0001752724-21-275464.txt : 20211220
0001752724-21-275464.hdr.sgml : 20211220
20211220133332
ACCESSION NUMBER: 0001752724-21-275464
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211031
FILED AS OF DATE: 20211220
PERIOD START: 20211031
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: 211504600
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
2021-10-31
2021-10-31
N
2683845506.13
120056023.63
2563789482.50
0.00000000
70056247.26000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
720065.59000000
0.00000000
0.00000000
166787660.33000000
BRL
COP
EGP
EUR
GBP
IDR
ISK
KRW
MXN
MYR
NZD
PHP
PLN
RSD
THB
UAH
UGX
USD
UYU
UZS
ZAR
N
Vietnam Dairy Products JSC
N/A
Vietnam Dairy Products JSC
000000000
280481.00000000
NS
1118395.38000000
0.043622746236
Long
EC
CORP
VN
N
2
N
N
N
IRSA PROPIEDADES COM
549300WDBPUOVK4S9722
IRSA Propiedades Comerciales SA
000000000
914000.00000000
PA
USD
874318.69000000
0.034102592898
Long
DBT
CORP
AR
Y
2
2023-03-23
Fixed
8.75000000
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
153534.97000000
0.005988595048
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
153534.97000000
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216KAE2
2980000.00000000
PA
USD
3031600.01000000
0.118246838544
Long
DBT
NUSS
IN
Y
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
COOF 1989537006
N/A
COOF 1989537006
000000000
699245.84000000
PA
USD
50467.11000000
0.001968457642
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358R6U2
20278.69000000
PA
USD
20689.43000000
0.000806986304
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
6.67500000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
1063438.71000000
0.041479174372
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
35968132.18000000
USD
49225560.00000000
AUD
2021-11-12
1063438.71000000
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-36747.00000000
-0.00143330800
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
1350000.00000000
BHD
3538199.45000000
USD
2022-03-16
-36747.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MAE88
4519491.05000000
PA
USD
5227982.96000000
0.203916233984
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
7.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4W1XT0 IRS KRW R F 1.75300 2 CCPNDF / Short: SEV4W1XT0 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
154705500000.00000000
OU
Notional Amount
-774950.70000000
-0.03022676804
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-10-05
0.00000000
KRW
0.00000000
KRW
154705500000.00000000
KRW
-774950.70000000
N
N
N
COOF 9663935001
N/A
COOF 9663935001
000000000
2833962.99000000
PA
USD
182041.92000000
0.007100501864
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.96000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4KDSJ5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KDSJ5 IRS COP P F 4.48000 2 CCPNDFOIS
000000000
25188600000.00000000
OU
Notional Amount
392801.25000000
0.015321119486
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-31
0.00000000
COP
0.00000000
COP
25188600000.00000000
COP
392801.25000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
-13807000.00000000
PA
USD
-17797236.81000000
-0.69417699586
Short
DBT
NUSS
QA
Y
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-12013.38000000
-0.00046857903
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4592807.72000000
USD
3962394.69000000
EUR
2021-11-05
-12013.38000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
348780000000.00000000
PA
26083106.41000000
1.017365372158
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-222365.95000000
-0.00867333107
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9919089.17000000
USD
8379485.00000000
EUR
2021-12-15
-222365.95000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-72845.61000000
-0.00284132572
N/A
DFE
PL
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5792166.28000000
EUR
26424520.00000000
PLN
2021-11-04
-72845.61000000
N
N
N
COOF 1847217009
N/A
COOF 1847217009
000000000
1659766.23000000
PA
USD
166732.18000000
0.006503349090
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
COOF 2014207006
N/A
COOF 2014207006
000000000
193111.30000000
PA
USD
15818.10000000
0.000616981234
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
COOF 1311887002
N/A
COOF 1311887002
000000000
1733851.65000000
PA
USD
96875.45000000
0.003778603924
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
1.66000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
-72179.35000000
-0.00281533840
N/A
DFE
CZ
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6463427.81000000
EUR
164470000.00000000
CZK
2021-11-18
-72179.35000000
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
2995000.00000000
PA
USD
2445170.59000000
0.095373298263
Long
DBT
CORP
KY
Y
2
2024-06-04
Fixed
5.55000000
N
N
N
N
N
N
COOF 1425577001
N/A
COOF 1425577001
000000000
2664836.30000000
PA
USD
176307.86000000
0.006876846215
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
1.91000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
101268.90000000
0.003949969398
N/A
DFE
RU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2220412.79000000
USD
164851217.00000000
RUB
2021-11-09
101268.90000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4MA091 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MA091 IRS COP P F 4.54500 2 CCPNDFOIS
000000000
6681800000.00000000
OU
Notional Amount
85392.88000000
0.003330729008
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
6681800000.00000000
COP
85392.88000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
13381.27000000
0.000521933259
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1561231.59000000
USD
25104604.00000000
EGP
2021-12-28
13381.27000000
N
N
N
Viet Capital Securities JSC
254900HKR2EAQLPDRS52
Viet Capital Securities JSC
000000000
333800.00000000
NS
940507.19000000
0.036684259625
Long
EC
CORP
VN
N
2
N
N
N
KIDO Group Corp
N/A
KIDO Group Corp
000000000
20450.00000000
NS
51976.59000000
0.002027334551
Long
EC
CORP
VN
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4WR8P9 IRS GBP R V 12MSONIA 1 CCPOIS / Short: BEV4WR8P9 IRS GBP P F .86620 2 CCPOIS
000000000
26380000.00000000
OU
Notional Amount
329018.92000000
0.012833304849
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-10-14
583.08000000
GBP
0.00000000
GBP
26380000.00000000
GBP
328221.80000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD KES
000000000
1.00000000
NC
-10755.63000000
-0.00041952079
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
265000000.00000000
KES
2309368.19000000
USD
2022-03-08
-10755.63000000
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
-6867.75000000
-0.00026787495
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
-6867.75000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
194000.00000000
PA
USD
29767.36000000
0.001161068808
Long
DBT
NUSS
LB
Y
2
2027-11-29
None
0.00000000
Y
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QCX5
1893859.09000000
PA
USD
2092111.20000000
0.081602300589
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
5.84500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4W1ZU5 IRS KRW R F 1.76500 2 CCPNDF / Short: SEV4W1ZU5 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
67516400000.00000000
OU
Notional Amount
-331367.98000000
-0.01292492937
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-10-05
0.00000000
KRW
0.00000000
KRW
67516400000.00000000
KRW
-331367.98000000
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
-10634.60000000
-0.00041480004
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
-10634.60000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
BB COUNTRY GARDEN HOLDINGS CO
000000000
2481772.13000000
PA
USD
2481772.13000000
0.096800932640
Long
RA
CORP
US
N
2
Repurchase
N
-0.25000000
2022-09-29
2481772.13000000
USD
2481289.56000000
USD
N
N
N
COOF 9667855009
N/A
COOF 9667855009
000000000
1525254.91000000
PA
USD
169891.99000000
0.006626596729
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 NZD / SOLD USD
000000000
1.00000000
NC
10069.02000000
0.000392739734
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
4382760.31000000
USD
6139437.58000000
NZD
2022-01-27
10069.02000000
N
N
N
Titan Cement International SA
213800H2CDP9I374WH83
Titan Cement International SA
000000000
3203.00000000
NS
55695.41000000
0.002172386242
Long
EC
CORP
BE
N
2
N
N
N
URU MONETARY REG BILL
549300DTMS39GZYBX161
Uruguay Monetary Regulation Bill
000000000
358185000.00000000
PA
8061888.74000000
0.314452056029
Long
STIV
NUSS
UY
N
2
2021-12-03
None
0.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
157745.04000000
0.006152807829
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
83261619.00000000
ZAR
5599670.55000000
USD
2021-11-16
157745.04000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
934118.30000000
0.036435062487
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
35200668.43000000
EUR
41668261.13000000
USD
2021-12-15
934118.30000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
992000.00000000
PA
USD
721258.40000000
0.028132512631
Long
DBT
CORP
AR
Y
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388SAM7
2157143.16000000
PA
USD
2484412.95000000
0.096903937197
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
COOF 9576235005
N/A
COOF 9576235005
000000000
1071027.56000000
PA
USD
138161.94000000
0.005388973663
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.71000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUPT4 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPT4 IRS EUR P F 2.20083 2 CCPINFLATIONZERO
000000000
5900000.00000000
OU
Notional Amount
-190679.81000000
-0.00743742071
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-10-15
0.00000000
EUR
0.00000000
EUR
5900000.00000000
EUR
-190679.81000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
175728.66000000
0.006854254657
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5378652.37000000
USD
398130000.00000000
RUB
2021-12-23
175728.66000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4JN6U4 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4JN6U4 IRS COP P F 3.89000 2 CCPNDFOIS
000000000
7412000000.00000000
OU
Notional Amount
144647.11000000
0.005641926179
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
7412000000.00000000
COP
144647.11000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
236579.53000000
0.009227728392
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
5673581.45000000
USD
92990000.00000000
EGP
2021-11-08
236579.53000000
N
N
N
COOF 9635435007
N/A
COOF 9635435007
000000000
2255798.62000000
PA
USD
324463.87000000
0.012655636206
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.71000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PJJ5
10715.82000000
PA
USD
11881.18000000
0.000463422604
Long
ABS-MBS
USGSE
US
N
2
2025-10-17
Fixed
8.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
117482.38000000
0.004582372336
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2919983.07000000
USD
344850000.00000000
KES
2022-02-08
117482.38000000
N
N
N
COOF 9632135005
N/A
COOF 9632135005
000000000
3586854.26000000
PA
USD
261284.73000000
0.010191348852
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.11000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-35246.79000000
-0.00137479267
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2160385.63000000
USD
246500000.00000000
KES
2022-05-20
-35246.79000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
76655.87000000
0.002989944007
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1972354.33000000
USD
8200000.00000000
PEN
2022-01-12
76655.87000000
N
N
N
XP Inc
5493008KDA8NBZRJST80
XP Inc
000000000
53300.00000000
NS
USD
1748773.00000000
0.068210475623
Long
EC
CORP
KY
N
1
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4XXDA2 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4XXDA2 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
30981600000.00000000
OU
Notional Amount
33567.13000000
0.001309277935
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-26
0.00000000
COP
0.00000000
COP
30981600000.00000000
COP
33567.13000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
55701.59000000
0.002172627291
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
14529282.00000000
ZAR
1002676.37000000
USD
2021-12-08
55701.59000000
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
BB QATAR (STATE OF) REPO
000000000
821130.00000000
PA
USD
821130.00000000
0.032027980674
Long
RA
CORP
US
N
2
Repurchase
N
-0.50000000
2022-10-07
821130.00000000
USD
820936.12000000
USD
CDS
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-43506.96000000
-0.00169697864
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1195213.26000000
USD
6500000.00000000
BRL
2021-11-03
-43506.96000000
N
N
N
MT LOGAN RE DIVERSIFED OPTI
N/A
MT LOGAN RE DIVERSIFED OPTI
000000000
4400.00000000
NS
USD
4015785.40000000
0.156634755989
Long
STIV
CORP
US
N
3
N
N
N
COOF 9032505005
N/A
COOF 9032505005
000000000
1328932.75000000
PA
USD
142389.47000000
0.005553867467
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D3W3
11087.49000000
PA
USD
11519.93000000
0.000449332134
Long
ABS-MBS
USGSE
US
N
2
2025-08-15
Fixed
7.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4EY9Y4 IRS USD R F 2.29300 2 CCPINFLATIONZERO / Short: SEV4EY9Y4 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
20760000.00000000
OU
Notional Amount
USD
-1447026.81000000
-0.05644093713
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-26
0.00000000
USD
0.00000000
USD
20760000.00000000
USD
-1447026.81000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406C7A0
296181.30000000
PA
USD
330525.20000000
0.012892056943
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Floating
6.32900000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-73074.99000000
-0.00285027263
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
312400000.00000000
RUB
4319953.09000000
USD
2021-11-16
-73074.99000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358TLW7
28426.65000000
PA
USD
29339.98000000
0.001144398953
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
7.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED ZMW / SOLD USD
000000000
1.00000000
NC
35032.41000000
0.001366430833
N/A
DFE
ZM
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
643095.82000000
USD
13087000.00000000
ZMW
2022-08-25
35032.41000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4W31R5 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4W31R5 IRS PLN P F 2.32000 2 CCPVANILLA
000000000
13850000.00000000
OU
Notional Amount
129387.36000000
0.005046723254
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-05
0.00000000
PLN
0.00000000
PLN
13850000.00000000
PLN
129387.36000000
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
28620100000.00000000
PA
7635904.02000000
0.297836623175
Long
STIV
NUSS
UG
N
2
2022-06-16
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-32159.97000000
-0.00125439199
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
953525.01000000
USD
5200000.00000000
BRL
2021-11-03
-32159.97000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6N1
217767.44000000
PA
USD
247200.35000000
0.009641990954
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
8.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV1WGGT2 IRS USD R V 03MLIBOR 1 CCP VANILLA ICE / Short: BEV1WGGT2 IRS USD P F 2.50000 2 CCP VANILLA ICE
000000000
144.00000000
OU
Notional Amount
USD
-22.69000000
-0.00000088501
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
2046-06-15
0.00000000
USD
-11.02000000
USD
144.00000000
USD
-11.67000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
3402.29000000
0.000132705513
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1851085.16000000
PLN
403627.81000000
EUR
2021-12-10
3402.29000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-215910.59000000
-0.00842154129
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
84513000.00000000
SAR
22298944.59000000
USD
2022-03-24
-215910.59000000
N
N
N
COOF 9482625003
N/A
COOF 9482625003
000000000
712880.38000000
PA
USD
72087.96000000
0.002811773762
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
COOF 9334725007
N/A
COOF 9334725007
000000000
1458124.73000000
PA
USD
139697.44000000
0.005448865476
Long
ABS-MBS
CORP
US
N
2
2042-07-15
Fixed
2.41000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
453000.00000000
PA
USD
69508.32000000
0.002711155517
Long
DBT
NUSS
LB
Y
2
2030-02-26
None
0.00000000
Y
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-56792.03000000
-0.00221515964
N/A
DFE
PL
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4445008.45000000
EUR
20275086.00000000
PLN
2021-11-04
-56792.03000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
184109.54000000
0.007181148891
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3110583.22000000
USD
234294432.00000000
RUB
2021-11-16
184109.54000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-108.15000000
-0.00000421836
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3381668.95000000
USD
2922197.26000000
EUR
2021-12-15
-108.15000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
93034.88000000
0.003628803403
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
54452389.00000000
ZAR
3652007.77000000
USD
2021-11-16
93034.88000000
N
N
N
UNITED KINGDOM I/L GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Inflation-Linked Gilt
000000000
-4840210.76000000
PA
-14363711.41000000
-0.56025315292
Short
DBT
NUSS
GB
Y
2
2052-03-22
Fixed
0.25000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
2468815466.00000000
PA
73501620.18000000
2.866913242359
Long
DBT
NUSS
TH
Y
2
2028-03-12
Fixed
1.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4KHAJ5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KHAJ5 IRS COP P F 4.56250 2 CCPNDFOIS
000000000
26964400000.00000000
OU
Notional Amount
401174.16000000
0.015647702853
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-06
0.00000000
COP
0.00000000
COP
26964400000.00000000
COP
401174.16000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2454.38000000
0.000095732509
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1014453.37000000
USD
879626.89000000
EUR
2021-11-05
2454.38000000
N
N
N
COOF 1792627005
N/A
COOF 1792627005
000000000
595506.98000000
PA
USD
89109.38000000
0.003475690208
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2322.56000000
0.000090590901
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1161061.34000000
USD
1006329.00000000
EUR
2021-11-05
2322.56000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-232493.46000000
-0.00906835220
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
222750000.00000000
UAH
8192350.13000000
USD
2021-11-16
-232493.46000000
N
N
N
COOF 1126547003
N/A
COOF 1126547003
000000000
1498882.27000000
PA
USD
97025.81000000
0.003784468680
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
1.91000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
267.76000000
0.000010443915
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7235346.85000000
EUR
8372996.61000000
USD
2021-12-15
267.76000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC21
000000000
-911.00000000
NC
USD
2047871.30000000
0.079876733794
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYZ1 Comdty
2021-12-21
-121118418.18000000
USD
2047871.30000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-120746.53000000
-0.00470968973
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
170199039.00000000
ZAR
10985189.85000000
USD
2021-11-29
-120746.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359A2R9
9248.55000000
PA
USD
9622.50000000
0.000375323327
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358RAL7
13461.70000000
PA
USD
13666.33000000
0.000533051956
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
119767.89000000
0.004671518110
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
100000000.00000000
ZAR
6611919.97000000
USD
2022-01-07
119767.89000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389AZU0
766672.66000000
PA
USD
790971.31000000
0.030851648132
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
3.34600000
N
N
N
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
178215.95000000
0.006951270812
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
178215.95000000
N
N
N
INVERSIONES ATLANTIDA SA
N/A
Inversiones Atlantida SA
000000000
2945000.00000000
PA
USD
3055181.29000000
0.119166620771
Long
DBT
CORP
HN
Y
2
2026-05-19
Fixed
7.50000000
N
N
N
N
N
N
COOF 9600905006
N/A
COOF 9600905006
000000000
548830.95000000
PA
USD
82361.20000000
0.003212479049
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
3.71000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
95533.01000000
0.003726242370
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3600000.00000000
EUR
4261445.78000000
USD
2021-12-15
95533.01000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-95533.01000000
-0.00372624237
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4261445.78000000
USD
3600000.00000000
EUR
2021-12-15
-95533.01000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K8B54 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K8B54 IRS COP P F 4.37700 2 CCPNDFOIS
000000000
38665600000.00000000
OU
Notional Amount
645278.38000000
0.025168929992
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-30
0.00000000
COP
0.00000000
COP
38665600000.00000000
COP
645278.38000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BLD5
14471.24000000
PA
USD
15023.13000000
0.000585973618
Long
ABS-MBS
USGA
US
N
2
2023-06-20
Fixed
8.00000000
N
N
N
N
N
N
COOF 1691217001
N/A
COOF 1691217001
000000000
1611501.54000000
PA
USD
186835.74000000
0.007287483675
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
119202.35000000
0.004649459357
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4491938.89000000
EUR
5317265.01000000
USD
2021-12-15
119202.35000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-1998.11000000
-0.00007793580
N/A
DFE
PL
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
261902.83000000
EUR
1200000.00000000
PLN
2021-11-04
-1998.11000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PJM8
240515.03000000
PA
USD
244819.42000000
0.009549123345
Long
ABS-MBS
USGSE
US
N
2
2028-02-17
Fixed
7.50000000
N
N
N
N
N
N
COOF 8557585005
N/A
COOF 8557585005
000000000
424214.36000000
PA
USD
72181.23000000
0.002815411736
Long
ABS-MBS
CORP
US
N
2
2042-06-15
Fixed
3.78000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3UNNB6 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3UNNB6 IRS USD P F 1.89770 CCP LCH
000000000
1062802.00000000
OU
Notional Amount
USD
-41063.91000000
-0.00160168805
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
-41063.91000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1703578.91000000
0.066447690874
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
64196489.79000000
EUR
75991627.99000000
USD
2021-12-15
1703578.91000000
N
N
N
StoneCo Ltd
549300O1A9LEF0XZCR35
StoneCo Ltd
000000000
60400.00000000
NS
USD
2045144.00000000
0.079770356106
Long
EC
CORP
KY
N
1
N
N
N
BRASKEM AMERICA FINANCE
254900QMQAJ26H49CL75
Braskem America Finance Co
000000000
1279000.00000000
PA
USD
1552405.44000000
0.060551205572
Long
DBT
CORP
US
Y
2
2041-07-22
Fixed
7.12500000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4SFXN7 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4SFXN7 IRS COP P F 4.80500 2 CCPNDFOIS
000000000
15492290000.00000000
OU
Notional Amount
156570.77000000
0.006107005706
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
15492290000.00000000
COP
156570.77000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-455159.81000000
-0.01775340031
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
17800000.00000000
AUD
12935972.00000000
USD
2021-11-22
-455159.81000000
N
N
N
COOF 2199827010
N/A
COOF 2199827010
000000000
642236.82000000
PA
USD
79659.13000000
0.003107085450
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.21000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-52291.14000000
-0.00203960349
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2601454.21000000
EUR
11809343.00000000
PLN
2021-12-10
-52291.14000000
N
N
N
COOF 9726965008
N/A
COOF 9726965008
000000000
574839.25000000
PA
USD
59749.16000000
0.002330501798
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
BB COUNTRY GARDEN HOLDINGS CO
000000000
3630892.05000000
PA
USD
3630892.05000000
0.141622082264
Long
RA
CORP
US
N
2
Repurchase
N
-0.25000000
2022-09-29
3630892.05000000
USD
3630186.04000000
USD
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-12.70000000
-0.00000049536
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
396931.61000000
USD
343000.00000000
EUR
2021-12-15
-12.70000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
212074000000.00000000
PA
15777377.52000000
0.615392863871
Long
DBT
NUSS
ID
N
2
2030-09-15
Fixed
7.00000000
N
N
N
N
N
N
COOF 9748825002
N/A
COOF 9748825002
000000000
1101098.15000000
PA
USD
51417.49000000
0.002005526988
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.46000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HHD0
24455.00000000
PA
USD
26438.44000000
0.001031225074
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
9.00000000
N
N
N
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
-18981.58000000
-0.00074037202
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF TURKEY
REPUBLIC OF TURKEY
Y
sell protection
2021-12-20
0.00000000
USD
-41264.33000000
USD
7810000.00000000
USD
22282.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUPA5 IRS USD R F 2.75000 2 CCPINFLATIONZERO / Short: SEV4XUPA5 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
9500000.00000000
OU
Notional Amount
USD
244853.95000000
0.009550470179
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-10-29
0.00000000
USD
0.00000000
USD
9500000.00000000
USD
244853.95000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-67277.04000000
-0.00262412497
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2170382.17000000
EUR
761432573.00000000
HUF
2021-11-30
-67277.04000000
N
N
N
PETRA DIAMONDS US TREAS
635400LZYOO6WHAO2H58
Petra Diamonds US Treasury PLC
000000000
4601295.38000000
PA
USD
4756589.10000000
0.185529628406
Long
DBT
CORP
GB
Y
2
2026-03-08
Fixed
10.50000000
N
N
Y
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
