NPORT-P
false
0001493214
XXXXXXXX
S000029761
C000091471
Global Macro Absolute Return Advantage Portfolio
811-22424
0001493214
NKY7JRBKJHQQ68KJ6252
TWO INTERNATIONAL PLACE
BOSTON
02110
617-482-8260
Global Macro Absolute Return Advantage Portfolio
S000029761
NKY7JRBKJHQQ68KJ6252
2021-10-31
2021-07-31
N
3171764113.49
171035161.10
3000728952.39
0.00000000
58194470.68000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
307162561.84000000
BRL
COP
EGP
EUR
GBP
GEL
IDR
ISK
KRW
MXN
MYR
NZD
RSD
THB
UAH
USD
UYU
UZS
ZAR
N
Vietnam Dairy Products JSC
N/A
Vietnam Dairy Products JSC
000000000
569396.00000000
NS
2135847.45000000
0.071177619967
Long
EC
CORP
VN
N
2
N
N
N
IRSA PROPIEDADES COM
549300WDBPUOVK4S9722
IRSA Propiedades Comerciales SA
000000000
1461000.00000000
PA
USD
1385334.81000000
0.046166609246
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
11171850000.00000000
OU
Notional Amount
99241.06000000
0.003307231728
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-14
0.00000000
COP
0.00000000
COP
11171850000.00000000
COP
99241.06000000
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216KAE2
4572000.00000000
PA
USD
4695717.27000000
0.156485885413
Long
DBT
NUSS
IN
Y
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
RMOF SD 03/07/2018
N/A
RMOF SD 03/07/2018
000000000
91141829.57000000
PA
USD
9594068.69000000
0.319724601662
Long
ABS-MBS
CORP
US
N
2
2039-10-12
Fixed
3.03000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-139320.68000000
-0.00464289451
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
122692899.00000000
CNY
18829134.36000000
USD
2021-08-10
-139320.68000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3SB806 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3SB806 IRS USD P F 1.96800 CCP LCH
000000000
2190000.00000000
OU
Notional Amount
USD
-166789.52000000
-0.00555830008
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-11-15
0.00000000
USD
0.00000000
USD
2190000.00000000
USD
-166789.52000000
N
N
N
Standard Chartered Securities (India) Ltd.
54930024GANZB8ISDK66
Long: BEV4S1798 IRS MYR R F 2.49000 2 NDF / Short: BEV4S1798 IRS MYR P V 03MKLIBO 1 NDF
000000000
38800000.00000000
OU
Notional Amount
-9930.78000000
-0.00033094558
N/A
DIR
US
N
2
Standard Chartered Securities (India) Ltd.
54930024GANZB8ISDK66
N/A
N/A
Y
2026-07-19
0.00000000
MYR
0.00000000
MYR
38800000.00000000
MYR
-9930.78000000
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
36071400000.00000000
OU
Notional Amount
134390.61000000
0.004478598771
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-31
0.00000000
COP
0.00000000
COP
36071400000.00000000
COP
134390.61000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
-19562000.00000000
PA
USD
-25509904.35000000
-0.85012357846
Short
DBT
NUSS
QA
Y
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4RT0S3 TRS USD R E BEV4RT0T1 COMMODITYTRS / Short: BEV4RT0S3 TRS USD P F .24000 BEV4RT0U8 COMMODITYTRS
000000000
66000000.00000000
OU
Notional Amount
USD
1383357.40000000
0.046100711592
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 4 Month Forward
BCOMF4 Index
Y
equity-performance leg
2021-09-16
0.00000000
USD
0.00000000
USD
66000000.00000000
USD
1383357.40000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-196429.90000000
-0.00654607274
N/A
DFE
MY
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
12638665.93000000
USD
52560420.00000000
MYR
2021-08-09
-196429.90000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
483863.75000000
0.016124873578
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
12458155.16000000
USD
203940000.00000000
EGP
2021-08-17
483863.75000000
N
N
N
GEORGIA T-BOND
2138007T8RLEVDMLQ257
Georgia Treasury Bond
000000000
6262000.00000000
PA
2010975.70000000
0.067016239450
Long
DBT
NUSS
GE
N
2
2023-01-25
Fixed
8.12500000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
4735000.00000000
PA
USD
4515430.33000000
0.150477780620
Long
DBT
CORP
KY
Y
2
2024-06-04
Fixed
5.55000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-399301.44000000
-0.01330681465
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
11097828.02000000
USD
15356277.27000000
NZD
2021-08-11
-399301.44000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BEV3R2SD7 CDS USD R V 03MEVENT MN5ACB/XS0505265859 / Short: BEV3R2SD7 CDS USD P F 1.00000 BILATERAL
000000000
9097000.00000000
OU
Notional Amount
USD
608566.19000000
0.020280611799
N/A
DCR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Egypt Government International Bond
Egypt Government International Bond
Y
buy protection
2024-12-20
605154.87000000
USD
0.00000000
USD
9097000.00000000
USD
3411.32000000
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
15877300000.00000000
OU
Notional Amount
17993.18000000
0.000599626966
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
15877300000.00000000
COP
17993.18000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-219492.13000000
-0.00731462699
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
207485000.00000000
UAH
7423434.70000000
USD
2021-09-20
-219492.13000000
N
N
N
Viet Capital Securities JSC
254900HKR2EAQLPDRS52
Viet Capital Securities JSC
000000000
658778.00000000
NS
1428224.84000000
0.047595929611
Long
EC
CORP
VN
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
165752.81000000
0.005523751482
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
149656315.00000000
ZAR
10304461.08000000
USD
2021-10-01
165752.81000000
N
N
N
KIDO Group Corp
N/A
KIDO Group Corp
000000000
55900.00000000
NS
151860.70000000
0.005060793640
Long
EC
CORP
VN
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-30111.58000000
-0.00100347550
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5374081.08000000
USD
391106812.00000000
RUB
2021-08-09
-30111.58000000
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
2100000.00000000
OU
Notional Amount
USD
-44344.65000000
-0.00147779591
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-28
0.00000000
USD
0.00000000
USD
2100000.00000000
USD
-44344.65000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
365074.50000000
0.012166193807
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
231471740.00000000
ZAR
16124704.11000000
USD
2021-08-23
365074.50000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
1235000.00000000
PA
USD
156504.14000000
0.005215537373
Long
DBT
NUSS
LB
Y
2
2027-11-29
None
0.00000000
Y
N
N
N
N
N
COOF 9886645005
N/A
COOF 9886645005
000000000
1331909.02000000
PA
USD
101462.07000000
0.003381247410
Long
ABS-MBS
CORP
US
N
2
2042-12-28
Fixed
1.88000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4S4W94 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4S4W94 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
57441200000.00000000
OU
Notional Amount
124599.11000000
0.004152294724
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-24
0.00000000
COP
0.00000000
COP
57441200000.00000000
COP
124599.11000000
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
742000.00000000
OU
Notional Amount
USD
-22822.51000000
-0.00076056552
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-18
0.00000000
USD
0.00000000
USD
742000.00000000
USD
-22822.51000000
N
N
N
URU MONETARY REG BILL
549300DTMS39GZYBX161
Uruguay Monetary Regulation Bill
000000000
438905000.00000000
PA
9849528.56000000
0.328237862075
Long
STIV
NUSS
UY
N
2
2021-12-03
None
0.00000000
N
N
N
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-669395.60000000
-0.02230776623
N/A
DFE
US
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
14000000.00000000
OMR
35659704.53000000
USD
2021-10-28
-669395.60000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
1428000.00000000
PA
USD
1001599.20000000
0.033378529547
Long
DBT
CORP
AR
Y
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
11798.87000000
0.000393200125
N/A
DFE
PL
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
16306462.81000000
EUR
74568900.00000000
PLN
2021-08-05
11798.87000000
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
14659900000.00000000
OU
Notional Amount
120324.97000000
0.004009858001
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
14659900000.00000000
COP
120324.97000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1212160.46000000
0.040395533193
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
37835074.77000000
EUR
46131840.92000000
USD
2021-09-15
1212160.46000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES SEP21
000000000
182.00000000
NC
73912.01000000
0.002463135163
N/A
DE
AU
N
2
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
S&P ASX Share Price Index 200
XPU1 Index
2021-09-16
33187703.64000000
AUD
73912.01000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
479108.58000000
0.015966406416
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
794395376.88000000
THB
24648267.77000000
USD
2021-08-06
479108.58000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-308166.34000000
-0.01026971595
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
14669049.14000000
EUR
5173160465.00000000
HUF
2021-08-24
-308166.34000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
35323.30000000
0.001177157302
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7651000.00000000
BHD
20104767.62000000
USD
2023-03-15
35323.30000000
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
-46400.00000000
NS
USD
-4723984.00000000
-0.15742788085
Short
EC
CORP
US
N
1
N
N
N
MT LOGAN RE DIVERSIFED OPTI
N/A
MT LOGAN RE DIVERSIFED OPTI
000000000
8600.00000000
NS
USD
8451422.96000000
0.281645663240
Long
STIV
CORP
US
N
3
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
39940000.00000000
OU
Notional Amount
USD
-1700621.24000000
-0.05667360388
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-26
0.00000000
USD
0.00000000
USD
39940000.00000000
USD
-1700621.24000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2314096.65000000
0.077117816594
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
72229727.56000000
EUR
88068817.67000000
USD
2021-09-15
2314096.65000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: BEV4RULD0 TRS USD R F .00000 CNY SZCOMP+0BPS / Short: BEV4RULD0 TRS USD P V 03MLIBOR US0003M-850BPS
000000000
18565004.37000000
OU
Notional Amount
USD
-371279.85000000
-0.01237298856
N/A
DE
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Shenzhen Stock Exchange Composite Index
SZCOMP Index
Y
equity-performance leg
2021-10-18
0.00000000
USD
0.00000000
USD
18565004.37000000
USD
-371279.85000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4PU9C8 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4PU9C8 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
35547800000.00000000
OU
Notional Amount
-74120.56000000
-0.00247008514
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-23
0.00000000
COP
0.00000000
COP
35547800000.00000000
COP
-74120.56000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Long: BEV3SF7M0 CDS USD R V 03MEVENT MN5AC8AD0/XS0505265859 / Short: BEV3SF7M0 CDS USD P F 1.00000
000000000
9744000.00000000
OU
Notional Amount
USD
651848.85000000
0.021723016651
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Egypt Government International Bond
Egypt Government International Bond
Y
buy protection
2024-12-20
649522.06000000
USD
0.00000000
USD
9744000.00000000
USD
2326.79000000
N
N
N
Standard Chartered Securities (India) Ltd.
54930024GANZB8ISDK66
Long: BEV4RU6Q8 IRS MYR R F 2.53000 2 NDF / Short: BEV4RU6Q8 IRS MYR P V 03MKLIBO 1 NDF
000000000
87600000.00000000
OU
Notional Amount
17895.72000000
0.000596379089
N/A
DIR
US
N
2
Standard Chartered Securities (India) Ltd.
54930024GANZB8ISDK66
N/A
N/A
Y
2026-07-16
0.00000000
MYR
0.00000000
MYR
87600000.00000000
MYR
17895.72000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4QUC25 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4QUC25 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
20311040000.00000000
OU
Notional Amount
67762.82000000
0.002258211956
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-27
0.00000000
COP
0.00000000
COP
20311040000.00000000
COP
67762.82000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV4S1AN3 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4S1AN3 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
2120000.00000000
OU
Notional Amount
USD
-12798.65000000
-0.00042651802
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2026-06-20
0.00000000
USD
-9905.80000000
USD
2120000.00000000
USD
-2892.85000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
132000.00000000
PA
USD
16566.13000000
0.000552070189
Long
DBT
NUSS
LB
Y
2
2030-02-26
None
0.00000000
Y
N
N
N
N
N
COOF 1471987007
N/A
COOF 1471987007
000000000
1203530.49000000
PA
USD
144609.15000000
0.004819134026
Long
ABS-MBS
CORP
US
N
2
2042-12-12
Fixed
2.88000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-378392.38000000
-0.01261001529
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
174090000.00000000
SAR
45976495.44000000
USD
2022-03-28
-378392.38000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-42018.10000000
-0.00140026309
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4086926.10000000
USD
467340000.00000000
KES
2022-06-08
-42018.10000000
N
N
N
UNITED KINGDOM I/L GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Inflation-Linked Gilt
000000000
-15863875.20000000
PA
-47968429.69000000
-1.59855923180
Short
DBT
NUSS
GB
Y
2
2052-03-22
Fixed
0.25000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
BEV4G4UX6 EATON VANCE
000000000
-42770000.00000000
OU
Notional Amount
USD
-181430.34000000
-0.00604620886
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Call
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
-181430.34000000
-0.01000000
DFE
IN
-42770000.00000000
USD
-3432292500.00000000
INR
2022-02-09
1.00000000
80.25000000
USD
2022-02-09
XXXX
289039.66000000
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
1662050392.00000000
PA
50056510.84000000
1.668145028564
Long
DBT
NUSS
TH
Y
2
2028-03-12
Fixed
1.25000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
6243284.35000000
0.208058923316
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
194871172.67000000
EUR
237604021.97000000
USD
2021-09-15
6243284.35000000
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
38614600000.00000000
OU
Notional Amount
114941.67000000
0.003830458259
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-06
0.00000000
COP
0.00000000
COP
38614600000.00000000
COP
114941.67000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV2K39H6 IRS USD R V 00MCPURN CPURNSA+0BPS/INFLATION / Short: BEV2K39H6 IRS USD P F 1.97250 INFLATION SWAP
000000000
87363000.00000000
OU
Notional Amount
USD
6177554.80000000
0.205868470562
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2027-06-23
0.00000000
USD
0.00000000
USD
87363000.00000000
USD
6177554.80000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
7596.03000000
0.000253139491
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1787185.12000000
USD
1512900.50000000
EUR
2021-08-06
7596.03000000
N
N
N
COOF 1134817001
N/A
COOF 1134817001
000000000
214532.34000000
PA
USD
32738.89000000
0.001091031230
Long
ABS-MBS
CORP
US
N
2
2042-12-12
Fixed
3.63000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
281162.35000000
0.009369801620
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
14915375.23000000
USD
244463000.00000000
EGP
2021-11-08
281162.35000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
-161908.99000000
-0.00539565527
N/A
DFE
UG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
15078364.93000000
USD
57448570397.00000000
UGX
2022-07-06
-161908.99000000
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
14000000.00000000
OU
Notional Amount
USD
126320.60000000
0.004209663785
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-19
0.00000000
USD
0.00000000
USD
14000000.00000000
USD
126320.60000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-73691.17000000
-0.00245577561
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1512235.78000000
USD
7533505.00000000
BRL
2021-09-13
-73691.17000000
N
N
N
INVERSIONES ATLANTIDA SA
N/A
Inversiones Atlantida SA
000000000
4625000.00000000
PA
USD
4821562.50000000
0.160679707381
Long
DBT
CORP
HN
Y
2
2026-05-19
Fixed
7.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-49731.78000000
-0.00165732329
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
6742461.43000000
EUR
2405045431.00000000
HUF
2021-08-18
-49731.78000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
754465.96000000
0.025142756042
N/A
DFE
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
29790978.36000000
USD
488721000.00000000
EGP
2021-10-19
754465.96000000
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
64177400000.00000000
OU
Notional Amount
313031.14000000
0.010431836562
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-30
0.00000000
COP
0.00000000
COP
64177400000.00000000
COP
313031.14000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
BEV4G4V15 EATON VANCE
000000000
-3600000.00000000
OU
Notional Amount
USD
-15271.20000000
-0.00050891634
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
Call
Written
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
FX Contract
N/A
1.00000000
NC
USD
-15271.20000000
0.00000000
DFE
IN
-3600000.00000000
USD
-288900000.00000000
INR
2022-02-09
1.00000000
80.25000000
USD
2022-02-09
XXXX
24685.20000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-226244.13000000
-0.00753963898
N/A
DFE
CA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
8469230.04000000
USD
10284151.31000000
CAD
2021-09-15
-226244.13000000
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
323582200.00000000
PA
3101943.95000000
0.103373013664
Long
DBT
NUSS
IS
N
2
2025-06-12
Fixed
8.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
254504.48000000
0.008481421815
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
204836149.00000000
ZAR
14120892.04000000
USD
2021-10-07
254504.48000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
165243.60000000
0.005506781939
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
144836926.00000000
ZAR
9969982.45000000
USD
2021-10-07
165243.60000000
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
33392440000.00000000
OU
Notional Amount
-8860.45000000
-0.00029527658
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
33392440000.00000000
COP
-8860.45000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-1427709.99000000
-0.04757877211
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
32287900.61000000
USD
44298937.26000000
NZD
2021-09-01
-1427709.99000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-530169.51000000
-0.01766802395
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
10530750.00000000
OMR
26816271.96000000
USD
2021-08-26
-530169.51000000
N
N
N
Georgia Capital PLC
213800Q65T5GNBOW7H65
Georgia Capital PLC
000000000
1003008.00000000
NS
8772281.06000000
0.292338335090
Long
EC
CORP
GB
N
2
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-762.01000000
-0.00002539416
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
16815179.51000000
USD
14173617.00000000
EUR
2021-08-06
-762.01000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-280417.62000000
-0.00934498331
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
6715156.73000000
USD
26135390.00000000
PEN
2021-08-20
-280417.62000000
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
14870000.00000000
OU
Notional Amount
USD
-69348.48000000
-0.00231105445
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
-226077.68000000
USD
14870000.00000000
USD
156729.20000000
N
N
N
PETRA DIAMONDS US TREAS
635400LZYOO6WHAO2H58
Petra Diamonds US Treasury PLC
000000000
7296829.14000000
PA
USD
7397160.54000000
0.246512119467
Long
DBT
CORP
GB
Y
2
2026-03-08
Fixed
10.50000000
N
N
Y
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
75888.56000000
0.002529004158
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
49731968.00000000
ZAR
3461430.04000000
USD
2021-08-24
75888.56000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-271433.53000000
-0.00904558639
N/A
DFE
CL
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5361810.30000000
USD
3868331658.00000000
CLP
2021-09-20
-271433.53000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-66892.44000000
-0.00222920633
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
446920000.00000000
RUB
5985180.34000000
USD
2021-09-30
-66892.44000000
N
N
N
Ashmore Group PLC
549300U3L59WB4YI2X12
Ashmore Group PLC
000000000
-3562400.00000000
NS
-18812914.85000000
-0.62694482402
Short
EC
CORP
GB
N
2
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-47053.33000000
-0.00156806331
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
110456400.00000000
AED
30000000.00000000
USD
2023-03-13
-47053.33000000
N
N
N
EDEN RE II LTD UNSECURED 144A
549300LKX8PCP3SC3F42
EDEN RE II LTD UNSECURED 144A
000000000
7100000.00000000
NS
USD
7036100.00000000
0.234479691822
Long
STIV
CORP
US
N
3
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
3720.81000000
0.000123996870
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
822180.33000000
USD
696188.64000000
EUR
2021-08-06
3720.81000000
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
15180600000.00000000
OU
Notional Amount
85649.04000000
0.002854274456
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-06
0.00000000
COP
0.00000000
COP
15180600000.00000000
COP
85649.04000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-64491.23000000
-0.00214918544
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
14704088.03000000
USD
21013146.61000000
NZD
2021-08-11
-64491.23000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4PFGH2 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4PFGH2 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
25884700000.00000000
OU
Notional Amount
-35236.03000000
-0.00117424900
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-16
0.00000000
COP
0.00000000
COP
25884700000.00000000
COP
-35236.03000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RHB182 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RHB182 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
147494000.00000000
OU
Notional Amount
USD
18134835.68000000
0.604347675772
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF TURKEY
REPUBLIC OF TURKEY
Y
buy protection
2026-06-20
9126412.06000000
USD
0.00000000
USD
147494000.00000000
USD
9008423.62000000
N
N
N
EV CASH RESERVES FUND LLC
N/A
EV CASH RESERVES FUND LLC
000000000
243049262.38300000
NS
USD
243049262.38000000
8.099673987096
Long
STIV
US
N
2
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4RR3Q8 TRS COP R F .00000 NO INDEX+0BPS NONCOMPUNDING / Short: BEV4RR3Q8 TRS COP P V 00MDTF DTF RATE 90D NONCOMPUNDING
000000000
40075100000.00000000
OU
Notional Amount
87838.67000000
0.002927244392
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-17
0.00000000
COP
0.00000000
COP
40075100000.00000000
COP
87838.67000000
N
N
N
GEORGIA T-BOND
2138007T8RLEVDMLQ257
Georgia Treasury Bond
000000000
43335000.00000000
PA
14045057.85000000
0.468054865095
Long
DBT
NUSS
GE
N
2
2022-04-09
Fixed
9.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
269630.88000000
0.008985512663
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
115505342.00000000
ZAR
8140796.56000000
USD
2021-08-16
269630.88000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
352894.84000000
0.011760303766
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
35000000.00000000
AUD
26040217.00000000
USD
2021-08-24
352894.84000000
N
N
N
COOF 9896925010
N/A
COOF 9896925010
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-10-12
Fixed
2.48000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NTF1
2236879.35000000
PA
USD
462182.45000000
0.015402339142
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
6.51100000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
65523.42000000
0.002183583423
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
436476746.00000000
THB
13340666.44000000
USD
2021-10-18
65523.42000000
N
N
N
RMOF SD 2.27.2018
N/A
RMOF SD 2.27.2018
000000000
40559763.68000000
PA
USD
3528774.13000000
0.117597230072
Long
ABS-MBS
CORP
US
N
2
2040-08-15
Fixed
2.24000000
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
14924500000.00000000
OU
Notional Amount
96287.65000000
0.003208808643
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
14924500000.00000000
COP
96287.65000000
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
13200000.00000000
PA
3429592.23000000
0.114291969865
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
318538.33000000
0.010615364968
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4306750.02000000
USD
509790000.00000000
KES
2021-10-12
318538.33000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
11387.98000000
0.000379507119
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
47604000.00000000
SAR
12664006.38000000
USD
2023-03-13
11387.98000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-10645.72000000
-0.00035477112
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1692569.35000000
EUR
1998856.70000000
USD
2021-09-15
-10645.72000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-36487.89000000
-0.00121596753
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4087068.59000000
USD
467765000.00000000
KES
2022-06-06
-36487.89000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
6904.81000000
0.000230104421
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4155265.92000000
USD
3508478.00000000
EUR
2021-08-06
6904.81000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-192758.82000000
-0.00642373313
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
202930000.00000000
UAH
7302267.00000000
USD
2021-09-09
-192758.82000000
N
N
N
GEORGIA T-BOND
2138007T8RLEVDMLQ257
Georgia Treasury Bond
000000000
12110000.00000000
PA
3770259.65000000
0.125644791976
Long
DBT
NUSS
GE
N
2
2023-09-27
Fixed
7.37500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV3Y9W15 CDS USD R V 03MEVENT MOAGBN/XS0546428144 / Short: BEV3Y9W15 CDS USD P F 1.00000
000000000
9572000.00000000
OU
Notional Amount
USD
-99014.30000000
-0.00329967489
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Emirate of Dubai Government International Bonds
Emirate of Dubai Government International Bonds
Y
buy protection
2024-12-20
107846.89000000
USD
0.00000000
USD
9572000.00000000
USD
-206861.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3PR3U3 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3PR3U3 IRS USD P F 1.82450 CCP LCH.
