NPORT-P
false
0000793159
XXXXXXXX
S000004375
C000196749
C000196748
C000012112
C000109121
C000012110
C000012113
Prudential Global Total Return Fund, Inc.
811-04661
0000793159
549300X4XNCFYMTTNX09
655 Broad Street
17th Floor
Newark
07102-4077
1-800-225-1852
PGIM Global Total Return Fund
S000004375
YMW0Y3TQ2LKMQXWJ6O25
2022-10-31
2022-01-31
N
5806894570.27
149512272.86
5657382297.41
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
46409106.94000000
AUD
CAD
CNY
EUR
GBP
JPY
USD
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-162.84000000
-0.00000287836
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-14
530.41000000
USD
0.00000000
USD
-400000000.00000000
JPY
-693.25000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
400488.71000000
0.007079046261
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-09-01
0.00000000
USD
-122.02000000
USD
129600000.00000000
CNY
400610.73000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-1509147.17000000
-0.02667571485
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-08-30
0.00000000
USD
0.00000000
USD
36220000.00000000
PLN
-1509147.17000000
N
N
N
HYDRO-QUEBEC
6THEVG93PYJH84S4D167
Hydro-Quebec
448814DB6
600000.00000000
PA
USD
847228.49000000
0.014975627338
Long
DBT
NUSS
CA
N
2
2029-06-15
Fixed
8.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS DKK
000000000
1.00000000
NC
6978.85000000
0.000123358288
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-08-29
17.25000000
USD
0.00000000
USD
5000000.00000000
DKK
6961.60000000
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAB9
1071225.00000000
PA
USD
1095268.57000000
0.019359988638
Long
DBT
CORP
N/A
N
2
2025-12-31
Fixed
13.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS THB
000000000
1.00000000
NC
-310596.76000000
-0.00549011439
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-07-03
0.00000000
USD
0.00000000
USD
200200000.00000000
THB
-310596.76000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
HUF/USD FORWARD
000000000
1.00000000
NC
USD
-120539.91000000
-0.00213066580
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-13524439.20000000
USD
4274939986.00000000
HUF
2022-04-19
-120539.91000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
197562.37000000
0.003492116311
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2023-06-20
0.00000000
USD
-331387.17000000
USD
18300000.00000000
USD
528949.54000000
N
N
N
Chesapeake Energy Corp
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167735
210759.00000000
NS
USD
14367441.03000000
0.253959168299
Long
EC
CORP
US
N
1
N
N
N
CD&R FIREFLY BIDCO LTD
213800OAU5VX61DYZ558
CD&R Firefly Bidco Ltd
000000000
16075000.00000000
PA
21619267.50000000
0.382142594639
Long
LON
CORP
GB
N
3
2026-06-21
Variable
0.01000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS KRW
000000000
1.00000000
NC
-338395.77000000
-0.00598149024
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-01-05
0.00000000
USD
0.00000000
USD
5000000000.00000000
KRW
-338395.77000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-948987.01000000
-0.01677431292
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-07
0.00000000
USD
0.00000000
USD
13365000.00000000
USD
-948987.01000000
N
N
N
OSLO KOMMUNE
5967007LIEEXZXGVU850
City of Oslo Norway
000000000
3000000.00000000
PA
310946.59000000
0.005496297998
Long
DBT
NUSS
NO
N
2
2030-11-27
Fixed
1.50000000
N
N
N
N
N
N
ROMANIA GOVERNMENT BOND
315700IASY927EDWBK92
Romania Government Bond
000000000
1000000.00000000
PA
218539.34000000
0.003862905642
Long
DBT
NUSS
RO
N
2
2025-07-28
Fixed
3.65000000
N
N
N
N
N
N
BEAZER HOMES USA
549300DUPYT2T0F60I45
Beazer Homes USA Inc
07556QBR5
1300000.00000000
PA
USD
1332130.40000000
0.023546762972
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-GC37
17290XAZ3
33868000.00000000
PA
USD
904807.33000000
0.015993392039
Long
ABS-MBS
CORP
US
N
2
2049-04-10
Variable
0.69306300
N
N
N
N
N
N
PROVINCE OF QUEBEC
549300WN65YFEQH74Y36
Province of Quebec Canada
74815HBZ4
500000.00000000
PA
USD
582857.16000000
0.010302594545
Long
DBT
NUSS
CA
N
2
2026-01-30
Fixed
6.35000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-296251.54000000
-0.00523654800
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-01-13
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
-296251.54000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
1500000.00000000
PA
USD
1768782.87000000
0.031265040561
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-107199.37000000
-0.00189485815
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2033-01-03
0.00000000
USD
-22.98000000
USD
15290000.00000000
MXN
-107176.39000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
3800000.00000000
PA
USD
4904510.17000000
0.086692217569
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
TRANSPORT FOR LONDON
213800FGQ9DJHGRLQZ89
Transport for London
000000000
800000.00000000
PA
1495386.00000000
0.026432472146
Long
DBT
CORP
GB
N
2
2064-04-07
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
27011.73000000
0.000477459867
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-06-19
0.00000000
USD
-1966.28000000
USD
80000000.00000000
JPY
28978.01000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS SAR
000000000
304125000.00000000
OU
Other
125361.84000000
0.002215898332
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Purchased
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS SAR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
2025-05-21
0.00000000
USD
0.00000000
USD
0.00000000
SAR
304125000.00000000
USD
2.05000000
SAR
2023-05-17
XXXX
-385527.29000000
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCX6
800000.00000000
PA
USD
819651.84000000
0.014488181934
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
6.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
6.36000000
0.000000112419
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-19
115.62000000
USD
0.00000000
USD
-80000000.00000000
JPY
-109.26000000
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833XP0
345000.00000000
PA
USD
300985.55000000
0.005320226461
Long
DBT
UST
US
N
2
2029-08-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAF8
2060000.00000000
PA
USD
2050986.88000000
0.036253284154
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
3.34967000
N
N
N
N
N
N
REPUBLIC OF AUSTRIA INTL
529900QWWUI4XRVR7I03
Republic of Austria Government International Bond
052591AT1
14276000.00000000
PA
12243059.75000000
0.216408563296
Long
DBT
NUSS
AT
N
2
2024-12-20
Fixed
5.00000000
N
N
N
N
N
N
SoFi Alternative Trust
N/A
Sofi Alternative Trust 2019-F
78472AAA0
5988641.47000000
PA
USD
6040404.89000000
0.106770314828
Long
ABS-O
CORP
US
N
2
2045-02-15
Variable
3.93211400
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SY5
1000000.00000000
PA
USD
1011718.75000000
0.017883160387
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
MidOcean Credit CLO
549300SR4K4D5ZP3EW03
Midocean Credit CLO V
59801TAL7
2604318.93000000
PA
USD
2604298.88000000
0.046033637875
Long
ABS-CBDO
CORP
KY
N
2
2028-07-19
Floating
1.36800000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
5600000.00000000
PA
USD
5744262.50000000
0.101535696158
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
158.70000000
0.000002805184
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-07-04
0.00000000
USD
-187.85000000
USD
105000000.00000000
JPY
346.55000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
17400000.00000000
PA
USD
13153193.31000000
0.232496101881
Long
DBT
CORP
US
N
2
2032-04-02
Variable
7.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
7700000.00000000
PA
8531619.73000000
0.150805077003
Long
DBT
NUSS
ID
N
2
2027-02-14
Fixed
0.90000000
N
N
N
N
N
N
SWEDISH EXPORT CREDIT
1FOLRR5RWTWWI397R131
Svensk Exportkredit AB
00254ECJ9
110000.00000000
PA
USD
71107.78000000
0.001256902508
Long
DBT
NUSS
SE
N
2
2037-05-11
None
0.00000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
000000000
4500000.00000000
PA
4989539.18000000
0.088195192011
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.50000000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2004-WMC2
57643LDJ2
1056064.87000000
PA
USD
1039680.55000000
0.018377413710
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
1.00771000
N
N
N
N
N
N
METROPOLITANO DE LISBOA
213800Q167XJFGRJJK66
Metropolitano de Lisboa EPE
000000000
5800000.00000000
PA
8181225.03000000
0.144611493441
Long
DBT
NUSS
PT
N
2
2027-12-07
Fixed
4.79900000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
7811000.00000000
PA
9027757.24000000
0.159574813321
Long
DBT
NUSS
SA
N
2
2039-07-09
Fixed
2.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BD4
875000.00000000
PA
USD
968636.09000000
0.017121630448
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
000000000
100000000.00000000
PA
870362.30000000
0.015384541016
Long
DBT
CORP
FR
N
2
2024-06-24
Fixed
0.56200000
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
970000.00000000
PA
746638.08000000
0.013197589286
Long
DBT
CORP
KY
N
2
2028-02-01
Fixed
4.90000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY INC
5493000C01ZX7D35SD85
Berkshire Hathaway Inc
000000000
1640000000.00000000
PA
14142828.15000000
0.249988906644
Long
DBT
CORP
US
N
2
2029-09-13
Fixed
0.44000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-115.68000000
-0.00000204476
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-12
396.16000000
USD
0.00000000
USD
-775000000.00000000
JPY
-511.84000000
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS4
52473CAA0
2133087.48000000
PA
USD
2134220.15000000
0.037724517061
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
3.43800000
N
N
N
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
Eskom Holdings SOC Ltd
29646AAC0
1350000.00000000
PA
USD
1418696.92000000
0.025076914470
Long
DBT
CORP
ZA
N
2
2028-08-10
Fixed
6.35000000
N
N
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
29878TBE3
2601000.00000000
PA
2479808.77000000
0.043833148258
Long
DBT
NUSS
N/A
N
2
2037-01-30
Fixed
4.60000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
2260.66000000
0.000039959470
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-16
0.00000000
USD
-1838.00000000
USD
1000000000.00000000
JPY
4098.66000000
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAZ5
3600000.00000000
PA
USD
3438000.00000000
0.060770155157
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.35000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
61000000.00000000
PA
689220.86000000
0.012182681384
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FQ2
24396000.00000000
PA
USD
24000385.44000000
0.424231281859
Long
DBT
CORP
US
N
2
N/A
Fixed
4.30000000
N
N
N
N
N
N
OZLM Ltd
549300ROA1URR67W0G46
OZLM XX Ltd
67112MAA3
5000000.00000000
PA
USD
5000278.00000000
0.088385011603
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.30400000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AJ8
2805000.00000000
PA
USD
2787578.15000000
0.049273285831
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.10600000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
SEK/USD FORWARD
000000000
1.00000000
NC
USD
265090.55000000
0.004685745740
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-76836605.00000000
SEK
8513205.08000000
USD
2022-04-19
265090.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
188056.73000000
0.003324094432
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-12-14
0.00000000
USD
-11692.26000000
USD
400000000.00000000
JPY
199748.99000000
N
N
N
PETRONAS ENERGY CANADA
5493001PEB90YGTDC638
Petronas Energy Canada Ltd
000000000
939000.00000000
PA
USD
918131.49000000
0.016228910151
Long
DBT
CORP
CA
N
2
2028-03-23
Fixed
2.11200000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CENTRAL BANK OF TUNISIA
000000000
1.00000000
NC
USD
64950.86000000
0.001148072670
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BNQ CEN TUNISIA INT BOND
Banque Centrale de Tunisie International Bond
Y
Default Event
2022-12-20
12710.13000000
USD
0.00000000
USD
-700000.00000000
USD
52240.73000000
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAB4
700000.00000000
PA
USD
697288.55000000
0.012325286030
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
2.94967000
N
N
N
N
N
N
EUROPEAN BK RECON & DEV
549300HTGDOVDU6OGK19
European Bank for Reconstruction & Development
000000000
60560000000.00000000
PA
4276119.70000000
0.075584775346
Long
DBT
NUSS
N/A
N
2
2022-12-13
Fixed
6.45000000
N
N
N
N
N
N
BRAZIL LOAN TRUST 1
549300V5WCG7Q7KQX569
Brazil Loan Trust 1
000000000
12224809.40000000
PA
USD
12487168.48000000
0.220723433976
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912833X96
800000.00000000
PA
USD
599531.25000000
0.010597326086
Long
DBT
UST
US
N
2
2035-11-15
None
0.00000000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAJ4
300000.00000000
PA
USD
333775.54000000
0.005899822964
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS KRW
000000000
1.00000000
NC
-622689.16000000
-0.01100666575
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-02-05
18.88000000
USD
0.00000000
USD
11000000000.00000000
KRW
-622708.04000000
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government International Bond
000000000
650000.00000000
PA
1182583.78000000
0.020903373995
Long
DBT
NUSS
BE
N
2
2032-05-28
Fixed
5.70000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
699698.09000000
0.012367877106
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-02-28
0.00000000
USD
0.00000000
USD
200000000.00000000
ZAR
699698.09000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLU1
1830000.00000000
PA
USD
1828856.80000000
0.032326908521
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
3.44967000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
48596.28000000
0.000858988794
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-12-20
0.00000000
USD
-13043.62000000
USD
3276010000.00000000
JPY
61639.90000000
N
N
N
NA DEVELOPMENT BANK
5493008W785ZKQMVNG08
North American Development Bank
656836AB9
198000.00000000
PA
USD
199273.67000000
0.003522365283
Long
DBT
NUSS
N/A
N
2
2022-10-26
Fixed
2.40000000
N
N
N
N
N
N
NORTH MACEDONIA
635400RD1N6RVNCE4958
North Macedonia Government International Bond
000000000
1000000.00000000
PA
1188285.51000000
0.021004157886
Long
DBT
NUSS
MK
N
2
2023-07-26
Fixed
5.62500000
N
N
N
N
N
N
ANDORRA INTERNATIONAL BD
549300ZPD490G9UI0A49
Andorra International Bond
000000000
400000.00000000
PA
446866.96000000
0.007898829114
Long
DBT
NUSS
AD
N
2
2031-05-06
Fixed
1.25000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government International Bond
000000000
9719000.00000000
PA
14200219.07000000
0.251003349667
Long
DBT
NUSS
GR
N
2
2034-07-17
Fixed
5.20000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911363AM1
590000.00000000
PA
USD
574437.52000000
0.010153768824
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
400000000.00000000
PA
3517940.98000000
0.062183193481
Long
DBT
NUSS
ID
N
2
2023-07-07
Fixed
1.13000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-711374.72000000
-0.01257427344
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2050-12-16
0.00000000
USD
-12992.00000000
USD
1000000000.00000000
JPY
-698382.72000000
N
N
N
UNITED GROUP BV
213800PC85O8BJ7DU398
United Group BV
000000000
3800000.00000000
PA
4055654.50000000
0.071687828164
Long
DBT
CORP
NL
N
2
2026-02-15
Fixed
3.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-381356.63000000
-0.00674086724
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2040-01-08
0.00000000
USD
-8857.46000000
USD
1200000000.00000000
JPY
-372499.17000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-640564.92000000
-0.01132263803
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2025-06-20
0.00000000
USD
-54497.20000000
USD
7205000.00000000
USD
-586067.72000000
N
N
N
GS Mortgage Securities Trust
549300V3F4KBEWHAZP46
GS Mortgage Securities Trust 2014-GC26
36250HAH6
56483000.00000000
PA
USD
512905.18000000
0.009066121980
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Variable
0.30866300
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-1060088.35000000
-0.01873814238
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-01-02
999.28000000
USD
0.00000000
USD
28290264.60000000
BRL
-1061087.63000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
950000.00000000
PA
1126486.26000000
0.019911793136
Long
DBT
NUSS
MX
N
2
2115-03-15
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CDS REPUBLIC OF SERBIA
000000000
1.00000000
NC
USD
9789.89000000
0.000173046286
N/A
DCR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
REPUBLIC OF SERBIA
Serbia International Bond
Y
Default Event
2025-12-20
0.00000000
USD
-1131.90000000
USD
1000000.00000000
USD
10921.79000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
307.74000000
0.000005439618
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-15
0.00000000
USD
-51.93000000
USD
110291400.00000000
JPY
359.67000000
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216JAF2
4400000.00000000
PA
USD
3998654.40000000
0.070680293283
Long
DBT
NUSS
IN
N
2
2031-01-13
Fixed
2.25000000
N
N
N
N
N
N
HYDRO-QUEBEC
6THEVG93PYJH84S4D167
Hydro-Quebec
448814DL4
800000.00000000
PA
USD
1244783.62000000
0.022002819582
Long
DBT
NUSS
CA
N
2
2030-11-15
Fixed
9.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
GBP/USD FORWARD
000000000
1.00000000
NC
USD
18490.00000000
0.000326829601
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-741883.00000000
GBP
1015824.11000000
USD
2022-04-19
18490.00000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
555287.08000000
0.009815265273
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2042-05-11
0.00000000
USD
-164514.47000000
USD
3190000.00000000
EUR
719801.55000000
N
N
N
INTERNATIONAL GAME TECH
549300UQ6KHRCZDRGZ76
International Game Technology PLC
460599AF0
5450000.00000000
PA
USD
5461359.00000000
0.096535088365
Long
DBT
CORP
GB
N
2
2026-04-15
Fixed
4.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-977.32000000
-0.00001727512
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-08
1227.21000000
USD
0.00000000
USD
-1200000000.00000000
JPY
-2204.53000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-1112553.63000000
-0.01966551969
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2025-12-20
0.00000000
USD
-499028.95000000
USD
5000000.00000000
USD
-613524.68000000
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
44300000.00000000
PA
2043703.19000000
0.036124537508
Long
DBT
NUSS
N/A
N
2
2028-04-06
Fixed
7.02000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
1750000.00000000
PA
1273715.22000000
0.022514215109
Long
DBT
CORP
GB
N
2
2024-06-26
Fixed
3.25000000
N
N
N
N
N
N
GRAND DUCHY OF LUXEMBOUR
22210065LIUFB00MNF63
State of the Grand-Duchy of Luxembourg
000000000
100000.00000000
PA
107970.66000000
0.001908491495
Long
DBT
NUSS
LU
N
2
2032-09-14
None
0.00000000
N
N
N
N
N
N
One New York Plaza Trust 2020-
N/A
One New York Plaza Trust 2020-1NYP
68249DAG4
8475000.00000000
PA
USD
8469925.17000000
0.149714562755
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
2.30600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-1055969.95000000
-0.01866534546
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-07-15
0.00000000
USD
0.00000000
USD
1677900000.00000000
HUF
-1055969.95000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
240320.07000000
0.004247902251
Long
DBT
NUSS
ES
N
2
2044-07-30
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
-141771.86000000
-0.00250596216
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-53518503.22000000
ZAR
3318210.00000000
USD
2022-03-16
-141771.86000000
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
USD/HKD FORWARD
000000000
1.00000000
NC
USD
6405.36000000
0.000113221268
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-49203685.00000000
HKD
6316928.27000000
USD
2022-02-18
6405.36000000
N
N
N
Generate CLO Ltd.
5493009C48K5WG4EX118
Generate CLO 2 Ltd
98625TAJ4
5000000.00000000
PA
USD
4999994.50000000
0.088380000451
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
1.40886000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
1511000.00000000
PA
USD
1435151.50000000
0.025367765948
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-518460.46000000
-0.00916431721
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2050-05-29
0.00000000
USD
-165.36000000
USD
500000000.00000000
JPY
-518295.10000000
N
N
N
SoFi Alternative Trust
549300R6IBV4OG5V8H03
Sofi Alternative Trust 2019-B
83405CAA8
4498594.92000000
PA
USD
4602769.78000000
0.081358648541
Long
ABS-O
CORP
US
N
2
2045-12-15
Variable
0.01000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HESS CORPORATION
000000000
1.00000000
NC
USD
128286.45000000
0.002267593796
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HESS CORP
Hess Corp
Y
Default Event
2022-06-20
85690.49000000
USD
0.00000000
USD
34020000.00000000
USD
42595.96000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-320865.89000000
-0.00567163173
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-16051388.23000000
USD
22238123.00000000
AUD
2022-04-19
-320865.89000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS REPUBLIC OF SOUTH AFRICA
000000000
1.00000000
NC
USD
11514.92000000
0.000203537950
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2023-06-20
0.00000000
USD
-39425.57000000
USD
5000000.00000000
USD
50940.49000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GREECE HELLENIC REPUBLIC
000000000
1.00000000
NC
USD
10200.76000000
0.000180308833
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2024-06-20
0.00000000
USD
-97028.09000000
USD
1000000.00000000
USD
107228.85000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
-929653.90000000
-0.01643258049
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-11-25
0.00000000
USD
0.00000000
USD
170000000.00000000
NOK
-929653.90000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/COP FORWARD
000000000
1.00000000
NC
USD
19489.26000000
0.000344492540
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-6690510.69000000
USD
26633919480.00000000
COP
2022-03-16
19489.26000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS DP WORLD PLC
000000000
1.00000000
NC
USD
21485.02000000
0.000379769633
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
DP WORLD PLC
DP World Ltd/United Arab Emirates
Y
Default Event
2024-12-20
5421.50000000
USD
0.00000000
USD
2000000.00000000
USD
16063.52000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
188657.74000000
0.003334717897
Long
DBT
NUSS
GB
N
2
2065-07-22
Fixed
2.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-40.31000000
-0.00000071252
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-03
97.99000000
USD
0.00000000
USD
-70000000.00000000
JPY
-138.30000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
24000000.00000000
PA
4387397.30000000
0.077551720377
Long
DBT
NUSS
CN
N
2
2034-05-22
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
5700000.00000000
PA
6605090.11000000
0.116751701807
Long
DBT
NUSS
ID
N
2
2023-06-14
Fixed
2.62500000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS REPUBLIC OF PORTUGAL
000000000
1.00000000
NC
USD
8735.58000000
0.000154410282
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
RUSSIAN FOREIGN BOND - EUROBOND
RUSSIAN FOREIGN BOND - EUROBOND
Y
Default Event
2024-06-20
0.00000000
USD
-17852.97000000
USD
400000.00000000
USD
26588.55000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS CLP
000000000
1.00000000
NC
-207943.86000000
-0.00367561973
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2027-12-20
0.00000000
USD
0.00000000
USD
2420000000.00000000
CLP
-207943.86000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS KINGDOM OF SPAIN
000000000
1.00000000
NC
USD
74107.05000000
0.001309917663
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SPAIN GOVERNMENT INTERNATIONAL BOND
SPAIN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2030-12-20
40988.17000000
USD
0.00000000
USD
2000000.00000000
USD
33118.88000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
7744.26000000
0.000136887691
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-03
0.00000000
USD
-113.07000000
USD
3399385000.00000000
JPY
7857.33000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
000000000
8080000.00000000
PA
11748532.96000000
0.207667298096
Long
DBT
CORP
NL
N
2
2034-01-16
Fixed
6.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
-106069.56000000
-0.00187488761
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-03-26
0.00000000
USD
0.00000000
USD
10000000.00000000
AUD
-106069.56000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-880285.54000000
-0.01555994440
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2045-10-23
0.00000000
USD
-6664.18000000
USD
2000000000.00000000
JPY
-873621.36000000
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
35000.00000000
PA
USD
42913.76000000
0.000758544460
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
Tryon Park CLO LTD
549300XSFFA9X5E6Q356
Tryon Park CLO Ltd
89852TAP3
3700000.00000000
PA
USD
3695412.37000000
0.065320181238
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.74129000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
519215225.00000000
PA
1173061.86000000
0.020735064351
Long
DBT
NUSS
AR
N
2
2033-12-31
Variable
4.33000000
N
Y
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
168931.85000000
0.002986042680
Long
DBT
NUSS
ES
N
2
2057-07-30
None
0.00000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
3870000.00000000
PA
4459981.57000000
0.078834721352
Long
DBT
NUSS
MX
N
2
2024-03-06
Fixed
1.62500000
N
N
N
N
N
N
LITHUANIA GOVERNMNT BOND
529900F7Y171QF1RSU09
Lithuania Government Bond
000000000
200000.00000000
PA
227157.52000000
0.004015240760
Long
DBT
NUSS
LT
N
2
2023-06-29
Fixed
0.60000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
293280.22000000
0.005184026897
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2041-11-24
0.00000000
USD
0.00000000
USD
-12485000.00000000
EUR
293280.22000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS CATALONIA AUTONOMOUS COMMUNITY OF
000000000
1.00000000
NC
USD
53836.42000000
0.000951613611
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
GENERALITAT DE CATALUNYA
Autonomous Community of Catalonia
Y
Default Event
2025-12-20
0.00000000
USD
-36339.56000000
USD
4900000.00000000
USD
90175.98000000
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HBW9
1951747.04000000
PA
USD
2173931.78000000
0.038426460608
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
28.34800000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
83266.58000000
0.001471821694
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-09-19
0.00000000
USD
-13.14000000
USD
24300000.00000000
CNY
83279.72000000
N
N
N
PROVINCE OF ALBERTA
LQPXMHHNJKIPJYE53543
Province of Alberta Canada
000000000
2000000.00000000
PA
211182.02000000
0.003732857510
Long
DBT
NUSS
CA
N
2
2029-02-20
Fixed
1.40250000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
76675.60000000
0.001355319403
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-06-06
0.00000000
USD
0.00000000
USD
2700000.00000000
AUD
76675.60000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
159.46000000
0.000002818618
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-03
0.00000000
USD
-2.17000000
USD
70000000.00000000
JPY
161.63000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
7668.74000000
0.000135552798
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-20
0.00000000
USD
-5723.58000000
USD
3276010000.00000000
JPY
13392.32000000
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2019-C LLC
83401CAC8
2100000.00000000
PA
USD
2101620.57000000
0.037148286248
Long
ABS-O
CORP
US
N
2
2048-11-16
Fixed
3.05000000
N
N
N
N
N
N
ISLE OF MAN
549300ZXHSYV21BRHW71
Isle of Man Government International Bond
000000000
10311000.00000000
PA
18982597.74000000
0.335536768457
Long
DBT
NUSS
IM
N
2
2034-08-14
Fixed
5.37500000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
957.12000000
0.000016918071
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-09
0.00000000
USD
-186.53000000
USD
273000000.00000000
JPY
1143.65000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXR0
2450000.00000000
PA
USD
2258060.90000000
0.039913528577
Long
DBT
CORP
US
N
2
2032-01-27
Fixed
1.99200000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FVNJ7
75422673.59000000
PA
USD
6141721.11000000
0.108561182312
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.11754900
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
167498.60000000
0.002960708525
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-05-15
0.00000000
USD
0.00000000
USD
-14000000.00000000
EUR
167498.60000000
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AZ6
2000000.00000000
PA
USD
2079610.36000000
0.036759233346
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
4.45000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
10500000.00000000
PA
1820149.41000000
0.032172996525
Long
DBT
NUSS
CN
N
2
2029-05-22
Fixed
4.29000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
JPY/USD FORWARD
000000000
1.00000000
NC
USD
1356150.14000000
0.023971336365
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-1686189516.00000000
JPY
16037000.00000000
USD
2022-05-31
1356150.14000000
N
N
N
CROATIA
74780000O00QGQ7CER13
Croatia Government International Bond
000000000
5600000.00000000
PA
6333043.78000000
0.111943005564
Long
DBT
NUSS
HR
N
2
2031-06-17
Fixed
1.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
87.00000000
0.000001537813
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-15
43.45000000
USD
0.00000000
USD
-200000000.00000000
JPY
43.55000000
N
N
N
BELLIS ACQUISITION CO PL
259400CYE2267UB4A481
Bellis Acquisition Co PLC
000000000
21100000.00000000
PA
26260605.55000000
0.464182976674
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
3.25000000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
350000.00000000
PA
247762.44000000
0.004379453729
Long
DBT
NUSS
N/A
N
2
2022-07-29
Fixed
0.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
FRENCH GOVERNMENT BOND
000000000
411.00000000
NC
-1927831.62000000
-0.03407638937
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
French Republic Government Bond OAT
2022-03-08
76497905.24000000
USD
-1927831.62000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AD3
5000000.00000000
PA
USD
5041979.60000000
0.089122129899
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.50000000
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
N/A
EXPORT-IMPORT BANK OF KOREA
000000000
5000000.00000000
PA
800389.22000000
0.014147695487
Long
DBT
NUSS
KR
N
2
2023-09-04
Fixed
4.14000000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216JAE5
2910000.00000000
PA
USD
2885194.78000000
0.050998759290
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDA5
2905000.00000000
PA
USD
2912173.61000000
0.051475637616
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
404680.14000000
0.007153134059
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
6246644.52000000
BRL
404680.14000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
78257.05000000
0.001383273144
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-04-16
0.00000000
USD
-920.61000000
USD
35000000.00000000
ZAR
79177.66000000
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
000000000
2000000.00000000
PA
2321062.60000000
0.041027147857
Long
DBT
NUSS
HU
N
2
2025-10-22
Fixed
1.25000000
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
7892000.00000000
PA
10736956.81000000
0.189786658308
Long
SN
NUSS
IT
N
2
2029-06-28
Floating
4.25000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
127361.55000000
0.002251245245
Long
DBT
NUSS
GB
N
2
2051-07-31
Fixed
1.25000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
100000.00000000
PA
162536.63000000
0.002873000646
Long
DBT
NUSS
GR
N
2
2042-01-30
Fixed
4.20000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
82481.68000000
0.001457947786
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2024-06-20
0.00000000
USD
-148596.51000000
USD
6000000.00000000
USD
231078.19000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
1143000.00000000
PA
1539631.84000000
0.027214562478
Long
DBT
CORP
US
N
2
2022-03-31
None
0.00000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
1000.00000000
PA
1606.35000000
0.000028393873
Long
DBT
NUSS
GR
N
2
2039-02-24
Variable
4.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
-473146.80000000
-0.00836335207
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-07-13
0.00000000
USD
0.00000000
USD
70000000.00000000
SEK
-473146.80000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
27808.27000000
0.000491539523
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-05-02
73.76000000
USD
0.00000000
USD
1000000.00000000
AUD
27734.51000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JAT1
4500000.00000000
PA
USD
4598365.50000000
0.081280798402
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
3.15300000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2016-C1
46645LAW7
966223.46000000
PA
USD
976893.66000000
0.017267591416
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.51470000
N
N
N
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND
000000000
100000000.00000000
PA
1135501.52000000
0.020071147048
Long
DBT
NUSS
PL
N
2
2034-08-04
Fixed
3.22000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-188.50000000
-0.00000333192
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-18
180.46000000
USD
0.00000000
USD
-100000000.00000000
JPY
-368.96000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
200934.74000000
0.003551726389
Long
DBT
NUSS
GB
N
2
2038-12-07
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS CLP
000000000
1.00000000
NC
-82495.77000000
-0.00145819684
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2028-02-01
0.00000000
USD
0.00000000
USD
1080000000.00000000
CLP
-82495.77000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
-56747.54000000
-0.00100307062
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2028-12-20
0.00000000
USD
-39383.50000000
USD
9655000.00000000
USD
-17364.04000000
N
N
N
Henley CLO
6354009HFM8XXW6PPK55
Henley CLO IV DAC
000000000
5000000.00000000
PA
5605422.32000000
0.099081554424
Long
ABS-CBDO
CORP
IE
N
2
2034-04-25
Floating
0.90000000
N
N
N
N
N
N
CO-OPERATIVE GROUP LTD
213800TKR59ER8Z69V16
Co-Operative Group Ltd
000000000
3400000.00000000
PA
4664462.37000000
0.082449127967
Long
DBT
CORP
GB
N
2
2024-05-17
Fixed
5.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
18751.53000000
0.000331452410
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-21
0.00000000
USD
-1047.51000000
USD
190000000.00000000
JPY
19799.04000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
2395.22000000
0.000042337955
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-14
0.00000000
USD
-190.93000000
USD
1000000000.00000000
JPY
2586.15000000
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
465410BG2
11108000.00000000
PA
USD
13384712.56000000
0.236588440666
Long
DBT
NUSS
IT
N
2
2033-06-15
Fixed
5.37500000
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1573.96000000
0.000027821347
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-28
0.00000000
USD
-299.66000000
USD
800000000.00000000
JPY
1873.62000000
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
383040.31000000
PA
441306.40000000
0.007800540546
Long
DBT
NUSS
IT
N
2
2024-12-31
Fixed
3.44400000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
33300000.00000000
PA
1534142.72000000
0.027117536686
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
7.50000000
N
N
N
N
N
N
MidOcean Credit CLO
549300XXQYQPW7OQNX23
Midocean Credit CLO IX
59802MAA5
2000000.00000000
PA
USD
1999954.60000000
0.035351236576
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
1.40400000
N
N
N
N
N
N
REPUBLIC OF SLOVENIA
485100000LWQHIX4XX88
Slovenia Government International Bond
000000000
2153000.00000000
PA
USD
2323108.42000000
0.041063309811
Long
DBT
NUSS
SI
N
2
2024-02-18
Fixed
5.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
86874.99000000
0.001535604020
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-06-21
0.00000000
USD
-178.38000000
USD
46800000.00000000
ZAR
87053.37000000
N
N
N
UNITI GRP/UNITI HLD/CSL
N/A
Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC
91327AAA0
8600000.00000000
PA
USD
8955579.38000000
0.158298996058
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.87500000
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
1400000.00000000
PA
2039614.77000000
0.036052270516
Long
DBT
NUSS
IT
N
2
2036-03-28
Fixed
4.42500000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
2647555.48000000
PA
USD
2662506.76000000
0.047062521499
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
1.95771000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B3 Mortgage Trust
08161BAW3
7200000.00000000
PA
USD
7475217.12000000
0.132132083833
Long
ABS-MBS
CORP
US
N
2
2051-04-10
Fixed
3.74600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
-74547.95000000
-0.00131771102
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-09
0.00000000
USD
-5596.00000000
USD
213000000.00000000
ZAR
-68951.95000000
N
N
N
NEWDAY FUNDING
213800GBPRAJHSB5YK19
Newday Funding Master Issuer PLC - Series 2021-1
65120LAA9
3500000.00000000
PA
USD
3512530.00000000
0.062087548893
Long
ABS-O
CORP
GB
N
2
2029-03-15
Floating
1.14970700
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
124729.78000000
0.002204726027
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-03-09
0.00000000
USD
-3909.70000000
USD
273000000.00000000
JPY
128639.48000000
N
N
N
ALBERTA CPN STRIP
LQPXMHHNJKIPJYE53543
Province of Alberta Coupon Strip
01305ZQP0
650000.00000000
PA
454860.48000000
0.008040122729
Long
DBT
NUSS
CA
N
2
2027-06-01
None
0.00000000
N
N
N
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAB6
2175000.00000000
PA
USD
2241694.81000000
0.039624241250
Long
DBT
CORP
CA
N
2
2027-09-15
Fixed
6.25000000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/GBP FORWARD
000000000
1.00000000
NC
USD
5227371.76000000
0.092399125340
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-273441421.00000000
GBP
372822338.26000000
USD
2022-04-19
5227371.76000000
N
N
N
SOUTHAVEN CMBD CYCLE GEN
N/A
Southaven Combined Cycle Generation LLC
841215AA4
8463.89000000
PA
USD
9063.92000000
0.000160214026
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
3.84600000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS REPUBLIC OF PORTUGAL
000000000
1.00000000
NC
USD
72377.90000000
0.001279353174
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
PORTUGAL OBRIGACOES DO TESOURO OT
PORTUGAL OBRIGACOES DO TESOURO OT
Y
Default Event
2023-12-20
0.00000000
USD
-747.81000000
USD
4130000.00000000
USD
73125.71000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
1000000.00000000
PA
1092133.38000000
0.019304570958
Long
DBT
CORP
CH
N
2
2023-04-14
Fixed
1.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
39354.87000000
0.000695637450
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-10-07
0.00000000
USD
-1317.13000000
USD
185220000.00000000
ZAR
40672.00000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
613685.69000000
0.010847520244
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-02-23
163.79000000
USD
0.00000000
USD
6400000.00000000
EUR
613521.90000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
200000.00000000
PA
222331.37000000
0.003929933639
Long
DBT
CORP
US
N
2
2023-12-15
None
0.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBR3
500000.00000000
PA
USD
512010.17000000
0.009050301766
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.50000000
N
N
N
N
N
N
WILLIAM HILL PLC
213800MDW41W5UZQIX82
William Hill Ltd
000000000
3315000.00000000
PA
4592093.80000000
0.081169939710
Long
DBT
CORP
GB
N
2
2026-05-01
Fixed
4.75000000
N
N
N
N
N
N
KOREA EXPRESSWAY CORP
988400EZO9DR1OFL5772
Korea Expressway Corp
000000000
80000000.00000000
PA
9192515.15000000
0.162487077357
Long
DBT
NUSS
KR
N
2
2032-04-28
Fixed