-25487.35000000
-0.00099412803
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
10473696.42000000
USD
346749893.00000000
THB
2021-11-18
-25487.35000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED SAR / SOLD USD
000000000
1.00000000
NC
-205.00000000
-0.00000799597
N/A
DFE
SA
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
8179316.25000000
USD
30700000.00000000
SAR
2022-03-14
-205.00000000
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
22454400000.00000000
PA
6012862.13000000
0.234530259642
Long
STIV
NUSS
UG
N
2
2022-06-03
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
28925.79000000
0.001128243570
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
500000000.00000000
HUF
1413809.24000000
EUR
2021-11-12
28925.79000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-989.13000000
-0.00003858078
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
603110.00000000
NZD
430542.14000000
USD
2022-01-27
-989.13000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
161743.32000000
0.006308759791
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6095023.34000000
EUR
7214892.09000000
USD
2021-12-15
161743.32000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2135986.90000000
0.083313661850
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
80491053.34000000
EUR
95280072.20000000
USD
2021-12-15
2135986.90000000
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-141772.41000000
-0.00552979918
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
300000000.00000000
AED
81481883.86000000
USD
2023-03-06
-141772.41000000
N
N
N
EDEN RE II LTD UNSECURED 144A
549300LKX8PCP3SC3F42
EDEN RE II LTD UNSECURED 144A
000000000
3500000.00000000
NS
USD
3534300.00000000
0.137854532289
Long
STIV
CORP
US
N
3
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-241047.31000000
-0.00940199309
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
510072400.00000000
AED
138538866.86000000
USD
2023-03-06
-241047.31000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4180U2 IRS COP R V 00MDTF DTF RATE 90D NONCOMPOUNDING / Short: BEV4180U2 IRS COP P F 3.85000 CCP CME
000000000
10940900000.00000000
OU
Notional Amount
177184.16000000
0.006911026088
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-06
0.00000000
COP
0.00000000
COP
10940900000.00000000
COP
177184.16000000
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
99820000.00000000
PA
24948220.63000000
0.973099421785
Long
DBT
NUSS
MY
N
2
2025-09-15
Fixed
3.95500000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
672387139.00000000
PA
48266611.97000000
1.882627739112
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
COOF 9645535006
N/A
COOF 9645535006
000000000
1725095.75000000
PA
USD
186511.37000000
0.007274831700
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
COOF 2347087005
N/A
COOF 2347087005
000000000
302124.78000000
PA
USD
43740.12000000
0.001706072994
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
ZAMBIA GOVERNMENT BOND
213800DMLAZ6LGMMD849
Zambia Government Bond
000000000
20170000.00000000
PA
685760.96000000
0.026747943412
Long
DBT
NUSS
ZM
N
2
2031-06-28
Fixed
13.00000000
N
N
N
N
N
N
COOF 9335025000
N/A
COOF 9335025000
000000000
2460179.80000000
PA
USD
324158.97000000
0.012643743654
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.16000000
N
N
N
N
N
N
Tokyo Stock Exchange
N/A
TOPIX INDX FUTR DEC21
000000000
44.00000000
NC
-92209.00000000
-0.00359659015
N/A
DE
JP
N
2
Tokyo Stock Exchange
N/A
Long
TSE TOPIX (Tokyo Price Index) Future
TPZ1 Index
2021-12-09
889105735.00000000
JPY
-92209.00000000
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
-3985000.00000000
PA
USD
-4143096.27000000
-0.16160048624
Short
DBT
CORP
KY
Y
2
2026-04-08
Fixed
7.25000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-145922.06000000
-0.00569165530
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
56350000.00000000
SAR
14866112.65000000
USD
2022-03-24
-145922.06000000
N
N
N
EV CASH RESERVES FUND LLC
N/A
EV CASH RESERVES FUND LLC
000000000
316227582.28900000
NS
USD
316227582.29000000
12.33438175983
Long
STIV
US
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
8126.73000000
0.000316981173
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3600000.00000000
BRL
645994.83000000
USD
2021-11-03
8126.73000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CLR2
182775.54000000
PA
USD
197917.31000000
0.007719717681
Long
ABS-MBS
USGA
US
N
2
2025-12-20
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4LFY60 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4LFY60 IRS COP P F 4.05260 2 CCPNDFOIS
000000000
6280900000.00000000
OU
Notional Amount
112071.75000000
0.004371331997
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
363459.77000000
COP
0.00000000
COP
6280900000.00000000
COP
111970.12000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
14469.90000000
0.000564395013
N/A
DFE
ID
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1420666.86000000
USD
20332300000.00000000
IDR
2021-11-02
14469.90000000
N
N
N
Piraeus Financial Holdings SA
M6AD1Y1KW32H8THQ6F76
Piraeus Financial Holdings SA
000000000
699200.00000000
NS
1194903.00000000
0.046606907788
Long
EC
CORP
GR
N
2
N
N
N
COOF 9703695007
N/A
COOF 9703695007
000000000
1545978.82000000
PA
USD
175620.10000000
0.006850020299
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
3.16000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
142647.38000000
0.005563927185
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4193775.97000000
USD
310300000.00000000
RUB
2021-12-15
142647.38000000
N
N
N
COOF 9664715007
N/A
COOF 9664715007
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-11-15
Fixed
2.41000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
-2582000.00000000
PA
USD
-2407740.82000000
-0.09391335897
Short
DBT
CORP
KY
Y
2
2025-10-22
Fixed
3.12500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV3Y9W15 CDS USD R V 03MEVENT MOAGBN/XS0546428144 / Short: BEV3Y9W15 CDS USD P F 1.00000
000000000
5058000.00000000
OU
Notional Amount
USD
-60651.29000000
-0.00236568916
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Emirate of Dubai Government International Bonds
Emirate of Dubai Government International Bonds
Y
buy protection
2024-12-20
52749.64000000
USD
0.00000000
USD
5058000.00000000
USD
-113400.93000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
33519.36000000
0.001307414677
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
17478000.00000000
ZAR
1171642.92000000
USD
2021-12-15
33519.36000000
N
N
N
COOF 1814867009
N/A
COOF 1814867009
000000000
593364.95000000
PA
USD
41760.17000000
0.001628845515
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.46000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-3924.65000000
-0.00015308004
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
342349.12000000
USD
1910000.00000000
BRL
2021-11-03
-3924.65000000
N
N
N
COOF 7774145004
N/A
COOF 7774145004
000000000
974270.05000000
PA
USD
71342.45000000
0.002782695322
Long
ABS-MBS
CORP
US
N
2
2039-07-15
Fixed
2.39000000
N
N
N
N
N
N
COOF 2005677005
N/A
COOF 2005677005
000000000
471166.20000000
PA
USD
50766.65000000
0.001980141128
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
-12135.68000000
-0.00047334931
N/A
DFE
PH
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1801262.08000000
USD
90200000.00000000
PHP
2021-11-04
-12135.68000000
N
N
N
COOF 1607627004
N/A
COOF 1607627004
000000000
1417045.82000000
PA
USD
104172.96000000
0.004063241569
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
1.91000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
1239040000.00000000
PA
12672583.38000000
0.494291105666
Long
DBT
NUSS
RS
N
2
2032-08-20
Fixed
4.50000000
N
N
N
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
6727400000.00000000
PA
1790768.10000000
0.069848484527
Long
STIV
NUSS
UG
N
2
2022-06-23
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-57359.42000000
-0.00223729055
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2654675.22000000
EUR
937889321.00000000
HUF
2021-11-12
-57359.42000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4V3949 IRS GBP R V 12MSONIA 1 CCPOIS / Short: BEV4V3949 IRS GBP P F .53530 2 CCPOIS
000000000
31550000.00000000
OU
Notional Amount
1068300.18000000
0.041668794855
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-09-15
408.17000000
GBP
0.00000000
GBP
31550000.00000000
GBP
1067734.88000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
10757.59000000
0.000419597243
N/A
DFE
UY
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
732991.64000000
USD
33244103.00000000
UYU
2022-01-11
10757.59000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
4020752000.00000000
PA
165765543.89000000
6.465645678847
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
COOF 9384175006
N/A
COOF 9384175006
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Fixed
2.56000000
N
N
N
N
N
N
COOF 8430145005
N/A
COOF 8430145005
000000000
818528.90000000
PA
USD
61470.99000000
0.002397661368
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Fixed
2.53000000
N
N
N
N
N
N
ALAM SUTERA REALTY TBK
2549001ML992STTEP738
Alam Sutera Realty Tbk PT
000000000
5025000.00000000
PA
USD
3975830.25000000
0.155076314851
Long
DBT
CORP
ID
Y
2
2025-11-02
Fixed
6.25000000
N
N
Y
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
6823.27000000
0.000266140026
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
14649519.21000000
USD
17246000000.00000000
KRW
2022-01-26
6823.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373HXY7
287194.14000000
PA
USD
301285.36000000
0.011751563927
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Floating
3.26200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387CV57
75943.68000000
PA
USD
77995.85000000
0.003042209609
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Floating
2.27500000
N
N
N
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
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
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
156530.66000000
0.006105441225
N/A
DFE
ID
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
16586747.97000000
USD
237210400000.00000000
IDR
2021-11-02
156530.66000000
N
N
N
Grupo Kaltex SA de CV
4469000001BKEKA98385
Grupo Kaltex SA de CV
000000000
781000.00000000
PA
USD
733452.72000000
0.028608149187
Long
DBT
CORP
MX
Y
2
2022-04-11
Fixed
8.87500000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-136035.97000000
-0.00530605070
N/A
DFE
GB
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
25693439.95000000
USD
18674528.70000000
GBP
2021-11-23
-136035.97000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359BMV6
149603.76000000
PA
USD
156563.79000000
0.006106733453
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-3752.41000000
-0.00014636186
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4000000.00000000
AED
1085187.19000000
USD
2022-01-31
-3752.41000000
N
N
N
COOF 9575225000
N/A
COOF 9575225000
000000000
764736.72000000
PA
USD
36502.97000000
0.001423789677
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.71000000
N
N
N
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
779460000.00000000
PA
50159904.19000000
1.956475152596
Long
DBT
NUSS
EG
N
2
2026-04-06
Fixed
14.48300000
N
N
N
N
N
N
COOF 9631805003
N/A
COOF 9631805003
000000000
2136181.39000000
PA
USD
204568.11000000
0.007979130556
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
COOF 9682415004
N/A
COOF 9682415004
000000000
3514721.14000000
PA
USD
327155.65000000
0.012760628446
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.71000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
551758.36000000
0.021521203818
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
17329329.49000000
USD
1279511043.00000000
RUB
2021-12-15
551758.36000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-3859.22000000
-0.00015052795
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
285716.89000000
USD
1600000.00000000
BRL
2021-12-02
-3859.22000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4XNT25 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4XNT25 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
12350600000.00000000
OU
Notional Amount
-9694.89000000
-0.00037814688
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-25
0.00000000
COP
0.00000000
COP
12350600000.00000000
COP
-9694.89000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HEA7
48139.45000000
PA
USD
50130.39000000
0.001955323958
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
6.00000000
N
N
N
N
N
N
Pagseguro Digital Ltd
N/A
Pagseguro Digital Ltd
000000000
43700.00000000
NS
USD
1581940.00000000
0.061703194072
Long
EC
CORP
KY
N
1
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
2772.51000000
0.000108141094
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1600000.00000000
BRL
286269.44000000
USD
2021-11-03
2772.51000000
N
N
N
SILKNET JSC
635400QGWS2BG73SGG55
Silknet JSC
000000000
2470000.00000000
PA
USD
2659152.60000000
0.103719615754
Long
DBT
CORP
GE
Y
2
2024-04-02
Fixed
11.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203CKT8
6489.80000000
PA
USD
6698.05000000
0.000261255849
Long
ABS-MBS
USGA
US
N
2
2023-11-15
Fixed
6.50000000
N
N
N
N
N
N
J.P. Morgan AG
549300ZK53CNGEEI6A29
BEV4D25N3 SWAPTIONS
000000000
161720000.00000000
NC
68.08000000
0.000002655444
N/A
DIR
ZA
N
2
J.P. Morgan AG
549300ZK53CNGEEI6A29
Call
Purchased
J.P. Morgan AG
549300ZK53CNGEEI6A29
J.P. Morgan AG
549300ZK53CNGEEI6A29
IRS Swap
N/A
161720000.00000000
OU
Notional Amount
N/A
68.08000000
0.00000000
DIR
ZA
N/A
N/A
2026-12-17
0.00000000
N/A
0.00000000
N/A
161720000.00000000
ZAR
1.00000000
5.73000000
ZAR
2021-12-15
XXXX
-241629.32000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-628226.20000000
-0.02450381376
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
29170063.15000000
NZD
20274535.71000000
USD
2021-11-04
-628226.20000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4WNKP4 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4WNKP4 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
38509890000.00000000
OU
Notional Amount
-223579.65000000
-0.00872067115
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-24
0.00000000
COP
0.00000000
COP
38509890000.00000000
COP
-223579.65000000
N
N
N
COOF 2235657005
N/A
COOF 2235657005
000000000
2058456.03000000
PA
USD
150646.11000000
0.005875915750
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.16000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
14889.14000000
0.000580747370
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
578865780.00000000
THB
17458854.51000000
USD
2021-11-08
14889.14000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4QUJX0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV4QUJX0 IRS USD P F 1.24720 2 CCPVANILLA
000000000
37400000.00000000
OU
Notional Amount
USD
195205.56000000
0.007613946516
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-30
0.00000000
USD
0.00000000
USD
37400000.00000000
USD
195205.56000000
N
N
N
COOF 2160437003
N/A
COOF 2160437003
000000000
473665.30000000
PA
USD
34642.43000000
0.001351219756
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
Binh Minh Plastics JSC
N/A
Binh Minh Plastics JSC
000000000
32720.00000000
NS
86383.22000000
0.003369356984
Long
EC
CORP
VN
N
2
N
N
N
AL Yah Satellite Communications Co-Pjsc-Yah Sat
254900EPYJTFVMJEOA69
AL Yah Satellite Communications Co-Pjsc-Yah Sat
000000000
5278406.00000000
NS
3937446.73000000
0.153579174767
Long
EC
CORP
AE
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-99098.53000000
-0.00386531463
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4114965.76000000
EUR
1451889541.00000000
HUF
2021-11-24
-99098.53000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
65179.12000000
0.002542296098
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2963676.86000000
USD
345950000.00000000
KES
2022-03-08
65179.12000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K3JC2 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3JC2 IRS COP P F 4.82500 2 CCPNDFOIS
000000000
4923600000.00000000
OU
Notional Amount
99388.15000000
0.003876611191
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-03-26
0.00000000
COP
0.00000000
COP
4923600000.00000000
COP
99388.15000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
100913.50000000
0.003936107105
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3127297.24000000
USD
231000000.00000000
RUB
2021-12-15
100913.50000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1463000.00000000
PA
USD
224936.25000000
0.008773585020
Long
DBT
NUSS
LB
Y
2
2035-11-02
None
0.00000000
Y
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-51172.00000000
-0.00199595170
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2109109.89000000
EUR
9539291.00000000
PLN
2021-12-10
-51172.00000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
125.19000000
0.000004883006
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
47525000.00000000
UAH
1793396.23000000
USD
2021-11-22
125.19000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2250.56000000
-0.00008778255
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
351009.43000000
USD
301677.00000000
EUR
2021-11-05
-2250.56000000
N
N
N
GUARA NORTE SARL
549300U2I4L03BBA3485
Guara Norte Sarl
000000000
1157137.62000000
PA
USD
1135719.00000000
0.044298449921
Long
DBT
CORP
LU
Y
2
2034-06-15
Fixed
5.19800000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-28003.27000000
-0.00109226089
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
788843.84000000
USD
4294032.00000000
BRL
2021-11-03
-28003.27000000
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
000000000
16470000000.00000000
PA
1579534.13000000
0.061609353684
Long
DBT
NUSS
UZ
Y
2
2023-11-25
Fixed
14.50000000
N
N
N
N
N
N
COOF 9561145010
N/A
COOF 9561145010
000000000
1047608.03000000
PA
USD
55208.89000000
0.002153409645
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.96000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4F72E3 IRS USD R F 2.27500 2 CCPINFLATIONZERO / Short: SEV4F72E3 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
11630000.00000000
OU
Notional Amount
USD
-821560.99000000
-0.03204479133
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-28
0.00000000
USD
0.00000000
USD
11630000.00000000
USD
-821560.99000000
N
N
N
PETROTAL CORP
21380047ER33PRH4XH56
PetroTal Corp
000000000
900000.00000000
PA
USD
954000.00000000
0.037210543475
Long
DBT
CORP
CA
Y
2
2024-02-16
Fixed
12.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
191528.35000000
0.007470517813
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5379131.35000000
USD
398617839.00000000
RUB
2021-12-15
191528.35000000
N
N
N
Reginn HF
9676000V0KP4AUXNSZ66
Reginn HF
000000000
3082490.00000000
NS
740784.58000000
0.028894126645
Long
EC
CORP
IS
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D3R4
1717.26000000
PA
USD
1767.10000000
0.000068925315
Long
ABS-MBS
USGSE
US
N
2
2026-01-15
Fixed
8.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-81219.47000000
-0.00316794614
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3823049.19000000
EUR
1351103816.00000000
HUF
2021-11-12
-81219.47000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-108379.61000000
-0.00422732095
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4116491.81000000
EUR
1449547671.00000000
HUF
2021-11-24
-108379.61000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B91ZBVVV3 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B91ZBVVV3 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
149000000.00000000
OU
Notional Amount
USD
-1263837.37000000
-0.04929567652
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Russian Federation
Russian Federation
Y
buy protection
2026-12-20
0.00000000
USD
-1162427.51000000
USD
149000000.00000000
USD
-101409.86000000
N
N
N
ZAMBIA GOVERNMENT BOND
213800DMLAZ6LGMMD849
Zambia Government Bond
000000000
15100000.00000000
PA
691118.07000000
0.026956896216
Long
DBT
NUSS
ZM
N
2
2027-02-16
Fixed
15.00000000
N
N
N
N
N
N
Mobile World Investment Corp
254900ZRFNB8CRAHHO95
Mobile World Investment Corp
000000000
541249.00000000
NS
3344769.66000000
0.130461946381
Long
EC
CORP
VN
N
2
N
N
N
COOF 2371767008
N/A
COOF 2371767008
000000000
1525097.87000000
PA
USD
196436.58000000
0.007661962159
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
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
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
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PJK2
63202.75000000
PA
USD
67261.37000000
0.002623513765
Long
ABS-MBS
USGSE
US
N
2
2026-06-17
Fixed
7.50000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
322375000.00000000
PA
19599124.86000000
0.764459211404
Long
STIV
NUSS
EG
N
2
2022-03-29
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359AMH9
19188.40000000
PA
USD
19837.51000000
0.000773757367
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Fixed
7.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUPL1 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPL1 IRS EUR P F 2.20000 2 CCPINFLATIONZERO
000000000
5900000.00000000
OU
Notional Amount
-182006.66000000
-0.00709912655
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-10-15
0.00000000
EUR
0.00000000
EUR
5900000.00000000
EUR
-182006.66000000
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DL9
-1110000.00000000
PA
USD
-1131933.60000000
-0.04415080129
Short
DBT
NUSS
CL
N
2
2050-01-25
Fixed
3.50000000
N
N
N
N
N
N
COOF 9447195010
N/A
COOF 9447195010
000000000
2445762.86000000
PA
USD
284896.90000000
0.011112335936
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.41000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
75665.82000000
0.002951327342
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2238091.31000000
USD
165600000.00000000
RUB
2021-12-16
75665.82000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-15785.71000000
-0.00061571787
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3368380.45000000
USD
2900000.00000000
EUR
2021-11-05
-15785.71000000
N
N
N
COOF 1728057006
N/A
COOF 1728057006
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2028-02-15
Fixed
3.71000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
43454.00000000
PA
USD
37477.77000000
0.001461811519
Long
SN
CORP
AR
Y
2
2026-02-12
Variable
4.00000000
N
N
N
N
N
N
COOF 1717067003
N/A
COOF 1717067003
000000000
441207.54000000
PA
USD
46577.41000000
0.001816740817
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
2.91000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
1782.95000000
0.000069543541
N/A
DFE
HU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
270389.10000000
EUR
98400000.00000000
HUF
2022-01-25
1782.95000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
3666000.00000000
PA
4156078.71000000
0.162106863233
Long
DBT
NUSS
CI
Y
2
2032-01-30
Fixed
4.87500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-119666.62000000
-0.00466756809
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
138682500.00000000
UAH
5154525.18000000
USD
2021-11-02
-119666.62000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZP5
32739.70000000
PA
USD
33058.05000000
0.001289421390
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Floating
1.51400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MS37
1693701.92000000
PA
USD
1969248.85000000
0.076810083801
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
7.00000000
N
N
N
N
N
N
COOF 1988577005
N/A
COOF 1988577005
000000000
1794386.02000000
PA
USD
146986.34000000
0.005733167290
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.41000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
124233.27000000
0.004845689197
N/A
DFE
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3174217.09000000
USD
52200000.00000000
EGP
2021-12-01
124233.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373UV20
271539.74000000
PA
USD
272931.20000000
0.010645616649
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Floating
1.55600000
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
-60004.53000000
-0.00234046244
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
-60004.53000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-151231.18000000
-0.00589873626
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7600000.00000000
OMR
19454754.90000000
USD
2023-03-29
-151231.18000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4WPG41 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4WPG41 IRS PLN P F 2.48900 2 CCPVANILLA
000000000
82460000.00000000
OU
Notional Amount
178838.15000000
0.006975539576
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-10-15
0.00000000
PLN
0.00000000
PLN
82460000.00000000
PLN
178838.15000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-2069.44000000
-0.00008071801
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
359913.22000000
GBP
490497.08000000
USD
2021-11-23
-2069.44000000
N
N
N
Nomura International PLC
DGQCSV2PHVF7I2743539
BB QATAR (STATE OF) REPO BEV4SG357
000000000
14331353.40000000
PA
USD
14331353.40000000
0.558991036425
Long
RA
CORP
US
N
2
Repurchase
N
-0.25000000
2022-07-27
14331353.40000000
USD
14322197.26000000
USD
CDS
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
-34272.33000000
-0.00133678409
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
-34272.33000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
39841000.00000000
PA
1461694.26000000
0.057013037535
Long
DBT
NUSS
UA
N
2
2023-08-23
Fixed
10.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
270623.17000000
0.010555592487
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
10197976.38000000
EUR
12071700.96000000
USD
2021-12-15
270623.17000000
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
BB CHILE (REPUBLIC OF) REPO
000000000
1115088.73000000
PA
USD
1115088.73000000
0.043493771138
Long
RA
CORP
US
N
2
Repurchase
N
-0.20000000
2022-10-25
1115088.73000000
USD
1115076.34000000
USD
CDS
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PL45
503962.15000000
PA
USD
559978.02000000
0.021841809704
Long
ABS-MBS
USGSE
US
N
2
2031-08-17
Fixed
7.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-171245.10000000
-0.00667937446
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
74794776.00000000
CNY
11494935.65000000
USD
2021-11-10
-171245.10000000
N