000000000
1000000.00000000
OU
Notional Amount
USD
-41974.40000000
-0.00139880677
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-20
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
-41974.40000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-2199.59000000
-0.00007330185
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
383083.05000000
USD
2000000.00000000
BRL
2021-10-04
-2199.59000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
3921.84000000
0.000130696242
N/A
DFE
RU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
6765106.21000000
USD
495401963.00000000
RUB
2021-08-09
3921.84000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
275383.63000000
0.009177224413
N/A
DFE
ID
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
44015113.18000000
USD
643633000000.00000000
IDR
2021-09-30
275383.63000000
N
N
N
COOF 1620337005
N/A
COOF 1620337005
000000000
934083.08000000
PA
USD
146411.99000000
0.004879214095
Long
ABS-MBS
CORP
US
N
2
2042-12-15
Fixed
3.63000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-66926.35000000
-0.00223033639
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
5278414.68000000
USD
7482124.94000000
NZD
2021-09-28
-66926.35000000
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
1991430000.00000000
PA
22217011.92000000
0.740387161669
Long
DBT
NUSS
RS
N
2
2032-08-20
Fixed
4.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
75985.78000000
0.002532244038
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
10422686.24000000
EUR
3775640000.00000000
HUF
2021-10-29
75985.78000000
N
N
N
COOF 1597927006
N/A
COOF 1597927006
000000000
1805860.56000000
PA
USD
261813.37000000
0.008724992298
Long
ABS-MBS
CORP
US
N
2
2043-01-22
Fixed
2.88000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-193758.97000000
-0.00645706336
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
6518000.00000000
BHD
17011383.38000000
USD
2022-03-16
-193758.97000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
6803666000.00000000
PA
275067263.82000000
9.166681435886
Long
DBT
NUSS
UA
N
2
2025-02-26
Fixed
15.84000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4QXZB4 IRS ZAR R F 6.03070 2 CCPVANILLA / Short: SEV4QXZB4 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
444000000.00000000
OU
Notional Amount
425358.14000000
0.014175160327
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-30
0.00000000
ZAR
-27950.29000000
ZAR
444000000.00000000
ZAR
427316.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3UPDC0 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3UPDC0 IRS USD P F 1.93670 CCP LCH
000000000
1461710.00000000
OU
Notional Amount
USD
-100740.61000000
-0.00335720458
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-01-09
0.00000000
USD
0.00000000
USD
1461710.00000000
USD
-100740.61000000
N
N
N
INDONESIA GOVERNMENT
N/A
INDONESIA GOVERNMENT
000000000
626715000000.00000000
PA
45431149.94000000
1.514003785773
Long
ABS-MBS
CORP
ID
N
2
2040-04-15
Fixed
7.50000000
N
N
N
N
N
N
COOF 1264397004
N/A
COOF 1264397004
000000000
1343616.74000000
PA
USD
210603.97000000
0.007018426966
Long
ABS-MBS
CORP
US
N
2
2042-12-08
Fixed
3.63000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-129333.11000000
-0.00431005639
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
157394000.00000000
AED
42719147.54000000
USD
2022-02-22
-129333.11000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
212224.46000000
0.007072430178
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
110472534.00000000
ZAR
7733687.85000000
USD
2021-08-23
212224.46000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-44127.14000000
-0.00147054734
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5502777.41000000
USD
403098255.00000000
RUB
2021-09-30
-44127.14000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV3X9ZQ8 IRS EUR R F .00000 CCP LCH/BEV3X9ZQ8 / Short: BSV3X9ZQ8 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH/BEV3X9ZQ8
000000000
3970000.00000000
OU
Notional Amount
0.00000000
0.000000
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-18
0.00000000
EUR
0.00000000
EUR
3970000.00000000
EUR
-1.67000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-5884.77000000
-0.00019611134
N/A
DFE
PL
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
32930011.26000000
EUR
150473357.13000000
PLN
2021-08-05
-5884.77000000
N
N
N
Masan Group Corp
254900M1892CMJ87XD24
Masan Group Corp
000000000
224600.00000000
NS
1312159.77000000
0.043728033781
Long
EC
CORP
VN
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
396778.12000000
0.013222724421
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
12384606.14000000
EUR
15100397.81000000
USD
2021-09-15
396778.12000000
N
N
N
Grupo Kaltex SA de CV
4469000001BKEKA98385
Grupo Kaltex SA de CV
000000000
1779000.00000000
PA
USD
1606090.10000000
0.053523331346
Long
DBT
CORP
MX
Y
2
2022-04-11
Fixed
8.87500000
N
N
N
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
1076194000.00000000
PA
68633068.70000000
2.287213200157
Long
DBT
NUSS
EG
N
2
2026-04-06
Fixed
14.48300000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
3548.13000000
0.000118242269
N/A
DFE
UY
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
2594307.07000000
USD
117299000.00000000
UYU
2022-02-09
3548.13000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
335098.82000000
0.011167247202
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
57510260.00000000
NZD
40397507.03000000
USD
2021-09-07
335098.82000000
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
12167000.00000000
PA
USD
5900995.00000000
0.196652050006
Long
DBT
NUSS
AR
Y
2
2027-06-15
Fixed
7.87500000
N
Y
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
66745.29000000
0.002224302529
N/A
DFE
EG
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
12897479.26000000
USD
207425000.00000000
EGP
2021-10-19
66745.29000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-85526.18000000
-0.00285018011
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1848354.91000000
USD
9242366.00000000
BRL
2021-09-22
-85526.18000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
294632.49000000
0.009818697212
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
44211285.92000000
USD
37486570.11000000
EUR
2021-09-15
294632.49000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4RT1G8 TRS USD R E BEV4RT1H6 COMMODITYTRS / Short: BEV4RT1G8 TRS USD P F .26000 BEV4RT1J2 COMMODITYTRS
000000000
51700000.00000000
OU
Notional Amount
USD
1069920.62000000
0.035655356980
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 6 Month Forward
BCOMF6 Index
Y
equity-performance leg
2021-09-16
0.00000000
USD
0.00000000
USD
51700000.00000000
USD
1069920.62000000
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
SGX NIFTY 50 AUG21 XSIM 20210826
000000000
-522.00000000
NC
USD
97585.15000000
0.003252048137
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX Nifty 50 Index
IHQ1 Index
2021-08-26
-16604891.12000000
USD
97585.15000000
N
N
N
COOF 1960337001
N/A
COOF 1960337001
000000000
1648398.95000000
PA
USD
127523.34000000
0.004249745379
Long
ABS-MBS
CORP
US
N
2
2043-01-25
Fixed
2.13000000
N
N
N
N
N
N
SILKNET JSC
635400QGWS2BG73SGG55
Silknet JSC
000000000
3388000.00000000
PA
USD
3720125.64000000
0.123974064269
Long
DBT
CORP
GE
Y
2
2024-04-02
Fixed
11.00000000
N
N
N
N
N
N
Republic of Zambia
213800DMLAZ6LGMMD849
Zambia Government International Bond
000000000
7277000.00000000
PA
USD
4687661.48000000
0.156217424311
Long
DBT
NUSS
ZM
Y
2
2022-09-20
Fixed
5.37500000
N
Y
N
N
N
N
J.P. Morgan AG
549300ZK53CNGEEI6A29
BEV4D25N3 SWAPTIONS
000000000
319670000.00000000
NC
132160.59000000
0.004404282829
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
319670000.00000000
OU
Notional Amount
N/A
132160.59000000
0.00000000
DIR
ZA
N/A
N/A
2026-12-17
0.00000000
N/A
0.00000000
N/A
319670000.00000000
ZAR
1.00000000
5.73000000
ZAR
2021-12-15
XXXX
-345599.78000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-17315.38000000
-0.00057703912
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
164430000.00000000
UAH
6097339.39000000
USD
2021-08-13
-17315.38000000
N
N
N
Ho Chi Minh City Infrastructure Investment JSC
N/A
Ho Chi Minh City Infrastructure Investment JSC
000000000
1400400.00000000
NS
982592.62000000
0.032745130786
Long
EC
CORP
VN
N
2
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
79700000.00000000
OU
Notional Amount
USD
-401377.17000000
-0.01337598884
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-30
0.00000000
USD
0.00000000
USD
79700000.00000000
USD
-401377.17000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-38003.20000000
-0.00126646560
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
18000000.00000000
UAH
632911.39000000
USD
2021-08-04
-38003.20000000
N
N
N
Binh Minh Plastics JSC
N/A
Binh Minh Plastics JSC
000000000
73100.00000000
NS
179089.76000000
0.005968208486
Long
EC
CORP
VN
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
485765.52000000
0.016188250512
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
794360002.00000000
THB
24646602.61000000
USD
2021-10-08
485765.52000000
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
BB UK BRI BEV4J9DL7 REPO BEV4J9DL7
000000000
48411274.12000000
PA
USD
48411274.12000000
1.613317126874
Long
RA
CORP
US
N
2
Repurchase
N
-0.30000000
2021-08-16
48411274.12000000
USD
48411274.12000000
USD
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
8172200000.00000000
OU
Notional Amount
51156.75000000
0.001704810758
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-03-26
0.00000000
COP
0.00000000
COP
8172200000.00000000
COP
51156.75000000
N
N
N
COOF 1797557007
N/A
COOF 1797557007
000000000
2218864.85000000
PA
USD
336114.89000000
0.011201107975
Long
ABS-MBS
CORP
US
N
2
2043-02-27
Fixed
3.63000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
3532000.00000000
PA
USD
445137.96000000
0.014834327493
Long
DBT
NUSS
LB
Y
2
2035-11-02
None
0.00000000
Y
N
N
N
N
N
GEORGIA T-BOND
2138007T8RLEVDMLQ257
Georgia Treasury Bond
000000000
51500000.00000000
PA
15744758.84000000
0.524697801427
Long
DBT
NUSS
GE
N
2
2024-05-30
Fixed
7.00000000
N
N
N
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
000000000
9200000000.00000000
PA
884157.17000000
0.029464746200
Long
DBT
NUSS
UZ
Y
2
2023-11-25
Fixed
14.50000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
49612.73000000
0.001653355927
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
23625218.00000000
NZD
16508121.08000000
USD
2021-08-26
49612.73000000
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
22375000.00000000
OU
Notional Amount
USD
-974106.59000000
-0.03246233183
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-28
0.00000000
USD
0.00000000
USD
22375000.00000000
USD
-974106.59000000
N
N
N
PETROTAL CORP
21380047ER33PRH4XH56
PetroTal Corp
000000000
1265000.00000000
PA
USD
1321925.00000000
0.044053462374
Long
DBT
CORP
CA
Y
2
2024-02-16
Fixed
12.00000000
N
N
N
N
N
N
Reginn HF
9676000V0KP4AUXNSZ66
Reginn HF
000000000
8414968.00000000
NS
1764699.17000000
0.058809016009
Long
EC
CORP
IS
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
147252.45000000
0.004907222622
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2272745.79000000
USD
9038710000.00000000
UGX
2022-03-14
147252.45000000
N
N
N
COOF 1556307001
N/A
COOF 1556307001
000000000
1775905.72000000
PA
USD
175149.47000000
0.005836897393
Long
ABS-MBS
CORP
US
N
2
2043-01-08
Fixed
2.63000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-21710.80000000
-0.00072351753
N/A
DFE
KE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2026421.70000000
USD
231620000.00000000
KES
2022-06-08
-21710.80000000
N
N
N
Mobile World Investment Corp
254900ZRFNB8CRAHHO95
Mobile World Investment Corp
000000000
372000.00000000
NS
2845496.14000000
0.094826829918
Long
EC
CORP
VN
N
2
N
N
N
WOW AIR EHF
549300LW49V05P8Z2H93
Wow Air hf
000000000
121000.00000000
PA
0.00000000
0.000000
Long
DBT
CORP
IS
N
3
2099-12-31
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-14511.96000000
-0.00048361448
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
11350000.00000000
PLN
2469828.49000000
EUR
2021-09-10
-14511.96000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
89401.65000000
0.002979331069
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
59678362.00000000
ZAR
4136527.88000000
USD
2021-09-23
89401.65000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-85564.53000000
-0.00285145814
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
215000000.00000000
AED
58402155.07000000
USD
2023-03-01
-85564.53000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
105793.00000000
PA
USD
89638.41000000
0.002987221152
Long
SN
CORP
AR
Y
2
2026-02-12
Variable
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4L3437 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4L3437 IRS COP P F 4.12150 2 CCPNDFOIS
000000000
29849100000.00000000
OU
Notional Amount
170362.31000000
0.005677364157
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
29849100000.00000000
COP
170362.31000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4S8CF3 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4S8CF3 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
66792100000.00000000
OU
Notional Amount
69134.48000000
0.002303922849
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-29
0.00000000
COP
0.00000000
COP
66792100000.00000000
COP
69134.48000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-471498.33000000
-0.01571279304
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
17198338.35000000
EUR
6041040000.00000000
HUF
2021-09-30
-471498.33000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
7119000.00000000
PA
8552709.26000000
0.285021053074
Long
DBT
NUSS
CI
Y
2
2032-01-30
Fixed
4.87500000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
1243535.53000000
0.041441114800
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
47823711.00000000
NZD
34561717.70000000
USD
2021-08-11
1243535.53000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-36976.01000000
-0.00123223425
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6377799.91000000
USD
466662344.00000000
RUB
2021-09-16
-36976.01000000
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
7400000.00000000
OU
Notional Amount
USD
-220605.84000000
-0.00735174164
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-03
0.00000000
USD
0.00000000
USD
7400000.00000000
USD
-220605.84000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-343664.38000000
-0.01145269650
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
95903000.00000000
SAR
25194535.66000000
USD
2022-03-14
-343664.38000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV4PXU46 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: BEV4PXU46 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
61170000.00000000
OU
Notional Amount
USD
-16678.61000000
-0.00055581861
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SAUDI INTERNATIONAL BOND
SAUDI INTERNATIONAL BOND
Y
buy protection
2031-06-20
135491.72000000
USD
0.00000000
USD
61170000.00000000
USD
-152170.33000000
N
N
N
Nomura International PLC
DGQCSV2PHVF7I2743539
BB QATAR (STATE OF) REPO BEV4SG357
000000000
20305521.60000000
PA
USD
20305521.60000000
0.676686295969
Long
RA
CORP
US
N
2
Repurchase
N
-0.25000000
2022-07-27
20305521.60000000
USD
20305380.59000000
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
2978000.00000000
OU
Notional Amount
USD
-94101.52000000
-0.00313595534
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-30
0.00000000
USD
0.00000000
USD
2978000.00000000
USD
-94101.52000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
328974000.00000000
PA
11725965.02000000
0.390770549624
Long
DBT
NUSS
UA
N
2
2023-08-23
Fixed
10.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-271552.42000000
-0.00904954843
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
10743156.15000000
EUR
3775650000.00000000
HUF
2021-08-30
-271552.42000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4P5X02 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4P5X02 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
68623300000.00000000
OU
Notional Amount
-220097.12000000
-0.00733478842
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-12
0.00000000
COP
0.00000000
COP
68623300000.00000000
COP
-220097.12000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
622476.08000000
0.020744162164
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
397144621.00000000
THB
12703140.12000000
USD
2021-09-10
622476.08000000
N
N
N
BENIN INTL GOV BOND
635400Q11P6AE5A5Y230
Benin Government International Bond
000000000
30780000.00000000
PA
37646808.48000000
1.254588770839
Long
DBT
NUSS
BJ
Y
2
2052-01-19
Fixed
6.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV4M3R98 IRS EUR R F .47080 2 CCPVANILLA / Short: BSV4M3R98 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
10000000.00000000
OU
Notional Amount
0.00000000
0.000000
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-05-04
0.00000000
EUR
0.00000000
EUR
10000000.00000000
EUR
-44.52000000
N
N
N
Eimskipafelag Islands hf
549300IUR8Q7Y44KBL02
Eimskipafelag Islands Hf
000000000
1546259.00000000
NS
4786450.13000000
0.159509579370
Long
EC
CORP
IS
N
2
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-80548.74000000
-0.00268430575
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
14600000.00000000
EUR
17239694.60000000
USD
2021-08-06
-80548.74000000
N
N
N
COOF 1595387006
N/A
COOF 1595387006
000000000
2359393.90000000
PA
USD
323977.12000000
0.010796613927
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Fixed
3.13000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AU4
18232763.00000000
PA
USD
15448620.09000000
0.514828907745
Long
SN
CORP
AR
N
2
2026-02-12
Variable
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X2QW0 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3X2QW0 / Short: BEV3X2QW0 IRS EUR P F .38670 CCP LCH/BSV3X2QW0
000000000
872000.00000000
OU
Notional Amount
-34427.53000000
-0.00114730555
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-13
0.00000000
EUR
0.00000000
EUR
872000.00000000
EUR
-34427.53000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3YTZE0 IRS EUR R F .61750 CCP LCH / Short: SEV3YTZE0 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH
000000000
56810000.00000000
OU
Notional Amount
-5063537.57000000
-0.16874358365
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-03-15
0.00000000
EUR
0.00000000
EUR
56810000.00000000
EUR
-5063537.57000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3MQGR1 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3MQGR1 / Short: BEV3MQGR1 IRS EUR P F .11300 CCP LCH/BSV3MQGR1
000000000
5493000.00000000
OU
Notional Amount
-162409.10000000
-0.00541232155
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-07-23
0.00000000
EUR
-45108.87000000
EUR
5493000.00000000
EUR
-112851.43000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-463005.73000000
-0.01542977514
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6631161.49000000
USD
23968930000.00000000
COP
2021-09-10
-463005.73000000
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
10400000.00000000
OU
Notional Amount
-114431.80000000
-0.00381346672
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-08-06
0.00000000
EUR
0.00000000
EUR
10400000.00000000
EUR
-114448.18000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
101616.25000000
0.003386385495
N/A
DFE
KE
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
3022208.90000000
USD
352994000.00000000
KES
2022-02-23
101616.25000000
N
N
N
COOF 1039197007
N/A
COOF 1039197007
000000000
571430.75000000
PA
USD
59979.52000000
0.001998831648
Long
ABS-MBS
CORP
US
N
2
2042-11-10
Fixed
2.63000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
-56906.97000000
-0.00189643819
N/A
DFE
UG
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4841513.80000000
USD
18421960000.00000000
UGX
2022-07-05
-56906.97000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-617408.53000000
-0.02057528486
N/A
DFE
KR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
20870465.74000000
USD
23329006606.00000000
KRW
2021-08-18
-617408.53000000
N
N
N
COOF 1051957002
N/A
COOF 1051957002
000000000
1492189.17000000
PA
USD
149940.61000000
0.004996806188
Long
ABS-MBS
CORP
US
N
2
2042-11-07
Fixed
2.88000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
-81800.00000000
NS
USD
-4709226.00000000
-0.15693606702
Short
EC
CORP
US
N
1
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-35808.22000000
-0.00119331737
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6376632.12000000
USD
466662344.00000000
RUB
2021-09-16
-35808.22000000
N
N
N
REPUBLIC OF SURINAME INT
254900SYU4G5JM13TN77
Suriname Government International Bond
000000000
2634000.00000000
PA
USD
1685760.00000000
0.056178349552
Long
DBT
NUSS
SR
Y
2
2023-12-30
Fixed
12.87500000
N
Y
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
129615700000.00000000
OU
Notional Amount
635136.98000000
0.021166089642
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-30
0.00000000
COP
0.00000000
COP
129615700000.00000000
COP
635136.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4N7469 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV4N7469 IRS EUR P F .46330 2 CCPVANILLA
000000000
4750000.00000000
OU
Notional Amount
-3300.79000000
-0.00010999960
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-05-25
0.00000000
EUR
0.00000000
EUR
4750000.00000000
EUR
-3282.57000000
N
N
N
COOF 1603467007
N/A
COOF 1603467007
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-12-11
Fixed
3.13000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-45616.58000000
-0.00152018328
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
15178444.99000000
USD
21722282.63000000
NZD
2021-08-26
-45616.58000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2294371.31000000
0.076460464987
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
71614042.10000000
EUR
87318119.96000000
USD
2021-09-15
2294371.31000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
40514000.00000000
PA
USD
42455836.02000000
1.414850747721
Long
DBT
NUSS
EG
Y
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-105152.00000000
-0.00350421519
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
123212500.00000000
AED
33420809.94000000
USD
