PA
USD
2560908.90000000
0.080912701921
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
7.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT DEC20 XCBT 20201221
000000000
-21.00000000
NC
USD
45843.75000000
0.001448447337
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYZ0 Comdty
2020-12-21
-3348750.00000000
USD
45843.75000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374CLQ7
4191993.32000000
PA
USD
4935348.60000000
0.155933852292
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
7.00000000
N
N
N
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
3922870.38000000
0.123944292486
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
2568697.05000000
USD
0.00000000
USD
23540000.00000000
USD
1354173.33000000
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
5058000.00000000
OU
Notional Amount
USD
61373.77000000
0.001939123081
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
69565.03000000
USD
0.00000000
USD
5058000.00000000
USD
-8191.26000000
N
N
N
COOF 1988577005
N/A
COOF 1988577005
000000000
1867040.77000000
PA
USD
166498.16000000
0.005260560416
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 MXN
000000000
1.00000000
NC
674.82000000
0.000021321144
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
103308000.00000000
MXN
4847068.76000000
USD
2020-12-18
674.82000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
4734.71000000
0.000149594614
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
154000.00000000
TRY
22086.28000000
USD
2021-02-26
4734.71000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-529977.12000000
-0.01674478960
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4825951.04000000
USD
39669000.00000000
TRY
2021-05-17
-529977.12000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
229210.74000000
0.007241983610
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
24958454.00000000
NZD
16732342.24000000
USD
2020-12-17
229210.74000000
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
3219000.00000000
PA
USD
3464609.70000000
0.109465405789
Long
DBT
NUSS
DO
Y
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
362537.88000000
0.011454495479
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
14440000.00000000
TRY
1989528.80000000
USD
2021-02-26
362537.88000000
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
3421894.76000000
0.108115814163
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2042-08-15
0.00000000
EUR
0.00000000
EUR
13634000.00000000
EUR
3421894.76000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359HG81
133320.57000000
PA
USD
144385.61000000
0.004561907619
Long
ABS-MBS
USGSE
US
N
2
2024-05-17
Fixed
7.50000000
N
N
N
N
N
N
Masan Group Corp
254900M1892CMJ87XD24
Masan Group Corp
000000000
429280.00000000
NS
1555203.19000000
0.049137121644
Long
EC
CORP
VN
N
2
N
N
N
COOF 2254177009
N/A
COOF 2254177009
000000000
1552371.21000000
PA
USD
176779.33000000
0.005585397135
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-11578.95000000
-0.00036584047
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
19410000.00000000
CNY
2883514.05000000
USD
2020-11-20
-11578.95000000
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
-13239.41000000
-0.00041830321
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-26
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-13239.41000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CVV1
14971240.00000000
PA
USD
17467519.11000000
0.551891622168
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.00000000
N
N
N
N
N
N
EV CASH RESERVES FUND LLC
N/A
EV CASH RESERVES FUND LLC
000000000
490405962.15700000
NS
USD
490405962.16000000
15.49452674265
Long
STIV
US
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
-350.74000000
-0.00001108173
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
934700000.00000000
CRC
1530087.74000000
USD
2021-01-28
-350.74000000
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
000000000
7287000.00000000
PA
USD
6527635.65000000
0.206242649864
Long
DBT
NUSS
GA
Y
2
2031-02-06
Fixed
6.63000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4A9RM9 TRS USD R E BEV4A9RN7 EQUITYTRS / Short: BEV4A9RM9 TRS USD P F .25000 BEV4A9RP2 EQUITYTRS
000000000
38200000.00000000
OU
Notional Amount
USD
-1010030.61000000
-0.03191222681
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 5 Month Forward
BCOMF5 Index
Y
equity-performance leg
2020-12-17
0.00000000
USD
0.00000000
USD
38200000.00000000
USD
-1010030.61000000
N
N
N
COOF 9648365009
N/A
COOF 9648365009
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.58000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV47BC77 IRS BRL R F 2.77000 2 CCPNDFPREDISWAP / Short: SEV47BC77 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
164060000.00000000
OU
Notional Amount
-169204.00000000
-0.00534605226
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
164060000.00000000
BRL
-169204.00000000
N
N
N
Refrigeration Electrical Engineering Corp
N/A
Refrigeration Electrical Engineering Corp
000000000
807810.00000000
NS
1562236.42000000
0.049359338702
Long
EC
CORP
VN
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED GEL / SOLD USD
000000000
1.00000000
NC
-87547.31000000
-0.00276608410
N/A
DFE
GE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1271247.11000000
USD
4403600.00000000
GEL
2021-10-21
-87547.31000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
123.67000000
0.000003907391
N/A
DFE
PH
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
155329.59000000
USD
7558338.00000000
PHP
2021-01-11
123.67000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD RSD
000000000
1.00000000
NC
N/A
-14475.42000000
-0.00045735533
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1171000000.00000000
RSD
9945642.94000000
EUR
2020-11-06
-14475.42000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-478.09000000
-0.00001510540
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
34310.88000000
USD
131200000.00000000
COP
2020-12-16
-478.09000000
N
N
N
COOF 8222885010
N/A
COOF 8222885010
000000000
924771.83000000
PA
USD
114639.53000000
0.003622071101
Long
ABS-MBS
CORP
US
N
2
2042-04-15
Fixed
2.93000000
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
20074.51000000
0.000634260298
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-30
0.00000000
USD
0.00000000
USD
2373000.00000000
USD
20074.51000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
360491.75000000
0.011389847375
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4237718.80000000
USD
75050000.00000000
EGP
2021-03-08
360491.75000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PL78
568761.09000000
PA
USD
653628.26000000
0.020651585290
Long
ABS-MBS
USGSE
US
N
2
2030-02-17
Fixed
6.60000000
N
N
N
N
N
N
Transportadora de Gas del Sur SA
5299002TRC7IFQYSW596
Transportadora de Gas del Sur SA
893870204
153368.00000000
NS
USD
739233.76000000
0.023356317310
Long
EC
CORP
AR
N
1
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
64865.45000000
0.002049443781
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
13081000.00000000
SGD
9641991.05000000
USD
2021-01-26
64865.45000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
42575000.00000000
PA
2679821.22000000
0.084669773132
Long
STIV
NUSS
EG
N
2
2020-12-08
None
0.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358KKJ6
29994.93000000
PA
USD
30615.11000000
0.000967293787
Long
ABS-MBS
USGSE
US
N
2
2021-12-25
Fixed
7.10000000
N
N
N
N
N
N
Desarrolladora Energetica S.A.
254900ANMVXQHUS4SU54
Desarrolladora Energetica S.A. Term Loan
000000000
1825000.00000000
PA
USD
967250.00000000
0.030560560328
Long
LON
CORP
AR
N
3
2020-07-18
Fixed
9.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV42SWS7 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV42SWS7 IRS EUR P F .12420 2 CCPVANILLA
000000000
7009000.00000000
OU
Notional Amount
-434746.45000000
-0.01373594738
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-08
0.00000000
EUR
0.00000000
EUR
7009000.00000000
EUR
-434752.91000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
-9475.11000000
-0.00029936900
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
13670913.00000000
MYR
3280756.66000000
USD
2020-11-03
-9475.11000000
N
N
N
ISLANDSBANKI
549300PZMFIQR79Q0T97
Islandsbanki HF
000000000
860000000.00000000
PA
6762955.87000000
0.213677664369
Long
DBT
CORP
IS
N
2
2023-10-26
Fixed
6.40000000
N
N
N
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
-179963.42000000
-0.00568599943
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-15
0.00000000
USD
0.00000000
USD
1085000.00000000
USD
-179963.42000000
N
N
N
COOF 9675505009
N/A
COOF 9675505009
000000000
1949318.67000000
PA
USD
175155.02000000
0.005534076562
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.36000000
N
N
N
N
N
N
COOF 7774145004
N/A
COOF 7774145004
000000000
1003631.25000000
PA
USD
76701.24000000
0.002423399195
Long
ABS-MBS
CORP
US
N
2
2039-07-15
Fixed
2.39000000
N
N
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
-9664.32000000
-0.00030534715
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-05
0.00000000
USD
0.00000000
USD
186000.00000000
USD
-9664.32000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GLW1
1022156.46000000
PA
USD
1144965.08000000
0.036175522771
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
6.50000000
N
N
N
N
N
N
COOF 1825007004
N/A
COOF 1825007004
000000000
1240362.56000000
PA
USD
125568.53000000
0.003967376207
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-1847.92000000
-0.00005838559
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
17905000.00000000
BRL
3118604.51000000
USD
2020-11-04
-1847.92000000
N
N
N
COOF 9645535006
N/A
COOF 9645535006
000000000
1764198.23000000
PA
USD
212101.89000000
0.006701424249
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
COOF 8187925002
N/A
COOF 8187925002
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2041-04-15
Fixed
3.03000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
2082992.78000000
0.065812795571
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
126707000.00000000
TRY
15804789.82000000
USD
2021-05-17
2082992.78000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-32810.98000000
-0.00103667297
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2555000.00000000
BHD
6701463.57000000
USD
2022-03-14
-32810.98000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-24440.99000000
-0.00077222057
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3746641.26000000
USD
279151000.00000000
INR
2021-01-05
-24440.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV448SQ8 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV448SQ8 IRS USD P F .61970 2 CCPVANILLA
000000000
3250000.00000000
OU
Notional Amount
USD
76151.53000000
0.002406030939
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-01
0.00000000
USD
0.00000000
USD
3250000.00000000
USD
76151.53000000
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
-20178.86000000
-0.00063755726
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-03
0.00000000
USD
0.00000000
USD
300000.00000000
USD
-20178.86000000
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
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV414KY1 IRS COP R V 00MCOOIS COOVIBR3+0BPS CCP CME / Short: BEV414KY1 IRS COP P F 3.83700 CCP CME
000000000
62519600000.00000000
OU
Notional Amount
-641499.05000000
-0.02026835918
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-05
0.00000000
COP
0.00000000
COP
62519600000.00000000
COP
-641499.05000000
N
N
N
COOF 2148157010
N/A
COOF 2148157010
000000000
995416.55000000
PA
USD
63829.72000000
0.002016719574
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.96000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-674.87000000
-0.00002132272
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
138414.07000000
USD
498000.00000000
PEN
2020-11-05
-674.87000000
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
-77097.28000000
-0.00243591220
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-07
0.00000000
USD
0.00000000
USD
1500000.00000000
USD
-77097.28000000
N
N
N
COOF 1856857004
N/A
COOF 1856857004
000000000
2859724.27000000
PA
USD
233320.49000000
0.007371832422
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV433CF1 IRS USD R V 03MLIBOR US0003M+0BPS / Short: BEV433CF1 IRS USD P F .42750 CCP LCH
000000000
1990000.00000000
OU
Notional Amount
USD
-1372.50000000
-0.00004336455
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-12
0.00000000
USD
0.00000000
USD
1990000.00000000
USD
-1372.50000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PL45
646272.49000000
PA
USD
726127.28000000
0.022942214056
Long
ABS-MBS
USGSE
US
N
2
2031-08-17
Fixed
7.00000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
10453000.00000000
PA
11785368.63000000
0.372362335492
Long
DBT
NUSS
CI
Y
2
2030-03-22
Fixed
5.25000000
N
N
N
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
-196420.90000000
-0.00620597856
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-22
0.00000000
USD
0.00000000
USD
1500000.00000000
USD
-196420.90000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
140880.68000000
0.004451168281
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
67983000.00000000
TRY
7969871.04000000
USD
2021-01-13
140880.68000000
N
N
N
COOF 8690125006
N/A
COOF 8690125006
000000000
823768.98000000
PA
USD
139854.80000000
0.004418755288
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.78000000
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
2820000.00000000
OU
Notional Amount
USD
49660.20000000
0.001569029245
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S31.V1
2I65BZDL3
Y
buy protection
2024-06-20
60022.83000000
USD
0.00000000
USD
2820000.00000000
USD
-10362.63000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
313920CC2
1830863.37000000
PA
USD
2091388.27000000
0.066078053651
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.00000000
N
N
N
N
N
N
COOF 1576187010
N/A
COOF 1576187010
000000000
1209332.04000000
PA
USD
161889.54000000
0.005114949654
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
3.16000000
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
-246266.07000000
-0.00778085199
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-23
0.00000000
USD
0.00000000
USD
4760000.00000000
USD
-246266.07000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
540000000000.00000000
PA
38104615.38000000
1.203927006562
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-2255690.38000000
-0.07126922919
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
14317507.02000000
USD
107052000.00000000
TRY
2021-02-26
-2255690.38000000
N
N
N
Yoma Strategic Holdings Ltd
529900WRBT4SP5D5ZN49
Yoma Strategic Holdings Ltd
000000000
43974000.00000000
NS
8218449.09000000
0.259664418938
Long
EC
CORP
SG
N
2
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
128003.18000000
0.004044299720
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