N
N
BENIN INTL GOV BOND
635400Q11P6AE5A5Y230
Benin Government International Bond
000000000
11330000.00000000
PA
13179508.04000000
0.514063581661
Long
DBT
NUSS
BJ
Y
2
2052-01-19
Fixed
6.87500000
N
N
N
N
N
N
Eimskipafelag Islands hf
549300IUR8Q7Y44KBL02
Eimskipafelag Islands Hf
000000000
557209.00000000
NS
1911583.89000000
0.074560875729
Long
EC
CORP
IS
N
2
N
N
N
COOF 2299707006
N/A
COOF 2299707006
000000000
911833.87000000
PA
USD
83860.89000000
0.003270974101
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 NZD
000000000
1.00000000
NC
-130516.56000000
-0.00509076743
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
13797790.49000000
NZD
9754347.99000000
USD
2021-11-22
-130516.56000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-182433.42000000
-0.00711577222
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
276464060024.00000000
IDR
19331528.82000000
USD
2021-11-02
-182433.42000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AU4
9378943.00000000
PA
USD
8089056.97000000
0.315511746390
Long
SN
CORP
AR
N
2
2026-02-12
Variable
4.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
-5534.73000000
-0.00021588082
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6997255.36000000
USD
232090106.00000000
THB
2022-01-10
-5534.73000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
1177.56000000
0.000045930448
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
173943.02000000
EUR
63310895.00000000
HUF
2022-01-25
1177.56000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-187.65000000
-0.00000731924
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5867929.97000000
USD
5070646.82000000
EUR
2021-12-15
-187.65000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
74303.45000000
0.002898188424
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2800000.00000000
EUR
3314457.83000000
USD
2021-12-15
74303.45000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
73467.87000000
0.002865596824
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2000530.26000000
USD
8300000.00000000
PEN
2022-01-12
73467.87000000
N
N
N
COOF 1212507009
N/A
COOF 1212507009
000000000
2836169.54000000
PA
USD
392880.21000000
0.015324199302
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
3.66000000
N
N
N
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
162191.17000000
0.006326228073
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
162184.36000000
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
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
98940000.00000000
PA
6322800.06000000
0.246619315008
Long
DBT
NUSS
EG
N
2
2026-07-06
Fixed
14.56300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392PAB1
473493.45000000
PA
USD
534231.84000000
0.020837586067
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-65243.15000000
-0.00254479357
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3746937.88000000
EUR
1328676538.00000000
HUF
2021-11-12
-65243.15000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
313399C47
242594.09000000
PA
USD
268989.37000000
0.010491866506
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
REPUBLIC OF SURINAME INT
254900SYU4G5JM13TN77
Suriname Government International Bond
000000000
885000.00000000
PA
USD
601357.50000000
0.023455806496
Long
DBT
NUSS
SR
Y
2
2023-12-30
Fixed
12.87500000
N
Y
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-36598.15000000
-0.00142750215
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2190117.96000000
USD
250659000.00000000
KES
2022-06-06
-36598.15000000
N
N
N
COOF 9466195005
N/A
COOF 9466195005
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
3.29000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K7TH1 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K7TH1 IRS COP P F 4.37500 2 CCPNDFOIS
000000000
78091000000.00000000
OU
Notional Amount
1304914.46000000
0.050897878663
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-30
0.00000000
COP
0.00000000
COP
78091000000.00000000
COP
1304914.46000000
N
N
N
MALAYSIA INVESTMNT ISSUE
254900GSIL471JOBYY43
Malaysia Government Investment Issue
000000000
80580000.00000000
PA
19949005.54000000
0.778106224250
Long
DBT
NUSS
MY
N
2
2026-03-31
Fixed
3.72600000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
14047.32000000
0.000547912381
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
8221758.00000000
ZAR
551416.10000000
USD
2021-11-16
14047.32000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-16556.08000000
-0.00064576596
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4000000.00000000
OMR
10343133.45000000
USD
2022-08-04
-16556.08000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-27698.48000000
-0.00108037263
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
162028752.20000000
ZAR
10549090.28000000
USD
2021-11-26
-27698.48000000
N
N
N
COOF 9626165007
N/A
COOF 9626165007
000000000
2314673.79000000
PA
USD
172078.61000000
0.006711885323
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
2.11000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4W0J92 TRS USD R E BEV4W0JA9 COMMODITYTRS / Short: BEV4W0J92 TRS USD P F .25000 BEV4W0JB7 COMMODITYTRS
000000000
127600000.00000000
OU
Notional Amount
USD
4767918.01000000
0.185971509850
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM INDEX
Y
equity-performance leg
2021-11-04
0.00000000
USD
0.00000000
USD
127600000.00000000
USD
4767918.01000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-279755.68000000
-0.01091180387
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
288627683.00000000
AED
78294207.98000000
USD
2022-02-10
-279755.68000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VVG1
21816.39000000
PA
USD
25507.35000000
0.000994908130
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
10.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
6947000.00000000
PA
USD
6498779.56000000
0.253483353620
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-217038.94000000
-0.00846555231
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
250210000.00000000
UAH
9291125.14000000
USD
2021-11-04
-217038.94000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4KQZQ2 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KQZQ2 IRS COP P F 4.25000 2 CCPNDFOIS
000000000
13085100000.00000000
OU
Notional Amount
206917.58000000
0.008070771075
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
13085100000.00000000
COP
206917.58000000
N
N
N
COOF 1136997002
N/A
COOF 1136997002
000000000
1091082.34000000
PA
USD
181530.06000000
0.007080536886
Long
ABS-MBS
CORP
US
N
2
2043-06-15
Fixed
3.66000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-48034.83000000
-0.00187358713
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2212432.87000000
EUR
781574434.00000000
HUF
2021-11-12
-48034.83000000
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
N15516AE2
3939000.00000000
PA
USD
4197693.83000000
0.163730051108
Long
DBT
CORP
NL
Y
2
2050-01-31
Fixed
5.87500000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1708687.50000000
PA
USD
858632.56000000
0.033490759122
Long
DBT
NUSS
EC
Y
2
2040-07-31
Variable
0.50000000
N
N
N
N
N
N
ALPHA HOLDING SA
549300R872G37EN6NT94
Alpha Holding SA de CV
000000000
1849000.00000000
PA
USD
262779.88000000
0.010249666823
Long
DBT
CORP
MX
Y
2
2022-12-19
None
0.00000000
Y
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
5372600000.00000000
PA
59912845.79000000
2.336886323894
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
N
N
N
COOF 2259587002
N/A
COOF 2259587002
000000000
378107.10000000
PA
USD
44518.34000000
0.001736427280
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-5721.91000000
-0.00022318174
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9474000975.00000000
COP
2497693.44000000
USD
2022-01-14
-5721.91000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-35935.04000000
-0.00140163770
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1505974.25000000
EUR
6813779.00000000
PLN
2021-12-10
-35935.04000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4WN9T9 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4WN9T9 IRS PLN P F 2.49000 2 CCPVANILLA
000000000
26040000.00000000
OU
Notional Amount
55550.34000000
0.002166727821
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-10-14
0.00000000
PLN
0.00000000
PLN
26040000.00000000
PLN
55550.34000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A6T2
4957.67000000
PA
USD
5270.27000000
0.000205565629
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
9.00000000
N
N
N
N
N
N
COOF 9637215004
N/A
COOF 9637215004
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.71000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
3668.79000000
0.000143100282
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
15550000.00000000
ZAR
1017170.89000000
USD
2021-12-08
3668.79000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
58992.17000000
0.002300975583
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3713570.24000000
USD
14243770000.00000000
COP
2021-12-10
58992.17000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-101720.58000000
-0.00396758706
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
124892000.00000000
UAH
4648008.93000000
USD
2021-11-01
-101720.58000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV4V84W1 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4V84W1 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
8600000.00000000
OU
Notional Amount
USD
-14022.13000000
-0.00054692985
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2026-12-20
10558.14000000
USD
0.00000000
USD
8600000.00000000
USD
-24580.27000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
332115.65000000
0.012954092068
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4235000000.00000000
HUF
12050307.97000000
EUR
2021-11-12
332115.65000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
351672.45000000
0.013716900408
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
11349408.14000000
USD
16329002.89000000
NZD
2021-11-04
351672.45000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
1576.10000000
0.000061475406
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
134646.49000000
EUR
49215529.00000000
HUF
2022-01-25
1576.10000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373RUM9
14815.74000000
PA
USD
15470.05000000
0.000603405626
Long
ABS-MBS
USGA
US
N
2
2023-10-26
Fixed
6.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283H6C4
572851.30000000
PA
USD
667463.74000000
0.026034264691
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
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
-68386.09000000
-0.00266738320
N/A
DCR
QA
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2024-09-20
0.00000000
USD
-763.29000000
USD
3090000.00000000
USD
-67622.80000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PJY2
2120.14000000
PA
USD
2279.70000000
0.000088919157
Long
ABS-MBS
USGSE
US
N
2
2024-09-17
Fixed
7.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-221023.91000000
-0.00862098512
N/A
DFE
ZA
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3989854.13000000
USD
57824556.99000000
ZAR
2021-12-08
-221023.91000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1203.80000000
0.000046953933
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
910060.64000000
GBP
1246685.70000000
USD
2021-11-23
1203.80000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8GT5
739646.38000000
PA
USD
848555.57000000
0.033097708520
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
OPAP SA
213800M4NRGFJCI34834
OPAP SA
000000000
77900.00000000
NS
1216588.42000000
0.047452742446
Long
EC
CORP
GR
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
25161.32000000
0.000981411312
N/A
DFE
ID
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2406975.61000000
USD
34457300000.00000000
IDR
2021-11-02
25161.32000000
N
N
N
COOF 2319337000
N/A
COOF 2319337000
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.16000000
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
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
000000000
134017000.00000000
PA
3085650.83000000
0.120355077944
Long
DBT
NUSS
UY
Y
2
2022-06-20
Fixed
9.87500000
N
N
N
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
BB QATAR (STATE OF) REPO
000000000
4647441.71000000
PA
USD
4647441.71000000
0.181272360376
Long
RA
CORP
US
N
2
Repurchase
N
-0.10000000
2022-10-07
4647441.71000000
USD
4647222.25000000
USD
CDS
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
312916XQ7
10739.48000000
PA
USD
11116.90000000
0.000433612044
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K5FN7 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K5FN7 IRS COP P F 4.20000 2 CCPNDFOIS
000000000
8996000000.00000000
OU
Notional Amount
146880.91000000
0.005729055018
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
8996000000.00000000
COP
146880.91000000
N
N
N
Eik fasteignafelag hf
2138005WRSDC4DI3BJ43
Eik fasteignafelag hf
000000000
7781922.00000000
NS
749613.83000000
0.029238509445
Long
EC
CORP
IS
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
9274.17000000
0.000361736798
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
10618086.00000000
ZAR
702654.81000000
USD
2021-11-23
9274.17000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUQD8 IRS EUR R F 2.29150 2 CCPINFLATIONZERO / Short: SEV4XUQD8 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
000000000
5900000.00000000
OU
Notional Amount
374195.13000000
0.014595392194
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2046-10-15
0.00000000
EUR
0.00000000
EUR
5900000.00000000
EUR
374195.13000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-114.06000000
-0.00000444888
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3566662.24000000
USD
3082055.28000000
EUR
2021-12-15
-114.06000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T3WY0
82421.59000000
PA
USD
85606.19000000
0.003339049113
Long
ABS-MBS
USGSE
US
N
2
2024-01-15
Fixed
6.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
41840.54000000
0.001631980327
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4142269.50000000
GBP
5710827.25000000
USD
2021-11-23
41840.54000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PJF3
20883.02000000
PA
USD
21790.30000000
0.000849925477
Long
ABS-MBS
USGSE
US
N
2
2025-12-17
Fixed
7.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4QWRF6 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV4QWRF6 IRS USD P F 1.26370 2 CCPVANILLA
000000000
18745871.00000000
OU
Notional Amount
USD
93095.74000000
0.003631177233
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-03
0.00000000
USD
0.00000000
USD
18745871.00000000
USD
93095.74000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-20134.67000000
-0.00078534802
N/A
DFE
CL
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
369969.97000000
USD
285787000.00000000
CLP
2021-12-09
-20134.67000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
74579.26000000
0.002908946327
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2075344.03000000
USD
153874100.00000000
RUB
2021-12-16
74579.26000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBD0
479000.00000000
PA
USD
504147.50000000
0.019664153529
Long
DBT
CORP
NL
N
2
2049-03-19
Fixed
6.90000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
25334.72000000
0.000988174737
N/A
DFE
XX
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
4900000.00000000
PLN
1084293.89000000
EUR
2021-11-04
25334.72000000
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BM3
-12108000.00000000
PA
USD
-16535411.28000000
-0.64495979068
Short
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D2Y0
856.21000000
PA
USD
923.57000000
0.000036023628
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
9.00000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
93525000.00000000
PA
5866814.08000000
0.228833690131
Long
STIV
NUSS
EG
N
2
2021-12-28
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F4ZS4
6442832.31000000
PA
USD
773865.34000000
0.030184433834
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
COOF 2006697002
N/A
COOF 2006697002
000000000
1448242.10000000
PA
USD
107798.00000000
0.004204635393
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DT6
-813000.00000000
PA
USD
-822406.41000000
-0.03207776674
Short
DBT
NUSS
PE
N
2
2051-03-10
Fixed
3.55000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-23392.54000000
-0.00091242046
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1241313.05000000
EUR
440000000.00000000
HUF
2021-11-24
-23392.54000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
323493733.00000000
PA
23221661.42000000
0.905755389766
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
-33986.48000000
-0.00132563458
N/A
DFE
CZ
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3088813.71000000
EUR
78610000.00000000
CZK
2021-11-18
-33986.48000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-2418571.82000000
-0.09433581955
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
111953375.00000000
AUD
81802092.05000000
USD
2021-11-12
-2418571.82000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
15873463.90000000
PA
13945988.37000000
0.543959964934
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
COOF 9657845002
N/A
COOF 9657845002
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-10-15
Fixed
2.96000000
N
N
N
N
N
N
COOF 1293627000
N/A
COOF 1293627000
000000000
1461390.07000000
PA
USD
116124.18000000
0.004529396067
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-445504.02000000
-0.01737677851
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
122510000.00000000
SAR
32193679.02000000
USD
2022-03-14
-445504.02000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1595000.00000000
PA
USD
245598.10000000
0.009579495573
Long
DBT
NUSS
LB
N
2
2033-05-17
None
0.00000000
Y
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
2947000.00000000
PA
USD
454633.69000000
0.017732879126
Long
DBT
NUSS
LB
Y
2
2025-06-12
None
0.00000000
Y
N
N
N
N
N
COOF 8868325005
N/A
COOF 8868325005
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-07-15
Fixed
2.98000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
9000000.00000000
PA
USD
9028188.00000000
0.352142329221
Long
ABS-O
CORP
US
N
2
2023-02-25
Floating
2.93900000
N
N
N
N
N
N
COOF 2231267009
N/A
COOF 2231267009
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
53955.81000000
0.002104533557
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
113836864.00000000
ZAR
7459967.37000000
USD
2021-12-22
53955.81000000
N
N
N
COOF 1553317009
N/A
COOF 1553317009
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED BHD / SOLD USD
000000000
1.00000000
NC
5413.94000000
0.000211169444
N/A
DFE
BH
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3503437.33000000
USD
1325000.00000000
BHD
2022-03-14
5413.94000000
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
-3108.00000000
-0.00012122680
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
-3108.00000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
153649.55000000
0.005993064214
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4181376.30000000
USD
310200000.00000000
RUB
2021-12-15
153649.55000000
N
N
N
National Bank of Greece SA
5UMCZOEYKCVFAW8ZLO05
National Bank of Greece SA
000000000
168500.00000000
NS
532077.97000000
0.020753574879
Long
EC
CORP
GR
N
2
N
N
N
GEORGIA T-BOND
2138007T8RLEVDMLQ257
Georgia Treasury Bond
000000000
6695000.00000000
PA
2109051.24000000
0.082263042827
Long
DBT
NUSS
GE
N
2
2022-11-06
Fixed
8.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374J7D7
189426.90000000
PA
USD
190802.68000000
0.007442213227
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Floating
1.68200000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
21580000.00000000
PA
14710897.58000000
0.573795067044
Long
DBT
NUSS
NZ
N
2
2051-05-15
Fixed
2.75000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-23979.21000000
-0.00093530339
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5793450.00000000
OMR
14980606.62000000
USD
2022-08-04
-23979.21000000
N
N
N
COOF 1963907001
N/A
COOF 1963907001
000000000
1466648.17000000
PA
USD
150911.39000000
0.005886262933
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
REPUBLIC OF SURINAME INT
254900SYU4G5JM13TN77
Suriname Government International Bond
000000000
39361000.00000000
PA
USD
28536725.00000000
1.113068182656
Long
DBT
NUSS
SR
Y
2
2026-10-26
Fixed
9.25000000
N
Y
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3YD219 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3YD219 IRS USD P F .82900 CCP LCH
000000000
740000.00000000
OU
Notional Amount
USD
4827.83000000
0.000188308362
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
4827.83000000
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
-18271.94000000
-0.00071269268
N/A
DCR
OM
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OMAN GOV INTERNTL BOND
OMAN GOV INTERNTL BOND
Y
buy protection
2022-06-20
131769.62000000
USD
0.00000000
USD
20851000.00000000
USD
-150041.56000000
N
N
N
REPUBLIC OF BELARUS
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond
000000000
7310000.00000000
PA
USD
6753928.30000000
0.263435369639
Long
DBT
NUSS
BY
Y
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
COOF 1856857004
N/A
COOF 1856857004
000000000
2789667.33000000
PA
USD
208126.85000000
0.008117938365
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31346AF83
166434.84000000
PA
USD
177632.02000000
0.006928494761
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Floating
4.38200000
N
N
N
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
923061823.00000000
PA
7575039.93000000
0.295462633796
Long
DBT
NUSS
IS
N
2
2028-11-15
Fixed
5.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4W0JN1 TRS USD R E BEV4W0JP6 COMMODITYTRS / Short: BEV4W0JN1 TRS USD P F .25000 BEV4W0JQ4 COMMODITYTRS
000000000
51100000.00000000
OU
Notional Amount
USD
1909409.46000000
0.074476062603
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM INDEX
Y
equity-performance leg
2021-11-04
0.00000000
USD
0.00000000
USD
51100000.00000000
USD
1909409.46000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358S2U4
109543.10000000
PA
USD
121034.86000000
0.004720935974
Long
ABS-MBS
USGSE
US
N
2
2027-03-18
Fixed
8.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4RN627 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV4RN627 IRS USD P F .89170 2 CCPVANILLA
000000000
15783366.00000000
OU
Notional Amount
USD
228071.22000000
0.008895863781
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-07-15
0.00000000
USD
0.00000000
USD
15783366.00000000
USD
228071.22000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
18416.87000000
0.000718345641
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6753830.95000000
USD
25629100000.00000000
COP
2022-01-14
18416.87000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
9127964W6
28840000.00000000
PA
USD
28839927.90000000
1.124894539776
Long
STIV
UST
US
N
2
2021-11-04
None
0.00000000
N
N
N
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
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374J6U0
70944.84000000
PA
USD
71491.00000000
0.002788489479
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Floating
1.88200000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-376870.02000000
-0.01469972564
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
14400000.00000000
OMR
36781609.20000000
USD
2023-03-13
-376870.02000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
26353.53000000
0.001027913180
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1444824.64000000
USD
168900000.00000000
KES
2022-04-01
26353.53000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
120343.49000000
0.004693969252
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
8425424.51000000
GBP
11651128.62000000
USD
2021-11-23
120343.49000000
N
N
N
COOF 2237857010
N/A
COOF 2237857010
000000000
3524045.46000000
PA
USD
196257.36000000
0.007654971726
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
1.66000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
221146.41000000
0.008625763211
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
38800000.00000000
BRL
7095947.08000000
USD
2021-11-03
221146.41000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-39242.40000000
-0.00153064049
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
306041535.00000000
PHP
6016149.70000000
USD
2021-11-26
-39242.40000000
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
35000000000.00000000
PA
27135817.94000000
1.058426135422
Long
DBT
NUSS
KR
N
2
2030-12-10
Fixed
1.50000000
N
N
N
N
N
N
COOF 9642635006
N/A
COOF 9642635006
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.21000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-383325.55000000
-0.01495152205
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
17099021.43000000
USD
14444974.84000000
EUR
2021-12-15
-383325.55000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-35286.61000000
-0.00137634584
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2765782.81000000
USD
15500000.00000000
BRL
2021-12-02
-35286.61000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC21
000000000
-12.00000000
NC
USD
29343.74000000
0.001144545611
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT US Long Bond Future
USZ1 Comdty
2021-12-21
-1959468.74000000
USD
29343.74000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
28133.85000000
0.001097354138
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7401887.00000000
ZAR
510566.52000000
USD
2021-12-08
28133.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GLW1
832504.70000000
PA
USD
924087.17000000
0.036043800643
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4EYA55 IRS USD R F 2.29300 2 CCPINFLATIONZERO / Short: SEV4EYA55 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
20760000.00000000
OU
Notional Amount
USD
-1447026.81000000
-0.05644093713
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-26
0.00000000
USD
0.00000000
USD
20760000.00000000
USD
-1447026.81000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4XRW22 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4XRW22 TRS COP P V 00MDTF DTF RAATE 90D NON COMPOUNDING
000000000
50821100000.00000000
OU
Notional Amount
-7625.05000000
-0.00029741326
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-29