2022-12-12
-105152.00000000
N
N
N
Royal Dutch Shell PLC
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC
780259206
47200.00000000
NS
USD
1917264.00000000
0.063893274948
Long
EC
CORP
GB
N
1
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
25880700000.00000000
OU
Notional Amount
111790.21000000
0.003725435111
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
25880700000.00000000
COP
111790.21000000
N
N
N
COOF 1619327005
N/A
COOF 1619327005
000000000
3279741.57000000
PA
USD
213218.25000000
0.007105548464
Long
ABS-MBS
CORP
US
N
2
2042-12-28
Fixed
1.88000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
N/A
Braskem Netherlands Finance BV
N15516AE2
5117000.00000000
PA
USD
5740634.38000000
0.191307994526
Long
DBT
CORP
NL
Y
2
2050-01-31
Fixed
5.87500000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
139865.95000000
0.004661065768
N/A
DFE
HU
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
6877852.80000000
EUR
2509587489.00000000
HUF
2021-08-02
139865.95000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
3485722.50000000
PA
USD
1812610.56000000
0.060405674379
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
2864000.00000000
PA
USD
304328.64000000
0.010141823697
Long
DBT
CORP
MX
Y
2
2022-12-19
None
0.00000000
Y
N
N
N
N
N
GEORGIA T-BILL
2138007T8RLEVDMLQ257
Georgia Treasury Bills
000000000
11196000.00000000
PA
3512469.74000000
0.117053882430
Long
STIV
NUSS
GE
N
2
2021-11-11
None
0.00000000
N
N
N
N
N
N
SERBIA TREASURY BONDS
254900W94OCY91V32O78
Serbia Treasury Bonds
000000000
10224100000.00000000
PA
124754950.96000000
4.157488161689
Long
DBT
NUSS
RS
N
2
2028-02-08
Fixed
5.87500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
736000.00000000
PA
USD
762523.97000000
0.025411291126
Long
DBT
NUSS
EG
Y
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
62495.22000000
0.002082667944
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9475501.80000000
USD
8040000.00000000
EUR
2021-08-06
62495.22000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796C64
30000000.00000000
PA
USD
29999937.60000000
0.999754995402
Long
STIV
UST
US
N
2
2021-08-05
None
0.00000000
N
N
N
N
N
N
Desarrolladora Energetica S.A.
254900ANMVXQHUS4SU54
Desarrolladora Energetica S.A. Term Loan
000000000
2607143.00000000
PA
USD
861778.08000000
0.028718957749
Long
LON
CORP
AR
N
3
2020-07-18
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-13746.45000000
-0.00045810368
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
8207833.04000000
USD
599697113.00000000
RUB
2021-08-09
-13746.45000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
199642.90000000
0.006653146724
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5448849.10000000
USD
639150000.00000000
KES
2022-03-02
199642.90000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
26289.34000000
0.000876098455
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
7371239.29000000
USD
6235704.42000000
EUR
2021-08-06
26289.34000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-148480.20000000
-0.00494813768
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
159291500.00000000
AED
43217149.96000000
USD
2022-02-03
-148480.20000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RJD4S9 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RJD4S9 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
47234000.00000000
OU
Notional Amount
USD
-981287.29000000
-0.03270163035
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SAUDI INTERNATIONAL BOND
SAUDI INTERNATIONAL BOND
Y
buy protection
2026-06-20
0.00000000
USD
-675789.73000000
USD
47234000.00000000
USD
-305497.56000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-10826.92000000
-0.00036080966
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2272992.35000000
EUR
814940492.00000000
HUF
2021-10-25
-10826.92000000
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
1730000.00000000
OU
Notional Amount
USD
-40274.45000000
-0.00134215554
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
-464.65000000
USD
1730000.00000000
USD
-39809.80000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-169328.30000000
-0.00564290553
N/A
DFE
PL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
6468231.13000000
EUR
28925852.00000000
PLN
2021-09-10
-169328.30000000
N
N
N
UNITED KINGDOM I/L GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Inflation-Linked Gilt
000000000
810654.00000000
PA
2451216.93000000
0.081687382262
Long
DBT
NUSS
GB
Y
2
2052-03-22
Fixed
0.25000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-37109.12000000
-0.00123667017
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5900000.00000000
EUR
6967664.00000000
USD
2021-09-15
-37109.12000000
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
6983000.00000000
PA
USD
3421670.00000000
0.114027959682
Long
DBT
NUSS
AR
Y
2
2024-03-16
Fixed
9.12500000
N
Y
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-37660.76000000
-0.00125505370
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3530653.46000000
EUR
16000000.00000000
PLN
2021-09-10
-37660.76000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
4719.94000000
0.000157293113
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
634473.21000000
USD
538804.21000000
EUR
2021-08-06
4719.94000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
8543.68000000
0.000284720150
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1031100.60000000
USD
876362.20000000
EUR
2021-08-06
8543.68000000
N
N
N
Nomura Asset Management U.S.A. Inc.
549300ZN36E1MEF7S595
Long: BEV4JZ025 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4JZ025 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
3500000.00000000
OU
Notional Amount
USD
-21129.85000000
-0.00070415723
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
2026-06-20
0.00000000
USD
-8152.05000000
USD
3500000.00000000
USD
-12977.80000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-12468.37000000
-0.00041551137
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2481621.72000000
EUR
11300000.00000000
PLN
2021-09-10
-12468.37000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-4952.48000000
-0.00016504256
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1273271.79000000
EUR
5800000.00000000
PLN
2021-08-05
-4952.48000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-278169.36000000
-0.00927005952
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
158986000.00000000
UAH
5615895.44000000
USD
2021-08-25
-278169.36000000
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
17793000000.00000000
OU
Notional Amount
86464.90000000
0.002881463183
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
17793000000.00000000
COP
86464.90000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
13337.75000000
0.000444483664
N/A
DFE
UY
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
1050705.36000000
USD
46940262.00000000
UYU
2021-10-13
13337.75000000
N
N
N
Eik fasteignafelag hf
2138005WRSDC4DI3BJ43
Eik fasteignafelag hf
000000000
18588405.00000000
NS
1600044.54000000
0.053321861633
Long
EC
CORP
IS
N
2
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4RV918 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4RV918 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
69263330000.00000000
OU
Notional Amount
265765.43000000
0.008856695630
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-15
0.00000000
COP
0.00000000
COP
69263330000.00000000
COP
265765.43000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
19266.27000000
0.000642052991
N/A
DFE
XX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3627157.75000000
USD
3073732.26000000
EUR
2021-08-06
19266.27000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
56809.69000000
0.001893196316
N/A
DFE
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4415874.79000000
USD
71100000.00000000
EGP
2021-09-23
56809.69000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
26535.67000000
0.000884307460
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9000000.00000000
PLN
1990500.49000000
EUR
2021-09-10
26535.67000000
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
39947751.00000000
OU
Notional Amount
USD
-210464.73000000
-0.00701378676
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-03
0.00000000
USD
0.00000000
USD
39947751.00000000
USD
-210464.73000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV42SWS7 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV42SWS7 IRS EUR P F .12420 2 CCPVANILLA
000000000
6247000.00000000
OU
Notional Amount
304567.12000000
0.010149771100
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-08
0.00000000
EUR
0.00000000
EUR
6247000.00000000
EUR
304554.68000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED UZS / SOLD USD
000000000
1.00000000
NC
8388.88000000
0.000279561404
N/A
DFE
UZ
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
844341.78000000
USD
9098627000.00000000
UZS
2021-08-11
8388.88000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-139745.60000000
-0.00465705507
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
148012500.00000000
AED
40155317.42000000
USD
2022-01-31
-139745.60000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F4ZS4
13839475.00000000
PA
USD
1443150.01000000
0.048093314421
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1743542.61000000
0.058103968657
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
54421066.46000000
EUR
66354936.41000000
USD
2021-09-15
1743542.61000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2127323.79000000
0.070893566988
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
66400000.00000000
EUR
80960702.62000000
USD
2021-09-15
2127323.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3UPPV5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3UPPV5 IRS USD P F 1.94470 CCP LCH
000000000
1561000.00000000
OU
Notional Amount
USD
-110564.07000000
-0.00368457370
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-01-09
0.00000000
USD
0.00000000
USD
1561000.00000000
USD
-110564.07000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP21
000000000
-1290.00000000
NC
USD
-2872334.72000000
-0.09572123192
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYU1 Comdty
2021-09-21
-170572196.53000000
USD
-2872334.72000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4M3R98 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV4M3R98 IRS EUR P F .47080 2FIXES RATE -.47080
000000000
10000000.00000000
OU
Notional Amount
-5593.16000000
-0.00018639337
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-05-04
0.00000000
EUR
0.00000000
EUR
10000000.00000000
EUR
-5593.16000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND SEP21
000000000
-471.00000000
NC
-8392440.44000000
-0.27968005685
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Buxl (FGBX)
UBU1 Comdty
2021-09-08
-94209071.46000000
EUR
-8392440.44000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-174550.42000000
-0.00581693391
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
199600000.00000000
UAH
7185025.20000000
USD
2021-09-16
-174550.42000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-238738.44000000
-0.00795601481
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
97103000.00000000
SAR
25617464.71000000
USD
2022-03-24
-238738.44000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
177370.28000000
0.005910906410
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
74842309.00000000
ZAR
5262564.18000000
USD
2021-09-08
177370.28000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-35968.57000000
-0.00119866107
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
260000000.00000000
CNY
39927019.55000000
USD
2021-10-20
-35968.57000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
-58784.78000000
-0.00195901665
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4597439.28000000
USD
17415100000.00000000
UGX
2022-06-23
-58784.78000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-26497.60000000
-0.00088303876
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
11732660.62000000
USD
863200000.00000000
RUB
2021-09-24
-26497.60000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
17076.46000000
0.000569077056
N/A
DFE
PL
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
16399350.02000000
EUR
75013742.87000000
PLN
2021-08-05
17076.46000000
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
85296.21000000
0.002842516313
N/A
DFE
EG
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
10445621.69000000
USD
167600000.00000000
EGP
2021-09-28
85296.21000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
4223000.00000000
PA
USD
532752.57000000
0.017754105034
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
7800000.00000000
PA
USD
985374.00000000
0.032837820930
Long
DBT
NUSS
LB
Y
2
2025-06-12
None
0.00000000
Y
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4J92M7 IRS ZAR R F 5.82000 2 CCPVANILLA / Short: SEV4J92M7 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
419363000.00000000
OU
Notional Amount
266769.40000000
0.008890153167
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-11
0.00000000
ZAR
-23029.93000000
ZAR
419363000.00000000
ZAR
268318.00000000
N
N
N
REPUBLIC OF SURINAME INT
254900SYU4G5JM13TN77
Suriname Government International Bond
000000000
77993000.00000000
PA
USD
49681541.00000000
1.655649070217
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
700000.00000000
OU
Notional Amount
USD
-6393.52000000
-0.00021306556
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-05
0.00000000
USD
0.00000000
USD
700000.00000000
USD
-6393.52000000
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
17964000.00000000
OU
Notional Amount
USD
4228.91000000
0.000140929423
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
158738.40000000
USD
0.00000000
USD
17964000.00000000
USD
-154509.49000000
N
N
N
REPUBLIC OF BELARUS
635400CVCOWYLHF4ZB08
Republic of Belarus International Bond
000000000
14016000.00000000
PA
USD
13087510.08000000
0.436144359842
Long
DBT
NUSS
BY
Y
2
2026-02-24
Fixed
5.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV2NG5L9 CDS USD R V 03MEVENT 7BB99WAC2 XS0113419690 CCP ICE / Short: BEV2NG5L9 CDS USD P F 1.00000 CCP ICE
000000000
23815000.00000000
OU
Notional Amount
USD
-612800.20000000
-0.02042171118
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2027-12-20
676158.88000000
USD
0.00000000
USD
23815000.00000000
USD
-1288959.08000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-135611.51000000
-0.00451928555
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
12930065.21000000
EUR
4600000000.00000000
HUF
2021-08-18
-135611.51000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4S7WC0 TRS USD R E BEV4S7WD8 COMMODITYTRS / Short: BEV4S7WC0 TRS USD P F .25000 BEV4S7WE6 COMMODITYTRS
000000000
165000000.00000000
OU
Notional Amount
USD
1666151.51000000
0.055524891999
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 5 Month Forward
BCOMF5 Index
Y
equity-performance leg
2021-09-22
0.00000000
USD
0.00000000
USD
165000000.00000000
USD
1666151.51000000
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
33046422.00000000
OU
Notional Amount
USD
-179977.42000000
-0.00599778996
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-07-15
0.00000000
USD
0.00000000
USD
33046422.00000000
USD
-179977.42000000
N
N
N
SUSSEX CAPITAL LTD
N/A
SUSSEX CAPITAL LTD
000000000
7500.00000000
NS
USD
7545492.75000000
0.251455325346
Long
STIV
CORP
US
N
3
N
N
N
COOF 1663777008
N/A
COOF 1663777008
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-12-21
Fixed
2.63000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
262570.92000000
0.008750237831
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5449872.99000000
USD
643630000.00000000
KES
2022-02-08
262570.92000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-719836.28000000
-0.02398871378
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
9293625.00000000
OMR
23292293.23000000
USD
2022-08-29
-719836.28000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-307970.12000000
-0.01026317687
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
12505431.68000000
EUR
55996897.00000000
PLN
2021-09-08
-307970.12000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4RT129 TRS USD R E BEV4RT137 COMMODITYTRS / Short: BEV4RT129 TRS USD P F .25000 BEV4RT145 COMMODITYTRS
000000000
56400000.00000000
OU
Notional Amount
USD
1175088.55000000
0.039160103049
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index 5 Month Forward
BCOMF5 Index
Y
equity-performance leg
2021-09-16
0.00000000
USD
0.00000000
USD
56400000.00000000
USD
1175088.55000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-190556.44000000
-0.00635033830
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4333473.45000000
USD
16107370000.00000000
COP
2021-09-20
-190556.44000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-380384.48000000
-0.01267640250
N/A
DFE
SE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
11429666.92000000
USD
95100000.00000000
SEK
2021-08-25
-380384.48000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92DT3SZ9 CDS USD R V 03MEVENT 7BB99WAC2 XS0113419690 ICE90 / Short: B92DT3SZ9 CDS USD P F 1.00000 Z92DT3SZ9/CCP ICE
000000000
52166501.00000000
OU
Notional Amount
USD
-624662.03000000
-0.02081700946
N/A
DCR
QA
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2022-12-20
5270.89000000
USD
0.00000000
USD
52166501.00000000
USD
-629932.92000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
-110485.58000000
-0.00368195800
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9399858.08000000
USD
35766460000.00000000
UGX
2022-07-05
-110485.58000000
N
N
N
REPUBLIC OF SURINAME INT
254900SYU4G5JM13TN77
Suriname Government International Bond
86886PAA0
200000.00000000
PA
USD
127400.00000000
0.004245635044
Long
DBT
NUSS
SR
N
2
2026-10-26
Fixed
9.25000000
N
Y
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-184090.10000000
-0.00613484599
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
8900000.00000000
OMR
22725930.41000000
USD
2023-03-15
-184090.10000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-809754.69000000
-0.02698526600
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
230838000.00000000
SAR
60660554.06000000
USD
2022-03-14
-809754.69000000
N
N
N
COOF 1598997007
N/A
COOF 1598997007
000000000
282604.59000000
PA
USD
42932.20000000
0.001430725689
Long
ABS-MBS
CORP
US
N
2
2042-12-18
Fixed
3.63000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED OMR / SOLD USD
000000000
1.00000000
NC
580911.34000000
0.019359007401
N/A
DFE
OM
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
18796992.48000000
USD
7500000.00000000
OMR
2022-08-29
580911.34000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
33740.72000000
0.001124417451
N/A
DFE
XX
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
5014441.13000000
USD
4255336.00000000
EUR
2021-08-06
33740.72000000
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
39940000.00000000
OU
Notional Amount
USD
-1700621.24000000
-0.05667360388
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-26
0.00000000
USD
0.00000000
USD
39940000.00000000
USD
-1700621.24000000
N
N
N
COOF 1144147005
N/A
COOF 1144147005
000000000
2117005.96000000
PA
USD
296401.41000000
0.009877646888
Long
ABS-MBS
CORP
US
N
2
2042-10-27
Fixed
3.63000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
19185000.00000000
PA
24254251.64000000
0.808278655780
Long
DBT
NUSS
CI
Y
2
2048-03-22
Fixed
6.62500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-257026.55000000
-0.00856547039
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
12235702.92000000
EUR
4315027087.00000000
HUF
2021-08-24
-257026.55000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
21980000.00000000
PA
733298.19000000
0.024437335115
Long
DBT
NUSS
UA
N
2
2027-05-26
Fixed
9.79000000
N
N
N
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-487655.59000000
-0.01625123754
N/A
DFE
MY
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
27984182.14000000
USD
116764000.00000000
MYR
2021-10-04
-487655.59000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4S21Y7 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4S21Y7 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
66790000000.00000000
OU
Notional Amount
133907.23000000
0.004462490019
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-22
0.00000000
COP
0.00000000
COP
66790000000.00000000
COP
133907.23000000
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
30400000.00000000
OU
Notional Amount
82376.39000000
0.002745212623
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-25
0.00000000
EUR
0.00000000
EUR
30400000.00000000
EUR
82384.30000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-179045.38000000
-0.00596672951
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
4399199.63000000
USD
17137962.00000000
PEN
2021-10-12
-179045.38000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1653.14000000
0.000055091280
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
619804.65000000
USD
523854.29000000
EUR
2021-08-06
1653.14000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
73155.68000000
0.002437930288
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2696321.64000000
USD
315200000.00000000
KES
2022-04-01
73155.68000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV2T5586 CDS USD R V 03MEVENT 8B9825AD0 CCP ICE / Short: BEV2T5586 CDS USD P F 1.00000 CCP ICE
000000000
41600000.00000000
OU
Notional Amount
USD
3387257.95000000
0.112881170000
N/A
DCR
ZA
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2027-12-20
3660426.27000000
USD
0.00000000
USD
41600000.00000000
USD
-273168.32000000
N
N
N
COOF 1094947010
N/A
COOF 1094947010
000000000
132558.03000000
PA
USD
16206.08000000
0.000540071437
Long
ABS-MBS
CORP
US
N
2
2042-10-27
Fixed
2.88000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-26726.07000000
-0.00089065258
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3433969.18000000
EUR
15600000.00000000
PLN
2021-09-10
-26726.07000000
N
N
N
COOF 9796515008
N/A
COOF 9796515008
000000000
2998347.80000000
PA
USD
419388.72000000
0.013976227998
Long
ABS-MBS
CORP
US
N
2
2042-11-22
Fixed
3.63000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
558.32000000
0.000018606145
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1000400.00000000