2.31000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KAH2
12595000.00000000
PA
USD
12621439.42000000
0.223096809734
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
1.84967000
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
465410BX5
500000.00000000
PA
USD
507023.19000000
0.008962151810
Long
DBT
NUSS
IT
N
2
2024-10-17
Fixed
2.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDL2
55000.00000000
PA
USD
54123.44000000
0.000956686982
Long
DBT
UST
US
N
2
2028-11-30
Fixed
1.50000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
219546.01000000
0.003880699561
Long
DBT
NUSS
GB
N
2
2049-12-07
Fixed
4.25000000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AF3
2625000.00000000
PA
USD
2711483.43000000
0.047928234074
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.37500000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System Inc
78355HKQ1
9000000.00000000
PA
USD
9686363.22000000
0.171216345489
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KND7
2060000.00000000
PA
USD
2077547.29000000
0.036722766480
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
3.69967000
N
N
N
N
N
N
PHILLIPS 66 PARTNERS LP
549300TL5L4IG0H4FX64
Phillips 66 Partners LP
718549AB4
2000000.00000000
PA
USD
2079568.60000000
0.036758495195
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.60500000
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MV0
19245000.00000000
PA
USD
18849907.27000000
0.333191329117
Long
DBT
CORP
US
N
2
N/A
Fixed
3.87500000
N
N
N
N
N
N
BELLIS FINCO PLC
259400ELWH6Z4ICFTD70
Bellis Finco PLC
000000000
6700000.00000000
PA
8162776.91000000
0.144285404112
Long
DBT
CORP
GB
N
2
2027-02-16
Fixed
4.00000000
N
N
N
N
N
N
Silver Creek CLO
549300LSJSAR2PPV4U78
Silver Creek CLO Ltd
827551AL6
459806.84000000
PA
USD
459713.68000000
0.008125907987
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.49400000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
27925.94000000
0.000493619460
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-06-21
0.00000000
USD
-1988.55000000
USD
82000000.00000000
JPY
29914.49000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-25.33000000
-0.00000044773
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-21
105.42000000
USD
0.00000000
USD
-82000000.00000000
JPY
-130.75000000
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513JB34
5000000.00000000
PA
USD
5160762.15000000
0.091221732573
Long
DBT
NUSS
IL
N
2
2030-07-03
Fixed
2.75000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAE6
4410000.00000000
PA
USD
4420674.14000000
0.078139922451
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
3.85000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-1236873.81000000
-0.02186300562
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-01-02
0.00000000
USD
0.00000000
USD
33887526.14000000
BRL
-1236873.81000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
26626.21000000
0.000470645408
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-04-26
0.00000000
USD
-22491.11000000
USD
2830000.00000000
NZD
49117.32000000
N
N
N
Cantor Commercial Real Estate
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAD5
16531000.00000000
PA
USD
16616298.31000000
0.293710013509
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
2.64660000
N
N
N
N
N
N
SPEEDSTER BIDCO GMBH
N/A
Speedster Bidco GmbH
000000000
3265000.00000000
PA
3677234.41000000
0.064998867262
Long
LON
CORP
DE
N
2
2028-03-31
Floating
6.25000000
N
N
N
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
000000000
280000.00000000
PA
30634.08000000
0.000541488596
Long
DBT
NUSS
N/A
N
2
2028-05-12
Fixed
1.37500000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
170.98000000
0.000003022245
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-21
0.00000000
USD
-32.49000000
USD
71000000.00000000
JPY
203.47000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-2152.93000000
-0.00003805523
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-23
3138.29000000
USD
0.00000000
USD
-2000000000.00000000
JPY
-5291.22000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
899.52000000
0.000015899933
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-14
0.00000000
USD
-167.53000000
USD
350000000.00000000
JPY
1067.05000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
5965000.00000000
PA
10909927.86000000
0.192844097967
Long
DBT
NUSS
GB
N
2
2036-03-07
Fixed
4.25000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-1 Ltd
26983BAC5
4200000.00000000
PA
USD
4248627.18000000
0.075098817026
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
2.74967000
N
N
N
N
N
N
SoFi RR Funding III Trust
N/A
Sofi RR Funding III Trust 2020-1
78472DAA4
2406493.84000000
PA
USD
2406411.30000000
0.042535773145
Long
ABS-O
CORP
US
N
2
2024-11-29
Floating
1.35771000
N
N
N
N
N
N
Rathlin Residential
635400C7HSB9QLJBUZ78
Rathlin Residential 2021-1 DAC
000000000
1474117.29000000
PA
1633118.49000000
0.028867034330
Long
ABS-O
CORP
IE
N
2
2075-09-27
Floating
1.43200000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
USD CALL VERSUS MXN PUT
000000000
319500000.00000000
NC
USD
65.44000000
0.000001156718
N/A
DFE
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
Call
Purchased
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
USD CALL VERSUS MXN PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2022-02-23
319500000.00000000
USD
31.50000000
USD
2022-02-23
XXXX
-4920234.56000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-152.00000000
NC
USD
175159.34000000
0.003096119915
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2022-06-14
-38013659.34000000
USD
175159.34000000
N
N
N
REPUBLIC OF ALBANIA
254900EDM43U3SGRND29
Albania Government International Bond
000000000
1000000.00000000
PA
1171320.54000000
0.020704284745
Long
DBT
NUSS
AL
N
2
2025-10-09
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
200746.49000000
0.003548398878
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2034-11-05
0.00000000
USD
-1752.13000000
USD
180000000.00000000
JPY
202498.62000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS REPUBLIC OF SOUTH AFRICA
000000000
1.00000000
NC
USD
37979.46000000
0.000671325676
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2026-06-20
34816.09000000
USD
0.00000000
USD
-1000000.00000000
USD
3163.37000000
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
29878TBG8
20500000.00000000
PA
10125849.01000000
0.178984704898
Long
DBT
CORP
LU
N
2
2037-05-28
None
0.00000000
N
N
N
N
N
N
SHARJAH SUKUK PROGRAM
549300N3BQ9P6RRMVV02
Sharjah Sukuk Program Ltd
000000000
4000000.00000000
PA
USD
4169939.36000000
0.073707929582
Long
DBT
NUSS
KY
N
2
2026-04-03
Fixed
3.85400000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
34000.00000000
PA
45616.98000000
0.000806326629
Long
DBT
NUSS
GR
N
2
2031-02-24
Variable
4.30000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 10 YEAR EURO BUND
000000000
-205.00000000
NC
882250.01000000
0.015594668410
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-03-08
-40036409.68000000
USD
882250.01000000
N
N
N
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-53339.96000000
-0.00094283817
N/A
DFE
CORP
US
N
2
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
-19830200.00000000
BRL
3679072.36000000
USD
2022-02-02
-53339.96000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
-113033.77000000
-0.00199798712
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-10-07
0.00000000
USD
0.00000000
USD
16000000.00000000
SEK
-113033.77000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KKK4
1570000.00000000
PA
USD
1556253.39000000
0.027508365321
Long
ABS-MBS
CORP
US
N
2
2041-09-25
Floating
3.39967000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAC7
1100000.00000000
PA
USD
1077313.08000000
0.019042607046
Long
DBT
CORP
N/A
N
2
2026-12-31
Fixed
8.00000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
456.09000000
0.000008061855
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-09
0.00000000
USD
-39.75000000
USD
160000000.00000000
JPY
495.84000000
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust 2021-10
55351L102
10090000.00000000
PA
USD
10084711.83000000
0.178257563301
Long
ABS-MBS
CORP
US
N
2
2023-02-22
Floating
1.60188000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-FCMT
95003EAG1
2200000.00000000
PA
USD
2199340.66000000
0.038875588467
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Floating
3.60600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
-222725.74000000
-0.00393690453
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-12-08
0.00000000
USD
0.00000000
USD
21566000.00000000
AUD
-222725.74000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-106.98000000
-0.00000189098
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-03
109.38000000
USD
0.00000000
USD
-160000000.00000000
JPY
-216.36000000
N
N
N
Equifirst Mortgage Loan Trust
N/A
EquiFirst Mortgage Loan Trust 2004-1
29445FAR9
538920.27000000
PA
USD
522465.63000000
0.009235112681
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
0.58771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
525028.15000000
0.009280407835
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-01-05
0.00000000
USD
-410.41000000
USD
192490000.00000000
CNY
525438.56000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBJ9
3765000.00000000
PA
USD
3569137.40000000
0.063088142401
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
4700000.00000000
PA
5855605.84000000
0.103503803210
Long
DBT
NUSS
CY
N
2
2028-09-25
Fixed
2.37500000
N
N
N
N
N
N
CLIFFORD CAPITAL PTE LTD
549300H4QHGSBXBALF78
Clifford Capital Pte Ltd
000000000
5000000.00000000
PA
USD
5243547.65000000
0.092685050688
Long
DBT
CORP
SG
N
2
2032-08-18
Fixed
3.11000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
000000000
1200000.00000000
PA
906370.95000000
0.016021030617
Long
DBT
CORP
FR
N
2
2027-07-06
Fixed
4.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-445021.45000000
-0.00786620784
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2025-12-20
0.00000000
USD
-205765.01000000
USD
2000000.00000000
USD
-239256.44000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
175454.48000000
0.003101336815
Long
DBT
NUSS
ES
N
2
2056-07-30
None
0.00000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding XIII LLC
68377FAC2
4158000.00000000
PA
USD
4192422.00000000
0.074105333166
Long
ABS-O
CORP
US
N
2
2025-08-08
Fixed
3.87000000
N
N
N
N
N
N
CORNING INC
549300X2937PB0CJ7I56
Corning Inc
219350BC8
100000000.00000000
PA
857570.90000000
0.015158439980
Long
DBT
CORP
US
N
2
2024-08-09
Fixed
0.69800000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
000000000
1884000.00000000
PA
2179906.47000000
0.038532069345
Long
DBT
NUSS
CL
N
2
2029-02-01
Fixed
1.44000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS KINGDOM OF SPAIN
000000000
1.00000000
NC
USD
40435.48000000
0.000714738334
N/A
DCR
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
SPAIN GOVERNMENT INTERNATIONAL BOND
SPAIN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2030-06-20
0.00000000
USD
-3457.61000000
USD
1100000.00000000
USD
43893.09000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS CHF
000000000
1.00000000
NC
3307.24000000
0.000058458838
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-19
0.00000000
USD
-592.53000000
USD
800000.00000000
CHF
3899.77000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS THB
000000000
1.00000000
NC
-35505.59000000
-0.00062759750
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2030-05-29
0.00000000
USD
0.00000000
USD
23000000.00000000
THB
-35505.59000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CZK
000000000
1.00000000
NC
2623170.63000000
0.046367215296
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-01-28
0.00000000
USD
0.00000000
USD
-364670000.00000000
CZK
2623170.63000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
16247.34000000
0.000287188299
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-05-27
0.00000000
USD
-114.45000000
USD
110000000.00000000
JPY
16361.79000000
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
000000000
3212000.00000000
PA
3771809.12000000
0.066670571683
Long
DBT
CORP
AE
N
2
2026-09-25
Fixed
2.37500000
N
N
N
N
N
N
DIAMOND SPORTS GROUP LLC
5493002K6DHWNZH8YA34
Diamond Sports Group LLC
25277BAB4
2302335.03020000
PA
USD
929979.89000000
0.016438342701
Long
LON
CORP
US
N
2
2026-08-24
Floating
3.35770000
N
N
N
N
N
N
Voya CLO Ltd
5493007ASGBOUR3XJY69
Voya CLO 2013-2 Ltd
92916WAA7
4500000.00000000
PA
USD
4496312.70000000
0.079476911115
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
1.22771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
54584.54000000
0.000964837395
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-12-22
0.00000000
USD
-3696.17000000
USD
150000000.00000000
JPY
58280.71000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
62000000.00000000
PA
10993149.34000000
0.194315122473
Long
DBT
NUSS
CN
N
2
2045-05-21
Fixed
4.10000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
5645.73000000
0.000099794033
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-06
0.00000000
USD
-623.81000000
USD
2100000000.00000000
JPY
6269.54000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-2391416.23000000
-0.04227071999
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-11-23
0.00000000
USD
0.00000000
USD
447550000.00000000
EUR
-2391416.23000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
40000.00000000
PA
USD
38904.73000000
0.000687680767
Long
DBT
CORP
US
N
2
2024-11-30
Floating
0.17538000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
134616.58000000
0.002379485297
Long
DBT
NUSS
GB
N
2
2047-07-22
Fixed
1.50000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
000000000
675000.00000000
PA
769103.17000000
0.013594682656
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GAZPROM PAO
000000000
1.00000000
NC
109298.77000000
0.001931967193
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Gazprom PJSC Via Gaz Capital SA
GAZPROM (GAZ CAPITAL SA)
Y
Default Event
2025-06-20
15925.20000000
USD
0.00000000
USD
-2000000.00000000
EUR
93373.57000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
207880.58000000
0.003674501192
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-04
0.00000000
USD
0.00000000
USD
92700000.00000000
CNY
207880.58000000
N
N
N
DEUTSCHE BAHN FIN GMBH
52990002BAIDUAIIYU29
Deutsche Bahn Finance GMBH
000000000
1000000.00000000
PA
656418.15000000
0.011602860041
Long
DBT
CORP
DE
N
2
2030-07-08
Fixed
1.98700000
N
N
N
N
N
N
HYDRO-QUEBEC
6THEVG93PYJH84S4D167
Hydro-Quebec
44881HEU4
654000.00000000
PA
USD
780091.42000000
0.013788911178
Long
DBT
NUSS
CA
N
2
2025-03-28
Variable
8.40000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS REPUBLIC OF GREECE
000000000
1.00000000
NC
USD
-439692.93000000
-0.00777202081
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2028-12-20
0.00000000
USD
-155373.79000000
USD
16550000.00000000
USD
-284319.14000000
N
N
N
Anchorage Capital Europe CLO
635400DODOOELVF8BK72
Anchorage Capital Europe CLO 2021-4 DAC
000000000
4000000.00000000
PA
4483314.62000000
0.079247156799
Long
ABS-CBDO
CORP
IE
N
2
2034-04-25
Floating
0.87000000
N
N
N
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
LifePoint Health Inc
53219LAU3
3000000.00000000
PA
USD
2853858.21000000
0.050444853467
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.37500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
2675000.00000000
PA
USD
2544348.88000000
0.044973960504
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Providus CLO
635400JFBYET5G2XFP83
Providus CLO II DAC
000000000
7500000.00000000
PA
8418852.03000000
0.148811792935
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Floating
1.65000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS TREASURY BOND
000000000
1.00000000
NC
USD
-903596.88000000
-0.01597199610
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
US TREASURY N/B
United States Treasury Note/Bond
Y
2022-02-03
0.00000000
USD
0.00000000
USD
53898089.56000000
USD
-903596.88000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAT9
3130000.00000000
PA
USD
3249561.46000000
0.057439311843
Long
DBT
CORP
FR
N
2
2024-03-28
Fixed
3.87500000
N
N
N
N
N
N
CHINA GOVT INTL BOND
300300CHN201808MOF68
China Government International Bond
000000000
3500000.00000000
PA
3761532.49000000
0.066488921770
Long
DBT
NUSS
CN
N
2
2039-11-12
Fixed
1.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
3726.33000000
0.000065866681
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-02
258.38000000
USD
0.00000000
USD
-5000000000.00000000
JPY
3467.95000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP CDS ITRAXX.EU.XO.35.V1
000000000
-10000000.00000000
OU
Other
-16047.48000000
-0.00028365556
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITRAXX.EU.XO.35.V1
000000000
0.00000000
NC
0.00000000
0.00000000
DCR
CORP
GB
US
IHS MARKIT LTD
ITRAXX.EU.XO.35.V1
Default Event
2026-06-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-10000000.00000000
USD
900.00000000
EUR
2022-06-15
XXXX
33619.62000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
2000.00000000
PA
2671.39000000
0.000047219541
Long
DBT
NUSS
GR
N
2
2030-02-24
Variable
4.30000000
N
N
N
N
N
N
ALBERTA CPN STRIP
LQPXMHHNJKIPJYE53543
Province of Alberta Coupon Strip
01305ZQM7
500000.00000000
PA
358974.16000000
0.006345234264
Long
DBT
NUSS
CA
N
2
2026-06-01
None
0.00000000
N
N
N
N
N
N
AFRICAN DEVELOPMENT BANK
549300LNCLMO3ITVCU07
African Development Bank
000000000
20000000.00000000
PA
884544.65000000
0.015635228512
Long
DBT
NUSS
CI
N
2
2023-03-13
Fixed
0.50000000
N
N
N
N
N
N
MSG III Securitization Trust
N/A
MSG III Securitization Trust 2021-1
55368MAB7
1057666.67000000
PA
USD
1057863.61000000
0.018698817834
Long
ABS-MBS
CORP
US
N
2
2054-06-25
Floating
1.00771000
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
000000000
6800000000.00000000
PA
498154.30000000
0.008805385137
Long
DBT
NUSS
KR
N
2
2024-05-15
Fixed
8.00000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1000000.00000000
PA
1159783.79000000
0.020500360927
Long
DBT
NUSS
RO
N
2
2027-04-19
Fixed
2.37500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS CDS GS_21-PJ-A
000000000
-36100000.00000000
OU
Other
USD
-1821.41000000
-0.00003219527
N/A
DIR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS CDS GS_21-PJ-A
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2031-12-17
0.00000000
USD
0.00000000
USD
0.00000000
USD
-36100000.00000000
USD
0.50000000
USD
2024-11-15
XXXX
-1821.41000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
1740000.00000000
PA
USD
1745456.12000000
0.030852716472
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
1.69967000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BR1
4050000.00000000
PA
USD
4192034.92000000
0.074098491132
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
7.50000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
AUD/JPY FORWARD
000000000
1.00000000
NC
USD
1025973.71000000
0.018135131339
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-1788748750.00000000
JPY
23459000.00000000
AUD
2022-05-31
1025973.71000000
N
N
N
EXPORT-IMPORT BANK CHINA
300300C1020211000045
EXPORT-IMPORT BANK OF CHINA/THE
000000000
4000000.00000000
PA
663683.66000000
0.011731285338
Long
DBT
NUSS
CN
N
2
2027-06-18
Fixed
4.15000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-96939.79000000
-0.00171350962
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2035-05-07
0.00000000
USD
-121.63000000
USD
350000000.00000000
JPY
-96818.16000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS ILS
000000000
1.00000000
NC
-53688.16000000
-0.00094899296
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2029-10-07
0.00000000
USD
0.00000000
USD
5000000.00000000
ILS
-53688.16000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS AMERICAN INTERNATIONAL GROUP INC
000000000
1.00000000
NC
USD
51521.60000000
0.000910696808
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
AMERICAN INTL GROUP
American International Group Inc
Y
Default Event
2026-06-20
43022.16000000
USD
0.00000000
USD
3260000.00000000
USD
8499.44000000
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HAT7
1229026.31000000
PA
USD
1392522.49000000
0.024614254734
Long
ABS-O
CORP
US
N
2
2028-01-25
Fixed
33.78400000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-318.32000000
-0.00000562663
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-09
293.10000000
USD
0.00000000
USD
-160000000.00000000
JPY
-611.42000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
100000.00000000
PA
83756.58000000
0.001480482944
Long
DBT
NUSS
FR
N
2
2072-05-25
Fixed
0.50000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
3200000.00000000
PA
3608252.89000000
0.063779548567
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
6.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
38087.57000000
0.000673236631
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-04-07
0.00000000
USD
-1082.88000000
USD
159520000.00000000
JPY
39170.45000000
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
000000000
300000000.00000000
PA
2607950.99000000
0.046098192642
Long
DBT
CORP
FR
N
2
2023-10-13
Fixed
0.30000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
168000.00000000
PA
156811.98000000
0.002771811621
Long
DBT
NUSS
ES
N
2
2037-01-31
None
0.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEW0
3800000.00000000
PA
4344616.77000000
0.076795530894
Long
DBT
CORP
US
N
2
2030-04-08
Fixed
1.25000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS UBS GROUP AG
000000000
1.00000000
NC
136576.27000000
0.002414124816
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
UBS GROUP AG
UBS GROUP AG
Y
Default Event
2024-12-20
98235.21000000
USD
0.00000000
USD
8600000.00000000
EUR
38341.06000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CHF
000000000
1.00000000
NC
-25663.47000000
-0.00045362799
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-10-17
0.00000000
USD
-785.12000000
USD
800000.00000000
CHF
-24878.35000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
855422.41000000
0.015120463228
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-08-15
0.00000000
USD
0.00000000
USD
-48592000.00000000
USD
855422.41000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119AJ8
2000000.00000000
PA
USD
2759115.82000000
0.048770185130
Long
DBT
CORP
US
N
2
2033-11-06
Fixed
7.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
8150000.00000000
PA
USD
7901270.97000000
0.139663020008
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
84877.07000000
0.001500288747
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-03-18
0.00000000
USD
-4274.48000000
USD
126600000.00000000
ZAR
89151.55000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
722.07000000
0.000012763323
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-15
0.00000000
USD
-93.22000000
USD
256500000.00000000
JPY
815.29000000
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS EQT CORP
000000000
1.00000000
NC
USD
70851.42000000
0.001252371083
N/A
DCR
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
EQT CORP
EQT Corp
Y
Default Event
2022-06-20
49635.89000000
USD
0.00000000
USD
3590000.00000000
USD
21215.53000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
30000000.00000000
PA
5109461.44000000
0.090314940221
Long
DBT
NUSS
CN
N
2
2050-09-14
Fixed
3.81000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HOST HOTELS & RESORTS LP CDS
000000000
1.00000000
NC
USD
-44242.10000000
-0.00078202422
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HOST HOTELS & RESORTS LP
Host Hotels & Resorts LP
Y
Default Event
2024-06-20
42651.89000000
USD
0.00000000
USD
-5000000.00000000
USD
-86893.99000000
N
N
N
HUNGARIAN DEVELOPMENT BA
549300KCFVCFTUJZYT59
MFB Magyar Fejlesztesi Bank Zrt
000000000
4270000.00000000
PA
4951084.31000000
0.087515462977
Long
DBT
NUSS
HU
N
2
2025-06-24
Fixed
1.37500000
N
N
N
N
N
N
Shackleton CLO LTD
549300OM5GJJFIKCOZ48
Shackleton 2014-V-R CLO Ltd
81881JAC6
5000000.00000000
PA
USD
4998613.50000000
0.088355589868
Long
ABS-CBDO
CORP
KY
N
2
2031-05-07
Floating
1.24438000
N
N
N
N
N
N
Bosphorus CLO
6354003QOK8LLEWEMR90
Bosphorus CLO VI DAC
000000000
20000000.00000000
PA
22404107.28000000
0.396015437921
Long
ABS-CBDO
CORP
IE
N
2
2034-05-25
Floating
0.85000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
206994.16000000
0.003658832815
Long
DBT
NUSS
GB
N
2
2042-12-07
Fixed
4.50000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
224100000.00000000
PA
1900272.07000000
0.033589246229
Long
DBT
NUSS
JP
N
2
2036-06-20
Fixed
0.20000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAL6
1700000.00000000
PA
USD
1605783.79000000
0.028383865639
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.17709700
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
1000.00000000
PA
1264.86000000
0.000022357690
Long
DBT
NUSS
GR
N
2
2029-02-24
Variable
4.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
733667.45000000
0.012968320177
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-04-18
0.00000000
USD
-14181.52000000
USD
1815000000.00000000
JPY
747848.97000000
N
N
N
GCAT
N/A
GCAT 2021-1 Asset-Backed Notes
36169CAA2
16107569.74000000
PA
USD
16005882.65000000
0.282920294379
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
2.48710000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007OD9MH69ES1S63
Wells Fargo Commercial Mortgage Trust 2016-LC24
95000HBK7
20910000.00000000
PA
USD
872151.92000000
0.015416174374
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Variable
0.97890800
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BTP ITALIAN BOND
000000000
315.00000000
NC
-244450.81000000
-0.00432091729
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2022-03-08
52912887.14000000
USD
-244450.81000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-135206.72000000
-0.00238991662
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-03-22
0.00000000
USD
-1864.43000000
USD
2500000000.00000000
JPY
-133342.29000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
6410000.00000000
PA
7687814.57000000
0.135889960512
Long
DBT
NUSS
ES
N
2
2028-04-30
Fixed
1.40000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS ILS
000000000
1.00000000
NC
66540.20000000
0.001176165874
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Y
2023-03-06
0.00000000
USD
0.00000000
USD
3200000.00000000
ILS
66540.20000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-619200.18000000
-0.01094499447
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-15
0.00000000
USD
0.00000000
USD
8730000.00000000
USD
-619200.18000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
-231334.59000000
-0.00408907473
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-09-15
0.00000000
USD
-1136.57000000
USD
112000000.00000000
ZAR
-230198.02000000
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2003-4
161546GB6
495706.23000000
PA
USD
487671.13000000
0.008620084420
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Floating
0.70771000
N
N
N
N
N
N
Oaktown Re Ltd
2549008N2FD0KB1Y5E03
Oaktown Re III Ltd
67400KAA8
30245.08000000
PA
USD
30245.07000000
0.000534612448
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
1.50771000
N
N
N
N
N
N
ISRAEL FIXED BOND
213800T8ZHTFZIBYPE21
Israel Government Bond - Fixed
000000000
4000000.00000000
PA
1223085.87000000
0.021619289729
Long
DBT
NUSS
IL
N
2
2030-03-31
Fixed
1.00000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
3740000.00000000
PA
USD
984983.98000000
0.017410596071
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.62500000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS ILS
000000000
1.00000000
NC
37648.94000000
0.000665483398
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2027-06-22
0.00000000
USD
0.00000000
USD
2745000.00000000
ILS
37648.94000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
3142.99000000
0.000055555552
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-30
0.00000000
USD
-599.47000000
USD
1650000000.00000000
JPY
3742.46000000
N
N
N
CIFC European Funding CLO
5493000EF0244RPYUG32
CIFC European Funding CLO III DAC
000000000
11500000.00000000
PA
12938447.29000000
0.228700247036
Long
ABS-CBDO
CORP
IE
N
2
2034-01-15
Fixed
2.00000000
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
000000000
10000000000.00000000
PA
725628.09000000
0.012826216293
Long
DBT
NUSS
KR
N
2
2024-12-07
Fixed
7.25000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAB9
495000.00000000
PA
USD
498690.80000000
0.008814868322
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.12500000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 2 YEAR EURO SCHATZ
000000000
-5756.00000000
NC
2168664.47000000
0.038333355534
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2022-03-08
-731013522.93000000
USD
2168664.47000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
52526.75000000
0.000928463859
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-11-28
0.00000000
USD
0.00000000
USD
6450000.00000000
NZD
52526.75000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
3055.60000000
0.000054010845
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-08-15
0.00000000
USD
-1383.77000000
USD
256500000.00000000
JPY
4439.37000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-220.25000000
-0.00000389314
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-21
419.13000000
USD
0.00000000
USD
-190000000.00000000
JPY
-639.38000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-241440.55000000
-0.00426770787
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-07-13
0.00000000
USD
0.00000000
USD
800000000.00000000
CLP
-241440.55000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
1750000.00000000
PA
1286274.20000000
0.022736207885
Long
DBT
CORP
GB
N
2
2023-06-15
Fixed
4.32700000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2019-C17 Commercial Mortgage Trust
12597BAS8
12444000.00000000
PA
USD
12722353.61000000
0.224880570928
Long
ABS-MBS
CORP
US
N
2
2052-09-15
Fixed
2.76900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
101595.71000000
0.001795807754
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-28
0.00000000
USD
0.00000000
USD
1600000.00000000
AUD
101595.71000000
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAW9
1340000.00000000
PA
USD
1272422.18000000
0.022491359309
Long
DBT
CORP
CA
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-146458.39000000
-0.00258880136
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-11-12
75.90000000
USD
0.00000000
USD
1800000000.00000000
JPY
-146534.29000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/MXN FORWARD
000000000
1.00000000
NC
USD
820244.69000000
0.014498661163
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-14859000.00000000
USD
352529775.00000000
MXN
2023-04-28
820244.69000000
N
N
N
SLOVAKIA GOVERNMENT BOND
097900BHFM0000074794
Slovakia Government Bond
000000000
100000.00000000
PA
106518.44000000
0.001882822026
Long
DBT
NUSS
SK
N
2
2036-04-21
Fixed
0.37500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
2600000.00000000
PA
3023203.95000000
0.053438212075
Long
DBT
NUSS
ID
N
2
2025-04-24
Fixed
1.75000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAF0
2000000.00000000
PA
USD
2073600.18000000
0.036652997287
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.65000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ISRAEL ELECTRIC CORP LTD
000000000
1.00000000
NC
USD
14579.80000000
0.000257712829
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ISRAEL ELECTRIC CORP LTD
Israel Electric Corp Ltd
Y
Default Event
2024-12-20
7415.75000000
USD
0.00000000
USD
1000000.00000000
USD
7164.05000000
N
N
N
CASSA DEL TRENTINO SPA
815600ECB4F640532453
Cassa Del Trentino SPA
000000000
1393011.49000000
PA
1560357.05000000
0.027580901695
Long
DBT
NUSS
IT
N
2
2026-06-17
Fixed
1.16000000
N
N
N
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAN0
1000000.00000000
PA
USD
930658.60000000
0.016450339593
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Variable
3.09990000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
000000000
4176000.00000000
PA
4804317.94000000
0.084921217754
Long
DBT
NUSS
HU
N
2
2032-04-28
Fixed
1.62500000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
SGD/USD FORWARD
000000000
1.00000000
NC
USD
101625.55000000
0.001796335206
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-8563102.87000000
USD
11707577.00000000
SGD
2022-03-16
101625.55000000
N
N
N
SoFi RR Funding II Trust
N/A
Sofi RR Funding II Trust 2019-1
83405EAA4
4327471.34000000
PA
USD
4327322.91000000
0.076489844286
Long
ABS-O
CORP
US
N
2
2024-11-29
Floating
1.35771000
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
465410BY3
3300000.00000000
PA
USD
3300884.24000000
0.058346494305
Long
DBT
NUSS
IT
N
2
2029-10-17
Fixed
2.87500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
638585BF5
377000.00000000
PA
USD
462614.91000000
0.008177190185
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.80000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
5945000.00000000
PA
6871081.40000000
0.121453369045
Long
DBT
NUSS
SA
N
2
2039-07-09
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
16297.01000000
0.000288066267
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-10-14
0.00000000
USD
-1118.89000000
USD
350000000.00000000
JPY
17415.90000000
N
N
N
REPUBLIC OF KAZAKHSTAN
5493007OEK8EF02UO833
Kazakhstan Government International Bond
000000000
2000000.00000000
PA
2169752.13000000
0.038352581033
Long
DBT
NUSS
KZ
N
2
2026-09-30
Fixed
0.60000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
40000000.00000000
PA
6953991.51000000
0.122918889769
Long
DBT
NUSS
CN
N
2
2043-06-29
Fixed
3.95000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BB0
1401000.00000000
PA
USD
1925068.25000000
0.034027543991
Long
DBT
NUSS
CO
N
2
2033-01-28
Fixed
10.37500000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
193412.49000000
0.003418762951
Long
DBT
NUSS
ES
N
2
2053-07-30
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
567232.60000000
0.010026414517
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-07-10
124839.95000000
USD
0.00000000
USD
10000000.00000000
AUD
442392.65000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
7000.00000000
PA
12101.75000000
0.000213910769
Long
DBT
CORP
US
N
2
2030-08-16
Fixed
6.50000000
N
N
N
N
N
N
ISRAEL ELECTRIC CORP LTD
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
46507WAB6
9750000.00000000
PA
USD
12299455.55000000
0.217405416558
Long
DBT
CORP
IL
N
2
2027-12-15
Fixed
7.75000000
N
N
N
N
N
N
WP/AP TELECOM HOLDINGS
7245000O9YOLPPM9YB33
WP/AP Telecom Holdings IV BV
000000000
2300000.00000000
PA
2513326.13000000
0.044425601769
Long
DBT
CORP
NL
N
2
2029-01-15
Fixed
3.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
2607077.41000000
0.046082751225
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-03-26
0.00000000
USD
-6131.76000000
USD
344070000.00000000
ZAR
2613209.17000000
N
N
N
GREYSTONE COML CAP TRUST
N/A
Greystone Commercial Capital Trust Series 2021-2
39810DAA7
19100000.00000000
PA
USD
19100000.00000000
0.337611973098
Long
DBT
CORP
US
N
3
2025-05-31
Floating
2.37629000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
152168.34000000
0.002689730550
Long
DBT
NUSS
ES
N
2
2060-07-30
None
0.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-1263637.61000000
-0.02233608307
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-210697850.00000000
MXN
8909000.00000000
USD
2022-02-25
-1263637.61000000
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
000000000
200000000.00000000
PA
1778832.12000000
0.031442671300
Long
DBT
CORP
FR
N
2
2025-10-15
Fixed
0.99900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-161.22000000
-0.00000284972
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-09
180.12000000
USD
0.00000000
USD
-273000000.00000000
JPY
-341.34000000
N
N
N
Oportun Funding LLC
N/A
Oportun Funding XIV LLC
68377BAC1
1200000.00000000
PA
USD
1207793.88000000
0.021348988215
Long
ABS-O
CORP
US
N
2
2028-03-08
Fixed
3.44000000
N
N
N
N
N
N
LANDSVIRKJUN
213800Z3CFZOLXPJWN61
Landsvirkjun
000000000
5000000.00000000
PA
5560845.68000000
0.098293616864
Long
DBT
NUSS
IS
N
2
2026-07-24
Floating
0.01000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABG3
4805000.00000000
PA
USD
5138370.90000000
0.090825944401
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
9.25000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
13980000.00000000
PA
17896011.49000000
0.316330248676
Long
DBT
NUSS
ID
N
2
2028-06-14
Fixed
3.75000000
N
N
N
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
505000000.00000000
PA
589590.38000000
0.010421611073
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
ROMANIA GOVERNMENT BOND
315700IASY927EDWBK92
Romania Government Bond
000000000
2000000.00000000
PA
393424.19000000
0.006954173667
Long
DBT
NUSS
RO
N
2
2031-09-24
Fixed
3.65000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
000000000
1400000.00000000
PA
1887961.29000000
0.033371640641
Long
DBT
CORP
US
N
2
2031-04-08
Fixed
2.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAZ4
4645000.00000000
PA
USD
4501961.87000000
0.079576765955
Long
DBT
CORP
DK
N
2
2026-09-11
Fixed
1.62100000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CL2
2665000.00000000
PA
USD
2573348.84000000
0.045486564363
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
Loan Revolving Advance Investm
N/A
Loan Revolving Advance Investment Trust 2021-2
53958V102
22700000.02000000
PA
USD
22469758.46000000
0.397175889461
Long
ABS-MBS
CORP
US
N
2
2023-06-30
Floating
2.83950000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAF5
4550000.00000000
PA
USD
4500834.70000000
0.079556842076
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-1214425.06000000
-0.02146620108
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-15824364.29000000
USD
1637974726.00000000
JPY
2023-10-31
-1214425.06000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
-676079.04000000
-0.01195038631
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-10-07
0.00000000
USD
0.00000000
USD
9000000.00000000
NZD
-676079.04000000
N
N
N
BELLEMEADE RE LT
254900I4ZKD8IMM1O953
Bellemeade Re 2019-2 Ltd
07877BAC4
532157.98000000
PA
USD
532157.82000000
0.009406432021
Long
ABS-MBS
CORP
BM
N
2
2029-04-25
Floating
1.55771000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
2023.57000000
0.000035768662
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-05
0.00000000
USD
-101.39000000
USD
700000000.00000000
JPY
2124.96000000
N
N
N
CALEDONIA GENERA
N/A
Caledonia Generating LLC
129268AB4
2665632.33000000
PA
USD
2568835.22000000
0.045406781528
Long
DBT
CORP
US
N
2
2034-02-28
Fixed
1.95000000
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
000000000
919000.00000000
PA
659977.95000000
0.011665783136
Long
DBT
NUSS
KR
N
2
2023-11-08
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBD0
1835000.00000000
PA
USD
1816643.21000000
0.032111020866
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
2.69967000
N
N
N
N
N
N
Taurus CMBS
6354001CXJE7XMMVG324
Taurus 2021-4 UK DAC
000000000
8607745.94000000
PA
11533087.19000000
0.203859074457
Long
ABS-MBS
CORP
IE
N
2
2031-08-17
Floating
1.79995000
N
N
N
N
N
N
OVINTIV EXPLORATION INC
T8W3X1PFLPW2YE0UIP44
Ovintiv Exploration Inc
651290AQ1
7200000.00000000
PA
USD
7762148.28000000
0.137203884622
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
5.62500000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
CARLYLE US CLO 2018-1 LTD
14311XAA0
12500000.00000000
PA
USD
12496255.00000000
0.220884047481
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.27400000
N
N
N
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
654000.00000000
PA
USD
655311.50000000
0.011583298874
Long
DBT
CORP
IL
N
2
2024-03-30
Fixed
4.50000000
N
N
N
N
N
N
CO-OP GRP HLDS
213800TAO69X5H284Q39
Co-operative Group Holdings 2011 Ltd
000000000
7495000.00000000
PA
11387671.63000000
0.201288706178
Long
DBT
CORP
GB
N
2
2026-07-08
Variable
7.50000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