0.00000000
COP
0.00000000
COP
50821100000.00000000
COP
-7625.05000000
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
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
5615000.00000000
PA
6490647.19000000
0.253166152459
Long
DBT
NUSS
CI
Y
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
90777.85000000
0.003540768484
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
272318462.00000000
ZAR
17779650.57000000
USD
2022-01-03
90777.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359H6F6
55312.02000000
PA
USD
59330.86000000
0.002314186106
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
8.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
23817.90000000
0.000929011534
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
12571659.00000000
ZAR
845493.39000000
USD
2021-11-16
23817.90000000
N
N
N
JSW STEEL LTD
335800EK6HZSC4CVAJ09
JSW Steel Ltd
000000000
1466000.00000000
PA
USD
1491767.98000000
0.058186055843
Long
DBT
CORP
IN
Y
2
2032-04-05
Fixed
5.05000000
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
7053994.00000000
OU
Notional Amount
120916.13000000
0.004716304939
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-25
0.00000000
EUR
0.00000000
EUR
7053994.00000000
EUR
120920.30000000
N
N
N
COOF 2303637002
N/A
COOF 2303637002
000000000
340220.35000000
PA
USD
49790.11000000
0.001942051418
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
COOF 2373147003
N/A
COOF 2373147003
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
1.91000000
N
N
N
N
N
N
COOF 9612025010
N/A
COOF 9612025010
000000000
530423.48000000
PA
USD
64178.00000000
0.002503247651
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
2.96000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PJG1
141809.27000000
PA
USD
145741.61000000
0.005684616892
Long
ABS-MBS
USGSE
US
N
2
2024-08-17
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AZL4
1720197.16000000
PA
USD
2001695.47000000
0.078075656510
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-25427.19000000
-0.00099178150
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
292000000000.00000000
IDR
20585125.13000000
USD
2021-11-02
-25427.19000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
127182.24000000
0.004960713072
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3163488.40000000
USD
52090000.00000000
EGP
2021-12-02
127182.24000000
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
-159713.47000000
-0.00622958597
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
-159713.47000000
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
-3870000.00000000
PA
USD
-3511287.61000000
-0.13695693948
Short
DBT
CORP
KY
Y
2
2026-07-12
Fixed
2.70000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
7625000.00000000
PA
USD
1183285.63000000
0.046153775030
Long
DBT
NUSS
LB
N
2
2023-05-26
None
0.00000000
Y
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
2168845.89000000
0.084595318952
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
2168845.89000000
N
N
N
FIN DEPT GOVT SHARJAH
254900ZNL8O3F1CLJO24
Finance Department Government of Sharjah
000000000
19846000.00000000
PA
USD
17961304.76000000
0.700576427300
Long
DBT
NUSS
AE
Y
2
2050-07-28
Fixed
4.00000000
N
N
N
N
N
N
COOF 9631225006
N/A
COOF 9631225006
000000000
119286.40000000
PA
USD
16383.87000000
0.000639048959
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4W0JZ4 TRS USD R E BEV4W0K09 COMMODITYTRS / Short: BEV4W0JZ4 TRS USD P F .26000 BEV4W0K17 COMMODITYTRS
000000000
45400000.00000000
OU
Notional Amount
USD
1638216.20000000
0.063898233890
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM INDEX
Y
equity-performance leg
2021-11-04
0.00000000
USD
0.00000000
USD
45400000.00000000
USD
1638216.20000000
N
N
N
COOF 2254917006
N/A
COOF 2254917006
000000000
2603273.89000000
PA
USD
267259.97000000
0.010424411669
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DQC8
210581.00000000
PA
USD
241491.67000000
0.009419325246
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
7.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC21
000000000
109.00000000
NC
USD
502366.67000000
0.019594692677
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNZ1 Comdty
2021-12-21
20905914.58000000
USD
502366.67000000
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
7437500000.00000000
PA
2020255.81000000
0.078799598164
Long
STIV
NUSS
UG
N
2
2022-04-07
None
0.00000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
7663000.00000000
PA
USD
1193320.68000000
0.046545189772
Long
DBT
NUSS
LB
Y
2
2024-11-04
None
0.00000000
Y
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-7984.08000000
-0.00031141714
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
46704738.00000000
ZAR
3040772.03000000
USD
2021-11-26
-7984.08000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
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
17351.70000000
0.000676798938
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Senior Financials S28.V1
2I667DBL7
Y
buy protection
2022-12-20
203769.38000000
USD
0.00000000
USD
16680000.00000000
USD
-186417.68000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-467071.05000000
-0.01821799540
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
21687239.55000000
NZD
15073629.10000000
USD
2021-11-04
-467071.05000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-5560.81000000
-0.00021689807
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1823906.46000000
USD
1572872.00000000
EUR
2021-11-05
-5560.81000000
N
N
N
COOF 2363557004
N/A
COOF 2363557004
000000000
0.00000000
PA
USD
0.00000000
0.000000
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 IDR / SOLD USD
000000000
1.00000000
NC
-76947.66000000
-0.00300132520
N/A
DFE
ID
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
20436730.12000000
USD
292000000000.00000000
IDR
2022-01-18
-76947.66000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-61315.85000000
-0.00239161016
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
138682500.00000000
UAH
5200431.24000000
USD
2021-11-08
-61315.85000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
-40.90000000
-0.00000159529
N/A
DFE
PH
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
45152.63000000
USD
2274338.00000000
PHP
2021-11-04
-40.90000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-191187.61000000
-0.00745722733
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
8528315.23000000
USD
7204581.82000000
EUR
2021-12-15
-191187.61000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5858.77000000
0.000228519932
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
220777.83000000
EUR
261342.43000000
USD
2021-12-15
5858.77000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
528000.00000000
PA
USD
428081.28000000
0.016697208679
Long
DBT
CORP
AR
Y
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1979.65000000
0.000077215778
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
249584.40000000
GBP
343553.43000000
USD
2021-11-23
1979.65000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUPY3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4XUPY3 IRS USD P F 2.62250 2 CCPINFLATIONZERO
000000000
9500000.00000000
OU
Notional Amount
USD
-484572.58000000
-0.01890063842
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2046-10-29
0.00000000
USD
0.00000000
USD
9500000.00000000
USD
-484572.58000000
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
-751495.06000000
-0.02931188637
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
-751495.06000000
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
-90405.73000000
-0.00352625403
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
-90405.73000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PLD5
71104.34000000
PA
USD
76299.87000000
0.002976058312
Long
ABS-MBS
USGSE
US
N
2
2024-06-17
Fixed
8.00000000
N
N
N
N
N
N
ALPHA CAPITAL DIP
N/A
ALPHA CAPITAL DIP
000000000
190000.00000000
PA
USD
180196.00000000
0.007028502192
Long
DBT
CORP
US
N
2
2022-02-05
Variable
1.00000000
N
N
N
N
N
N
COOF 2121127001
N/A
COOF 2121127001
000000000
1059282.35000000
PA
USD
148014.68000000
0.005773277447
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
ALAM SUTERA REALTY TBK
2549001ML992STTEP738
Alam Sutera Realty Tbk PT
000000000
1675000.00000000
PA
USD
1434671.00000000
0.055959001696
Long
DBT
CORP
ID
N
2
2024-05-02
Fixed
6.00000000
N
N
Y
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
16897142.85000000
PA
USD
17076708.79000000
0.666072971535
Long
LON
NUSS
TZ
N
2
2022-06-23
Floating
5.36400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PK95
117588.26000000
PA
USD
123961.89000000
0.004835104085
Long
ABS-MBS
USGSE
US
N
2
2027-09-17
Fixed
7.50000000
N
N
N
N
N
N
COOF 9650315004
N/A
COOF 9650315004
000000000
803281.50000000
PA
USD
90813.73000000
0.003542167975
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED UZS / SOLD USD
000000000
1.00000000
NC
21159.54000000
0.000825322833
N/A
DFE
UZ
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
1194568.05000000
USD
13647940000.00000000
UZS
2022-05-06
21159.54000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XFFL5 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4XFFL5 IRS PLN P F 2.73000 2 CCPVANILLA
000000000
21040000.00000000
OU
Notional Amount
21376.72000000
0.000833793887
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-25
0.00000000
PLN
0.00000000
PLN
21040000.00000000
PLN
21376.72000000
N
N
N
Landsbankinn HF
549300TLZPT6JELDWM92
Landsbankinn HF
000000000
560000000.00000000
PA
4455658.74000000
0.173791911169
Long
DBT
CORP
IS
Y
2
2023-11-23
Fixed
5.00000000
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
-72550.57000000
-0.00282981775
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
-72550.57000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
8431.66000000
0.000328874896
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1046011.70000000
GBP
1439972.13000000
USD
2021-11-23
8431.66000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4W1843 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4W1843 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
85633020000.00000000
OU
Notional Amount
-510241.35000000
-0.01990184270
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-03
0.00000000
COP
0.00000000
COP
85633020000.00000000
COP
-510241.35000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
159827.44000000
0.006234031346
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2715968.66000000
USD
204505568.00000000
RUB
2021-11-16
159827.44000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374CLQ7
3262090.17000000
PA
USD
3834737.54000000
0.149573027199
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
107723.69000000
0.004201736949
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
289394221.00000000
THB
8828377.70000000
USD
2021-11-10
107723.69000000
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
26067200000.00000000
PA
7128929.61000000
0.278062206692
Long
STIV
NUSS
UG
N
2
2022-03-10
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-1498.41000000
-0.00005844512
N/A
DFE
PL
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1516519.96000000
EUR
7000000.00000000
PLN
2021-12-10
-1498.41000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4F8JX1 SYNTHSWAPTIONS
000000000
176282000.00000000
NC
1154.17000000
0.000045018126
N/A
DIR
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
176282000.00000000
OU
Notional Amount
N/A
1154.17000000
0.00000000
DIR
US
N/A
N/A
2027-01-27
0.00000000
N/A
0.00000000
N/A
176282000.00000000
ZAR
1.00000000
5.74000000
ZAR
2022-01-27
XXXX
-260902.24000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4W0HT0 TRS USD R F .00000 BEV4W0HV5 COMMODITYTRS / Short: BEV4W0HT0 TRS USD P E BEV4W0HU7 COMMODITYTRS
000000000
127600000.00000000
OU
Notional Amount
USD
-6269641.46000000
-0.24454587643
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM INDEX
Y
equity-performance leg
2021-11-04
0.00000000
USD
0.00000000
USD
127600000.00000000
USD
-6269641.46000000
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
ZAMBIA GOVERNMENT BOND
213800DMLAZ6LGMMD849
Zambia Government Bond
000000000
26190000.00000000
PA
989389.40000000
0.038590898619
Long
DBT
NUSS
ZM
N
2
2028-03-22
Fixed
12.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1116.87000000
0.000043563249
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
247000.00000000
GBP
339153.72000000
USD
2021-11-23
1116.87000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
1033059.33000000
0.040294233869
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
29360296.00000000
USD
40400000.00000000
AUD
2021-11-22
1033059.33000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
13921.03000000
0.000542986469
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9229099025.00000000
COP
2452623.35000000
USD
2022-01-14
13921.03000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XD7D7 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4XD7D7 IRS PLN P F 2.67900 2 CCPVANILLA
000000000
30760000.00000000
OU
Notional Amount
65300.95000000
0.002547048049
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-22
0.00000000
PLN
0.00000000
PLN
30760000.00000000
PLN
65300.95000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4XFA48 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4XFA48 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
19540390000.00000000
OU
Notional Amount
-70098.17000000
-0.00273416247
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-26
0.00000000
COP
0.00000000
COP
19540390000.00000000
COP
-70098.17000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
99568.07000000
0.003883628928
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3728254.24000000
USD
15295163.00000000
PEN
2021-12-09
99568.07000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-3500.63000000
-0.00013654124
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
285358.30000000
USD
1600000.00000000
BRL
2021-12-02
-3500.63000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PL78
435971.03000000
PA
USD
494397.88000000
0.019283871915
Long
ABS-MBS
USGSE
US
N
2
2030-02-17
Fixed
6.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358Q5Q4
26169.90000000
PA
USD
26256.52000000
0.001024129328
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Floating
1.23900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4F4K42 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4F4K42 IRS USD P F 2.31400 2 CCPINFLATIONZERO
000000000
20760000.00000000
OU
Notional Amount
USD
1676297.34000000
0.065383579714
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-27
0.00000000
USD
0.00000000
USD
20760000.00000000
USD
1676297.34000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-116762.57000000
-0.00455429631
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5208433.74000000
USD
4400000.00000000
EUR
2021-12-15
-116762.57000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-13696.21000000
-0.00053421741
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1279054.09000000
USD
1094536.66000000
EUR
2021-11-05
-13696.21000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-104723.82000000
-0.00408472773
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
770303386.00000000
PHP
15136635.61000000
USD
2021-11-26
-104723.82000000
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
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4V3774 IRS GBP R V 12MSONIA 1 CCPOIS / Short: BEV4V3774 IRS GBP P F .53870 2 CCPOIS
000000000
43454127.00000000
OU
Notional Amount
1461805.87000000
0.057017390857
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-09-15
566.13000000
GBP
0.00000000
GBP
43454127.00000000
GBP
1461021.83000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-24010.15000000
-0.00093651019
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
770415.94000000
USD
4212565.00000000
BRL
2021-11-03
-24010.15000000
N
N
N
COOF 8887125010
N/A
COOF 8887125010
000000000
744504.62000000
PA
USD
47754.70000000
0.001862660734
Long
ABS-MBS
CORP
US
N
2
2027-05-15
Fixed
3.78000000
N
N
N
N
N
N
Taaleem Management Services Co SAE
N/A
Taaleem Management Services Co SAE
000000000
9039600.00000000
NS
2585108.67000000
0.100831549846
Long
EC
CORP
EG
N
2
N
N
N
BRASKEM IDESA SAPI
YH0V7ZHY352ITDGEYB83
Braskem Idesa SAPI
000000000
3000000.00000000
PA
USD
3075000.00000000
0.119939644849
Long
DBT
CORP
MX
Y
2
2032-02-20
Fixed
6.99000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4F4JY8 IRS USD R F 2.26000 2 CCPINFLATIONZERO / Short: SEV4F4JY8 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
20760000.00000000
OU
Notional Amount
USD
-1482965.69000000
-0.05784272461
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-27
0.00000000
USD
0.00000000
USD
20760000.00000000
USD
-1482965.69000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PKD6
73759.66000000
PA
USD
74532.71000000
0.002907130655
Long
ABS-MBS
USGSE
US
N
2
2030-03-17
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390PTM9
9865.54000000
PA
USD
10477.21000000
0.000408661088
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Floating
7.72500000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
74949.81000000
0.002923399542
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2919265.27000000
USD
341700000.00000000
KES
2022-03-04
74949.81000000
N
N
N
Motor Oil Hellas Corinth Refineries SA
213800U3Y9UL7Y4QVM11
Motor Oil Hellas Corinth Refineries SA
000000000
28600.00000000
NS
485457.30000000
0.018935146715
Long
EC
CORP
GR
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED AED / SOLD USD
000000000
1.00000000
NC
-1465.65000000
-0.00005716733
N/A
DFE
AE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
23957964.66000000
USD
88000000.00000000
AED
2022-02-10
-1465.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KU69
698278.69000000
PA
USD
782694.82000000
0.030528825605
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
7.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-316773.14000000
-0.01235566110
N/A
DFE
ZA
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
12928140.06000000
USD
193872974.00000000
ZAR
2021-12-23
-316773.14000000
N
N
N
COOF 2323427006
N/A
COOF 2323427006
000000000
450989.72000000
PA
USD
43967.94000000
0.001714959059
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2362.89000000
-0.00009216396
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
753491.13000000
USD
649727.17000000
EUR
2021-11-05
-2362.89000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-122549.11000000
-0.00477999893
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
770303386.00000000
PHP
15118810.32000000
USD
2021-11-26
-122549.11000000
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
2482000.00000000
PA
USD
2503226.06000000
0.097637738086
Long
DBT
NUSS
PK
Y
2
2051-04-08
Fixed
8.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV33XZY1 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: BEV33XZY1 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
68490000.00000000
OU
Notional Amount
USD
10471936.08000000
0.408455380267
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF TURKEY
REPUBLIC OF TURKEY
Y
buy protection
2026-12-20
8769617.80000000
USD
0.00000000
USD
68490000.00000000
USD
1702318.28000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
8628000.00000000
PA
USD
1303949.64000000
0.050860246088
Long
DBT
NUSS
LB
N
2
2029-05-25
None
0.00000000
Y
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
65884.20000000
0.002569797576
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2083003.76000000
USD
153800000.00000000
RUB
2021-12-16
65884.20000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
-8165.25000000
-0.00031848363
N/A
DFE
PH
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1204848.72000000
USD
60331595.00000000
PHP
2021-11-04
-8165.25000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B91ZC0P39 CDS USD R V 03MEVENT 1 CCPCDX / Short: B91ZC0P39 CDS USD P F 1.00000 2 CCPCDX
000000000
209500000.00000000
OU
Notional Amount
USD
-4965363.69000000
-0.19367283171
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S37.V1
2I65BYDZ5
Y
buy protection
2026-12-20
0.00000000
USD
-4787883.14000000
USD
209500000.00000000
USD
-177480.55000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUPG2 IRS USD R F 2.75000 2 CCPINFLATIONZERO / Short: SEV4XUPG2 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
9500000.00000000
OU
Notional Amount
USD
244853.95000000
0.009550470179
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-10-29
0.00000000
USD
0.00000000
USD
9500000.00000000
USD
244853.95000000
N
N
N
MC BRAZIL DWNSTRM
213800T2A7R9TYNXZI63
MC Brazil Downstream Trading SARL
55292WAA8
3757000.00000000
PA
USD
3663075.00000000
0.142877370587
Long
DBT
CORP
LU
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
COOF 2137117003
N/A
COOF 2137117003
000000000
1024068.38000000
PA
USD
85733.28000000
0.003344006229
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359HG81
67674.84000000
PA
USD
70553.54000000
0.002751924074
Long
ABS-MBS
USGSE
US
N
2
2024-05-17
Fixed
7.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
426211.18000000
0.016624265873
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
16061047.34000000
EUR
19012022.91000000
USD
2021-12-15
426211.18000000
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
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-192427.82000000
-0.00750560142
N/A
DFE
CL
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5389783.48000000
USD
4248513000.00000000
CLP
2021-12-15
-192427.82000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
6000000.00000000
PA
USD
3982560.00000000
0.155338807151
Long
DBT
NUSS
EC
Y
2
2035-07-31
Variable
1.00000000
N
N
N
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
2456353.00000000
NS
3718997.25000000
0.145058604670
Long
EC
CORP
IS
Y
2
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300LA96
669688.98000000
PA
USD
702732.94000000
0.027409931462
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Floating
2.37300000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-91714.85000000
-0.00357731594
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3532970.23000000
EUR
1244476750.00000000
HUF
2021-11-24
-91714.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359UNJ0
162640.99000000
PA
USD
180712.20000000
0.007048636451
Long
ABS-MBS
USGSE
US
N
2
2028-07-20
Fixed
6.50000000
N
N
N
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
2305600000.00000000
PA
617984.99000000
0.024104357796
Long
STIV
NUSS
UG
N
2
2022-05-19
None
0.00000000
N
N
N
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
41233.87000000
0.001608317308
N/A
DFE
KE
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
1619263.70000000
USD
189130000.00000000
KES
2022-02-23
41233.87000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
24074.33000000
0.000939013525
N/A
DFE
ID
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
19489887.91000000
USD
276464060024.00000000
IDR
2021-11-02
24074.33000000
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
277.38000000
0.000010819141
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
277.38000000
N
N
N
COOF 2309137006
N/A
COOF 2309137006
000000000
671291.88000000
PA
USD
90774.59000000
0.003540641328
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.16000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-75230.87000000
-0.00293436222
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3538487.27000000
EUR
1250519094.00000000
HUF
2021-11-12
-75230.87000000
N
N
N
LIBERTY LATIN AMERICA
213800YWQHEAX7CAVO83
Liberty Latin America Ltd
53069QAB5
3340000.00000000
PA
USD
3354612.50000000
0.130845864018
Long
DBT
CORP
BM
N
2
2024-07-15
Fixed
2.00000000
N
N
N
N
Y
Liberty Latin America Ltd
Liberty Latin America Ltd
USD
XXXX
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
22567.61000000
0.000880244269
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
76750000.00000000
RUB
1095144.12000000
USD
2021-12-15
22567.61000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUQK2 IRS EUR R F 2.29000 2 CCPINFLATIONZERO / Short: SEV4XUQK2 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
000000000
5900000.00000000
OU
Notional Amount
370017.64000000
0.014432450188
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2046-10-15
0.00000000
EUR
0.00000000
EUR
5900000.00000000
EUR
370017.64000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-46008.31000000
-0.00179454320
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
133810000.00000000
UAH
5022897.90000000
USD
2021-11-12
-46008.31000000
N
N
N
Islandsbanki HF
549300PZMFIQR79Q0T97
Islandsbanki HF
000000000
1632006.00000000
NS
1590420.86000000
0.062033988003
Long
EC
CORP
IS
N
2
N
N
N
COOF 8133675004
N/A
COOF 8133675004
000000000
642442.34000000
PA
USD
47500.59000000
0.001852749234
Long
ABS-MBS
CORP
US
N
2
2041-02-15
Fixed
2.38000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
4015.28000000
0.000156615042
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4303001.00000000
BRL
766445.03000000
USD
2021-11-03
4015.28000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
54563.86000000
0.002128250403
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
14275067.00000000
ZAR
984969.67000000
USD
2021-12-08
54563.86000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-1548.96000000
-0.00006041681
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
459039.02000000
USD
2596999.00000000
BRL
2021-12-02
-1548.96000000
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
1000000000.00000000
PA
8129551.85000000
0.317091239569
Long
DBT
CORP
IS
Y
2
2024-04-12
Fixed
6.00000000
N
N
N
N
N
N
RELIANCE COMMUNICATION
3358004XUDHE13A1HZ26
Reliance Communications Ltd
000000000
1800000.00000000
PA
USD
166500.00000000
0.006494292965
Long
DBT
CORP
IN
Y
2
2020-11-06
None
0.00000000
Y
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-24018.88000000
-0.00093685071
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
715042.66000000
USD
3900000.00000000
BRL
2021-11-03
-24018.88000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
BEV4G7F99 SYNTH SWAPTION
000000000
487830000.00000000
NC
8230.99000000
0.000321047810
N/A
DIR
ZA
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
Goldman Sachs Group Inc.
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc.