PHP
20571.66000000
USD
2021-08-04
558.32000000
N
N
N
J.P. Morgan Securities PLC
K6Q0W1PS1L1O4IQL9C32
BB UK BRI BEV4J9DL7 REPO BEV4J9DL7
000000000
6838035.23000000
PA
USD
6838035.23000000
0.227879136652
Long
RA
CORP
US
N
2
Repurchase
N
-0.10000000
2022-07-27
6838035.23000000
USD
6838016.24000000
USD
CDS
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-4379.64000000
-0.00014595253
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2396843.04000000
EUR
861476922.00000000
HUF
2021-10-25
-4379.64000000
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
BRENT CRUDE FUTR OCT21
000000000
216.00000000
NC
USD
303109.13000000
0.010101183239
N/A
DCO
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Long
Brent Crude Oil
COV1 Comdty
2021-08-31
15985450.87000000
USD
303109.13000000
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
20810000.00000000
OU
Notional Amount
USD
97415.77000000
0.003246403508
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-03-20
0.00000000
USD
0.00000000
USD
20810000.00000000
USD
97415.77000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-638484.46000000
-0.02127764520
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
12768360.80000000
USD
49267997.00000000
PEN
2021-09-09
-638484.46000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
11020000.00000000
PA
USD
1377775.50000000
0.045914693458
Long
DBT
NUSS
LB
N
2
2023-05-26
None
0.00000000
Y
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-862664.58000000
-0.02874850057
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
16897700.00000000
OMR
43018584.52000000
USD
2021-08-23
-862664.58000000
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
3674498864.00000000
OU
Notional Amount
3504575.56000000
0.116790807020
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
3674498864.00000000
BRL
3504575.56000000
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
17300.00000000
NS
USD
1761313.00000000
0.058696171095
Long
EC
CORP
US
N
1
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
80447.40000000
0.002680928576
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
15104924.45000000
USD
12790377.70000000
EUR
2021-09-15
80447.40000000
N
N
N
COOF 1097207006
N/A
COOF 1097207006
000000000
2711950.11000000
PA
USD
386295.13000000
0.012873376307
Long
ABS-MBS
CORP
US
N
2
2043-01-26
Fixed
3.63000000
N
N
N
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
11108000.00000000
PA
USD
1389955.15000000
0.046320583166
Long
DBT
NUSS
LB
Y
2
2024-11-04
None
0.00000000
Y
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV2LJ6X8 CDS USD R V 03MEVENT BOA OMAN XOMR00000 / Short: BEV2LJ6X8 CDS USD P F 1.00000
000000000
14372000.00000000
OU
Notional Amount
USD
104477.97000000
0.003481752989
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
iTraxx Europe Senior Financials S28.V1
2I667DBL7
Y
buy protection
2022-12-20
214590.39000000
USD
0.00000000
USD
14372000.00000000
USD
-110112.42000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4PU961 TRS COP R V 00MDTF DTF RATE 90D NONCOMPOUNDING / Short: BEV4PU961 TRS COP P F .00000 NO INDEX+0BPS COLOMBIA TRS
000000000
69263340000.00000000
OU
Notional Amount
49045.16000000
0.001634441523
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-16
0.00000000
COP
0.00000000
COP
69263340000.00000000
COP
49045.16000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-6314.32000000
-0.00021042620
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2398471.29000000
EUR
861476922.00000000
HUF
2021-10-25
-6314.32000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-31462.97000000
-0.00104851089
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4031551.27000000
USD
460000000.00000000
KES
2022-05-20
-31462.97000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-5044.94000000
-0.00016812381
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7419402.86000000
EUR
2669776568.00000000
HUF
2021-10-29
-5044.94000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
760000.00000000
PA
USD
593757.60000000
0.019787112045
Long
DBT
CORP
AR
Y
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-6497.20000000
-0.00021652072
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
35000000.00000000
AED
9511644.97000000
USD
2023-06-21
-6497.20000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
407970.57000000
0.013595715456
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
12733955.20000000
EUR
15526354.82000000
USD
2021-09-15
407970.57000000
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
59130000.00000000
OU
Notional Amount
USD
-89942.64000000
-0.00299735968
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-20
0.00000000
USD
0.00000000
USD
59130000.00000000
USD
-89942.64000000
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
9000000.00000000
OU
Notional Amount
USD
-326338.20000000
-0.01087529747
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-23
0.00000000
USD
0.00000000
USD
9000000.00000000
USD
-326338.20000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
205720.17000000
0.006855673180
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
51293286.00000000
ZAR
3687754.95000000
USD
2021-09-15
205720.17000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-81166.93000000
-0.00270490708
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4816500.00000000
BHD
12633111.26000000
USD
2022-03-14
-81166.93000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
197882.47000000
0.006594479979
N/A
DFE
KE
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
6044387.32000000
USD
705380000.00000000
KES
2022-02-23
197882.47000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RH4PM1 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RH4PM1 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
9690000.00000000
OU
Notional Amount
USD
-21883.51000000
-0.00072927313
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
UNITED MEXICAN STATES
UNITED MEXICAN STATES
Y
buy protection
2026-06-20
13674.95000000
USD
0.00000000
USD
9690000.00000000
USD
-35558.46000000
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
14514285.70000000
PA
USD
14876431.64000000
0.495760592710
Long
LON
CORP
TZ
N
2
2022-06-23
Floating
5.36400000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
137927.58000000
0.004596469130
N/A
DFE
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
14304384.35000000
USD
229850000.00000000
EGP
2021-09-28
137927.58000000
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
4670000.00000000
PA
USD
2253321.70000000
0.075092477053
Long
DBT
NUSS
AR
Y
2
2023-02-15
Fixed
6.50000000
N
Y
N
N
N
N
Landsbankinn HF
549300TLZPT6JELDWM92
Landsbankinn HF
000000000
1020000000.00000000
PA
8657842.42000000
0.288524640424
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
5590000.00000000
OU
Notional Amount
USD
-200910.19000000
-0.00669537946
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-23
0.00000000
USD
0.00000000
USD
5590000.00000000
USD
-200910.19000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) SEP21
000000000
-123.00000000
NC
USD
-1019054.41000000
-0.03396022853
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USU1 Comdty
2021-09-21
-19241351.84000000
USD
-1019054.41000000
N
N
N
COOF 1262037008
N/A
COOF 1262037008
000000000
1192168.08000000
PA
USD
75786.46000000
0.002525601652
Long
ABS-MBS
CORP
US
N
2
2042-11-20
Fixed
1.63000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S92RGQAG2 CDS USD R F 1.00000 2 CCPSOVEREIGN / Short: S92RGQAG2 CDS USD P V 03MEVENT 1 CCPSOVEREIGN
000000000
62704990.00000000
OU
Notional Amount
USD
-75770.83000000
-0.00252508077
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF PERU
REPUBLIC OF PERU
Y
sell protection
2026-06-20
325154.90000000
USD
0.00000000
USD
62704990.00000000
USD
-400925.73000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-440771.79000000
-0.01468882384
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
18372554.26000000
EUR
6472540630.00000000
HUF
2021-09-30
-440771.79000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
6120.54000000
0.000203968438
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
894955.63000000
USD
759557.00000000
EUR
2021-08-06
6120.54000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4F8JX1 SYNTHSWAPTIONS
000000000
348448000.00000000
NC
145532.53000000
0.004849905883
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
348448000.00000000
OU
Notional Amount
N/A
145532.53000000
0.00000000
DIR
US
N/A
N/A
2027-01-27
0.00000000
N/A
0.00000000
N/A
348448000.00000000
ZAR
1.00000000
5.74000000
ZAR
2022-01-27
XXXX
-372461.55000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-61618.54000000
-0.00205345237
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
11016533.73000000
USD
802300000.00000000
RUB
2021-08-16
-61618.54000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4S10G9 IRS MYR R F 2.50400 2 NDF / Short: BEV4S10G9 IRS MYR P V 03MKLIBO 1 NDF
000000000
54200000.00000000
OU
Notional Amount
-5285.15000000
-0.00017612887
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2026-07-19
0.00000000
MYR
0.00000000
MYR
54200000.00000000
MYR
-5285.15000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
365649.82000000
0.012185366482
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1766549715.60000000
THB
54108971.93000000
USD
2021-08-16
365649.82000000
N
N
N
WOW AIR EHF
549300LW49V05P8Z2H93
Wow Air hf
000000000
5500000.00000000
PA
0.07000000
0.000000002332
Long
DBT
CORP
IS
N
3
2023-09-24
None
0.00000000
Y
N
N
N
N
N
COOF 1577317003
N/A
COOF 1577317003
000000000
2143570.19000000
PA
USD
293871.91000000
0.009793350704
Long
ABS-MBS
CORP
US
N
2
2043-01-02
Fixed
3.13000000
N
N
N
N
N
N
COOF 1998837004
N/A
COOF 1998837004
000000000
1584723.72000000
PA
USD
154918.68000000
0.005162701545
Long
ABS-MBS
CORP
US
N
2
2043-02-01
Fixed
2.63000000
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
39960000.00000000
OU
Notional Amount
USD
1907162.93000000
0.063556654408
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-27
0.00000000
USD
0.00000000
USD
39960000.00000000
USD
1907162.93000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-187472.56000000
-0.00624756727
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9636500.00000000
BHD
25249372.22000000
USD
2022-03-16
-187472.56000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
44180.74000000
0.001472333579
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
8494770.67000000
USD
7197860.22000000
EUR
2021-08-06
44180.74000000
N
N
N
Taaleem Management Services Co SAE
N/A
Taaleem Management Services Co SAE
000000000
17865400.00000000
NS
5562674.69000000
0.185377445889
Long
EC
CORP
EG
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
588802.73000000
0.019621989834
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
26034756.10000000
USD
426970000.00000000
EGP
2021-10-28
588802.73000000
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
39960000.00000000
OU
Notional Amount
USD
-1771841.98000000
-0.05904705183
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-27
0.00000000
USD
0.00000000
USD
39960000.00000000
USD
-1771841.98000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-14959.30000000
-0.00049852220
N/A
DFE
CL
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1272969.37000000
USD
956000000.00000000
CLP
2021-09-20
-14959.30000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
32415148.50000000
PA
30555431.38000000
1.018266956622
Long
DBT
NUSS
NZ
Y
2
2040-09-20
Fixed
2.50000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-4394.02000000
-0.00014643175
N/A
DFE
ZA
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
771687.98000000
USD
11300000.00000000
ZAR
2021-09-13
-4394.02000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-75507.64000000
-0.00251630990
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1640069.67000000
USD
8215437.00000000
BRL
2021-10-04
-75507.64000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-861100.84000000
-0.02869638856
N/A
DFE
GB
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
46570111.57000000
USD
32882661.13000000
GBP
2021-08-23
-861100.84000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
817553.96000000
0.027245178520
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
326302593.00000000
ZAR
23053597.12000000
USD
2021-08-16
817553.96000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-190108.78000000
-0.00633541992
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
218010000.00000000
UAH
7861882.44000000
USD
2021-09-09
-190108.78000000
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
13361000.00000000
PA
USD
13810864.87000000
0.460250328807
Long
DBT
NUSS
PK
Y
2
2051-04-08
Fixed
8.87500000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
1297058.26000000
0.043224772399
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
80800000.00000000
AUD
60606464.00000000
USD
2021-09-23
1297058.26000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3722.16000000
-0.00012404185
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1870843.02000000
USD
1573878.84000000
EUR
2021-08-06
-3722.16000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-70055.15000000
-0.00233460439
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1536832.02000000
USD
7701972.00000000
BRL
2021-10-04
-70055.15000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4JQ8W1 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV4JQ8W1 CDS USD P F 1.00000 2 SOVEREIGN
000000000
59340000.00000000
OU
Notional Amount
USD
8876733.50000000
0.295819237286
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2031-06-20
9490301.27000000
USD
0.00000000
USD
59340000.00000000
USD
-613567.77000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
14243000.00000000
PA
USD
1780944.72000000
0.059350402794
Long
DBT
NUSS
LB
N
2
2029-05-25
None
0.00000000
Y
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
31300.00000000
NS
USD
1801941.00000000
0.060050108776
Long
EC
CORP
US
N
1
N
N
N
MC BRAZIL DWNSTRM
213800T2A7R9TYNXZI63
MC Brazil Downstream Trading SARL
55292WAA8
5892000.00000000
PA
USD
6125912.40000000
0.204147475403
Long
DBT
CORP
LU
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-30616.74000000
-0.00102031008
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3800000.00000000
EUR
4477391.80000000
USD
2021-08-06
-30616.74000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
63400.34000000
0.002112831282
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9128440.37000000
USD
34825000000.00000000
UGX
2022-05-10
63400.34000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
473374.61000000
0.015775320514
N/A
DFE
UG
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
7427670.44000000
USD
29524990000.00000000
UGX
2022-03-16
473374.61000000
N
N
N
COOF 1543087008
N/A
COOF 1543087008
000000000
2767753.13000000
PA
USD
244783.38000000
0.008157463865
Long
ABS-MBS
CORP
US
N
2
2043-03-01
Fixed
2.38000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
-2763.82000000
-0.00009210495
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1315442000.00000000
CRC
2117002.75000000
USD
2021-08-04
-2763.82000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP21
000000000
-11.00000000
NC
USD
-113759.85000000
-0.00379107382
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNU1 Comdty
2021-09-21
-2081083.90000000
USD
-113759.85000000
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
6077250.00000000
NS
7971567.42000000
0.265654364205
Long
EC
CORP
IS
Y
2
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
9002000.00000000
PA
USD
8910269.62000000
0.296936836394
Long
DBT
NUSS
EG
Y
2
2059-11-20
Fixed
8.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3YTY76 IRS EUR R F 1.09750 CCP LCH / Short: SEV3YTY76 IRS EUR P V 06MEURIB EUR006M+0BPS CCP LCH
000000000
4350000.00000000
OU
Notional Amount
-1575111.60000000
-0.05249096552
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-03-12
0.00000000
EUR
0.00000000
EUR
4350000.00000000
EUR
-1575111.60000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-261728.00000000
-0.00872214732
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
10208936.19000000
EUR
45675527.00000000
PLN
2021-09-10
-261728.00000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
8932.10000000
0.000297664338
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1978136.40000000
USD
1674988.02000000
EUR
2021-08-06
8932.10000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4PNQW1 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4PNQW1 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
63759700000.00000000
OU
Notional Amount
-129196.42000000
-0.00430550116
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-17
0.00000000
COP
0.00000000
COP
63759700000.00000000
COP
-129196.42000000
N
N
N
LIBERTY LATIN AMERICA
213800YWQHEAX7CAVO83
Liberty Latin America Ltd
53069QAB5
4760000.00000000
PA
USD
4789988.00000000
0.159627479722
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
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
93114.29000000
0.003103055673
N/A
DFE
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
6138035.88000000
USD
100940000.00000000
EGP
2021-12-01
93114.29000000
N
N
N
Islandsbanki HF
549300PZMFIQR79Q0T97
Islandsbanki HF
000000000
3417619.00000000
NS
2996457.87000000
0.099857665172
Long
EC
CORP
IS
N
1
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-339238.34000000
-0.01130519768
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
7620000.00000000
OMR
19404125.29000000
USD
2022-02-22
-339238.34000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-79798.65000000
-0.00265930883
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3689100.75000000
EUR
1300000000.00000000
HUF
2021-08-18
-79798.65000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4J8Q27 IRS ZAR R F 5.88000 2 CCPVANILLA / Short: SEV4J8Q27 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
474840000.00000000
OU
Notional Amount
381771.20000000
0.012722615273
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-11
0.00000000
ZAR
-26797.55000000
ZAR
474840000.00000000
ZAR
383573.17000000
N
N
N
Arion Banki HF
RIL4VBPDB0M7Z3KXSF19
Arion Banki HF
000000000
1720000000.00000000
PA
14994925.25000000
0.499709420207
Long
DBT
CORP
IS
Y
2
2024-04-12
Fixed
6.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
127478.73000000
0.004248258740
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
79571149.00000000
ZAR
5518840.43000000
USD
2021-09-30
127478.73000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
BEV4G7F99 SYNTH SWAPTION
000000000
921190000.00000000
NC
515455.83000000
0.017177687094
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
921190000.00000000
OU
Notional Amount
N/A
515455.83000000
0.02000000
DIR
US
N/A
N/A
2027-02-10
0.00000000
N/A
0.00000000
N/A
921190000.00000000
ZAR
1.00000000
5.88000000
ZAR
2022-02-10
XXXX
-846147.15000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
4878000.00000000
PA
USD
606896.37000000
0.020224964654
Long
DBT
NUSS
LB
N
2
2024-12-03
None
0.00000000
Y
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-50796.48000000
-0.00169280467
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5601388.69000000
USD
409887779.00000000
RUB
2021-09-30
-50796.48000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
321135.50000000
0.010701916270
N/A
DFE
MX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
7487354.56000000
USD
155500000.00000000
MXN
2021-08-06
321135.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV41WHA5 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV41WHA5 IRS USD P F .33450 CCP LCH
000000000
1800000.00000000
OU
Notional Amount
USD
18649.44000000
0.000621496986
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-18
0.00000000
USD
0.00000000
USD
1800000.00000000
USD
18649.44000000
N
N
N
EUROTORG (BONITRON DAC)
549300PXIOV742CFHL20
Eurotorg LLC Via Bonitron DAC
000000000
3827000.00000000
PA
USD
4076061.16000000
0.135835699414
Long
DBT
CORP
IE
Y
2
2025-10-22
Fixed
9.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
408292.82000000
0.013606454514
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
12668495.94000000
NZD
9233610.62000000
USD
2021-09-01
408292.82000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
BEV4E8Z48 SYNTHSWAPTIONS
000000000
772660000.00000000
NC
296641.32000000
0.009885641945
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
772660000.00000000
OU
Notional Amount
N/A
296641.32000000
0.01000000
DIR
US
N/A
N/A
2027-01-14
0.00000000
N/A
0.00000000
N/A
772660000.00000000
ZAR
1.00000000
5.70000000
ZAR
2022-01-12
XXXX
-878044.92000000
N
N
N
Coteccons Construction JSC
N/A
Coteccons Construction JSC
000000000
239670.00000000
NS
658455.80000000
0.021943194818
Long
EC
CORP
VN
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3PCCE2 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV3PCCE2 IRS USD P F 1.69750 CCP LCH
000000000
3189000.00000000
OU
Notional Amount
USD
-38091.65000000
-0.00126941321
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2049-09-12
0.00000000
USD
0.00000000
USD
3189000.00000000
USD
-38091.65000000
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
14659900000.00000000
OU
Notional Amount
140909.31000000
0.004695835986
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
14659900000.00000000
COP
140909.31000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
168164.62000000
0.005604125619
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5531054.57000000
USD
645640000.00000000
KES
2022-03-08
168164.62000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
68780.39000000
0.002292122717
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6942537.25000000
USD
512884105.00000000
RUB
2021-08-04
68780.39000000
N
N
N
COOF 2285277007
N/A
COOF 2285277007
000000000
2361395.34000000
PA
USD
234508.37000000
0.007815046734
Long
ABS-MBS
CORP
US
N
2
2043-03-20
Fixed
2.63000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BEV4RTY56 IRS MYR R F 2.52000 2 NDF / Short: BEV4RTY56 IRS MYR P V 03MKLIBO 1 NDF
000000000
39100000.00000000
OU
Notional Amount
3571.82000000
0.000119031743
N/A
DIR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Y
2026-07-16
0.00000000
MYR
0.00000000
MYR
39100000.00000000
MYR
3571.82000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-303564.36000000
-0.01011635388