15489470.15000000
USD
1633418840.00000000
JPY
2021-01-07
128003.18000000
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
-78396.39000000
-0.00247695797
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
-1027.61000000
USD
3090000.00000000
USD
-77368.78000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
BEV47DGQ7 TRS USD R E PRECIOUS METAL SWAP (GOLD)
000000000
6196000.00000000
OU
Notional Amount
USD
6013984.00000000
0.190013668486
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Philadelphia Gold and Silver Index
XAU Index
Y
equity-performance leg
equity-performance leg
2021-02-02
6196000.00000000
USD
0.00000000
USD
6196000.00000000
USD
-182016.00000000
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
-11450.30000000
-0.00036177573
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-04-03
0.00000000
USD
0.00000000
USD
2300000.00000000
USD
-11450.30000000
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
-229100.31000000
-0.00723849454
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-26
0.00000000
EUR
0.00000000
EUR
2510000.00000000
EUR
-229100.71000000
N
N
N
COOF 9561145010
N/A
COOF 9561145010
000000000
1171071.95000000
PA
USD
70135.81000000
0.002215962421
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.96000000
N
N
N
N
N
N
REPUBLIC OF BELARUS
N/A
Republic of Belarus Ministry of Finance
000000000
7310000.00000000
PA
USD
6973155.20000000
0.220318976651
Long
DBT
NUSS
BY
Y
2
2026-02-24
Fixed
5.88000000
N
N
N
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
-248523.60000000
-0.00785217934
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2047-09-01
0.00000000
USD
0.00000000
USD
6054000.00000000
USD
-248523.60000000
N
N
N
REPUBLIC OF SURINAME INT
254900SYU4G5JM13TN77
Suriname Government International Bond
000000000
18004000.00000000
PA
USD
9632140.00000000
0.304330416705
Long
DBT
NUSS
SR
Y
2
2026-10-26
Fixed
9.25000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BL5
963500651.69000000
PA
25806053.94000000
0.815350186882
Long
DBT
NUSS
UY
N
2
2040-07-02
Fixed
3.88000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-27890.91000000
-0.00088122185
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
50148151.05000000
NZD
33130626.73000000
USD
2020-11-23
-27890.91000000
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
1509565.61000000
0.047695188310
N/A
DIR
SD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-31
0.00000000
SGD
0.00000000
SGD
72840000.00000000
SGD
1509565.61000000
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
-1821540.07000000
-0.05755211703
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-08-15
0.00000000
EUR
0.00000000
EUR
13634000.00000000
EUR
-1821540.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373UV20
435981.42000000
PA
USD
438783.76000000
0.013863507437
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Floating
2.01000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE DEC20 XEUR 20201208
000000000
-131.00000000
NC
-100695.65000000
-0.00318150993
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bobl (FGBM)
OEZ0 Comdty
2020-12-08
-17712510.00000000
EUR
-100695.65000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-32771.63000000
-0.00103542969
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4570000.00000000
GHS
684131.74000000
USD
2021-05-28
-32771.63000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-532524.78000000
-0.01682528370
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4825358.13000000
USD
39640000.00000000
TRY
2021-05-17
-532524.78000000
N
N
N
COOF 8471595007
N/A
COOF 8471595007
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
3.03000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RJ1QQ5 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RJ1QQ5 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
7847000.00000000
OU
Notional Amount
USD
-46108.97000000
-0.00145682704
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
buy protection
2025-12-20
0.00000000
USD
-63080.98000000
USD
7847000.00000000
USD
16972.01000000
N
N
N
COOF 2235657005
N/A
COOF 2235657005
000000000
2110313.27000000
PA
USD
168357.10000000
0.005319294196
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.16000000
N
N
N
N
N
N
COOF 8641855006
N/A
COOF 8641855006
000000000
1998394.71000000
PA
USD
269138.37000000
0.008503509323
Long
ABS-MBS
CORP
US
N
2
2042-01-15
Fixed
3.78000000
N
N
N
N
N
N
COOF 2312927008
N/A
COOF 2312927008
000000000
742694.71000000
PA
USD
128751.32000000
0.004067937433
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV42UV95 IRS COP R F 3.43750 CCP CME / Short: SEV42UV95 IRS COP P V 03MCOOIS COOVIBR+0BS CCP CME
000000000
29163200000.00000000
OU
Notional Amount
144856.49000000
0.004576785217
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-09
0.00000000
COP
0.00000000
COP
29163200000.00000000
COP
144856.49000000
N
N
N
Empresa Distribuidora Y Comercializadora Norte
254900JU7TV6VS9GRW29
Empresa Distribuidora Y Comercializadora Norte
29244A102
36031.00000000
NS
USD
119622.92000000
0.003779522836
Long
EC
CORP
AR
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV46P4D3 TRS USD R F .00000 / Short: BEV46P4D3 TRS USD P E GCG120212 GOLD100 OZ FEB21
000000000
15640000.00000000
OU
Notional Amount
USD
542400.00000000
0.017137294310
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Gold (100 oz)
GCG1 Comdty
Y
equity-performance leg
2021-01-29
0.00000000
USD
0.00000000
USD
15640000.00000000
USD
542400.00000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PK53
92250.15000000
PA
USD
101007.10000000
0.003191350295
Long
ABS-MBS
USGSE
US
N
2
2030-04-17
Fixed
8.00000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
184100000.00000000
PA
10781198.06000000
0.340635258435
Long
STIV
NUSS
EG
N
2
2021-07-13
None
0.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
9092.45000000
0.000287278745
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1189129.42000000
EUR
1394836.20000000
USD
2020-11-30
9092.45000000
N
N
N
COOF 1929207010
N/A
COOF 1929207010
000000000
1275321.75000000
PA
USD
103573.67000000
0.003272441861
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128HDZJ1
9016.37000000
PA
USD
9535.01000000
0.000301261564
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Floating
4.05000000
N
N
N
N
N
N
COOF 9027485007
N/A
COOF 9027485007
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2041-12-15
Fixed
2.41000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-16361.42000000
-0.00051694408
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1000000000.00000000
PHP
20550760.38000000
USD
2021-01-11
-16361.42000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV496H48 IRS BRL R F 3.08110 2 CCPNDFPREDISWAP / Short: SEV496H48 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
818909054.87000000
OU
Notional Amount
-414898.50000000
-0.01310884532
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
818909054.87000000
BRL
-414898.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV41WHA5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV41WHA5 IRS USD P F .33450 CCP LCH
000000000
600000.00000000
OU
Notional Amount
USD
1926.52000000
0.000060868990
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-18
0.00000000
USD
0.00000000
USD
600000.00000000
USD
1926.52000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
475482.62000000
0.015023019171
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
24798000.00000000
TRY
3160994.26000000
USD
2021-05-17
475482.62000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
534050000.00000000
PA
32933932.14000000
1.040557684160
Long
STIV
NUSS
EG
N
2
2021-02-16
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
686.52000000
0.000021690809
N/A
DFE
CN
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
941766.60000000
USD
6347509.73000000
CNY
2021-01-21
686.52000000
N
N
N
COOF 1607627004
N/A
COOF 1607627004
000000000
1450405.32000000
PA
USD
118727.29000000
0.003751225131
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
1.91000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
36396.15000000
0.001149947519
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1739560.85000000
USD
11923297.98000000
CNY
2020-12-09
36396.15000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-10353.31000000
-0.00032711600
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1755049.80000000
USD
6308000.00000000
PEN
2020-11-05
-10353.31000000
N
N
N
COOF 9627715008
N/A
COOF 9627715008
000000000
1011489.74000000
PA
USD
54857.42000000
0.001733237005
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
-600154.35000000
-0.01896206070
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
46887360.64000000
USD
65822526.98000000
AUD
2021-01-28
-600154.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJZ6
1782293.42000000
PA
USD
1880406.98000000
0.059412035103
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
3.94000000
N
N
N
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
3357000.00000000
OU
Notional Amount
USD
40733.84000000
0.001286998164
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
46130.47000000
USD
0.00000000
USD
3357000.00000000
USD
-5396.63000000
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
3600000.00000000
PA
USD
3578439.60000000
0.113061896382
Long
DBT
NUSS
OM
Y
2
2021-06-15
Fixed
3.63000000
N
N
N
N
N
N
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-185713.87000000
-0.00586768666
N/A
DFE
US
N
2
ICBC Standard Bank Plc
F01VVKN4DRF2NWKGQ283
21658000.00000000
GHS
3218127.79000000
USD
2021-05-24
-185713.87000000
N
N
N
COOF 9678215000
N/A
COOF 9678215000
000000000
476300.55000000
PA
USD
75341.39000000
0.002380434318
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-35886.52000000
-0.00113384560
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5795000.00000000
GHS
862351.19000000
USD
2021-06-23
-35886.52000000
N
N
N
COOF 9584325008
N/A
COOF 9584325008
000000000
2676890.71000000
PA
USD
182025.12000000
0.005751139478
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
1.91000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
42100.00000000
NS
389051.84000000
0.012292212175
Long
EC
CORP
DE
N
2
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1595000.00000000
PA
USD
227287.50000000
0.007181218253
Long
DBT
NUSS
LB
N
2
2033-05-17
None
0.00000000
Y
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
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV49HM97 IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BEV49HM97 IRS BRL P F 3.43853 2 CCPNDFPREDISWAP
000000000
1928280602.74000000
OU
Notional Amount
-375150.97000000
-0.01185300992
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
1928280602.74000000
BRL
-375150.97000000
N
N
N
OPAP SA
213800M4NRGFJCI34834
OPAP SA
000000000
122204.00000000
NS
988639.41000000
0.031236365295
Long
EC
CORP
GR
N
2
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AU8
10400000.00000000
PA
USD
10127000.00000000
0.319965670139
Long
DBT
NUSS
ZA
N
2
2028-10-12
Fixed
4.30000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
680663.57000000
0.021505774199
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
5407386.52000000
USD
95900000.00000000
EGP
2020-11-12
680663.57000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJJ5
29893.12000000
PA
USD
30147.34000000
0.000952514451
Long
ABS-MBS
USGSE
US
N
2
2025-10-17
Fixed
8.50000000
N
N
N
N
N
N
Softlogic Life Insurance PLC
N/A
Softlogic Life Insurance PLC
000000000
20500000.00000000
NS
3349227.27000000
0.105819862535
Long
EC
CORP
LK
N
2
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV41RZJ7 IRS CLP R V 00MCLICP CLICP+0BPS CCP CME / Short: BEV41RZJ7 IRS CLP P F 1.35000 CCP CME
000000000
12837390000.00000000
OU
Notional Amount
-185207.37000000
-0.00585168364
N/A
DIR
CL
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-15
0.00000000
CLP
0.00000000
CLP
12837390000.00000000
CLP
-185207.37000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VVG1
24206.34000000
PA
USD
28484.61000000
0.000899979986
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
10.50000000
N
N
N
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
-2068.36000000
-0.00006535046
N/A
DCR
QA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Qatar Government International Bond
Qatar Government International Bond
Y
buy protection
2020-12-20
1052.27000000
USD
0.00000000
USD
1660000.00000000
USD
-3120.63000000
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
-407440.49000000
-0.01287320721
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-18
0.00000000
EUR
0.00000000
EUR
2876000.00000000
EUR
-407440.49000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389AZU0
1184091.28000000
PA
USD
1218486.11000000
0.038498442257
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.41000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV1WGGT2 IRS USD R V 03MLIBOR 1 CCP VANILLA / Short: BEV1WGGT2 IRS USD P F 2.50000 2 CCP VANILLA
000000000
144.00000000
OU
Notional Amount
USD
-39.58000000
-0.00000125054
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
2046-06-15
0.00000000
USD
-11.47000000
USD
144.00000000
USD
-28.11000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill- When Issued
912796TU3
150000000.00000000
PA
USD
149989989.00000000
4.738979692364
Long
STIV
UST
US
N
2
2020-12-03
None
0.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-264776.52000000
-0.00836569533
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
12364700000.00000000
CLP
15722968.93000000
USD
2020-12-16
-264776.52000000
N
N
N
COOF 2199827010
N/A
COOF 2199827010
000000000
656293.38000000
PA
USD
90636.55000000
0.002863689588
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.21000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
447572.33000000
0.014141185000
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
25055000.00000000
TRY
3160915.91000000
USD
2021-05-17
447572.33000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358TLW7
68233.90000000
PA
USD
72214.40000000
0.002281636110
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
7.50000000
N
N
N
N
N
N
COOF 8868325005
N/A
COOF 8868325005
000000000
1200688.39000000
PA
USD
151202.81000000
0.004777299143
Long
ABS-MBS
CORP
US
N
2
2043-07-15
Fixed
2.98000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
10331850000.00000000
PA
112228892.73000000
3.545906277411
Long
DBT
NUSS
RS
N
2
2023-07-21
Fixed
5.75000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
4621000.00000000
PA
USD
674943.26000000
0.021325039250
Long
DBT
NUSS
LB
Y
2
2031-11-20
None
0.00000000
Y
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-46987.87000000
-0.00148459616
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
25265000.00000000
SAR
6685631.12000000
USD
2021-03-11
-46987.87000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
5477000.00000000
PA
USD
5941910.71000000
0.187736490790
Long
DBT
NUSS
BH
Y
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-400622.05000000