784F5XWPLTWKTBV3E584
IRS Swap
N/A
487830000.00000000
OU
Notional Amount
N/A
8230.99000000
0.00000000
DIR
US
N/A
N/A
2027-02-10
0.00000000
N/A
0.00000000
N/A
487830000.00000000
ZAR
1.00000000
5.88000000
ZAR
2022-02-10
XXXX
-712826.32000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
3446000.00000000
PA
USD
536542.20000000
0.020927701110
Long
DBT
NUSS
LB
N
2
2024-12-03
None
0.00000000
Y
N
N
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
15257.70000000
0.000595122965
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
15257.70000000
N
N
N
EUROTORG (BONITRON DAC)
549300PXIOV742CFHL20
Eurotorg LLC Via Bonitron DAC
000000000
2019000.00000000
PA
USD
2110864.50000000
0.082333768603
Long
DBT
CORP
IE
Y
2
2025-10-22
Fixed
9.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4UBP02 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4UBP02 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
33880700000.00000000
OU
Notional Amount
-378813.97000000
-0.01477554895
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-03
0.00000000
COP
0.00000000
COP
33880700000.00000000
COP
-378813.97000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
82638.56000000
0.003223297410
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2919437.34000000
USD
342450000.00000000
KES
2022-03-02
82638.56000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
BEV4E8Z48 SYNTHSWAPTIONS
000000000
390910000.00000000
NC
1113.49000000
0.000043431413
N/A
DIR
ZA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
390910000.00000000
OU
Notional Amount
N/A
1113.49000000
0.00000000
DIR
US
N/A
N/A
2027-01-14
0.00000000
N/A
0.00000000
N/A
390910000.00000000
ZAR
1.00000000
5.70000000
ZAR
2022-01-12
XXXX
-593192.67000000
N
N
N
Coteccons Construction JSC
N/A
Coteccons Construction JSC
000000000
111300.00000000
NS
351743.58000000
0.013719674817
Long
EC
CORP
VN
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
133831.14000000
0.005220051837
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3081328.10000000
USD
228243254.00000000
RUB
2021-11-08
133831.14000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4JL8Z5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4JL8Z5 IRS COP P F 3.76000 2 CCPNDFOIS
000000000
7412000000.00000000
OU
Notional Amount
154555.40000000
0.006028396678
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
7412000000.00000000
COP
154555.40000000
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
000000000
-7630000.00000000
PA
USD
-8619009.15000000
-0.33618240533
Short
DBT
CORP
CL
Y
2
2049-02-05
Fixed
4.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-56505.14000000
-0.00220396956
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
191900000.00000000
UAH
7212929.90000000
USD
2021-11-12
-56505.14000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4WLQK3 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4WLQK3 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
28919600000.00000000
OU
Notional Amount
-147096.39000000
-0.00573745976
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-11
0.00000000
COP
0.00000000
COP
28919600000.00000000
COP
-147096.39000000
N
N
N
Nomura International PLC
DGQCSV2PHVF7I2743539
BB CORPORACION NAT DEL REPO
000000000
8905506.12000000
PA
USD
8905506.12000000
0.347357151622
Long
RA
CORP
US
N
2
Repurchase
N
-0.25000000
2022-09-30
8905506.12000000
USD
8904566.51000000
USD
CDS
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
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PMR3
402197.37000000
PA
USD
450862.91000000
0.017585800748
Long
ABS-MBS
USGSE
US
N
2
2029-08-17
Fixed
7.00000000
N
N
N
N
N
N
COOF 1908407001
N/A
COOF 1908407001
000000000
1626607.22000000
PA
USD
125701.84000000
0.004902970421
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUQ14 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4XUQ14 IRS USD P F 2.62250 2 CCPINFLATIONZERO
000000000
9500000.00000000
OU
Notional Amount
USD
-484572.58000000
-0.01890063842
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2046-10-29
0.00000000
USD
0.00000000
USD
9500000.00000000
USD
-484572.58000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
1482.70000000
0.000057832361
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2596999.00000000
BRL
461633.48000000
USD
2021-11-03
1482.70000000
N
N
N
RMOF SD 12/8/2017
N/A
RMOF SD 12/8/2017
000000000
29409557.62000000
PA
USD
2326495.09000000
0.090744388565
Long
ABS-MBS
CORP
US
N
2
2039-10-29
Fixed
2.33000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92XV2M23 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92XV2M23 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
65930000.00000000
OU
Notional Amount
USD
9838388.43000000
0.383744004613
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Republic of South Africa
Republic of South Africa
Y
buy protection
2031-06-20
8544624.78000000
USD
0.00000000
USD
65930000.00000000
USD
1293763.65000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
926737.69000000
0.036147183547
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
34922542.42000000
EUR
41339033.66000000
USD
2021-12-15
926737.69000000
N
N
N
COOF 1738297001
N/A
COOF 1738297001
000000000
942668.98000000
PA
USD
105430.78000000
0.004112302539
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1130012.00000000
PA
USD
567842.33000000
0.022148555249
Long
DBT
NUSS
EC
Y
2
2040-07-31
Variable
0.50000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
405624000000.00000000
PA
29346363.16000000
1.144647926840
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-98879.32000000
-0.00385676439
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
845000000.00000000
RUB
11801675.98000000
USD
2021-11-09
-98879.32000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
4621000.00000000
PA
USD
711356.74000000
0.027746300733
Long
DBT
NUSS
LB
Y
2
2031-11-20
None
0.00000000
Y
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4MD7M9 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MD7M9 IRS COP P F 4.73000 2 CCPNDFOIS
000000000
3307500000.00000000
OU
Notional Amount
35977.61000000
0.001403298135
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
3307500000.00000000
COP
35977.61000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
9307000.00000000
PA
USD
1449332.58000000
0.056530873142
Long
DBT
NUSS
LB
Y
2
2024-04-22
None
0.00000000
Y
N
N
N
N
N
COOF 9632055005
N/A
COOF 9632055005
000000000
2019080.46000000
PA
USD
126271.35000000
0.004925184023
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.91000000
N
N
N
N
N
N
COOF 2237237001
N/A
COOF 2237237001
000000000
2476897.06000000
PA
USD
215641.82000000
0.008411057985
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
4610985267.00000000
PA
42154685.93000000
1.644233515182
Long
DBT
NUSS
IS
N
2
2031-01-24
Fixed
6.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-33171.19000000
-0.00129383438
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1479668.68000000
USD
1250000.00000000
EUR
2021-12-15
-33171.19000000
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
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PLG8
376865.75000000
PA
USD
407195.32000000
0.015882556769
Long
ABS-MBS
USGSE
US
N
2
2030-10-17
Fixed
8.00000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BM8
1524000000.00000000
PA
35302177.55000000
1.376953052930
Long
DBT
NUSS
PH
N
2
2036-01-14
Fixed
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4WR8L8 IRS GBP R V 12MSONIA 1 CCPOIS / Short: BEV4WR8L8 IRS GBP P F .86510 2 CCPOIS
000000000
25420000.00000000
OU
Notional Amount
318885.85000000
0.012438066860
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-10-14
561.10000000
GBP
0.00000000
GBP
25420000.00000000
GBP
318118.81000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
117009.34000000
0.004563921523
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4409299.03000000
EUR
5219441.32000000
USD
2021-12-15
117009.34000000
N
N
N
COOF 2033337005
N/A
COOF 2033337005
000000000
296551.16000000
PA
USD
21875.36000000
0.000853243222
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.16000000
N
N
N
N
N
N
SEPLAT ENERGY PL
029200711C4S4CB2E982
SEPLAT Energy PLC
000000000
3306000.00000000
PA
USD
3410139.00000000
0.133011661966
Long
DBT
CORP
NG
Y
2
2026-04-01
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2S7
65207.14000000
PA
USD
74662.15000000
0.002912179432
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
NBK TIER 1 FNC LTD
5493005X9UY5UCTPFR46
NBK Tier 1 Financing Ltd
000000000
1765000.00000000
PA
USD
1758195.93000000
0.068578014770
Long
DBT
CORP
AE
Y
2
2026-08-24
Fixed
3.62500000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-39355.00000000
-0.00153503243
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2190118.06000000
USD
250440000.00000000
KES
2022-06-08
-39355.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUQG1 IRS EUR R F 2.29150 2 CCPINFLATIONZERO / Short: SEV4XUQG1 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
000000000
5900000.00000000
OU
Notional Amount
374195.13000000
0.014595392194
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2046-10-15
0.00000000
EUR
0.00000000
EUR
5900000.00000000
EUR
374195.13000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
160968.05000000
0.006278520568
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
134400000.00000000
ZAR
8886420.44000000
USD
2022-01-07
160968.05000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKZC2
960530.99000000
PA
USD
1081799.80000000
0.042195344328
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
NEDER FINANCIERINGS-MAAT
XTC5E2QFTEF0435JWL77
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV
000000000
101000000000.00000000
PA
9463383.24000000
0.369117016221
Long
DBT
NUSS
NL
N
2
2022-12-08
Fixed
15.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
152685.59000000
0.005955465183
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4031271.59000000
USD
299900000.00000000
RUB
2021-12-23
152685.59000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC21
000000000
-874.00000000
NC
USD
1517023.04000000
0.059171123462
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVZ1 Comdty
2021-12-31
-107926523.04000000
USD
1517023.04000000
N
N
N
AMAGGI LUX INTL SARL
N/A
Amaggi Luxembourg International Sarl
000000000
2110000.00000000
PA
USD
2121235.75000000
0.082738296747
Long
DBT
CORP
LU
Y
2
2028-01-28
Fixed
5.25000000
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
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-24954.98000000
-0.00097336306
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
5444915.96000000
USD
4688275.22000000
EUR
2021-11-05
-24954.98000000
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
112400000.00000000
PA
3464809.56000000
0.135144074178
Long
DBT
NUSS
TH
N
2
2046-06-17
Fixed
2.87500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-18092.07000000
-0.00070567689
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
287000000.00000000
UAH
10824061.85000000
USD
2021-11-19
-18092.07000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUPP2 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPP2 IRS EUR P F 2.20000 2 CCPINFLATIONZERO
000000000
5900000.00000000
OU
Notional Amount
-182006.66000000
-0.00709912655
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-10-15
0.00000000
EUR
0.00000000
EUR
5900000.00000000
EUR
-182006.66000000
N
N
N
COOF 9579435001
N/A
COOF 9579435001
000000000
1140576.57000000
PA
USD
107775.07000000
0.004203741014
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
COOF 8690125006
N/A
COOF 8690125006
000000000
812324.56000000
PA
USD
125070.13000000
0.004878330723
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.78000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
9832405.00000000
PA
USD
8185477.16000000
0.319272593006
Long
DBT
NUSS
EC
Y
2
2030-07-31
Variable
5.00000000
N
N
N
N
N
N
Republic of Belarus
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond
000000000
6700000.00000000
PA
USD
6784822.00000000
0.264640371072
Long
DBT
NUSS
BY
Y
2
2023-02-28
Fixed
6.87500000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT2
69354WAD8
8064000.00000000
PA
USD
8070401.20000000
0.314784082510
Long
ABS-O
CORP
US
N
2
2025-08-25
Floating
2.73900000
N
N
N
N
N
N
ISLANDSBANKI
549300PZMFIQR79Q0T97
Islandsbanki HF
000000000
860000000.00000000
PA
6997048.28000000
0.272918206731
Long
DBT
CORP
IS
N
2
2023-10-26
Fixed
6.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CBV7
602486.62000000
PA
USD
682375.17000000
0.026615881477
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
7.00000000
N
N
N
N
N
N
Bank of Cyprus Holdings PLC
635400L14KNHZXPUZM19
Bank of Cyprus Holdings PLC
000000000
4401002.00000000
NS
5174161.75000000
0.201816950467
Long
EC
CORP
IE
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-323104.47000000
-0.01260261313
N/A
DFE
ZA
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
8551137.30000000
USD
126000000.00000000
ZAR
2021-11-23
-323104.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3TRSR9 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3TRSR9 IRS USD P F 1.74250 CCP LCH
000000000
33064000.00000000
OU
Notional Amount
USD
-819375.52000000
-0.03195954759
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
-819375.52000000
N
N
N
TINKOFF BK (TCS FINANCE)
213800VIPIONINOCLD68
Tinkoff Bank JSC Via TCS Finance Ltd
000000000
3969000.00000000
PA
USD
3957886.80000000
0.154376434844
Long
DBT
CORP
IE
Y
2
2026-12-20
Fixed
6.00000000
N
N
N
N
N
N
COOF 9667865001
N/A
COOF 9667865001
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PMQ5
203270.91000000
PA
USD
222279.92000000
0.008669975499
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Fixed
7.50000000
N
N
N
N
N
N
TITULO PROPIEDAD UD
N/A
Titulo de Propriedad
000000000
1721610081.60000000
PA
2681998.69000000
0.104610722070
Long
DBT
NUSS
CR
N
2
2022-01-12
Fixed
1.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
825299.08000000
0.032190594650
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
31100000.00000000
EUR
36814156.63000000
USD
2021-12-15
825299.08000000
N
N
N
COOF 9584325008
N/A
COOF 9584325008
000000000
2608086.90000000
PA
USD
165198.37000000
0.006443523195
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
1.91000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-100167.09000000
-0.00390699356
N/A
DFE
PL
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
8328925.64000000
EUR
38015786.00000000
PLN
2021-11-04
-100167.09000000
N
N
N
Nomura International PLC
DGQCSV2PHVF7I2743539
BB CHILE (REPUBLIC OF) REPO
000000000
3844433.88000000
PA
USD
3844433.88000000
0.149951230638
Long
RA
CORP
US
N
2
Repurchase
N
-0.25000000
2022-09-28
3844433.88000000
USD
3843659.65000000
USD
CDS
N
N
N
SUSSEX CAPITAL LTD
N/A
SUSSEX CAPITAL LTD
000000000
5500.00000000
NS
USD
5227005.85000000
0.203878122040
Long
STIV
CORP
US
N
3
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
106245.04000000
0.004144062557
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4003664.40000000
EUR
4739277.44000000
USD
2021-12-15
106245.04000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
BB COUNTRY GARDEN HOLDINGS CO
000000000
4379715.37000000
PA
USD
4379715.37000000
0.170829758055
Long
RA
CORP
US
N
2
Repurchase
N
-0.25000000
2022-09-29
4379715.37000000
USD
4378863.76000000
USD
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-68274.19000000
-0.00266301856
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2171244.29000000
EUR
761432575.00000000
HUF
2021-11-30
-68274.19000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359R3U4
99956.60000000
PA
USD
111999.88000000
0.004368528725
Long
ABS-MBS
USGSE
US
N
2
2028-04-18
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7PT7
3007980.10000000
PA
USD
3442636.68000000
0.134279226258
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
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
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4JSWQ3 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4JSWQ3 IRS COP P F 4.07000 2 CCPNDFOIS
000000000
14824000000.00000000
OU
Notional Amount
261856.09000000
0.010213634613
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
14824000000.00000000
COP
261856.09000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796J59
26060000.00000000
PA
USD
26058326.69000000
1.016398845063
Long
STIV
UST
US
N
2
2021-12-09
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GVM2
1615383.00000000
PA
USD
1819301.76000000
0.070961433160
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
6.50000000
N
N
N
N
N
N
CFG Investments Limited
549300C3OD89QRWQ1Y92
CFG Investments Ltd
12528GAE2
3600000.00000000
PA
USD
3669427.44000000
0.143125146001
Long
ABS-O
CORP
US
N
2
2032-05-20
Fixed
5.82000000
N
N
N
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED UZS / SOLD USD
000000000
1.00000000
NC
45651.68000000
0.001780632938
N/A
DFE
UZ
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
1266512.68000000
USD
14029161000.00000000
UZS
2021-11-12
45651.68000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359VU27
174366.47000000
PA
USD
189106.83000000
0.007376067001
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
6.00000000
N
N
N
N
N
N
INDIABULLS HOUSING FIN
335800A2A3G53ZQZTQ21
Indiabulls Housing Finance Ltd
000000000
2970000.00000000
PA
USD
2829964.50000000
0.110382093355
Long
DBT
CORP
IN
Y
2
2026-09-28
Fixed
4.50000000
N
N
N
N
N
INDIABULLS HOUSING FIN
INDIABULLS HOUSING FIN
USD
XXXX
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-378998.26000000
-0.01478273713
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
578839999.00000000
THB
17058572.14000000
USD
2022-01-10
-378998.26000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K3J08 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3J08 IRS COP P F 4.82000 2 CCPNDFOIS
000000000
7706200000.00000000
OU
Notional Amount
156122.31000000
0.006089513630
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-03-26
0.00000000
COP
0.00000000
COP
7706200000.00000000
COP
156122.31000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31363WDP7
934.94000000
PA
USD
1031.87000000
0.000040247844
Long
ABS-MBS
USGSE
US
N
2
2026-07-20
Fixed
8.50000000
N
N
N
N
N
N
Military Commercial Joint Stock Bank
5493007XE88E8JRNTJ93
Military Commercial Joint Stock Bank
000000000
2060487.00000000
NS
2582585.96000000
0.100733152141
Long
EC
CORP
VN
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3M2X53 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3M2X53 / Short: BEV3M2X53 IRS EUR P F .11300 CCP LCH/BSV3M2X53
000000000
6626700.00000000
OU
Notional Amount
38075.57000000
0.001485128566
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-07-23
0.00000000
EUR
-19205.82000000
EUR
6626700.00000000
EUR
59073.89000000
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216KAF9
2400000.00000000
PA
USD
2245131.58000000
0.087570824177
Long
DBT
NUSS
IN
Y
2
2031-01-13
Fixed
2.25000000
N
N
N
N
N
N
COOF 1661267004
N/A
COOF 1661267004
000000000
1425172.14000000
PA
USD
127881.88000000
0.004988002364
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-4569.04000000
-0.00017821432
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
9474000000.00000000
COP
2498846.06000000
USD
2022-01-14
-4569.04000000
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
156600.12000000
0.006108150496
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
156600.12000000
N
N
N
RMOF SD 10/06/17
N/A
RMOF SD 10/06/17
000000000
13073201.50000000
PA
USD
1103375.17000000
0.043036886512
Long
ABS-MBS
CORP
US
N
2
2036-03-19
Fixed
2.24000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-155479.37000000
-0.00606443590
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
16436778.13000000
NZD
11619980.30000000
USD
2021-11-22
-155479.37000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
5322000.00000000
PA
USD
5236528.68000000
0.204249557763
Long
DBT
NUSS
EG
Y
2
2028-02-21
Fixed
6.58800000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
152389.55000000
0.005943918213
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4032962.75000000
USD
300000000.00000000
RUB
2021-12-23
152389.55000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-89003.54000000
-0.00347156194
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3530625.81000000
EUR
1244476750.00000000
HUF
2021-11-24
-89003.54000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K3J73 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3J73 IRS COP P F 4.81500 2 CCPNDFOIS
000000000
6893000000.00000000
OU
Notional Amount
140152.27000000
0.005466606012
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-03-26
0.00000000
COP
0.00000000
COP
6893000000.00000000
COP
140152.27000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
266463.44000000
0.010393343206
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5924782.85000000
USD
439610000.00000000
RUB
2021-11-09
266463.44000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-27166.73000000
-0.00105963185
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2249384.71000000
USD
34000000.00000000
ZAR
2021-11-16
-27166.73000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
71120.85000000
0.002774051866
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2182826.28000000
USD
161044557.00000000
RUB
2021-12-08
71120.85000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-24973.41000000
-0.00097408192
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1112387.35000000
USD
125900000.00000000
KES
2022-05-11
-24973.41000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4VUX00 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4VUX00 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
15490780000.00000000
OU
Notional Amount
-69228.01000000
-0.00270022209
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-05
0.00000000
COP
0.00000000
COP
15490780000.00000000
COP
-69228.01000000
N
N
N
Hellenic Telecommunications Organization SA
ELPUFM0XZRZO4LFXW404
Hellenic Telecommunications Organization SA
000000000
83400.00000000
NS
1480667.96000000
0.057753102199
Long
EC
CORP
GR
N
2
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
693998000.00000000
PA
26061317.96000000
1.016515518839
Long
DBT
NUSS
UA
N
2
2023-11-22
Fixed
11.67000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
5755000000.00000000
PA
427334.39000000
0.016668076412
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
7.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-72256.76000000
-0.00281835776
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3012282.72000000
EUR
13627558.00000000
PLN
2021-12-10
-72256.76000000
N
N
N
JSC GEORGIA CAPITAL
635400VNH3KVFQNWDH25
Georgia Capital JSC
000000000
6762000.00000000
PA
USD
6975003.00000000
0.272058335819
Long
DBT
CORP
GE
Y
2
2024-03-09
Fixed
6.12500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4UBG51 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4UBG51 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
41834000000.00000000
OU
Notional Amount
-518929.19000000
-0.02024070983
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-03
0.00000000
COP
0.00000000
COP
41834000000.00000000
COP
-518929.19000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4WLQN7 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4WLQN7 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
34691400000.00000000
OU
Notional Amount
-175523.56000000
-0.00684625478
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-12
0.00000000
COP
0.00000000
COP
34691400000.00000000
COP
-175523.56000000
N
N
N
COOF 9679725002
N/A
COOF 9679725002
000000000
683331.04000000
PA
USD
75937.23000000
0.002961913625
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
3522000.00000000
PA
USD
540415.68000000
0.021078785278
Long
DBT
NUSS
LB
Y
2
2028-11-03
None
0.00000000
Y
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
10100000.00000000
PA
USD
9906585.00000000
0.386403995633
Long
DBT
NUSS
BH
Y
2
2032-09-16
Fixed
5.45000000
N
N
N
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
898199.12000000
0.035034043400
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
898199.12000000
N
N
N
LIMAK ISKENDERUN
5299001DUZ9PI7TCRC47
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS
000000000
4390000.00000000
PA
USD
4398485.87000000
0.171561896950
Long
DBT
CORP
TR
Y
2
2036-07-10
Fixed
9.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PD69
4902.14000000
PA
USD
5001.33000000
0.000195075689
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.95000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
1581.64000000
0.000061691492
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2800000.00000000
PLN
607456.97000000
EUR
2021-12-10
1581.64000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PD51
21331.98000000
PA
USD
23872.64000000
0.000931146654
Long
ABS-MBS
USGSE
US
N
2
2027-05-17
Fixed
9.50000000
N
N
N
N
N
N
COOF 9675505009
N/A
COOF 9675505009
000000000
1909521.11000000
PA
USD
158245.70000000
0.006172335953
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.36000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4V22R7 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV4V22R7 CDS USD P F 1.00000 2 SOVEREIGN
000000000
33090000.00000000
OU
Notional Amount
USD
-286201.04000000
-0.01116320360
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SAUDI INTERNATIONAL BOND
SAUDI INTERNATIONAL BOND
Y
buy protection
2031-12-20
0.00000000
USD
-90303.75000000
USD
33090000.00000000
USD
-195897.29000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
79625.23000000
0.003105763189
N/A
DFE
KE
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
3238560.41000000
USD
377940000.00000000
KES
2022-02-23
79625.23000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BMR3
2222.36000000
PA
USD
2291.32000000
0.000089372392
Long
ABS-MBS
USGA
US
N
2
2023-07-20
Fixed
8.00000000
N
N
N
N
N
N
Eurobank Ergasias Services and Holdings SA
JEUVK5RWVJEN8W0C9M24
Eurobank Ergasias Services and Holdings SA
000000000
809400.00000000
NS
850126.74000000
0.033158991633
Long
EC
CORP
GR
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4EYA14 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4EYA14 IRS USD P F 2.33400 2 CCPINFLATIONZERO
000000000
20760000.00000000
OU
Notional Amount
USD
1629079.34000000
0.063541852836
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-26
0.00000000
USD
0.00000000
USD
20760000.00000000
USD
1629079.34000000
N
N
N
Vietnam Technological & Commercial Joint Stock Bank
5493001XNKHV3FNIUD50
Vietnam Technological & Commercial Joint Stock Bank
000000000
507200.00000000
NS
1230843.08000000
0.048008742075
Long
EC
CORP
VN
N
2
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-64660.96000000
-0.00252208539
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2555000.00000000
BHD
6701463.57000000
USD
2022-03-14
-64660.96000000
N
N
N
ZAMBIA GOVERNMENT BOND
213800DMLAZ6LGMMD849
Zambia Government Bond
000000000
240690000.00000000
PA
10172185.49000000
0.396763679679
Long
DBT
NUSS
ZM
N
2
2026-01-25
Fixed
11.00000000
N
N
N
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
148545.38000000
0.005793977275
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
148545.38000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
944.49000000
0.000036839608
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
472158.52000000
USD
409234.89000000
EUR
2021-11-05
944.49000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
108440.22000000
0.004229685032
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2950819.96000000
USD
12242952.00000000
PEN
2022-01-12
108440.22000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4W0HX1 TRS USD R F .00000 BEV4W0HZ6 COMMODITYTRS / Short: BEV4W0HX1 TRS USD P E BEV4W0HY9 COMMODITYTRS
000000000
59500000.00000000
OU
Notional Amount
USD
-2923539.02000000
-0.11403194528
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM INDEX
Y
equity-performance leg
2021-11-04
0.00000000
USD
0.00000000
USD
59500000.00000000
USD
-2923539.02000000
N
N
N
Hagar hf
635400TICHH43JJTNP54
Hagar hf
000000000
2249259.00000000
NS
1108044.87000000
0.043219027052
Long
EC
CORP
IS
N
2
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
14240.29000000
0.000555439130
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
7542996.00000000
ZAR
507245.62000000
USD
2021-11-16
14240.29000000
N
N
N
Bank of Industry Limited
N/A
Bank of Industry Limited 3 Year Term Loan
000000000
17180000.00000000
PA
USD
17130092.10000000
0.668155174866
Long
LON
CORP
NG
N
2
2023-12-14
Floating
6.11600000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4WD557 TRS COP R V 00MDTF DTF RATE 90D NON COMPOUNDING / Short: BEV4WD557 TRS COP P F .00000 NO INDEX+0BPS COLOMBIA TRS
000000000
85633020000.00000000
OU
Notional Amount
450707.88000000
0.017579753840
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-03
0.00000000
COP
0.00000000
COP
85633020000.00000000
COP
450707.88000000
N
N
N
COOF 2093807006
N/A
COOF 2093807006
000000000
632777.36000000
PA
USD
41270.98000000
0.001609764775
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.21000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-13023.83000000
-0.00050799139
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
580954.22000000
USD
490780.66000000
EUR
2021-12-15
-13023.83000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
269.09000000