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6883875.85000000
USD
26726648.00000000
PEN
2021-08-20
-303564.36000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED GEL / SOLD USD
000000000
1.00000000
NC
1041254.01000000
0.034700035442
N/A
DFE
GE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
11242725.17000000
USD
38944800.00000000
GEL
2021-10-21
1041254.01000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED GEL / SOLD USD
000000000
1.00000000
NC
401025.26000000
0.013364261363
N/A
DFE
GE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4608355.09000000
USD
16061500.00000000
GEL
2021-12-07
401025.26000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4RAMM3 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4RAMM3 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
67019600000.00000000
OU
Notional Amount
173355.75000000
0.005777121251
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-03
0.00000000
COP
0.00000000
COP
67019600000.00000000
COP
173355.75000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
2241798.00000000
PA
USD
1165757.38000000
0.038849139608
Long
DBT
NUSS
EC
Y
2
2040-07-31
Variable
0.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
88514.39000000
0.002949762921
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
16111306.14000000
USD
13655546.00000000
EUR
2021-08-06
88514.39000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-191984.75000000
-0.00639793706
N/A
DFE
PL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
7190160.12000000
EUR
32139836.00000000
PLN
2021-09-10
-191984.75000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
12224000.00000000
PA
USD
1546274.88000000
0.051529975033
Long
DBT
NUSS
LB
Y
2
2031-11-20
None
0.00000000
Y
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4PK3Y8 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4PK3Y8 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
13831930000.00000000
OU
Notional Amount
-9580.34000000
-0.00031926708
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-20
0.00000000
COP
0.00000000
COP
13831930000.00000000
COP
-9580.34000000
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
7859100000.00000000
OU
Notional Amount
-6797.37000000
-0.00022652395
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
7859100000.00000000
COP
-6797.37000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
30094000.00000000
PA
USD
3776797.00000000
0.125862650706
Long
DBT
NUSS
LB
Y
2
2024-04-22
None
0.00000000
Y
N
N
N
N
N
RIKISBREF
254900IPCJWRC6XAJN15
Iceland Rikisbref
000000000
3752922050.00000000
PA
37685402.71000000
1.255874932655
Long
DBT
NUSS
IS
N
2
2031-01-24
Fixed
6.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CRC
000000000
1.00000000
NC
7648.18000000
0.000254877402
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1040200000.00000000
CRC
1683743.67000000
USD
2021-08-09
7648.18000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4S6WX6 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4S6WX6 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
66792100000.00000000
OU
Notional Amount
101393.79000000
0.003378971963
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-27
0.00000000
COP
0.00000000
COP
66792100000.00000000
COP
101393.79000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-56931.90000000
-0.00189726899
N/A
DFE
HU
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
4497853.96000000
EUR
1600000000.00000000
HUF
2021-09-30
-56931.90000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
16961000.00000000
PA
USD
2135084.60000000
0.071152197811
Long
DBT
NUSS
LB
Y
2
2027-03-23
None
0.00000000
Y
N
N
N
N
N
SEPLAT ENERGY PL
029200711C4S4CB2E982
SEPLAT Energy PLC
000000000
4892000.00000000
PA
USD
5098344.56000000
0.169903534804
Long
DBT
CORP
NG
Y
2
2026-04-01
Fixed
7.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV3MQGR1 IRS EUR R F .00000 CCP LCH/BEV3MQGR1 / Short: BSV3MQGR1 IRS EUR P V 06MEURIB EUR006M+0 BPS/BEV3MQGR1
000000000
5493000.00000000
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
5493000.00000000
EUR
0.00000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-123787.29000000
-0.00412524063
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2390000.00000000
OMR
6079568.58000000
USD
2021-10-12
-123787.29000000
N
N
N
NEDER FINANCIERINGS-MAAT
XTC5E2QFTEF0435JWL77
Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV
000000000
256000000000.00000000
PA
23959785.12000000
0.798465489557
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
-18030.65000000
-0.00060087566
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7830701.89000000
USD
573872205.00000000
RUB
2021-09-08
-18030.65000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-625464.15000000
-0.02084374030
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
11800000.00000000
OMR
29801366.32000000
USD
2022-12-14
-625464.15000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4SFXS6 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4SFXS6 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
33396060000.00000000
OU
Notional Amount
63674.70000000
0.002121974393
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-30
0.00000000
COP
0.00000000
COP
33396060000.00000000
COP
63674.70000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-19766.93000000
-0.00065873760
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3639937.84000000
USD
264947901.00000000
RUB
2021-08-09
-19766.93000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
176209.05000000
0.005872208146
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5500000.00000000
EUR
6706082.30000000
USD
2021-09-15
176209.05000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-83031.91000000
-0.00276705798
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
16500000.00000000
EUR
19491215.70000000
USD
2021-08-06
-83031.91000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
31092.15000000
0.001036153231
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4714180.00000000
USD
4000000.00000000
EUR
2021-08-06
31092.15000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4RLT42 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4RLT42 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
50103600000.00000000
OU
Notional Amount
82997.82000000
0.002765921924
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-14
0.00000000
COP
0.00000000
COP
50103600000.00000000
COP
82997.82000000
N
N
N
ISLANDSBANKI
549300PZMFIQR79Q0T97
Islandsbanki HF
000000000
900000000.00000000
PA
7827090.91000000
0.260839650437
Long
DBT
CORP
IS
N
2
2023-10-26
Fixed
6.40000000
N
N
N
N
N
N
Bank of Cyprus Holdings PLC
635400L14KNHZXPUZM19
Bank of Cyprus Holdings PLC
000000000
8424416.00000000
NS
10413678.16000000
0.347038280538
Long
EC
CORP
IE
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4N7JR7 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4N7JR7 IRS PLN P F 2.03500 2 CCPVANILLA
000000000
6970000.00000000
OU
Notional Amount
-56817.48000000
-0.00189345592
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-25
0.00000000
PLN
0.00000000
PLN
6970000.00000000
PLN
-56817.48000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
1864000.00000000
PA
USD
1990286.00000000
0.066326750318
Long
DBT
NUSS
EG
Y
2
2050-05-29
Fixed
8.87500000
N
N
N
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
59173000.00000000
OU
Notional Amount
USD
-2846588.17000000
-0.09486322207
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-12-16
0.00000000
USD
0.00000000
USD
59173000.00000000
USD
-2846588.17000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV2RR7J4 IRS USD R V 00MCPURN CPURNSA+0BPS INFLATION SWAP / Short: BEV2RR7J4 IRS USD P F 2.23200 INFLATION SWAP
000000000
14000000.00000000
OU
Notional Amount
USD
562691.50000000
0.018751826936
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2028-01-17
0.00000000
USD
0.00000000
USD
14000000.00000000
USD
562691.50000000
N
N
N
SSI Securities Corp
213800IF2RICE613K743
SSI Securities Corp
000000000
301892.00000000
NS
718030.78000000
0.023928545076
Long
EC
CORP
VN
N
2
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
6137.37000000
0.000204529302
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
34000000.00000000
SAR
9036785.03000000
USD
2023-07-13
6137.37000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
5006.34000000
0.000166837461
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1181311.70000000
USD
1000000.00000000
EUR
2021-08-06
5006.34000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-483277.62000000
-0.01610534065
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
55657958.40000000
USD
79200000.00000000
NZD
2021-08-26
-483277.62000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGU8E1 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGU8E1 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
368448000.00000000
OU
Notional Amount
USD
-2211690.18000000
-0.07370509683
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
RUSSIAN FEDERATION
RUSSIAN FEDERATION
Y
buy protection
2026-06-20
672262.53000000
USD
0.00000000
USD
368448000.00000000
USD
-2883952.71000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED GEL / SOLD USD
000000000
1.00000000
NC
20276.13000000
0.000675706813
N/A
DFE
GE
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
688969.91000000
USD
2225648.40000000
GEL
2021-09-09
20276.13000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV4JPU32 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: BEV4JPU32 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
162817000.00000000
OU
Notional Amount
USD
-3807770.24000000
-0.12689484123
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Penerbangan Malaysia Bhd
Penerbangan Malaysia Bhd
Y
buy protection
2026-06-20
0.00000000
USD
-4287974.13000000
USD
162817000.00000000
USD
480203.89000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-235247.86000000
-0.00783969041
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
9335134.67000000
EUR
41781785.00000000
PLN
2021-09-10
-235247.86000000
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
29320000000.00000000
OU
Notional Amount
183648.45000000
0.006120127906
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
29320000000.00000000
COP
183648.45000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
16818.18000000
0.000560469814
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4626963.70000000
USD
3914449.36000000
EUR
2021-08-06
16818.18000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4JR5Y8 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4JR5Y8 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
5900000.00000000
OU
Notional Amount
USD
-35618.89000000
-0.00118700790
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2026-06-20
0.00000000
USD
-28074.24000000
USD
5900000.00000000
USD
-7544.65000000
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
12790700000.00000000
OU
Notional Amount
81044.82000000
0.002700837739
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-03-26
0.00000000
COP
0.00000000
COP
12790700000.00000000
COP
81044.82000000
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
9681500.00000000
OU
Notional Amount
-286248.62000000
-0.00953930276
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-07-23
0.00000000
EUR
-28425.47000000
EUR
9681500.00000000
EUR
-255099.63000000
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216KAF9
3486000.00000000
PA
USD
3280219.08000000
0.109314074414
Long
DBT
NUSS
IN
Y
2
2031-01-13
Fixed
2.25000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-166617.79000000
-0.00555257714
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
403354537.00000000
AED
109556451.97000000
USD
2023-03-13
-166617.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV3X9ZQ8 IRS EUR R V 06MEURIB EUR006M+0BPS CCP LCH/BSV3X9ZQ8 / Short: BEV3X9ZQ8 IRS EUR P F .35320 CCP LCH/BSV3X9ZQ8
000000000
3970000.00000000
OU
Notional Amount
-112121.64000000
-0.00373648009
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-02-18
0.00000000
EUR
0.00000000
EUR
3970000.00000000
EUR
-112121.64000000
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
11171900000.00000000
OU
Notional Amount
104355.86000000
0.003477683644
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-13
0.00000000
COP
0.00000000
COP
11171900000.00000000
COP
104355.86000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-47795.31000000
-0.00159278997
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
349000000.00000000
CNY
53594831.06000000
USD
2021-10-20
-47795.31000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4QUBT7 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4QUBT7 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
21465880000.00000000
OU
Notional Amount
85321.07000000
0.002843344779
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-25
0.00000000
COP
0.00000000
COP
21465880000.00000000
COP
85321.07000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
-559.79000000
-0.00001865513
N/A
DFE
PH
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
20625.54000000
USD
1003020.00000000
PHP
2021-08-04
-559.79000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
64491.23000000
0.002149185448
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
21013146.61000000
NZD
14704088.03000000
USD
2021-08-11
64491.23000000
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
11441100000.00000000
OU
Notional Amount
73367.60000000
0.002444992572
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-03-26
0.00000000
COP
0.00000000
COP
11441100000.00000000
COP
73367.60000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-22894.92000000
-0.00076297860
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
11729193.56000000
USD
863210000.00000000
RUB
2021-09-24
-22894.92000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-1550164.21000000
-0.05165958787
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
29221647.00000000
USD
37700000.00000000
AUD
2021-09-13
-1550164.21000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-1918.22000000
-0.00006392513
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
12370282.29000000
USD
912030000.00000000
RUB
2021-09-24
-1918.22000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4KTJP6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KTJP6 IRS COP P F 4.13500 2 CCPNDFOIS
000000000
38732400000.00000000
OU
Notional Amount
215411.27000000
0.007178631373
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
38732400000.00000000
COP
215411.27000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1060.67000000
-0.00003534707
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6709689.17000000
USD
5655000.00000000
EUR
2021-08-06
-1060.67000000
N
N
N
COOF 2000317003
N/A
COOF 2000317003
000000000
1524553.86000000
PA
USD
156880.94000000
0.005228094322
Long
ABS-MBS
CORP
US
N
2
2043-01-22
Fixed
2.88000000
N
N
N
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
235191000.00000000
PA
8665243.09000000
0.288771269497
Long
DBT
NUSS
UA
N
2
2023-11-22
Fixed
11.67000000
N
N
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Banque Centrale de Tunisie International Bond
000000000
5050000.00000000
PA
5322989.81000000
0.177389890738
Long
DBT
NUSS
TN
Y
2
2023-10-31
Fixed
6.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4RNDW3 CYS AED R F .00000 / Short: BEV4RNDW3 CYS USD P V 03MLIBOR
000000000
1.00000000
NC
118788.99000000
0.003958671105
N/A
DFE
AE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
8424661.39000000
USD
30942939.00000000
AED
2022-08-12
118788.99000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-187611.87000000
-0.00625220981
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
188879000.00000000
UAH
6843442.03000000
USD
2021-08-09
-187611.87000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
633903000000.00000000
PA
45952214.71000000
1.531368392116
Long
DBT
NUSS
ID
N
2
2040-04-15
Fixed
7.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
59124.72000000
0.001970345237
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
10600336.44000000
USD
8985331.78000000
EUR
2021-08-06
59124.72000000
N
N
N
JSC GEORGIA CAPITAL
635400VNH3KVFQNWDH25
Georgia Capital JSC
000000000
2988000.00000000
PA
USD
3040290.00000000
0.101318381241
Long
DBT
CORP
GE
Y
2
2024-03-09
Fixed
6.12500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
101008.04000000
0.003366116753
N/A
DFE
EG
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3671304.74000000
USD
60356250.00000000
EGP
2021-10-19
101008.04000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4P7ZT3 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4P7ZT3 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
63301700000.00000000
OU
Notional Amount
-221458.01000000
-0.00738014040
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-12
0.00000000
COP
0.00000000
COP
63301700000.00000000
COP
-221458.01000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-37085.50000000
-0.00123588303
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
754000.00000000
OMR
1921019.11000000
USD
2021-08-19
-37085.50000000
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
8500000.00000000
PA
USD
1073966.50000000
0.035790186885
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
18625000.00000000
PA
USD
18285373.13000000
0.609364371794
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
26160000.00000000
OU
Notional Amount
USD
943693.22000000
0.031448799107
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-05
0.00000000
USD
0.00000000
USD
26160000.00000000
USD
943693.22000000
N
N
N
LIMAK ISKENDERUN
5299001DUZ9PI7TCRC47
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS
000000000
6880000.00000000
PA
USD
7242940.64000000
0.241372704929
Long
DBT
CORP
TR
Y
2
2036-07-10
Fixed
9.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-215114.66000000
-0.00716874677
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
231673062.00000000
ZAR
15473961.85000000
USD
2021-10-04
-215114.66000000
N
N
N
COOF 9684105009
N/A
COOF 9684105009
000000000
996970.68000000
PA
USD
109170.72000000
0.003638139989
Long
ABS-MBS
CORP
US
N
2
2042-10-12
Fixed
3.13000000
N
N
N
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
39940000.00000000
OU
Notional Amount
USD
1813029.17000000
0.060419624656
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-26
0.00000000
USD
0.00000000
USD
39940000.00000000
USD
1813029.17000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4MQX25 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV4MQX25 IRS EUR P F .47080 2 CCPVANILLA
000000000
1850000.00000000
OU
Notional Amount
-984.27000000
-0.00003280102
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-05-14
0.00000000
EUR
0.00000000
EUR
1850000.00000000
EUR
-984.27000000
N
N
N
Vietnam Technological & Commercial Joint Stock Bank
5493001XNKHV3FNIUD50
Vietnam Technological & Commercial Joint Stock Bank
000000000
1075000.00000000
NS
2560565.24000000
0.085331440480
Long
EC
CORP
VN
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-2998.02000000
-0.00009990972
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1779536.45000000
GBP
2470671.93000000
USD
2021-08-23
-2998.02000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-77984.50000000
-0.00259885185
N/A
DFE
KR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
25070377.63000000
USD
28851993394.00000000
KRW
2021-10-25
-77984.50000000
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
5660000.00000000
OU
Notional Amount
-14048.73000000
-0.00046817724
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-09-12
0.00000000
EUR
0.00000000
EUR
5660000.00000000
EUR
-14048.73000000
N
N
N
Hagar hf
635400TICHH43JJTNP54
Hagar hf
000000000
5986965.00000000
NS
2938829.23000000
0.097937177153
Long
EC
CORP
IS
N
2
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD SAR
000000000
1.00000000
NC
-352995.82000000
-0.01176366894
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
145637000.00000000
SAR
38426649.08000000
USD
2022-03-24
-352995.82000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: BEV4S1AA1 IRS MYR R F 2.49500 2 NDF / Short: BEV4S1AA1 IRS MYR P V 03MKLIBO 1 NDF
000000000
11900000.00000000
OU
Notional Amount
-2372.38000000
-0.00007906012
N/A
DIR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N/A
N/A
Y
2026-07-19
0.00000000
MYR
0.00000000
MYR
11900000.00000000
MYR
-2372.38000000
N
N
N
Ministry of Finance of Tanzania
N/A
Ministry of Finance of Tanzania 5 Year Term Loan
000000000
41914285.83000000
PA
USD
42919851.46000000
1.430314171688
Long
LON
CORP
TZ
N
2
2022-06-23
Floating
5.45600000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-130148.32000000
-0.00433722345
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
301839143.00000000
AED
81979736.68000000
USD
2023-03-06
-130148.32000000
N
N
N
Royal Dutch Shell PLC
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC
780259206
-124800.00000000
NS
USD
-5069376.00000000
-0.16893815071
Short
EC
CORP
GB
N
1
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
940000.00000000
OU
Notional Amount
USD
1125.44000000
0.000037505553
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S31.V1
2I65BZDL3
Y
buy protection
2024-06-20
15891.50000000
USD
0.00000000
USD
940000.00000000
USD
-14766.06000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-23266.12000000
-0.00077534893
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
885450.99000000
USD
726203.50000000
EUR
2021-09-15
-23266.12000000
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BM3
1684022000.00000000
PA
39290633.50000000
1.309369627293
Long
DBT
NUSS
UY
N
2
2031-05-21
Fixed
8.25000000
N
N
N
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
63445600000.00000000
OU
Notional Amount
-90288.10000000
-0.00300887222
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
63445600000.00000000
COP
-90288.10000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
7405.28000000
0.000246782702
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2386924.68000000
EUR
861476922.00000000
HUF
2021-10-25
7405.28000000
N
N
N
COOF 1045897001
N/A
COOF 1045897001
000000000
1302386.85000000
PA
USD
106754.52000000
0.003557619554
Long
ABS-MBS
CORP
US
N
2
2042-10-30
Fixed
1.88000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
95510.62000000
0.003182913935