-0.01265777650
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2501863495.25000000
THB
79845008.47000000
USD
2021-01-26
-400622.05000000
N
N
N
Republic of Belarus
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond
000000000
6700000.00000000
PA
USD
6643217.50000000
0.209894493854
Long
DBT
NUSS
BY
Y
2
2023-02-28
Fixed
6.88000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359AMH9
38973.69000000
PA
USD
41732.27000000
0.001318543866
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Fixed
7.00000000
N
N
N
N
N
N
JSC GEORGIA CAPITAL
635400VNH3KVFQNWDH25
Georgia Capital JSC
000000000
5296000.00000000
PA
USD
5190080.00000000
0.163982168981
Long
DBT
CORP
GE
Y
2
2024-03-09
Fixed
6.13000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
328345000000.00000000
PA
23135693.85000000
0.730979341053
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-232.80000000
-0.00000735538
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
16478.73000000
USD
63000000.00000000
COP
2020-12-16
-232.80000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-144047.79000000
-0.00455123409
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5362029.50000000
USD
415000000.00000000
RUB
2020-11-13
-144047.79000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
311403.82000000
0.009838899175
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
40726000.00000000
EUR
47771166.30000000
USD
2020-11-30
311403.82000000
N
N
N
COOF 2260027006
N/A
COOF 2260027006
000000000
373323.60000000
PA
USD
38715.33000000
0.001223222722
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 Gold Pool
31335PLG8
512366.58000000
PA
USD
561843.87000000
0.017751629345
Long
ABS-MBS
USGSE
US
N
2
2030-10-17
Fixed
8.00000000
N
N
N
N
N
N
COOF 9726965008
N/A
COOF 9726965008
000000000
590947.29000000
PA
USD
68290.08000000
0.002157646016
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358RAL7
70597.70000000
PA
USD
73097.62000000
0.002309541717
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D3R4
7383.65000000
PA
USD
7695.97000000
0.000243156531
Long
ABS-MBS
USGSE
US
N
2
2026-01-15
Fixed
8.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
214270.11000000
0.006769929824
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
5511695.46000000
USD
90130000.00000000
EGP
2020-11-10
214270.11000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-674.82000000
-0.00002132114
N/A
DFE
MX
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
4847068.76000000
USD
103308000.00000000
MXN
2020-12-18
-674.82000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
119695.04000000
0.003781801489
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
15653950.34000000
EUR
18361917.82000000
USD
2020-11-30
119695.04000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-7169.82000000
-0.00022653266
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1230565.71000000
USD
4744200000.00000000
COP
2020-12-16
-7169.82000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
209208.30000000
0.006610000385
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
27360668.43000000
EUR
32093774.05000000
USD
2020-11-30
209208.30000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
81094.75000000
0.002562213491
N/A
DFE
GB
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
9724332.59000000
USD
7567574.00000000
GBP
2020-11-30
81094.75000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
1298362.25000000
0.041022153392
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
142399175.00000000
AUD
101435204.33000000
USD
2021-01-28
1298362.25000000
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
628416.11000000
0.019854999680
N/A
DFE
KR
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
14382920.41000000
USD
17068390000.00000000
KRW
2020-12-01
628416.11000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJX4
17307.76000000
PA
USD
18827.46000000
0.000594859371
Long
ABS-MBS
USGSE
US
N
2
2026-11-20
Fixed
7.31000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
724214.71000000
0.022881785821
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
94714212.88000000
EUR
111098767.74000000
USD
2020-11-30
724214.71000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
55625.08000000
0.001757491458
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
7274756.69000000
EUR
8533212.48000000
USD
2020-11-30
55625.08000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
216777.72000000
0.006849158531
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5094174.32000000
USD
6038729496.00000000
KRW
2020-12-01
216777.72000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BMR3
8671.69000000
PA
USD
9122.16000000
0.000288217442
Long
ABS-MBS
USGA
US
N
2
2023-07-20
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PD51
34104.08000000
PA
USD
37863.75000000
0.001196316791
Long
ABS-MBS
USGSE
US
N
2
2027-05-17
Fixed
9.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128C6R76
173716.43000000
PA
USD
190539.32000000
0.006020148238
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
4.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-56766.28000000
-0.00179354802
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3177218.71000000
USD
17905000.00000000
BRL
2020-11-04
-56766.28000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
31342.55000000
0.000990277477
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1493560.00000000
TRY
193088.37000000
USD
2021-05-17
31342.55000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-7492.24000000
-0.00023671962
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
353309227.95000000
RUB
4434823.64000000
USD
2020-11-13
-7492.24000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359KQT7
29852.96000000
PA
USD
33402.37000000
0.001055358121
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Fixed
7.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
331717.97000000
0.010480730973
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
43382723.00000000
EUR
50887474.22000000
USD
2020-11-30
331717.97000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-131465.94000000
-0.00415370668
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3912000.00000000
OMR
9949641.39000000
USD
2021-07-06
-131465.94000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6646.96000000
-0.00021001273
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
4281671.89000000
USD
3668468.96000000
EUR
2020-11-30
-6646.96000000
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
22758000.00000000
PA
7219441.85000000
0.228100478874
Long
DBT
NUSS
GE
N
2
2022-04-09
Fixed
9.38000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1058754.84000000
0.033451683805
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
48329354.00000000
TRY
6292606.06000000
USD
2021-05-17
1058754.84000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
55899.75000000
0.001766169741
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
11272943.00000000
SGD
8309274.18000000
USD
2021-01-26
55899.75000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390PTM9
14446.81000000
PA
USD
15244.08000000
0.000481641381
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Floating
7.67000000
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
-109392.21000000
-0.00345628041
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-28
0.00000000
USD
0.00000000
USD
1688000.00000000
USD
-109392.21000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BLD5
28327.92000000
PA
USD
29911.07000000
0.000945049427
Long
ABS-MBS
USGA
US
N
2
2023-06-20
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PMR3
546584.82000000
PA
USD
619533.29000000
0.019574344258
Long
ABS-MBS
USGSE
US
N
2
2029-08-17
Fixed
7.00000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
453000.00000000
PA
USD
67044.00000000
0.002118275737
Long
DBT
NUSS
LB
Y
2
2030-02-26
None
0.00000000
Y
N
N
N
N
N
COOF 8397915008
N/A
COOF 8397915008
000000000
609892.15000000
PA
USD
46792.72000000
0.001478430335
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Fixed
2.63000000
N
N
N
N
N
N
Telecom Argentina SA
549300MKPIRSJD8SB782
Telecom Argentina SA
879273209
143100.00000000
NS
USD
917271.00000000
0.028981458498
Long
EC
CORP
AR
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-25883.58000000
-0.00081779964
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
7872000.00000000
GHS
1183759.40000000
USD
2021-07-12
-25883.58000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-571744.45000000
-0.01806444120
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4825591.42000000
USD
39280000.00000000
TRY
2021-05-17
-571744.45000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387CV57
90037.37000000
PA
USD
93106.68000000
0.002941734102
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Floating
3.79000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PLX1
116081.83000000
PA
USD
121113.34000000
0.003826613113
Long
ABS-MBS
USGSE
US
N
2
2024-03-17
Fixed
6.50000000
N
N
N
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
Barbados Government International Bond
067070AH5
28150700.00000000
PA
USD
27376555.75000000
0.864970673116
Long
DBT
NUSS
BB
N
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
4385000.00000000
PA
1359378.25000000
0.042949972621
Long
DBT
NUSS
GE
N
2
2021-01-17
Fixed
7.25000000
N
N
N
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
1279138064.00000000
PA
11257684.35000000
0.355689988867
Long
DBT
NUSS
IS
N
2
2025-06-12
Fixed
8.00000000
N
N
N
N
N
N
COOF 2099157002
N/A
COOF 2099157002
000000000
824052.68000000
PA
USD
71412.49000000
0.002256299518
Long
ABS-MBS
CORP
US
N
2
2028-04-15
Fixed
3.71000000
N
N
N
N
N
N
Republic of Zambia
N/A
Zambia Government International Bond
000000000
200000.00000000
PA
USD
88248.46000000
0.002788237152
Long
DBT
NUSS
ZM
Y
2
2022-09-20
Fixed
5.38000000
N
N
N
N
N
N
COOF 1847217009
N/A
COOF 1847217009
000000000
1698147.18000000
PA
USD
186077.56000000
0.005879177563
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
COOF 2373147003
N/A
COOF 2373147003
000000000
896354.30000000
PA
USD
62889.37000000
0.001987008928
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
1.91000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
592603.11000000
0.018723476964
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
30870000.00000000
TRY
4070803.23000000
USD
2021-02-26
592603.11000000
N
N
N
COOF 2323427006
N/A
COOF 2323427006
000000000
461807.01000000
PA
USD
49047.13000000
0.001549659111
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Vista Oil & Gas SAB de CV
549300UDOHP7958KNS89
Vista Oil & Gas SAB de CV
92837L109
477800.00000000
NS
USD
950822.00000000
0.030041512630
Long
EC
CORP
MX
N
1
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8GT5
934357.37000000
PA
USD
1086736.20000000
0.034335763453
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KU69
844850.73000000
PA
USD
958093.00000000
0.030271242105
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
7.00000000
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
125520.61000000
0.003965862160
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
144114.98000000
USD
0.00000000
USD
7068000.00000000
USD
-18594.37000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-163132.87000000
-0.00515423304
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
50898000.00000000
SAR
13371338.50000000
USD
2022-03-14
-163132.87000000
N
N
N
COOF 9641005003
N/A
COOF 9641005003
000000000
661808.06000000
PA
USD
88042.57000000
0.002781731994
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
208975000.00000000
PA
12666924.19000000
0.400215353713
Long
STIV
NUSS
EG
N
2
2021-04-06
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-186052.83000000
-0.00587839621
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
288627683.00000000
AED
78294207.98000000
USD
2022-02-10
-186052.83000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
12582.48000000
0.000397547313
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
21380000.00000000
ZAR
1320057.68000000
USD
2020-12-14
12582.48000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4A9RC1 TRS USD R E BEV4A9RD9 EQUITYTRS / Short: BEV4A9RC1 TRS USD P F .26000 BEV4A9RE7 EQUITYTRS
000000000
35100000.00000000
OU
Notional Amount
USD
-892422.18000000
-0.02819635241
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 6 Month Forward
BCOMF6 Index
Y
equity-performance leg
2020-12-17
0.00000000
USD
0.00000000
USD
35100000.00000000
USD
-892422.18000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
4258.45000000
0.000134547033
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
563300000.00000000
CRC
927166.49000000
USD
2021-01-20
4258.45000000
N
N
N
COOF 1293627000
N/A
COOF 1293627000
000000000
1497486.07000000
PA
USD
128932.30000000
0.004073655551
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
32063.35000000
0.001013051374
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8688942.00000000
NZD
5777451.31000000
USD
2021-01-07
32063.35000000
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
-2382978.69000000
-0.07529094237
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-12-16
0.00000000
USD
0.00000000
USD
33064000.00000000
USD
-2382978.69000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
105655.64000000
0.003338222341
N/A
DFE
ZA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3229365.84000000
USD
54554000.00000000
ZAR
2020-12-17
105655.64000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
42709.49000000
0.001349419432
N/A
DFE
CN
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2034639.46000000
USD
13980821.57000000
CNY
2021-01-11
42709.49000000
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
-289099.51000000
-0.00913418766
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
-71729.45000000
USD
12396000.00000000
USD
-217370.06000000
N
N
N
COOF 9473635004
N/A
COOF 9473635004
000000000
932491.15000000
PA
USD
121633.34000000
0.003843042672
Long
ABS-MBS
CORP
US
N
2
2042-07-15
Fixed
3.46000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BM8
1649000000.00000000
PA
43960941.76000000
1.388959434204
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
6.25000000
N
N
N
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
1335384000.00000000
PA
9622905.37000000
0.304038645739
Long
DBT
NUSS
IS
N
2
2021-08-05
Fixed
3.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
686877.93000000
0.021702118808
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
37440000.00000000
TRY
4741461.19000000
USD
2021-05-17
686877.93000000
N
N
N
RMOF SD 12/8/2017
N/A
RMOF SD 12/8/2017
000000000
31121335.28000000
PA
USD
2653852.43000000
0.083849281249
Long
ABS-MBS
CORP
US
N
2
2039-10-29
Fixed
2.33000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV42G4F2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV42G4F2 IRS USD P F .66720 CCP LCH
000000000
1330000.00000000
OU
Notional Amount
USD
24163.09000000
0.000763440237