0.000010495791
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
49510.67000000
EUR
18000000.00000000
HUF
2022-01-25
269.09000000
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
10766.76000000
0.000419954917
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S31.V1
2I65BZDL3
Y
buy protection
2024-06-20
43513.16000000
USD
0.00000000
USD
2820000.00000000
USD
-32746.40000000
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BM3
1003176000.00000000
PA
22608061.91000000
0.881822086576
Long
DBT
NUSS
UY
N
2
2031-05-21
Fixed
8.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4V3FV2 IRS GBP R V 12MSONIA 1 CCPOIS / Short: BEV4V3FV2 IRS GBP P F .53570 2 CCPOIS
000000000
31545873.00000000
OU
Notional Amount
1067344.49000000
0.041631518394
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-09-15
408.46000000
GBP
0.00000000
GBP
31545873.00000000
GBP
1066778.81000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-142878.06000000
-0.00557292480
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5116000.00000000
BHD
13404844.94000000
USD
2022-03-16
-142878.06000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
234516.67000000
0.009147267027
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
302640502.00000000
ZAR
19885048.92000000
USD
2022-01-06
234516.67000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4RUV49 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4RUV49 IRS COP P F 4.89500 2 CCPNDFOIS
000000000
14717700000.00000000
OU
Notional Amount
135121.59000000
0.005270385533
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
14717700000.00000000
COP
135121.59000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
25610.08000000
0.000998915089
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1758075.47000000
EUR
641704719.00000000
HUF
2021-11-29
25610.08000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-66400.18000000
-0.00258992325
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3617685.28000000
EUR
1281782071.00000000
HUF
2021-11-12
-66400.18000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-26531.79000000
-0.00103486616
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4061000.00000000
BHD
10671214.39000000
USD
2023-03-15
-26531.79000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T6UU3
15287.64000000
PA
USD
16228.90000000
0.000633004390
Long
ABS-MBS
USGSE
US
N
2
2026-02-15
Fixed
6.50000000
N
N
N
N
N
N
ZAMBIA GOVERNMENT BOND
213800DMLAZ6LGMMD849
Zambia Government Bond
000000000
8430000.00000000
PA
314287.32000000
0.012258702289
Long
DBT
NUSS
ZM
N
2
2028-05-31
Fixed
12.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
100694.51000000
0.003927565452
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6408259.84000000
EUR
2341330000.00000000
HUF
2021-11-29
100694.51000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
108592.12000000
0.004235609855
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3622525.03000000
USD
267100000.00000000
RUB
2021-12-17
108592.12000000
N
N
N
COOF 9632755003
N/A
COOF 9632755003
000000000
1765346.07000000
PA
USD
105316.71000000
0.004107853266
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
1.66000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-10066.36000000
-0.00039263598
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1232192.48000000
USD
1057141.12000000
EUR
2021-11-05
-10066.36000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CVV1
11734750.00000000
PA
USD
13489697.70000000
0.526162455696
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.00000000
N
N
N
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
-11963.06000000
-0.00046661631
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
-11963.06000000
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
-34143.60000000
-0.00133176301
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
-34143.60000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-36398.26000000
-0.00141970548
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
76129895.00000000
AED
20676936.34000000
USD
2023-03-06
-36398.26000000
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
BB CORPORACION NAT DEL REPO
000000000
469507.62000000
PA
USD
469507.62000000
0.018313033234
Long
RA
CORP
US
N
2
Repurchase
N
-0.20000000
2022-09-30
469507.62000000
USD
469502.40000000
USD
CDS
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV4QWRW9 IRS MXN R F 6.91120 2 CCPVANILLA / Short: SEV4QWRW9 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
917400000.00000000
OU
Notional Amount
-667677.20000000
-0.02604259064
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-25
0.00000000
MXN
0.00000000
MXN
917400000.00000000
MXN
-667677.20000000
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
32801000000.00000000
PA
9009467.53000000
0.351412141733
Long
STIV
NUSS
UG
N
2
2022-02-24
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
60894.35000000
0.002375169662
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1742263.34000000
USD
128835645.00000000
RUB
2021-12-08
60894.35000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1000000.00000000
PA
USD
153750.00000000
0.005996982242
Long
DBT
NUSS
LB
Y
2
2021-04-12
None
0.00000000
Y
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XFEX0 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4XFEX0 IRS PLN P F 2.67000 2 CCPVANILLA
000000000
14140000.00000000
OU
Notional Amount
32993.04000000
0.001286885691
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-25
0.00000000
PLN
0.00000000
PLN
14140000.00000000
PLN
32993.04000000
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
1487500000.00000000
PA
402894.95000000
0.015714821858
Long
STIV
NUSS
UG
N
2
2022-04-21
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-61342.53000000
-0.00239265081
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1944890.88000000
EUR
681994852.00000000
HUF
2021-11-30
-61342.53000000
N
N
N
TESNIK CUATRO LTD
N/A
TESNIK CUATRO LTD
000000000
409000.00000000
NS
USD
273212.00000000
0.010656569186
Long
EC
CORP
US
N
3
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
-72013.44000000
-0.00280886712
N/A
DFE
CZ
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6462895.14000000
EUR
164460000.00000000
CZK
2021-11-18
-72013.44000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
131410.19000000
0.005125623257
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
133970000.00000000
ZAR
8825428.19000000
USD
2022-01-10
131410.19000000
N
N
N
COOF 1283797001
N/A
COOF 1283797001
000000000
793627.39000000
PA
USD
92242.85000000
0.003597910461
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DJ50
266.58000000
PA
USD
292.84000000
0.000011422154
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
9.50000000
N
N
N
N
N
N
Vietnam Prosperity JSC Bank
254900A0PM1YPJVDW880
Vietnam Prosperity JSC Bank
000000000
1307784.00000000
NS
2181985.64000000
0.085107831781
Long
EC
CORP
VN
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
35189.74000000
0.001372567452
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
15500000.00000000
BRL
2781566.29000000
USD
2021-11-03
35189.74000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
23126000.00000000
PA
25291907.10000000
0.986504830940
Long
DBT
NUSS
EG
Y
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
COOF 9662825001
N/A
COOF 9662825001
000000000
2054978.88000000
PA
USD
281714.82000000
0.010988219661
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
COOF 2188787005
N/A
COOF 2188787005
000000000
223202.37000000
PA
USD
26026.97000000
0.001015175784
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
CROATIA
74780000O00QGQ7CER13
Croatia Government International Bond
000000000
21902000.00000000
PA
25797106.17000000
1.006210000707
Long
DBT
NUSS
HR
Y
2
2041-03-04
Fixed
1.75000000
N
N
N
N
N
N
COOF 2254177009
N/A
COOF 2254177009
000000000
1517194.69000000
PA
USD
152559.04000000
0.005950529130
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
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
72062.75000000
0.002810790452
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
72062.75000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
91342.05000000
0.003562774971
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3741894.81000000
USD
276036586.42000000
RUB
2022-01-14
91342.05000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
297400000.00000000
PA
17797160.35000000
0.694174013563
Long
STIV
NUSS
EG
N
2
2022-05-17
None
0.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4MD2U6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MD2U6 IRS COP P F 4.78000 2 CCPNDFOIS
000000000
13905100000.00000000
OU
Notional Amount
144104.42000000
0.005620758684
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
13905100000.00000000
COP
144104.42000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
38901440.00000000
PA
USD
13465733.46000000
0.525227736205
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
9712.09000000
0.000378817764
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4700000.00000000
PLN
1027417.62000000
EUR
2021-11-04
9712.09000000
N
N
N
ARAGVI FINANCE INTL
635400VKAYT1VT6VBF50
Aragvi Finance International DAC
000000000
5849000.00000000
PA
USD
6048550.33000000
0.235922269409
Long
DBT
CORP
IE
Y
2
2026-04-29
Fixed
8.45000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
180196.82000000
0.007028534176
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1853100000.00000000
RUB
26077154.94000000
USD
2021-12-15
180196.82000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
102389.26000000
0.003993668774
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3424380.00000000
USD
252471319.00000000
RUB
2021-12-17
102389.26000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-268789.33000000
-0.01048406399
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
286000000.00000000
CNY
44083419.39000000
USD
2022-01-20
-268789.33000000
N
N
N
Italian Derivatives Market
N/A
FTSE/MIB IDX FUT DEC21
000000000
58.00000000
NC
397025.29000000
0.015485877163
N/A
DE
IT
N
2
Italian Derivatives Market
N/A
Long
FTSE/MIB Index Future
STZ1 Index
2021-12-17
7417800.00000000
EUR
397025.29000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
1421989.38000000
0.055464358119
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
48095204.01000000
USD
65822526.98000000
AUD
2021-11-12
1421989.38000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-130.92000000
-0.00000510650
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
264160.25000000
USD
228385.81000000
EUR
2021-11-05
-130.92000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-132663.49000000
-0.00517450792
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5917726.53000000
USD
4999199.00000000
EUR
2021-12-15
-132663.49000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
27542.60000000
0.001074292573
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
25500000.00000000
PLN
5552531.30000000
EUR
2021-11-04
27542.60000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HSP1
743771.82000000
PA
USD
863456.57000000
0.033678918487
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
6.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4KPKY3 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KPKY3 IRS COP P F 4.34380 2 CCPNDFOIS
000000000
7973800000.00000000
OU
Notional Amount
118400.63000000
0.004618188459
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
7973800000.00000000
COP
118400.63000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
286125000.00000000
PA
18179855.78000000
0.709100957941
Long
STIV
NUSS
EG
N
2
2021-11-16
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
31711.95000000
0.001236917079
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
35393620.00000000
ZAR
2342980.74000000
USD
2021-11-23
31711.95000000
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
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SEV2346Q6 IRS USD R F 2.75000 1 CCP IRS ICE / Short: SEV2346Q6 IRS USD P V 03MLIBOR 2 CCP IRS ICE
000000000
144.00000000
OU
Notional Amount
USD
30.45000000
0.000001187695
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
N/A
N/A
Y
2046-09-21
25.54000000
USD
0.00000000
USD
144.00000000
USD
4.91000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
13827.77000000
0.000539348885
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
869685.63000000
EUR
317800000.00000000
HUF
2021-11-29
13827.77000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BUU0
821395.71000000
PA
USD
958433.39000000
0.037383466799
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
8.50000000
N
N
N
N
N
N
COOF 2287837002
N/A
COOF 2287837002
000000000
1383051.79000000
PA
USD
145118.00000000
0.005660293132
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
16230000.00000000
PA
21747924.58000000
0.848272634256
Long
DBT
NUSS
RO
Y
2
2049-04-03
Fixed
4.62500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4DS4M9 SYNTHCAP SWAPTIONS
000000000
304600000.00000000
NC
USD
125882.04000000
0.004909999079
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
USD - 10Y Constant Maturity Swap (CMS)
USD - 10Y Constant Maturity Swap (CMS)
1.00000000
1.09000000
USD
2023-01-04
XXXX
-300557.96000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
701936.81000000
0.027378878601
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
26451301.31000000
EUR
31311329.57000000
USD
2021-12-15
701936.81000000
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
-56486.22000000
-0.00220323159
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
-56486.22000000
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
-1308648.25000000
-0.05104351425
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
-1308648.25000000
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
391915000.00000000
PA
24854391.88000000
0.969439653670
Long
DBT
NUSS
EG
N
2
2026-01-12
Fixed
14.06000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC21
000000000
-151.00000000
NC
USD
137288.90000000
0.005354920945
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 2 Year US Treasury Note Future
TUZ1 Comdty
2021-12-31
-33244038.90000000
USD
137288.90000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PL86
308916.44000000
PA
USD
336586.19000000
0.013128464419
Long
ABS-MBS
USGSE
US
N
2
2035-06-17
Fixed
7.00000000
N
N
N
N
N
N
ODBRCHT OFFSHRE DRLL FIN
549300L7LF2PIRAWID66
Odebrecht Offshore Drilling Finance Ltd
000000000
1866781.80000000
PA
USD
1857466.56000000
0.072450042122
Long
DBT
CORP
KY
Y
2
2022-12-01
Fixed
6.72000000
N
N
N
N
N
N
WOW AIR HF ZCP
N/A
WOW AIR HF ZCP
000000000
3600000.00000000
PA
0.00000000
0.000000
Long
DBT
CORP
IS
N
3
2099-12-31
None
0.00000000
N
N
N
N
N
N
COOF 2266577008
N/A
COOF 2266577008
000000000
2664222.11000000
PA
USD
197389.91000000
0.007699146569
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 USD / SOLD PHP
000000000
1.00000000
NC
37679.65000000
0.001469685801
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
2095294228.00000000
PHP
41598058.92000000
USD
2021-11-04
37679.65000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
69253.58000000
0.002701219443
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
15793764.00000000
ZAR
1097703.92000000
USD
2021-12-15
69253.58000000
N
N
N
COOF 2231357001
N/A
COOF 2231357001
000000000
1662410.18000000
PA
USD
217081.12000000
0.008467197540
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
48725000.00000000
PA
3015448.60000000
0.117616856632
Long
STIV
NUSS
EG
N
2
2022-01-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KPP4
70994.31000000
PA
USD
72059.24000000
0.002810653545
Long
ABS-MBS
USGA
US
N
2
2024-10-20
Floating
2.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
BEV4EF8R1 SYNTHSWAPTIONS
000000000
109162000.00000000
NC
461.52000000
0.000018001478
N/A
DIR
ZA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
109162000.00000000
OU
Notional Amount
N/A
461.52000000
0.00000000
DIR
US
N/A
N/A
2027-01-19
0.00000000
N/A
0.00000000
N/A
109162000.00000000
ZAR
1.00000000
5.73000000
ZAR
2022-01-17
XXXX
-162322.35000000
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
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV4RNEP7 IRS MXN R F 6.60000 2 CCPVANILLA / Short: SEV4RNEP7 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
723000000.00000000
OU
Notional Amount
-1322305.47000000
-0.05157621087
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-07-08
0.00000000
MXN
0.00000000
MXN
723000000.00000000
MXN
-1322305.47000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-99.60000000
-0.00000388487
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3114258.06000000
USD
2691119.83000000
EUR
2021-12-15
-99.60000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-54863.92000000
-0.00213995417
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3086694.56000000
EUR
1094204207.00000000
HUF
2021-11-12
-54863.92000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BSS5
9616.64000000
PA
USD
10068.04000000
0.000392701509
Long
ABS-MBS
USGA
US
N
2
2023-10-20
Fixed
7.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4S6X23 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4S6X23 IRS COP P F 4.78000 2 CCPNDFOIS
000000000
30984585075.00000000
OU
Notional Amount
321106.32000000
0.012524675765
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
30984585075.00000000
COP
321106.32000000
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
13932000.00000000
PA
USD
14107724.32000000
0.550268437260
Long
LON
NUSS
KE
N
2
2025-06-29
Floating
6.61600000
N
N
N
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
5022600000.00000000
PA
1367296.26000000
0.053331065960
Long
STIV
NUSS
UG
N
2
2022-03-24
None
0.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4DZRT3 SYNTHSWAPTIONS
000000000
99280000.00000000
NC
254.85000000
0.000009940363
N/A
DIR
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
99280000.00000000
OU
Notional Amount
N/A
254.85000000
0.00000000
DIR
US
N/A
N/A
2027-01-12
0.00000000
N/A
0.00000000
N/A
99280000.00000000
ZAR
1.00000000
5.70000000
ZAR
2022-01-10
XXXX
-150537.90000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
131311.09000000
0.005121757885
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2964241.64000000
USD
219800000.00000000
RUB
2021-11-09
131311.09000000
N
N
N
COOF 1826907005
N/A
COOF 1826907005
000000000
1735323.72000000
PA
USD
123220.96000000
0.004806204286
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
FHLMC-GNMA
S6XOOCT0IEG5ABCC6L87
FHLMC-GNMA
312913WW2
4168.97000000
PA
USD
4282.17000000
0.000167025024
Long
ABS-MBS
USGSE
US
N
2
2022-12-25
Fixed
8.00000000
N
N
N
N
N
N
COOF 2148227007
N/A
COOF 2148227007
000000000
1164515.80000000
PA
USD
67308.99000000
0.002625371172
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.96000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-2760.83000000
-0.00010768551
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
284618.50000000
USD
1600000.00000000
BRL
2021-12-02
-2760.83000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-70560.44000000
-0.00275219320
N/A
DFE
PL
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3010816.58000000
EUR
13627558.00000000
PLN
2021-12-10
-70560.44000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4GJ9R0 EATON VANCE
000000000
129130000.00000000
NC
7553.96000000
0.000294640416
N/A
DIR
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
129130000.00000000
OU
Notional Amount
N/A
7553.96000000
0.00000000
DIR
ZA
N/A
N/A
2027-02-16
0.00000000
N/A
0.00000000
N/A
129130000.00000000
ZAR
1.00000000
6.18000000
ZAR
2022-02-16
XXXX
-199388.67000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4W1ZF8 IRS KRW R F 1.75390 2 CCPNDF / Short: SEV4W1ZF8 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
106378100000.00000000
OU
Notional Amount
-532068.01000000
-0.02075318639
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-10-05
0.00000000
KRW
0.00000000
KRW
106378100000.00000000
KRW
-532068.01000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D4E2
40.62000000
PA
USD
41.10000000
0.000001603095
Long
ABS-MBS
USGSE
US
N
2
2028-05-15
Fixed
8.50000000
N
N
N
N
N
N
IRSA Inversiones y Representaciones SA
549300QJINFBX83IZ837
IRSA Inversiones y Representaciones SA
000000000
201760.00000000
NS
USD
46525.86000000
0.001814730121
Long
EC
CORP
AR
N
1
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
-1019925.26000000
-0.03978194258
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
-1019925.26000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
9895.91000000
0.000385987619
N/A
DFE
UY
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
1659353.30000000
USD
75026000.00000000
UYU
2022-02-09
9895.91000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
152379.69000000
0.005943533626
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5059212.37000000
USD
372924156.00000000
RUB
2021-12-15
152379.69000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359XSV2
40569.98000000
PA
USD
44921.23000000
0.001752141909
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PK53
67290.70000000
PA
USD
72583.93000000
0.002831118954
Long
ABS-MBS
USGSE
US
N
2
2030-04-17
Fixed
8.00000000
N
N
N
N
N
N
EUROHOLD BULGARIA
74780000J0W85Y204X80
Eurohold Bulgaria AD
000000000
4582000.00000000
PA
5173546.52000000
0.201792953567
Long
DBT
CORP
BG
Y
2
2022-12-07
Fixed
6.50000000
N
N
N
N
N
N
COOF 9626555006
N/A
COOF 9626555006
000000000
1085321.06000000
PA
USD
53721.58000000
0.002095397471
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.41000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
81144.91000000
0.003165037946
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2455672.58000000
USD
181255649.00000000
RUB
2021-12-08
81144.91000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796J67
150000000.00000000
PA
USD
149986405.50000000
5.850184132659
Long
STIV
UST
US
N
2
2021-12-16
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B2XJ6
1090341.68000000
PA
USD
140126.68000000
0.005465607880
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Fixed
4.00000000
N
N
N
N
N
N
COOF 9627715008
N/A
COOF 9627715008
000000000
905845.58000000
PA
USD
43312.09000000
0.001689377786
Long
ABS-MBS
CORP
US
N
2
2027-08-15
Fixed
2.71000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4H0SK4 SYNTH SWAPTION
000000000
129130000.00000000
NC
25202.03000000
0.000982999195
N/A
DIR
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
129130000.00000000
OU
Notional Amount
N/A
25202.03000000
0.00000000
DIR
US
N/A
N/A
2027-02-23
0.00000000
N/A
0.00000000
N/A
129130000.00000000
ZAR
1.00000000
6.54000000
ZAR
2022-02-23
XXXX
-203040.13000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
6177000.00000000
PA
6966558.81000000
0.271728972193
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
12635.27000000
0.000492835706
N/A
DFE
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1422157.04000000
USD
22875396.00000000
EGP
2021-12-28
12635.27000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4RNFU5 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV4RNFU5 IRS USD P F .92370 2 CCPVANILLA
000000000
16216634.00000000
OU
Notional Amount
USD
210362.18000000
0.008205126880
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-07-15
0.00000000
USD
0.00000000
USD
16216634.00000000
USD
210362.18000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-61.53000000
-0.00000239996
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3526.63000000
EUR
1250519.00000000
HUF
2021-11-12
-61.53000000
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
-1514687.20000000
-0.05908001457
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
-1514687.20000000
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
COOF 9643545005
N/A
COOF 9643545005
000000000
865765.10000000
PA
USD
106101.90000000
0.004138479415
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128HDZJ1
7692.27000000
PA
USD
8162.72000000
0.000318384955
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Floating
4.01400000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV4JRXD3 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV4JRXD3 CDS USD P F 1.00000 2 SOVEREIGN
000000000
21084000.00000000
OU
Notional Amount
USD
-209705.68000000
-0.00817952025
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
SAUDI INTERNATIONAL BOND
SAUDI INTERNATIONAL BOND
Y
buy protection
2031-06-20
374243.23000000
USD
0.00000000
USD
21084000.00000000
USD
-583948.91000000
N
N
N
COOF 2298157005
N/A
COOF 2298157005
000000000
3583189.99000000
PA
USD
301443.62000000
0.011757736821
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.41000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV3765R4 CDS USD R V 03MEVENT 8B9825AD0 / Short: BEV3765R4 CDS USD P F 1.00000
000000000
16600000.00000000
OU
Notional Amount
USD
1658548.16000000
0.064691277163
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2028-12-20
1640103.73000000
USD
0.00000000
USD
16600000.00000000
USD
18444.43000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-12314.92000000
-0.00048034053
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
402123.21000000
USD
2200000.00000000
BRL
2021-11-03
-12314.92000000
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
292422000.00000000
PA
18859406.39000000
0.735606668126
Long
DBT
NUSS
EG
N
2
2027-10-13
Fixed
14.55600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1TS3
6732195.71000000
PA
USD
757563.88000000
0.029548599257
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359HWH3
45063.27000000
PA
USD
47771.88000000
0.001863330836
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDH9
341086.34000000
PA
USD
391467.13000000
0.015269082452
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Nomura International PLC
DGQCSV2PHVF7I2743539
BB PERU REPUBLIC OF GOV (REPO)
000000000
7035930.00000000
PA
USD
7035930.00000000
0.274434778987
Long
RA
CORP
US
N
2
Repurchase
N
-0.20000000
2022-09-30
7035930.00000000
USD
7034991.88000000
USD
CDS
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
132962.88000000
0.005186185562
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3082196.36000000
USD
228243254.00000000
RUB
2021-11-08
132962.88000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-32244.26000000
-0.00125767970
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3310000.00000000
OMR
8357530.61000000
USD
2024-07-29
-32244.26000000
N
N
N
Bank for Foreign Trade of Vietnam JSC
2549004TS5QUBFGAWE51
Bank for Foreign Trade of Vietnam JSC
000000000
206310.00000000
NS
887100.03000000
0.034601126030
Long
EC
CORP
VN
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED OMR / SOLD USD
000000000
1.00000000
NC
11543.60000000
0.000450255377
N/A
DFE
OM
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
16822951.89000000
USD
6500000.00000000
OMR
2022-08-04
11543.60000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGWUA0 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGWUA0 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
40420000.00000000
OU
Notional Amount
USD
2155728.75000000
0.084083688021
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Republic of South Africa
Republic of South Africa
Y
buy protection
2026-12-20
1928597.25000000
USD
0.00000000
USD
40420000.00000000
USD
227131.50000000
N
N
N
COOF 2329437010
N/A
COOF 2329437010
000000000
389842.89000000
PA
USD
40735.92000000
0.001588894886
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-39304.67000000
-0.00153306932
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3568000.00000000
OMR
9004416.40000000
USD
2024-04-08
-39304.67000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
1196431.74000000
0.046666535929
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
45992661.24000000
USD
62727815.00000000
AUD
2021-11-12
1196431.74000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4S8CJ5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4S8CJ5 IRS COP P F 4.72500 2 CCPNDFOIS
000000000
30984600000.00000000
OU
Notional Amount
338630.54000000
0.013208203805
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
30984600000.00000000
COP
338630.54000000
N
N
N
URU MONETARY REG BILL
549300DTMS39GZYBX161
Uruguay Monetary Regulation Bill
000000000
76539000.00000000
PA
1695214.88000000
0.066121453870
Long
STIV
NUSS
UY
N
2
2022-02-25
None
0.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
3279000.00000000
PA
USD
3305166.42000000
0.128917231409
Long
DBT
NUSS
EG
Y
2
2029-03-01
Fixed
7.60000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
148659.91000000
0.005798444490
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4477044.66000000
USD
331000000.00000000
RUB
2021-12-15
148659.91000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225BTN8
41308.27000000
PA
USD
45383.79000000
0.001770183952
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
7.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-90603.93000000
-0.00353398477
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3532009.63000000
EUR
1244476749.00000000
HUF
2021-11-24
-90603.93000000
N
N
N
Nomura Asset Management U.S.A. Inc.
549300ZN36E1MEF7S595
Long: BEV4V8EF7 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4V8EF7 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
1500000.00000000
OU
Notional Amount
USD
-2445.72000000
-0.00009539472
N/A
DCR
US
N
2
Nomura Asset Management U.S.A. Inc.