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
62898521.00000000
ZAR
4361013.99000000
USD
2021-09-23
95510.62000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
10938.03000000
0.000364512429
N/A
DFE
UY
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
1055334.59000000
USD
47863645.00000000
UYU
2022-01-11
10938.03000000
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Banque Centrale de Tunisie International Bond
000000000
7550000.00000000
PA
7687047.52000000
0.256172671439
Long
DBT
NUSS
TN
Y
2
2024-02-17
Fixed
5.62500000
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
1100000.00000000
OU
Notional Amount
USD
-35728.77000000
-0.00119066968
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-28
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
-35728.77000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-765201.54000000
-0.02550052177
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
25374855.10000000
USD
35323804.69000000
NZD
2021-08-11
-765201.54000000
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
1955700000.00000000
OU
Notional Amount
292172.37000000
0.009736713133
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-25
0.00000000
MXN
0.00000000
MXN
1955700000.00000000
MXN
292172.37000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-13230.83000000
-0.00044092052
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
11350000.00000000
PLN
2470907.67000000
EUR
2021-09-10
-13230.83000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
61368.44000000
0.002045117735
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7280937.17000000
USD
537096169.00000000
RUB
2021-08-04
61368.44000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-195909.71000000
-0.00652873728
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
218160000.00000000
UAH
7861621.62000000
USD
2021-09-09
-195909.71000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-107239.31000000
-0.00357377529
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
123220500.00000000
AED
33420899.42000000
USD
2022-12-12
-107239.31000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-70898.34000000
-0.00236270390
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
501080000.00000000
RUB
6714594.88000000
USD
2021-09-30
-70898.34000000
N
N
N
Vietnam Prosperity JSC Bank
254900A0PM1YPJVDW880
Vietnam Prosperity JSC Bank
000000000
795882.00000000
NS
2110786.86000000
0.070342469896
Long
EC
CORP
VN
N
2
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
46967000.00000000
PA
57186000.92000000
1.905736966827
Long
DBT
NUSS
EG
Y
2
2031-04-11
Fixed
6.37500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-73237.08000000
-0.00244064296
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
22478898.00000000
EUR
26593885.07000000
USD
2021-08-06
-73237.08000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGWWB6 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGWWB6 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
101209000.00000000
OU
Notional Amount
USD
4850427.16000000
0.161641628982
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2026-06-20
5723459.13000000
USD
0.00000000
USD
101209000.00000000
USD
-873031.97000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
135013.71000000
0.004499363726
N/A
DFE
EG
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
17195760.60000000
USD
275820000.00000000
EGP
2021-09-28
135013.71000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP21
000000000
-196.00000000
NC
-1167346.63000000
-0.03890210173
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXU1 Comdty
2021-09-08
-33623654.96000000
EUR
-1167346.63000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-957874.40000000
-0.03192139027
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
18858800.00000000
OMR
47974561.18000000
USD
2021-11-04
-957874.40000000
N
N
N
COOF 2351647010
N/A
COOF 2351647010
000000000
2410960.10000000
PA
USD
379391.56000000
0.012643313208
Long
ABS-MBS
CORP
US
N
2
2043-03-21
Fixed
3.63000000
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
33040600000.00000000
OU
Notional Amount
-46420.43000000
-0.00154697177
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
33040600000.00000000
COP
-46420.43000000
N
N
N
ISLAMIC REP OF PAKISTAN
529900LOP29R5WKHOD86
Pakistan Government International Bond
000000000
2192000.00000000
PA
USD
2207398.80000000
0.073562085580
Long
DBT
NUSS
PK
Y
2
2031-04-08
Fixed
7.37500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-561043.61000000
-0.01869691061
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
362949000.00000000
UAH
12911739.59000000
USD
2021-08-20
-561043.61000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
41793540.00000000
PA
USD
15695563.95000000
0.523058370116
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.50000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
3957.23000000
0.000131875622
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
316920.88000000
USD
23500000.00000000
RUB
2021-08-16
3957.23000000
N
N
N
ARAGVI FINANCE INTL
635400VKAYT1VT6VBF50
Aragvi Finance International DAC
000000000
8981000.00000000
PA
USD
9360357.44000000
0.311936119140
Long
DBT
CORP
IE
Y
2
2026-04-29
Fixed
8.45000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
154547.75000000
0.005150340215
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
23167033.87000000
USD
19643367.35000000
EUR
2021-09-15
154547.75000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4RT0L8 TRS USD R F .00000 BEV4RT0N4 COMMODITYTRS / Short: BEV4RT0L8 TRS USD P E BEV4RT0M6 COMMODITYTRS
000000000
66000000.00000000
OU
Notional Amount
USD
-1505196.93000000
-0.05016104266
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2021-09-16
0.00000000
USD
0.00000000
USD
66000000.00000000
USD
-1505196.93000000
N
N
N
COOF 1035947010
N/A
COOF 1035947010
000000000
1645672.11000000
PA
USD
115123.16000000
0.003836506456
Long
ABS-MBS
CORP
US
N
2
2042-11-03
Fixed
1.88000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5677749.66000000
0.189212346402
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
177219180.12000000
EUR
216081164.75000000
USD
2021-09-15
5677749.66000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394W3D8
1026006.52000000
PA
USD
239172.07000000
0.007970465636
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Floating
7.00700000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-24543.25000000
-0.00081790959
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
8166512.84000000
USD
11687317.13000000
NZD
2021-08-26
-24543.25000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
322905.68000000
0.010760907936
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
10019106.60000000
NZD
7302566.11000000
USD
2021-09-01
322905.68000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
61326.14000000
0.002043708078
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
6424142.67000000
USD
474417797.00000000
RUB
2021-08-04
61326.14000000
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
65915200000.00000000
OU
Notional Amount
217936.59000000
0.007262788257
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
65915200000.00000000
COP
217936.59000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-690163.30000000
-0.02299985473
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
15280000.00000000
OMR
38900203.67000000
USD
2022-02-22
-690163.30000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
-2991.10000000
-0.00009967911
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
564000000.00000000
HUF
1568096.35000000
EUR
2021-08-30
-2991.10000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4RT0Y0 TRS USD R F .00000 BEV4RT103 COMMODITYTRS / Short: BEV4RT0Y0 TRS USD P E BEV4RT0Z7 COMMODITYTRS
000000000
56400000.00000000
OU
Notional Amount
USD
-1286258.55000000
-0.04286486951
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2021-09-16
0.00000000
USD
0.00000000
USD
56400000.00000000
USD
-1286258.55000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
57743000.00000000
PA
85558849.18000000
2.851268826258
Long
DBT
NUSS
RO
Y
2
2049-04-03
Fixed
4.62500000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
1216077.34000000
0.040526064142
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
17116380.46000000
USD
68235820000.00000000
UGX
2022-02-28
1216077.34000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4DS4M9 SYNTHCAP SWAPTIONS
000000000
596500000.00000000
NC
USD
614383.07000000
0.020474460697
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
-220716.93000000
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
2481000.00000000
OU
Notional Amount
USD
-119986.12000000
-0.00399856574
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-28
0.00000000
USD
0.00000000
USD
2481000.00000000
USD
-119986.12000000
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
85106600000.00000000
OU
Notional Amount
-986009.77000000
-0.03285900811
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-08
0.00000000
COP
0.00000000
COP
85106600000.00000000
COP
-986009.77000000
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
633513000.00000000
PA
39963102.08000000
1.331779801310
Long
DBT
NUSS
EG
N
2
2026-01-12
Fixed
14.06000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-43318.87000000
-0.00144361155
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9394511.49000000
USD
688048385.00000000
RUB
2021-09-15
-43318.87000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-19529.42000000
-0.00065082252
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7818965.70000000
USD
573872206.00000000
RUB
2021-09-15
-19529.42000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
25736.00000000
0.000857658269
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3090305.14000000
USD
2626649.05000000
EUR
2021-08-06
25736.00000000
N
N
N
COOF 1746217010
N/A
COOF 1746217010
000000000
1472011.26000000
PA
USD
203477.60000000
0.006780939006
Long
ABS-MBS
CORP
US
N
2
2043-03-15
Fixed
3.63000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-358155.83000000
-0.01193562749
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
7245000.00000000
OMR
18442153.49000000
USD
2021-10-28
-358155.83000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4R1Y65 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4R1Y65 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
100529300000.00000000
OU
Notional Amount
273798.47000000
0.009124398582
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-31
0.00000000
COP
0.00000000
COP
100529300000.00000000
COP
273798.47000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-45107.19000000
-0.00150320774
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5595699.40000000
USD
409887779.00000000
RUB
2021-09-30
-45107.19000000
N
N
N
GOVERNMENT OF UKRAINE
6354001WLTJXOMEXPY07
Ukraine Government Bond
000000000
1695439000.00000000
PA
63126543.18000000
2.103706938599
Long
DBT
NUSS
UA
N
2
2026-05-13
Fixed
12.52000000
N
N
N
N
N
N
ODBRCHT OFFSHRE DRLL FIN
549300L7LF2PIRAWID66
Odebrecht Offshore Drilling Finance Ltd
000000000
3508419.37000000
PA
USD
3447057.12000000
0.114873991443
Long
DBT
CORP
KY
Y
2
2022-12-01
Fixed
6.72000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-253070.78000000
-0.00843364342
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
12232369.58000000
EUR
4315027085.00000000
HUF
2021-08-24
-253070.78000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
BEV4EF8R1 SYNTHSWAPTIONS
000000000
215774000.00000000
NC
88696.61000000
0.002955835445
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
215774000.00000000
OU
Notional Amount
N/A
88696.61000000
0.00000000
DIR
US
N/A
N/A
2027-01-19
0.00000000
N/A
0.00000000
N/A
215774000.00000000
ZAR
1.00000000
5.73000000
ZAR
2022-01-17
XXXX
-233068.53000000
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
1539000000.00000000
OU
Notional Amount
697667.12000000
0.023249921304
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-07-08
0.00000000
MXN
0.00000000
MXN
1539000000.00000000
MXN
697667.12000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-23453.07000000
-0.00078157908
N/A
DFE
KE
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
2264202.20000000
USD
257553000.00000000
KES
2022-05-18
-23453.07000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4MF4S4 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV4MF4S4 IRS EUR P F .48280 2 CCPVANILLA
000000000
1700000.00000000
OU
Notional Amount
-471.69000000
-0.00001571918
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-05-10
0.00000000
EUR
0.00000000
EUR
1700000.00000000
EUR
-471.69000000
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
66784855692.00000000
OU
Notional Amount
-4830.62000000
-0.00016098155
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
66784855692.00000000
COP
-4830.62000000
N
N
N
COOF 1141317002
N/A
COOF 1141317002
000000000
864832.88000000
PA
USD
86881.32000000
0.002895340478
Long
ABS-MBS
CORP
US
N
2
2042-11-30
Fixed
2.38000000
N
N
N
N
N
N
Government of The Republic of Kenya Acting through The National Treasury
N/A
Government of The Republic of Kenya Acting through The National Treasury 2019 1st Lien Term Loan
000000000
23868000.00000000
PA
USD
24137565.19000000
0.804390052316
Long
LON
CORP
KE
N
2
2025-06-29
Floating
6.61600000
N
N
N
N
N
N
ALMA IBUETHAFELAG
25490082EV52LTDCT350
Alma Ibuethafelag Hf
000000000
2270705589.24000000
PA
20303172.27000000
0.676608003992
Long
DBT
CORP
IS
N
3
2028-11-26
Fixed
6.65000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4DZRT3 SYNTHSWAPTIONS
000000000
196240000.00000000
NC
75405.32000000
0.002512900071
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
196240000.00000000
OU
Notional Amount
N/A
75405.32000000
0.00000000
DIR
US
N/A
N/A
2027-01-12
0.00000000
N/A
0.00000000
N/A
196240000.00000000
ZAR
1.00000000
5.70000000
ZAR
2022-01-10
XXXX
-222656.41000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4MBGX9 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV4MBGX9 IRS EUR P F .48480 2 CCPVANILLA
000000000
1700000.00000000
OU
Notional Amount
-420.06000000
-0.00001399859
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-05-06
0.00000000
EUR
0.00000000
EUR
1700000.00000000
EUR
-407.37000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4H2XD0 IRS ZAR R F 5.47000 2 CCPVANILLA / Short: SEV4H2XD0 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
72640000.00000000
OU
Notional Amount
-21543.23000000
-0.00071793322
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-02-24
0.00000000
ZAR
-3326.83000000
ZAR
72640000.00000000
ZAR
-21313.90000000
N
N
N
COOF 1666817002
N/A
COOF 1666817002
000000000
618982.28000000
PA
USD
82866.24000000
0.002761536990
Long
ABS-MBS
CORP
US
N
2
2042-12-19
Fixed
3.63000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4GJ9R0 EATON VANCE
000000000
243850000.00000000
NC
233166.79000000
0.007770338264
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
243850000.00000000
OU
Notional Amount
N/A
233166.79000000
0.01000000
DIR
ZA
N/A
N/A
2027-02-16
0.00000000
N/A
0.00000000
N/A
243850000.00000000
ZAR
1.00000000
6.18000000
ZAR
2022-02-16
XXXX
-157625.13000000
N
N
N
IRSA Inversiones y Representaciones SA
549300QJINFBX83IZ837
IRSA Inversiones y Representaciones SA
000000000
383780.00000000
NS
USD
92107.20000000
0.003069494161
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
61940900000.00000000
OU
Notional Amount
-762962.39000000
-0.02542590157
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-05
0.00000000
COP
0.00000000
COP
61940900000.00000000
COP
-762962.39000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-3086170.36000000
-0.10284735505
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
59451494.40000000
USD
76800000.00000000
AUD
2021-08-24
-3086170.36000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-56299.02000000
-0.00187617811
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
7597751.57000000
EUR
2710050366.00000000
HUF
2021-08-18
-56299.02000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CRC / SOLD USD
000000000
1.00000000
NC
-17572.39000000
-0.00058560404
N/A
DFE
CR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1693667.88000000
USD
1040200000.00000000
CRC
2021-08-09
-17572.39000000
N
N
N
COOF 1264967009
N/A
COOF 1264967009
000000000
1628286.67000000
PA
USD
178294.26000000
0.005941698261
Long
ABS-MBS
CORP
US
N
2
2043-02-13
Fixed
2.88000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
360.20000000
0.000012003749
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
11176.25000000
NZD
8145.97000000
USD
2021-09-01
360.20000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
-111956.78000000
-0.00373098609
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
9298359.79000000
USD
35147800000.00000000
UGX
2022-06-13
-111956.78000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4SKDP3 TRS COP R F .00000 NO INDEX+230BPS COLOMBIA TRS / Short: BEV4SKDP3 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
184613440000.00000000
OU
Notional Amount
268922.47000000
0.008961904732
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-10-05
0.00000000
COP
0.00000000
COP
184613440000.00000000
COP
268922.47000000
N
N
N
EUROHOLD BULGARIA
74780000J0W85Y204X80
Eurohold Bulgaria AD
000000000
9718000.00000000
PA
11188398.17000000
0.372856007574
Long
DBT
CORP
BG
Y
2
2022-12-07
Fixed
6.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
103463.52000000
0.003447946203
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
42744405.00000000
ZAR
3007751.09000000
USD
2021-09-08
103463.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4N7CQ6 IRS HUF R V 06MBUBOR 1 CCPVANILLA / Short: BEV4N7CQ6 IRS HUF P F 2.73090 2 CCPVANILLA
000000000
4546900000.00000000
OU
Notional Amount
-98375.63000000
-0.00327839106
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-25
0.00000000
HUF
0.00000000
HUF
4546900000.00000000
HUF
-98375.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B2XJ6
2372191.56000000
PA
USD
271532.43000000
0.009048882265
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV2YFX04 IRS USD R V 00MCPI CPURNSA+0BPS CCP LCH INFL / Short: BEV2YFX04 IRS USD P F 2.42100 INFL SWAP CCP LCH
000000000
5823700.00000000
OU
Notional Amount
USD
-40991.51000000
-0.00136605173
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2048-06-08
0.00000000
USD
0.00000000
USD
5823700.00000000
USD
-40991.51000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
329921.81000000
0.010994722123
N/A
DFE
MX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
7478568.25000000
USD
155500000.00000000
MXN
2021-08-06
329921.81000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
87401.49000000
0.002912675266
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
15000000.00000000
NZD
10536600.00000000
USD
2021-09-07
87401.49000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
994947.52000000
0.033156860742
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
31055223.10000000
EUR
37865251.24000000
USD
2021-09-15
994947.52000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4H0SK4 SYNTH SWAPTION
000000000
243850000.00000000
NC
385744.94000000
0.012855041095
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
243850000.00000000
OU
Notional Amount
N/A
385744.94000000
0.01000000
DIR
US
N/A
N/A
2027-02-23
0.00000000
N/A
0.00000000
N/A
243850000.00000000
ZAR
1.00000000
6.54000000
ZAR
2022-02-23
XXXX
-45269.16000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
-21230.23000000
-0.00070750242
N/A
DFE
UY
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
5078514.06000000
USD
227619000.00000000
UYU
2022-01-24
-21230.23000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
51595000.00000000
PA
64319852.60000000
2.143474256439
Long
DBT
NUSS
RO
Y
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV2MJ1R5 CDS USD R V 03MEVENT 7BB99WAC2 XS0113419690/CCP ICE / Short: BEV2MJ1R5 CDS USD P F 1.00000 QATAR/BEV2MJ1R5/CCP ICE
000000000
57453699.00000000
OU
Notional Amount
USD
-1478380.77000000
-0.04926738780
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2027-12-20
1537359.42000000
USD
0.00000000
USD
57453699.00000000
USD
-3015740.19000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796D55
11870000.00000000
PA
USD
11869742.78000000
0.395561977383
Long
STIV
UST
US
N
2
2021-08-26
None
0.00000000
N
N
N
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
33953578.00000000
OU
Notional Amount
USD
-238248.86000000
-0.00793969944
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-07-15
0.00000000
USD
0.00000000
USD
33953578.00000000
USD
-238248.86000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-72807.01000000
-0.00242631077
N/A
DFE
BR
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1537629.74000000
USD
7701972.00000000
BRL
2021-10-13
-72807.01000000
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
1544574549.00000000
OU
Notional Amount
-2673901.51000000
-0.08910839840
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
1544574549.00000000
BRL
-2673901.51000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4PK4T8 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4PK4T8 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
25772500000.00000000
OU
Notional Amount
-28929.27000000
-0.00096407474
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-13
0.00000000
COP
0.00000000
COP
25772500000.00000000
COP
-28929.27000000
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
45001000.00000000
OU
Notional Amount
USD
-12269.97000000
-0.00040889964
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
SAUDI INTERNATIONAL BOND
SAUDI INTERNATIONAL BOND
Y
buy protection
2031-06-20
819661.38000000
USD
0.00000000
USD
45001000.00000000
USD
-831931.35000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-39067.10000000
-0.00130192032
N/A
DFE
HU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2679660.67000000
EUR
950000000.00000000
HUF
2021-08-18
-39067.10000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
809.72000000
0.000026984109
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5393823.00000000
THB
164859.17000000
USD
2021-10-18
809.72000000
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
279103000.00000000
PA
17829705.47000000
0.594179139565
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
14015723.80000000