2000000.00000000
PA
2241848.34000000
0.039626955049
Long
DBT
NUSS
PH
N
2
2023-02-03
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-6152.73000000
-0.00010875577
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-02
6217.47000000
USD
0.00000000
USD
-9000000000.00000000
JPY
-12370.20000000
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AP1
2275000.00000000
PA
USD
2174812.32000000
0.038442025050
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
4.12500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AL9
2745000.00000000
PA
USD
3381602.39000000
0.059773269901
Long
DBT
NUSS
CO
N
2
2027-02-15
Fixed
8.37500000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2021-2 Ltd
43730VAC2
4790000.00000000
PA
USD
4761190.55000000
0.084158897166
Long
ABS-MBS
CORP
BM
N
2
2034-01-25
Floating
2.84967000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CAD
000000000
1.00000000
NC
-1253376.33000000
-0.02215470449
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-04-03
110467.69000000
USD
0.00000000
USD
51805000.00000000
CAD
-1363844.02000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-1024762.16000000
-0.01811371595
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-06-21
0.00000000
USD
0.00000000
USD
83750000.00000000
PLN
-1024762.16000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-2289102.83000000
-0.04046222633
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-12-02
0.00000000
USD
0.00000000
USD
229995000.00000000
EUR
-2289102.83000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
3677774.37000000
0.065008411605
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-06
0.00000000
USD
0.00000000
USD
-199767000.00000000
USD
3677774.37000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
-814134.66000000
-0.01439066015
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-02-19
0.00000000
USD
-60803.27000000
USD
20000000.00000000
AUD
-753331.39000000
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAB8
2723000.00000000
PA
USD
2910578.95000000
0.051447450375
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
HSBC BANK PLC
000000000
36800000.00000000
PA
5751037.80000000
0.101655456493
Long
DBT
CORP
GB
N
2
2026-04-04
Fixed
3.12000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
000000000
200000.00000000
PA
USD
225375.63000000
0.003983744038
Long
DBT
CORP
AT
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
GENERALITAT DE CATALUNYA
95980020140005848404
Autonomous Community of Catalonia
000000000
3250000.00000000
PA
4979098.24000000
0.088010637751
Long
DBT
NUSS
ES
N
2
2030-05-28
Fixed
5.90000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF PANAMA
000000000
1.00000000
NC
USD
20146.14000000
0.000356103564
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF PANAMA
Panama Government International Bond
Y
Default Event
2022-06-20
4984.50000000
USD
0.00000000
USD
5000000.00000000
USD
15161.64000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CNH/USD FORWARD
000000000
1.00000000
NC
USD
25437.44000000
0.000449632686
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-38602772.46000000
CNY
6075891.00000000
USD
2022-02-18
25437.44000000
N
N
N
EUROPEAN BK RECON & DEV
549300HTGDOVDU6OGK19
European Bank for Reconstruction & Development
000000000
300000000.00000000
PA
1654250.93000000
0.029240571752
Long
DBT
NUSS
N/A
N
2
2031-08-24
None
0.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS RUSSIAN FEDERATION
000000000
1.00000000
NC
USD
-64389.64000000
-0.00113815253
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
RUSSIAN FEDERATION
RUSSIAN FOREIGN BOND - EUROBOND
Y
Default Event
2026-12-20
0.00000000
USD
-82282.89000000
USD
1200000.00000000
USD
17893.25000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
8475000.00000000
PA
8890456.68000000
0.157147885941
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
3.37500000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
Carlyle Euro CLO 2019-1 DAC
000000000
20000000.00000000
PA
22360470.24000000
0.395244108750
Long
ABS-CBDO
CORP
IE
N
2
2032-03-15
Floating
0.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/JPY FORWARD
000000000
1.00000000
NC
USD
1400308.50000000
0.024751880399
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1428721383.00000000
JPY
13839505.82000000
USD
2022-05-31
1400308.50000000
N
N
N
CROATIA
74780000O00QGQ7CER13
Croatia Government International Bond
000000000
4500000.00000000
PA
5630301.74000000
0.099521323538
Long
DBT
NUSS
HR
N
2
2027-03-20
Fixed
3.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-144.56000000
-0.00000255524
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-06
353.71000000
USD
0.00000000
USD
-675000000.00000000
JPY
-498.27000000
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
20595000.00000000
PA
24698314.34000000
0.436567886729
Long
DBT
NUSS
RS
N
2
2027-05-15
Fixed
3.12500000
N
N
N
N
N
N
Ford Credit Floorplan Master O
5493001DTG5N7T8BG747
Ford Credit Floorplan Master Owner Trust A
34528QHS6
2100000.00000000
PA
USD
2048677.47000000
0.036212462978
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
1.87000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
2000000.00000000
PA
318091.30000000
0.005622588032
Long
DBT
NUSS
CN
N
2
2023-07-04
Fixed
3.30000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48127FAA1
1000000.00000000
PA
USD
999735.53000000
0.017671344757
Long
DBT
CORP
US
N
2
N/A
Floating
3.53438000
N
N
N
N
N
N
AUCKLAND COUNCIL
213800RWHTSELJS5LA96
Auckland Council
000000000
2000000.00000000
PA
1460383.49000000
0.025813767096
Long
DBT
NUSS
NZ
N
2
2026-03-09
Fixed
3.50000000
N
N
N
N
N
N
AUSTRALIA & NEW ZEALAND BANKING GROUP LTD
JHE42UYNWWTJB8YTTU19
AUSTRALIA & NEW ZEALAND BANKING GROUP LTD
000000000
2000000.00000000
PA
317336.95000000
0.005609254127
Long
DBT
CORP
AU
N
2
2024-03-18
Fixed
3.70000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BEWS9
6086944.96000000
PA
USD
604449.46000000
0.010684260462
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Variable
2.13988400
N
N
N
N
N
N
KOREA EXPRESSWAY CORP
988400EZO9DR1OFL5772
Korea Expressway Corp
000000000
600000.00000000
PA
USD
622893.81000000
0.011010283153
Long
DBT
NUSS
KR
N
2
2026-06-08
Fixed
3.10000000
N
N
N
N
N
N
Q GENERIC RESIDUAL
549300WN65YFEQH74Y36
Province of Quebec Residual Strip
74812ZSJ5
9999940.00000000
PA
5337535.06000000
0.094346373983
Long
DBT
NUSS
CA
N
2
2035-04-01
None
0.00000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
775.56000000
0.000013708813
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-15
0.00000000
USD
-100.10000000
USD
275500000.00000000
JPY
875.66000000
N
N
N
ISLE OF MAN
549300ZXHSYV21BRHW71
Isle of Man Government International Bond
000000000
5041000.00000000
PA
8708343.45000000
0.153928848930
Long
DBT
NUSS
IM
N
2
2030-03-29
Fixed
5.62500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P4
29429EAG6
9100000.00000000
PA
USD
502855.08000000
0.008888476216
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Variable
1.31643300
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
7098000.00000000
PA
11084287.39000000
0.195926080425
Long
DBT
NUSS
IT
N
2
2034-07-31
Fixed
5.20000000
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
10100000.00000000
PA
10752659.41000000
0.190064217772
Long
DBT
NUSS
MX
N
2
2030-01-17
Fixed
1.12500000
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CHF
000000000
1.00000000
NC
28727.60000000
0.000507789618
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-04-03
0.00000000
USD
-4306.31000000
USD
700000.00000000
CHF
33033.91000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
51.72000000
0.000000914203
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-09
46.58000000
USD
0.00000000
USD
-166000000.00000000
JPY
5.14000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAC3
1600000.00000000
PA
USD
1652154.82000000
0.029203520871
Long
DBT
CORP
ES
N
2
2029-06-27
Fixed
3.30600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
146.84000000
0.000002595546
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-07
88.74000000
USD
0.00000000
USD
-350000000.00000000
JPY
58.10000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC20
36252WBA5
30000000.00000000
PA
USD
267795.00000000
0.004733549651
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
0.42673300
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-325.90000000
-0.00000576061
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-09
342.81000000
USD
0.00000000
USD
-200000000.00000000
JPY
-668.71000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
-233849.74000000
-0.00413353257
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-05-08
0.00000000
USD
-390.30000000
USD
149980000.00000000
CNY
-233459.44000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
4519000.00000000
PA
USD
4696853.15000000
0.083021668027
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
10000000.00000000
PA
87384.53000000
0.001544610659
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
1.30000000
N
N
N
N
N
N
MidOcean Credit CLO
549300T32RO3I7BJ4V26
Midocean Credit Clo VIII
59801MAE8
2000000.00000000
PA
USD
1999123.60000000
0.035336547804
Long
ABS-CBDO
CORP
KY
N
2
2031-02-20
Floating
1.80963000
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
IRS MYR
000000000
1.00000000
NC
-216254.36000000
-0.00382251629
N/A
DIR
CORP
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
Y
2026-08-12
0.00000000
USD
-716.16000000
USD
45900000.00000000
MYR
-215538.20000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
714628.69000000
0.012631790683
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2046-05-08
2532793.44000000
USD
0.00000000
USD
13725000.00000000
GBP
-1818164.75000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-17544.65000000
-0.00031011957
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-07-07
0.00000000
USD
-240.26000000
USD
150000000.00000000
JPY
-17304.39000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
236841.73000000
0.004186419045
Long
DBT
NUSS
GB
N
2
2055-12-07
Fixed
4.25000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
2500000.00000000
PA
2772129.42000000
0.049000213778
Long
DBT
NUSS
ES
N
2
2040-10-31
Fixed
1.20000000
N
N
N
N
N
N
ISRAEL ELECTRIC CORP LTD
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
000000000
200000000.00000000
PA
1993291.62000000
0.035233461611
Long
DBT
CORP
IL
N
2
2030-05-23
Fixed
3.70000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-82.30000000
-0.00000145473
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-21
156.62000000
USD
0.00000000
USD
-71000000.00000000
JPY
-238.92000000
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
22000000.00000000
PA
4826405.68000000
0.085311641078
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
5045000.00000000
PA
USD
5158219.28000000
0.091176784753
Long
DBT
CORP
US
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216KAE2
363000.00000000
PA
USD
359905.74000000
0.006361700890
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CLP/USD FORWARD
000000000
1.00000000
NC
USD
319126.73000000
0.005640890313
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-5380875.41000000
USD
4591770031.00000000
CLP
2022-03-16
319126.73000000
N
N
N
SUN HUNG KAI PROP (CAP)
222100WJDEUAP4JLW867
SUN HUNG KAI PROPERTIES CAPITAL MARKET LTD
000000000
4000000.00000000
PA
615369.65000000
0.010877285953
Long
DBT
CORP
HK
N
2
2028-01-25
Fixed
3.16000000
N
N
N
N
N
N
Ford Auto Securitization Trust
549300UXPSVB9J11GQ87
Ford Auto Securitization Trust
345213JD5
400000.00000000
PA
309345.08000000
0.005467989676
Long
ABS-O
CORP
CA
N
2
2026-06-15
Fixed
1.87200000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
250000.00000000
PA
11716.92000000
0.000207108506
Long
DBT
CORP
FR
N
2
2023-09-11
Fixed
6.42000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS KRW
000000000
1.00000000
NC
-748467.17000000
-0.01322992031
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-08-06
0.00000000
USD
-19.51000000
USD
18824000000.00000000
KRW
-748447.66000000
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAJ5
14125000.00000000
PA
USD
14111656.11000000
0.249437909056
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.25600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
158744.03000000
0.002805962575
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-03
0.00000000
USD
-95.85000000
USD
40000000.00000000
CNY
158839.88000000
N
N
N
INSTITUT CREDITO OFICIAL
PJQDPSI1D8J2Q1IM3G17
Instituto de Credito Oficial
000000000
1300000.00000000
PA
1514281.40000000
0.026766467606
Long
DBT
NUSS
ES
N
2
2024-06-28
Fixed
3.25000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
000000000
240000.00000000
PA
283426.25000000
0.005009847931
Long
DBT
NUSS
CL
N
2
2026-01-20
Fixed
1.75000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
000000000
2100000.00000000
PA
2470292.18000000
0.043664932828
Long
DBT
CORP
US
N
2
2027-06-21
Fixed
1.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
30836.25000000
0.000545062157
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-03-12
0.00000000
USD
-4.93000000
USD
25000000.00000000
CNY
30841.18000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
28.40000000
0.000000501998
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-08
27.47000000
USD
0.00000000
USD
-94310000.00000000
JPY
0.93000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-13483.61000000
-0.00023833655
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-1375300.21000000
USD
1209839.00000000
EUR
2022-04-19
-13483.61000000
N
N
N
BELLEMEADE RE LT
254900KXN235YISGF415
Bellemeade Re 2019-4 Ltd
07876LAB5
3845311.18000000
PA
USD
3848723.12000000
0.068030105049
Long
ABS-MBS
CORP
BM
N
2
2029-10-25
Floating
2.10771000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-895421.87000000
-0.01582749446
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-02-28
0.00000000
USD
0.00000000
USD
4500000000.00000000
CLP
-895421.87000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
10500000.00000000
PA
1734391.41000000
0.030657136442
Long
DBT
NUSS
CN
N
2
2028-06-27
Fixed
3.60000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
1342.57000000
0.000023731293
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-24
0.00000000
USD
-63.01000000
USD
560000000.00000000
JPY
1405.58000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-35.07000000
-0.00000061989
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-07-02
361.70000000
USD
0.00000000
USD
-300000000.00000000
JPY
-396.77000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CREDIT SUISSE GROUP AG
000000000
1.00000000
NC
23457.08000000
0.000414627804
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Credit Suisse AG/London
CREDIT SUISSE AG LONDON
Y
Default Event
2022-06-20
18904.77000000
USD
0.00000000
USD
5000000.00000000
EUR
4552.31000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS COP
000000000
1.00000000
NC
-59160.96000000
-0.00104573028
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2028-02-01
0.00000000
USD
0.00000000
USD
5607000000.00000000
COP
-59160.96000000
N
N
N
UAL 2007 PASS TRUST
N/A
UAL 2007-1 Pass Through Trust
909287AA2
35613.85000000
PA
USD
36043.00000000
0.000637096772
Long
DBT
CORP
US
N
2
2022-07-02
Fixed
6.63600000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VI Ltd
67401FAA8
2640000.00000000
PA
USD
2639999.21000000
0.046664677605
Long
ABS-MBS
CORP
BM
N
2
2033-10-25
Floating
1.69967000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-71.21000000
-0.00000125870
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-07
191.17000000
USD
0.00000000
USD
-140000000.00000000
JPY
-262.38000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746ST9
4198000.00000000
PA
3141657.27000000
0.055531995273
Long
DBT
CORP
US
N
2
2027-04-27
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
16514000.00000000
PA
21424129.27000000
0.378693327474
Long
DBT
NUSS
CY
N
2
2025-11-04
Fixed
4.25000000
N
N
N
N
N
N
INTER-AMERICAN DEVEL BK
VKU1UKDS9E7LYLMACP54
Inter-American Development Bank
000000000
137000000000.00000000
PA
9831933.69000000
0.173789451960
Long
DBT
NUSS
N/A
N
2
2023-03-14
Fixed
7.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
JPY/USD FORWARD
000000000
1.00000000
NC
USD
80902.18000000
0.001430028514
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-981171491.00000000
JPY
8615078.00000000
USD
2022-04-19
80902.18000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
13633000.00000000
PA
19993737.94000000
0.353409702383
Long
DBT
NUSS
MX
N
2
2024-02-06
Fixed
6.75000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
000000000
36018000.00000000
PA
44157558.11000000
0.780529859723
Long
DBT
NUSS
PE
N
2
2026-01-30
Fixed
2.75000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAK5
2500000.00000000
PA
USD
2587505.43000000
0.045736796524
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.45000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
145000000.00000000
PA
1432179.36000000
0.025315230343
Long
DBT
NUSS
JP
N
2
2034-09-20
Fixed
1.40000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAN7
3775000.00000000
PA
USD
3382430.96000000
0.059787915721
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94060000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 30 DAY FEDERAL FUNDS
000000000
-1.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
FEDERAL RESERVE BANK OF NEW YORK
30 DAY FEDERAL FUNDS
2022-04-29
-416865.14000000
USD
0.00000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
300000000.00000000
PA
2655187.70000000
0.046933149651
Long
DBT
CORP
NL
N
2
2024-12-19
Fixed
1.42900000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/KRW FORWARD
000000000
1.00000000
NC
USD
-1516630.20000000
-0.02680798504
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-67415345.97000000
USD
79541344254.00000000
KRW
2022-03-16
-1516630.20000000
N
N
N
MRAIT 2020-7 A2X
N/A
MRAIT 2020-7 A2X
000000000
28400000.00000000
PA
USD
28400000.00000000
0.501998954763
Long
ABS-MBS
CORP
US
N
3
2022-09-01
Floating
1.38388000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAC3
2490000.00000000
PA
USD
2440185.81000000
0.043132772044
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-128386.87000000
-0.00226936882
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2039-11-27
0.00000000
USD
-268.63000000
USD
480000000.00000000
JPY
-128118.24000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW30
1835000.00000000
PA
USD
1880559.55000000
0.033240807340
Long
DBT
NUSS
EG
N
2
2023-02-21
Fixed
5.57700000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-175.58000000
-0.00000310355
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-02
555.29000000
USD
0.00000000
USD
-300000000.00000000
JPY
-730.87000000
N
N
N
Ameriquest Mortgage Securities
N/A
Asset-Backed Pass Through Certificates 2002-3
03072SCW3
153112.07000000
PA
USD
153654.42000000
0.002715998529
Long
ABS-MBS
CORP
US
N
2
2032-08-25
Floating
2.95771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
70124.61000000
0.001239523976
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-01-10
47818.04000000
USD
0.00000000
USD
3500000.00000000
NZD
22306.57000000
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C4
90276RBD9
6500000.00000000
PA
USD
6653024.95000000
0.117598998976
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.30100000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
193.72000000
0.000003424198
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-21
0.00000000
USD
-143.54000000
USD
82000000.00000000
JPY
337.26000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
1770000.00000000
PA
USD
1676063.83000000
0.029626136999
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38300000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CF5
1000000.00000000
PA
USD
1000971.62000000
0.017693193908
Long
DBT
NUSS
TR
N
2
2024-03-22
Fixed
5.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-386.92000000
-0.00000683920
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-16
1319.36000000
USD
0.00000000
USD
-1000000000.00000000
JPY
-1706.28000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS KRW
000000000
1.00000000
NC
-172912.81000000
-0.00305641020
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-10-18
9.49000000
USD
0.00000000
USD
3120000000.00000000
KRW
-172922.30000000
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
8758000.00000000
PA
4744515.07000000
0.083864141056
Long
DBT
NUSS
US
N
2
2032-04-23
None
0.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK
000000000
10000000.00000000
PA
1563582.43000000
0.027637913575
Long
DBT
NUSS
CN
N
2
2023-04-09
Fixed
1.86000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
200000000.00000000
PA
1755874.26000000
0.031036867718
Long
DBT
NUSS
ID
N
2
2024-05-22
Fixed
0.83000000
N
N
N
N
N
N
Mountain View CLO Ltd
549300URXZ1TS31FK720
Mountain View CLO IX Ltd
62432BAQ6
5750000.00000000
PA
USD
5748593.55000000
0.101612251882
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
2.02129000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-636973.30000000
-0.01125915249
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-02-13
0.00000000
USD
0.00000000
USD
21300000000.00000000
COP
-636973.30000000
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
4000.00000000
PA
USD
3869.49000000
0.000068397180
Long
DBT
NUSS
N/A
N
2
2026-05-31
Floating
0.13463000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LAJ8
2500000.00000000
PA
2957560.09000000
0.052277889923
Long
DBT
CORP
LU
N
2
2031-03-07
Fixed
1.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-9912.00000000
-0.00017520470
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-746336.24000000
USD
547801.00000000
GBP
2022-04-19
-9912.00000000
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLMX9
22951831.36000000
PA
USD
1060877.25000000
0.018752086994
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Variable
0.70524000
N
N
N
N
N
N
EXPERIAN FINANCE PLC
635400RKRK5EGXSPC782
Experian Finance PLC
30217AAC7
3625000.00000000
PA
USD
3624311.54000000
0.064063401578
Long
DBT
CORP
GB
N
2
2030-03-08
Fixed
2.75000000
N
N
N
N
N
N
MSG III Securitization Trust
N/A
MSG III Securitization Trust 2021-1
55368MAC5
939444.44000000
PA
USD
939619.08000000
0.016608725212
Long
ABS-MBS
CORP
US
N
2
2054-06-25
Floating
1.20771000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1838.36000000
0.000032494887
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-04
0.00000000
USD
-347.04000000
USD
500000000.00000000
JPY
2185.40000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-1240952.96000000
-0.02193510876
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
78637096.28000000
BRL
-1240952.96000000
N
N
N
HM TREASURY UK SUKUK
213800WMJIFNF3VOYA94
HM Treasury UK Sovereign Sukuk PLC
000000000
500000.00000000
PA
649139.79000000
0.011474207608
Long
DBT
NUSS
GB
N
2
2026-07-22
Fixed
0.33300000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS ILS
000000000
1.00000000
NC
-493193.84000000
-0.00871770394
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2027-07-13
0.00000000
USD
0.00000000
USD
37240000.00000000
ILS
-493193.84000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
290000.00000000
PA
375405.26000000
0.006635670708
Long
DBT
CORP
MX
N
2
2025-11-16
Fixed
3.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-334383.85000000
-0.00591057546
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2040-03-25
0.00000000
USD
-2051.93000000
USD
800000000.00000000
JPY
-332331.92000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/CNH FORWARD
000000000
1.00000000
NC
USD
769939.56000000
0.013609466702
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-121128222.47000000
USD
777727978.00000000
CNY
2022-02-18
769939.56000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-125974.23000000
-0.00222672295
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-02-11
0.00000000
USD
0.00000000
USD
634000000.00000000
CLP
-125974.23000000
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834JB5
800000.00000000
PA
USD
524375.00000000
0.009268862743
Long
DBT
UST
US
N
2
2040-08-15
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS MXN PUT
000000000
103800000.00000000
NC
USD
3.11000000
0.000000054972
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS MXN PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2022-02-23
103800000.00000000
USD
36.00000000
USD
2022-02-23
XXXX
-2379819.49000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
678963.03000000
0.012001363781
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-12-03
0.00000000
USD
-1354.21000000
USD
2430385000.00000000
JPY
680317.24000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
3395.09000000
0.000060011677
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-08
0.00000000
USD
-267.09000000
USD
1200000000.00000000
JPY
3662.18000000
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDJ6
3225000.00000000
PA
USD
3240029.50000000
0.057270824732
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.12500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B17 Mortgage Trust
08162MAW8
6200000.00000000
PA
USD
5987225.30000000
0.105830311356
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.04220000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-366369.20000000
-0.00647594913
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-07-13
0.00000000
USD
0.00000000
USD
7740000000.00000000
COP
-366369.20000000
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
12000000.00000000
PA
USD
12610639.32000000
0.222905906955
Long
DBT
CORP
ZA
N
2
2028-08-10
Fixed
6.35000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KJP5
3020000.00000000
PA
USD
2982221.61000000
0.052713807432
Long
ABS-MBS
CORP
US
N
2
2041-09-25
Floating
2.14967000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME EURO FOREIGN EXCHANGE CURRENCY
000000000
-473.00000000
NC
USD
498126.20000000
0.008804888441
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2022-03-14
-67034444.95000000
USD
498126.20000000
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
10000000.00000000
PA
489266.77000000
0.008648288983
Long
DBT
NUSS
MX
N
2
2023-12-07
Fixed
8.00000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
238680.68000000
0.004218924362
Long
DBT
NUSS
GB
N
2
2068-07-22
Fixed
3.50000000
N
N
N
N
N
N
Radnor Re LTD
254900YVLP8CB4GC2O97
Radnor RE 2020-1 Ltd
750493AB4
1800000.00000000
PA
USD
1793420.46000000
0.031700535083
Long
ABS-MBS
CORP
BM
N
2
2030-01-25
Floating
1.55771000
N
N
N
N
N
N
BRAZIL LOAN TRUST 1
549300V5WCG7Q7KQX569
Brazil Loan Trust 1
105859AA0
1338121.06000000
PA
USD
1366838.74000000
0.024160268267
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
5.47700000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
229438.35000000
0.004055556756
Long
DBT
NUSS
ES
N
2
2046-07-30
None
0.00000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
206357.43000000
0.003647577963
Long
DBT
NUSS
ES
N
2
2051-07-30
None
0.00000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
895000.00000000
PA
1074745.70000000
0.018997225987
Long
DBT
NUSS
ES
N
2
2028-07-30
Fixed
1.40000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
USD CALL VERSUS MXN PUT
000000000
-159750000.00000000
NC
USD
-1185.44000000
-0.00002095386
N/A
DFE
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
Call
Written
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
USD CALL VERSUS MXN PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2022-02-23
-159750000.00000000
USD
26.00000000
USD
2022-02-23
XXXX
6497444.56000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS REPUBLIC OF PORTUGAL
000000000
1.00000000
NC
USD
566574.31000000
0.010014778570
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
PORTUGAL OBRIGACOES DO TESOURO OT
PORTUGAL OBRIGACOES DO TESOURO OT
Y
Default Event
2025-06-20
0.00000000
USD
-102619.61000000
USD
21000000.00000000
USD
669193.92000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
2000000.00000000
PA
2052689.51000000
0.036283379875
Long
DBT
NUSS
RO
N
2
2031-07-16
Fixed
2.12400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYB4
9660000.00000000
PA
USD
9359562.50000000
0.165439809579
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.61500000
N
N
N
N
N
N
PHILIPPINE GOVERNMENT INTERNATIONAL BOND
N/A
PHILIPPINE GOVERNMENT INTERNATIONAL BOND
000000000
165000000.00000000
PA
25979863.93000000
0.459220582315
Long
DBT
NUSS
PH
N
2
2022-05-20
Fixed
3.58000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
71000000.00000000
PA
1388987.13000000
0.024551763642
Long
DBT
CORP
US
N
2
2032-04-05
None
0.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS CLP
000000000
1.00000000
NC
-176708.84000000
-0.00312350890
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2028-05-17
0.00000000
USD
0.00000000
USD
2092000000.00000000
CLP
-176708.84000000
N
N
N
RABOBANK NEDERLAND/NZ
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA/New Zealand
000000000
376000.00000000
PA
247329.60000000
0.004371802840
Long
DBT
CORP
NL
N
2
2024-03-04
Fixed
2.75000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YAW0
5833000.00000000
PA
USD
5961683.33000000
0.105378830996
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BT7
2535000.00000000
PA
USD
2567953.91000000
0.045391203475
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
7.87500000
N
N
N
N
N
N
JAPAN FINANCE CORP
N/A
Agriculture Forestry & Fisheries Finance Corp
000000000
100000000.00000000
PA
964648.80000000
0.017051151032
Long
DBT
NUSS
JP
N
2
2027-03-19
Fixed
2.24000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBM3
2055000.00000000
PA
USD
2075828.66000000
0.036692387943
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.55000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS UNITED MEXICAN STATES
000000000
1.00000000
NC
USD
-5045.18000000
-0.00008917870
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
MEXICO GOVERNMENT INTERNATIONAL BOND
MEXICO GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2026-12-20
4619.62000000
USD
0.00000000
USD
4000000.00000000
USD
-9664.80000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS KRW
000000000
1.00000000
NC
10559.87000000
0.000186656468
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2023-04-17
0.00000000
USD
-62.96000000
USD
3300000000.00000000
KRW
10622.83000000
N
N
N
STATE GRID OVERSEAS INV
3003006V8BHG5158QO96
State Grid Overseas Investment BVI Ltd
000000000
3830000.00000000
PA
4313584.91000000
0.076247011130
Long
DBT
CORP
VG
N
2
2026-08-05
Fixed
0.79700000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
100000.00000000
PA
104835.73000000
0.001853078411
Long
DBT
NUSS
DE
N
2
2050-08-15
None
0.00000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91831AAC5
1224000.00000000
PA
USD
1248445.87000000
0.022067553585
Long
DBT
CORP
CA
N
2
2025-04-15
Fixed
6.12500000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK
000000000
20000000.00000000
PA
3297607.37000000
0.058288572287
Long
DBT
NUSS
CN
N
2
2030-10-20
Fixed
3.70000000
N
N
N
N
N
N
KOREA EXPRESSWAY CORP
988400EZO9DR1OFL5772
Korea Expressway Corp
000000000
7500000.00000000
PA
6040883.98000000
0.106778783232
Long
DBT
NUSS
KR
N
2
2032-05-11
Fixed
3.03000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
414803.21000000
0.007332069642
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-04-04
0.00000000
USD
-10048.77000000
USD
1000000000.00000000
JPY
424851.98000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
3625000.00000000
PA
USD
3435908.55000000
0.060733186646
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
348.60000000
0.000006161860
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-02
0.00000000
USD
-6.39000000
USD
150000000.00000000
JPY
354.99000000
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBH4
2350000.00000000
PA
USD
2405947.58000000
0.042527576421
Long
DBT
CORP
US
N
2
2045-02-15
Fixed
4.90000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
293399.39000000
0.005186133348
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-11-14
0.00000000
USD
0.00000000
USD
160000000.00000000
JPY
293399.39000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
41500000.00000000
PA
7267523.33000000
0.128460884344
Long
DBT
NUSS
CN
N
2
2031-12-12
Fixed
4.15000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
5662.65000000
0.000100093112
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-10-04
0.00000000
USD
-1550.98000000
USD
300000000.00000000
JPY
7213.63000000
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2020-2R
69355XAA1
10685119.73000000
PA
USD
10706807.32000000
0.189253735334
Long
ABS-MBS
CORP
US
N
2
2022-12-25
Floating
3.92286000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-243192.54000000
-0.00429867608
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2040-02-06
0.00000000
USD
-4252.60000000
USD
745000000.00000000
JPY
-238939.94000000
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
000000000
8370000.00000000
PA
9647589.14000000
0.170530974094
Long
DBT
CORP
NL
N
2
2025-10-15
Fixed
3.62500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HELLENIC REPUBLIC
000000000
1.00000000
NC
USD
848.29000000
0.000014994390
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2022-06-20
0.00000000
USD
-4084.85000000
USD
200000.00000000
USD
4933.14000000
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS2
52475BAA0
1100001.26000000
PA
USD
1101078.27000000
0.019462681008
Long
ABS-O
CORP
US
N
2
2059-01-25
Variable
3.75000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS CLP
000000000
1.00000000
NC
-145234.64000000
-0.00256717033
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2028-03-27
0.00000000
USD
0.00000000
USD
1750000000.00000000
CLP
-145234.64000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/CNH FORWARD
000000000
1.00000000
NC
USD
202722.88000000
0.003583333586
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-21976155.46000000
USD
141504465.00000000
CNY
2022-02-18
202722.88000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
CHF/USD FORWARD
000000000
1.00000000
NC
USD
29132.35000000
0.000514943987
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-5412564.00000000
CHF
5883947.00000000
USD
2022-04-19
29132.35000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
5530000.00000000
PA
USD
5143559.29000000
0.090917654484
Long
DBT
CORP
CH
N
2
2032-02-11
Fixed
2.09500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
100000000.00000000
PA
869945.95000000
0.015377181605
Long
DBT
CORP
US
N
2
2024-08-06
Fixed
1.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BNGU2
30039892.54000000
PA
USD
1202596.03000000
0.021257110917
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Variable
1.16226400
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
-1152302.24000000
-0.02036811690
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-01-08
0.00000000
USD
0.00000000
USD
137700000.00000000
NOK
-1152302.24000000
N
N
N
Lendmark Funding Trust
N/A
Lending Funding Trust 2020-2
51507KAA4
1100000.00000000
PA
USD
1088463.64000000
0.019239704562
Long
ABS-O
CORP
US
N
2
2031-04-21
Fixed
2.32000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2021-2 Ltd
43730VAB4
2855000.00000000
PA
USD
2849827.31000000
0.050373603199
Long
ABS-MBS
CORP
BM
N
2
2034-01-25
Floating
1.64967000
N
N
N
N
N
N
Invesco Euro CLO
549300GHZE7CYFQDBC40
Invesco Euro CLO I DAC
000000000
30000000.00000000
PA
33643487.55000000
0.594682943123
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Fixed
0.80000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2016-UBS9
61766CAB5
285637.57000000
PA
USD
289098.87000000
0.005110117273
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
2.98200000
N
N
N
N
N
N
Santander Consumer Auto Receiv
N/A
Santander Consumer Auto Receivables Trust 2021-A
80282YAG1
850000.00000000
PA
USD
832121.61000000
0.014708597832
Long
ABS-O
CORP
US
N
2
2027-01-15
Fixed
1.57000000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
000000000
1840000.00000000
PA
2712145.90000000
0.047939943907
Long
DBT
CORP
AE
N
2
2030-09-25
Fixed
4.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
19935.07000000
0.000352372686
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-05-08
1020753.12000000
USD
0.00000000
USD
20830000.00000000
GBP
-1000818.05000000
N
N
N
ILIAD HOLDING SAS
9695009PXA7OI9NXN582
Iliad Holding SASU
000000000
6850000.00000000
PA
7840678.86000000
0.138591992688
Long
DBT
CORP
FR
N
2
2026-10-15
Fixed
5.12500000
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
160000.00000000
PA
120882.92000000
0.002136728855
Long
DBT
CORP
GB
N
2
2027-11-22
Fixed
4.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
000000000
730000.00000000
PA
559688.62000000
0.009893066980
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-1695471.52000000
-0.02996918770
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-01-23
0.00000000
USD
-17792.83000000
USD
4636000000.00000000
HUF
-1677678.69000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
2364000.00000000
PA
1776158.92000000
0.031395419765
Long
DBT
CORP
FR
N
2
2026-10-13
Fixed
4.87500000
N
N
N
N
N
N
BULGARIA
529900PG0XCL4LICL838
Bulgaria Government International Bond
000000000
8212000.00000000
PA
11149663.76000000
0.197081674418
Long
DBT
NUSS
BG
N
2
2035-03-26
Fixed
3.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
-795843.39000000
-0.01406734330
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-08-05
0.00000000
USD
-99.68000000
USD
10550000.00000000
AUD
-795743.71000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
71257.49000000
0.001259548785
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-09-27
0.00000000
USD
-1915.53000000
USD
175000000.00000000
JPY
73173.02000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
4200000.00000000
PA
6916919.85000000
0.122263610383
Long
DBT
NUSS
ES
N
2
2066-07-30
Fixed
3.45000000
N
N
N
N
N
N
Morgan Stanley Dean Witter Cap
N/A
Morgan Stanley Dean Witter Capital I Inc Trust 2002-AM3
61746WWR7
135800.68000000
PA
USD
135324.40000000
0.002391996737
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Floating
1.08771000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2020-COR7
46652JAV4
10000000.00000000
PA
USD
9577603.00000000
0.169293897716
Long
ABS-MBS
CORP
US
N
2
2053-05-13
Fixed
1.91520000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CHF
000000000
1.00000000
NC
37338.01000000
0.000659987394
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-01-31
0.00000000
USD
-68001.09000000
USD
14500000.00000000
CHF
105339.10000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-44260.60000000
-0.00078235123
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-07-11
0.00000000
USD
0.00000000
USD
3540000.00000000
PLN
-44260.60000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
42712.44000000
0.000754985923
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-04-18
0.00000000
USD
0.00000000
USD
20000000.00000000
NOK
42712.44000000
N
N
N
STATES OF GUERNSEY
549300LMWTIK7DAC7T07
States of Guernsey Bond
000000000
5800000.00000000
PA
9715738.01000000
0.171735574851
Long
DBT
NUSS
GG
N
2
2046-12-12
Fixed
3.37500000
N
N
N
N
N
N
REPUBLIC OF FINLAND
743700M6Y2OQRVSBRD14
Finland Government International Bond
317873AY3
600000.00000000
PA
USD
716575.52000000
0.012666202889
Long
DBT
NUSS
FI
N
2
2026-02-15
Fixed
6.95000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FV5Q1
119110671.72000000
PA
USD
11819876.04000000
0.208928359771
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.38744500
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-2 Ltd
75049GAB5
5100000.00000000
PA
USD
5215034.07000000
0.092181044091
Long
ABS-MBS
CORP
US
N
2
2031-11-25
Floating
3.74967000
N
N
N
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
94166.95000000
0.001664496847
N/A
DCR
CORP
CH
N
2
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2025-06-20
0.00000000
USD
-177402.44000000
USD
7000000.00000000
USD
271569.39000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A85Q9
3170550.79000000
PA
USD
185971.51000000
0.003287236043