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-29
0.00000000
USD
0.00000000
USD
1330000.00000000
USD
24163.09000000
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
306756.57000000
0.009692067886
N/A
DIR
SG
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-08-14
0.00000000
SGD
0.00000000
SGD
9469000.00000000
SGD
306756.57000000
N
N
N
COOF 2191127007
N/A
COOF 2191127007
000000000
198363.92000000
PA
USD
25573.90000000
0.000808015211
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359H6F6
91072.97000000
PA
USD
99392.19000000
0.003140326718
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
8.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
301.94000000
0.000009539886
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3115823.18000000
USD
17905000.00000000
BRL
2020-12-02
301.94000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-24440.99000000
-0.00077222057
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3746641.26000000
USD
279151000.00000000
INR
2021-01-05
-24440.99000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-180541.50000000
-0.00570426405
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
101024000.00000000
SAR
26680047.54000000
USD
2022-03-28
-180541.50000000
N
N
N
RMOF SD 10/06/17
N/A
RMOF SD 10/06/17
000000000
20027918.26000000
PA
USD
1594181.13000000
0.050368641609
Long
ABS-MBS
CORP
US
N
2
2036-03-19
Fixed
2.24000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
48464.37000000
0.001531246630
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2313709.69000000
USD
15897730.65000000
CNY
2021-01-11
48464.37000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
638303.70000000
0.020167401118
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
7726089.42000000
USD
136520000.00000000
EGP
2021-03-08
638303.70000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
8522.91000000
0.000269283954
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1114643.41000000
EUR
1307464.90000000
USD
2020-11-30
8522.91000000
N
N
N
UBS Switzerland AG
549300WOIFUSNYH0FL22
Long: BEV46NQ93 TRS USD R F .00000 CNY SZCOMP+0BPS / Short: BEV46NQ93 TRS USD P V 03MLIBOR US0003M-1100BPS
000000000
1.00000000
NC
N/A
84441.38000000
0.002667951292
N/A
DFE
US
N
2
UBS Switzerland AG
549300WOIFUSNYH0FL22
5407826.89000000
USD
5407826.89000000
USD
2021-02-12
84441.38000000
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
889474.02000000
0.028103204392
N/A
DIR
SG
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-10-23
0.00000000
SGD
0.00000000
SGD
19000000.00000000
SGD
889474.02000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
9127963A5
54900000.00000000
PA
USD
54898120.22000000
1.734522941204
Long
STIV
UST
US
N
2
2020-11-19
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV48DE47 TRS USD R F .00000 / Short: BEV48DE47 TRS USD P E GCG120212 GOLD100 OZFEB21
000000000
6313600.00000000
OU
Notional Amount
USD
274560.00000000
0.008674807385
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Gold (100 oz)
GCG1 Comdty
Y
equity-performance leg
2021-01-29
0.00000000
USD
0.00000000
USD
6313600.00000000
USD
274560.00000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
487456.66000000
0.015401342636
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
24687000.00000000
TRY
3160947.50000000
USD
2021-05-17
487456.66000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
124306.84000000
0.003927512724
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
289498690734.00000000
IDR
19742868.60000000
USD
2020-11-23
124306.84000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359B4M6
66124.47000000
PA
USD
70934.24000000
0.002241189062
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Fixed
7.00000000
N
N
N
N
N
N
Vietnam Dairy Products JSC
N/A
Vietnam Dairy Products JSC
000000000
474081.00000000
NS
2215050.48000000
0.069985199094
Long
EC
CORP
VN
N
2
N
N
N
COOF 9110125005
N/A
COOF 9110125005
000000000
1465429.04000000
PA
USD
133040.63000000
0.004203459497
Long
ABS-MBS
CORP
US
N
2
2042-02-15
Fixed
2.16000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PGF6
77515.05000000
PA
USD
80874.90000000
0.002555267263
Long
ABS-MBS
USGSE
US
N
2
2024-09-17
Fixed
6.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-328171.36000000
-0.01036867474
N/A
DFE
TR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2079778.07000000
USD
15546000.00000000
TRY
2021-02-26
-328171.36000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
417.16000000
0.000013180298
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
54557.38000000
EUR
63995.23000000
USD
2020-11-30
417.16000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PH99
44659.31000000
PA
USD
46795.68000000
0.001478523858
Long
ABS-MBS
USGSE
US
N
2
2024-08-17
Fixed
7.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV2JCG49 CDS USD R V 03MEVENT BOA OMAN XS1575874471/6EA256 / Short: BEV2JCG49 CDS USD P F 1.00000 OMAN SULTANATE OF (GOVEMENT)
000000000
20851000.00000000
OU
Notional Amount
USD
987545.06000000
0.031201788971
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
339977.02000000
USD
0.00000000
USD
20851000.00000000
USD
647568.04000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-172379.51000000
-0.00544638347
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
84513000.00000000
SAR
22298944.59000000
USD
2022-03-24
-172379.51000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV45M128 IRS KRW R V 03MKSDA 1 CCPNDF / Short: BEV45M128 IRS KRW P F .91750 2 CCPNDF
000000000
23283000000.00000000
OU
Notional Amount
372965.26000000
0.011783951748
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-27
0.00000000
KRW
0.00000000
KRW
23283000000.00000000
KRW
372965.26000000
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31397VD87
15224884.29000000
PA
USD
1253770.74000000
0.039613270961
Long
ABS-MBS
USGSE
US
N
2
2048-02-25
Fixed
3.50000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-4409150.51000000
-0.13930846229
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
676389447.21000000
USD
576637305.68000000
EUR
2020-11-30
-4409150.51000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2S7
85605.64000000
PA
USD
99257.77000000
0.003136079677
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
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
-86291.40000000
-0.00272640324
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
3961.54000000
USD
0.00000000
USD
3700000.00000000
USD
-90252.94000000
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
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 SAR
000000000
1.00000000
NC
-383398.41000000
-0.01211359032
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
122510000.00000000
SAR
32193679.02000000
USD
2022-03-14
-383398.41000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
116926.51000000
0.003694328935
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
9318335.56000000
NZD
6278387.00000000
USD
2020-12-02
116926.51000000
N
N
N
Hoa Phat Group JSC
549300ODJEFGL5CWKD32
Hoa Phat Group JSC
000000000
953288.00000000
NS
1259613.84000000
0.039797885497
Long
EC
CORP
VN
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RHB034 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RHB034 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
86108000.00000000
OU
Notional Amount
USD
16970595.18000000
0.536191158233
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Turkey Government International Bond
Turkey Government International Bond
Y
buy protection
2025-12-20
15601428.75000000
USD
0.00000000
USD
86108000.00000000
USD
1369166.43000000
N
N
N
COOF 2033337005
N/A
COOF 2033337005
000000000
303402.17000000
PA
USD
24394.50000000
0.000770751707
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV484Y03 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: BEV484Y03 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
47716000.00000000
OU
Notional Amount
USD
1591424.03000000
0.050281530190
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
buy protection
2030-12-20
1616763.68000000
USD
0.00000000
USD
47716000.00000000
USD
-25339.65000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-66054.06000000
-0.00208699827
N/A
DFE
RU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3094164.52000000
USD
240726000.00000000
RUB
2020-11-09
-66054.06000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PL86
427017.73000000
PA
USD
470321.21000000
0.014859942839
Long
ABS-MBS
USGSE
US
N
2
2035-06-17
Fixed
7.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
301.94000000
0.000009539886
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3115823.18000000
USD
17905000.00000000
BRL
2020-12-02
301.94000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
9245.67000000
0.000292119778
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
21589260057.00000000
IDR
1472292.81000000
USD
2020-11-23
9245.67000000
N
N
N
Reginn HF
9676000V0KP4AUXNSZ66
Reginn HF
000000000
15791200.00000000
NS
1799285.87000000
0.056848988759
Long
EC
CORP
IS
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GHS
000000000
1.00000000
NC
-25812.68000000
-0.00081555953
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3855000.00000000
GHS
577528.09000000
USD
2021-06-02
-25812.68000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7X76
3678554.87000000
PA
USD
4254205.30000000
0.134412920877
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-2254070.50000000
-0.07121804859
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
14317464.56000000
USD
107066000.00000000
TRY
2021-02-26
-2254070.50000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283H6C4
720161.06000000
PA
USD
841380.30000000
0.026583668562
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV47PHU0 IRS MXN R F 4.42000 2 CCPVANILLA / Short: SEV47PHU0 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
785600000.00000000
OU
Notional Amount
-9939.86000000
-0.00031405292
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2021-09-01
0.00000000
MXN
0.00000000
MXN
785600000.00000000
MXN
-9939.86000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-433222.74000000
-0.01368780530
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
67435000.00000000
CNY
9632979.69000000
USD
2020-11-09
-433222.74000000
N
N
N
COOF 1533797005
N/A
COOF 1533797005
000000000
277421.52000000
PA
USD
33922.58000000
0.001071794316
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CS29
33245.62000000
PA
USD
36744.70000000
0.001160960063
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
9.50000000
N
N
N
N
N
N
COOF 2137117003
N/A
COOF 2137117003
000000000
1046620.50000000
PA
USD
95877.37000000
0.003029274903
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
COOF 9693035003
N/A
COOF 9693035003
000000000
846393.98000000
PA
USD
114589.15000000
0.003620479329
Long
ABS-MBS
CORP
US
N
2
2042-10-15
Fixed
2.91000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
262619.05000000
0.008297529408
N/A
DFE
GB
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
31491495.00000000
USD
24507000.00000000
GBP
2020-11-30
262619.05000000
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
-273145.03000000
-0.00863010097
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-12
0.00000000
EUR
0.00000000
EUR
1847000.00000000
EUR
-273145.03000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-271106.45000000
-0.00856569141
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
42100000.00000000
CNY
6013272.91000000
USD
2020-11-09
-271106.45000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-34617.73000000
-0.00109375779
N/A
DFE
CA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3348959.54000000
USD
4414732.42000000
CAD
2020-12-16
-34617.73000000
N
N
N
COOF 1971467000
N/A
COOF 1971467000
000000000
778485.68000000
PA
USD
67101.86000000
0.002120103841
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.41000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396QCX5
2380157.08000000
PA
USD
2666223.99000000
0.084240164481
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
5.85000000
N
N
N
N
N
N
COOF 2347087005
N/A
COOF 2347087005
000000000
307711.74000000
PA
USD
49857.44000000
0.001575261104
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
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
349522.60000000
0.011043273717
N/A
DIR
SG
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-08-14
0.00000000
SGD
0.00000000
SGD
10653000.00000000
SGD
349522.60000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV49HQG7 IRS BRL R V 00MBRCDI 1 CCPNDFPREDISWAP / Short: BEV49HQG7 IRS BRL P F 3.41500 2 CCPNDFPREDISWAP
000000000
243242740.00000000
OU
Notional Amount
-35322.64000000
-0.00111602964
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
243242740.00000000
BRL
-35322.64000000
N
N
N
COOF 9511595007
N/A
COOF 9511595007
000000000
1374862.06000000
PA
USD
89827.11000000
0.002838115083
Long
ABS-MBS
CORP
US
N
2
2027-06-15
Fixed
3.21000000
N
N
N
N
N
N
Hellenic Telecommunications Organization SA
ELPUFM0XZRZO4LFXW404
Hellenic Telecommunications Organization SA
000000000
86871.00000000
NS
1152057.68000000
0.036399615643
Long
EC
CORP
GR
N
2
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
-2267445.56000000
-0.07164063771
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-01-09
0.00000000
NZD
0.00000000
NZD
16900000.00000000
NZD
-2267445.56000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1136.08000000
-0.00003589479
N/A
DFE
MY
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3275254.67000000
USD
13670913.00000000
MYR
2021-02-02
-1136.08000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PLD5
145744.20000000
PA
USD
149323.69000000
0.004717927771
Long
ABS-MBS
USGSE
US
N
2
2024-06-17
Fixed
8.00000000
N
N
N
N
N
N
COOF 9662795005
N/A
COOF 9662795005
000000000
2857523.21000000
PA
USD
295527.79000000
0.009337291139
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.61000000
N
N
N
N
N
N
COOF 9541525009
N/A
COOF 9541525009
000000000
411393.08000000
PA
USD
23956.74000000
0.000756920545
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.96000000
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
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV45M0D5 IRS CNY R F 2.34000 2 CCPNDF / Short: SEV45M0D5 IRS CNY P V 00MCNRR 1 CCPNDF
000000000
581750000.00000000
OU
Notional Amount
-116364.77000000
-0.00367658058
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-07-27
0.00000000
CNY
0.00000000
CNY
581750000.00000000
CNY
-116364.77000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
195929.17000000
0.006190442201
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
25623998.87000000
EUR
30056679.06000000
USD
2020-11-30
195929.17000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
27458000.00000000
PA
USD
26359680.00000000
0.832842172001
Long
DBT
NUSS
DO
Y
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133T3WY0
145753.59000000
PA
USD
156866.29000000
0.004956238530
Long
ABS-MBS
USGSE
US
N
2