PA
USD
1234977.28000000
0.041155909100
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
133855.68000000
0.004460772103
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
14964584.00000000
NZD
10557065.07000000
USD
2021-09-28
133855.68000000
N
N
N
Bank for Foreign Trade of Vietnam JSC
2549004TS5QUBFGAWE51
Bank for Foreign Trade of Vietnam JSC
000000000
469610.00000000
NS
2002982.95000000
0.066749879172
Long
EC
CORP
VN
N
2
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-16014.00000000
-0.00053367032
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2546075.00000000
EUR
3006812.73000000
USD
2021-09-15
-16014.00000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-19563.18000000
-0.00065194758
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7857385.14000000
USD
573623326.00000000
RUB
2021-08-09
-19563.18000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4PMZJ2 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4PMZJ2 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
69263340000.00000000
OU
Notional Amount
-33274.26000000
-0.00110887256
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-16
0.00000000
COP
0.00000000
COP
69263340000.00000000
COP
-33274.26000000
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
66784800000.00000000
OU
Notional Amount
34677.12000000
0.001155623201
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
66784800000.00000000
COP
34677.12000000
N
N
N
URU MONETARY REG BILL
549300DTMS39GZYBX161
Uruguay Monetary Regulation Bill
000000000
110198000.00000000
PA
2431858.17000000
0.081042247020
Long
STIV
NUSS
UY
N
2
2022-02-25
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-79807.62000000
-0.00265960775
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
9556314.00000000
USD
697268806.00000000
RUB
2021-09-15
-79807.62000000
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
100029200000.00000000
OU
Notional Amount
717690.16000000
0.023917193834
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-07
0.00000000
COP
0.00000000
COP
100029200000.00000000
COP
717690.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV2SY170 IRS USD R V 03MCPURN INFLATION/CCP LCH / Short: BEV2SY170 IRS USD P F 2.35250 INFLATIONZERO CCP LCH
000000000
14682000.00000000
OU
Notional Amount
USD
377060.92000000
0.012565644081
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-02-06
0.00000000
USD
0.00000000
USD
14682000.00000000
USD
377060.92000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD BHD
000000000
1.00000000
NC
-220270.81000000
-0.00734057668
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4866250.00000000
BHD
12624854.07000000
USD
2022-03-16
-220270.81000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
7172000.00000000
PA
USD
6739743.56000000
0.224603543570
Long
DBT
NUSS
BH
Y
2
2044-09-19
Fixed
6.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
73941.01000000
0.002464101595
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1120000000.00000000
HUF
3177201.31000000
EUR
2021-09-30
73941.01000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
489246.35000000
0.016304249992
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
15270810.24000000
EUR
18619510.94000000
USD
2021-09-15
489246.35000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD UAH
000000000
1.00000000
NC
-25220.14000000
-0.00084046711
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
164440000.00000000
UAH
6089806.50000000
USD
2021-08-13
-25220.14000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
81785.62000000
0.002725525073
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
3807747.75000000
USD
287696285.24000000
RUB
2021-10-08
81785.62000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4SKDU2 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4SKDU2 IRS COP P F 4.76000 2 CCPNDFOIS
000000000
184593400000.00000000
OU
Notional Amount
53045.61000000
0.001767757462
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
184593400000.00000000
COP
53045.61000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
22067.21000000
0.000735394977
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4143372.18000000
USD
3508478.00000000
EUR
2021-09-15
22067.21000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-219042.25000000
-0.00729963463
N/A
DFE
CL
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
4272470.90000000
USD
3080323342.00000000
CLP
2021-09-20
-219042.25000000
N
N
N
COOF 1372847005
N/A
COOF 1372847005
000000000
774656.34000000
PA
USD
121422.79000000
0.004046443111
Long
ABS-MBS
CORP
US
N
2
2042-12-11
Fixed
3.63000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
866000.00000000
PA
USD
435165.00000000
0.014501976249
Long
DBT
NUSS
AR
Y
2
2028-04-18
Fixed
9.62500000
N
Y
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
-7682.99000000
-0.00025603745
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
1150000000.00000000
HUF
3196024.89000000
EUR
2021-08-30
-7682.99000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4MU246 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MU246 IRS COP P F 4.61500 2 CCPNDFOIS
000000000
13831930000.00000000
OU
Notional Amount
5217.47000000
0.000173873418
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
13831930000.00000000
COP
5217.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV3YU7Y4 IRS USD R F 1.00000 CCP LCH / Short: SEV3YU7Y4 IRS USD P V 03MLIBOR US0003M+0BPS CCP LCH
000000000
43660000.00000000
OU
Notional Amount
USD
-5717893.04000000
-0.19055013400
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-03-12
0.00000000
USD
0.00000000
USD
43660000.00000000
USD
-5717893.04000000
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
6351000000.00000000
OU
Notional Amount
43553.65000000
0.001451435657
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
6351000000.00000000
COP
43553.65000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
20547.10000000
0.000684736953
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
9784381.76000000
NZD
6836836.75000000
USD
2021-08-26
20547.10000000
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA
71654V408
821100.00000000
NS
USD
8761137.00000000
0.291966956663
Long
EC
CORP
BR
N
1
N
N
N
Vingroup JSC
254900MJ9C15O3O1V757
Vingroup JSC
000000000
658180.00000000
NS
3076981.47000000
0.102541133131
Long
EC
CORP
VN
N
2
N
N
N
COOF 1617657006
N/A
COOF 1617657006
000000000
1503033.02000000
PA
USD
146102.67000000
0.004868905933
Long
ABS-MBS
CORP
US
N
2
2043-01-23
Fixed
2.63000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
12300.05000000
0.000409902066
N/A
DFE
UY
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
2659172.92000000
USD
117298776.49000000
UYU
2021-09-10
12300.05000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP21
000000000
-515.00000000
NC
USD
-313414.74000000
-0.01044462012
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVU1 Comdty
2021-09-30
-63775921.46000000
USD
-313414.74000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
15142000.00000000
PA
USD
1953166.58000000
0.065089736893
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
354128493.70000000
OU
Notional Amount
-819657.96000000
-0.02731529481
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
354128493.70000000
BRL
-819657.96000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-8370.08000000
-0.00027893488
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7807806.36000000
USD
573872206.00000000
RUB
2021-09-15
-8370.08000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-1413537.28000000
-0.04710646321
N/A
DFE
SE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
35032037.33000000
USD
289350857.93000000
SEK
2021-08-25
-1413537.28000000
N
N
N
VALE SA
254900SMTWBX7RU2SR20
Vale SA
000000000
64849900.00000000
PA
8113568.25000000
0.270386575353
Long
DBT
CORP
BR
N
2
2049-12-29
Variable
2.76200000
N
N
N
N
N
N
COOF 1631537001
N/A
COOF 1631537001
000000000
2849207.51000000
PA
USD
184639.72000000
0.006153162212
Long
ABS-MBS
CORP
US
N
2
2042-12-27
Fixed
1.88000000
N
N
N
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Long: BEV3YBK62 CDS USD R V 03MEVENT MOAGBNAB1/XS0546428144 / Short: BEV3YBK62 CDS USD P F 1.00000
000000000
6348000.00000000
OU
Notional Amount
USD
-65664.73000000
-0.00218829261
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Emirate of Dubai Government International Bonds
Emirate of Dubai Government International Bonds
Y
buy protection
2024-12-20
71460.53000000
USD
0.00000000
USD
6348000.00000000
USD
-137125.26000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-56789.94000000
-0.00189253814
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
7759547.70000000
EUR
2767975767.00000000
HUF
2021-08-18
-56789.94000000
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
45434M2C5
10939000.00000000
PA
USD
10611861.11000000
0.353642774084
Long
DBT
CORP
IN
Y
2
2031-02-10
Fixed
2.80000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-347183.57000000
-0.01156997434
N/A
DFE
PL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
13907294.91000000
EUR
62256103.00000000
PLN
2021-09-08
-347183.57000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-72272.75000000
-0.00240850643
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1542986.62000000
USD
7701972.00000000
BRL
2021-09-13
-72272.75000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
25844.96000000
0.000861289387
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
7467938.64000000
USD
6316842.00000000
EUR
2021-08-06
25844.96000000
N
N
N
GEORGIA T-BILL
2138007T8RLEVDMLQ257
Georgia Treasury Bills
000000000
1771000.00000000
PA
529402.10000000
0.017642449831
Long
STIV
NUSS
GE
N
2
2022-06-09
None
0.00000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
-90344.27000000
-0.00301074410
N/A
DFE
TH
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
13369172.54000000
USD
436476745.00000000
THB
2021-08-16
-90344.27000000
N
N
N
COOF 2372867005
N/A
COOF 2372867005
000000000
3552344.02000000
PA
USD
550490.35000000
0.018345220735
Long
ABS-MBS
CORP
US
N
2
2043-03-28
Fixed
3.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4K1DF5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K1DF5 IRS COP P F 4.16000 2 CCPNDFOIS
000000000
73300000000.00000000
OU
Notional Amount
387868.14000000
0.012925797236
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
73300000000.00000000
COP
387868.14000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
5400000.00000000
PA
USD
4834836.00000000
0.161122049898
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
RMOF SD 01/08/18
N/A
RMOF SD 01/08/18
000000000
87568375.24000000
PA
USD
8773523.95000000
0.292379754693
Long
ABS-MBS
CORP
US
N
2
2040-10-01
Fixed
2.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
98843.20000000
0.003293972950
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
6116695.01000000
USD
100717500.00000000
EGP
2021-12-02
98843.20000000
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
19880000.00000000
OU
Notional Amount
USD
167165.35000000
0.005570824711
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2024-06-20
171443.95000000
USD
0.00000000
USD
19880000.00000000
USD
-4278.60000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-34878.54000000
-0.00116233557
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4450638.14000000
EUR
1586928436.00000000
HUF
2021-08-18
-34878.54000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-39239.31000000
-0.00130765925
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2679805.80000000
EUR
950000000.00000000
HUF
2021-08-18
-39239.31000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-54667.54000000
-0.00182180866
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
8691624.00000000
EUR
10264460.28000000
USD
2021-09-15
-54667.54000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4RTHP1 IRS KRW R F 1.65000 2 CCPNDF / Short: SEV4RTHP1 IRS KRW P V 03MKSDA 1 CCPNDF
000000000
72704100000.00000000
OU
Notional Amount
569402.21000000
0.018975462930
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-07-19
0.00000000
KRW
0.00000000
KRW
72704100000.00000000
KRW
569402.21000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
1643000.00000000
PA
2158113.03000000
0.071919625672
Long
DBT
NUSS
CI
Y
2
2040-10-17
Fixed
6.87500000
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
29320000000.00000000
OU
Notional Amount
205816.12000000
0.006858870736
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
29320000000.00000000
COP
205816.12000000
N
N
N
Siminn HF
N/A
Siminn HF
000000000
26075530.00000000
NS
2462469.80000000
0.082062386809
Long
EC
CORP
IS
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4J8Y02 IRS ZAR R F 5.82000 2 CCPVANILLA / Short: SEV4J8Y02 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
474850000.00000000
OU
Notional Amount
302066.34000000
0.010066432016
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-11
0.00000000
ZAR
-26077.09000000
ZAR
474850000.00000000
ZAR
303819.84000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4N7CT0 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4N7CT0 IRS PLN P F 2.02230 2 CCPVANILLA
000000000
56750000.00000000
OU
Notional Amount
-445388.44000000
-0.01484267479
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-25
0.00000000
PLN
0.00000000
PLN
56750000.00000000
PLN
-445388.44000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-386066.91000000
-0.01286577082
N/A
DFE
GB
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
20452707.34000000
USD
14435765.00000000
GBP
2021-08-23
-386066.91000000
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
29320000000.00000000
OU
Notional Amount
142480.23000000
0.004748187265
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
29320000000.00000000
COP
142480.23000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
117399.81000000
0.003912376354
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5940810.83000000
USD
445000000.00000000
RUB
2021-09-08
117399.81000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED UZS / SOLD USD
000000000
1.00000000
NC
9428.23000000
0.000314197988
N/A
DFE
UZ
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
844341.79000000
USD
9352774000.00000000
UZS
2021-11-12
9428.23000000
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
22375000.00000000
OU
Notional Amount
USD
1058902.24000000
0.035288166868
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-28
0.00000000
USD
0.00000000
USD
22375000.00000000
USD
1058902.24000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-401280.44000000
-0.01337276529
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
311000000.00000000
MXN
15215699.67000000
USD
2021-08-06
-401280.44000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-11578.98000000
-0.00038587223
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5612587.50000000
EUR
6646734.81000000
USD
2021-08-06
-11578.98000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-173417.71000000
-0.00577918608
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
189326938.00000000
ZAR
12647946.97000000
USD
2021-10-04
-173417.71000000
N
N
N
ALPHA HOLDING SA
549300R872G37EN6NT94
Alpha Holding SA de CV
000000000
5879000.00000000
PA
USD
690782.50000000
0.023020489719
Long
DBT
CORP
MX
Y
2
2025-02-10
Fixed
9.00000000
N
N
N
N
N
N
Hoa Phat Group JSC
549300ODJEFGL5CWKD32
Hoa Phat Group JSC
000000000
1987870.00000000
NS
4096271.75000000
0.136509222092
Long
EC
CORP
VN
N
2
N
N
N
TANZANIA
N/A
TANZANIA 10 Year Term Loan
000000000
92880000.00000000
PA
USD
92972880.00000000
3.098343151784
Long
LON
CORP
TZ
N
2
2031-04-28
Floating
6.44600000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-289843.52000000
-0.00965910365
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
677429000000.00000000
IDR
46326266.84000000
USD
2021-09-30
-289843.52000000
N
N
N
Eurohold Bulgaria AD
74780000J0W85Y204X80
Eurohold Bulgaria AD
000000000
11361600.00000000
NS
17261810.67000000
0.575253911428
Long
EC
CORP
BG
N
2
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
20002.79000000
0.000666597694
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
15527738.34000000
USD
22321193.62000000
NZD
2021-09-23
20002.79000000
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
39940000.00000000
OU
Notional Amount
USD
-1765619.99000000
-0.05883970255
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-01-27
0.00000000
USD
0.00000000
USD
39940000.00000000
USD
-1765619.99000000
N
N
N
OI MOVEL SA
254900M3NQMOCMEIGF93
Oi Movel SA
000000000
1342000.00000000
PA
USD
1388970.00000000
0.046287752810
Long
DBT
CORP
BR
Y
2
2026-07-30
Fixed
8.75000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-38831.46000000
-0.00129406756
N/A
DFE
CL
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
726655.17000000
USD
522545000.00000000
CLP
2021-09-08
-38831.46000000
N
N
N
LEBANESE REPUBLIC
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
3507000.00000000
PA
USD
442723.68000000
0.014753871043
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
7075000.00000000
PA
USD
7372326.88000000
0.245684531891
Long
DBT
CORP
PY
N
2
2028-07-21
Fixed
7.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV4N7JV8 IRS HUF R V 06MBUBOR 1 CCPVANILLA / Short: BEV4N7JV8 IRS HUF P F 2.74500 2 CCPVANILLA
000000000
807111000.00000000
OU
Notional Amount
-20762.10000000
-0.00069190187
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-26
0.00000000
HUF
0.00000000
HUF
807111000.00000000
HUF
-20762.10000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4RT1U7 TRS USD R F .00000 BEV4RT1W3 COMMODITYTRS / Short: BEV4RT1U7 TRS USD P E BEV4RT1V5 COMMODITYTRS
000000000
51700000.00000000
OU
Notional Amount
USD
-1179070.90000000
-0.03929281580
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2021-09-16
0.00000000
USD
0.00000000
USD
51700000.00000000
USD
-1179070.90000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD HUF
000000000
1.00000000
NC
N/A
-2109.66000000
-0.00007030491
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
600000000.00000000
HUF
1669091.13000000
EUR
2021-08-30
-2109.66000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
1642203.03000000
0.054726803255
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
83859502.08000000
NZD
60062925.98000000
USD
2021-08-26
1642203.03000000
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
41729700000.00000000
OU
Notional Amount
-442782.46000000
-0.01475582990
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-09
0.00000000
COP
0.00000000
COP
41729700000.00000000
COP
-442782.46000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-63421.35000000
-0.00211353144
N/A
DFE
PE
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
2033036.85000000
USD
8000000.00000000
PEN
2021-09-09
-63421.35000000
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
39752249.00000000
OU
Notional Amount
USD
-223200.93000000
-0.00743822362
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-03
0.00000000
USD
0.00000000
USD
39752249.00000000
USD
-223200.93000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
9403.77000000
0.000313382852
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2385242.72000000
EUR
861476922.00000000
HUF
2021-10-25
9403.77000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV4JR5U6 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4JR5U6 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
6200000.00000000
OU
Notional Amount
USD
-37430.02000000
-0.00124736424
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2026-06-20
0.00000000
USD
-29501.75000000
USD
6200000.00000000
USD
-7928.27000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-1116.88000000
-0.00003722028
N/A
DFE
NZ
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
25258.24000000
USD
34654.25000000
NZD
2021-09-01
-1116.88000000
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED UYU / SOLD USD
000000000
1.00000000
NC
-9144.11000000
-0.00030472962
N/A
DFE
UY
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
3724483.71000000
USD
162313000.00000000
UYU
2021-08-05
-9144.11000000
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
39940000.00000000
OU
Notional Amount
USD
1818619.57000000
0.060605926055
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-26
0.00000000
USD
0.00000000
USD
39940000.00000000
USD
1818619.57000000
N
N
N
COOF 1758497010
N/A
COOF 1758497010
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-12-28
Fixed
3.13000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Long: BEV4RATZ7 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4RATZ7 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
69263320000.00000000
OU
Notional Amount
143259.69000000
0.004774162954
N/A
DE
CO
N
2
Credit Suisse Group AG
549300506SI9CRFV9Z86
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-09-03
0.00000000
COP
0.00000000
COP
69263320000.00000000
COP
143259.69000000
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
1955100000.00000000
OU
Notional Amount
374367.58000000
0.012475887890
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-24
0.00000000
MXN
0.00000000
MXN
1955100000.00000000
MXN
374367.58000000
N
N
N
JSC GEORGIA CAPITAL
635400VNH3KVFQNWDH25
Georgia Capital JSC
373143AA4
2580000.00000000
PA
USD
2625150.00000000
0.087483742838
Long
DBT
CORP
GE
N
2
2024-03-09
Fixed
6.12500000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4JRV60 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV4JRV60 CDS USD P F 1.00000 2 SOVEREIGN
000000000
229800000.00000000
OU
Notional Amount
USD
34376025.59000000
1.145589159681
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2031-06-20
36810153.19000000
USD
0.00000000
USD
229800000.00000000
USD
-2434127.60000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
422515.52000000
0.014080429345
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
231010685.00000000
ZAR
16150754.45000000
USD
2021-08-23
422515.52000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
31977000.00000000
PA
USD
37348976.12000000
1.244663437204
Long
DBT
NUSS
UA
Y
2
2040-05-31
None
0.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
262124.52000000
0.008735361445
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
51800000.00000000
EUR
61761658.00000000
USD
2021-09-15
262124.52000000
N
N
N
ARDSHININVESTBK (DILIJAN
549300DCGXFXAP2FEV07