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
370483.20000000
0.006548668280
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-19
0.00000000
USD
0.00000000
USD
5835000.00000000
AUD
370483.20000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
29712.41000000
0.000525197139
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-10-10
0.00000000
USD
-4.95000000
USD
9600000.00000000
CNY
29717.36000000
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
000000000
700000000.00000000
PA
6195108.03000000
0.109504850553
Long
DBT
NUSS
HU
N
2
2030-09-18
Fixed
1.29000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
493.55000000
0.000008723999
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-05
0.00000000
USD
-54.97000000
USD
180000000.00000000
JPY
548.52000000
N
N
N
PACTIV EVERGREEN GROUP
N/A
Pactiv Evergreen Group Issuer Inc/Pactiv Evergreen Group Issuer LLC/Reynolds Gro
76174LAA1
1367000.00000000
PA
USD
1294939.55000000
0.022889376781
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.00000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AW9
8485000.00000000
PA
USD
8083005.56000000
0.142875364171
Long
DBT
CORP
IT
N
2
2027-06-03
Fixed
1.98200000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS KINGDOM OF SPAIN
000000000
1.00000000
NC
USD
80411.63000000
0.001421357542
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
SPAIN GOVERNMENT INTERNATIONAL BOND
SPAIN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2025-06-20
23600.65000000
USD
0.00000000
USD
3000000.00000000
USD
56810.98000000
N
N
N
TRANSPORT FOR LONDON
213800FGQ9DJHGRLQZ89
Transport for London
000000000
3464000.00000000
PA
5750869.29000000
0.101652477907
Long
DBT
CORP
GB
N
2
2035-03-31
Fixed
5.00000000
N
N
N
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAC6
2650000.00000000
PA
USD
2645798.98000000
0.046767194453
Long
DBT
CORP
US
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
000000000
15013000000.00000000
PA
4175993.17000000
0.073814936846
Long
DBT
NUSS
CO
N
2
2027-06-28
Fixed
9.85000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B2 Mortgage Trust
08161CAC5
5000000.00000000
PA
USD
5194952.50000000
0.091826081867
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Fixed
3.54390000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
5000000.00000000
PA
649931.75000000
0.011488206308
Long
DBT
CORP
US
N
2
2022-12-07
Fixed
2.60000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
1294434.65000000
0.022880452158
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-04-12
0.00000000
USD
-1038.82000000
USD
345920000.00000000
CNY
1295473.47000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
960.11000000
0.000016970923
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-14
0.00000000
USD
-766.37000000
USD
400000000.00000000
JPY
1726.48000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
304668.72000000
0.005385330246
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
7002285.00000000
BRL
304668.72000000
N
N
N
SINGAPORE TELECOMMUNICAT
2549003XJKIQO8YDYD89
Singapore Telecommunications Ltd
82929RAC0
100000.00000000
PA
USD
142518.08000000
0.002519152366
Long
DBT
CORP
SG
N
2
2031-12-01
Fixed
7.37500000
N
N
N
N
N
N
CONSTELLATION AUTOMOTIVE
213800XQDK86MM9NB619
Constellation Automotive Ltd
000000000
8850000.00000000
PA
11847816.46000000
0.209422235181
Long
LON
CORP
GB
N
2
2028-07-16
Floating
4.94590000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
10840.13000000
0.000191610349
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-09-08
0.00000000
USD
-739.00000000
USD
120000000.00000000
JPY
11579.13000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS ILS
000000000
1.00000000
NC
34435.99000000
0.000608691231
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2026-04-26
0.00000000
USD
0.00000000
USD
3000000.00000000
ILS
34435.99000000
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2004-3
542514GM0
110966.21000000
PA
USD
110310.02000000
0.001949842068
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
0.96271000
N
N
N
N
N
N
Retiro Mortgage Securities
635400CU9HBU644YSL41
Retiro Mortgage Securities DAC
000000000
8682002.06000000
PA
9719132.08000000
0.171795568499
Long
ABS-MBS
CORP
IE
N
2
2075-07-30
Floating
1.44400000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CSWAP IDR VS USD
000000000
1.00000000
NC
USD
252677.71000000
0.004466336137
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-3454231.43000000
USD
50000000000.00000000
IDR
2023-11-29
252677.71000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
000000000
2280000.00000000
PA
1712586.81000000
0.030271717907
Long
DBT
CORP
US
N
2
2026-01-19
Fixed
4.10000000
N
N
N
N
N
N
CHASE MANHAT BANK USA NA
7H6GLXDRUGQFU57RNE97
CHASE BANK USA NA
000000000
15390415.59000000
PA
4493185.09000000
0.079421627420
Long
DBT
CORP
US
N
2
2048-03-17
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
18811.68000000
0.000332515623
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-12-09
12.54000000
USD
0.00000000
USD
6000000.00000000
SEK
18799.14000000
N
N
N
XEROX CORPORATION
4KF48RN45X1OO8UBLY20
Xerox Corp
984121CQ4
460000.00000000
PA
USD
466461.39000000
0.008245180641
Long
DBT
CORP
US
N
2
2023-03-15
Variable
4.37500000
N
N
N
N
N
N
SALLY HOLDINGS/SALLY CAP
N/A
Sally Holdings LLC / Sally Capital Inc
79546VAL0
4525000.00000000
PA
USD
4599590.87000000
0.081302458066
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.62500000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Signal Peak CLO 5 Ltd
56844YAA5
6250000.00000000
PA
USD
6248356.25000000
0.110446067130
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
1.36771000
N
N
N
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM 17-C6 Mortgage Trust
23312JAC7
4400000.00000000
PA
USD
4482519.36000000
0.079233099768
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Fixed
3.26900000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
700000.00000000
PA
748409.04000000
0.013228892810
Long
DBT
NUSS
EG
N
2
2026-04-16
Fixed
4.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
THB/USD FORWARD
000000000
1.00000000
NC
USD
284630.40000000
0.005031132510
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-14403791.09000000
USD
489116736.00000000
THB
2022-03-16
284630.40000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
-290678.31000000
-0.00513803548
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-02-19
0.00000000
USD
-16.57000000
USD
6000000.00000000
AUD
-290661.74000000
N
N
N
TRANSPORT FOR LONDON
213800FGQ9DJHGRLQZ89
Transport for London
000000000
1000000.00000000
PA
1567551.81000000
0.027708076414
Long
DBT
CORP
GB
N
2
2033-09-12
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-493.36000000
-0.00000872064
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-15
466.22000000
USD
0.00000000
USD
-256500000.00000000
JPY
-959.58000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-6954.35000000
-0.00012292522
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-10-12
0.00000000
USD
0.00000000
USD
33500000.00000000
MXN
-6954.35000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-25.18000000
-0.00000044508
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-04
54.28000000
USD
0.00000000
USD
-26000000.00000000
JPY
-79.46000000
N
N
N
KB HOME
549300LGUCWQURMWLG09
KB Home
48666KAX7
1650000.00000000
PA
USD
1874354.96000000
0.033131134886
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
6.87500000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BD5
200000.00000000
PA
USD
209219.31000000
0.003698164610
Long
DBT
NUSS
PA
N
2
2024-09-22
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
146389.79000000
0.002587588787
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-11-02
0.00000000
USD
-1795.96000000
USD
300000000.00000000
JPY
148185.75000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
251231.86000000
0.004440779264
Long
DBT
NUSS
ES
N
2
2042-07-30
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
166269.50000000
0.002938982929
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-10-03
0.00000000
USD
0.00000000
USD
140000000.00000000
ZAR
166269.50000000
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
1145000.00000000
PA
809741.40000000
0.014313004803
Long
DBT
NUSS
US
N
2
2022-03-07
Fixed
0.50000000
N
N
N
N
N
N
JOHN SEVIER COMB CYCLE
N/A
John Sevier Combined Cycle Generation LLC
478045AA5
3895624.06000000
PA
USD
4649278.42000000
0.082180736170
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
4.62600000
N
N
N
N
N
N
BANK GOSPODARSTWA KRAJOW
259400BCOV9JJIGLYF05
Bank Gospodarstwa Krajowego
000000000
600000.00000000
PA
709382.22000000
0.012539053977
Long
DBT
NUSS
PL
N
2
2028-04-30
Fixed
1.62500000
N
N
N
N
N
N
SoFi Alternative Trust
N/A
Sofi Alternative Trust 2019-D
83406DAE7
4611537.60000000
PA
USD
4704972.89000000
0.083165192710
Long
ABS-O
CORP
US
N
2
2046-01-16
Variable
2.89953000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
532223.27000000
0.009407588916
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-11-02
488.09000000
USD
0.00000000
USD
225740000.00000000
CNY
531735.18000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2P8
5220000.00000000
PA
USD
5079324.03000000
0.089782230773
Long
DBT
CORP
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
USD/BRL FORWARD
000000000
1.00000000
NC
USD
227713.37000000
0.004025065976
N/A
DFE
CORP
US
N
2
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
-3504698.95000000
USD
19830200.00000000
BRL
2022-02-02
227713.37000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-109992.82000000
-0.00194423523
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-08-05
50.43000000
USD
0.00000000
USD
700000000.00000000
JPY
-110043.25000000
N
N
N
MOZART DEBT MERGER SUB
N/A
Mozart Debt Merger Sub Inc
62482BAA0
5450000.00000000
PA
USD
5250823.05000000
0.092813650801
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CDS RUSSIAN FEDERATION
000000000
1.00000000
NC
USD
-237990.30000000
-0.00420672119
N/A
DCR
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
RUSSIAN FEDERATION
RUSSIAN FOREIGN BOND - EUROBOND
Y
Default Event
2030-06-20
0.00000000
USD
-213204.23000000
USD
2500000.00000000
USD
-24786.07000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
343.01000000
0.000006063051
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-12
0.00000000
USD
-37.12000000
USD
120000000.00000000
JPY
380.13000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
349.38000000
0.000006175647
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-28
0.00000000
USD
-63.19000000
USD
100000000.00000000
JPY
412.57000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
120249.01000000
0.002125523849
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2035-02-12
0.00000000
USD
-3796.17000000
USD
120000000.00000000
JPY
124045.18000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
405.71000000
0.000007171337
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-02
0.00000000
USD
-49.91000000
USD
150000000.00000000
JPY
455.62000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
-175867.19000000
-0.00310863188
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-10-07
0.00000000
USD
0.00000000
USD
48000000.00000000
NOK
-175867.19000000
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
000000000
2470000.00000000
PA
1756577.63000000
0.031049300500
Long
DBT
CORP
CA
N
2
2024-07-10
Fixed
2.05000000
N
N
N
N
N
N
CAISSE FRANCAISE DE FIN
549300E6W08778I4OW85
Caisse Francaise de Financement Local
000000000
28712000.00000000
PA
25847550.70000000
0.456881811077
Long
DBT
NUSS
FR
N
2
2029-03-09
Fixed
4.68000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
35973.45000000
0.000635867404
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2035-01-22
0.00000000
USD
-1519.13000000
USD
50000000.00000000
JPY
37492.58000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAN5
800000.00000000
PA
USD
856028.11000000
0.015131169593
Long
DBT
CORP
GB
N
2
2026-01-12
Fixed
4.37500000
N
N
N
N
N
N
Residential Mortgage Securitie
54930041T52UP3IPLN03
Residential Mortgage Securities 32 PLC
000000000
5169852.26000000
PA
7015976.56000000
0.124014538724
Long
ABS-MBS
CORP
GB
N
2
2070-06-20
Floating
1.29838000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF GREECE
000000000
1.00000000
NC
USD
2754.85000000
0.000048694782
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2023-06-20
0.00000000
USD
-9402.40000000
USD
300000.00000000
USD
12157.25000000
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299AS3
3806000.00000000
PA
USD
4040630.46000000
0.071422262940
Long
DBT
NUSS
PA
N
2
2023-01-16
Fixed
9.37500000
N
N
N
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAJ1
375000.00000000
PA
USD
389397.42000000
0.006882996402
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
5.12500000
N
N
N
N
N
N
SILGAN HOLDINGS INC
KAF673KJXD92C8KSLU49
Silgan Holdings Inc
000000000
7711000.00000000
PA
8434356.58000000
0.149085851664
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS RUSSIAN FEDERATION
000000000
1.00000000
NC
USD
-88907.01000000
-0.00157152204
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
RUSSIAN FEDERATION
RUSSIAN FOREIGN BOND - EUROBOND
Y
Default Event
2023-06-20
0.00000000
USD
-37087.04000000
USD
7000000.00000000
USD
-51819.97000000
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAQ3
1000000.00000000
PA
USD
917236.40000000
0.016213088523
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Variable
3.09990000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
216482.54000000
0.003826549605
Long
DBT
NUSS
ES
N
2
2049-07-30
None
0.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C7
90276WAR8
4400000.00000000
PA
USD
4589992.88000000
0.081132803807
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.41800000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F83S0
126981069.48000000
PA
USD
9455505.66000000
0.167135702749
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.02762700
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
2000000.00000000
PA
1448377.78000000
0.025601553931
Long
DBT
CORP
GB
N
2
2029-06-26
Fixed
4.00000000
N
N
N
N
N
N
Wellfleet CLO Ltd
254900TEETF3L54VTH19
Wellfleet CLO 2017-3 Ltd
94950HAA3
2500000.00000000
PA
USD
2500119.50000000
0.044192161119
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
1.39129000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
445545AM8
1375000.00000000
PA
USD
1302870.65000000
0.023029567059
Long
DBT
NUSS
HU
N
2
2031-09-22
Fixed
2.12500000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP
000000000
21000000.00000000
PA
3373302.05000000
0.059626552929
Long
DBT
CORP
AU
N
2
2023-08-14
Fixed
4.42000000
N
N
N
N
N
N
POWER FINANCE CORP LTD
3358003Q6D9LIJJZ1614
Power Finance Corp Ltd
000000000
2700000.00000000
PA
2996393.00000000
0.052964301199
Long
DBT
CORP
IN
N
2
2028-09-21
Fixed
1.84100000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
000000000
5000000.00000000
PA
5638346.09000000
0.099663515625
Long
DBT
NUSS
TR
N
2
2025-03-31
Fixed
4.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-718092.11000000
-0.01269301016
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2044-08-15
0.00000000
USD
0.00000000
USD
-4980000.00000000
USD
-718092.11000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
000000000
700000.00000000
PA
788187.45000000
0.013932016762
Long
DBT
CORP
GB
N
2
2023-03-08
Fixed
2.00000000
N
N
N
N
N
N
VENTAS REALTY LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAW7
11185000.00000000
PA
USD
10701447.28000000
0.189158991162
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAA7
735000.00000000
PA
USD
762590.19000000
0.013479559094
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-683238.28000000
-0.01207693318
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-04-20
0.00000000
USD
0.00000000
USD
27120000000.00000000
COP
-683238.28000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBD7
1590000.00000000
PA
USD
1682893.57000000
0.029746859616
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
3.70200000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
123062.48000000
0.002175254800
Long
DBT
NUSS
ES
N
2
2065-07-30
None
0.00000000
N
N
N
N
N
N
BANK GOSPODARSTWA KRAJOW
259400BCOV9JJIGLYF05
Bank Gospodarstwa Krajowego
000000000
4700000.00000000
PA
5563056.74000000
0.098332699604
Long
DBT
NUSS
PL
N
2
2026-05-06
Fixed
1.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
528000.00000000
PA
721859.51000000
0.012759602799
Long
DBT
CORP
MX
N
2
2022-06-02
Fixed
8.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-259.43000000
-0.00000458568
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-24
246.66000000
USD
0.00000000
USD
-320000000.00000000
JPY
-506.09000000
N
N
N
NEDER WATERSCHAPSBANK
JLP5FSPH9WPSHY3NIM24
Nederlandse Waterschapsbank NV
639832AB0
230000.00000000
PA
207946.50000000
0.003675666396
Long
DBT
NUSS
NL
N
2
2029-03-16
Fixed
4.55000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2020-HR8
61692BBV1
54413000.00000000
PA
USD
3753648.16000000
0.066349558199
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
0.87765700
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CZK
000000000
1.00000000
NC
-2124064.02000000
-0.03754499710
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-01-28
0.00000000
USD
0.00000000
USD
875720000.00000000
CZK
-2124064.02000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-118.36000000
-0.00000209213
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-12
103.07000000
USD
0.00000000
USD
-120000000.00000000
JPY
-221.43000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS RUB
000000000
1.00000000
NC
-1705978.25000000
-0.03015490487
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2026-02-27
0.00000000
USD
0.00000000
USD
1960000000.00000000
RUB
-1705978.25000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
RUB/USD FORWARD
000000000
1.00000000
NC
USD
-204174.04000000
-0.00360898431
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-10020887.61000000
USD
768677236.00000000
RUB
2022-03-16
-204174.04000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
208909.82000000
0.003692694059
Long
DBT
NUSS
ES
N
2
2050-07-30
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
71405.67000000
0.001262168017
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-06-19
11.19000000
USD
0.00000000
USD
23500000.00000000
CNY
71394.48000000
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AK1
6582000.00000000
PA
USD
6921549.06000000
0.122345436389
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDU9
14500000.00000000
PA
USD
14970242.25000000
0.264614294438
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
1800000.00000000
PA
98743.47000000
0.001745391504
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
100000.00000000
PA
89053.70000000
0.001574114940
Long
DBT
NUSS
BE
N
2
2071-06-22
Fixed
0.65000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
148668.42000000
0.002627865896
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-12-19
424.53000000
USD
0.00000000
USD
1850000.00000000
EUR
148243.89000000
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAH4
1075000.00000000
PA
USD
1130658.11000000
0.019985534838
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
7.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BMTY2
11774236.06000000
PA
USD
251551.84000000
0.004446435237
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Variable
0.64450100
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KBS7
17900000.00000000
PA
USD
18042247.72000000
0.318915123134
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
2.29967000
N
N
N
N
N
N
Dreyfus Government Cash Management
5493000Q69I5Q3QZIA91
Dreyfus Government Cash Management
262006208
9074306.33000000
NS
USD
9074306.33000000
0.160397615946
Long
STIV
RF
US
N
1
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
465410BZ0
500000.00000000
PA
USD
527671.78000000
0.009327136690
Long
DBT
NUSS
IT
N
2
2049-10-17
Fixed
4.00000000
N
N
N
N
N
N
CF INDUSTRIES INC
5FVKT86LAD2F40NPC183
CF Industries Inc
12527GAH6
6451000.00000000
PA
USD
7004147.83000000
0.123805453861
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.50000000
N
N
N
N
N
N
WELLTOWER INC
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040QAN4
3100000.00000000
PA
USD
2978988.87000000
0.052656665457
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.05000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
234791.07000000
0.004150171539
Long
DBT
NUSS
ES
N
2
2045-07-30
None
0.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
7800000.00000000
PA
USD
7960025.27000000
0.140701562163
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
900000000.00000000
PA
1022127.32000000
0.018067142474
Long
DBT
NUSS
CL
N
2
2025-03-01
Fixed
2.50000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAJ0
1700000.00000000
PA
USD
1631433.03000000
0.028837242106
Long
DBT
CORP
US
N
2
2030-12-31
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS REPUBLIC OF INDONESIA
000000000
1.00000000
NC
USD
84471.62000000
0.001493122005
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
REPUBLIC OF INDONESIA
REPUBLIC OF INDONESIA
Y
Default Event
2025-06-20
0.00000000
USD
-120864.42000000
USD
6100000.00000000
USD
205336.04000000
N
N
N
METROPOLITANO DE LISBOA
213800Q167XJFGRJJK66
Metropolitano de Lisboa EPE
000000000
300000.00000000
PA
428527.39000000
0.007574658516
Long
DBT
NUSS
PT
N
2
2025-12-23
Fixed
7.30000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1769.02000000
0.000031269232
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-26
0.00000000
USD
-310.32000000
USD
500000000.00000000
JPY
2079.34000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
111.78000000
0.000001975825
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-02
7.75000000
USD
0.00000000
USD
-150000000.00000000
JPY
104.03000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
-1731819.49000000
-0.03061167513
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-03-01
717274.34000000
USD
0.00000000
USD
51390000.00000000
NZD
-2449093.83000000
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAF7
2705000.00000000
PA
USD
3451934.84000000
0.061016467661
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
6.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGA6
3200000.00000000
PA
2497949.60000000
0.044153805924
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
4.05000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
76243.09000000
0.001347674348
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-11-01
0.00000000
USD
-176.41000000
USD
30000000.00000000
ZAR
76419.50000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEH4
4320000.00000000
PA
USD
4178236.56000000
0.073854591051
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.51100000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS COP
000000000
1.00000000
NC
-148117.09000000
-0.00261812057
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2027-06-02
0.00000000
USD
0.00000000
USD
13700000000.00000000
COP
-148117.09000000
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
-24509.30000000
-0.00043322686
N/A
DCR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2028-12-20
0.00000000
USD
-18863.50000000
USD
4170000.00000000
USD
-5645.80000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS COLOMBIA REPUBLIC
000000000
1.00000000
NC
USD
2095.81000000
0.000037045578
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
REPUBLIC OF COLOMBIA
Colombia Government International Bond
Y
Default Event
2023-06-20
0.00000000
USD
-3508.63000000
USD
5000000.00000000
USD
5604.44000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHV4
5140000.00000000
PA
USD
5254757.08000000
0.092883188792
Long
DBT
CORP
US
N
2
2030-07-23
Fixed
3.19400000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
506796.46000000
0.008958144126
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2041-11-25
0.00000000
USD
0.00000000
USD
-30272000.00000000
EUR
506796.46000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
1095000.00000000
PA
USD
1121464.43000000
0.019823027171
Long
DBT
CORP
DK
N
2
2025-12-20
Fixed
3.24400000
N
N
N
N
N
N
Carlyle C17 CLO
N/A
Carlyle C17 CLO Ltd
14307PAC9
15000000.00000000
PA
USD
14990545.50000000
0.264973175082
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Floating
1.32900000
N
N
N
N
N
N
KINGDOM OF SPAIN
9598007A56S18711AH60
Spain Government International Bond
000000000
10500000.00000000
PA
USD
13883783.55000000
0.245410029234
Long
DBT
NUSS
ES
N
2
2044-11-21
Fixed
5.01000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
208328.82000000
0.003682424291
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-23
0.00000000
USD
0.00000000
USD
50000000.00000000
CNY
208328.82000000
N
N
N
SWIRE PACIFIC MTN FIN
549300B8O4ENACYK5559
Swire Pacific MTN Financing Ltd
000000000
5000000.00000000
PA
692374.93000000
0.012238432787
Long
DBT
CORP
HK
N
2
2030-11-05
Fixed
3.90000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
000000000
1000000.00000000
PA
1215464.69000000
0.021484577603
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
2.75000000
N
N
N
N
N
N
STATE OF MINAS GERAIS
N/A
Brazil Minas SPE via State of Minas Gerais
105860AA8
493500.00000000
PA
USD
502268.37000000
0.008878105519
Long
DBT
NUSS
KY
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
TEACHERS INSURANCE AND ANNUITY
549300SWQCCOXV4X1761
TIAA CLO I Ltd
87271LAJ1
2000000.00000000
PA
USD
2000126.20000000
0.035354269781
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
1.45400000
N
N
N
N
N
N
TREASURY CORP VICTORIA
549300ZJM7BQW1P9UV75
Treasury Corp of Victoria
000000000
2000000.00000000
PA
1267372.42000000
0.022402099652
Long
DBT
NUSS
AU
N
2
2041-11-20
Fixed
2.25000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
-81100000.00000000
OU
Other
USD
-1387773.24000000
-0.02453030689
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
DE
US
2025-05-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
-81100000.00000000
USD
1.13000000
USD
2023-05-17
XXXX
-779523.24000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
27366.83000000
0.000483736621
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-06-07
0.00000000
USD
0.00000000
USD
140000000.00000000
JPY
27366.83000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
97000.00000000
PA
USD
91236.44000000
0.001612697095
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS CALPHINE CORP
000000000
1.00000000
NC
USD
318343.25000000
0.005627041505
N/A
DCR
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CALPINE CORP
Calpine Corp
Y
Default Event
2022-06-20
232687.02000000
USD
0.00000000
USD
14700000.00000000
USD
85656.23000000
N
N
N
AFLAC INC
549300N0B7DOGLXWPP39
Aflac Inc
001055AZ5
100000000.00000000
PA
851006.13000000
0.015042400977
Long
DBT
CORP
US
N
2
2029-12-17
Fixed
0.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS CDX.NA.HY.BB.36.V1
000000000
1.00000000
NC
USD
1882684.24000000
0.033278363402
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IHS MARKIT LTD
CDX.NA.HY.BB.36
Y
Default Event
2026-06-20
2064638.76000000
USD
0.00000000
USD
15300000.00000000
USD
-181954.52000000
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2020-3
30166NAF3
700000.00000000
PA
USD
701517.88000000
0.012400043750
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
1.73000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
3782315.73000000
0.066856286727
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-09
0.00000000
USD
0.00000000
USD
-204255000.00000000
USD
3782315.73000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
163887.93000000
0.002896886252
Long
DBT
NUSS
ES
N
2
2058-07-30
None
0.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-510.00000000
NC
USD
988191.70000000
0.017467295792
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2022-09-20
-127461816.70000000
USD
988191.70000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP7
465968AC9
5100000.00000000
PA
USD
5206707.81000000
0.092033868957
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.37850000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325AQ8
1000000.00000000
PA
USD
1480634.39000000
0.026171722400
Long
DBT
NUSS
CO
N
2
2028-03-09
Fixed
11.85000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
928872.91000000
0.016418775701
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-11-09
0.00000000
USD
0.00000000
USD
-219110000.00000000
USD
928872.91000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
11876.58000000
0.000209930660
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-05-08
0.00000000
USD
-85429.28000000
USD
-2320000.00000000
GBP
97305.86000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAF2
2200000.00000000
PA
USD
2314624.82000000
0.040913353532
Long
DBT
CORP
ES
N
2
2028-02-23
Fixed
3.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CSWAP PEN VS USD
000000000
1.00000000
NC
USD
386366.65000000
0.006829424452
N/A
DFE
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
-8000000.00000000
USD
32632000.00000000
PEN
2024-08-12
386366.65000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-367847.44000000
-0.00650207853
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
27354528.10000000
BRL
-367847.44000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF SERBIA
000000000
1.00000000
NC
USD
746904.44000000
0.013202297471
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF SERBIA
Serbia International Bond
Y
Default Event
2025-12-20
686980.85000000
USD
0.00000000
USD
4500000.00000000
USD
59923.59000000
N
N
N
NEWDAY PARTNERSHIP FUNDING PLC
2138003JMQKL1SKS2Y68
Newday Partnership Funding 2020-1 PLC
000000000
6205000.00000000
PA
8430824.08000000
0.149023411125
Long
ABS-O
CORP
GB
N
2
2028-11-15
Floating
1.44960000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
180000.00000000
PA
346672.32000000
0.006127786700
Long
DBT
NUSS
GB
N
2
2039-09-07
Fixed
4.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME JAPANESE YEN CURRENCY
000000000
2207.00000000
NC
USD
-4311732.86000000
-0.07621427425
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
JAPANESE YEN CURRENCY
JAPANESE YEN CURRENCY
2022-03-14
244295395.36000000
USD
-4311732.86000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJZ3
25850000.00000000
PA
USD
24856676.01000000
0.439367090701
Long
DBT
CORP
US
N
2
2029-06-14
Fixed
2.08700000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
74.31000000
0.000001313505
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-27
9.30000000
USD
0.00000000
USD
-110000000.00000000
JPY
65.01000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
247.68000000
0.000004377996
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-07-04
1186.64000000
USD
0.00000000
USD
-900000000.00000000
JPY
-938.96000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
5850.85000000
0.000103419738
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-22
0.00000000
USD
-1106.26000000
USD
2500000000.00000000
JPY
6957.11000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
600000.00000000
PA
USD
565239.76000000
0.009991189039
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.74900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-167933.51000000
-0.00296839600
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-06-02
42.62000000
USD
0.00000000
USD
5000000000.00000000
JPY
-167976.13000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS RUSSIAN FEDERATION
000000000
1.00000000
NC
USD
-50804.00000000
-0.00089801249
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
RUSSIAN FEDERATION
RUSSIAN FOREIGN BOND - EUROBOND
Y
Default Event
2023-06-20
0.00000000
USD
-25380.93000000
USD
4000000.00000000
USD
-25423.07000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
126935.75000000
0.002243718796
Long
DBT
NUSS
GB
N
2
2039-01-31
Fixed
1.12500000
N
N
N
N
N
N
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
IRS ILS
000000000
1.00000000
NC
88883.94000000
0.001571114259
N/A
DIR
CORP
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
Y
2023-06-27
0.00000000
USD
0.00000000
USD
4200000.00000000
ILS
88883.94000000
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mort Sec Inc Ass Bk Pas Thr Certs Ser 2002 2
03072SCJ2
297177.05000000
PA
USD
300594.62000000
0.005313316374
Long
ABS-MBS
CORP
US
N
2
2032-08-25
Floating
2.76271000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF INDONESIA
000000000
1.00000000
NC
USD
145807.59000000
0.002577297809
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF INDONESIA
REPUBLIC OF INDONESIA
Y
Default Event
2023-06-20
0.00000000
USD
-27631.41000000
USD
13885000.00000000
USD
173439.00000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
364082.98000000
0.006435537866
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-11-28
0.00000000
USD
-2492.29000000
USD
100500000.00000000
CNY
366575.27000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-722326.58000000
-0.01276785873
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-11-29
0.00000000
USD
0.00000000
USD
110000000.00000000
MXN
-722326.58000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS ILS
000000000
1.00000000
NC
39924.91000000
0.000705713489
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2029-07-12
0.00000000
USD
-2531.28000000
USD
12160000.00000000
ILS
42456.19000000
N
N
N
Chase Auto Credit Linked Notes
N/A
JPMorgan Chase Bank NA - CACLN
46591HCH1
600000.00000000
PA
USD
584555.64000000
0.010332616911
Long
ABS-O
CORP
US
N
2
2029-02-26
Fixed
3.69400000
N
N
N
N
N
N
HUNT COS INC
549300ODPWDNCH5TKM49
Hunt Cos Inc
445587AE8
5750000.00000000
PA
USD
5484181.58000000
0.096938500735
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381VAA5
750000.00000000
PA
USD
769223.62000000
0.013596811733
Long
DBT
CORP
N/A
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
343237.90000000
0.006067079825
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-05-11
0.00000000
USD
-82068.89000000
USD
4150000.00000000
EUR
425306.79000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-1957.36000000
-0.00003459833
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-03
4758.68000000
USD
0.00000000
USD
-3399385000.00000000
JPY
-6716.04000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
47879.91000000
0.000846326224
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-29
11317.68000000
USD
0.00000000
USD
12700000.00000000
SEK
36562.23000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R04
20753TAB9
160283.13000000
PA
USD
160380.71000000
0.002834892562
Long
ABS-MBS
CORP
US
N
2
2039-06-25
Floating
2.20771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
136211.82000000
0.002407682791
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-01-11
0.00000000
USD
-6443.53000000
USD
224000000.00000000
JPY
142655.35000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
000000000
47879000.00000000
PA
57689413.08000000
1.019719192503
Long
DBT
NUSS
CO
N
2
2026-03-22
Fixed
3.87500000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
33700000.00000000
PA
1499716.20000000
0.026509012846
Long
DBT
NUSS
N/A
N
2
2028-07-24
Fixed
6.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS MARRIOTT INTERNATIONAL INC
000000000
1.00000000
NC
USD
-12136.06000000
-0.00021451723
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
MARRIOTT INTERNATIONAL
Marriott International Inc/MD
Y
Default Event
2025-06-20
27513.71000000
USD
0.00000000
USD
-875000.00000000
USD
-39649.77000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
137076.66000000
0.002422969719
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-02-15
0.00000000
USD
-5292.18000000
USD
275500000.00000000
JPY
142368.84000000
N
N
N
NETHERLANDS GOVERNMENT
254900G14ALGVKORFN62
Netherlands Government Bond
000000000
100000.00000000
PA
100043.50000000
0.001768370860
Long
DBT
NUSS
NL
N
2
2052-01-15
None
0.00000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
15640000.00000000
PA
21355647.04000000
0.377482834239
Long
DBT
NUSS
IT
N
2
2035-03-01
Fixed
3.35000000
N
N
N
N
N
N
ZAIS CLO 3, LTD
549300SYHU0CNKIXQ691
Zais CLO 3 Ltd
98887HAL8
8500000.00000000
PA
USD
8503753.60000000
0.150312514745
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
2.43129000
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
600000.00000000
PA
414375.14000000
0.007324503069
Long
DBT
CORP
AE
N
2
2030-02-26
Fixed
3.05000000
N
N
N
N
N
N
HKT CAPITAL NO 3 LTD
254900HE65W6XSXMND87
HKT Capital No 3 Ltd
000000000
9200000.00000000
PA
10703359.33000000
0.189192788595
Long
DBT
CORP
VG
N
2
2027-04-10
Fixed
1.65000000
N
N
N
N
N
N
BARRICK PD AU FIN PTY LT
5493008DX0TK7OFLV260
Barrick PD Australia Finance Pty Ltd
06849UAD7
50000.00000000
PA
USD
65146.56000000
0.001151531867
Long
DBT
CORP
AU
N
2
2039-10-15
Fixed
5.95000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-430711.10000000
-0.00761325781
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2040-01-08
0.00000000
USD
-12163.76000000
USD
1500000000.00000000
JPY
-418547.34000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
169281.28000000
0.002992219212
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-04-10
0.00000000
USD
0.00000000
USD
2000000.00000000
EUR
169281.28000000
N
N
N
CODERE NEW TOPCO SA
N/A
CODERE NEW TOPCO SA
000000000
16439.00000000
NS
0.00000000
0.000000
Long
EC
CORP
N/A
N
3
N
N
N
KINGDOM OF DENMARK
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
4300000.00000000
PA
671821.42000000
0.011875128543
Long
DBT
NUSS
DK
N
2
2029-11-15
Fixed
0.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
322840.40000000
0.005706533216
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2039-12-03
0.00000000
USD
-586.49000000
USD
969000000.00000000
JPY
323426.89000000
N
N
N
BELLEMEADE RE LT
254900SCWI9IDKK5LV64
Bellemeade Re 2019-3 Ltd
07877GAB5
1811858.15000000
PA
USD
1815522.45000000
0.032091210290
Long
ABS-MBS
CORP
BM
N
2
2029-07-25
Floating
1.70771000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
220000.00000000
PA
165638.80000000
0.002927834664
Long
DBT
CORP
FR
N
2
2027-05-19
Fixed
5.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-509.25000000
-0.00000900151
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-30
918.50000000
USD
0.00000000
USD
-1650000000.00000000
JPY
-1427.75000000
N
N
N
ANTERO RESOURCES CORP
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674XAN6
1170000.00000000
PA
USD
1305474.92000000
0.023075600186
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
8.37500000
N
N
N
N
N
N
STRIPS
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
9128337P9
400000.00000000
PA
USD
335296.88000000
0.005926714200
Long
DBT
UST
US
N
2
2031-05-15
None
0.00000000
N
N
N
N
N
N
KAZAKHSTAN TEMIR ZHOLY
213800X9NVS4IWFKLS77
Kazakhstan Temir Zholy National Co JSC
000000000
7200000.00000000
PA
7966305.02000000
0.140812563146
Long
DBT
CORP
KZ
N
2
2023-12-05
Fixed
3.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
379858.00000000
0.006714377428
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-06-20
67.69000000
USD
0.00000000
USD
125090000.00000000
CNY
379790.31000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
AUD/JPY FORWARD
000000000
1.00000000
NC
USD
-960471.25000000
-0.01697730857
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-9835000.00000000
AUD
671730500.00000000
JPY
2023-10-31
-960471.25000000
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAF4
4350000.00000000
PA
USD
4254216.22000000
0.075197609006
Long
DBT
CORP
DE
N
2
2026-03-19
Fixed
1.68600000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
800000.00000000
PA
825022.06000000
0.014583106048
Long
DBT
NUSS
IT
N
2
2051-09-01
Fixed
1.70000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
477000.00000000
PA
USD
520322.96000000
0.009197238804
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT2
69354WAD8
2300000.00000000
PA
USD
2303523.60000000
0.040717128150
Long
ABS-O
CORP
US
N
2
2025-08-25
Floating
2.75771000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
21225000.00000000
PA
26369892.99000000
0.466114743599
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LAQ2