549300ZN36E1MEF7S595
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2026-12-20
0.00000000
USD
-0.03000000
USD
1500000.00000000
USD
-2445.69000000
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
1273478.79000000
0.049671737819
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
1273478.79000000
N
N
N
COOF 6578505003
N/A
COOF 6578505003
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2029-02-15
Fixed
2.99000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED CZK / SOLD EUR
000000000
1.00000000
NC
N/A
-72101.55000000
-0.00281230383
N/A
DFE
CZ
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6462971.33000000
EUR
164460000.00000000
CZK
2021-11-18
-72101.55000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
148802.80000000
0.005804017881
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4186730.48000000
USD
310236310.00000000
RUB
2021-12-15
148802.80000000
N
N
N
COOF 9657945008
N/A
COOF 9657945008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.46000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
4528000.00000000
PA
USD
4205312.08000000
0.164027199140
Long
DBT
NUSS
BH
Y
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-1084489.91000000
-0.04230027143
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
50200000.00000000
AUD
36680136.00000000
USD
2021-11-12
-1084489.91000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412BLZ3
91590.96000000
PA
USD
109570.51000000
0.004273771725
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
11.50000000
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
COOF 8193515004
N/A
COOF 8193515004
000000000
804069.21000000
PA
USD
53237.30000000
0.002076508245
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Fixed
1.93000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
996462.40000000
0.038866779304
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
37550000.00000000
EUR
44449247.00000000
USD
2021-12-15
996462.40000000
N
N
N
COOF 2117027003
N/A
COOF 2117027003
000000000
709162.85000000
PA
USD
87551.11000000
0.003414910256
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.21000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
97689.19000000
0.003810343659
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
99592120.00000000
ZAR
6560745.72000000
USD
2022-01-10
97689.19000000
N
N
N
COOF 9693035003
N/A
COOF 9693035003
000000000
826618.69000000
PA
USD
99696.42000000
0.003888635189
Long
ABS-MBS
CORP
US
N
2
2042-10-15
Fixed
2.91000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RJ1SU4 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RJ1SU4 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
10950000.00000000
OU
Notional Amount
USD
-268526.19000000
-0.01047380028
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SAUDI INTERNATIONAL BOND
SAUDI INTERNATIONAL BOND
Y
buy protection
2026-12-20
0.00000000
USD
-275191.77000000
USD
10950000.00000000
USD
6665.58000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
2768.81000000
0.000107996776
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
612734.54000000
GBP
841339.06000000
USD
2021-11-23
2768.81000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7X76
2976661.83000000
PA
USD
3432882.73000000
0.133898775754
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJZ6
1279796.02000000
PA
USD
1364007.43000000
0.053202785927
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
3.94000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MAE96
1551395.12000000
PA
USD
1782536.32000000
0.069527405903
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
7.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4LFYH6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4LFYH6 IRS COP P F 4.01500 2 CCPNDFOIS
000000000
2672700000.00000000
OU
Notional Amount
48723.00000000
0.001900429045
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
2672700000.00000000
COP
48723.00000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4Y0553 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4Y0553 TRS COP P V 00MDTF DTF RATE 90D NON COMPUNDING
000000000
30981600000.00000000
OU
Notional Amount
32908.95000000
0.001283605780
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-24
0.00000000
COP
0.00000000
COP
30981600000.00000000
COP
32908.95000000
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/BSV2PU0K3
000000000
4200000.00000000
OU
Notional Amount
-92693.52000000
-0.00361548873
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-21
0.00000000
EUR
-32000.85000000
EUR
4200000.00000000
EUR
-45787.27000000
N
N
N
COOF 9669465003
N/A
COOF 9669465003
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.91000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4W2M45 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4W2M45 IRS PLN P F 2.32000 2 CCPVANILLA
000000000
13530000.00000000
OU
Notional Amount
126397.90000000
0.004930120076
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-05
0.00000000
PLN
0.00000000
PLN
13530000.00000000
PLN
126397.90000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
31975000.00000000
PA
2023502.89000000
0.078926249749
Long
STIV
NUSS
EG
N
2
2021-11-30
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-262.22000000
-0.00001022782
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
8199505.84000000
USD
7085428.49000000
EUR
2021-12-15
-262.22000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1133.06000000
-0.00004419473
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
35430578.70000000
USD
30616580.64000000
EUR
2021-12-15
-1133.06000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE DEC21
000000000
-338.00000000
NC
1730939.69000000
0.067514891601
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 10 Year Euro BUND Future
RXZ1 Comdty
2021-12-08
-58321912.84000000
EUR
1730939.69000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-55126.55000000
-0.00215019799
N/A
DFE
GB
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
10411883.01000000
USD
7567574.00000000
GBP
2021-11-23
-55126.55000000
N
N
N
COOF 1533797005
N/A
COOF 1533797005
000000000
270288.46000000
PA
USD
29887.53000000
0.001165756010
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.96000000
N
N
N
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA
71654V408
386200.00000000
NS
USD
3792484.00000000
0.147924937904
Long
EC
CORP
BR
N
1
N
N
N
Vingroup JSC
254900MJ9C15O3O1V757
Vingroup JSC
000000000
244038.00000000
NS
1027503.71000000
0.040077538230
Long
EC
CORP
VN
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S91ZBVTQ7 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S91ZBVTQ7 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
41115000.00000000
OU
Notional Amount
USD
-2860889.42000000
-0.11158831251
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
sell protection
2026-12-20
0.00000000
USD
-2670073.04000000
USD
41115000.00000000
USD
-190816.38000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND DEC21
000000000
-126.00000000
NC
128177.27000000
0.004999523981
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 30 Year Euro BUXL Future
UBZ1 Comdty
2021-12-08
-26442360.00000000
EUR
128177.27000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4XNWV7 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4XNWV7 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
12267570000.00000000
OU
Notional Amount
-21634.27000000
-0.00084383956
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-25
0.00000000
COP
0.00000000
COP
12267570000.00000000
COP
-21634.27000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
97918.60000000
0.003819291742
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3461154.78000000
USD
14221885.00000000
PEN
2021-12-10
97918.60000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
9573.70000000
0.000373419895
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4785953.55000000
USD
4148139.01000000
EUR
2021-11-05
9573.70000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED ZMW / SOLD USD
000000000
1.00000000
NC
128323.59000000
0.005005231157
N/A
DFE
ZM
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
803587.44000000
USD
17920000.00000000
ZMW
2022-08-18
128323.59000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
5989000.00000000
PA
USD
928295.00000000
0.036207926053
Long
DBT
NUSS
LB
Y
2
2028-03-20
None
0.00000000
Y
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
-392760.88000000
-0.01531954486
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
-392760.88000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T8U70
69764.59000000
PA
USD
74575.11000000
0.002908784457
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
6.50000000
N
N
N
N
N
N
COOF 2148157010
N/A
COOF 2148157010
000000000
676135.95000000
PA
USD
38601.13000000
0.001505627909
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JP51
171464.12000000
PA
USD
195629.01000000
0.007630463083
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
VALE SA
254900SMTWBX7RU2SR20
Vale SA
000000000
42421600.00000000
PA
3997099.68000000
0.155905923917
Long
DBT
CORP
BR
N
2
2049-12-29
Variable
1.00000000
N
N
N
N
N
N
COOF 9541525009
N/A
COOF 9541525009
000000000
368053.76000000
PA
USD
18862.77000000
0.000735737864
Long
ABS-MBS
CORP
US
N
2
2027-07-15
Fixed
2.96000000
N
N
N
N
N
N
COOF 9511595007
N/A
COOF 9511595007
000000000
1216646.59000000
PA
USD
69807.65000000
0.002722830812
Long
ABS-MBS
CORP
US
N
2
2027-06-15
Fixed
3.21000000
N
N
N
N
N
N
Mytilineos SA
213800KT8MEUJEJ2KW41
Mytilineos SA
000000000
37500.00000000
NS
685294.71000000
0.026729757442
Long
EC
CORP
GR
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-49386.35000000
-0.00192630285
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
385151693.00000000
PHP
7571293.36000000
USD
2021-11-26
-49386.35000000
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
24047800000.00000000
PA
6375678.92000000
0.248681842386
Long
STIV
NUSS
UG
N
2
2022-07-07
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-16556.08000000
-0.00064576596
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4000000.00000000
OMR
10343133.45000000
USD
2022-08-04
-16556.08000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV3YBK62 CDS USD R V 03MEVENT MOAGBNAB1/XS0546428144 / Short: BEV3YBK62 CDS USD P F 1.00000
000000000
3357000.00000000
OU
Notional Amount
USD
-40254.32000000
-0.00157011019
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Emirate of Dubai Government International Bonds
Emirate of Dubai Government International Bonds
Y
buy protection
2024-12-20
34979.73000000
USD
0.00000000
USD
3357000.00000000
USD
-75234.05000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
2150000.00000000
PA
USD
1947366.80000000
0.075956579636
Long
DBT
NUSS
EG
Y
2
2031-02-16
Fixed
5.87500000
N
N
N
N
N
N
COOF 8222885010
N/A
COOF 8222885010
000000000
924771.83000000
PA
USD
106369.78000000
0.004148928011
Long
ABS-MBS
CORP
US
N
2
2042-04-15
Fixed
2.93000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
1632.94000000
0.000063692436
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
671652.02000000
USD
2548000000.00000000
COP
2022-01-14
1632.94000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
89.53000000
0.000003492096
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
500000.00000000
OMR
1267427.12000000
USD
2024-04-22
89.53000000
N
N
N
COOF 9473635004
N/A
COOF 9473635004
000000000
911579.55000000
PA
USD
110076.94000000
0.004293524907
Long
ABS-MBS
CORP
US
N
2
2042-07-15
Fixed
3.46000000
N
N
N
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
45434M2C5
15006000.00000000
PA
USD
14508697.11000000
0.565908285724
Long
DBT
CORP
IN
Y
2
2031-02-10
Fixed
2.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-19977.85000000
-0.00077923129
N/A
DFE
KE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1085826.77000000
USD
124110000.00000000
KES
2022-06-08
-19977.85000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
16064.38000000
0.000626587327
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
821145.28000000
EUR
301000000.00000000
HUF
2021-11-29
16064.38000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4W0JJ0 TRS USD R E BEV4W0JK7 COMMODITYTRS / Short: BEV4W0JJ0 TRS USD P F .24000 BEV4W0JL5 COMMODITYTRS
000000000
59500000.00000000
OU
Notional Amount
USD
2270458.04000000
0.088558676736
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM INDEX
Y
equity-performance leg
2021-11-04
0.00000000
USD
0.00000000
USD
59500000.00000000
USD
2270458.04000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-22970.22000000
-0.00089594797
N/A
DFE
KE
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
1213309.89000000
USD
138014000.00000000
KES
2022-05-18
-22970.22000000
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
287650000.00000000
PA
18044256.30000000
0.703811932421
Long
STIV
NUSS
EG
N
2
2021-12-28
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-108399.17000000
-0.00422808388
N/A
DFE
PL
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
8336046.54000000
EUR
38015786.00000000
PLN
2021-11-04
-108399.17000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
26704.90000000
0.001041618283
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1006328.99000000
EUR
1191226.79000000
USD
2021-12-15
26704.90000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
3700000.00000000
PA
USD
3280272.00000000
0.127946230468
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
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
-221564.62000000
-0.00864207539
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2023-12-20
0.00000000
USD
-48843.74000000
USD
12396000.00000000
USD
-172720.88000000
N
N
N
COOF 2191127007
N/A
COOF 2191127007
000000000
194157.78000000
PA
USD
22346.87000000
0.000871634358
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BEV4RTJY0 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4RTJY0 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
9100000.00000000
OU
Notional Amount
USD
102761.11000000
0.004008172695
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2024-06-20
71627.81000000
USD
0.00000000
USD
9100000.00000000
USD
31133.30000000
N
N
N
COOF 9681265005
N/A
COOF 9681265005
000000000
652436.52000000
PA
USD
37028.24000000
0.001444277708
Long
ABS-MBS
CORP
US
N
2
2028-02-15
Fixed
2.96000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PH99
22669.78000000
PA
USD
23301.46000000
0.000908867914
Long
ABS-MBS
USGSE
US
N
2
2024-08-17
Fixed
7.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
40646.13000000
0.001585392649
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
20822000.00000000
ZAR
1396522.59000000
USD
2021-12-15
40646.13000000
N
N
N
COOF 2260027006
N/A
COOF 2260027006
000000000
367084.75000000
PA
USD
34618.26000000
0.001350277011
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
COOF 1368227004
N/A
COOF 1368227004
000000000
333806.87000000
PA
USD
40999.67000000
0.001599182393
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
3.16000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
1048000.00000000
PA
1274945.60000000
0.049728950395
Long
DBT
NUSS
CI
Y
2
2040-10-17
Fixed
6.87500000
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
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4JQGM4 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4JQGM4 IRS COP P F 4.00000 2 CCPNDFOIS
000000000
14824000000.00000000
OU
Notional Amount
272526.50000000
0.010629831421
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
14824000000.00000000
COP
272526.50000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
46983.30000000
0.001832572460
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2284758.73000000
USD
8809230000.00000000
COP
2021-12-20
46983.30000000
N
N
N
Siminn HF
N/A
Siminn HF
000000000
11783288.00000000
NS
1117047.89000000
0.043570187709
Long
EC
CORP
IS
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-232905.90000000
-0.00908443932
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
101024000.00000000
SAR
26680047.54000000
USD
2022-03-28
-232905.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FSQ9
202902.96000000
PA
USD
228039.70000000
0.008894634351
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
COOF 2239927000
N/A
COOF 2239927000
000000000
728906.05000000
PA
USD
74704.65000000
0.002913837134
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.91000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K3JN8 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3JN8 IRS COP P F 4.20000 2 CCPNDFOIS
000000000
14824000000.00000000
OU
Notional Amount
242036.74000000
0.009440585572
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
14824000000.00000000
COP
242036.74000000
N
N
N
COOF 2230627008
N/A
COOF 2230627008
000000000
1229782.74000000
PA
USD
100914.57000000
0.003936148840
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.41000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4F72H6 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4F72H6 IRS USD P F 2.31750 2 CCPINFLATIONZERO
000000000
11630000.00000000
OU
Notional Amount
USD
934447.24000000
0.036447892714
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-28
0.00000000
USD
0.00000000
USD
11630000.00000000
USD
934447.24000000
N
N
N
Nomura International PLC
DGQCSV2PHVF7I2743539
BB PERU REPUBLIC OF GOV (REPO)
000000000
11056361.39000000
PA
USD
11056361.39000000
0.431250750713
Long
RA
CORP
US
N
2
Repurchase
N
-0.25000000
2022-09-30
11056361.39000000
USD
11054295.48000000
USD
CDS
N
N
N
DESA, LLC
N/A
DESA, LLC
000000000
842500.00000000
PA
USD
684110.00000000
0.026683548109
Long
ABS-O
CORP
US
N
3
2024-06-30
Fixed
0.90000000
N
N
N
N
N
N
COOF 2326577000
N/A
COOF 2326577000
000000000
1628888.45000000
PA
USD
201389.16000000
0.007855136366
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4V8633 TRS KRW R F .00000 / Short: BEV4V8633 TRS KRW P E KSZ120211 KOSPI2 INDEX DEC 21
000000000
10152643050.00000000
OU
Notional Amount
467186.30000000
0.018222490699
N/A
DE
KR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Korea Stock Exchange KOSPI 200 Index
KOSPI2 Index
Y
equity-performance leg
2021-12-09
0.00000000
KRW
0.00000000
KRW
10152643050.00000000
KRW
467186.30000000
N
N
N
ALPHA HOLDING SA
549300R872G37EN6NT94
Alpha Holding SA de CV
000000000
3890000.00000000
PA
USD
552846.80000000
0.021563658162
Long
DBT
CORP
MX
Y
2
2025-02-10
Fixed
9.00000000
N
Y
N
N
N
N
COOF 2099157002
N/A
COOF 2099157002
000000000
749529.34000000
PA
USD
57845.22000000
0.002256239070
Long
ABS-MBS
CORP
US
N
2
2028-04-15
Fixed
3.71000000
N
N
N
N
N
N
Hoa Phat Group JSC
549300ODJEFGL5CWKD32
Hoa Phat Group JSC
000000000
534553.00000000
NS
1341307.15000000
0.052317366895
Long
EC
CORP
VN
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
32174.11000000
0.001254943520
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
36836416.00000000
ZAR
2437660.14000000
USD
2021-11-23
32174.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313920CC2
1343669.04000000
PA
USD
1458387.20000000
0.056884046445
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Fixed
6.00000000
N
N
N
N
N
N
FPT Corp
N/A
FPT Corp
000000000
484201.00000000
NS
2206597.91000000
0.086067827528
Long
EC
CORP
VN
N
2
N
N
N
COOF 7041165002
N/A
COOF 7041165002
000000000
1309979.05000000
PA
USD
209311.22000000
0.008164134435
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.69000000
N
N
N
N
N
N
TANZANIA
N/A
TANZANIA 10 Year Term Loan
000000000
58755000.00000000
PA
USD
58100880.59000000
2.266211051515
Long
LON
CORP
TZ
N
2
2031-04-28
Floating
6.44600000
N
N
N
N
N
N
Eurohold Bulgaria AD
74780000J0W85Y204X80
Eurohold Bulgaria AD
000000000
5313401.00000000
NS
6720489.70000000
0.262131104986
Long
EC
CORP
BG
N
2
N
N
N
COOF 8753925008
N/A
COOF 8753925008
000000000
1250587.49000000
PA
USD
83453.56000000
0.003255086291
Long
ABS-MBS
CORP
US
N
2
2042-05-15
Fixed
1.93000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4F4P13 IRS USD R F 2.26250 2 CCPINFLATIONZERO / Short: SEV4F4P13 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
20750000.00000000
OU
Notional Amount
USD
-1479525.63000000
-0.05770854588
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-27
0.00000000
USD
0.00000000
USD
20750000.00000000
USD
-1479525.63000000
N
N
N
OI MOVEL SA
254900M3NQMOCMEIGF93
Oi Movel SA
000000000
5901000.00000000
PA
USD
6139990.50000000
0.239488871528
Long
DBT
CORP
BR
Y
2
2026-07-30
Fixed
8.75000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV0GJNW1 CDS USD R V 03MEVENT GLD QATAR CDS 20231220 / Short: BEV0GJNW1 CDS USD P F 1.00000 GLD QATAR CDS 20231220
000000000
3700000.00000000
OU
Notional Amount
USD
-66133.36000000
-0.00257951600
N/A
DCR
QA
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2023-12-20
2697.59000000
USD
0.00000000
USD
3700000.00000000
USD
-68830.95000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1326000.00000000
PA
USD
205530.00000000
0.008016648847
Long
DBT
NUSS
LB
N
2
2034-05-17
None
0.00000000
Y
N
N
N
N
N
FRIGORIFICO CONCEPCION
529900Q6VZVL47QJCQ91
Frigorifico Concepcion SA
358648AA1
4435000.00000000
PA
USD
4527048.43000000
0.176576449076
Long
DBT
CORP
PY
N
2
2028-07-21
Fixed
7.70000000
N
N
N
N
N
N
COOF 8313115008
N/A
COOF 8313115008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-05-15
Fixed
2.93000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PJX4
9359.22000000
PA
USD
10034.67000000
0.000391399920
Long
ABS-MBS
USGSE
US
N
2
2026-11-20
Fixed
7.31000000
N
N
N
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
580825000.00000000
PA
36173643.84000000
1.410944388644
Long
STIV
NUSS
EG
N
2
2022-01-11
None
0.00000000
N
N
N
N
N
N
COOF 1825007004
N/A
COOF 1825007004
000000000
1210991.04000000
PA
USD
111888.66000000
0.004364190615
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392ASN9
361029.98000000
PA
USD
405216.06000000
0.015805356202
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Fixed
6.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-374934.77000000
-0.01462424167
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
241297208210.00000000
IDR
16566921.26000000
USD
2021-11-24
-374934.77000000
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
-615253.62000000
-0.02399782135
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
-615253.62000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-4133.52000000
-0.00016122696
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
615887.74000000
USD
529168.41000000
EUR
2021-11-05
-4133.52000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
13001.34000000
0.000507114179
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
424941.90000000
USD
1750000.00000000
PEN
2021-12-10
13001.34000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4WQ3J0 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4WQ3J0 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
41834000000.00000000
OU
Notional Amount
-236513.16000000
-0.00922513964
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-23
0.00000000
COP
0.00000000
COP
41834000000.00000000
COP
-236513.16000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
14643.33000000
0.000571159609
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
13265740.00000000
USD
17650000.00000000
AUD
2022-01-21
14643.33000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4QWBD8 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV4QWBD8 IRS USD P F 1.28120 2 CCPVANILLA
000000000
18654129.00000000
OU
Notional Amount
USD
86254.83000000
0.003364349163
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-03
0.00000000
USD
0.00000000
USD
18654129.00000000
USD
86254.83000000
N
N
N
Republic of Chile
549300FLZTJM5YJF8D34
Chile Government International Bond
168863CE6
-6881000.00000000
PA
USD
-7487284.91000000
-0.29203977007
Short
DBT
NUSS
CL
N
2
2047-06-21
Fixed
3.86000000
N
N
N
N
N
N
COOF 8641855006
N/A
COOF 8641855006
000000000
1953306.90000000
PA
USD
249916.76000000
0.009747943881
Long
ABS-MBS
CORP
US
N
2
2042-01-15
Fixed
3.78000000
N
N
N
N
N
N
COOF 9679295004
N/A
COOF 9679295004
000000000
676295.75000000
PA
USD
75155.41000000
0.002931418921
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.21000000
N
N
N
N
N
N
COOF 9675065008
N/A
COOF 9675065008
000000000
2563498.40000000
PA
USD
191458.80000000
0.007467805032
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.21000000
N
N
N
N
N
N
COOF 9574295008
N/A
COOF 9574295008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-07-15
Fixed
1.91000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-23009.03000000
-0.00089746175
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
207396000.00000000
UAH
7802708.80000000
USD
2021-11-22
-23009.03000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4EYA97 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4EYA97 IRS USD P F 2.33275 2 CCPINFLATIONZERO
000000000
20760000.00000000
OU
Notional Amount
USD
1631911.42000000
0.063652317444
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-26
0.00000000
USD
0.00000000
USD
20760000.00000000
USD
1631911.42000000
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 EUR / SOLD USD
000000000
1.00000000
NC
-6441.03000000
-0.00025123084
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2019787.46000000
USD
1741548.00000000
EUR
2021-11-05
-6441.03000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV4QURN3 IRS MXN R F 6.96000 2 CCPVANILLA / Short: SEV4QURN3 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
917000000.00000000
OU
Notional Amount
-631464.15000000
-0.02463010923
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-24
0.00000000
MXN
0.00000000
MXN
917000000.00000000
MXN
-631464.15000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-47063.05000000
-0.00183568309
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1958066.94000000
EUR
8857913.00000000
PLN
2021-12-10
-47063.05000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
64914.94000000
0.002531991820
N/A
DFE
CN
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
11601265.81000000
USD
74794776.00000000
CNY
2021-11-10
64914.94000000
N
N
N
COOF 2128077002
N/A
COOF 2128077002
000000000
1570538.43000000
PA
USD
116089.08000000
0.004528027000
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.16000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6P6
85427.32000000
PA
USD
94530.96000000
0.003687157648
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
9.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
-16732.31000000
-0.00065263977
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
17460697.68000000
USD
578865780.00000000
THB
2021-11-08
-16732.31000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV4V4707 CDS USD R V 03MEVENT / Short: BEV4V4707 CDS USD P F 1.00000
000000000
81600000.00000000
OU
Notional Amount
USD
-1864372.32000000
-0.07271939965
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
PENERBANGAN MALAYSIA BHD
PENERBANGAN MALAYSIA BHD
Y
buy protection
2026-12-20
0.00000000
USD
-2272359.79000000
USD
81600000.00000000
USD
407987.47000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
153626.00000000
0.005992145651
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3412370.23000000
USD
253149074.00000000
RUB
2021-11-08
153626.00000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
11542000.00000000
PA
USD
12191583.76000000
0.475529829700
Long
DBT
NUSS
UA
Y
2
2040-05-31
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
21947.54000000
0.000856058586
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
225500000.00000000
HUF
644512.95000000
EUR
2021-11-30
21947.54000000
N
N
N
ARDSHININVESTBK (DILIJAN
549300DCGXFXAP2FEV07
Ardshinbank CJSC Via Dilijan Finance BV
000000000
8139000.00000000
PA
USD
8108022.97000000
0.316251510716
Long
DBT
CORP
NL
Y
2
2025-01-28
Fixed
6.50000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1699000.00000000
PA
1811156.72000000
0.070643737809
Long
DBT
NUSS
RO
Y
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-412858.14000000
-0.01610343371
N/A
DFE
ZA
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6105611.71000000
USD
87400000.00000000
ZAR
2021-12-13
-412858.14000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-17963.05000000
-0.00070064449
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3832984.65000000
USD
3300000.00000000
EUR
2021-11-05