2024-01-15
Fixed
6.50000000
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
3475378.12000000
0.109805637321
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2042-08-15
0.00000000
EUR
0.00000000
EUR
13346000.00000000
EUR
3475378.12000000
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
-49149.20000000
-0.00155288404
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-11
0.00000000
USD
0.00000000
USD
885000.00000000
USD
-49149.20000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
10545.96000000
0.000333202839
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
79470000.00000000
UAH
2734686.85000000
USD
2021-01-13
10545.96000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-1075589.12000000
-0.03398356804
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9651509.22000000
USD
79190000.00000000
TRY
2021-05-17
-1075589.12000000
N
N
N
COOF 2066977005
N/A
COOF 2066977005
000000000
991095.12000000
PA
USD
79792.87000000
0.002521080193
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
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
40966000.00000000
OU
Notional Amount
USD
-754962.41000000
-0.02385326883
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
-1101494.54000000
USD
40966000.00000000
USD
346532.13000000
N
N
N
ARAGVI FINANCE INTL
635400VKAYT1VT6VBF50
Aragvi Finance International DAC
000000000
11426000.00000000
PA
USD
11968735.00000000
0.378155852176
Long
DBT
CORP
IE
Y
2
2024-04-09
Fixed
12.00000000
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
148729.97000000
0.004699169005
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
192319.64000000
USD
0.00000000
USD
10690000.00000000
USD
-43589.67000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
9311.18000000
0.000294189587
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
825695610.56000000
RUB
10391153.57000000
USD
2020-11-13
9311.18000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-120883.76000000
-0.00381935946
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4134718.75000000
USD
319231000.00000000
RUB
2020-11-13
-120883.76000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5179129.82000000
0.163636194686
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
592412737.89000000
EUR
695132669.47000000
USD
2020-11-03
5179129.82000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV41GJ00 IRS COP R V 00MDTF DTF RATE 90D NONCOMPUNDING / Short: BEV41GJ00 IRS COP P F 3.49000 CCP CME
000000000
7936800000.00000000
OU
Notional Amount
-48025.91000000
-0.00151739335
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-13
0.00000000
COP
0.00000000
COP
7936800000.00000000
COP
-48025.91000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
6269749.63000000
0.198094661989
N/A
DFE
ZA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
77821725.00000000
USD
1375561246.80000000
ZAR
2020-12-17
6269749.63000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MAE88
6102565.10000000
PA
USD
7067870.68000000
0.223311541284
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
7.00000000
N
N
N
N
N
N
COOF 9664715007
N/A
COOF 9664715007
000000000
685570.20000000
PA
USD
57787.45000000
0.001825812201
Long
ABS-MBS
CORP
US
N
2
2042-11-15
Fixed
2.41000000
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 1st Lien Term Loan
000000000
17415000.00000000
PA
USD
17342344.62000000
0.547936695776
Long
LON
CORP
KE
N
2
2025-06-29
Floating
6.81000000
N
N
N
N
N
N
COOF 2160437003
N/A
COOF 2160437003
000000000
521399.85000000
PA
USD
42866.42000000
0.001354377683
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
42620.66000000
0.001346612821
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2034728.29000000
USD
13980821.57000000
CNY
2021-01-11
42620.66000000
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
-778274.17000000
-0.02458981103
N/A
DIR
CD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-19
0.00000000
CAD
0.00000000
CAD
23340000.00000000
CAD
-778274.17000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
472.07000000
0.000014915196
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
131200000.00000000
COP
34369.48000000
USD
2020-11-05
472.07000000
N
N
N
COOF 9667865001
N/A
COOF 9667865001
000000000
1876943.38000000
PA
USD
123427.71000000
0.003899736342
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.61000000
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
-204315.51000000
-0.00645541118
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-03
0.00000000
USD
0.00000000
USD
4650000.00000000
USD
-204315.51000000
N
N
N
COOF 1691217001
N/A
COOF 1691217001
000000000
1643144.77000000
PA
USD
213177.58000000
0.006735411004
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
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
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EGP
000000000
1.00000000
NC
-706922.11000000
-0.02233542082
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
179916000.00000000
EGP
10316284.40000000
USD
2021-03-08
-706922.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D4D4
25245.01000000
PA
USD
26983.19000000
0.000852542161
Long
ABS-MBS
USGSE
US
N
2
2027-11-15
Fixed
7.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-470598.25000000
-0.01486869600
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7981398.76000000
USD
65220000.00000000
TRY
2021-01-13
-470598.25000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZP5
65072.22000000
PA
USD
65826.82000000
0.002079818561
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Floating
1.91000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
750000.00000000
PA
USD
687142.50000000
0.021710477979
Long
DBT
NUSS
OM
Y
2
2028-01-17
Fixed
5.63000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1212.92000000
-0.00003832257
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2022910.73000000
USD
8429469.00000000
MYR
2020-12-02
-1212.92000000
N
N
N
SSI Securities Corp
213800IF2RICE613K743
SSI Securities Corp
000000000
775425.00000000
NS
574211.28000000
0.018142381456
Long
EC
CORP
VN
N
2
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
52973.20000000
0.001673704496
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
148100000000.00000000
IDR
9983147.96000000
USD
2021-01-26
52973.20000000
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
223999.30000000
0.007077326566
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
227233.12000000
USD
0.00000000
USD
16100000.00000000
USD
-3233.82000000
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
-306865.30000000
-0.00969550324
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-07-23
0.00000000
EUR
-21690.80000000
EUR
6626700.00000000
EUR
-282900.02000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6N1
329921.79000000
PA
USD
373866.09000000
0.011812413748
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
8.50000000
N
N
N
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
-121514.35000000
-0.00383928314
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-12-11
0.00000000
USD
0.00000000
USD
770000.00000000
USD
-121514.35000000
N
N
N
COOF 9632135005
N/A
COOF 9632135005
000000000
3592461.66000000
PA
USD
283058.66000000
0.008943325154
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.11000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
112400000.00000000
PA
4178678.22000000
0.132026619626
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
2.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7PT7
3713514.21000000
PA
USD
4302814.38000000
0.135948739664
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
11982.18000000
0.000378580651
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1438403.71000000
USD
2193467.00000000
NZD
2021-01-13
11982.18000000
N
N
N
RELIANCE COMMUNICATION
3358004XUDHE13A1HZ26
Reliance Communications Ltd
000000000
1800000.00000000
PA
USD
117000.00000000
0.003696650874
Long
DBT
CORP
IN
Y
2
2020-11-06
None
0.00000000
Y
N
N
N
N
N
COOF 9600905006
N/A
COOF 9600905006
000000000
568650.36000000
PA
USD
94931.86000000
0.002999401224
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
3.71000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV41GL31 IRS CLP R V 00MCLOIS CLICP+0BPS CCP CME / Short: BEV41GL31 IRS CLP P F 1.47500 CCP CME
000000000
6418690000.00000000
OU
Notional Amount
-145762.12000000
-0.00460539887
N/A
DIR
CL
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-13
0.00000000
CLP
0.00000000
CLP
6418690000.00000000
CLP
-145762.12000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-526081.33000000
-0.01662170092
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4826170.47000000
USD
39707000.00000000
TRY
2021-05-17
-526081.33000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225ATR1
67279.97000000
PA
USD
71517.85000000
0.002259628399
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
620733.06000000
0.019612251359
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
116162562.82000000
PEN
32749524.34000000
USD
2020-11-05
620733.06000000
N
N
N
COOF 2268427002
N/A
COOF 2268427002
000000000
1275335.58000000
PA
USD
132901.39000000
0.004199060167
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-102816.04000000
-0.00324850430
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3310000.00000000
OMR
8422391.86000000
USD
2021-07-19
-102816.04000000
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
-244069.02000000
-0.00771143552
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
-12810.63000000
USD
9620000.00000000
USD
-231258.39000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HSP1
983177.77000000
PA
USD
1143199.69000000
0.036119744733
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV41CQ01 IRS USD R V 03MLIBOR US003M+0BPS CCP LCH / Short: BEV41CQ01 IRS USD P F .60470 CCP LCH
000000000
5602000.00000000
OU
Notional Amount
USD
132370.72000000
0.004182293485
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-12
0.00000000
USD
0.00000000
USD
5602000.00000000
USD
132370.72000000
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
2601269.80000000
0.082187916931
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
1869818.94000000
USD
0.00000000
USD
16600000.00000000
USD
731450.86000000
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
-420433.74000000
-0.01328373292
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-03-20
0.00000000
USD
0.00000000
USD
4680000.00000000
USD
-420433.74000000
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31348QHB7
10308.05000000
PA
USD
10392.33000000
0.000328348852
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Floating
3.34000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-197956.39000000
-0.00625449283
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
36238052.00000000
NZD
23763725.89000000
USD
2021-01-13
-197956.39000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
14581000.00000000
PA
USD
2096018.75000000
0.066224355087
Long
DBT
NUSS
LB
Y
2
2024-04-22
None
0.00000000
Y
N
N
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
9051.99000000
0.000286000399
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-04-15
0.00000000
USD
0.00000000
USD
1886000.00000000
USD
9051.99000000
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
352007.54000000
0.011121786158
N/A
DIR
SG
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-08-14
0.00000000
SGD
0.00000000
SGD
10889000.00000000
SGD
352007.54000000
N
N
N
COOF 9682415004
N/A
COOF 9682415004
000000000
3514721.14000000
PA
USD
353529.52000000
0.011169873583
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV48LCS8 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV48LCS8 CDS USD P F 1.00000 2 SOVEREIGN
000000000
1575000.00000000
OU
Notional Amount
USD
52529.40000000
0.001659682499
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Saudi Government International Bond
Saudi Government International Bond
Y
buy protection
2030-12-20
59639.10000000
USD
0.00000000
USD
1575000.00000000
USD
-7109.70000000
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
-424580.81000000
-0.01341476087
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-25
0.00000000
USD
0.00000000
USD
3150000.00000000
USD
-424580.81000000
N
N
N
Ethiopian Railways Corporation
N/A
ETHIOPIAN RAILWAYS CORPORATION DELAYED DRAW TERM LOAN
000000000
3466666.69000000
PA
USD
3448893.09000000
0.108968834677
Long
LON
CORP
ET
N
2
2021-08-02
Floating
4.06000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-1847.92000000
-0.00005838559
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
17905000.00000000
BRL
3118604.51000000
USD
2020-11-04
-1847.92000000
N
N
N
GEORGIA T-BILL
N/A
Georgia Treasury Bills
000000000
7000000.00000000
PA
2054268.83000000
0.064905253563
Long
STIV
NUSS
GE
N
2
2021-07-15
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1984132.98000000
0.062689289877
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
64092000.00000000
TRY
9205538.95000000
USD
2021-02-26
1984132.98000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-9332.92000000
-0.00029487646
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1541770.62000000
USD
5942631500.00000000
COP
2020-12-16
-9332.92000000
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
-90315.99000000
-0.00285356139
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-20
0.00000000
USD
0.00000000
USD
700000.00000000
USD
-90315.99000000
N
N
N
Landsbankinn HF
549300TLZPT6JELDWM92
Landsbankinn HF
000000000
560000000.00000000
PA
4252744.99000000
0.134366781935
Long
DBT
CORP
IS
Y
2
2023-11-23
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B1TS3
15079079.51000000
PA
USD
1287869.50000000
0.040690631738
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Fixed
3.00000000
N
N
N
N
N
N
COOF 9056075001
N/A
COOF 9056075001
000000000
383230.69000000
PA
USD
24364.48000000
0.000769803216
Long
ABS-MBS
CORP
US
N
2
2027-03-15
Fixed
3.46000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-56766.28000000
-0.00179354802
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3177218.71000000
USD
17905000.00000000
BRL
2020-11-04
-56766.28000000
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31346AF83
217705.93000000
PA
USD
230441.63000000
0.007280873957
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Floating
4.36000000
N
N
N
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
-199231.68000000
-0.00629478601
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-23
0.00000000
USD
0.00000000
USD
3880000.00000000
USD
-199231.68000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZL4
2187054.10000000
PA
USD
2552327.78000000
0.080641578803
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Nomura Asset Management U.S.A. Inc.
549300ZN36E1MEF7S595
Long: BEV487YT3 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV487YT3 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
1500000.00000000
OU
Notional Amount
USD
-20170.50000000
-0.00063729313
N/A
DCR
US
N
2
Nomura Asset Management U.S.A. Inc.