Ardshinbank CJSC Via Dilijan Finance BV
000000000
16608000.00000000
PA
USD
16546135.20000000
0.551403857613
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
13231000.00000000
PA
15454987.91000000
0.515041116848
Long
DBT
NUSS
RO
Y
2
2041-04-14
Fixed
2.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
222943.32000000
0.007429638715
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
193325896.00000000
ZAR
13315120.49000000
USD
2021-10-04
222943.32000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: BEV4RRZH3 CDS USD R F 1.00000 2 SOVEREIGN / Short: BEV4RRZH3 CDS USD P V 03MEVENT 1 SOVEREIGN
000000000
9800000.00000000
OU
Notional Amount
USD
-59163.58000000
-0.00197164025
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
SOCIALIST REP OF VIETNAM
SOCIALIST REP OF VIETNAM
Y
sell protection
2026-06-20
0.00000000
USD
-41261.18000000
USD
9800000.00000000
USD
-17902.40000000
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
27035200000.00000000
OU
Notional Amount
35310.28000000
0.001176723408
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
27035200000.00000000
COP
35310.28000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-2060776.29000000
-0.06867585585
N/A
DFE
AU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
96292023.09000000
USD
128375670.71000000
AUD
2021-09-23
-2060776.29000000
N
N
N
COOF 2153127006
N/A
COOF 2153127006
000000000
2350716.49000000
PA
USD
239932.09000000
0.007995793482
Long
ABS-MBS
CORP
US
N
2
2043-02-13
Fixed
2.88000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
19619.37000000
0.000653820132
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
11768341.00000000
THB
377589.79000000
USD
2021-09-16
19619.37000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: BEV4S7WL0 TRS USD R F .00000 BEV4S7WN6 COMMODITYTRS / Short: BEV4S7WL0 TRS USD P E BEV4S7WM8 COMMODITYTRS
000000000
165000000.00000000
OU
Notional Amount
USD
-1329595.01000000
-0.04430906726
N/A
DCO
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2021-09-22
0.00000000
USD
0.00000000
USD
165000000.00000000
USD
-1329595.01000000
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
29320000000.00000000
OU
Notional Amount
117145.42000000
0.003903898747
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
29320000000.00000000
COP
117145.42000000
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
3479583.33000000
PA
USD
3521547.10000000
0.117356387593
Long
LON
CORP
KE
N
2
2024-10-24
Floating
6.91100000
N
N
N
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
715869000.00000000
PA
45148029.98000000
1.504568746338
Long
DBT
NUSS
EG
N
2
2030-10-06
Fixed
14.66400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BSV3M2X53 IRS EUR R F .00000 CCP LCH/BEV3M2X53 / Short: BSV3M2X53 IRS EUR P V 06MEURIB EUR006M+0 BPS/BEV3M2X53
000000000
9681500.00000000
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
9681500.00000000
EUR
0.00000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
28303.57000000
0.000943223145
N/A
DFE
XX
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
5314320.00000000
USD
4500000.00000000
EUR
2021-09-15
28303.57000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4D6CJ5 SYNTHCAP SWAPTIONS
000000000
1221400000.00000000
NC
USD
1344004.13000000
0.044789254588
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
2022-12-21
XXXX
-335420.87000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
27534.85000000
0.000917605369
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
6497214.35000000
USD
5500000.00000000
EUR
2021-08-06
27534.85000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4DY0R9 SYNTHSWAPTIONS
000000000
392480000.00000000
NC
150965.20000000
0.005030950892
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
392480000.00000000
OU
Notional Amount
N/A
150965.20000000
0.01000000
DIR
US
N/A
N/A
2027-01-11
0.00000000
N/A
0.00000000
N/A
392480000.00000000
ZAR
1.00000000
5.70000000
ZAR
2022-01-07
XXXX
-424464.66000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-604841.80000000
-0.02015649562
N/A
DFE
ZA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
10905593.43000000
USD
151700000.00000000
ZAR
2021-09-13
-604841.80000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
185452.73000000
0.006180255962
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
5449807.77000000
USD
637900000.00000000
KES
2022-03-04
185452.73000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-42474.09000000
-0.00141545906
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
47397000.00000000
NZD
32971723.05000000
USD
2021-09-23
-42474.09000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Long: BEV4RTUW1 IRS MYR R F 2.51500 2 NDF / Short: BEV4RTUW1 IRS MYR P V 03MKLIBO 1 NDF
000000000
49200000.00000000
OU
Notional Amount
1713.84000000
0.000057114122
N/A
DIR
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
N/A
N/A
Y
2026-07-16
0.00000000
MYR
0.00000000
MYR
49200000.00000000
MYR
1713.84000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4PB9H9 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4PB9H9 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
56853500000.00000000
OU
Notional Amount
-156061.25000000
-0.00520077796
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-11
0.00000000
COP
0.00000000
COP
56853500000.00000000
COP
-156061.25000000
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
31578500000.00000000
OU
Notional Amount
167098.15000000
0.005568585255
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
31578500000.00000000
COP
167098.15000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
243295.57000000
0.008107882246
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
7593966.67000000
EUR
9259230.08000000
USD
2021-09-15
243295.57000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
-28280.36000000
-0.00094244966
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
2078105.67000000
USD
235200000.00000000
KES
2022-05-11
-28280.36000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
311870.69000000
0.010393164292
N/A
DFE
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
34866021.00000000
NZD
24596931.83000000
USD
2021-09-28
311870.69000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
314381.86000000
0.010476849625
N/A
DFE
EG
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
19182704.02000000
USD
314980000.00000000
EGP
2021-11-22
314381.86000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-3373.37000000
-0.00011241835
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
333000.00000000
GBP
459518.02000000
USD
2021-08-23
-3373.37000000
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
7297000.00000000
PA
USD
7761950.25000000
0.258668822581
Long
DBT
NUSS
BH
Y
2
2047-09-20
Fixed
7.50000000
N
N
N
N
N
N
COOF 2061847002
N/A
COOF 2061847002
000000000
2330679.55000000
PA
USD
240242.36000000
0.008006133303
Long
ABS-MBS
CORP
US
N
2
2043-02-08
Fixed
2.38000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-542505.88000000
-0.01807913639
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
384450858.00000000
SEK
44125276.62000000
USD
2021-08-25
-542505.88000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Long: BEV4PY542 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4PY542 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
29239600000.00000000
OU
Notional Amount
-14928.93000000
-0.00049751011
N/A
DE
CO
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-26
0.00000000
COP
0.00000000
COP
29239600000.00000000
COP
-14928.93000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-27271.53000000
-0.00090883016
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
3508478.00000000
EUR
4134899.20000000
USD
2021-08-06
-27271.53000000
N
N
N
Refrigeration Electrical Engineering Corp
N/A
Refrigeration Electrical Engineering Corp
000000000
703160.00000000
NS
1686147.35000000
0.056191258082
Long
EC
CORP
VN
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
9127964L0
13130000.00000000
PA
USD
13129445.65000000
0.437541872602
Long
STIV
UST
US
N
2
2021-09-09
None
0.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31397VD87
16529111.29000000
PA
USD
1782054.73000000
0.059387394139
Long
ABS-MBS
USGSE
US
N
2
2048-02-25
Fixed
3.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
101826.88000000
0.003393404789
N/A
DFE
EG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
12968983.79000000
USD
208022500.00000000
EGP
2021-09-28
101826.88000000
N
N
N
COOF 1077627006
N/A
COOF 1077627006
000000000
724009.60000000
PA
USD
69958.60000000
0.002331386843
Long
ABS-MBS
CORP
US
N
2
2042-10-27
Fixed
2.63000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
290390.91000000
0.009677345558
N/A
DFE
UG
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4519345.91000000
USD
17964400000.00000000
UGX
2022-03-14
290390.91000000
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
57435000000.00000000
OU
Notional Amount
-56576.00000000
-0.00188540854
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
57435000000.00000000
COP
-56576.00000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-168132.86000000
-0.00560306721
N/A
DFE
RU
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
20357829.74000000
USD
1485531194.00000000
RUB
2021-09-15
-168132.86000000
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
20326400000.00000000
OU
Notional Amount
119632.24000000
0.003986772610
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
20326400000.00000000
COP
119632.24000000
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
463519246.00000000
OU
Notional Amount
467421.77000000
0.015576940717
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
463519246.00000000
BRL
467421.77000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Long: BEV4RU6H8 IRS MYR R F 2.51500 2 NDF / Short: BEV4RU6H8 IRS MYR P V 03MKLIBO 1 NDF
000000000
49200000.00000000
OU
Notional Amount
1711.51000000
0.000057036474
N/A
DIR
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
N/A
N/A
Y
2026-07-16
0.00000000
MYR
0.00000000
MYR
49200000.00000000
MYR
1711.51000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
BEV4H13P8 SYNTH SWAPTION
000000000
186950000.00000000
NC
269294.77000000
0.008974311718
N/A
DIR
ZA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Purchased
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
IRS Swap
N/A
186950000.00000000
OU
Notional Amount
N/A
269294.77000000
0.01000000
DIR
GB
N/A
N/A
2027-02-23
0.00000000
N/A
0.00000000
N/A
186950000.00000000
ZAR
1.00000000
6.46000000
ZAR
2022-02-23
XXXX
-65003.72000000
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
86746200000.00000000
OU
Notional Amount
497435.10000000
0.016577142017
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-05-05
0.00000000
COP
0.00000000
COP
86746200000.00000000
COP
497435.10000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-5382.35000000
-0.00017936808
N/A
DFE
HU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2397686.92000000
EUR
861476921.00000000
HUF
2021-10-25
-5382.35000000
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
5166000.00000000
PA
USD
2589457.50000000
0.086294281858
Long
DBT
NUSS
AR
Y
2
2021-06-09
Fixed
9.95000000
N
Y
N
N
N
N
Ivory Coast
N/A
Ivory Coast EUR 7 Year Term Loan
000000000
5655000.00000000
PA
6657928.95000000
0.221877052397
Long
LON
CORP
TZ
N
2
2028-01-06
Floating
5.20000000
N
N
N
N
N
N
COOF 1708087007
N/A
COOF 1708087007
000000000
650456.54000000
PA
USD
92119.36000000
0.003069899396
Long
ABS-MBS
CORP
US
N
2
2042-12-18
Fixed
3.38000000
N
N
N
N
N
N
UZBEK ICB (DARYO FNC)
N/A
Uzbek Industrial and Construction Bank ATB via Daryo Finance BV
000000000
294368000000.00000000
PA
28451860.46000000
0.948164959628
Long
DBT
CORP
NL
N
3
2023-06-15
Fixed
18.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4RR3K1 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4RR3K1 IRS COP P F 4.92250 2 CCPNDFOIS
000000000
40070900000.00000000
OU
Notional Amount
-71251.39000000
-0.00237446937
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
40070900000.00000000
COP
-71251.39000000
N
N
N
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
PURCHASED UGX / SOLD USD
000000000
1.00000000
NC
-148629.96000000
-0.00495312846
N/A
DFE
UG
N
2
ICBC Standard Bank PLC
F01VVKN4DRF2NWKGQ283
9683026.91000000
USD
36563109603.00000000
UGX
2022-06-21
-148629.96000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BEV4MJ1M2 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MJ1M2 IRS COP P F 4.49500 2 CCPNDFOIS
000000000
28292600000.00000000
OU
Notional Amount
47342.32000000
0.001577693978
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
28292600000.00000000
COP
47342.32000000
N
N
N
ASAKA BANK
N/A
Asaka Bank
000000000
290568000000.00000000
PA
27915843.83000000
0.930302079025
Long
SN
CORP
UZ
N
3
2023-07-26
Fixed
18.70000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-20128.95000000
-0.00067080200
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
4000000.00000000
EUR
4725143.20000000
USD
2021-08-06
-20128.95000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: BEV4QYT60 TRS COP R F .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV4QYT60 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
000000000
83774600000.00000000
OU
Notional Amount
200601.06000000
0.006685077632
N/A
DE
CO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
TITULOS DE TESORERIA
TITULOS DE TESORERIA
Y
equity-performance leg
2021-08-30
0.00000000
COP
0.00000000
COP
83774600000.00000000
COP
200601.06000000
N
N
N
COOF 1431467010
N/A
COOF 1431467010
000000000
1470198.97000000
PA
USD
229591.11000000
0.007651177885
Long
ABS-MBS
CORP
US
N
2
2043-01-22
Fixed
3.63000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED KES / SOLD USD
000000000
1.00000000
NC
477816.86000000
0.015923359543
N/A
DFE
KE
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6460251.75000000
USD
764700000.00000000
KES
2021-10-12
477816.86000000
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
2244640000.00000000
OU
Notional Amount
-3966805.64000000
-0.13219473344
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
2244640000.00000000
BRL
-3966805.64000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED PEN / SOLD USD
000000000
1.00000000
NC
-272493.43000000
-0.00908090781
N/A
DFE
PE
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
13208287.99000000
USD
52532003.00000000
PEN
2021-10-12
-272493.43000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-8180.69000000
-0.00027262342
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
10475482.31000000
USD
8823352.00000000
EUR
2021-08-06
-8180.69000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-81242.72000000
-0.00270743280
N/A
DFE
BR
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
1646802.39000000
USD
8215436.00000000
BRL
2021-09-29
-81242.72000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT SEP21
000000000
84.00000000
NC
USD
742138.32000000
0.024731934532
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
E-mini S&P 500 Index
ESU1 Index
2021-09-17
17693761.68000000
USD
742138.32000000
N
N
N
Reitir fasteignafelag hf
967600GFEYNJK2W4G048
Reitir fasteignafelag hf
000000000
5436483.00000000
NS
3097642.91000000
0.103229680492
Long
EC
CORP
IS
N
2
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
98559000.00000000
PA
23836054.36000000
0.794342132801
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD AED
000000000
1.00000000
NC
-226390.88000000
-0.00754452946
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
540959063.00000000
AED
146927878.48000000
USD
2023-03-15
-226390.88000000
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
19942000.00000000
PA
25053179.41000000
0.834903112126
Long
DBT
NUSS
CI
Y
2
2030-03-22
Fixed
5.25000000
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
58700000.00000000
OU
Notional Amount
USD
6600081.25000000
0.219949264152
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2029-06-20
7600382.33000000
USD
0.00000000
USD
58700000.00000000
USD
-1000301.08000000
N
N
N
GEORGIA T-BILL
2138007T8RLEVDMLQ257
Georgia Treasury Bills
000000000
8507000.00000000
PA
2649238.53000000
0.088286498781
Long
STIV
NUSS
GE
N
2
2021-12-09
None
0.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BEV43KS25 IRS USD R V 03MLIBOR US0003M+0BPS CCP LCH / Short: BEV43KS25 IRS USD P F 1.03170 CCP LCH
000000000
9369000.00000000
OU
Notional Amount
USD
1395178.08000000
0.046494638540
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-19
0.00000000
USD
0.00000000
USD
9369000.00000000
USD
1395178.08000000
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
40662300000.00000000
OU
Notional Amount
-523997.38000000
-0.01746233626
N/A
DIR
CO
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-06-04
0.00000000
COP
0.00000000
COP
40662300000.00000000
COP
-523997.38000000
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
6192100000.00000000
OU
Notional Amount
29756.57000000
0.000991644712
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-26
0.00000000
COP
0.00000000
COP
6192100000.00000000
COP
29756.57000000
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
1966571.00000000
PA
USD
798919.47000000
0.026624179746
Long
DBT
NUSS
AR
Y
2
2035-05-15
Fixed
4.00000000
N
Y
N
N
N
N
COOF 1622947004
N/A
COOF 1622947004
000000000
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2042-12-27
Fixed
3.63000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD OMR
000000000
1.00000000
NC
-1108953.00000000
-0.03695612024
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
4139000.00000000
OMR
9612169.07000000
USD
2022-03-14
-1108953.00000000
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
39940000.00000000
OU
Notional Amount
USD
1907323.92000000
0.063562019438
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-27
0.00000000
USD
0.00000000
USD
39940000.00000000
USD
1907323.92000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BEV2NHUA3 CDS USD R V 03MEVENT 7BB99WAC2 XS0113419690 CCP ICE / Short: BEV2NHUA3 CDS USD P F 1.00000 CCP ICE
000000000
23816000.00000000
OU
Notional Amount
USD
-612825.93000000
-0.02042256863
N/A
DCR
QA
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
STATE OF QATAR
STATE OF QATAR
Y
buy protection
2027-12-20
676268.65000000
USD
0.00000000
USD
23816000.00000000
USD
-1289094.58000000
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-4302.81000000
-0.00014339215
N/A
DFE
CO
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
621917.94000000
USD
2400000000.00000000
COP
2021-09-10
-4302.81000000
N
N
N
BARBADOS GOVT OF
529900UD1KUUS4SFD905
Barbados Government International Bond
000000000
43779700.00000000
PA
USD
44217497.00000000
1.473558515332
Long
DBT
NUSS
BB
Y
2
2029-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RHF5
2019.32000000
PA
USD
20.06000000
0.000000668504
Long
ABS-MBS
USGSE
US
N
2
2025-06-25
Fixed
5.50000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-13890.83000000
-0.00046291518
N/A
DFE
HU
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
6537014.21000000
EUR
2349398331.00000000
HUF
2021-10-29
-13890.83000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
74321.19000000
0.002476771183
N/A
DFE
RU
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
3395672.58000000
USD
256664289.00000000
RUB
2021-10-08
74321.19000000
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
5380000.00000000
OU
Notional Amount
USD
-125246.56000000
-0.00417387114
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
-5786.02000000
USD
5380000.00000000
USD
-119460.54000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
BEV4GPY72 SYNTH SWAPTION
000000000
243850000.00000000
NC
353440.32000000
0.011778482015
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
243850000.00000000
OU
Notional Amount
N/A
353440.32000000
0.01000000
DIR
US
N/A
N/A
2027-02-21
0.00000000
N/A
0.00000000
N/A
243850000.00000000
ZAR
1.00000000
6.47000000
ZAR
2022-02-21
XXXX
-86190.60000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
5505000.00000000
PA
6408970.30000000
0.213580446674
Long
DBT
NUSS
RO
Y
2
2040-12-02
Fixed
2.62500000
N
N
N
N
N
N
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-467043.28000000
-0.01556432744
N/A
DFE
MY
N
2
Credit Agricole Corporate and Investment Bank
1VUV7VQFKUOQSJ21A208
26528183.13000000
USD
110675580.00000000
MYR
2021-10-06
-467043.28000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CRC / SOLD USD
000000000
1.00000000
NC
-22786.69000000
-0.00075937181
N/A
DFE
CR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2142553.26000000
USD
1315442000.00000000
CRC
2021-08-04
-22786.69000000
N
N
N
GEORGIA T-BILL
2138007T8RLEVDMLQ257
Georgia Treasury Bills
000000000
5291000.00000000
PA
1623749.43000000
0.054111832683
Long
STIV
NUSS
GE
N
2
2022-02-10
None
0.00000000
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
3742000.00000000
OU
Notional Amount
USD
27705.77000000
0.000923301319
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-12
0.00000000
USD
0.00000000
USD
3742000.00000000
USD
27705.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SEV4H2HG1 IRS ZAR R F 5.52000 2 CCPVANILLA / Short: SEV4H2HG1 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
476700000.00000000
OU
Notional Amount
-75201.55000000
-0.00250610938
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-02-24
0.00000000
ZAR
-22429.47000000
ZAR
476700000.00000000
ZAR
-73655.36000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
139671.41000000
0.004654582676
N/A
DFE
HU
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
6878016.57000000
EUR
2509587410.00000000
HUF
2021-08-02
139671.41000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B92RGQPJ0 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGQPJ0 CDS USD P F 1.00000 2 CCPSOVEREIGN
000000000
45900000.00000000
OU
Notional Amount
USD
-1073533.99000000
-0.03577577338
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
REPUBLIC OF PHILIPPINES
REPUBLIC OF PHILIPPINES
Y
buy protection
2026-06-20
0.00000000
USD
-1185490.61000000
USD
45900000.00000000
USD
111956.62000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
165346.53000000
0.005510212105
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
144836925.00000000
ZAR
9970085.32000000
USD
2021-10-07
165346.53000000
N
N
N
2021-08-25
Global Macro Absolute Return Advantage Portfolio
James Kirchner
James Kirchner
Treasurer
XXXX