-17963.05000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGQQ83 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGQQ83 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
21600000.00000000
OU
Notional Amount
USD
-456339.96000000
-0.01779943178
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF PHILIPPINES
REPUBLIC OF PHILIPPINES
Y
buy protection
2026-12-20
0.00000000
USD
-618492.97000000
USD
21600000.00000000
USD
162153.01000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4MG411 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MG411 IRS COP P F 4.52900 2 CCPNDFOIS
000000000
11377600000.00000000
OU
Notional Amount
147276.87000000
0.005744499343
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
11377600000.00000000
COP
147276.87000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PGF6
42741.45000000
PA
USD
43768.77000000
0.001707190481
Long
ABS-MBS
USGSE
US
N
2
2024-09-17
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359KQT7
20167.60000000
PA
USD
21587.88000000
0.000842030133
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Fixed
7.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-8149.76000000
-0.00031787945
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
642329.52000000
USD
3600000.00000000
BRL
2021-12-02
-8149.76000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359HZF4
275782.00000000
PA
USD
292341.16000000
0.011402697530
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Fixed
7.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K5F80 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K5F80 IRS COP P F 4.28000 2 CCPNDFOIS
000000000
14824000000.00000000
OU
Notional Amount
229842.50000000
0.008964952137
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
14824000000.00000000
COP
229842.50000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
685426.84000000
0.026734911141
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
419498131.00000000
ZAR
27973628.72000000
USD
2021-12-23
685426.84000000
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
2032916.66000000
PA
USD
2049737.01000000
0.079949505370
Long
LON
NUSS
KE
N
2
2024-10-24
Floating
6.91100000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-9128.28000000
-0.00035604639
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6400000.00000000
OMR
16212792.91000000
USD
2024-05-28
-9128.28000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BEV4V56Y1 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4V56Y1 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
3100000.00000000
OU
Notional Amount
USD
-5054.49000000
-0.00019714918
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2026-12-20
4953.53000000
USD
0.00000000
USD
3100000.00000000
USD
-10008.02000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CS29
23111.56000000
PA
USD
25205.23000000
0.000983124011
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
9.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-612.12000000
-0.00002387559
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1779291.50000000
USD
1538560.61000000
EUR
2021-11-05
-612.12000000
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
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-138805.94000000
-0.00541409273
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2583000.00000000
BHD
6701258.27000000
USD
2022-03-16
-138805.94000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W6C8
500665.60000000
PA
USD
573494.15000000
0.022369003146
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4D6CJ5 SYNTHCAP SWAPTIONS
000000000
623900000.00000000
NC
USD
282433.29000000
0.011016243413
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
USD - 10Y Constant Maturity Swap (CMS)
USD - 10Y Constant Maturity Swap (CMS)
1.00000000
1.06000000
USD
2022-12-19
XXXX
-575429.21000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4DY0R9 SYNTHSWAPTIONS
000000000
198570000.00000000
NC
431.59000000
0.000016834065
N/A
DIR
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
198570000.00000000
OU
Notional Amount
N/A
431.59000000
0.00000000
DIR
US
N/A
N/A
2027-01-11
0.00000000
N/A
0.00000000
N/A
198570000.00000000
ZAR
1.00000000
5.70000000
ZAR
2022-01-07
XXXX
-290699.44000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
110015.56000000
0.004291130794
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
122788055.00000000
ZAR
8128302.44000000
USD
2021-11-23
110015.56000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
16075.10000000
0.000627005458
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
21500000.00000000
NZD
15401632.50000000
USD
2022-01-21
16075.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GLF2
17632.87000000
PA
USD
19792.45000000
0.000771999812
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
9.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335PLX1
65331.07000000
PA
USD
66901.35000000
0.002609471271
Long
ABS-MBS
USGSE
US
N
2
2024-03-17
Fixed
6.50000000
N
N
N
N
N
N
COOF 9627335001
N/A
COOF 9627335001
000000000
1138338.33000000
PA
USD
126953.25000000
0.004951781371
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.96000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
113584.93000000
0.004430353224
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3611641.71000000
USD
266564801.00000000
RUB
2021-12-15
113584.93000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K3JX6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3JX6 IRS COP P F 4.16000 2 CCPNDFOIS
000000000
15965800000.00000000
OU
Notional Amount
267246.28000000
0.010423877694
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
15965800000.00000000
COP
267246.28000000
N
N
N
COOF 9683905000
N/A
COOF 9683905000
000000000
1020387.63000000
PA
USD
102724.89000000
0.004006759942
Long
ABS-MBS
CORP
US
N
2
2042-11-15
Fixed
2.41000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SEV4WDUC4 IRS COP R F 5.68000 2 CCPNDFOIS / Short: SEV4WDUC4 IRS COP P V 03MCOOVI 1 CCPNDFOIS
000000000
11377600000.00000000
OU
Notional Amount
-27956.55000000
-0.00109043859
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
11377600000.00000000
COP
-27956.55000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-50095.23000000
-0.00195395255
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
846261.47000000
USD
4493403.00000000
BRL
2021-11-03
-50095.23000000
N
N
N
COOF 9723235006
N/A
COOF 9723235006
000000000
1485372.05000000
PA
USD
130857.43000000
0.005104062985
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
2.41000000
N
N
N
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
SGX NIFTY 50 NOV21
000000000
-259.00000000
NC
USD
223261.75000000
0.008708271545
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX Nifty 50 Index Futures
IHX1 INDEX
2021-11-25
-9440942.00000000
USD
223261.75000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
440000.00000000
PA
USD
456653.12000000
0.017811646514
Long
DBT
NUSS
BH
Y
2
2047-09-20
Fixed
7.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
-12875.11000000
-0.00050219060
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
8733529.12000000
USD
289394221.00000000
THB
2021-11-10
-12875.11000000
N
N
N
COOF 1856837009
N/A
COOF 1856837009
000000000
1965982.26000000
PA
USD
161468.11000000
0.006298025290
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.41000000
N
N
N
N
N
N
Refrigeration Electrical Engineering Corp
N/A
Refrigeration Electrical Engineering Corp
000000000
675810.00000000
NS
2224232.54000000
0.086755662084
Long
EC
CORP
VN
N
2
N
N
N
COOF 8667815003
N/A
COOF 8667815003
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Fixed
2.03000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31397VD87
7902312.97000000
PA
USD
1005120.47000000
0.039204485269
Long
ABS-MBS
USGSE
US
N
2
2048-02-25
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4XHQJ4 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4XHQJ4 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
000000000
26644200000.00000000
OU
Notional Amount
-61605.78000000
-0.00240291882
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-11-25
0.00000000
COP
0.00000000
COP
26644200000.00000000
COP
-61605.78000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4S4WD5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4S4WD5 IRS COP P F 4.85940 2 CCPNDFOIS
000000000
26646700000.00000000
OU
Notional Amount
254394.83000000
0.009922609938
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
26646700000.00000000
COP
254394.83000000
N
N
N
UGANDA T-BILL
549300NF1DEFHG8XLQ11
Republic of Uganda Treasury Bills
000000000
8330000000.00000000
PA
2248121.04000000
0.087687427354
Long
STIV
NUSS
UG
N
2
2022-05-05
None
0.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4L1225 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4L1225 IRS COP P F 4.10500 2 CCPNDFOIS
000000000
8554300000.00000000
OU
Notional Amount
148025.70000000
0.005773707280
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
8554300000.00000000
COP
148025.70000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4W0J35 TRS USD R F .00000 BEV4W0J50 COMMODITYTRS / Short: BEV4W0J35 TRS USD P E BEV4W0J43 COMMODITYTRS
000000000
45400000.00000000
OU
Notional Amount
USD
-2230733.70000000
-0.08700923828
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM INDEX
Y
equity-performance leg
2021-11-04
0.00000000
USD
0.00000000
USD
45400000.00000000
USD
-2230733.70000000
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
285984.12000000
0.011154742694
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
285984.12000000
N
N
N
COOF 9110125005
N/A
COOF 9110125005
000000000
1443813.80000000
PA
USD
120853.99000000
0.004713881183
Long
ABS-MBS
CORP
US
N
2
2042-02-15
Fixed
2.16000000
N
N
N
N
N
N
COOF 1971467000
N/A
COOF 1971467000
000000000
759980.78000000
PA
USD
60444.01000000
0.002357604257
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.41000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
BEV4H13P8 SYNTH SWAPTION
000000000
99000000.00000000
NC
15660.99000000
0.000610853196
N/A
DIR
ZA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Purchased
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
IRS Swap
N/A
99000000.00000000
OU
Notional Amount
N/A
15660.99000000
0.00000000
DIR
GB
N/A
N/A
2027-02-23
0.00000000
N/A
0.00000000
N/A
99000000.00000000
ZAR
1.00000000
6.46000000
ZAR
2022-02-23
XXXX
-161367.90000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-993.76000000
-0.00003876137
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1400759.00000000
ZAR
90409.46000000
USD
2021-11-29
-993.76000000
N
N
N
COOF 2308487004
N/A
COOF 2308487004
000000000
1344693.44000000
PA
USD
109448.85000000
0.004269026405
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.46000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
3512.69000000
0.000137011639
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1600000.00000000
BRL
287009.62000000
USD
2021-11-03
3512.69000000
N
N
N
COOF 9595035010
N/A
COOF 9595035010
000000000
1113776.67000000
PA
USD
144471.22000000
0.005635065631
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Fixed
3.46000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
142187.52000000
0.005545990455
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4599816.63000000
USD
339900000.00000000
RUB
2021-12-23
142187.52000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-40568.20000000
-0.00158235300
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
24735846.93000000
NZD
17658179.05000000
USD
2022-01-27
-40568.20000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
94312.87000000
0.003678651100
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
49956972.00000000
ZAR
3359468.21000000
USD
2021-11-16
94312.87000000
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
1018196.52000000
0.039714513494
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
1018196.52000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGS1P8 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGS1P8 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
7630000.00000000
OU
Notional Amount
USD
-213242.25000000
-0.00831746332
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2026-12-20
0.00000000
USD
-229316.88000000
USD
7630000.00000000
USD
16074.63000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RH4LJ2 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RH4LJ2 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
6730000.00000000
OU
Notional Amount
USD
11609.92000000
0.000452842172
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
UNITED MEXICAN STATES
UNITED MEXICAN STATES
Y
buy protection
2026-12-20
0.00000000
USD
-41758.77000000
USD
6730000.00000000
USD
53368.69000000
N
N
N
COOF 9056075001
N/A
COOF 9056075001
000000000
341033.89000000
PA
USD
18992.20000000
0.000740786251
Long
ABS-MBS
CORP
US
N
2
2027-03-15
Fixed
3.46000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
3861.87000000
0.000150631322
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1600000.00000000
BRL
287358.80000000
USD
2021-11-03
3861.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397UBN8
1287106.40000000
PA
USD
2544317.63000000
0.099240505016
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Floating
13.23200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128C6R76
146699.05000000
PA
USD
159304.63000000
0.006213639266
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381D4D4
13749.35000000
PA
USD
14579.11000000
0.000568654723
Long
ABS-MBS
USGSE
US
N
2
2027-11-15
Fixed
7.50000000
N
N
N
N
N
N
Ivory Coast
N/A
IVORY COAST EUR 7 YEAR TERM LOAN
000000000
2665000.00000000
PA
3110154.56000000
0.121310840114
Long
LON
CORP
TZ
N
2
2028-01-06
Floating
5.75000000
N
N
N
N
N
N
COOF 9329855006
N/A
COOF 9329855006
000000000
1584733.25000000
PA
USD
123413.92000000
0.004813730645
Long
ABS-MBS
CORP
US
N
2
2042-04-15
Fixed
2.46000000
N
N
N
N
N
N
UZBEK ICB (DARYO FNC)
N/A
Uzbek Industrial and Construction Bank ATB via Daryo Finance BV
000000000
293470000000.00000000
PA
27778118.36000000
1.083478910792
Long
DBT
CORP
NL
N
3
2023-06-15
Fixed
18.75000000
N
N
N
N
N
N
Republic of Macedonia (The)
635400RD1N6RVNCE4958
Republic of Macedonia (The) EUR Term Loan
000000000
3300000.00000000
PA
3821490.73000000
0.149056338520
Long
LON
NUSS
MK
N
2
2022-12-16
Floating
4.50000000
N
N
N
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
20948.03000000
0.000817072936
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
20948.03000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128SGAA8
718708.11000000
PA
USD
738811.99000000
0.028817186241
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
2.77900000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
95542.45000000
0.003726610575
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2096351.95000000
USD
155635659.00000000
RUB
2021-11-09
95542.45000000
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
-36267.85000000
-0.00141461887
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
-36267.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4XUPD9 IRS USD R F 2.75000 2 CCPINFLATIONZERO / Short: SEV4XUPD9 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
000000000
9400000.00000000
OU
Notional Amount
USD
242276.54000000
0.009449938914
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-10-29
0.00000000
USD
0.00000000
USD
9400000.00000000
USD
242276.54000000
N
N
N
COOF 9678215000
N/A
COOF 9678215000
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
N
N
N
N
N
N
ASAKA BANK
N/A
Asaka Bank
000000000
248781000000.00000000
PA
23462192.45000000
0.915137245477
Long
SN
CORP
UZ
N
3
2023-07-26
Fixed
18.70000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-80664.16000000
-0.00314628640
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
6617040.36000000
USD
36890000.00000000
BRL
2021-11-03
-80664.16000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1308.16000000
-0.00005102447
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2366395.77000000
USD
2045526.68000000
EUR
2021-11-12
-1308.16000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
10347.64000000
0.000403607241
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
31041215.00000000
ZAR
2026678.44000000
USD
2022-01-03
10347.64000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
180099.68000000
0.007024745254
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6786752.00000000
EUR
8033715.47000000
USD
2021-12-15
180099.68000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-14311.42000000
-0.00055821353
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2105157.87000000
USD
1808585.64000000
EUR
2021-11-05
-14311.42000000
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
-2241417.61000000
-0.08742596165
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
-2241417.61000000
N
N
N
COOF 2045537003
N/A
COOF 2045537003
000000000
1817943.74000000
PA
USD
123670.65000000
0.004823744337
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
1.91000000
N
N
N
N
N
N
COOF 2268427002
N/A
COOF 2268427002
000000000
1249354.74000000
PA
USD
118352.25000000
0.004616301408
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
2.66000000
N
N
N
N
N
N
COOF 1860197010
N/A
COOF 1860197010
000000000
313481.52000000
PA
USD
33048.09000000
0.001289032903
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
2.91000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
72853.64000000
0.002841638929
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
276464060024.00000000
IDR
19349388.30000000
USD
2022-01-18
72853.64000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
28534.91000000
0.001112997389
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2568798443.61000000
THB
77431134.69000000
USD
2021-11-18
28534.91000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201VYZ9
158729.25000000
PA
USD
182175.82000000
0.007105724601
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
COOF 9641005003
N/A
COOF 9641005003
000000000
648769.31000000
PA
USD
79508.47000000
0.003101208993
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
3.46000000
N
N
N
N
N
N
COOF 1689717010
N/A
COOF 1689717010
000000000
1465967.80000000
PA
USD
151192.42000000
0.005897224441
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
2.46000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-68841.17000000
-0.00268513348
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3009330.60000000
EUR
13627558.00000000
PLN
2021-12-10
-68841.17000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
833.68000000
0.000032517490
N/A
DFE
UY
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3248348.95000000
USD
145591000.00000000
UYU
2022-01-24
833.68000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-17660.38000000
-0.00068883892
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3711000.00000000
OMR
9388519.24000000
USD
2024-07-08
-17660.38000000
N
N
N
Reitir fasteignafelag hf
967600GFEYNJK2W4G048
Reitir fasteignafelag hf
000000000
2159331.00000000
NS
1373521.10000000
0.053573864366
Long
EC
CORP
IS
N
2
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
Phu Nhuan Jewelry JSC
N/A
Phu Nhuan Jewelry JSC
000000000
445630.00000000
NS
2034338.45000000
0.079348888194
Long
EC
CORP
VN
N
2
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
BB UK BRI BEV4J9DL7 REPO
000000000
14715629.86000000
PA
USD
14715629.86000000
0.573979648502
Long
RA
CORP
US
N
2
Repurchase
N
-0.30000000
2021-11-18
14751041.46000000
USD
14751041.46000000
USD
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4W0J01 TRS USD R F .00000 BEV4W0J27 COMMODITYTRS / Short: BEV4W0J01 TRS USD P E BEV4W0J19 COMMODITYTRS
000000000
51100000.00000000
OU
Notional Amount
USD
-2510804.50000000
-0.09793333333
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM INDEX
Y
equity-performance leg
2021-11-04
0.00000000
USD
0.00000000
USD
51100000.00000000
USD
-2510804.50000000
N
N
N
JUMBO SA
549300TGIVUUMY40MZ05
JUMBO SA
000000000
53500.00000000
NS
796311.69000000
0.031059948386
Long
EC
CORP
GR
N
2
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
10453000.00000000
PA
12460350.79000000
0.486013023887
Long
DBT
NUSS
CI
Y
2
2030-03-22
Fixed
5.25000000
N
N
N
N
N
N
COOF 2133857005
N/A
COOF 2133857005
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
2.46000000
N
N
N
N
N
N
COOF 2312927008
N/A
COOF 2312927008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359B4M6
32302.83000000
PA
USD
33454.45000000
0.001304882878
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Fixed
7.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92TF71C0 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92TF71C0 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
23540000.00000000
OU
Notional Amount
USD
2600263.24000000
0.101422650250
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2029-06-20
2950557.47000000
USD
0.00000000
USD
23540000.00000000
USD
-350294.23000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-4107.06000000
-0.00016019490
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
762128.21000000
USD
4303001.00000000
BRL
2021-12-02
-4107.06000000
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
-681291.82000000
-0.02657362566
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
-681291.82000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HTW5
6316.21000000
PA
USD
6788.90000000
0.000264799432
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
9.00000000
N
N
N
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
BB CHILE (REPUBLIC OF) REPO
000000000
3960675.00000000
PA
USD
3960675.00000000
0.154485187923
Long
RA
CORP
US
N
2
Repurchase
N
-0.20000000
2022-10-04
3960675.00000000
USD
3960168.91000000
USD
CDS
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-188935.26000000
-0.00736937495
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
50898000.00000000
SAR
13371338.50000000
USD
2022-03-14
-188935.26000000
N
N
N
COOF 1576187010
N/A
COOF 1576187010
000000000
1209332.04000000
PA
USD
146055.60000000
0.005696863997
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Fixed
3.16000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371Y2S9
669605.56000000
PA
USD
678957.04000000
0.026482558128
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Floating
1.55600000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4L1KF6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4L1KF6 IRS COP P F 4.20500 2 CCPNDFOIS
000000000
2605900000.00000000
OU
Notional Amount
42413.49000000
0.001654328106
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
2605900000.00000000
COP
42413.49000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJK6
8381.22000000
PA
USD
9087.32000000
0.000354448758
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
9.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4XUQ48 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4XUQ48 IRS USD P F 2.62450 2 CCPINFLATIONZERO
000000000
9450000.00000000
OU
Notional Amount
USD
-488069.73000000
-0.01903704392
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2046-10-29
0.00000000
USD
0.00000000
USD
9450000.00000000
USD
-488069.73000000
N
N
N
COOF 9662795005
N/A
COOF 9662795005
000000000
2832670.56000000
PA
USD
268569.36000000
0.010475484115
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
2.61000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4F4P47 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4F4P47 IRS USD P F 2.31375 2 CCPINFLATIONZERO
000000000
20750000.00000000
OU
Notional Amount
USD
1676054.90000000
0.065374123399
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-27
0.00000000
USD
0.00000000
USD
20750000.00000000
USD
1676054.90000000
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
Barbados Government International Bond
000000000
28150700.00000000
PA
USD
28361830.25000000
1.106246454460
Long
DBT
NUSS
BB
Y
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
COOF 1985837005
N/A
COOF 1985837005
000000000
1689116.98000000
PA
USD
206937.59000000
0.008071551561
Long
ABS-MBS
CORP
US
N
2
2043-04-15
Fixed
3.41000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2389284.51000000
0.093193474983
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
90036145.66000000
EUR
106578931.48000000
USD
2021-12-15
2389284.51000000
N
N
N
COOF 2004107007
N/A
COOF 2004107007
000000000
2709648.74000000
PA
USD
242981.48000000
0.009477434932
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
2.28000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
700.48000000
0.000027322056
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3912000.00000000
OMR
9916349.81000000
USD
2024-07-08
700.48000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225ATR1
37513.94000000
PA
USD
39358.23000000
0.001535158415
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
6.50000000
N
N
N
N
N
N
COOF 9602635001
N/A
COOF 9602635001
000000000
1618183.38000000
PA
USD
61822.97000000
0.002411390265
Long
ABS-MBS
CORP
US
N
2
2042-09-15
Fixed
1.11000000
N
N
N
N
N
N
COOF 1929207010
N/A
COOF 1929207010
000000000
1157237.05000000
PA
USD
83650.62000000
0.003262772570
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
Alpha Services and Holdings SA
5299009N55YRQC69CN08
Alpha Services and Holdings SA
000000000
480100.00000000
NS
612060.73000000
0.023873283441
Long
EC
CORP
GR
N
2
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31348QHB7
5272.38000000
PA
USD
5310.16000000
0.000207121529
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Floating
2.84400000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
132663.47000000
0.005174507146
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4999198.69000000
EUR
5917726.16000000
USD
2021-12-15
132663.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4W0M72 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4W0M72 IRS PLN P F 2.27500 2 CCPVANILLA
000000000
34400000.00000000
OU
Notional Amount
354868.42000000
0.013841558459
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-10-04
0.00000000
PLN
0.00000000
PLN
34400000.00000000
PLN
354868.42000000
N
N
N
COOF 8397915008
N/A
COOF 8397915008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Fixed
2.63000000
N
N
N
N
N
N
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
Long: BEV0UYZ41 CDS USD R V 00MEVENT NOM QATAR CDS 20240920 / Short: BEV0UYZ41 CDS USD P F 1.00000 NOM QATAR CDS 20240920
000000000
9620000.00000000
OU
Notional Amount
USD
-212904.26000000
-0.00830428010
N/A
DCR
QA
N
2
Nomura Holdings, Inc.
549300B3CEAHYG7K8164
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2024-09-20
0.00000000
USD
-9515.44000000
USD
9620000.00000000
USD
-203388.82000000
N
N
N
COOF 2066977005
N/A
COOF 2066977005
000000000
899682.32000000
PA
USD
64466.67000000
0.002514507155
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Fixed
3.71000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-64548.92000000
-0.00251771529
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1171833.00000000
BHD
3038591.99000000
USD
2022-03-16
-64548.92000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4GPY72 SYNTH SWAPTION
000000000
129130000.00000000
NC
20371.51000000
0.000794585910
N/A
DIR
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
129130000.00000000
OU
Notional Amount
N/A
20371.51000000
0.00000000
DIR
US
N/A
N/A
2027-02-21
0.00000000
N/A
0.00000000
N/A
129130000.00000000
ZAR
1.00000000
6.47000000
ZAR
2022-02-21
XXXX
-212433.66000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
894000.00000000
PA
947820.73000000
0.036969522516
Long
DBT
NUSS
RO
Y
2
2040-12-02
Fixed
2.62500000
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
45729.40000000
0.001783664388
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
45729.40000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED SAR / SOLD USD
000000000
1.00000000
NC
132.20000000
0.000005156429
N/A
DFE
SA
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3649829.50000000
USD
13700000.00000000
SAR
2022-03-14
132.20000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-84276.91000000
-0.00328720086
N/A
DFE
PL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
6941467.20000000
EUR
31679822.00000000
PLN
2021-11-04
-84276.91000000
N
N
N
Public Power Corp SA
213800T9Y5XCOVRZ4Y57
Public Power Corp SA
000000000
37000.00000000
NS
402484.30000000
0.015698804552
Long
EC
CORP
GR
N
2
N
N
N
2021-11-17
Global Macro Portfolio
James Kirchner
James Kirchner
Treasurer