549300ZN36E1MEF7S595
Vietnam Government International Bond
Vietnam Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-18570.96000000
USD
1500000.00000000
USD
-1599.54000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
860602.66000000
0.027191004920
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
19310153.68000000
USD
22936000000.00000000
KRW
2020-12-10
860602.66000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PJY2
8409.93000000
PA
USD
8530.16000000
0.000269513020
Long
ABS-MBS
USGSE
US
N
2
2024-09-17
Fixed
7.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BRSJ3WM50 CDS USD R V 03MEVENT BOA S AFRICA 10YR 20220920 / Short: BRSJ3WM50 CDS USD P F 1.00000 BOA S AFRICA 10YR 20220920
000000000
20830000.00000000
OU
Notional Amount
USD
289807.79000000
0.009156565985
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
307914.82000000
USD
0.00000000
USD
20830000.00000000
USD
-18107.03000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV47QPX3 IRS MXN R F 4.42000 2 CCPVANILLA / Short: SEV47QPX3 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
360100000.00000000
OU
Notional Amount
-4523.93000000
-0.00014293495
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2021-09-02
0.00000000
MXN
0.00000000
MXN
360100000.00000000
MXN
-4523.93000000
N
N
N
Republic of Macedonia (The)
635400RD1N6RVNCE4958
Republic of Macedonia (The) EUR Term Loan
000000000
6050000.00000000
PA
7093179.98000000
0.224111196377
Long
LON
CORP
MK
N
2
2022-12-16
Floating
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810EH7
1500000.00000000
PA
USD
1533325.71000000
0.048445895955
Long
DBT
UST
US
N
2
2021-02-15
Fixed
7.88000000
N
N
N
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
11398203.00000000
NS
6760463.87000000
0.213598928865
Long
EC
CORP
IS
Y
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-150991.35000000
-0.00477061800
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2441313.35000000
USD
19888000.00000000
TRY
2021-01-13
-150991.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D4E2
137.73000000
PA
USD
143.39000000
0.000004530451
Long
ABS-MBS
USGSE
US
N
2
2028-05-15
Fixed
1.00000000
N
N
N
N
N
N
Phu Nhuan Jewelry JSC
N/A
Phu Nhuan Jewelry JSC
000000000
532630.00000000
NS
1609622.55000000
0.050856518009
Long
EC
CORP
VN
N
2
N
N
N
COOF 1311887002
N/A
COOF 1311887002
000000000
1781528.32000000
PA
USD
107971.69000000
0.003411398651
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
1.66000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RGQBC0 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RGQBC0 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
24568000.00000000
OU
Notional Amount
USD
499762.26000000
0.015790141841
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Peruvian Government International Bond
Peruvian Government International Bond
Y
sell protection
2025-12-20
197748.30000000
USD
0.00000000
USD
24568000.00000000
USD
302013.96000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV42S5T5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV42S5T5 IRS USD P F .75500 0.755 FIXED CCP LCH
000000000
14560000.00000000
OU
Notional Amount
USD
147041.73000000
0.004645828545
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-05
0.00000000
USD
0.00000000
USD
14560000.00000000
USD
147041.73000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RFX715 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RFX715 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
24408000.00000000
OU
Notional Amount
USD
534974.54000000
0.016902684625
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Chile Government International Bond
Chile Government International Bond
Y
sell protection
2025-12-20
370617.56000000
USD
0.00000000
USD
24408000.00000000
USD
164356.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV41CPX0 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV41CPX0 IRS USD P F .33420 CCP LCH
000000000
5975000.00000000
OU
Notional Amount
USD
18711.43000000
0.000591193368
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-12
0.00000000
USD
0.00000000
USD
5975000.00000000
USD
18711.43000000
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
-1875270.84000000
-0.05924975718
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-08-15
0.00000000
EUR
0.00000000
EUR
13669000.00000000
EUR
-1875270.84000000
N
N
N
COOF 8667815003
N/A
COOF 8667815003
000000000
774938.18000000
PA
USD
52531.24000000
0.001659740634
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Fixed
2.03000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201VYZ9
171349.05000000
PA
USD
199017.07000000
0.006288005349
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-40122.07000000
-0.00126766910
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
7693467.00000000
NZD
5046837.42000000
USD
2020-11-16
-40122.07000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1219835.94000000
0.038541090550
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
40237000.00000000
TRY
5753439.39000000
USD
2021-02-26
1219835.94000000
N
N
N
COOF 1425577001
N/A
COOF 1425577001
000000000
2664836.30000000
PA
USD
192400.22000000
0.006078943944
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
1.91000000
N
N
N
N
N
N
COOF 1908407001
N/A
COOF 1908407001
000000000
1668639.46000000
PA
USD
141643.48000000
0.004475269181
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PKD6
130799.50000000
PA
USD
135500.07000000
0.004281166258
Long
ABS-MBS
USGSE
US
N
2
2030-03-17
Fixed
7.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
36396.15000000
0.001149947519
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1739560.85000000
USD
11923297.98000000
CNY
2020-12-09
36396.15000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
248100000.00000000
PA
15802547.77000000
0.499286342168
Long
STIV
NUSS
EG
N
2
2020-11-03
None
0.00000000
N
N
N
N
N
N
COOF 2117027003
N/A
COOF 2117027003
000000000
713213.86000000
PA
USD
97948.88000000
0.003094724896
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.21000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CH8
7455000.00000000
PA
USD
7861693.73000000
0.248392623950
Long
DBT
NUSS
PH
N
2
2045-05-05
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359XSV2
51832.56000000
PA
USD
60175.26000000
0.001901255790
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225AH78
17.36000000
PA
USD
17.42000000
0.000000550390
Long
ABS-MBS
USGA
US
N
2
2021-11-15
Fixed
9.50000000
N
N
N
N
N
N
COOF 1661267004
N/A
COOF 1661267004
000000000
1429662.24000000
PA
USD
142244.30000000
0.004494252273
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
N
N
N
N
N
N
COOF 9632055005
N/A
COOF 9632055005
000000000
2082294.60000000
PA
USD
139645.55000000
0.004412143970
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.91000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PK95
188026.48000000
PA
USD
201646.63000000
0.006371087103
Long
ABS-MBS
USGSE
US
N
2
2027-09-17
Fixed
7.50000000
N
N
N
N
N
N
COOF 9681265005
N/A
COOF 9681265005
000000000
691624.75000000
PA
USD
44143.47000000
0.001394726469
Long
ABS-MBS
CORP
US
N
2
2028-02-15
Fixed
2.96000000
N
N
N
N
N
N
COOF 1553317009
N/A
COOF 1553317009
000000000
805862.36000000
PA
USD
97152.94000000
0.003069576928
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
696196000.00000000
PA
23731436.24000000
0.749802004532
Long
DBT
NUSS
UA
N
2
2023-08-23
Fixed
10.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED OMR / SOLD USD
000000000
1.00000000
NC
139758.30000000
0.004415706341
N/A
DFE
OM
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5037783.38000000
USD
2000000.00000000
OMR
2021-03-10
139758.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV45LYE8 IRS CNY R F 2.34000 2 CCPNDF / Short: SEV45LYE8 IRS CNY P V 00MCNRR 1 CCPNDF
000000000
563000000.00000000
OU
Notional Amount
-112614.29000000
-0.00355808302
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-07-27
0.00000000
CNY
0.00000000
CNY
563000000.00000000
CNY
-112614.29000000
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
N/A
N/A
Y
2050-02-18
0.00000000
EUR
0.00000000
EUR
2876000.00000000
EUR
-0.88000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1326000.00000000
PA
USD
188955.00000000
0.005970091162
Long
DBT
NUSS
LB
N
2
2034-05-17
None
0.00000000
Y
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
33987.87000000
0.001073857174
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
4445000.00000000
EUR
5213937.88000000
USD
2020-11-30
33987.87000000
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
194400.00000000
NS
322724.19000000
0.010196569736
Long
EC
CORP
IT
N
2
N
N
N
COOF 6578505003
N/A
COOF 6578505003
000000000
855822.62000000
PA
USD
56815.09000000
0.001795090189
Long
ABS-MBS
CORP
US
N
2
2029-02-15
Fixed
2.99000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
34.86000000
0.000001101412
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
154770000.00000000
UAH
5364644.71000000
USD
2020-12-08
34.86000000
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
-14197.97000000
-0.00044858921
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-05
0.00000000
USD
0.00000000
USD
740000.00000000
USD
-14197.97000000
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31300LA96
874202.76000000
PA
USD
921368.84000000
0.029110931009
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Floating
2.94000000
N
N
N
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
-362010.38000000
-0.01143782895
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2047-10-05
0.00000000
USD
0.00000000
USD
5275000.00000000
USD
-362010.38000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GLF2
25551.64000000
PA
USD
28665.05000000
0.000905681044
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358S2U4
159526.20000000
PA
USD
178939.53000000
0.005653649316
Long
ABS-MBS
USGSE
US
N
2
2027-03-18
Fixed
8.00000000
N
N
N
N
N
N
COOF 2287837002
N/A
COOF 2287837002
000000000
1422038.60000000
PA
USD
167142.26000000
0.005280910953
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
COOF 2254917006
N/A
COOF 2254917006
000000000
2657663.16000000
PA
USD
299093.20000000
0.009449941361
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BTS7
361.39000000
PA
USD
363.84000000
0.000011495636
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
7.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV46P3Q5 TRS USD R F .00000 / Short: BEV46P3Q5 TRS USD P E GCG12012 GOLD100 OZ FEB21
000000000
6243200.00000000
OU
Notional Amount
USD
204160.00000000
0.006450497799
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Gold (100 oz)
GCG1 Comdty
Y
equity-performance leg
2021-01-29
0.00000000
USD
0.00000000
USD
6243200.00000000
USD
204160.00000000
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
-182882.00000000
-0.00577821286
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2047-08-04
0.00000000
USD
0.00000000
USD
3927000.00000000
USD
-182882.00000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
70346.10000000
0.002222606599
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
9200000.00000000
EUR
10791502.48000000
USD
2020-11-30
70346.10000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC20 XCBT 20201221
000000000
-139.00000000
NC
USD
556097.23000000
0.017570062492
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USZ0 Comdty
2020-12-21
-24529253.48000000
USD
556097.23000000
N
N
N
COOF 2309137006
N/A
COOF 2309137006
000000000
684361.23000000
PA
USD
105216.05000000
0.003324333361
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.16000000
N
N
N
N
N
N
COOF 9612025010
N/A
COOF 9612025010
000000000
541277.15000000
PA
USD
73098.95000000
0.002309583738
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
2.96000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC20 XCBT 20201231
000000000
-508.00000000
NC
USD
168148.48000000
0.005312702783
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVZ0 Comdty
2020-12-31
-63973742.48000000
USD
168148.48000000
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
-371003.20000000
-0.01172195986
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-04-03
0.00000000
USD
0.00000000
USD
5290000.00000000
USD
-371003.20000000
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
1071239.64000000
0.033846144889
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
383421.12000000
USD
0.00000000
USD
16680000.00000000
USD
687818.52000000
N
N
N
FRIGORIFICO CONCEPCION
529900Q6VZVL47QJCQ91
Frigorifico Concepcion SA
000000000
4725000.00000000
PA
USD
4606875.00000000
0.145555628184
Long
DBT
CORP
PY
Y
2
2025-01-29
Fixed
10.25000000
N
N
N
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
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
454854.94000000
0.014371281296
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
59486815.59000000
EUR
69777404.13000000
USD
2020-11-30
454854.94000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KPP4
104281.92000000
PA
USD
106352.78000000
0.003360248693
Long
ABS-MBS
USGA
US
N
2
2024-10-20
Floating
3.13000000
N
N
N
N
N
N
Georgia Capital PLC
213800Q65T5GNBOW7H65
Georgia Capital PLC
000000000
331398.00000000
NS
1579983.52000000
0.049920063768
Long
EC
CORP
GB
N
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV485Z41 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV485Z41 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
3300000.00000000
OU
Notional Amount
USD
-44375.10000000
-0.00140204489
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Vietnam Government International Bond
Vietnam Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-43249.40000000
USD
3300000.00000000
USD
-1125.70000000
N
N
N
Kingdom Of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
4748000.00000000
PA
USD
4713868.86000000
0.148936131997
Long
DBT
NUSS
BH
Y
2
2031-09-30
Fixed
5.63000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
000000000
39000.00000000
NS
292086.14000000
0.009228551152
Long
EC
CORP
IT
N
2
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
-19107.69000000
-0.00060371332
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-22
0.00000000
USD
0.00000000
USD
350000.00000000
USD
-19107.69000000
N
N
N
EUROTORG (BONITRON DAC)
N/A
Eurotorg LLC Via Bonitron DAC
000000000
2019000.00000000
PA
USD
2029095.00000000
0.064109878685
Long
DBT
CORP
IE
Y
2
2025-10-22
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371Y2S9
920470.87000000
PA
USD
932574.37000000
0.029464973165
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Floating
2.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374J7D7
249386.40000000
PA
USD
251534.30000000
0.007947303333
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Floating
2.08000000
N
N
N
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 9384175006
N/A
COOF 9384175006
000000000
1369119.56000000
PA
USD
103250.61000000
0.003262234681
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Fixed
2.56000000
N
N
N
N
N
N
Bayan Resources Tbk PT
254900UPPX8UP6LW9723
Bayan Resources Tbk PT
000000000
5385000.00000000
PA
USD
5253172.94000000
0.165975609766
Long
DBT
CORP
ID
Y
2
2023-01-24
Fixed
6.13000000
N
N
N
N
N
N
COOF 2004107007
N/A
COOF 2004107007
000000000
2719862.15000000
PA
USD
272671.05000000
0.008615125431
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.28000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV42UM53 IRS CAD R V 03MCDOR0 CDOR03+0BPS CCP LCH / Short: BEV42UM53 IRS CAD P F .88250 CCP LCH
000000000
58220000.00000000
OU
Notional Amount
-318826.06000000
-0.01007340712