2100000.00000000
PA
2307734.02000000
0.040791551616
Long
DBT
CORP
LU
N
2
2049-07-02
Fixed
1.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
2200000.00000000
PA
USD
2451588.48000000
0.043334325861
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding 2020-1 LLC
68377AAA7
330737.69000000
PA
USD
331083.38000000
0.005852236292
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
2.20000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS STATE OF QATAR
000000000
1.00000000
NC
USD
96737.43000000
0.001709932702
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
STATE OF QATAR
STATE OF QATAR
Y
Default Event
2026-12-20
107921.75000000
USD
0.00000000
USD
4000000.00000000
USD
-11184.32000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
500000.00000000
PA
564290.29000000
0.009974406188
Long
DBT
NUSS
MX
N
2
2027-09-18
Fixed
1.35000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-304653.04000000
-0.00538505308
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-10
0.00000000
USD
0.00000000
USD
4000000000.00000000
HUF
-304653.04000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
28.67000000
0.000000506771
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-16
13.64000000
USD
0.00000000
USD
-65000000.00000000
JPY
15.03000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-395299.74000000
-0.00698732592
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-14
0.00000000
USD
0.00000000
USD
5445000.00000000
USD
-395299.74000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
361714.87000000
0.006393679107
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2047-11-24
0.00000000
USD
-1524.58000000
USD
560000000.00000000
JPY
363239.45000000
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD
000000000
7400000.00000000
PA
1164878.80000000
0.020590420423
Long
DBT
CORP
KY
N
2
2026-03-09
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-478424.00000000
-0.00845663196
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-02-08
0.00000000
USD
-15446.82000000
USD
1200000000.00000000
JPY
-462977.18000000
N
N
N
BNPP IP Euro CLO
635400VGNU8T62DHAX91
BNPP AM Euro CLO 2018 DAC
000000000
10000000.00000000
PA
11182628.07000000
0.197664352206
Long
ABS-CBDO
CORP
IE
N
2
2031-04-15
Floating
0.60000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAA1
495000.00000000
PA
USD
494819.92000000
0.008746446571
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
200481.79000000
0.003543720036
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-09-04
0.00000000
USD
-7178.43000000
USD
500000000.00000000
JPY
207660.22000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
1500000.00000000
PA
USD
1517197.67000000
0.026818015651
Long
DBT
CORP
US
N
2
2022-11-26
Variable
2.50000000
N
N
N
N
N
N
AFRICAN EXPORT-IMPORT BA
21380068LJCDYA42GJ76
African Export-Import Bank/The
000000000
300000.00000000
PA
USD
300212.33000000
0.005306559009
Long
DBT
NUSS
N/A
N
2
2031-05-17
Fixed
3.79800000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-147.94000000
-0.00000261499
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-25
493.59000000
USD
0.00000000
USD
-800000000.00000000
JPY
-641.53000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
-96126.98000000
-0.00169914237
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2028-12-20
0.00000000
USD
-61737.36000000
USD
16355000.00000000
USD
-34389.62000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAJ1
7422000.00000000
PA
USD
6892445.64000000
0.121831003769
Long
DBT
CORP
FR
N
2
2032-01-20
Fixed
2.27700000
N
N
N
N
N
N
KOREA DEVELOPMENT BANK
549300ML2LNRZUCS7149
Korea Development Bank/The
000000000
74000000.00000000
PA
8239250.27000000
0.145637148717
Long
DBT
NUSS
KR
N
2
2027-08-10
Fixed
1.83000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-879.72000000
-0.00001554994
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-26
882.85000000
USD
0.00000000
USD
-500000000.00000000
JPY
-1762.57000000
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PAX9
2000000.00000000
PA
USD
2247266.44000000
0.039722725491
Long
DBT
NUSS
QA
N
2
2028-04-23
Fixed
4.50000000
N
N
N
N
N
N
DAIMLER INTERNATIONAL FINANCE BV
529900RUGCXMPEENHQ31
DAIMLER INTERNATIONAL FINANCE BV
000000000
2000000.00000000
PA
314204.33000000
0.005553881874
Long
DBT
CORP
NL
N
2
2022-03-22
Fixed
3.78000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
770000000.00000000
PA
7278853.76000000
0.128661161246
Long
DBT
CORP
US
N
2
2027-06-25
Fixed
2.80000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAM7
1800000.00000000
PA
USD
1761163.94000000
0.031130368205
Long
DBT
CORP
ES
N
2
2031-03-25
Fixed
2.95800000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/ILS FORWARD
000000000
1.00000000
NC
USD
-25005.38000000
-0.00044199558
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-7910496.11000000
USD
24937839.00000000
ILS
2022-03-16
-25005.38000000
N
N
N
ISRAEL ELECTRIC CORP LTD
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
465077AL9
1550000.00000000
PA
USD
1686156.42000000
0.029804533817
Long
DBT
CORP
IL
N
2
2028-08-14
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS GENERAL ELECTRIC CO
000000000
1.00000000
NC
USD
52947.39000000
0.000935899099
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2022-06-20
33350.42000000
USD
0.00000000
USD
12360000.00000000
USD
19596.97000000
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
45905UR71
300000.00000000
PA
USD
291163.28000000
0.005146607824
Long
DBT
NUSS
N/A
N
2
2037-12-28
Fixed
2.70000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
440427.19000000
0.007784999613
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-11-01
0.00000000
USD
-193.49000000
USD
98660000.00000000
CNY
440620.68000000
N
N
N
PROLOGIS YEN FINANCE
5493000T2SX5D8WRJG02
Prologis Yen Finance LLC
000000000
200000000.00000000
PA
1751019.74000000
0.030951059128
Long
DBT
CORP
US
N
2
2035-06-22
Fixed
1.22200000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
-233650.62000000
-0.00413001292
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-03-20
0.00000000
USD
0.00000000
USD
5000000.00000000
AUD
-233650.62000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAW5
3780000.00000000
PA
USD
4064049.20000000
0.071836213046
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
4.83600000
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BLN20
39373867.81000000
PA
USD
699642.13000000
0.012366887956
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Variable
0.58394900
N
N
N
N
N
N
EXPORT-IMPORT BANK CHINA
300300C1020211000045
EXPORT-IMPORT BANK OF CHINA/THE
000000000
30000000.00000000
PA
4780771.07000000
0.084505002820
Long
DBT
NUSS
CN
N
2
2030-03-23
Fixed
3.23000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP CDS ITRAXX.EU.XO.36.V1
000000000
-5000000.00000000
OU
Other
-26152.71000000
-0.00046227581
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITRAXX.EU.XO.36.V1
000000000
0.00000000
NC
0.00000000
0.00000000
DCR
CORP
GB
US
ITRAXX.XO.EU.36.V1
ITRAXX.XO.EU.36.V1
Default Event
2026-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-5000000.00000000
USD
800.00000000
EUR
2022-09-21
XXXX
6533.09000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS ILS
000000000
1.00000000
NC
29829.66000000
0.000527269652
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2022-12-09
0.00000000
USD
0.00000000
USD
7500000.00000000
ILS
29829.66000000
N
N
N
GREYSTONE COML CAP TRUST
N/A
Greystone Commercial Capital Trust Series 2021-1
39809KAA4
6000000.00000000
PA
USD
6000000.00000000
0.106056117203
Long
DBT
CORP
US
N
3
2024-02-01
Floating
3.03000000
N
N
N
N
N
N
LA POSTE SA
9695000YG7TR7PAP0L59
La Poste SA
000000000
600000.00000000
PA
712827.23000000
0.012599948041
Long
DBT
CORP
FR
N
2
2028-11-30
Fixed
1.45000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
46649XAN7
5564000.00000000
PA
USD
5611011.91000000
0.099180356126
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Variable
4.61320000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1675.82000000
0.000029621827
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-25
0.00000000
USD
-323.26000000
USD
800000000.00000000
JPY
1999.08000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAD7
2000000.00000000
PA
USD
2107185.86000000
0.037246658423
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
2000000.00000000
PA
USD
2193024.30000000
0.038763940365
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
2900000.00000000
PA
3348340.65000000
0.059185334735
Long
DBT
CORP
MX
N
2
2024-02-21
Fixed
3.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
18820000.00000000
PA
USD
18421952.67000000
0.325626795248
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.68700000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
58000.00000000
PA
USD
55458.36000000
0.000980283054
Long
DBT
NUSS
N/A
N
2
2026-08-11
Floating
0.12725000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAB7
1440000.00000000
PA
USD
1431084.82000000
0.025295883233
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
2.04967000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CS7
3000000.00000000
PA
USD
3291608.82000000
0.058182541800
Long
DBT
CORP
US
N
2
2046-12-08
Fixed
5.29100000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBG3
7675000.00000000
PA
USD
7644642.23000000
0.135126845387
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
2.67000000
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
4090000.00000000
PA
3130902.46000000
0.055341893041
Long
DBT
CORP
AE
N
2
2027-10-12
Fixed
4.85000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-2797100.82000000
-0.04944160873
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
94481732.17000000
BRL
-2797100.82000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS THB
000000000
1.00000000
NC
47179.79000000
0.000833950889
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2025-04-30
0.00000000
USD
0.00000000
USD
28900000.00000000
THB
47179.79000000
N
N
N
ADCB FINANCE CAYMAN LTD
213800R9XDKRM525M609
ADCB Finance Cayman Ltd
000000000
2370000.00000000
PA
1803363.97000000
0.031876296760
Long
DBT
CORP
KY
N
2
2027-10-25
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
-479393.26000000
-0.00847376462
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-07-20
0.00000000
USD
0.00000000
USD
15000000.00000000
AUD
-479393.26000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-269.07000000
-0.00000475608
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-28
454.37000000
USD
0.00000000
USD
-800000000.00000000
JPY
-723.44000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-510643.29000000
-0.00902614076
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-20
0.00000000
USD
0.00000000
USD
13000000.00000000
PLN
-510643.29000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
142675.14000000
0.002521928561
Long
DBT
NUSS
GB
N
2
2049-01-22
Fixed
1.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CAD
000000000
1.00000000
NC
-781653.70000000
-0.01381652606
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-05-01
0.00000000
USD
-80.35000000
USD
25000000.00000000
CAD
-781573.35000000
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591DP4
14971000.00000000
PA
27094505.56000000
0.478923009541
Long
DBT
USGA
US
N
2
2032-06-07
Fixed
5.62500000
N
N
N
N
N
N
Armada Euro CLO
549300ZZKACIYBGH9718
Armada Euro CLO II DAC
000000000
1500000.00000000
PA
1685231.28000000
0.029788181024
Long
ABS-CBDO
CORP
IE
N
2
2031-11-15
Fixed
1.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS VERIZON COMMUNICATIONS INC
000000000
1.00000000
NC
USD
166125.56000000
0.002936438643
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
VERIZON COMMUNICATIONS
Verizon Communications Inc
Y
Default Event
2026-06-20
183188.67000000
USD
0.00000000
USD
9960000.00000000
USD
-17063.11000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HKK5
1410000.00000000
PA
USD
1410000.00000000
0.024923187542
Long
DBT
CORP
US
N
2
N/A
Floating
3.93163000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
36930.15000000
0.000652778052
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-04-02
0.00000000
USD
-986.02000000
USD
50000000.00000000
JPY
37916.17000000
N
N
N
LADBROKES GROUP FIN PLC
213800QOWHF5R9VLL274
Ladbrokes Group Finance PLC
000000000
1210000.00000000
PA
1672192.33000000
0.029557704289
Long
DBT
CORP
GB
N
2
2023-09-08
Fixed
5.12500000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
42989.71000000
0.000759886953
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2026-06-20
0.00000000
USD
-143940.72000000
USD
4200000.00000000
USD
186930.43000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
242226.44000000
0.004281599285
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-09-03
0.00000000
USD
-59.56000000
USD
78000000.00000000
CNY
242286.00000000
N
N
N
PINEWOOD FINANCE CO LTD
N/A
Pinewood Finance Co Ltd
000000000
1700000.00000000
PA
2251834.38000000
0.039803468488
Long
DBT
CORP
GB
N
2
2025-09-30
Fixed
3.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS DKK
000000000
1.00000000
NC
46116.60000000
0.000815157922
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-05-04
18.31000000
USD
0.00000000
USD
13600000.00000000
DKK
46098.29000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
133471.70000000
0.002359248376
Long
DBT
NUSS
ES
N
2
2063-07-30
None
0.00000000
N
N
N
N
N
N
Ford Auto Securitization Trust
549300UXPSVB9J11GQ87
Ford Auto Securitization Trust
345213JE3
500000.00000000
PA
391582.43000000
0.006921618681
Long
ABS-O
CORP
CA
N
2
2028-04-15
Fixed
2.76300000
N
N
N
N
N
N
CHINA GOVT INTL BOND
300300CHN201808MOF68
China Government International Bond
000000000
1800000.00000000
PA
1960378.08000000
0.034651681235
Long
DBT
NUSS
CN
N
2
2031-11-12
Fixed
0.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
811.43000000
0.000014342852
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-02
0.00000000
USD
-99.74000000
USD
300000000.00000000
JPY
911.17000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-445021.45000000
-0.00786620784
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2025-12-20
0.00000000
USD
-202761.28000000
USD
2000000.00000000
USD
-242260.17000000
N
N
N
SPAIN KINGDOM
N/A
SPAIN KINGDOM
000000000
-9268350.00000000
PA
-10412527.81000000
-0.18405204496
Short
RA
CORP
US
N
2
Reverse repurchase
N
-0.52000000
2222-12-31
60000000.00000000
USD
67153200.00000000
USD
AMBS
N
N
N
Paragon Mortgages PLC
NC14LGCCXH6KWEV2DR91
Paragon Mortgages No 12 PLC
000000000
970110.46000000
PA
1063862.39000000
0.018804852387
Long
ABS-MBS
CORP
GB
N
2
2038-11-15
Floating
0.01000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BB8
7350000.00000000
PA
USD
7248322.38000000
0.128121487977
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
3.10000000
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
2000000000.00000000
PA
103721.66000000
0.001833386088
Long
DBT
CORP
US
N
2
2026-10-05
None
0.00000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
100000.00000000
PA
149843.31000000
0.002648633274
Long
DBT
NUSS
GR
N
2
2037-01-30
Fixed
4.00000000
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS REPUBLIC OF INDONESIA
000000000
1.00000000
NC
USD
32750.06000000
0.000578890700
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
REPUBLIC OF INDONESIA
REPUBLIC OF INDONESIA
Y
Default Event
2025-06-20
0.00000000
USD
-73768.95000000
USD
2365000.00000000
USD
106519.01000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
9500000.00000000
PA
USD
9073932.51000000
0.160391008296
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY INC
5493000C01ZX7D35SD85
Berkshire Hathaway Inc
084670CF3
300000000.00000000
PA
2567680.79000000
0.045386375800
Long
DBT
CORP
US
N
2
2039-09-13
Fixed
0.96500000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
3750000.00000000
PA
USD
3723523.50000000
0.065817074121
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
7000000.00000000
PA
7868611.80000000
0.139085735881
Long
DBT
NUSS
PH
N
2
2027-05-17
Fixed
0.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-201075.35000000
-0.00355421181
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-02
20.00000000
USD
0.00000000
USD
9000000000.00000000
JPY
-201095.35000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-110512.02000000
-0.00195341262
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2046-11-08
0.00000000
USD
0.00000000
USD
2500000.00000000
EUR
-110512.02000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-42.83000000
-0.00000075706
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-06
104.80000000
USD
0.00000000
USD
-200000000.00000000
JPY
-147.63000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
16200000.00000000
PA
17801911.73000000
0.314666939481
Long
DBT
CORP
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
REPUBLIC OF ICELAND
254900IPCJWRC6XAJN15
Iceland Government International Bond
000000000
500000.00000000
PA
565052.01000000
0.009987870366
Long
DBT
NUSS
IS
N
2
2022-12-20
Fixed
0.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF PANAMA
000000000
1.00000000
NC
USD
19011.23000000
0.000336042872
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PANAMA GOVERNMENT INTERNATIONAL BOND
PANAMA GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2026-12-20
11815.08000000
USD
0.00000000
USD
4200000.00000000
USD
7196.15000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS THB
000000000
1.00000000
NC
-118495.51000000
-0.00209452894
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-08-17
0.00000000
USD
0.00000000
USD
115500000.00000000
THB
-118495.51000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
2966000.00000000
PA
3372475.71000000
0.059611946527
Long
DBT
NUSS
RO
N
2
2039-03-11
Fixed
4.12500000
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
69287000.00000000
PA
113819073.22000000
2.011868161571
Long
DBT
NUSS
IT
N
2
2028-08-04
Fixed
6.00000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556BW1
450000.00000000
PA
585379.34000000
0.010347176648
Long
DBT
CORP
US
N
2
2037-07-24
Fixed
2.87500000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAH5
2660000.00000000
PA
USD
2756980.04000000
0.048732433041
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
8945000.00000000
PA
USD
8676118.94000000
0.153359247862
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-430398.73000000
-0.00760773635
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-54149986.80000000
MXN
2184000.00000000
USD
2022-02-25
-430398.73000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
134218.37000000
0.002372446529
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1532531080.00000000
JPY
13803651.48000000
USD
2023-10-31
134218.37000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
63231.54000000
0.001117681936
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-08-18
0.00000000
USD
-2737.36000000
USD
100000000.00000000
JPY
65968.90000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RDY5
150000.00000000
PA
125158.54000000
0.002212304797
Long
DBT
CORP
US
N
2
2047-05-25
Fixed
4.85000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
6200000.00000000
PA
6697867.76000000
0.118391641361
Long
DBT
CORP
LU
N
2
2032-10-15
Fixed
0.75000000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
6000000.00000000
PA
6387826.04000000
0.112911337862
Long
DBT
NUSS
RS
N
2
2029-06-26
Fixed
1.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
-147461.03000000
-0.00260652404
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2030-12-20
0.00000000
USD
-154125.83000000
USD
7000000.00000000
USD
6664.80000000
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BM3
4700000.00000000
PA
5649793.09000000
0.099865853021
Long
DBT
CORP
US
N
2
2030-03-21
Fixed
1.97900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS CLP
000000000
1.00000000
NC
-187885.14000000
-0.00332106140
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2028-01-26
0.00000000
USD
0.00000000
USD
2168000000.00000000
CLP
-187885.14000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
215575.44000000
0.003810515688
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-12-03
391694.44000000
USD
0.00000000
USD
6450000.00000000
AUD
-176119.00000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
178081.42000000
0.003147770658
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
CANTOR FITZGERALD LP
549300RLUEEVQEMX0450
Cantor Fitzgerald LP
138616AF4
200000000.00000000
PA
1749684.88000000
0.030927464117
Long
DBT
CORP
US
N
2
2023-04-21
Fixed
1.15000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
000000000
1600000.00000000
PA
1074591.56000000
0.018994501405
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
2.65000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
2000000.00000000
PA
2115303.43000000
0.037390144748
Long
DBT
CORP
LU
N
2
2022-07-19
Fixed
2.25000000
N
N
N
N
N
N
CP COMBOIOS DE PORTUGAL
549300VXFS1QY0HKKT27
CP - Comboios de Portugal EPE
000000000
26900000.00000000
PA
40612343.64000000
0.717864579499
Long
DBT
CORP
PT
N
2
2030-03-05
Fixed
5.70000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
7058.39000000
0.000124764239
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2022-03-20
0.00000000
USD
-4566.69000000
USD
3000000.00000000
USD
11625.08000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
100000000.00000000
PA
857222.51000000
0.015152281831
Long
DBT
CORP
US
N
2
2027-09-21
Fixed
0.62000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-402869.03000000
-0.00712112084
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-13
0.00000000
USD
0.00000000
USD
60110000.00000000
PLN
-402869.03000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
200000000.00000000
PA
1684558.12000000
0.029776282235
Long
DBT
CORP
US
N
2
2032-08-16
Fixed
1.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-4115028.80000000
-0.07273732945
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-03-26
0.00000000
USD
0.00000000
USD
104000000.00000000
PLN
-4115028.80000000
N
N
N
QUEBEC CITY
N/A
City of Quebec Canada
747874UF0
3000000.00000000
PA
2262514.87000000
0.039992257037
Long
DBT
NUSS
CA
N
2
2031-07-06
Fixed
2.10000000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
000000000
1700000000.00000000
PA
14763765.67000000
0.260964610377
Long
DBT
NUSS
IN
N
2
2022-09-05
Fixed
0.59000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
117298.72000000
0.002073374466
Long
DBT
NUSS
GB
N
2
2046-01-31
Fixed
0.87500000
N
N
N
N
N
N
AMERIGAS PART/FIN CORP
N/A
AmeriGas Partners LP / AmeriGas Finance Corp
030981AH7
3050000.00000000
PA
USD
3149290.83000000
0.055666926229
Long
DBT
CORP
US
N
2
2024-05-20
Fixed
5.62500000
N
N
N
N
N
N
GOLDEN ENTERTAINMENT INC
549300P8YYCKQVJ0Y638
Golden Entertainment Inc
381013AA9
1000000.00000000
PA
USD
1037966.37000000
0.018347113831
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
7.62500000
N
N
N
N
N
N
INTL BK RECON & DEV
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
459051FW3
1350000.00000000
PA
USD
1235635.32000000
0.021841114053
Long
DBT
NUSS
N/A
N
2
2026-03-01
None
0.00000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
388.57000000
0.000006868370
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-29
0.00000000
USD
-74.27000000
USD
200000000.00000000
JPY
462.84000000
N
N
N
Zais Clo 7 llc
549300XFDOUEB0QTZS87
Zais Clo 7 Ltd
98887VAA1
732971.60000000
PA
USD
728797.47000000
0.012882238316
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
1.53129000
N
N
N
N
N
N
TESCO CORP TREASURY SERV
21380018AJDKNF3A6712
Tesco Corporate Treasury Services PLC
000000000
750000.00000000
PA
887849.72000000
0.015693648993
Long
DBT
CORP
GB
N
2
2024-07-01
Fixed
2.50000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
000000000
5090000.00000000
PA
3790016.40000000
0.066992403920
Long
DBT
CORP
US
N
2
2029-03-08
Fixed
3.80000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
16000000.00000000
PA
18041264.43000000
0.318897742481
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
6.25000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
3600000.00000000
PA
USD
3052091.16000000
0.053948822963
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP CDS ITRAXX.EU.XO.36.V1
000000000
-5000000.00000000
OU
Other
-27298.66000000
-0.00048253164
N/A
DCR
CORP
GB
N
3
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITRAXX.EU.XO.36.V1
000000000
0.00000000
NC
0.00000000
0.00000000
DCR
CORP
GB
US
ITRAXX.XO.EU.36.V1
ITRAXX.XO.EU.36.V1
Default Event
2026-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-5000000.00000000
USD
900.00000000
EUR
2022-09-21
XXXX
6751.71000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS MALAYSIA GOVERNMENT
000000000
1.00000000
NC
USD
19452.16000000
0.000343836760
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PENERBANGAN MALAYSIA BERHAD
PENERBANGAN MALAYSIA BERHAD
Y
Default Event
2024-12-20
9937.67000000
USD
0.00000000
USD
1000000.00000000
USD
9514.49000000
N
N
N
CREDIT AGRICOLE CIB
1VUV7VQFKUOQSJ21A208
Credit Agricole Corporate & Investment Bank SA
000000000
1400000.00000000
PA
919339.46000000
0.016250262253
Long
DBT
CORP
FR
N
2
2024-02-20
Fixed
2.67000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAQ3
2050000.00000000
PA
USD
2433819.88000000
0.043020247740
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.40000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS STATE OF ILLINOIS
000000000
1.00000000
NC
USD
17166.51000000
0.000303435566
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
STATE OF ILLINOIS
STATE OF ILLINOIS
Y
Default Event
2022-12-20
0.00000000
USD
-25609.17000000
USD
2725000.00000000
USD
42775.68000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
128457.52000000
0.002270617632
Long
DBT
NUSS
ES
N
2
2064-07-30
None
0.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
2000000.00000000
PA
327689.06000000
0.005792238225
Long
DBT
NUSS
CN
N
2
2027-06-29
Fixed
3.48000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS SAR
000000000
304125000.00000000
OU
Other
1060889.09000000
0.018752296278
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS SAR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
2025-05-21
0.00000000
USD
0.00000000
USD
0.00000000
SAR
304125000.00000000
USD
2.05000000
SAR
2023-05-17
XXXX
549999.96000000
N
N
N
ADIENT GLOBAL HOLDINGS
213800VA38VCKE6M8790
Adient Global Holdings Ltd
000000000
1234000.00000000
PA
1401234.01000000
0.024768239732
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.50000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
5175000.00000000
PA
USD
4170995.35000000
0.073726595282
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS ITALY REPUBLIC OF
000000000
1.00000000
NC
USD
43183.03000000
0.000763304081
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2023-06-20
0.00000000
USD
0.00000000
USD
4000000.00000000
USD
43183.03000000
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516BX3
6700000.00000000
PA
7528891.62000000
0.133080835344
Long
DBT
CORP
US
N
2
2024-03-10
None
0.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
500000.00000000
PA
573261.28000000
0.010132977583
Long
DBT
CORP
US
N
2
2022-06-27
Variable
5.14500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
761489.45000000
0.013460102393
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
25280187.95000000
BRL
761489.45000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
103943.21000000
0.001837302210
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-06-30
0.00000000
USD
-109.95000000
USD
27500000.00000000
ZAR
104053.16000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
3000000.00000000
PA
USD
3263189.79000000
0.057680206471
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
114789.48000000
0.002029021090
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2042-07-04
0.00000000
USD
-125803.10000000
USD
1235000.00000000
EUR
240592.58000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS CHF
000000000
1.00000000
NC
-3163.55000000
-0.00005591897
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-19
1018.18000000
USD
0.00000000
USD
-800000.00000000
CHF
-4181.73000000
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
000000000
16500000.00000000
PA
1801848.15000000
0.031849503096
Long
DBT
NUSS
N/A
N
2
2025-05-12
Fixed
1.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
39892.17000000
0.000705134776
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-07-04
0.00000000
USD
-2487.59000000
USD
105000000.00000000
JPY
42379.76000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-803455.32000000
-0.01420189193
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-06-10
0.00000000
USD
0.00000000
USD
43903000000.00000000
COP
-803455.32000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAZ8
3110000.00000000
PA
USD
3403795.92000000
0.060165563171
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
NZ LOCAL GOVT FUND AGENC
254900ZJG39H1CAH6K02
New Zealand Local Government Funding Agency Bond
000000000
2100000.00000000
PA
1143788.83000000
0.020217633701
Long
DBT
NUSS
NZ
N
2
2037-04-15
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
313697.05000000
0.005544915183
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-10-30
0.00000000
USD
0.00000000
USD
3050000.00000000
EUR
313697.05000000
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA Inc
000000000
1800000.00000000
PA
1976710.28000000
0.034940369522
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
2.25000000
N
N
N
N
N
N
REGION OF LAZIO
81560007498E8B065B77
Region of Lazio Italy
000000000
6703738.21000000
PA
8368348.85000000
0.147919097739
Long
DBT
NUSS
IT
N
2
2043-03-31
Fixed
3.08800000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-421964.55000000
-0.00745865362
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-01-02
0.00000000
USD
0.00000000
USD
20469040.73000000
BRL
-421964.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-1186.96000000
-0.00002098072
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-10
1097.68000000
USD
0.00000000
USD
-600000000.00000000
JPY
-2284.64000000
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2020-GS5
52475JAA3
849170.30000000
PA
USD
856662.10000000
0.015142376013
Long
ABS-MBS
CORP
US
N
2
2060-06-25
Variable
3.25000000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
6000000.00000000
PA
USD
6318427.56000000
0.111684648974
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.10000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1272.59000000
0.000022494325
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-29
0.00000000
USD
-243.07000000
USD
655000000.00000000
JPY
1515.66000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-135906.87000000
-0.00240229248
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2041-05-14
0.00000000
USD
-1980.23000000
USD
1000000000.00000000
JPY
-133926.64000000
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HBA7
1923151.77000000
PA
USD
1928287.35000000
0.034084444865
Long
ABS-O
CORP
US
N
2
2028-02-25
Fixed
3.07200000
N
N
N
N
N
N
China Government Bond
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
5000000.00000000
PA
793695.51000000
0.014029377338
Long
DBT
NUSS
CN
N
2
2023-06-27
Fixed
3.16000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS PEOPLES REPUBLIC OF CHINA
000000000
1.00000000
NC
USD
2367.31000000
0.000041844617
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
PEOPLE'S REPUBLIC OF CHINA
PEOPLE'S REPUBLIC OF CHINA
Y
Default Event
2022-03-20
0.00000000
USD
-724.82000000
USD
1000000.00000000
USD
3092.13000000
N
N
N
BELLEMEADE RE LT
549300O2GEH6GH9NO762
Bellemeade Re 2018-1 Ltd
078768AD0
37789.56000000
PA
USD
37789.55000000
0.000667968823
Long
ABS-MBS
CORP
BM
N
2
2028-04-25
Floating
1.70771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-165934.99000000
-0.00293307012
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2041-05-08
0.00000000
USD
-780460.29000000
USD
-4710000.00000000
GBP
614525.30000000
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust 2021-EBO6
55350N109
23740000.00000000
PA
USD
23699255.04000000
0.418908495026
Long
ABS-MBS
CORP
US
N
2
2022-02-16
Floating
1.70188000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
102217.98000000
0.001806807011
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-09-21
0.00000000
USD
-16216.37000000
USD
4000000.00000000
AUD
118434.35000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
155231.32000000
0.002743871844
Long
DBT
NUSS
GB
N
2
2071-10-22
Fixed
1.62500000
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
30215EAX5
40000000.00000000
PA
2859.95000000
0.000050552532
Long
DBT
NUSS
KR
N
2
2024-12-02
Fixed
6.70000000
N
N
N
N
N
N
DUBAI DOF SUKUK LTD
549300FL2U4Z16IJI576
Dubai DOF Sukuk Ltd
000000000
6423000.00000000
PA
USD
6520221.48000000
0.115251562246
Long
DBT
NUSS
KY
N
2
2022-05-02
Fixed
6.45000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BP8
250000.00000000
PA
USD
241388.45000000
0.004266786957
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
424.00000000
NC
USD
-589502.88000000
-0.01042006442
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
51131630.00000000
USD
-589502.88000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-772527.66000000
-0.01365521400
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-01-02
0.00000000
USD
0.00000000
USD
21377820.06000000
BRL
-772527.66000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-303585.33000000
-0.00536618022
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-07-27
451298.00000000
USD
0.00000000
USD
27041260000.00000000
COP
-754883.33000000
N
N
N
Brookside Mill CLO Ltd
N/A
Brookside Mill CLO Ltd 2013-1
114521AM9
4000000.00000000
PA
USD
4002070.40000000
0.070740674566
Long
ABS-CBDO
CORP
KY
N
2
2028-01-17
Floating
1.59129000
N
N
N
N
N
N
Elevation CLO Ltd
549300TLJB7OIA4JRG73
Elevation CLO 2017-6 Ltd
28622PAA1
493071.41000000
PA
USD
492991.68000000
0.008714130565
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
1.52129000
N
N
N
N
N
N
Home Re Ltd
254900GFKVQN72ENGJ20
Home RE 2019-1 Ltd
43731AAA1
377942.72000000
PA
USD
378067.71000000
0.006682732227
Long
ABS-MBS
CORP
BM
N
2
2029-05-25
Floating
1.75771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
550.39000000
0.000009728704
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-07-04
2636.98000000
USD
0.00000000
USD
-2000000000.00000000
JPY
-2086.59000000
N
N
N
KOREA HYDRO & NUCLEAR PO
9884008CRY5MLCN8OQ43
Korea Hydro & Nuclear Power Co Ltd
000000000
2000000.00000000
PA
267105.54000000
0.004721362742
Long
DBT
NUSS
KR
N
2
2028-03-13
Fixed
3.35000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
000000000
400000000.00000000
PA
3494160.58000000
0.061762850666
Long
DBT
CORP
FR
N
2
2028-06-08
Fixed
0.95900000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CP9
2770000.00000000
PA
USD
2622446.42000000
0.046354414146
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.62500000
N
N
N
N
N
N
VECTOR GROUP LTD
549300TUIF4WWN6NDN50
Vector Group Ltd
92240MBL1
4750000.00000000
PA
USD
4399689.64000000
0.077769000019
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
29878TAD6
4200000.00000000
PA
4622799.63000000
0.081712696561
Long
DBT
NUSS
N/A
N
2
2045-01-05
Fixed
5.40000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
11389000.00000000
PA
15228506.81000000
0.269179383846
Long
DBT
CORP
LU
N
2
2024-04-06
Fixed
4.25000000
N
N
N
N
N
N
KINGDOM OF SPAIN
9598007A56S18711AH60
Spain Government International Bond
000000000
16090000.00000000
PA
26148812.70000000
0.462206924074
Long
DBT
NUSS
ES
N
2
2029-04-06
Fixed
5.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHV5
49151217.64000000
PA
USD
4966764.95000000
0.087792634276
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Variable
1.42628700
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CDS SAFEWAY INC
000000000
1.00000000
NC
USD
-278021.31000000
-0.00491431010
N/A
DCR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
SAFEWAY INC
Safeway Inc
Y
Default Event
2023-03-20
0.00000000
USD
-244131.65000000
USD
-5000000.00000000
USD
-33889.66000000
N
N
N
REPUBLIC OF KAZAKHSTAN
5493007OEK8EF02UO833
Kazakhstan Government International Bond
000000000
12615000.00000000
PA
14989791.19000000
0.264959841884
Long
DBT
NUSS
KZ
N
2
2028-11-09
Fixed
2.37500000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
IRS ILS
000000000
1.00000000
NC
124926.91000000
0.002208210501
N/A
DIR
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
Y
2029-03-13
0.00000000
USD
0.00000000
USD
8050000.00000000
ILS
124926.91000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-43.98000000
-0.00000077739
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-22
191.69000000
USD
0.00000000
USD
-150000000.00000000
JPY
-235.67000000
N
N
N
GENERALITAT DE CATALUNYA
95980020140005848404
Autonomous Community of Catalonia
000000000
2100000.00000000
PA
3890098.94000000
0.068761464852
Long
DBT
NUSS
ES
N
2
2041-11-30
Fixed
6.35000000
N
N
N
N
N
N
UGI INTERNATIONAL LLC
5493001JFF8MQO00ZQ21
UGI International LLC
000000000
8625000.00000000
PA
9328969.13000000
0.164899040573
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
CODERE FINANCE 2 LUXEMBO
2221005CUH65GSJUKB29
Codere Finance 2 Luxembourg SA
19200EAA5
406906.89000000
PA
USD
388577.68000000
0.006868506662
Long
DBT
CORP
LU
N
2
2027-11-30
Fixed
13.62500000
N
N
N
N
N
N
OBRIGACOES DO TESOURO
549300P6U1FJ3IMP7K42
Portugal Obrigacoes do Tesouro OT
000000000
4000000.00000000
PA
3951934.00000000
0.069854462580
Long
DBT
NUSS
PT
N
2
2052-04-12
Fixed
1.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
2566.00000000
NC
USD
-7212506.07000000
-0.12748839818
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
406546256.07000000
USD
-7212506.07000000
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS BNP PARIBAS SA
000000000
1.00000000
NC
72203.92000000
0.001276277900
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
BNP PARIBAS SA
BNP PARIBAS
Y
Default Event
2023-06-20
72536.14000000
USD
0.00000000
USD
5000000.00000000
EUR
-332.22000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
56000000.00000000
PA
1139928.57000000
0.020149399670
Long
DBT
CORP
US
N
2
2031-11-07
None
0.00000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BS4
2000000.00000000
PA
USD
2082196.78000000
0.036804950956
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.15000000
N
N
N
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust 2021-EBO3
55345F104
8970000.02000000
PA
USD
8971052.20000000
0.158572493927
Long
ABS-MBS
CORP
US
N
2
2023-03-31
Floating
1.84925000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
947.40000000
0.000016746260
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-03
0.00000000
USD
-178.62000000
USD
260000000.00000000
JPY
1126.02000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAE1
5000000.00000000
PA
USD
4550781.25000000
0.080439698269
Long
DBT
UST
US
N
2
2030-08-15
Fixed
0.62500000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-116617.36000000
-0.00206133073
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-68653065.00000000
MXN
3198000.00000000
USD
2022-02-25
-116617.36000000
N
N
N
KUNTARAHOITUS OYJ
529900HEKOENJHPNN480
Kuntarahoitus Oyj
000000000
13000000.00000000
PA
1592087.62000000
0.028141771870
Long
DBT
NUSS
FI
N
2
2032-09-24
Fixed
3.05000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
700000.00000000
PA
825735.75000000
0.014595721246
Long
DBT
NUSS
RO
N
2
2028-05-26
Fixed
2.87500000
N
N
N
N
N
N
DAIMLER INTERNATIONAL FINANCE BV
529900RUGCXMPEENHQ31
DAIMLER INTERNATIONAL FINANCE BV
000000000
1000000.00000000
PA
157478.83000000
0.002783598875
Long
DBT
CORP
NL
N
2
2022-09-27
Fixed
3.45000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAA3
4000000.00000000
PA
USD
4040349.48000000
0.071417296332
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
305242.64000000
0.005395474867
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-03-28
0.00000000
USD
-8452.73000000
USD
800000000.00000000
JPY
313695.37000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAK6
2000000.00000000
PA
USD
2127780.94000000
0.037610697459
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.12500000