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-05
0.00000000
CAD
0.00000000
CAD
58220000.00000000
CAD
-318826.06000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-122790.35000000
-0.00387959875
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3711000.00000000
OMR
9440345.97000000
USD
2021-07-06
-122790.35000000
N
N
N
COOF 2239927000
N/A
COOF 2239927000
000000000
745850.46000000
PA
USD
83786.28000000
0.002647253207
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-106602.21000000
-0.00336812951
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2583000.00000000
BHD
6701258.27000000
USD
2022-03-16
-106602.21000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-16991.07000000
-0.00053683806
N/A
DFE
IN
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2543784.64000000
USD
189500000.00000000
INR
2021-01-05
-16991.07000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-2467.99000000
-0.00007797690
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
157193000.00000000
UAH
5359461.30000000
USD
2021-01-29
-2467.99000000
N
N
N
COOF 9626555006
N/A
COOF 9626555006
000000000
1111045.81000000
PA
USD
59659.93000000
0.001884973781
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.41000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-2675.64000000
-0.00008453766
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
102899000.00000000
UAH
3573006.01000000
USD
2020-11-30
-2675.64000000
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
4820000.00000000
PA
USD
5526130.00000000
0.174599771771
Long
DBT
NUSS
DO
Y
2
2044-04-30
Fixed
7.45000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-15264.94000000
-0.00048230045
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
157568000.00000000
UAH
5359455.78000000
USD
2021-01-29
-15264.94000000
N
N
N
COOF 9703695007
N/A
COOF 9703695007
000000000
1582876.66000000
PA
USD
195962.42000000
0.006191492745
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
3.16000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV44VUZ4 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV44VUZ4 IRS USD P F .32020 2 CCPVANILLA
000000000
2580000.00000000
OU
Notional Amount
USD
12101.88000000
0.000382362609
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-14
0.00000000
USD
0.00000000
USD
2580000.00000000
USD
12101.88000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-142501.34000000
-0.00450237353
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3568000.00000000
OMR
9084659.45000000
USD
2021-04-08
-142501.34000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-2512.02000000
-0.00007936804
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4000000.00000000
AED
1085187.19000000
USD
2022-01-31
-2512.02000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
179833.52000000
0.005681895204
N/A
DFE
CH
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
47551411.79000000
USD
43722477.01000000
CHF
2020-12-07
179833.52000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-190819.80000000
-0.00602901009
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
284180000.00000000
AED
77166209.57000000
USD
2021-04-08
-190819.80000000
N
N
N
Bank for Investment and Development of Vietnam JSC
254900FSO240QVE6NR86
Bank for Investment and Development of Vietnam JSC
000000000
468816.00000000
NS
781523.95000000
0.024692488831
Long
EC
CORP
VN
N
2
N
N
N
EUROHOLD BULGARIA
74780000J0W85Y204X80
Eurohold Bulgaria AD
000000000
9200000.00000000
PA
10150162.43000000
0.320697494217
Long
DBT
CORP
BG
Y
2
2022-12-07
Fixed
6.50000000
N
N
N
N
N
N
COOF 2363557004
N/A
COOF 2363557004
000000000
380902.19000000
PA
USD
43206.93000000
0.001365136201
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
COOF 1212507009
N/A
COOF 1212507009
000000000
2836169.54000000
PA
USD
434344.62000000
0.013723251447
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
3.66000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-226372.18000000
-0.00715229843
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2689994017.00000000
JPY
25473428.20000000
USD
2020-11-25
-226372.18000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PMQ5
262488.42000000
PA
USD
290914.97000000
0.009191547677
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Fixed
7.50000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
75000000.00000000
PA
2311104.29000000
0.073020048673
Long
DBT
NUSS
UA
N
2
2027-05-26
Fixed
9.79000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
49987.86000000
0.001579381763
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2323108.88000000
USD
15897731.00000000
CNY
2020-11-09
49987.86000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-9500.38000000
-0.00030016741
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1630560.53000000
USD
6286300000.00000000
COP
2020-12-16
-9500.38000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV43RF24 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV43RF24 IRS USD P F .67620 CCP LCH
000000000
1350000.00000000
OU
Notional Amount
USD
24154.93000000
0.000763182419
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-23
0.00000000
USD
0.00000000
USD
1350000.00000000
USD
24154.93000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV41RZF5 IRS CLP R F .00000 CLF LEG-0.93FIXED / Short: BEV41RZF5 IRS CLP P V 00MCLICP CLICP+0BPS 1D COMPOUNDING
000000000
12287167144.56000000
OU
Notional Amount
340848.84000000
0.010769223610
N/A
DIR
CL
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2025-05-15
0.00000000
CLP
0.00000000
CLP
12287167144.56000000
CLP
340848.84000000
N
N
N
COOF 2308487004
N/A
COOF 2308487004
000000000
1374224.91000000
PA
USD
120672.15000000
0.003812673579
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.46000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV2M0HA6 IRS EUR R V 00MCPTFE CPTFEMU+0BPS INFLATION CCP LCH / Short: BEV2M0HA6 IRS EUR P F 1.63750 CCP LCH
000000000
13427000.00000000
OU
Notional Amount
-1977411.67000000
-0.06247692802
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-10-15
0.00000000
EUR
0.00000000
EUR
13427000.00000000
EUR
-1977411.67000000
N
N
N
GEORGIA T-BOND
N/A
Georgia Treasury Bond
000000000
25057000.00000000
PA
7466675.70000000
0.235911908172
Long
DBT
NUSS
GE
N
2
2024-05-30
Fixed
7.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV42HWV4 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV42HWV4 IRS USD P F .69470 2 CCPVANILLA
000000000
1516000.00000000
OU
Notional Amount
USD
23769.92000000
0.000751017910
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-01
0.00000000
USD
0.00000000
USD
1516000.00000000
USD
23769.92000000
N
N
N
COOF 1728057006
N/A
COOF 1728057006
000000000
711361.65000000
PA
USD
58220.40000000
0.001839491389
Long
ABS-MBS
CORP
US
N
2
2028-02-15
Fixed
3.71000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3NLUP9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3NLUP9 IRS USD P F 1.70220 CCP LCH
000000000
1226000.00000000
OU
Notional Amount
USD
-120117.47000000
-0.00379514829
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-08-27
0.00000000
USD
0.00000000
USD
1226000.00000000
USD
-120117.47000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335PD69
22481.25000000
PA
USD
23127.50000000
0.000730720453
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.95000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
229.92000000
0.000007264392
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
63000000.00000000
COP
16506.88000000
USD
2020-11-05
229.92000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV47PJ61 IRS MXN R F 4.43000 2 CCPVANILLA / Short: SEV47PJ61 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
2111800000.00000000
OU
Notional Amount
-18430.40000000
-0.00058231413
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2021-09-01
0.00000000
MXN
0.00000000
MXN
2111800000.00000000
MXN
-18430.40000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
9840000.00000000
PA
USD
1461436.80000000
0.046174543801
Long
DBT
NUSS
LB
N
2
2029-05-25
None
0.00000000
Y
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV45M5F5 IRS KRW R V 03MKSDA 1 CCPNDF / Short: BEV45M5F5 IRS KRW P F .91500 2 CCPNDF
000000000
17462170000.00000000
OU
Notional Amount
283472.86000000
0.008956411930
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-27
0.00000000
KRW
0.00000000
KRW
17462170000.00000000
KRW
283472.86000000
N
N
N
COOF 9131835005
N/A
COOF 9131835005
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.66000000
N
N
N
N
N
N
UZBEK ICB (DARYO FNC)
N/A
Uzbek Industrial and Construction Bank ATB via Daryo Finance BV
000000000
112570000000.00000000
PA
11443818.38000000
0.361570950618
Long
DBT
CORP
NL
N
3
2023-06-15
Fixed
18.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV484XF1 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: BEV484XF1 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
89753000.00000000
OU
Notional Amount
USD
-2410765.58000000
-0.07616887768
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Penerbangan Malaysia Bhd
Penerbangan Malaysia Bhd
Y
buy protection
2025-12-20
0.00000000
USD
-2227243.06000000
USD
89753000.00000000
USD
-183522.52000000
N
N
N
ASAKA BANK
N/A
Asaka Bank
000000000
137547000000.00000000
PA
13866544.53000000
0.438117726183
Long
SN
CORP
UZ
N
3
2023-07-26
Fixed
18.70000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
425918.76000000
0.013457033817
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9659459.41000000
USD
11468000000.00000000
KRW
2020-12-10
425918.76000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-529990.49000000
-0.01674521203
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4826072.70000000
USD
39670000.00000000
TRY
2021-05-17
-529990.49000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV41ZRJ8 IRS CLP R F .00000 CLF LEG-1.09FIXED / Short: BEV41ZRJ8 IRS CLP P V 00MCLICP CLICP+0BPS 1D COMPOUNDING
000000000
17671170046.32000000
OU
Notional Amount
298669.05000000
0.009436540212
N/A
DIR
CL
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
N/A
N/A
Y
2025-05-19
0.00000000
CLP
0.00000000
CLP
17671170046.32000000
CLP
298669.05000000
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
53500.00000000
NS
366459.86000000
0.011578411640
Long
EC
CORP
NL
N
2
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
517100000.00000000
PA
32971859.16000000
1.041755999986
Long
STIV
NUSS
EG
N
2
2020-11-17
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388SAM7
2596463.61000000
PA
USD
2998033.45000000
0.094723786109
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1136.08000000
-0.00003589479
N/A
DFE
MY
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3275254.67000000
USD
13670913.00000000
MYR
2021-02-02
-1136.08000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31392ASN9
478469.72000000
PA
USD
552152.98000000
0.017445442704
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Fixed
6.00000000
N
N
N
N
N
N
COOF 1126547003
N/A
COOF 1126547003
000000000
1539038.18000000
PA
USD
108332.72000000
0.003422805505
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
1.91000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
10100000.00000000
PA
USD
9894141.09000000
0.312608421478
Long
DBT
NUSS
BH
Y
2
2032-09-16
Fixed
5.45000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
12946055.00000000
PA
USD
6473156.96000000
0.204521378949
Long
DBT
NUSS
EC
Y
2
2040-07-31
Variable
0.50000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV48TPK4 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV48TPK4 CDS USD P F 1.00000 2 SOVEREIGN
000000000
11190000.00000000
OU
Notional Amount
USD
2178088.74000000
0.068817381585
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
2030-12-20
2406916.90000000
USD
0.00000000
USD
11190000.00000000
USD
-228828.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV438T39 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV438T39 IRS USD P F .97050 2 CCPVANILLA
000000000
800000.00000000
OU
Notional Amount
USD
71377.22000000
0.002255185151
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-16
0.00000000
USD
0.00000000
USD
800000.00000000
USD
71377.22000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV48TXD1 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV48TXD1 CDS USD P F 1.00000 2 SOVEREIGN
000000000
10230000.00000000
OU
Notional Amount
USD
1991228.58000000
0.062913477535
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
2030-12-20
2253391.53000000
USD
0.00000000
USD
10230000.00000000
USD
-262162.95000000
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
000000000
8526000.00000000
PA
USD
6373270.26000000
0.201365428035
Long
DBT
NUSS
AR
Y
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
29668000.00000000
PA
USD
32959803.74000000
1.041375105295
Long
DBT
NUSS
BH
Y
2
2030-05-14
Fixed
7.38000000
N
N
N
N
N
N
Military Commercial Joint Stock Bank
5493007XE88E8JRNTJ93
Military Commercial Joint Stock Bank
000000000
2143462.00000000
NS
1650371.13000000
0.052143981888
Long
EC
CORP
VN
N
2
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BSS5
15664.80000000
PA
USD
16666.00000000
0.000526567380
Long
ABS-MBS
USGA
US
N
2
2023-10-20
Fixed
7.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92DT3SZ9 CDS USD R V 03MEVENT QATAR 7BB99WAC2 XS0113419690 / Short: B92DT3SZ9 CDS USD P F 1.00000 Z92DT3SZ9/CCP
000000000
119078600.00000000
OU
Notional Amount
USD
-2052319.67000000
-0.06484366925
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
-2707.67000000
USD
119078600.00000000
USD
-2049612.00000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
32648000.00000000
PA
36482023.14000000
1.152660707221
Long
DBT
NUSS
EG
Y
2
2031-04-11
Fixed
6.38000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
2854000.00000000
PA
USD
2675274.59000000
0.084526120963
Long
DBT
NUSS
BH
Y
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4A9RZ0 TRS USD R F .00000 BEV4A9S14 COMMODITYTRS / Short: BEV4A9RZ0 TRS USD P E BEV4A9S06 COMMODITYTRS
000000000
44600000.00000000
OU
Notional Amount
USD
1204373.51000000
0.038052550333
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2020-12-17
0.00000000
USD
0.00000000
USD
44600000.00000000
USD
1204373.51000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
34605.96000000
0.001093385917
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
93197208210.00000000
IDR
6283522.67000000
USD
2021-01-26
34605.96000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HHD0
38082.40000000
PA
USD
41791.62000000
0.001320419048
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
9.00000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
5750000.00000000
PA
USD
6094027.96000000
0.192542681946
Long
DBT
NUSS
BH
Y
2
2047-09-20
Fixed
7.50000000
N
N
N
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
-1748696.74000000
-0.05525060968
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-25
0.00000000
EUR
0.00000000
EUR
16000000.00000000
EUR
-1748692.57000000
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
447163.82000000
0.014128278002
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
-183503.32000000
USD
32140000.00000000
USD
630667.14000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
105655.64000000
0.003338222341
N/A
DFE
ZA
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3229365.84000000
USD
54554000.00000000
ZAR
2020-12-17
105655.64000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
988430.23000000
0.031229756189
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
63843000.00000000
TRY
7902339.40000000
USD
2021-05-17
988430.23000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
3000000.00000000
PA
USD
3394552.29000000
0.107251920439
Long
DBT
NUSS
BH
Y
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
9000000.00000000
PA
USD
8862781.50000000
0.280022298997
Long
ABS-O
CORP
US
N
2
2023-02-25
Floating
3.00000000
N
N
N
N
N
N
COOF 9631225006
N/A
COOF 9631225006
000000000
122068.08000000
PA
USD
18829.92000000
0.000594937096
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
3223000.00000000
PA
USD
2648451.91000000
0.083678650164
Long
DBT
NUSS
OM
Y
2
2048-01-17
Fixed
6.75000000
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
3449490.53000000
0.108987710977
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2042-08-15
0.00000000
EUR
0.00000000
EUR
13669000.00000000
EUR
3449490.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GVM2
2156566.09000000
PA
USD
2439519.21000000
0.077077357444
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EGP
000000000
1.00000000
NC
-1501307.74000000
-0.04743427837
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
382092000.00000000
EGP
21908944.95000000
USD
2021-03-08
-1501307.74000000
N
N
N
COOF 9650315004
N/A
COOF 9650315004
000000000
809190.34000000
PA
USD
99297.68000000
0.003137340646
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-175422.87000000
-0.00554253936
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1594635.31000000
USD
13105000.00000000
TRY
2021-05-17
-175422.87000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-399980.70000000
-0.01263751285
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
13793450.00000000
OMR
35093372.34000000
USD
2021-08-09
-399980.70000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358R6U2
75736.20000000
PA
USD
78955.61000000
0.002494626707
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
6.68000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RFXEQ2 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RFXEQ2 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
25681000.00000000
OU
Notional Amount
USD
-330874.00000000
-0.01045406548
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Colombia Government International Bond
Colombia Government International Bond
Y
sell protection
2025-12-20
0.00000000
USD
-681498.29000000
USD
25681000.00000000
USD
350624.29000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
48565.39000000
0.001534438388
N/A
DFE
CN
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2313608.67000000
USD
15897730.64000000
CNY
2021-01-11
48565.39000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
135947.47000000
0.004295301998
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
26551546.00000000
NZD
17692622.68000000
USD
2021-01-19
135947.47000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
48055.79000000
0.001518337419
N/A
DFE
ID
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3068212.19000000
USD
46357618000.00000000
IDR
2021-01-04
48055.79000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-1212.92000000
-0.00003832257
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2022910.73000000
USD
8429469.00000000
MYR
2020-12-02
-1212.92000000
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
276868.70000000
0.008747751469
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
370117.58000000
USD
0.00000000
USD
19900000.00000000
USD
-93248.88000000
N
N
N
COOF 8133675004
N/A
COOF 8133675004
000000000
651242.69000000
PA
USD
49206.06000000
0.001554680553
Long
ABS-MBS
CORP
US
N
2
2041-02-15
Fixed
2.38000000
N
N
N
N
N
N
COOF 9447195010
N/A
COOF 9447195010
000000000
2445762.86000000
PA
USD
306157.46000000
0.009673138822
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.41000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV46YC11 IRS SGD R F .51600 2 CCPVANILLA / Short: SEV46YC11 IRS SGD P V 06MSORF6 1 CCPVANILLA
000000000
46100000.00000000
OU
Notional Amount
81134.58000000
0.002563471932
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-08-21
0.00000000
SGD
0.00000000
SGD
46100000.00000000
SGD
81134.58000000
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
26232.06000000
0.000828809978
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-27
0.00000000
USD
0.00000000
USD
3277000.00000000
USD
26232.06000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV42K3U1 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV42K3U1 IRS USD P F .65900 CCP LCH
000000000
1007000.00000000
OU
Notional Amount
USD
19187.33000000
0.000606229574
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-02
0.00000000
USD
0.00000000
USD
1007000.00000000
USD
19187.33000000
N
N
N
COOF 1136997002
N/A
COOF 1136997002
000000000
1106174.93000000
PA
USD
214444.81000000
0.006775449524
Long
ABS-MBS
CORP
US
N
2
2043-06-15
Fixed
3.66000000
N
N
N
N
N
N
COOF 9643545005
N/A
COOF 9643545005
000000000
883207.97000000
PA
USD
117496.16000000
0.003712327201
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
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
305228.78000000
0.009643796893
N/A
DIR
SD
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-31
0.00000000
SGD
0.00000000
SGD
14570000.00000000
SGD
305228.78000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
32007.59000000
0.001011289620
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1529808.90000000
USD
10485616.17000000
CNY
2020-12-09
32007.59000000
N
N
N
COOF 8193515004
N/A
COOF 8193515004
000000000
825572.02000000
PA
USD
57005.59000000
0.001801109095
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Fixed
1.93000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
43960.44000000
0.001388943580
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2042994.17000000
USD
13980822.00000000
CNY
2020-11-09
43960.44000000
N
N
N
COOF 8753925008
N/A
COOF 8753925008
000000000
1282345.86000000
PA
USD
94268.76000000
0.002978450376
Long
ABS-MBS
CORP
US
N
2
2042-05-15
Fixed
1.93000000
N
N
N
N
N
N
COOF 2319337000
N/A
COOF 2319337000
000000000
1411011.40000000
PA
USD
126089.64000000
0.003983840837
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.16000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
497933.91000000
0.015732374562
N/A
DFE
JP
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
56031989.21000000
USD
5916978060.00000000
JPY
2020-11-25
497933.91000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-19660.96000000
-0.00062119405
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
25380000.00000000
AED
6889063.81000000
USD
2021-04-08
-19660.96000000
N
N
N
COOF 2329437010
N/A
COOF 2329437010
000000000
413800.86000000
PA
USD
47626.95000000
0.001504788088
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 CNH / SOLD USD
000000000
1.00000000
NC
48464.37000000
0.001531246630
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2313709.69000000
USD
15897730.65000000
CNY
2021-01-11
48464.37000000
N
N
N
COOF 9575225000
N/A
COOF 9575225000
000000000
853642.15000000
PA
USD
46273.55000000
0.001462027000
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CBV7
771046.78000000
PA
USD
875392.69000000
0.027658300453
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
7.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC20 XCBT 20201231
000000000
-151.00000000
NC
USD
15335.86000000
0.000484541198
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUZ0 Comdty
2020-12-31
-33362742.11000000
USD
15335.86000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-198674.72000000
-0.00627718869
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1259333.65000000
USD
9413645.00000000
TRY
2021-02-26
-198674.72000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359HWH3
83421.90000000
PA
USD
89563.92000000
0.002829799514
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Fixed
7.00000000
N
N
N
N
N
N
KIDO Group Corp
N/A
KIDO Group Corp
000000000
24450.00000000
NS
36298.63000000
0.001146866344
Long
EC
CORP
VN
N
2
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
5641242467.00000000
PA
52144754.27000000
1.647529499777
Long
DBT
NUSS
IS
N
2
2031-01-24
Fixed
6.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
208683.13000000
0.006593407478
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4844878.04000000
USD
5746067504.00000000
KRW
2020-12-01
208683.13000000
N
N
N
Pampa Energia SA
254900QNIK0CVURGML24
Pampa Energia SA
697660207
89700.00000000
NS
USD
1058460.00000000
0.033442368244
Long
EC
CORP
AR
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV484BT5 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV484BT5 CDS USD P F 5.00000 2 SOVEREIGN
000000000
35369153.00000000
OU
Notional Amount
USD
1550159.24000000
0.048977756497
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Ukraine Government International Bond
Ukraine Government International Bond
Y
buy protection
2025-12-20
1032286.35000000
USD
0.00000000
USD
35369153.00000000
USD
517872.89000000
N
N
N
COOF 9335025000
N/A
COOF 9335025000
000000000
2518499.97000000
PA
USD
372497.91000000
0.011769185681
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.16000000
N
N
N
N
N
N
COOF 2298157005
N/A
COOF 2298157005
000000000
3587213.25000000
PA
USD
331114.42000000
0.010461661626
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
N
N
N
N
N
N
COOF 1856837009
N/A
COOF 1856837009
000000000
2009164.92000000
PA
USD
179703.98000000
0.005677802348
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.41000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
22787.99000000
0.000719993531
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3386753.40000000
USD
400890000.00000000
KES
2021-10-12
22787.99000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
67475.57000000
0.002131911323
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
8824587.95000000
EUR
10351148.12000000
USD
2020-11-30
67475.57000000
N
N
N
BENIN INTL GOV BOND
635400Q11P6AE5A5Y230
Benin Government International Bond
000000000
15118000.00000000
PA
16934409.49000000
0.535047860262
Long
DBT
NUSS
BJ
Y
2
2026-03-26
Fixed
5.75000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
6989920000.00000000
PA
80827873.45000000
2.553781445083
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.88000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
35695000.00000000
PA
USD
33796026.00000000
1.067795804002
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-7043.28000000
-0.00022253459
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1163529.53000000
USD
4484731500.00000000
COP
2020-12-16
-7043.28000000
N
N
N
Banco Bilbao Vizcaya Argentaria SA
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
95500.00000000
NS
275531.97000000
0.008705517075
Long
EC
CORP
ES
N
2
N
N
N
COOF 9679725002
N/A
COOF 9679725002
000000000
697240.02000000
PA
USD
83814.78000000
0.002648153673
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
The Ministry of Finance and Planning, Government of the United Republic of Tanzania
N/A
The Ministry of Finance and Planning, Government of the United Republic of Tanzania Term Loan
000000000
33794285.71000000
PA
USD
34282410.37000000
1.083163267307
Long
LON
CORP
TZ
N
2
2022-06-23
Floating
5.61000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
20211.07000000
0.000638574953
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
634095161.49000000
RUB
7992974.82000000
USD
2020-11-13
20211.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412BLZ3
103654.69000000
PA
USD
124480.03000000
0.003932984715
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
11.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-3399.56000000
-0.00010741014
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
778492.84000000
USD
3000000000.00000000
COP
2020-11-05
-3399.56000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
543218.90000000
0.017163167707
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
57331000.00000000
NZD
38450468.43000000
USD
2020-11-09
543218.90000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC20 XCBT 20201221
000000000
-234.00000000
NC
USD
240000.01000000
0.007582873904
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYZ0 Comdty
2020-12-21
-32583187.51000000
USD
240000.01000000
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
206308.45000000
0.006518378736
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-20
0.00000000
USD
0.00000000
USD
14720000.00000000
USD
206308.45000000
N
N
N
COOF 1717067003
N/A
COOF 1717067003
000000000
451789.92000000
PA
USD
52471.84000000
0.001657863873
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
2.91000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-475986.11000000
-0.01503892709
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
182000000.00000000
ZAR
10650125.81000000
USD
2020-12-17
-475986.11000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD RSD
000000000
1.00000000
NC
70494.68000000
0.002227301029
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
332070980.42000000
RSD
3359342.24000000
USD
2020-11-17
70494.68000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
175475000.00000000
PA
11172810.78000000
0.353008382399
Long
STIV
NUSS
EG
N
2
2020-11-10
None
0.00000000
N
N
N
N
N
N
COOF 2237237001
N/A
COOF 2237237001
000000000
2476897.06000000
PA
USD
237503.55000000
0.007503997485
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
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
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-647188.60000000
-0.02044812225
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
352690000000.00000000
IDR
23243047.32000000
USD
2020-11-24
-647188.60000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-395.98000000
-0.00001251110
N/A
DFE
MY
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3290627.75000000
USD
13670913.00000000
MYR
2020-11-03
-395.98000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGUC71 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGUC71 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
73003000.00000000
OU
Notional Amount
USD
195429.03000000
0.006174640125
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Russian Foreign Bond - Eurobond
Russian Foreign Bond - Eurobond
Y
buy protection
2025-12-20
482602.06000000
USD
0.00000000
USD
73003000.00000000
USD
-287173.03000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-96178.55000000
-0.00303879077
N/A
DFE
TR
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
909006.08000000
USD
7505645.00000000
TRY
2021-05-17
-96178.55000000
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
-50468.14000000
-0.00159455635
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-28
0.00000000
USD
0.00000000
USD
1500000.00000000
USD
-50468.14000000
N
N
N
JASA MARGA (PERSERO)
213800OEG8K7MC4FWG29
Jasa Marga Persero Tbk PT
000000000
18080000000.00000000
PA
1219849.53000000
0.038541519930
Long
DBT
CORP
ID
Y
2
2020-12-11
Fixed
7.50000000
N
N
N
N
N
N
COOF 9632755003
N/A
COOF 9632755003
000000000
1810637.90000000
PA
USD
117540.82000000
0.003713738248
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
1.66000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
7397000.00000000
PA
USD
1112841.67000000
0.035160573783
Long
DBT
NUSS
LB
N
2
2023-05-26
None
0.00000000
Y
N
N
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT DEC20 IFUS 20201218
000000000
-145.00000000
NC
USD
102950.00000000
0.003252736816
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
MSCI Emerging Markets
MESZ0 Index
2020-12-18
-8091725.00000000
USD
102950.00000000
N
N
N
2020-11-13
Global Macro Portfolio
James Kirchner
James Kirchner
Treasurer