N
N
N
N
N
N
CIFC European Funding CLO
5493000EF0244RPYUG32
CIFC European Funding CLO III DAC
000000000
15000000.00000000
PA
16869857.21000000
0.298191925578
Long
ABS-CBDO
CORP
IE
N
2
2034-01-15
Floating
1.05000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RAH6
242720.73000000
PA
USD
243706.95000000
0.004307768808
Long
ABS-MBS
CORP
US
N
2
2050-09-25
Floating
3.25771000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CSWAP CNY VS USD
000000000
1.00000000
NC
USD
-4415.76000000
-0.00007805306
N/A
DFE
CORP
GB
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-1563966.22000000
USD
10000000.00000000
CNY
2027-01-10
-4415.76000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
000000000
500000000.00000000
PA
4338344.46000000
0.076684661419
Long
DBT
CORP
FR
N
2
2026-12-10
Fixed
0.53000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
27391.90000000
0.000484179759
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-08-26
138.29000000
USD
0.00000000
USD
1500000.00000000
EUR
27253.61000000
N
N
N
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
BRL/USD FORWARD
000000000
1.00000000
NC
USD
52080.07000000
0.000920568334
N/A
DFE
CORP
US
N
2
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
-3653366.62000000
USD
19830200.00000000
BRL
2022-03-03
52080.07000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-227.37000000
-0.00000401899
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-28
228.16000000
USD
0.00000000
USD
-130000000.00000000
JPY
-455.53000000
N
N
N
EXPORT-IMPORT BANK OF CHINA/THE
300300C1020211000045
EXPORT-IMPORT BANK OF CHINA/THE
000000000
20000000.00000000
PA
3255169.38000000
0.057538437547
Long
DBT
NUSS
CN
N
2
2024-05-14
Fixed
4.40000000
N
N
N
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAX4
5000000.00000000
PA
USD
5166927.60000000
0.091330713188
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.87500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
000000000
18000000.00000000
PA
2668649.41000000
0.047171099100
Long
DBT
CORP
GB
N
2
2025-11-13
Fixed
2.10000000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank NA - SBCLN
80290CAJ3
1300000.00000000
PA
USD
1287775.32000000
0.022762741711
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
5.00400000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
9705000.00000000
PA
8378744.50000000
0.148102851451
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-3.18000000
-0.00000005620
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-02
27.89000000
USD
0.00000000
USD
-50000000.00000000
JPY
-31.07000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-334314.25000000
-0.00590934521
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-02-13
0.00000000
USD
0.00000000
USD
499000000.00000000
HUF
-334314.25000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS MXN PUT
000000000
159750000.00000000
NC
USD
1185.44000000
0.000020953860
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS MXN PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2022-02-23
159750000.00000000
USD
26.00000000
USD
2022-02-23
XXXX
-11671747.06000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-290.55000000
-0.00000513576
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-04
626.28000000
USD
0.00000000
USD
-300000000.00000000
JPY
-916.83000000
N
N
N
One New York Plaza Trust 2020-
N/A
One New York Plaza Trust 2020-1NYP
68249DAJ8
2975000.00000000
PA
USD
2973214.41000000
0.052554595989
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
2.85600000
N
N
N
N
N
N
ONTARIO ELECTRICITY FIN
549300SI5D7OIEG4Y641
Ontario Electricity Financial Corp
683078FP9
10000000.00000000
PA
6188387.92000000
0.109386065757
Long
DBT
NUSS
CA
N
2
2031-04-11
None
0.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBQ9
1430000.00000000
PA
USD
1371571.77000000
0.024243929398
Long
DBT
CORP
IT
N
2
2032-06-01
Fixed
4.19800000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAB2
240000.00000000
PA
USD
240450.62000000
0.004250209856
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
1.59967000
N
N
N
N
N
N
DOW CHEMICAL CO/THE
ZQUIP1CSZO8LXRBSOU78
Dow Chemical Co/The
260543BY8
88000.00000000
PA
USD
151461.16000000
0.002677230422
Long
DBT
CORP
US
N
2
2039-05-15
Fixed
9.40000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
500000.00000000
PA
USD
437595.59000000
0.007734948196
Long
DBT
NUSS
UA
N
2
2026-09-01
Fixed
7.75000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1000000.00000000
PA
1138155.95000000
0.020118066804
Long
DBT
NUSS
RO
N
2
2035-10-29
Fixed
3.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QAX6
3124134.40000000
PA
USD
3100634.97000000
0.054806884297
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.10600000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2020-2 Ltd
269820AC0
477859.52000000
PA
USD
477858.37000000
0.008446633882
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
4.60771000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS USD
000000000
1.00000000
NC
USD
-15262.13000000
-0.00026977370
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2032-01-26
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
-15262.13000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
376.86000000
0.000006661384
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-01
0.00000000
USD
-71.09000000
USD
200000000.00000000
JPY
447.95000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-235579.75000000
-0.00416411226
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-10
0.00000000
USD
0.00000000
USD
-93105000.00000000
USD
-235579.75000000
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
14300000.00000000
PA
USD
14596644.35000000
0.258010570660
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
-723072.20000000
-0.01278103833
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-12-01
0.00000000
USD
-100811.20000000
USD
300000000.00000000
ZAR
-622261.00000000
N
N
N
CF INDUSTRIES INC
5FVKT86LAD2F40NPC183
CF Industries Inc
12527GAC7
400000.00000000
PA
USD
408601.81000000
0.007222453575
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.45000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
8500000.00000000
PA
9167352.00000000
0.162042293026
Long
DBT
NUSS
ID
N
2
2029-07-28
Fixed
1.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-495604.07000000
-0.00876030722
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-12-16
0.00000000
USD
0.00000000
USD
20710000000.00000000
COP
-495604.07000000
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
000000000
6900000.00000000
PA
7159990.27000000
0.126560127875
Long
DBT
CORP
ID
N
2
2031-11-05
Fixed
1.87500000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAV4
20885000.00000000
PA
USD
21028502.51000000
0.371700221136
Long
DBT
CORP
FR
N
2
2025-01-22
Fixed
2.62500000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
196.11000000
0.000003466444
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-19
0.00000000
USD
-140.31000000
USD
80000000.00000000
JPY
336.42000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AT5
6440000.00000000
PA
USD
6087350.17000000
0.107600120514
Long
DBT
CORP
CH
N
2
2027-02-02
Fixed
1.30500000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding XIII LLC
68377FAG3
3400000.00000000
PA
USD
3439617.82000000
0.060798751775
Long
ABS-O
CORP
US
N
2
2025-08-08
Fixed
6.22000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
554.15000000
0.000009795166
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-04
0.00000000
USD
-101.81000000
USD
300000000.00000000
JPY
655.96000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
435777.34000000
0.007702808774
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-03-29
1482.61000000
USD
0.00000000
USD
4680000.00000000
EUR
434294.73000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS MYR
000000000
1.00000000
NC
-93613.48000000
-0.00165471370
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2030-02-04
9.49000000
USD
0.00000000
USD
17800000.00000000
MYR
-93622.97000000
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AZ8
1403000.00000000
PA
USD
1621239.69000000
0.028657064429
Long
DBT
CORP
CA
N
2
2043-02-01
Fixed
5.40000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
198744.24000000
0.003513007068
Long
DBT
NUSS
ES
N
2
2052-07-30
None
0.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
1971.00000000
NC
USD
-3992763.27000000
-0.07057616155
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
256219169.52000000
USD
-3992763.27000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-355070.80000000
-0.00627623839
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-08-24
0.00000000
USD
0.00000000
USD
73670000.00000000
PLN
-355070.80000000
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAY1
4950000.00000000
PA
USD
5100123.35000000
0.090149879960
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
MXN/USD FORWARD
000000000
1.00000000
NC
USD
23704.49000000
0.000419001028
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-6119126.03000000
USD
127231622.00000000
MXN
2022-02-25
23704.49000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QAM4
2000000.00000000
PA
USD
2351782.70000000
0.041570156944
Long
DBT
CORP
MX
N
2
2027-09-15
Fixed
9.50000000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AE8
1225000.00000000
PA
USD
1270876.74000000
0.022464042081
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
7.12500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2M5
12100000.00000000
PA
USD
11492303.76000000
0.203138185751
Long
DBT
CORP
FR
N
2
2028-09-30
Fixed
1.90400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
210000.00000000
PA
160216.40000000
0.002831988216
Long
DBT
CORP
US
N
2
2028-05-16
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS ELECTRICITE DE FRANCE SA
000000000
1.00000000
NC
76369.09000000
0.001349901526
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
ELECTRICITE DE FRANCE SA
ELECTRICITE DE FRANCE SA
Y
Default Event
2022-12-20
69356.85000000
USD
0.00000000
USD
8470000.00000000
EUR
7012.24000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS KINGDOM OF SPAIN
000000000
1.00000000
NC
USD
201029.08000000
0.003553393944
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
KINGDOM OF SPAIN
KINGDOM OF SPAIN
Y
Default Event
2025-06-20
0.00000000
USD
-62834.68000000
USD
7500000.00000000
USD
263863.76000000
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
000000000
7342000.00000000
PA
8338404.07000000
0.147389793223
Long
DBT
CORP
LU
N
2
2027-06-30
Fixed
5.00000000
N
N
N
N
N
N
MORGAN GUARANTY TRUST CO
N/A
MORGAN GUARANTY TRUST CO OF NEW YORK
000000000
1174939.44000000
PA
1237513.09000000
0.021874305552
Long
DBT
CORP
US
N
2
2027-01-21
None
0.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-811257.40000000
-0.01433980164
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-02-10
0.00000000
USD
0.00000000
USD
3900000000.00000000
CLP
-811257.40000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
22000000.00000000
PA
205065.97000000
0.003624750091
Long
DBT
CORP
NL
N
2
2039-03-11
None
0.00000000
N
N
N
N
N
N
European Loan Conduit
635400BIYQM1LPPW1N05
Salus European Loan Conduit NO 33 DAC
000000000
500000.00000000
PA
676023.77000000
0.011949409363
Long
ABS-MBS
CORP
IE
N
2
2029-01-23
Floating
2.06850000
N
N
N
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
000000000
10000000000.00000000
PA
707565.52000000
0.012506941953
Long
DBT
NUSS
N/A
N
2
2024-08-28
Fixed
6.27000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF GREECE
000000000
1.00000000
NC
USD
-171991.51000000
-0.00304012529
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2029-06-20
0.00000000
USD
-54011.19000000
USD
5400000.00000000
USD
-117980.32000000
N
N
N
KINROSS GOLD CORP
549300UEBMAQDN0K0R06
Kinross Gold Corp
496902AN7
1000000.00000000
PA
USD
1070572.58000000
0.018923461836
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
5.95000000
N
N
N
N
N
N
SASOL FINANCING INT
N/A
Sasol Financing International Ltd
803865AA2
800000.00000000
PA
USD
807027.67000000
0.014265036859
Long
DBT
CORP
IM
N
2
2022-11-14
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK/USD FORWARD
000000000
1.00000000
NC
USD
-89762.98000000
-0.00158665218
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-5376906.49000000
USD
47090947.00000000
NOK
2022-04-19
-89762.98000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
2200000.00000000
PA
2257975.84000000
0.039912025055
Long
DBT
NUSS
RU
N
2
2032-11-20
Fixed
1.85000000
N
N
N
N
N
N
AIRCRAFT FINANCE CO LTD
549300V406LJMUES1M40
Aircraft Finance Co Ltd
000000000
2179899.86000000
PA
USD
2236032.11000000
0.039524147254
Long
DBT
CORP
KY
N
2
2026-03-29
Fixed
4.10000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
102395.36000000
0.001809942383
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-08-06
0.00000000
USD
-60.10000000
USD
48542000.00000000
CNY
102455.46000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
GBP/USD FORWARD
000000000
1.00000000
NC
USD
9484.07000000
0.000167640606
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-1354351.00000000
GBP
1830176.08000000
USD
2022-04-19
9484.07000000
N
N
N
DANAHER CORP
S4BKK9OTCEWQ3YHPFM11
Danaher Corp
235851AT9
600000.00000000
PA
721445.18000000
0.012752279094
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
2.10000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
JPY/USD FORWARD
000000000
1.00000000
NC
USD
916721.28000000
0.016203983252
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-628883200.00000000
JPY
6526054.07000000
USD
2023-10-31
916721.28000000
N
N
N
STATES OF JERSEY
N/A
Jersey International Bond
000000000
834000.00000000
PA
1571289.96000000
0.027774152026
Long
DBT
NUSS
JE
N
2
2054-06-09
Fixed
3.75000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
361.12000000
0.000006383164
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-27
0.00000000
USD
-67.90000000
USD
175000000.00000000
JPY
429.02000000
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
4300000.00000000
PA
4877481.59000000
0.086214459861
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
86091.95000000
0.001521762989
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-03-29
0.00000000
USD
-2173.90000000
USD
200000000.00000000
JPY
88265.85000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
-983606.03000000
-0.01738623939
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-01-19
0.00000000
USD
0.00000000
USD
130000000.00000000
NOK
-983606.03000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
9000000.00000000
PA
650275.72000000
0.011494286329
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
ABU DHABI NATIONAL ENERG
213800UNJSVQFNUYYW03
Abu Dhabi National Energy Co PJSC
000000000
13800000.00000000
PA
16186876.88000000
0.286119551924
Long
DBT
CORP
AE
N
2
2024-05-02
Fixed
2.75000000
N
N
N
N
N
N
NORWEGIAN GOVERNMENT
549300L0BT3FJTN9MX24
Norway Government Bond
000000000
10000000.00000000
PA
1108754.22000000
0.019598361251
Long
DBT
NUSS
NO
N
2
2029-09-06
Fixed
1.75000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
2310000.00000000
PA
4305099.07000000
0.076097015256
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
185320.20000000
0.003275723475
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-12-27
9891.03000000
USD
0.00000000
USD
2600000.00000000
EUR
175429.17000000
N
N
N
KINGDOM OF DENMARK
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
1800000.00000000
PA
474437.60000000
0.008386168285
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
1020000.00000000
PA
USD
1021716.66000000
0.018059883640
Long
ABS-O
CORP
US
N
2
2023-02-25
Floating
2.95771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
2896519.29000000
0.051198931550
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-10-30
0.00000000
USD
0.00000000
USD
-161520000.00000000
USD
2896519.29000000
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
000000000
3158000.00000000
PA
USD
3328033.70000000
0.058826388690
Long
DBT
CORP
US
N
2
2025-10-24
Variable
3.20000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WBD3
750000.00000000
PA
USD
780187.05000000
0.013790601535
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Floating
5.20771000
N
N
N
N
N
N
Ares Euro CLO
635400IKZCKH2JKELA27
Ares European CLO VI DAC
000000000
8000000.00000000
PA
8961177.35000000
0.158397945885
Long
ABS-CBDO
CORP
IE
N
2
2030-04-15
Floating
1.25000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
690000.00000000
PA
768158.73000000
0.013577988716
Long
DBT
NUSS
PH
N
2
2025-04-28
Fixed
0.25000000
N
N
N
N
N
N
JAPAN EXPRESSWAY HOLDING
N/A
Honshu-Shikoku Bridge
000000000
200000000.00000000
PA
1843786.48000000
0.032590805836
Long
DBT
NUSS
JP
N
2
2024-12-20
Fixed
2.23000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-FCMT
95003EAE6
1700000.00000000
PA
USD
1697956.77000000
0.030013117034
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Floating
2.50600000
N
N
N
N
N
N
UK MUNI BONDS AGENCY
635400EKWEL7NGLTZ567
UK Municipal Bonds Agency Finance Co Designated Activity Co
000000000
750000.00000000
PA
899247.64000000
0.015895118850
Long
DBT
CORP
IE
N
2
2060-08-26
Fixed
1.62500000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AM9
175000.00000000
PA
USD
140894.34000000
0.002490451106
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
5.00000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
101282.37000000
0.001790269150
Long
DBT
NUSS
GB
N
2
2061-10-22
Fixed
0.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-1411.18000000
-0.00002494404
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-05
1289.24000000
USD
0.00000000
USD
-700000000.00000000
JPY
-2700.42000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
101300.62000000
0.001790591737
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-01-06
0.00000000
USD
-5962.96000000
USD
250000000.00000000
JPY
107263.58000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-236902.67000000
-0.00418749622
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-14
0.00000000
USD
0.00000000
USD
6215000.00000000
PLN
-236902.67000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
45505.69000000
0.000804359465
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-11-28
37998.72000000
USD
0.00000000
USD
33000000.00000000
SEK
7506.97000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
28.89000000
0.000000510660
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-07-04
138.44000000
USD
0.00000000
USD
-105000000.00000000
JPY
-109.55000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
94.80000000
0.000001675686
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-02
0.00000000
USD
-17.57000000
USD
50000000.00000000
JPY
112.37000000
N
N
N
AMC ENTERTAINMENT HLDGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165CAP9
902877.00000000
PA
USD
843527.91000000
0.014910215814
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
10.00000000
N
N
N
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
Czech Republic Government Bond
000000000
50000000.00000000
PA
2070976.84000000
0.036606627078
Long
DBT
NUSS
CZ
N
2
2026-06-26
Fixed
1.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
-279460.28000000
-0.00493974536
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-13
0.00000000
USD
0.00000000
USD
100000000.00000000
SEK
-279460.28000000
N
N
N
INSTITUT CREDITO OFICIAL
PJQDPSI1D8J2Q1IM3G17
Instituto de Credito Oficial
000000000
32000000.00000000
PA
3451876.30000000
0.061015432907
Long
DBT
NUSS
ES
N
2
2022-09-22
Fixed
0.96300000
N
N
N
N
N
N
PERTAMINA PERSERO PT
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69369EAE9
500000.00000000
PA
USD
515756.79000000
0.009116527094
Long
DBT
CORP
ID
N
2
2023-05-20
Fixed
4.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-149866.59000000
-0.00264904477
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2042-02-17
0.00000000
USD
0.00000000
USD
8450000.00000000
EUR
-149866.59000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
1087.17000000
0.000019216838
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-27
0.00000000
USD
-40.07000000
USD
480000000.00000000
JPY
1127.24000000
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
000000000
3985000.00000000
PA
805634.31000000
0.014240407800
Long
DBT
NUSS
N/A
N
2
2028-02-25
Fixed
1.00000000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HAX7
2070000.00000000
PA
USD
1973630.07000000
0.034885923670
Long
DBT
CORP
JP
N
2
2031-07-14
Fixed
2.60800000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
400000000.00000000
PA
3413552.10000000
0.060338013599
Long
DBT
NUSS
JP
N
2
2050-12-20
Fixed
0.70000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KCN7
12300000.00000000
PA
USD
12253262.46000000
0.216588906597
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
3.04967000
N
N
N
N
N
N
SHARJAH SUKUK PROGRAM
549300N3BQ9P6RRMVV02
Sharjah Sukuk Program Ltd
000000000
1200000.00000000
PA
USD
1262287.42000000
0.022312217093
Long
DBT
NUSS
KY
N
2
2028-03-14
Fixed
4.22600000
N
N
N
N
N
N
WPC EUROBOND BV
5493005XDMOLBARL5M14
WPC Eurobond BV
000000000
9950000.00000000
PA
10505355.41000000
0.185692867438
Long
DBT
CORP
NL
N
2
2030-06-01
Fixed
0.95000000
N
N
N
N
N
N
Shackleton CLO LTD
549300IM8C0HSUTXDD32
Shackleton 2017-X CLO Ltd
81883DAK9
10000000.00000000
PA
USD
9996397.00000000
0.176696508641
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
1.80400000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
5195000.00000000
PA
6084366.47000000
0.107547380575
Long
DBT
NUSS
ID
N
2
2024-07-18
Fixed
2.15000000
N
N
N
N
N
N
REPUBLIKA SLOVENIJA
485100000LWQHIX4XX88
Slovenia Government Bond
000000000
100000.00000000
PA
106774.17000000
0.001887342314
Long
DBT
NUSS
SI
N
2
2031-02-12
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-463177.52000000
-0.00818713489
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-03-30
0.00000000
USD
-13344.78000000
USD
1650000000.00000000
JPY
-449832.74000000
N
N
N
AGRICUL DEV BANK CHINA
300300C1020311000158
AGRICULTURAL DEVELOPMENT BANK OF CHINA
000000000
55000000.00000000
PA
9090431.83000000
0.160682650599
Long
DBT
NUSS
CN
N
2
2030-10-27
Fixed
3.80000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
000000000
400000.00000000
PA
293073.88000000
0.005180379627
Long
DBT
CORP
FR
N
2
2034-05-29
Fixed
4.20000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-197.31000000
-0.00000348765
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-08
206.43000000
USD
0.00000000
USD
-120000000.00000000
JPY
-403.74000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
51045.38000000
0.000902279133
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-08-02
0.00000000
USD
-2332.01000000
USD
117300000.00000000
JPY
53377.39000000
N
N
N
AGENCE FRANCE LOCALE
969500NMI4UP00IO8G47
Agence France Locale
000000000
1500000.00000000
PA
1774601.32000000
0.031367887597
Long
DBT
NUSS
FR
N
2
2028-06-20
Fixed
1.12500000
N
N
N
N
N
N
ELP 2021-ELP
N/A
ELP Commercial Mortgage Trust 2021-ELP
26863LAN4
23600000.00000000
PA
USD
23391819.68000000
0.413474261598
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
2.77400000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
1243124.20000000
0.021973487642
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
31909707.10000000
BRL
1243124.20000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-289010.32000000
-0.00510855206
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2041-11-24
0.00000000
USD
0.00000000
USD
12485000.00000000
EUR
-289010.32000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-21.25000000
-0.00000037561
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-30
153.10000000
USD
0.00000000
USD
-125000000.00000000
JPY
-174.35000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
586.55000000
0.000010367869
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-07-02
0.00000000
USD
-541.68000000
USD
300000000.00000000
JPY
1128.23000000
N
N
N
KIMCO REALTY CORP
549300EA7I6T15IBYS12
Kimco Realty Corp
49446RAY5
4160000.00000000
PA
USD
3926817.27000000
0.069410498770
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
2.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-10.52000000
-0.00000018595
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-15
53.08000000
USD
0.00000000
USD
-110291400.00000000
JPY
-63.60000000
N
N
N
BVRT_21-4F
N/A
BVRT_21-4F
000000000
12881395.68000000
PA
USD
12881395.68000000
0.227691801664
Long
ABS-MBS
CORP
US
N
3
2026-09-12
Floating
2.05000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
782585.70000000
0.013833000120
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-12-09
0.00000000
USD
0.00000000
USD
200000000.00000000
CNY
782585.70000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
43816.78000000
0.000774506259
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-03-02
0.00000000
USD
-1508.25000000
USD
100000000.00000000
JPY
45325.03000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
4630000.00000000
PA
USD
4496824.30000000
0.079485954167
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCP5
500000.00000000
PA
USD
510166.17000000
0.009017707186
Long
DBT
CORP
MX
N
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
475.88000000
0.000008411664
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-15
0.00000000
USD
-36.52000000
USD
200000000.00000000
JPY
512.40000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAX3
2500000.00000000
PA
USD
2690514.53000000
0.047557587388
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.37500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
7590000.00000000
PA
USD
7383871.01000000
0.130517448208
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
REGIAO AUTONOMA ACORES
5493002P6SL6ANYFUJ27
Autonomous Region of the Azores
000000000
1000000.00000000
PA
1135129.61000000
0.020064573159
Long
DBT
NUSS
PT
N
2
2026-07-21
Fixed
0.60300000
N
N
N
N
N
N
TIME WARNER ENTERTAINMEN
N/A
Time Warner Entertainment Co LP
88731EAJ9
2065000.00000000
PA
USD
2879913.84000000
0.050905413291
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-110589.54000000
-0.00195478286
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-11-12
0.00000000
USD
0.00000000
USD
11820000.00000000
EUR
-110589.54000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2R4
6310000.00000000
PA
USD
5991920.09000000
0.105913296556
Long
DBT
CORP
FR
N
2
2029-09-15
Fixed
2.15900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
154306.98000000
0.002727533192
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2047-03-22
0.00000000
USD
0.00000000
USD
-38700000.00000000
ZAR
154306.98000000
N
N
N
KFW
549300GDPG70E3MBBU98
Kreditanstalt fuer Wiederaufbau
500769BQ6
424000.00000000
PA
407952.96000000
0.007210984489
Long
DBT
CORP
DE
N
2
2037-06-02
Fixed
4.70000000
N
N
N
N
N
N
ONEOK PARTNERS LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAP8
2000000.00000000
PA
USD
2148314.44000000
0.037973648006
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.90000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAY7
9300000.00000000
PA
USD
9267486.08000000
0.163812264980
Long
DBT
CORP
DK
N
2
2023-12-08
Fixed
1.17100000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS REPUBLIC OF IRELAND
000000000
1.00000000
NC
USD
83807.64000000
0.001481385481
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRISH TSY 4 1/2% 2020
Ireland Government Bond
Y
Default Event
2026-12-20
3185.97000000
USD
0.00000000
USD
2000000.00000000
USD
80621.67000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
3023.02000000
0.000053434960
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-07-04
0.00000000
USD
-3578.00000000
USD
2000000000.00000000
JPY
6601.02000000
N
N
N
SHARJAH SUKUK LTD
549300VHQQGE2OA0DQ91
Sharjah Sukuk Ltd
000000000
3800000.00000000
PA
USD
3952202.01000000
0.069859199930
Long
DBT
NUSS
KY
N
2
2024-09-17
Fixed
3.76400000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
456648.67000000
0.008071730811
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-01-04
0.00000000
USD
-24603.18000000
USD
900000000.00000000
JPY
481251.85000000
N
N
N
CITY OF TORONTO CANADA
54930037NB6NXS8EKP78
City of Toronto Canada
891288DS8
775000.00000000
PA
621001.62000000
0.010976836765
Long
DBT
NUSS
CA
N
2
2029-11-09
Fixed
2.65000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS KRW
000000000
1.00000000
NC
-922397.75000000
-0.01630432064
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-08-13
0.00000000
USD
0.00000000
USD
21000000000.00000000
KRW
-922397.75000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
67859.24000000
0.001199481251
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-02-23
0.00000000
USD
-2370.30000000
USD
130000000.00000000
JPY
70229.54000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1097.73000000
0.000019403496
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-24
0.00000000
USD
-190.91000000
USD
320000000.00000000
JPY
1288.64000000
N
N
N
Laurel Road Prime Student Loan
N/A
Laurel Road Prime Student Loan Trust 2019-A
51889RAD1
2876191.28900000
PA
USD
556249.64000000
0.009832279502
Long
ABS-O
CORP
US
N
2
2048-10-25
None
0.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS GOVERNMENT OF JAPAN
000000000
1.00000000
NC
USD
722163.44000000
0.012764975072
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Japan Government Twenty Year Bond
JAPAN (20 YEAR ISSUE)
Y
Default Event
2028-06-20
668453.56000000
USD
0.00000000
USD
15000000.00000000
USD
53709.88000000
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS CALPHINE CORP
000000000
1.00000000
NC
USD
530572.07000000
0.009378402273
N/A
DCR
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CALPINE CORP
Calpine Corp
Y
Default Event
2022-06-20
392390.12000000
USD
0.00000000
USD
24500000.00000000
USD
138181.95000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-139456.89000000
-0.00246504271
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-11-12
0.00000000
USD
0.00000000
USD
11478000.00000000
EUR
-139456.89000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
730298.76000000
PA
USD
733299.63000000
0.012961818584
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
2.15771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
293131.18000000
0.005181392463
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-12-05
0.00000000
USD
-83.05000000
USD
80000000.00000000
CNY
293214.23000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
255347.45000000
0.004513526514
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-04-06
0.00000000
USD
-6318.53000000
USD
675000000.00000000
JPY
261665.98000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP5
46647TAQ1
1600000.00000000
PA
USD
1608889.76000000
0.028438766825
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.34220000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS MYR
000000000
1.00000000
NC
9362.09000000
0.000165484485
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2029-07-11
0.00000000
USD
-5.68000000
USD
3160000.00000000
MYR
9367.77000000
N
N
N
EUROPEAN BK RECON & DEV
549300HTGDOVDU6OGK19
European Bank for Reconstruction & Development
000000000
4500000.00000000
PA
1113653.14000000
0.019684954656
Long
DBT
NUSS
N/A
N
2
2023-07-10
Fixed
1.25000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS ILS
000000000
1.00000000
NC
85881.37000000
0.001518040773
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2027-01-12
0.00000000
USD
0.00000000
USD
7000000.00000000
ILS
85881.37000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS KRW
000000000
1.00000000
NC
-185483.37000000
-0.00327860767
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-09-10
549027.23000000
USD
0.00000000
USD
20447900000.00000000
KRW
-734510.60000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
123698.89000000
0.002186503995
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-04-01
20.32000000
USD
0.00000000
USD
43200000.00000000
CNY
123678.57000000
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
20000000.00000000
PA
963247.07000000
0.017026374025
Long
DBT
NUSS
N/A
N
2
2022-07-25
Fixed
6.00000000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government International Bond
833654AA4
750000.00000000
PA
USD
896418.18000000
0.015845105260
Long
DBT
NUSS
BE
N
2
2024-12-01
Fixed
8.87500000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
1550000.00000000
PA
USD
1567549.67000000
0.027708038587
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
000000000
9408000.00000000
PA
12358938.27000000
0.218456834279
Long
DBT
NUSS
PE
N
2
2030-03-01
Fixed
3.75000000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
000000000
11850000.00000000
PA
USD
12372408.67000000
0.218694937332
Long
DBT
CORP
MX
N
2
2036-09-29
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF LATVIA
25490002QDEB2KTLNK39
Latvia Government International Bond
000000000
100000.00000000
PA
107839.03000000
0.001906164800
Long
DBT
NUSS
LV
N
2
2031-03-17
None
0.00000000
N
N
N
N
N
N
ASSICURAZIONI GENERALI
549300X5UKJVE386ZB61
Assicurazioni Generali SpA
000000000
2075000.00000000
PA
2751315.31000000
0.048632303163
Long
DBT
CORP
IT
N
2
2047-10-27
Fixed
5.50000000
N
N
N
N
N
N
CPUK FINANCE LTD
6354003CVDDPNXREIR29
CPUK Finance Ltd
000000000
110000.00000000
PA
147170.23000000
0.002601383860
Long
DBT
CORP
JE
N
2
2025-08-28
Fixed
4.87500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Holdings Inc/United States
000000000
6000000.00000000
PA
826815.48000000
0.014614806575
Long
DBT
CORP
US
N
2
2028-09-28
Fixed
3.79000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS COP
000000000
1.00000000
NC
-66867.65000000
-0.00118195388
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2028-01-23
0.00000000
USD
0.00000000
USD
5437000000.00000000
COP
-66867.65000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
240852.76000000
0.004257318090
Long
DBT
NUSS
GB
N
2
2060-01-22
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
125687.68000000
0.002221657886
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-04-04
0.00000000
USD
0.00000000
USD
1400000.00000000
EUR
125687.68000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
97795.78000000
0.001728640117
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-02-20
0.00000000
USD
-4284.43000000
USD
135000000.00000000
JPY
102080.21000000
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co Inc
103186AB8
4800000.00000000
PA
USD
5007018.91000000
0.088504164059
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
7.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
83528.17000000
0.001476445564
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-05-06
0.00000000
USD
-400.28000000
USD
56000000.00000000
ZAR
83928.45000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
102088.20000000
0.001804513017
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-04-18
0.00000000
USD
0.00000000
USD
5000000.00000000
NZD
102088.20000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS ILS
000000000
1.00000000
NC
-334657.57000000
-0.00591541374
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2030-05-07
0.00000000
USD
0.00000000
USD
25300000.00000000
ILS
-334657.57000000
N
N
N
INTERNATIONAL PAPER CO
824LMFJDH41EY779Q875
International Paper Co
460146CF8
75000.00000000
PA
USD
108267.37000000
0.001913736147
Long
DBT
CORP
US
N
2
2039-11-15
Fixed
7.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-328.71000000
-0.00000581028
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-27
694.84000000
USD
0.00000000
USD
-480000000.00000000
JPY
-1023.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-914.52000000
-0.00001616507
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-29
1080.46000000
USD
0.00000000
USD
-655000000.00000000
JPY
-1994.98000000
N
N
N
Shackleton CLO LTD
549300OM5GJJFIKCOZ48
Shackleton 2014-V-R CLO Ltd
81881JAE2
6500000.00000000
PA
USD
6496945.00000000
0.114840126730
Long
ABS-CBDO
CORP
KY
N
2
2031-05-07
Floating
1.84438000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
1200000.00000000
PA
1319158.06000000
0.023317463636
Long
DBT
CORP
GB
N
2
2023-07-12
Fixed
1.12500000
N
N
N
N
N
N
European Residential Loan Secu
N/A
European Residential Loan Securitisation
000000000
1500000.00000000
PA
1663862.84000000
0.029410472061
Long
ABS-O
CORP
LU
N
2
2060-11-25
Floating
1.45000000
N
N
N
N
N
N
NZ LOCAL GOVT FUND AGENC
254900ZJG39H1CAH6K02
New Zealand Local Government Funding Agency Bond
000000000
2900000.00000000
PA
1953387.89000000
0.034528122501
Long
DBT
NUSS
NZ
N
2
2033-04-14
Fixed
3.50000000
N
N
N
N
N
N
UNITED GROUP BV
213800PC85O8BJ7DU398
United Group BV
000000000
300000.00000000
PA
338989.80000000
0.005991990326
Long
DBT
CORP
NL
N
2
2024-07-01
Fixed
4.87500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
3000000.00000000
PA
USD
3196100.52000000
0.056494335223
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS ZAR
000000000
1.00000000
NC
-100806.03000000
-0.00178184935
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Y
2042-03-22
0.00000000
USD
0.00000000
USD
40930000.00000000
ZAR
-100806.03000000
N
N
N
HONG KONG SUKUK 2017 LTD
9845004EH88ADEFC6867
Hong Kong Sukuk 2017 Ltd
000000000
1500000.00000000
PA
USD
1582435.50000000
0.027971160809
Long
DBT
NUSS
HK
N
2
2027-02-28
Fixed
3.13200000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SGD
000000000
1.00000000
NC
-842621.01000000
-0.01489418543
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-07-29
114362.48000000
USD
0.00000000
USD
17215000.00000000
SGD
-956983.49000000
N
N
N
DIVERSIFIED HEALTHCARE T
N/A
Diversified Healthcare Trust
25525PAA5
2750000.00000000
PA
USD
2922687.05000000
0.051661473387
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
9.75000000
N
N
N
N
N
N
ORGANON & CO/ORG
549300SH15FO4Y2G3V63
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAA9
1575000.00000000
PA
USD
1556603.06000000
0.027514546095
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.12500000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS SPAIN
000000000
1.00000000
NC
USD
581503.37000000
0.010278664927
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
KINGDOM OF SPAIN
Spain Government International Bond
Y
Default Event
2023-06-20
145458.58000000
USD
0.00000000
USD
42665000.00000000
USD
436044.79000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
19283.27000000
0.000340851457
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-01
0.00000000
USD
-934.38000000
USD
200000000.00000000
JPY
20217.65000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
1400000.00000000
PA
USD
1220841.62000000
0.021579620322
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
Greywolf CLO Ltd
5493002TWMA4NNPZ2B66
Greywolf CLO III Ltd
39809CAN4
14000000.00000000
PA
USD
14022929.20000000
0.247869570462
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.54886000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS PEOPLES REPBLIC OF CHINA
000000000
1.00000000
NC
USD
21464.91000000
0.000379414168
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PEOPLE'S REPUBLIC OF CHINA
PEOPLE'S REPUBLIC OF CHINA
Y
Default Event
2024-12-20
12200.05000000
USD
0.00000000
USD
1000000.00000000
USD
9264.86000000
N
N
N
GCC Home Equity Trust
N/A
Greystone Commercial Capital Trust Series 2021-3
39810EAA5
17250000.00000000
PA
USD
17250000.00000000
0.304911336960
Long
ABS-MBS
CORP
US
N
3
2023-08-17
Floating
0.01000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-1583143.09000000
-0.02798366818
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-09-07
0.00000000
USD
-215916.54000000
USD
31000000.00000000
PLN
-1367226.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
86876.81000000
0.001535636190
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2061-11-10
0.00000000
USD
0.00000000
USD
-12429000.00000000
EUR
86876.81000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS RYDER SYSTEM INC
000000000
1.00000000
NC
USD
-117508.44000000
-0.00207708148
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
RYDER SYSTEM INC
RYDER SYSTEM INC
Y
Default Event
2025-06-20
127328.69000000
USD
0.00000000
USD
-9540000.00000000
USD
-244837.13000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government International Bond
000000000
5200000.00000000
PA
7421739.91000000
0.131186819625
Long
DBT
NUSS
GR
N
2
2028-04-14
Fixed
6.14000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORM
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAW6
2300000.00000000
PA
2634428.63000000
0.046566211924
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
1.10000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
665000000.00000000
PA
5953895.53000000
0.105241173691
Long
DBT
NUSS
JP
N
2
2036-12-20
Fixed
0.60000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-1533953.04000000
-0.02711418389
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
63124455.98000000
BRL
-1533953.04000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS ILS
000000000
1.00000000
NC
61298.56000000
0.001083514543
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2027-03-15
0.00000000
USD
0.00000000
USD
3000000.00000000
ILS
61298.56000000
N
N
N
REGION OF UMBRIA
815600517A684B514873
Region of Umbria Italy
000000000
1035455.31000000
PA
1102770.72000000
0.019492596788
Long
DBT
NUSS
IT
N
2
2031-03-26
Floating
0.01000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS ILS
000000000
1.00000000
NC
-282175.36000000
-0.00498773717
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2027-09-07
0.00000000
USD
0.00000000
USD
22800000.00000000
ILS
-282175.36000000
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
450000000.00000000
PA
3559345.78000000
0.062915065535
Long
DBT
NUSS
JP
N
2
2050-03-20
Fixed
0.40000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-171.47000000
-0.00000303090
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-05
275.10000000
USD
0.00000000
USD
-180000000.00000000
JPY
-446.57000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
3600000.00000000
PA
3885000.85000000
0.068671350913
Long
DBT
NUSS
ES
N
2
2029-07-30
None
0.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RGC0
4575000.00000000
PA
3936582.44000000
0.069583108106
Long
DBT
CORP
US
N
2
2048-11-25
Fixed
5.10000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
83.63000000
0.000001478245
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-06
56.33000000
USD
0.00000000
USD
-215000000.00000000
JPY
27.30000000
N
N
N
KAZAKHSTAN TEMIR ZHOLY
724500NSQCZ1PR6DVD13
Kazakhstan Temir Zholy Finance BV
000000000
1800000.00000000
PA
USD
2249442.13000000
0.039761183030
Long
DBT
CORP
NL
N
2
2042-07-10
Fixed
6.95000000
N
N
N
N
N
N
GAZPROM PJSC (GAZ FN)
213800UNP9N6BPNYMQ45
Gazprom PJSC via Gaz Finance PLC
000000000
2000000.00000000
PA
2261833.37000000
0.039980210830
Long
DBT
CORP
GB
N
2
2025-04-15
Fixed
2.95000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS THB
000000000
1.00000000
NC
-118125.51000000
-0.00208798882
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-06-25
0.00000000
USD
0.00000000
USD
72900000.00000000
THB
-118125.51000000
N
N
N
TEXAS CAPITAL BANK NA
38PG5GG0OEQK4QMSKE59
Texas Capital Bank NA
88225GAA6
15020000.00000000
PA
USD
14999906.69000000
0.265138643659
Long
DBT
CORP
US
N
2
2024-09-30
Floating
4.72375000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
166886.92000000
0.002949896457
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-12-04
0.00000000
USD
-177.23000000
USD
350000000.00000000
JPY
167064.15000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
374512.96000000
0.006619898396
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-08-10
0.00000000
USD
-13554.94000000
USD
600000000.00000000
JPY
388067.90000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AZ7
2357000.00000000
PA
USD
2886971.57000000
0.051030165865
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS ILS
000000000
1.00000000
NC
32431.43000000
0.000573258590
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2026-09-19
0.00000000
USD
0.00000000
USD
4000000.00000000
ILS
32431.43000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
816.91000000
0.000014439717
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-06
550.22000000
USD
0.00000000
USD
-2100000000.00000000
JPY
266.69000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
258.98000000
0.000004577735
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-08
0.00000000
USD
-27.30000000
USD
94310000.00000000
JPY
286.28000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
660201.17000000
0.011669728777
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-02-27
69217.44000000
USD
0.00000000
USD
305790000.00000000
MXN
590983.73000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CZK
000000000
1.00000000
NC
-28713.19000000
-0.00050753490
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-27
0.00000000
USD
0.00000000
USD
213000000.00000000
CZK
-28713.19000000
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2020-A
56848MAA7
1800000.00000000
PA
USD
1802949.66000000
0.031868973408
Long
ABS-O
CORP
US
N
2
2034-08-21
Fixed
2.19000000
N
N
N
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
IRS JPY
000000000
1.00000000
NC
44356.55000000
0.000784047244
N/A
DIR
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
Y
2032-12-14
0.00000000
USD
0.00000000
USD
35000000.00000000
JPY
44356.55000000
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167DF1
650000.00000000
PA
USD
670937.01000000
0.011859495694
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS GENERALITAT DE CATALUNA
000000000
1.00000000
NC
USD
18003.45000000
0.000318229333
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
GENERALITAT DE CATALUNYA
Autonomous Community of Catalonia
Y
Default Event
2022-12-20
0.00000000
USD
-102175.00000000
USD
2960000.00000000
USD
120178.45000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
168000.00000000
PA
163971.84000000
0.002898369446
Long
DBT
NUSS
ES
N
2
2035-01-31
None
0.00000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2003-NC8
61746RDM0
83076.86000000
PA
USD
83034.72000000
0.001467723332
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
1.15771000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 30 YEAR EURO BUXL
000000000
-26.00000000
NC
190425.04000000
0.003365956726
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-03-08
-6174854.34000000
USD
190425.04000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
5000000.00000000
PA
7175475.15000000
0.126833838916
Long
DBT
CORP
US
N
3
2030-08-24
Floating
5.22000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
249.14000000
0.000004403803
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-27
0.00000000
USD
-9.10000000
USD
110000000.00000000
JPY
258.24000000
N
N
N
AIRCRAFT FINANCE CO LTD
549300V406LJMUES1M40
Aircraft Finance Co Ltd
000000000
10048000.00000000
PA
USD
10134120.40000000
0.179130910149
Long
DBT
CORP
KY
N
2
2023-03-29
Fixed
3.95500000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
5365000.00000000
PA
5863137.64000000
0.103636935454
Long
DBT
NUSS
PH
N
2
2029-02-03
Fixed
0.70000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
294.55000000
0.000005206471
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-18
0.00000000
USD
-43.02000000
USD
100000000.00000000
JPY
337.57000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-823011.55000000
-0.01454756823
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2046-03-09
0.00000000
USD
0.00000000
USD
24475000.00000000
EUR
-823011.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-87.79000000
-0.00000155177
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-02
277.64000000
USD
0.00000000
USD
-150000000.00000000
JPY
-365.43000000
N
N
N
LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-A
N/A
LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-A
518888102
3430000.00000000
PA
USD
1173205.87000000
0.020737609875
Long
ABS-O
CORP
US
N
2
2043-02-25
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
16700000.00000000
PA
148819.94000000
0.002630544166
Long
DBT
CORP
US
N
2
2043-06-26
Variable
0.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
216321.48000000
0.003823702706
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2049-05-08
704351.36000000
USD
0.00000000
USD
3440000.00000000
GBP
-488029.88000000
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
950000.00000000
PA
USD
944163.49000000
0.016689052292
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
REP OF ITALY CPN STRIP
815600DE60799F5A9309
Repubic of Italy Government International Bond Coupon Strip
000000000
5323570.56000000
PA
5348718.24000000
0.094544048091
Long
DBT
NUSS
IT
N
2
2031-02-20
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-2815350.02000000
-0.04976418194
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-03-31
0.00000000
USD
0.00000000
USD
5500000000.00000000
HUF
-2815350.02000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
23635.78000000
0.000417786508
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-07-11
0.00000000
USD
0.00000000
USD
38380000.00000000
SEK
23635.78000000
N
N
N
AFLAC INC
549300N0B7DOGLXWPP39
Aflac Inc
001055AV4
600000000.00000000
PA
5377235.19000000
0.095048114257
Long
DBT
CORP
US
N
2
2030-10-18
Fixed
1.15900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-402.41000000
-0.00000711300
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-24
817.86000000
USD
0.00000000
USD
-560000000.00000000
JPY
-1220.27000000
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BT6
30000.00000000
PA
5416.56000000
0.000095743220
Long
DBT
NUSS
BR
N
2
2024-01-05
Fixed
8.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-229939.22000000
-0.00406441014
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-05-19
0.00000000
USD
-29.24000000
USD
1200000000.00000000
JPY
-229909.98000000
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26882PBE1
190000.00000000
PA
USD
269155.54000000
0.004757598582
Long
DBT
CORP
US
N
2
2037-10-15
Fixed
7.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CAD
000000000
1.00000000
NC
253290.18000000
0.004477162169
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2048-12-03
596903.30000000
USD
0.00000000
USD
5000000.00000000
CAD
-343613.12000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-847.19000000
-0.00001497494
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-04
866.00000000
USD
0.00000000
USD
-500000000.00000000
JPY
-1713.19000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 30 DAY FEDERAL FUNDS
000000000
-10.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
FEDERAL RESERVE BANK OF NEW YORK
30 DAY FEDERAL FUNDS
2022-01-31
-4166984.60000000
USD
0.00000000
N
N
N
CF INDUSTRIES INC
5FVKT86LAD2F40NPC183
CF Industries Inc
12527GAE3
3560000.00000000
PA
USD
4297862.44000000
0.075969100443
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-81709.30000000
-0.00144429518
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-09-09
0.00000000
USD
-138129.03000000
USD
11000000.00000000
PLN
56419.73000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-1092499.44000000
-0.01931104144
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
36574094.20000000
BRL
-1092499.44000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS ILS
000000000
1.00000000
NC
-490379.64000000
-0.00866796009
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2030-04-24
0.00000000
USD
-241.26000000
USD
31310000.00000000
ILS
-490138.38000000
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
000000000
500000.00000000
PA
USD
486759.23000000
0.008603965657
Long
DBT
NUSS
N/A
N
2
2026-11-21
Fixed
1.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS CLP
000000000
1.00000000
NC
-202720.60000000
-0.00358329328
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2027-02-09
0.00000000
USD
0.00000000
USD
2890000000.00000000
CLP
-202720.60000000
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAL7
1880000.00000000
PA
USD
1772979.03000000
0.031339211967
Long
DBT
CORP
US
N
2
2031-08-16
Fixed
2.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS HELLENIC REPUBLIC GOVERNMENT
000000000
1.00000000
NC
USD
1738.99000000
0.000030738421
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2022-06-20
0.00000000
USD
-8143.30000000
USD
410000.00000000
USD
9882.29000000
N
N
N
Bank
N/A
BANK 2017-BNK5
06541WAV4
3600000.00000000
PA
USD
3670505.28000000
0.064879923028
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
3.02000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
IRS CNY
000000000
1.00000000
NC
17185.89000000
0.000303778127
N/A
DIR
CORP
GB
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
Y
2031-10-14
0.00000000
USD
0.00000000
USD
5000000.00000000
CNY
17185.89000000
N
N
N
OZLM Ltd
N/A
OZLM VI Ltd
67108LAY9
2000000.00000000
PA
USD
2000188.00000000
0.035355362159
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
1.99129000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
1985000.00000000
PA
USD
2772995.53000000
0.049015523155
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
2400000.00000000
PA
2722315.31000000
0.048119698597
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.37500000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BL7
8375000.00000000
PA
USD
8359130.30000000
0.147756150469
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
2.85000000
N
N
N
N
N
N
SPAIN KINGDOM OF STRIP
N/A
SPAIN KINGDOM OF STRIP
000000000
-1905409.80000000
PA
-2140632.64000000
-0.03783786435
Short
RA
CORP
US
N
2
Reverse repurchase
N
-0.52000000
2222-12-31
15000000.00000000
USD
15849600.00000000
USD
AMBS
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
IRS THB
000000000
1.00000000
NC
-30388.94000000
-0.00053715549
N/A
DIR
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
Y
2025-05-07
17.10000000
USD
0.00000000
USD
173000000.00000000
THB
-30406.04000000
N
N
N
BULGARIAN ENERGY HLD
635400E1RWKJXPSBCV07
Bulgarian Energy Holding EAD
000000000
14580000.00000000
PA
16000540.69000000
0.282825869790
Long
DBT
CORP
BG
N
2
2028-07-22
Fixed
2.45000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
270382.93000000
0.004779293952
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-29
154832.22000000
USD
0.00000000
USD
-187500000.00000000
USD
115550.71000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAZ9
15000.00000000
PA
USD
17117.40000000
0.000302567496
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
SUN HUNG KAI PROP (CAP)
222100WJDEUAP4JLW867
SUN HUNG KAI PROPERTIES CAPITAL MARKET LTD
000000000
3000000.00000000
PA
466739.38000000
0.008250094398
Long
DBT
CORP
HK
N
2
2027-08-14
Fixed
3.20000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-1599608.53000000
-0.02827471162
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-11-17
0.00000000
USD
0.00000000
USD
5740000000.00000000
CLP
-1599608.53000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-808.07000000
-0.00001428346
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-06
668.27000000
USD
0.00000000
USD
-745000000.00000000
JPY
-1476.34000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-975719.13000000
-0.01724683040
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-03-19
0.00000000
USD
-761.21000000
USD
391310000.00000000
MXN
-974957.92000000
N
N
N
SWEDISH GOVERNMENT
ERE94C0BSULG2RM19605
Sweden Government Bond
000000000
10000000.00000000
PA
1580165.40000000
0.027931034477
Long
DBT
NUSS
SE
N
2
2039-03-30
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZJ5
2015000.00000000
PA
USD
2097094.49000000
0.037068283169
Long
DBT
CORP
US
N
2
2025-06-09
Fixed
4.68700000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
10000000.00000000
PA
584845.50000000
0.010337740482
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF FRANCE
000000000
1.00000000
NC
USD
31985.70000000
0.000565379858
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FRENCH REPUBLIC GOVERNMENT BOND OAT
FRANCE (GOVT OF)
Y
Default Event
2026-12-20
83502.51000000
USD
0.00000000
USD
11140000.00000000
USD
-51516.81000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
000000000
1220000.00000000
PA
896970.27000000
0.015854864013
Long
DBT
CORP
US
N
2
2026-09-08
Fixed
3.45000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
26121.82000000
0.000461729800
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-05-06
0.00000000
USD
-522.20000000
USD
215000000.00000000
JPY
26644.02000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
302.14000000
0.000005340632
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-07
0.00000000
USD
-55.37000000
USD
159520000.00000000
JPY
357.51000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-249.59000000
-0.00000441175
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-20
242.28000000
USD
0.00000000
USD
-135000000.00000000
JPY
-491.87000000
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-1 Ltd
26983BAB7
2710000.00000000
PA
USD
2709998.37000000
0.047901984125
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
2.19967000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
000000000
100000000.00000000
PA
871234.92000000
0.015399965464
Long
DBT
CORP
GB
N
2
2024-09-13
Fixed
0.57500000
N
N
N
N
N
N
PROVINCE OF QUEBEC
549300WN65YFEQH74Y36
Province of Quebec Canada
74815HCB6
430000.00000000
PA
USD
517621.94000000
0.009149495522
Long
DBT
NUSS
CA
N
2
2026-02-27
Variable
7.14000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNS4
1800000.00000000
PA
USD
1784139.84000000
0.031536490663
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
2.39967000
N
N
N
N
N
N
WELLTOWER INC
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040QAJ3
5600000.00000000
PA
USD
5709173.74000000
0.100915466550
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.10000000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
222028653.00000000
PA
2016176.50000000
0.035637975197
Long
DBT
NUSS
JP
N
2
2027-03-10
Fixed
0.10000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
DKK/USD FORWARD
000000000
1.00000000
NC
USD
-97487.30000000
-0.00172318741
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-8463454.72000000
USD
55299845.00000000
DKK
2022-04-19
-97487.30000000
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAC8
3500000.00000000
PA
USD
3525573.80000000
0.062318111357
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
3.49967000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK6
060352AD3
4400000.00000000
PA
USD
4492526.72000000
0.079409990059
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
334544.47000000
0.005913414586
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2035-02-24
0.00000000
USD
-9395.91000000
USD
320000000.00000000
JPY
343940.38000000
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
000000000
2800000.00000000
PA
3823028.50000000
0.067575926444
Long
DBT
CORP
GB
N
2
2027-04-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS REPUBLIC OF SOUTH AFRICA
000000000
1.00000000
NC
USD
-410640.32000000
-0.00725848631
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2031-06-20
0.00000000
USD
-357845.86000000
USD
3000000.00000000
USD
-52794.46000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
1000.00000000
PA
1242.79000000
0.000021967580
Long
DBT
NUSS
GR
N
2
2025-02-24
Variable
4.30000000
N
N
N
N
N
N
GENERALITAT DE CATALUNYA
95980020140005848404
Autonomous Community of Catalonia
000000000
1000000.00000000
PA
1439536.31000000
0.025445271935
Long
SN
NUSS
ES
N
2
2029-05-11
Floating
5.48000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2018-CX11 Commercial Mortgage Trust
12652UAS8
2250000.00000000
PA
USD
2329256.48000000
0.041171983040
Long
ABS-MBS
CORP
US
N
2
2051-04-15
Fixed
4.09450000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299AT1
10732000.00000000
PA
USD
15608954.78000000
0.275904189595
Long
DBT
NUSS
PA
N
2
2034-04-28
Fixed
8.12500000
N
N
N
N
N
N
Radnor Re LTD
254900YVLP8CB4GC2O97
Radnor RE 2020-1 Ltd
750493AA6
600000.00000000
PA
USD
598140.36000000
0.010572740687
Long
ABS-MBS
CORP
BM
N
2
2030-01-25
Floating
1.05771000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AS4
4360000.00000000
PA
USD
5309288.02000000
0.093847078752
Long
DBT
CORP
CA
N
2
2040-08-15
Fixed
6.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
500000.00000000
PA
80466.60000000
0.001422329193
Long
DBT
NUSS
CN
N
2
2024-11-21
Fixed
3.38000000
N
N
N
N
N
N
BNG BANK NV
529900GGYMNGRQTDOO93
BNG Bank NV
063806AA1
2600000.00000000
PA
1759457.24000000
0.031100200543
Long
DBT
NUSS
NL
N
2
2028-04-05
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BSP98
40476262.08000000
PA
USD
1482511.91000000
0.026204909480
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Variable
0.92041500
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
100000000.00000000
PA
880239.99000000
0.015559139257
Long
DBT
CORP
GB
N
2
2024-09-25
Fixed
1.23200000
N
N
N
N
N
N
KINGDOM OF DENMARK
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
12110000.00000000
PA
1887042.06000000
0.033355392313
Long
DBT
NUSS
DK
N
2
2027-11-15
Fixed
0.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-3706494.68000000
-0.06551607236
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-03-26
0.00000000
USD
0.00000000
USD
113100000000.00000000
COP
-3706494.68000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2N3
3400000.00000000
PA
USD
3245038.17000000
0.057359358081
Long
DBT
CORP
FR
N
2
2027-01-13
Fixed
1.32300000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBD0
595000.00000000
PA
USD
621973.49000000
0.010994015558
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
4.04967000
N
N
N
N
N
N
RUSSIAN RAIL(RZD CAP)
635400VKMH1VQDFMW392
Russian Railways Via RZD Capital PLC
000000000
9450000.00000000
PA
9521516.61000000
0.168302513591
Long
DBT
CORP
IE
N
2
2025-10-03
Fixed
0.89800000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS DKK
000000000
1.00000000
NC
2534.09000000
0.000044792624
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-10-21
13.41000000
USD
0.00000000
USD
1300000.00000000
DKK
2520.68000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS DKK
000000000
1.00000000
NC
85867.47000000
0.001517795077
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-03-15
0.00000000
USD
0.00000000
USD
13000000.00000000
DKK
85867.47000000
N
N
N
PROVINCE OF SASKATCHEWAN
549300FKDIB7OJMBSP83
Province of Saskatchewan Canada
803854KC1
3300000.00000000
PA
2733506.19000000
0.048317508810
Long
DBT
NUSS
CA
N
2
2048-06-02
Fixed
3.30000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CV9
4300000.00000000
PA
USD
4096262.09000000
0.072405608718
Long
DBT
CORP
GB
N
2
2029-08-17
Fixed
2.20600000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AM1
2250000.00000000
PA
USD
2401322.45000000
0.042445822533
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-753472.97000000
-0.01331840293
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
31228734.68000000
BRL
-753472.97000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1920000.00000000
PA
4047687.94000000
0.071547011094
Long
DBT
NUSS
GB
N
2
2046-12-07
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS ILS
000000000
1.00000000
NC
-266338.54000000
-0.00470780523
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2029-12-09
0.00000000
USD
0.00000000
USD
19790000.00000000
ILS
-266338.54000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
100000.00000000
PA
137132.51000000
0.002423956925
Long
DBT
NUSS
GR
N
2
2033-01-30
Fixed
3.90000000
N
N
N
N
N
SOCIETE NATIONALE SNCF
969500A4MXJ3ESPHK698
Societe Nationale SNCF SA
000000000
1622000.00000000
PA
2568073.38000000
0.045393315229
Long
DBT
NUSS
FR
N
2
2027-03-18
Fixed
5.37500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-88905.61000000
-0.00157149729
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2025-06-20
0.00000000
USD
-28127.67000000
USD
1000000.00000000
USD
-60777.94000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
-140484.40000000
-0.00248320499
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-06-20
0.00000000
USD
0.00000000
USD
40000000.00000000
SEK
-140484.40000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF PERU
000000000
1.00000000
NC
USD
6905.42000000
0.000122060338
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
REPUBLIC OF PERU
Peruvian Government International Bond
Y
Default Event
2022-03-20
0.00000000
USD
-4461.13000000
USD
3000000.00000000
USD
11366.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
54087.03000000
0.000956043398
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-06-02
0.00000000
USD
-111.73000000
USD
150000000.00000000
JPY
54198.76000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
5000000.00000000
PA
5490044.68000000
0.097042137005
Long
DBT
NUSS
MX
N
2
2039-04-08
Fixed
2.87500000
N
N
N
N
N
AIRPORT AUTHORITY HK
254900748HGC4RBR4O84
Airport Authority
000000000
3000000.00000000
PA
365275.09000000
0.006456609626
Long
DBT
NUSS
HK
N
2
2030-11-20
Fixed
1.95000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
779.92000000
0.000013785881
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-04
0.00000000
USD
-8.73000000
USD
350000000.00000000
JPY
788.65000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
253.73000000
0.000004484936
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-04
0.00000000
USD
-10.26000000
USD
90000000.00000000
JPY
263.99000000
N
N
N
OSLO KOMMUNE
5967007LIEEXZXGVU850
City of Oslo Norway
000000000
9000000.00000000
PA
1042478.08000000
0.018426862905
Long
DBT
NUSS
NO
N
2
2023-11-08
Fixed
3.65000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-1760579.17000000
-0.03112003179
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-29579000.00000000
USD
3195123580.00000000
JPY
2022-05-31
-1760579.17000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS HELLENIC REPUBLIC GOVERNMENT
000000000
1.00000000
NC
USD
3772.58000000
0.000066684197
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2022-12-20
0.00000000
USD
-11476.63000000
USD
500000.00000000
USD
15249.21000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS CHF
000000000
1.00000000
NC
-2655.91000000
-0.00004694591
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-03
947.28000000
USD
0.00000000
USD
-700000.00000000
CHF
-3603.19000000
N
N
N
BEAZER HOMES USA
549300DUPYT2T0F60I45
Beazer Homes USA Inc
07556QBM6
2075000.00000000
PA
USD
2118455.44000000
0.037445859739
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS MYR
000000000
1.00000000
NC
-20542.28000000
-0.00036310574
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2029-11-19
17.58000000
USD
0.00000000
USD
11700000.00000000
MYR
-20559.86000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/IDR FORWARD
000000000
1.00000000
NC
USD
-17971.01000000
-0.00031765592
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-24529046565.00000000
IDR
1687817.14000000
USD
2022-03-16
-17971.01000000
N
N
N
ZIGGO BOND CO BV
213800JYI4P7V5QDOG59
Ziggo Bond Co BV
000000000
6000000.00000000
PA
6237105.40000000
0.110247196885
Long
DBT
CORP
NL
N
2
2030-02-28
Fixed
3.37500000
N
N
N
N
N
N
ISRAEL ELECTRIC CORP LTD
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
000000000
5500000.00000000
PA
USD
6798793.27000000
0.120175602647
Long
DBT
CORP
IL
N
2
2026-12-15
Fixed
7.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
46457.45000000
0.000821182793
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-04-06
0.00000000
USD
-1357.41000000
USD
200000000.00000000
JPY
47814.86000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
-431254.51000000
-0.00762286314
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-07-22
0.00000000
USD
0.00000000
USD
9250000.00000000
NZD
-431254.51000000
N
N
N
PERU ENHANCED PASS-THRU
549300O4IWRO77V4HJ21
Peru Enhanced Pass-Through Finance Ltd
000000000
966257.67000000
PA
USD
919873.22000000
0.016259697005
Long
DBT
CORP
KY
N
2
2025-06-02
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
1100000.00000000
PA
1275925.09000000
0.022553276814
Long
DBT
CORP
US
N
2
2030-03-06
Fixed
1.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
127.75000000
0.000002258111
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2046-04-15
0.00000000
USD
-740.73000000
USD
110291400.00000000
JPY
868.48000000
N
N
N
JEFFERIES GRP LLC / CAP
N/A
Jefferies Group LLC / Jefferies Group Capital Finance Inc
47233JGT9
9950000.00000000
PA
USD
9481555.59000000
0.167596161821
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-581854.29000000
-0.01028486779
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-11-22
0.00000000
USD
0.00000000
USD
3094000000.00000000
CLP
-581854.29000000
N
N
N
PROLOGIS YEN FINANCE
5493000T2SX5D8WRJG02
Prologis Yen Finance LLC
000000000
1500000000.00000000
PA
13005839.29000000
0.229891469345
Long
DBT
CORP
US
N
2
2032-06-24
Fixed
1.00300000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS ITALY
000000000
1.00000000
NC
USD
51178.21000000
0.000904627039
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2026-06-20
0.00000000
USD
-222461.97000000
USD
5000000.00000000
USD
273640.18000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
000000000
8644000.00000000
PA
12533778.56000000
0.221547314660
Long
DBT
CORP
NL
N
2
2026-12-14
Fixed
6.25000000
N
N
N
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAG5
1675000.00000000
PA
USD
1667135.77000000
0.029468324436
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
5.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
189977.13000000
0.003358039460
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2047-09-22
0.00000000
USD
0.00000000
USD
-83965000.00000000
ZAR
189977.13000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-386755.88000000
-0.00683630448
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
12879450.35000000
BRL
-386755.88000000
N
N
N
UNITED GROUP BV
213800PC85O8BJ7DU398
United Group BV
000000000
11575000.00000000
PA
12619472.71000000
0.223062046130
Long
DBT
CORP
NL
N
2
2030-02-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
1350000.00000000
PA
USD
1347905.34000000
0.023825601119
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
3.14967000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ILS
000000000
1.00000000
NC
-184775.16000000
-0.00326608933
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-04-16
0.00000000
USD
-493.18000000
USD
40440000.00000000
ILS
-184281.98000000
N
N
N
MOUNTAIN VIEW CLO
549300IB1UGD5G8HYT10
Mountain View Clo XIV Ltd
62432MAN9
15000000.00000000
PA
USD
15000028.50000000
0.265140796775
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
1.49129000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME ULTRA LONG TERM US TREASURY BOND
000000000
2090.00000000
NC
USD
-10205222.47000000
-0.18038771172
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
405084597.47000000
USD
-10205222.47000000
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BJ2
480000.00000000
PA
USD
470093.39000000
0.008309379944
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
2.20000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-211581.37000000
-0.00373991642
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-4141710.49000000
USD
451400470.00000000
JPY
2022-05-31
-211581.37000000
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBG3
2480000.00000000
PA
USD
2906095.45000000
0.051368199941
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GS_21-PJ
000000000
1.00000000
NC
USD
14979.03000000
0.000264769626
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2022-02-14
0.00000000
USD
-4348.75000000
USD
69580000.00000000
USD
19327.78000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
124859.53000000
0.002207019491
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-09-09
0.00000000
USD
-4353.36000000
USD
200000000.00000000
JPY
129212.89000000
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
1300000.00000000
PA
USD
1362796.72000000
0.024088821443
Long
DBT
CORP
US
N
2
2026-04-01
Variable
4.70000000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AJ5
4025000.00000000
PA
USD
3844990.61000000
0.067964129130
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS ILS
000000000
1.00000000
NC
696351.66000000
0.012308725544
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2028-07-16
0.00000000
USD
0.00000000
USD
38930000.00000000
ILS
696351.66000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
14930000.00000000
PA
USD
12548198.44000000
0.221802200741
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
PROLOGIS YEN FIN
5493000T2SX5D8WRJG02
Prologis Yen Finance LLC
74346GAP7
200000000.00000000
PA
1669298.21000000
0.029506547767
Long
DBT
CORP
US
N
2
2036-06-27
Fixed
0.88500000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
656531AG5
2265000.00000000
PA
USD
2756425.45000000
0.048722630098
Long
DBT
CORP
NO
N
2
2028-01-15
Fixed
6.80000000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HBU3
418268.75000000
PA
USD
415504.16000000
0.007344459648
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
2.36500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
8612.09000000
0.000152227471
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-05-16
0.00000000
USD
-139.63000000
USD
65000000.00000000
JPY
8751.72000000
N
N
N
Radnor Re LTD
549300ED4YNDE7SVU538
Radnor Re 2018-1 Ltd
750496AA9
58878.07000000
PA
USD
58900.53000000
0.001041126918
Long
ABS-MBS
CORP
BM
N
2
2028-03-25
Floating
1.50771000
N
N
N
N
N
N
POWER SECTOR ASSETS & LI
N/A
Power Sector Assets & Liabilities Management Corp
000000000
200000.00000000
PA
USD
230771.37000000
0.004079119243
Long
DBT
CORP
PH
N
2
2024-12-02
Fixed
7.39000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
1000000.00000000
PA
778985.27000000
0.013769358849
Long
DBT
CORP
GB
N
2
2028-06-15
Fixed
5.24400000
N
N
N
N
N
N
SAN MARINO GOVERNMENT BO
5299009BDP7ZQ4185U27
San Marino Government Bond
000000000
469000.00000000
PA
541207.05000000
0.009566386387
Long
DBT
NUSS
SM
N
2
2024-02-24
Fixed
3.25000000
N
N
N
N
N
N
FIRST ABU DHABI BANK PJS
2138002Y3WMK6RZS8H90
First Abu Dhabi Bank PJSC
000000000
1983000.00000000
PA
2564282.49000000
0.045326307383
Long
DBT
CORP
AE
N
2
2025-12-09
Fixed
0.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
26419.73000000
0.000466995663
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-03-15
0.00000000
USD
0.00000000
USD
15550000.00000000
SEK
26419.73000000
N
N
N
NTPC LTD
335800Q4TRGJXNLVMB81
NTPC Ltd
000000000
13640000.00000000
PA
15955810.38000000
0.282035215956
Long
DBT
CORP
IN
N
2
2027-02-01
Fixed
2.75000000
N
N
N
N
N
N
CSMC 2020-11R 1A1
N/A
CSMC 2020-11R 1A1
000000000
1620208.43000000
PA
USD
1641712.32000000
0.029018939037
Long
ABS-CBDO
CORP
US
N
2
2038-04-25
Fixed
2.25838000
N
N
N
N
N
N
FINNISH GOVERNMENT
743700M6Y2OQRVSBRD14
Finland Government Bond
000000000
100000.00000000
PA
97431.13000000
0.001722194557
Long
DBT
NUSS
FI
N
2
2052-04-15
Fixed
0.12500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS HUF
000000000
1.00000000
NC
-962391.66000000
-0.01701125378
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2028-06-12
0.00000000
USD
0.00000000
USD
6237270000.00000000
HUF
-962391.66000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-55.72000000
-0.00000098490
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-01
109.05000000
USD
0.00000000
USD
-200000000.00000000
JPY
-164.77000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
85487.70000000
0.001511082255
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-05-15
0.00000000
USD
-704.99000000
USD
200000000.00000000
JPY
86192.69000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
4000000.00000000
PA
647361.93000000
0.011442782120
Long
DBT
NUSS
CN
N
2
2025-11-30
Fixed
3.31000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CZK
000000000
1.00000000
NC
-320881.16000000
-0.00567190165
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-11-17
0.00000000
USD
0.00000000
USD
250000000.00000000
CZK
-320881.16000000
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
902973BC9
18150000.00000000
PA
USD
17468972.61000000
0.308781901092
Long
DBT
CORP
US
N
2
N/A
Fixed
3.70000000
N
N
N
N
N
N
IRELAND GOVERNMENT BOND
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
100000.00000000
PA
107353.04000000
0.001897574432
Long
DBT
NUSS
IE
N
2
2041-04-22
Fixed
0.55000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
000000000
600000000.00000000
PA
5333332.17000000
0.094272083617
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
1.24800000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
316419.30000000
0.005593033727
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-12-19
0.00000000
USD
-4137.04000000
USD
2000000.00000000
AUD
320556.34000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
19000000.00000000
PA
20636227.44000000
0.364766359336
Long
DBT
NUSS
GB
N
2
2050-10-22
Fixed
0.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
293933.40000000
0.005195572520
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-06-28
0.00000000
USD
-53714.17000000
USD
7000000.00000000
EUR
347647.57000000
N
N
N
REPUBLIC OF ICELAND
254900IPCJWRC6XAJN15
Iceland Government International Bond
000000000
2560000.00000000
PA
USD
2590637.67000000
0.045792162060
Long
DBT
NUSS
IS
N
2
2022-05-11
Fixed
5.87500000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBJ2
90000.00000000
PA
USD
94323.82000000
0.001667269684
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
3.95100000
N
N
N
N
N
N
Agricultural Development Bank of China
300300C1020311000158
AGRICULTURAL DEVELOPMENT BANK OF CHINA
000000000
72790000.00000000
PA
11635483.53000000
0.205669034163
Long
DBT
NUSS
CN
N
2
2024-11-06
Fixed
3.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
CDS REPUBLIC OF IRELAND
000000000
1.00000000
NC
USD
125588.50000000
0.002219904779
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRISH TSY 4 1/2% 2020
Ireland Government Bond
Y
Default Event
2027-06-20
45874.00000000
USD
0.00000000
USD
2800000.00000000
USD
79714.50000000
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2016-85T Mortgage Trust
23307CAL9
3000000.00000000
PA
USD
2832615.30000000
0.050069363374
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
3.80810000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
300000000.00000000
PA
2425887.10000000
0.042880027766
Long
DBT
NUSS
MX
N
2
2038-04-20
Fixed
2.00000000
N
N
N
N
N
N
STELLANTIS FIN US INC
549300QZ0AI8Q7LNON33
Stellantis Finance US Inc
85855CAB6
3645000.00000000
PA
USD
3454405.06000000
0.061060131318
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.69100000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
78000000.00000000
PA
1176648.72000000
0.020798465759
Long
DBT
NUSS
N/A
N
2
2037-01-27
None
0.00000000
N
N
N
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAB8
9650000.00000000
PA
USD
10019564.60000000
0.177106019591
Long
DBT
CORP
US
N
2
N/A
Fixed
8.00000000
N
N
N
N
N
N
DH EUROPE FINANCE
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAB1
2200000.00000000
PA
2426284.47000000
0.042887051686
Long
DBT
CORP
LU
N
2
2028-03-18
Fixed
0.45000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
400000.00000000
PA
USD
351897.68000000
0.006220150265
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
JPN HOUSING FIN AGENCY
N/A
Japan Housing Finance Agency
000000000
100000000.00000000
PA
925540.55000000
0.016359872841
Long
DBT
NUSS
JP
N
2
2027-03-19
Fixed
1.44100000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
18520000.00000000
PA
20837619.75000000
0.368326173741
Long
DBT
CORP
MX
N
2
2028-02-21
Fixed
4.87500000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1602.98000000
0.000028334305
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-12
0.00000000
USD
-290.19000000
USD
775000000.00000000
JPY
1893.17000000
N
N
N
LAND NORDRHEIN-WESTFALEN
529900VWPV1LPOHGJ702
State of North Rhine-Westphalia Germany
000000000
500000.00000000
PA
22792.40000000
0.000402878907
Long
DBT
NUSS
DE
N
2
2027-06-08
Fixed
7.50000000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769GAA8
575000.00000000
PA
USD
551089.60000000
0.009741070534
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.62500000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
388.37000000
0.000006864835
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-23
0.00000000
USD
-64.85000000
USD
130000000.00000000
JPY
453.22000000
N
N
N
Oaktown Re Ltd
254900KOPN6EP9T3LD85
Oaktown Re II Ltd
67400CAA6
185897.80000000
PA
USD
185897.74000000
0.003285932083
Long
ABS-MBS
CORP
US
N
2
2028-07-25
Floating
1.65771000
N
N
N
N
N
N
KOMMUNINVEST I SVERIGE
EV2XZWMLLXF2QRX0CD47
Kommuninvest I Sverige AB
000000000
7000000.00000000
PA
771266.79000000
0.013632926845
Long
DBT
NUSS
SE
N
2
2025-05-12
Fixed
1.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
000000000
4950000.00000000
PA
3694176.81000000
0.065298341455
Long
DBT
CORP
US
N
2
2025-02-17
Fixed
4.05000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS THB
000000000
1.00000000
NC
93425.11000000
0.001651384069
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2023-08-23
0.00000000
USD
0.00000000
USD
120000000.00000000
THB
93425.11000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS ITALY
000000000
1.00000000
NC
USD
16498.30000000
0.000291624273
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2024-06-20
0.00000000
USD
-22820.24000000
USD
900000.00000000
USD
39318.54000000
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
000000000
19600000000.00000000
PA
1435856.52000000
0.025380227895
Long
DBT
NUSS
KR
N
2
2024-05-15
Fixed
8.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
-306833.01000000
-0.00542358627
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-01-24
0.00000000
USD
0.00000000
USD
78000000.00000000
SEK
-306833.01000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
-92278.98000000
-0.00163112505
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2042-09-22
0.00000000
USD
0.00000000
USD
89400000.00000000
ZAR
-92278.98000000
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAA4
1150000.00000000
PA
USD
1249614.73000000
0.022088214377
Long
DBT
CORP
N/A
N
2
2029-04-15
Fixed
6.50000000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
2000000.00000000
PA
2250963.70000000
0.039788078331
Long
DBT
CORP
DE
N
2
2027-07-15
Floating
4.75000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
11619.86000000
0.000205392872
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-02
0.00000000
USD
-207.87000000
USD
5000000000.00000000
JPY
11827.73000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
159258.61000000
0.002815058301
Long
DBT
NUSS
ES
N
2
2059-07-30
None
0.00000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
119530.40000000
0.002112821685
Long
DBT
NUSS
ES
N
2
2066-07-30
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
9338000.00000000
PA
USD
9750173.53000000
0.172344257775
Long
DBT
CORP
US
N
2
2024-05-31
Variable
3.50000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
3900000.00000000
PA
4031124.02000000
0.071254226921
Long
DBT
NUSS
ES
N
2
2032-01-31
None
0.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
20000000.00000000
PA
3266626.38000000
0.057740951702
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
740234.68000000
0.013084402663
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-05
0.00000000
USD
-74.08000000
USD
330000000.00000000
CNY
740308.76000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR/USD FORWARD
000000000
1.00000000
NC
USD
1669501.55000000
0.029510142009
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-127725960.00000000
EUR
145440145.67000000
USD
2022-04-19
1669501.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
20175.49000000
0.000356622355
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2047-10-04
0.00000000
USD
-366.61000000
USD
26000000.00000000
JPY
20542.10000000
N
N
N
QUEBEC CITY
N/A
City of Quebec Canada
747874QC2
1000000.00000000
PA
804662.96000000
0.014223238199
Long
DBT
NUSS
CA
N
2
2027-12-20
Fixed
2.65000000
N
N
N
N
N
N
AFLAC INC
549300N0B7DOGLXWPP39
Aflac Inc
001055BG6
100000000.00000000
PA
841888.14000000
0.014881231208
Long
DBT
CORP
US
N
2
2035-03-12
Fixed
0.83000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
000000000
1700000.00000000
PA
2033432.94000000
0.035943000368
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
3.32500000
N
N
N
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
7550000.00000000
PA
8303302.68000000
0.146769340367
Long
DBT
NUSS
CY
N
2
2040-01-21
Fixed
1.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZE7
29360744.17000000
PA
USD
3276453.52000000
0.057914656421
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.57152400
N
N
N
N
N
N
DUBAI DOF SUKUK LTD
549300FL2U4Z16IJI576
Dubai DOF Sukuk Ltd
000000000
5000000.00000000
PA
USD
5684829.00000000
0.100485148451
Long
DBT
NUSS
KY
N
2
2029-04-30
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
3400000.00000000
PA
3908666.42000000
0.069089663991
Long
DBT
NUSS
ID
N
2
2026-09-18
Fixed
1.45000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
48.02000000
0.000000848802
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-04
0.00000000
USD
-8.82000000
USD
26000000.00000000
JPY
56.84000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-874566.63000000
-0.01545885683
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-09-17
0.00000000
USD
0.00000000
USD
19006000000.00000000
COP
-874566.63000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 YEAR US TREASURY NOTE
000000000
-5590.00000000
NC
USD
9462803.80000000
0.167264704814
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
-1220571241.30000000
USD
9462803.80000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
1300000.00000000
PA
1630269.93000000
0.028816683128
Long
DBT
NUSS
ES
N
2
2030-07-30
Fixed
1.95000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
10075000.00000000
PA
11464439.21000000
0.202645651421
Long
DBT
CORP
MX
N
2
2025-11-24
Fixed
3.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-983805.35000000
-0.01738976258
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-08-15
0.00000000
USD
-12542.25000000
USD
27230000.00000000
EUR
-971263.10000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1000000.00000000
PA
1109202.74000000
0.019606289299
Long
DBT
NUSS
RO
N
2
2034-04-03
Fixed
3.50000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
2100000.00000000
PA
2135689.76000000
0.037750493916
Long
DBT
NUSS
ES
N
2
2033-01-31
None
0.00000000
N
N
N
N
N
N
HYDRO-QUEBEC
6THEVG93PYJH84S4D167
Hydro-Quebec
448814DF7
1000000.00000000
PA
USD
1516466.84000000
0.026805097486
Long
DBT
NUSS
CA
N
2
2030-04-15
Fixed
9.37500000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
2974.93000000
0.000052584920
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-05-29
0.00000000
USD
-88.29000000
USD
1300000000.00000000
JPY
3063.22000000
N
N
N
REPUBLIC OF AUSTRIA INTL
529900QWWUI4XRVR7I03
Republic of Austria Government International Bond
052591AS3
2143000.00000000
PA
2129339.81000000
0.037638252075
Long
DBT
NUSS
AT
N
2
2034-12-01
Fixed
5.37500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-A
63942BAB0
1850000.00000000
PA
USD
1805068.50000000
0.031906426066
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
2.24000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-1094957.11000000
-0.01935448326
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-01-13
0.00000000
USD
0.00000000
USD
11100000.00000000
USD
-1094957.11000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
578.01000000
0.000010216916
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-06
0.00000000
USD
-63.81000000
USD
215000000.00000000
JPY
641.82000000
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087YQ1
650000.00000000
PA
669196.81000000
0.011828735885
Long
DBT
NUSS
CA
N
2
2041-06-01
Fixed
4.00000000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
Stryker Corp
000000000
2300000.00000000
PA
2881569.25000000
0.050934674351
Long
DBT
CORP
US
N
2
2030-11-30
Fixed
2.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
17765.18000000
0.000314017668
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-04-25
9.36000000
USD
0.00000000
USD
12700000.00000000
SEK
17755.82000000
N
N
N
GENERALITAT DE CATALUNYA
95980020140005848404
Autonomous Community of Catalonia
000000000
579000.00000000
PA
861008.11000000
0.015219196171
Long
DBT
NUSS
ES
N
2
2034-10-28
Fixed
4.69000000
N
N
N
N
N
N
REPUBLIC OF ALBANIA
254900EDM43U3SGRND29
Albania Government International Bond
000000000
1000000.00000000
PA
1171320.54000000
0.020704284745
Long
DBT
NUSS
AL
N
2
2025-10-09
Fixed
3.50000000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
-218982.46000000
-0.00387073824
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-82215261.00000000
ZAR
5096250.49000000
USD
2022-03-16
-218982.46000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-17634.51000000
-0.00031170794
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-01-15
866.82000000
USD
0.00000000
USD
950000000.00000000
JPY
-18501.33000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS SPAIN
000000000
1.00000000
NC
USD
15348.49000000
0.000271300209
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
KINGDOM OF SPAIN
KINGDOM OF SPAIN
Y
Default Event
2024-06-20
0.00000000
USD
-11395.56000000
USD
700000.00000000
USD
26744.05000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
274876.15000000
0.004858716196
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2041-11-12
0.00000000
USD
0.00000000
USD
-23435000.00000000
EUR
274876.15000000
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
139589.89000000
0.002467393622
Long
DBT
NUSS
GB
N
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
1000000.00000000
PA
1142493.97000000
0.020194745731
Long
DBT
CORP
NL
N
2
N/A
Fixed
2.70000000
N
N
N
N
N
N
PROLOGIS YEN FINANCE
5493000T2SX5D8WRJG02
Prologis Yen Finance LLC
74346GAB8
700000000.00000000
PA
6169075.97000000
0.109044707352
Long
DBT
CORP
US
N
2
2028-09-25
Fixed
0.97200000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137AYCF6
17270711.89000000
PA
USD
73977.37000000
0.001307625437
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Variable
0.77804800
N
N
N
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAG7
2330000.00000000
PA
USD
2428597.17000000
0.042927931016
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.62500000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
141407.65000000
0.002499524383
Long
DBT
NUSS
GB
N
2
2054-10-22
Fixed
1.62500000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BBB4
6293000.00000000
PA
USD
6345026.75000000
0.112154816776
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
2.45800000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BY7
1560000.00000000
PA
USD
1311798.93000000
0.023187383511
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CNH FORWARD
000000000
1.00000000
NC
USD
209101.32000000
0.003696079016
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-33059216.26000000
USD
212256698.00000000
CNY
2022-02-18
209101.32000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
436000.00000000
PA
374305.09000000
0.006616224082
Long
DBT
NUSS
ES
N
2
2041-07-30
None
0.00000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
200000.00000000
PA
231381.48000000
0.004089903560
Long
DBT
NUSS
MX
N
2
2026-04-08
Fixed
1.62500000
N
N
N
N
N
N
BERKSHIRE HATHAWAY INC
5493000C01ZX7D35SD85
Berkshire Hathaway Inc
000000000
100000000.00000000
PA
862539.36000000
0.015246262576
Long
DBT
CORP
US
N
2
2034-09-13
Fixed
0.78700000
N
N
N
N
N
N
BNG BANK NV
529900GGYMNGRQTDOO93
BNG Bank NV
000000000
30000000.00000000
PA
1887607.18000000
0.033365381386
Long
DBT
NUSS
NL
N
2
2022-08-15
Fixed
0.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
2448810.47000000
0.043285221702
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-02
0.00000000
USD
0.00000000
USD
-135215000.00000000
USD
2448810.47000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/EUR FORWARD
000000000
1.00000000
NC
USD
1864616.99000000
0.032959006338
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-86014393.00000000
EUR
98683969.03000000
USD
2022-04-19
1864616.99000000
N
N
N
ITALY 6.875 23-STRIP
815600DE60799F5A9309
Repubic of Italy Government International Bond Coupon Strip
465413CJ9
775000.00000000
PA
USD
766970.99000000
0.013556994201
Long
DBT
NUSS
IT
N
2
2023-03-27
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-488534.69000000
-0.00863534872
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-463177579.14000000
MXN
20111922.67000000
USD
2023-04-28
-488534.69000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-215628.26000000
-0.00381144933
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-06
0.00000000
USD
0.00000000
USD
6080000.00000000
PLN
-215628.26000000
N
N
N
UAE INT'L GOVT BOND
N/A
UAE INTERNATIONAL GOVERNMENT BOND
31424EAA0
510000.00000000
PA
USD
493103.03000000
0.008716098790
Long
DBT
NUSS
AE
N
2
2031-10-19
Fixed
2.00000000
N
N
N
N
N
N
Battalion CLO LTD
549300JIE0P78OIZGS60
Battalion CLO XII Ltd
07133RAA3
15000000.00000000
PA
USD
14991607.50000000
0.264991947015
Long
ABS-CBDO
CORP
KY
N
2
2031-05-17
Floating
1.22788000
N
N
N
N
N
N
Zais CLO 8, Limited
549300XI7G6FVIEXZ367
Zais CLO 8 Ltd
98885GAA6
5096851.73000000
PA
USD
5093447.54000000
0.090031878212
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.19129000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-188.50000000
-0.00000333192
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-04
485.76000000
USD
0.00000000
USD
-350000000.00000000
JPY
-674.26000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP CDS GS_21-PJ-A
000000000
-69580000.00000000
OU
Other
USD
-3081.76000000
-0.00005447324
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GS_21-PJ-A
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
GB
US
Default Event
2021-08-14
0.00000000
USD
0.00000000
USD
N/A
N/A
-69580000.00000000
USD
2.50000000
USD
2024-06-17
XXXX
-3081.76000000
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00080QAF2
500000.00000000
PA
USD
535687.84000000
0.009468828723
Long
DBT
CORP
NL
N
2
2025-07-28
Fixed
4.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF GREECE
000000000
1.00000000
NC
USD
-594661.33000000
-0.01051124528
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2031-12-20
0.00000000
USD
-319507.64000000
USD
10590000.00000000
USD
-275153.69000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
158121.97000000
0.002794967030
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2035-03-03
0.00000000
USD
-4076.12000000
USD
160000000.00000000
JPY
162198.09000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
5370000.00000000
PA
USD
5242891.78000000
0.092673457517
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
952628000.00000000
PA
1798773.25000000
0.031795151104
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
0.67000000
N
Y
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-772109.85000000
-0.01364782879
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
31992243.30000000
BRL
-772109.85000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
8120000.00000000
PA
12035321.66000000
0.212736580759
Long
DBT
NUSS
ES
N
2
2028-10-31
Fixed
5.15000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-242672.16000000
-0.00428947784
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-27
0.00000000
USD
0.00000000
USD
6375000.00000000
PLN
-242672.16000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B20 Mortgage Trust
08162XBE3
11000000.00000000
PA
USD
10713994.50000000
0.189380776068
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Fixed
1.94540000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
23100000.00000000
PA
26730245.85000000
0.472484347791
Long
DBT
NUSS
RU
N
2
2025-12-04
Fixed
2.87500000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
-808.00000000
NC
2687286.86000000
0.047500535030
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UNITED KINGDOM GILT
United Kingdom Gilt
2022-03-29
-134259215.92000000
USD
2687286.86000000
N
N
N
Legacy Mortgage Asset Trust 20
N/A
Legacy Mortgage Asset Trust 2020-GS1
52474PAA0
6023341.90000000
PA
USD
6035457.25000000
0.106682860247
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
2.88200000
N
N
N
N
N
N
STATE OF MINAS GERAIS
N/A
Brazil Minas SPE via State of Minas Gerais
000000000
35488600.00000000
PA
USD
36119151.86000000
0.638442833826
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
5.33300000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
367.17000000
0.000006490104
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-06
0.00000000
USD
-67.84000000
USD
200000000.00000000
JPY
435.01000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AG3
2850000.00000000
PA
USD
2940667.85000000
0.051979302359
Long
DBT
CORP
CH
N
2
2024-06-12
Fixed
4.20700000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z86
2450000.00000000
PA
USD
2464546.88000000
0.043563378793
Long
DBT
UST
US
N
2
2023-02-15
Fixed
1.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
4275.43000000
0.000075572584
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-12
0.00000000
USD
-370.95000000
USD
1800000000.00000000
JPY
4646.38000000
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756AZ3
200000.00000000
PA
USD
232407.95000000
0.004108047464
Long
DBT
NUSS
BR
N
2
2024-04-15
Fixed
8.87500000
N
N
N
N
N
N
CROATIA
74780000O00QGQ7CER13
Croatia Government International Bond
000000000
200000.00000000
PA
223846.12000000
0.003956708389
Long
DBT
NUSS
HR
N
2
2029-06-19
Fixed
1.12500000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BG7
9115000.00000000
PA
USD
8803032.93000000
0.155602582028
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.85000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS BANK OF NOVA SCOTIA
000000000
1.00000000
NC
USD
29556.01000000
0.000522432610
N/A
DCR
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Bank of Nova Scotia/The
BANK OF NOVA SCOTIA
Y
Default Event
2022-06-20
25055.02000000
USD
0.00000000
USD
10000000.00000000
USD
4500.99000000
N
N
N
NOVA SCOTIA PROVINCE
5493002W033HJBDP3481
Province of Nova Scotia Canada
669827GB7
2000000.00000000
PA
1626049.89000000
0.028742089618
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
3.15000000
N
N
N
N
N
N
OBRIGACOES DO TESOURO
549300P6U1FJ3IMP7K42
Portugal Obrigacoes do Tesouro OT
000000000
24295000.00000000
PA
42992854.20000000
0.759942530659
Long
DBT
NUSS
PT
N
2
2045-02-15
Fixed
4.10000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
139490.94000000
0.002465644580
Long
DBT
NUSS
ES
N
2
2062-07-30
None
0.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
370000.00000000
PA
276525.88000000
0.004887876856
Long
DBT
CORP
FR
N
2
2027-03-09
Fixed
4.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-1050.82000000
-0.00001857431
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-22
1500.32000000
USD
0.00000000
USD
-2500000000.00000000
JPY
-2551.14000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
862000.00000000
PA
799166.91000000
0.014126089912
Long
DBT
NUSS
ES
N
2
2037-07-30
None
0.00000000
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
000000000
4000000.00000000
PA
526196.96000000
0.009301067743
Long
DBT
NUSS
KR
N
2
2023-04-26
Fixed
3.13000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS SASOL LTD
000000000
1.00000000
NC
USD
1246.66000000
0.000022035986
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SASOL FINANCING INT
Sasol Financing International Ltd
Y
Default Event
2022-12-20
29308.63000000
USD
0.00000000
USD
-800000.00000000
USD
-28061.97000000
N
N
N
PORTUGAL GOVERNMENT INTERNATIONAL BOND
549300P6U1FJ3IMP7K42
PORTUGAL GOVERNMENT INTERNATIONAL BOND
000000000
70800000.00000000
PA
11160946.38000000
0.197281106230
Long
DBT
NUSS
PT
N
2
2022-06-03
Fixed
4.09000000
N
N
N
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
10300000.00000000
PA
11367152.18000000
0.200926003978
Long
DBT
CORP
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NE7
1660000.00000000
PA
USD
1599466.81000000
0.028272206577
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-1
52607MAD1
1900000.00000000
PA
USD
1913519.07000000
0.033823400459
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
5.05000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
CNH/USD FORWARD
000000000
1.00000000
NC
USD
-6304.79000000
-0.00011144359
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-9619160.00000000
CNY
1501366.22000000
USD
2022-02-18
-6304.79000000
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CQ1
5000000.00000000
PA
USD
5112851.45000000
0.090374862104
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.75000000
N
N
N
N
N
N
Battalion CLO LTD
549300WH2OE0BGHQQP83
Battalion CLO VIII Ltd
07132ACC5
5500000.00000000
PA
USD
5497716.40000000
0.097177742478
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
1.31129000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAF9
9050000.00000000
PA
USD
11869991.04000000
0.209814193490
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
000000000
2400000.00000000
PA
2823490.30000000
0.049908069696
Long
DBT
CORP
ID
N
2
2025-10-25
Fixed
2.87500000
N
N
N
N
N
N
KINGDOM OF DENMARK
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
3520000.00000000
PA
571352.35000000
0.010099235299
Long
DBT
NUSS
DK
N
2
2025-11-15
Fixed
1.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-1557.53000000
-0.00002753093
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-12
2698.10000000
USD
0.00000000
USD
-1800000000.00000000
JPY
-4255.63000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-420.33000000
-0.00000742976
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-14
558.86000000
USD
0.00000000
USD
-350000000.00000000
JPY
-979.19000000
N
N
N
REGIAO AUTONOMA MADEIRA
549300NI7DXWFX27WX21
Regiao Autonoma Madeira
000000000
8750000.00000000
PA
9742306.80000000
0.172205205302
Long
DBT
NUSS
PT
N
2
2032-05-29
Fixed
0.94300000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
700000000.00000000
PA
6102910.46000000
0.107875164504
Long
DBT
NUSS
MX
N
2
2023-04-20
Fixed
0.60000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
862000.00000000
PA
814280.90000000
0.014393245094
Long
DBT
NUSS
ES
N
2
2036-07-30
None
0.00000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade RE 2021-3 Ltd
078777AC3
1200000.00000000
PA
USD
1195668.00000000
0.021134650924
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
1.44967000
N
N
N
N
N
N
CITY OF TORONTO CANADA
54930037NB6NXS8EKP78
City of Toronto Canada
891288DM1
2000000.00000000
PA
1666529.55000000
0.029457608879
Long
DBT
NUSS
CA
N
2
2036-06-02
Fixed
3.50000000
N
N
N
N
N
N
MSG III Securitization Trust
N/A
MSG III Securitization Trust 2021-1
55368MAA9
5442444.44000000
PA
USD
5438728.34000000
0.096135068377
Long
ABS-MBS
CORP
US
N
2
2054-06-25
Floating
0.85771000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
75646000.00000000
PA
84674334.17000000
1.496705184812
Long
DBT
NUSS
GR
N
2
2035-02-04
Fixed
1.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
68490.17000000
0.001210633582
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-08-09
0.00000000
USD
-2985.13000000
USD
160000000.00000000
JPY
71475.30000000
N
N
N
REPUBLIC OF ESTONIA
254900EIG0O7C6C9R437
Estonia Government International Bond
000000000
100000.00000000
PA
110282.97000000
0.001949363931
Long
DBT
NUSS
EE
N
2
2030-06-10
Fixed
0.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-100347.36000000
-0.00177374189
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2046-04-12
0.00000000
USD
-4943.46000000
USD
775000000.00000000
JPY
-95403.90000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
10600000.00000000
PA
10480100.95000000
0.185246469109
Long
DBT
NUSS
ES
N
2
2050-10-31
Fixed
1.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
146351.75000000
0.002586916391
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-08-15
0.00000000
USD
-273.23000000
USD
52500000.00000000
CNY
146624.98000000
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAF3
4425000.00000000
PA
USD
4367981.80000000
0.077208531620
Long
DBT
CORP
US
N
2
2050-06-22
Fixed
4.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
2500000.00000000
PA
403964.95000000
0.007140492347
Long
DBT
NUSS
CN
N
2
2025-05-21
Fixed
3.39000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AK5
7416250.00000000
PA
USD
7323262.09000000
0.129446123755
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.40600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
15083.14000000
0.000266609877
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-09-21
0.00000000
USD
-567.71000000
USD
71000000.00000000
JPY
15650.85000000
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-174941.53000000
-0.00309226990
N/A
DCR
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2024-12-20
96073.63000000
USD
0.00000000
USD
2100000.00000000
USD
-271015.16000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-32.28000000
-0.00000057058
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-07
83.18000000
USD
0.00000000
USD
-159520000.00000000
JPY
-115.46000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-1679202.16000000
-0.02968161018
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-01-02
0.00000000
USD
0.00000000
USD
81379945.39000000
BRL
-1679202.16000000
N
N
N
KONDOR FINANCE PLC (NAK)
213800PUC1T9GI6EIO63
NAK Naftogaz Ukraine via Kondor Finance PLC
000000000
1100000.00000000
PA
951562.15000000
0.016819831151
Long
DBT
CORP
GB
N
2
2024-07-19
Fixed
7.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
463.19000000
0.000008187355
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-09
0.00000000
USD
-46.47000000
USD
166000000.00000000
JPY
509.66000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
-1860708.01000000
-0.03288991113
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-02-28
0.00000000
USD
0.00000000
USD
-665000000.00000000
ZAR
-1860708.01000000
N
N
N
Carlyle Global Market Strategi
635400AWOJYIRR64GJ58
Carlyle Euro CLO 2017-2 DAC
000000000
9500000.00000000
PA
10628737.00000000
0.187873762833
Long
ABS-CBDO
CORP
IE
N
2
2030-08-15
Floating
1.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
100830.85000000
0.001782288074
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-07-02
0.00000000
USD
-60.45000000
USD
118700000.00000000
CNY
100891.30000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
10000000.00000000
PA
1631021.79000000
0.028829973020
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
REPUBLIC OF MONTENEGRO
747800V014106FYLL014
Montenegro Government International Bond
000000000
750000.00000000
PA
846402.96000000
0.014961035254
Long
DBT
NUSS
ME
N
2
2025-04-21
Fixed
3.37500000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/EUR FORWARD
000000000
1.00000000
NC
USD
3462529.82000000
0.061203744735
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-146456939.00000000
EUR
168317101.72000000
USD
2022-04-19
3462529.82000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS BARCLAYS PLC
000000000
1.00000000
NC
62321.49000000
0.001101595874
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
BARCLAYS PLC
Barclays PLC
Y
Default Event
2026-12-20
30588.61000000
USD
0.00000000
USD
3000000.00000000
EUR
31732.88000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
684517.04000000
0.012099536570
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-07-16
513.05000000
USD
0.00000000
USD
176800000.00000000
ZAR
684003.99000000
N
N
N
BELLEMEADE RE LT
2549009SOTYJD2MZFC61
Bellemeade Re 2018-3 Ltd
07877TAB7
518435.35000000
PA
USD
518435.14000000
0.009163869661
Long
ABS-MBS
CORP
BM
N
2
2028-10-25
Floating
1.95771000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
34540UAD1
2000000.00000000
PA
1509714.72000000
0.026685746881
Long
DBT
CORP
US
N
2
2024-06-20
Fixed
4.12500000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
USD/JPY FORWARD
000000000
1.00000000
NC
USD
732589.39000000
0.012949264367
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-278969592.16000000
USD
32157271240.00000000
JPY
2022-04-19
732589.39000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AUD/USD FORWARD
000000000
1.00000000
NC
USD
60795.29000000
0.001074618733
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-3379498.79000000
USD
4867000.00000000
AUD
2023-10-31
60795.29000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-159102.57000000
-0.00281230013
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-05-29
0.00000000
USD
-3.03000000
USD
800000000.00000000
JPY
-159099.54000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
31299000.00000000
PA
30152459.70000000
0.532975466653
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
6.75000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
187500.91000000
0.003314269747
Long
DBT
NUSS
ES
N
2
2054-07-30
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
147869.46000000
0.002613743463
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-12-14
130.52000000
USD
0.00000000
USD
1700000.00000000
EUR
147738.94000000
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re Ltd
07876MAA5
5696654.56000000
PA
USD
5696652.28000000
0.100694136979
Long
ABS-MBS
CORP
BM
N
2
2031-03-25
Floating
1.79967000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
-260676.84000000
-0.00460772891
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-119095369.00000000
ZAR
7438862.42000000
USD
2022-03-16
-260676.84000000
N
N
N
Home Re Ltd
N/A
Home RE 2021-1 Ltd
437307AB7
9211000.00000000
PA
USD
9176362.96000000
0.162201570931
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
1.65771000
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
CF 2020-P1 Mortgage Trust
12529WAN6
9397007.47000000
PA
USD
9589695.93000000
0.169507652583
Long
ABS-MBS
CORP
US
N
2
2025-04-15
Variable
2.84000000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF Reseau
761034AA5
6400000.00000000
PA
5942171.29000000
0.105033935796
Long
DBT
NUSS
FR
N
2
2035-06-01
Fixed
4.70000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
7308000.00000000
PA
7517014.41000000
0.132870893548
Long
DBT
NUSS
GR
N
2
2031-06-18
Fixed
0.75000000
N
N
N
N
N
N
INTER-AMERICAN DEVEL BK
VKU1UKDS9E7LYLMACP54
Inter-American Development Bank
000000000
600000.00000000
PA
28731.83000000
0.000507864388
Long
DBT
NUSS
N/A
N
2
2024-12-05
Fixed
7.50000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
226621.09000000
0.004005758813
Long
DBT
NUSS
ES
N
2
2047-07-30
None
0.00000000
N
N
N
N
N
N
HOUSING AND URBAN DEV CO
N/A
Housing & Urban Development Corp Ltd AID Bond
44182YAB9
800000.00000000
PA
USD
793626.66000000
0.014028160344
Long
DBT
CORP
IN
N
2
2030-09-15
Floating
0.18363000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAH6
2865000.00000000
PA
USD
3085749.88000000
0.054543775155
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.12500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC24
36253GAH5
83262000.00000000
PA
USD
38517.00000000
0.000680827244
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Variable
0.02100000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C6
90276UAV3
5000000.00000000
PA
USD
5080273.00000000
0.089799004785
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.58060000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LAK5
1910000.00000000
PA
2339429.51000000
0.041351801717
Long
DBT
CORP
LU
N
2
2039-03-07
Fixed
2.25000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
CDS REPUBLIC OF SLOVENIA
000000000
1.00000000
NC
USD
17146.87000000
0.000303088409
N/A
DCR
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
REPUBLIKA SLOVENIJA
REPUBLIKA SLOVENIJA
Y
Default Event
2024-06-20
0.00000000
USD
-31289.94000000
USD
900000.00000000
USD
48436.81000000
N
N
N
Central Park Funding Trust
N/A
Central Park Funding Trust 2021-1
15479PAA2
18588695.47000000
PA
USD
18517500.77000000
0.327315705330
Long
ABS-MBS
CORP
US
N
2
2022-08-29
Floating
2.85786000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK
000000000
4700000.00000000
PA
766801.53000000
0.013553998822
Long
DBT
NUSS
CN
N
2
2024-08-06
Fixed
4.35000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
COP/USD FORWARD
000000000
1.00000000
NC
USD
71112.09000000
0.001256978691
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-2949088.00000000
USD
11988042720.00000000
COP
2022-03-16
71112.09000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
3415000.00000000
PA
3595574.01000000
0.063555436436
Long
DBT
NUSS
ID
N
2
2033-03-12
Fixed
1.10000000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AU6
3335000.00000000
PA
USD
3521886.20000000
0.062252929267
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
6.62500000
N
N
N
N
N
N
China Government Bond
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
48500000.00000000
PA
8977407.74000000
0.158684834576
Long
DBT
NUSS
CN
N
2
2046-12-12
Fixed
4.40000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
000000000
500000.00000000
PA
359043.00000000
0.006346451081
Long
DBT
CORP
US
N
2
2024-12-03
Fixed
3.68300000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
210249.22000000
0.003716369319
Long
DBT
NUSS
GB
N
2
2052-07-22
Fixed
3.75000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCB7
675000.00000000
PA
USD
695764.54000000
0.012298347600
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
7585000.00000000
PA
7531535.91000000
0.133127575865
Long
DBT
NUSS
GR
N
2
2052-01-24
Fixed
1.87500000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
N/A
UBS-Barclays Commercial Mortgage Trust 2012-C2
90269CAH3
3978225.00000000
PA
USD
7324.31000000
0.000129464646
Long
ABS-MBS
CORP
US
N
2
2063-05-10
Variable
1.26700900
N
N
N
N
N
N
CELLNEX FINANCE CO SA
549300OUROMFTRFA7T23
Cellnex Finance Co SA
000000000
11900000.00000000
PA
12235527.05000000
0.216275415143
Long
DBT
CORP
ES
N
2
2033-02-15
Fixed
2.00000000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF Reseau
000000000
200000.00000000
PA
369740.24000000
0.006535535704
Long
DBT
NUSS
FR
N
2
2035-01-31
Fixed
5.25000000
N
N
N
N
N
N
1MDB GLOBAL INVESTMENTS
N/A
1MDB Global Investments Ltd
000000000
2000000.00000000
PA
USD
2001766.32000000
0.035383260574
Long
DBT
NUSS
VG
N
2
2023-03-09
Fixed
4.40000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
19767QAS4
2000000.00000000
PA
USD
2669972.60000000
0.047194487832
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
7.75000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/CAD FORWARD
000000000
1.00000000
NC
USD
-446722.54000000
-0.00789627634
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-36470554.51000000
USD
45799540.00000000
CAD
2022-04-19
-446722.54000000
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BV2
3900000.00000000
PA
USD
3963566.96000000
0.070060087009
Long
DBT
CORP
CA
N
2
2026-06-15
Fixed
7.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
152.06000000
0.000002687815
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-16
0.00000000
USD
-11.83000000
USD
65000000.00000000
JPY
163.89000000
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
000000000
5900000.00000000
PA
8055667.19000000
0.142392130609
Long
DBT
CORP
GB
N
2
2027-04-15
Fixed
5.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DF9
35000.00000000
PA
USD
42350.51000000
0.000748588442
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
6.45000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B8G50
9955955.81000000
PA
USD
154010.67000000
0.002722295611
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Variable
0.93221800
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAH8
2000000.00000000
PA
USD
2180334.02000000
0.038539626728
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
4150000.00000000
PA
4528809.24000000
0.080051320591
Long
DBT
NUSS
RO
N
2
2030-02-08
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CDS AT&T INC
000000000
1.00000000
NC
USD
17299.74000000
0.000305790542
N/A
DCR
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
AT&T INC
AT&T Inc
Y
Default Event
2022-03-20
6902.10000000
USD
0.00000000
USD
8070000.00000000
USD
10397.64000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-86864.31000000
-0.00153541524
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2023-12-20
37732.95000000
USD
0.00000000
USD
1400000.00000000
USD
-124597.26000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBM4
3135000.00000000
PA
USD
2705651.50000000
0.047825148766
Long
DBT
CORP
US
N
2
2041-02-04
Fixed
3.40000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
000000000
3435000.00000000
PA
6916350.68000000
0.122253549723
Long
DBT
NUSS
IL
N
2
2034-10-21
Fixed
6.87500000
N
N
N
N
N
N
EUROFIMA
4S66HJ5RNB5ZWG9YW219
EUROFIMA
298713AK4
900000.00000000
PA
785322.93000000
0.013881383451
Long
DBT
NUSS
N/A
N
2
2027-03-30
Fixed
4.55000000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAF9
3520000.00000000
PA
USD
3570890.58000000
0.063119131645
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-65.50000000
-0.00000115777
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-18
813.03000000
USD
0.00000000
USD
-1815000000.00000000
JPY
-878.53000000
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust 2021-EBO3
55345F302
9560000.00000000
PA
USD
9560936.88000000
0.168999307053
Long
ABS-MBS
CORP
US
N
2
2023-03-31
Floating
2.84925000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
48111.99000000
0.000850428475
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-03-15
1094.22000000
USD
0.00000000
USD
2500000.00000000
NZD
47017.77000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
5250000.00000000
PA
USD
5384721.25000000
0.095180437999
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-242.67000000
-0.00000428943
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-02
217.09000000
USD
0.00000000
USD
-117300000.00000000
JPY
-459.76000000
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
Methanex Corp
59151KAK4
1500000.00000000
PA
USD
1551004.32000000
0.027415582657
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
4.25000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AL1
2325000.00000000
PA
USD
1854643.73000000
0.032782718799
Long
DBT
CORP
CA
N
2
2031-02-15
Fixed
5.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
13791.57000000
0.000243780060
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-11-02
0.00000000
USD
-507.29000000
USD
150000000.00000000
JPY
14298.86000000
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAA6
2200000.00000000
PA
USD
2196331.50000000
0.038822398497
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
1.64967000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS MYR
000000000
1.00000000
NC
-94643.85000000
-0.00167292654
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2026-04-09
0.00000000
USD
-359.80000000
USD
23575000.00000000
MYR
-94284.05000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
27418.33000000
0.000484646936
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-02-23
0.00000000
USD
-1125.85000000
USD
29500000.00000000
NOK
28544.18000000
N
N
N
COMMONBOND STUDENT LOAN TRUST
N/A
Commonbond Student Loan Trust 2020-A-GS
20267WAA3
2592651.37000000
PA
USD
2567965.96000000
0.045391416471
Long
ABS-O
CORP
US
N
2
2050-08-25
Fixed
1.98000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
54987.11000000
0.000971953230
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-02-04
0.00000000
USD
-2116.86000000
USD
90000000.00000000
JPY
57103.97000000
N
N
N
Eagle Re Ltd
254900L82OLW9QTLJ788
Eagle RE 2019-1 Ltd
269822AB8
619611.70000000
PA
USD
619611.45000000
0.010952264093
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
1.90771000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
1390000.00000000
PA
USD
1397634.49000000
0.024704614546
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
128546.13000000
0.002272183904
Long
DBT
NUSS
GB
N
2
2041-10-22
Fixed
1.25000000
N
N
N
N
N
N
BANK GOSPODARSTWA KRAJOW
259400BCOV9JJIGLYF05
Bank Gospodarstwa Krajowego
000000000
500000.00000000
PA
580372.23000000
0.010258670874
Long
DBT
NUSS
PL
N
2
2025-06-01
Fixed
1.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
94388.73000000
0.001668417035
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2043-05-09
0.00000000
USD
-894.64000000
USD
166000000.00000000
JPY
95283.37000000
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAD0
725000.00000000
PA
USD
747224.25000000
0.013207950439
Long
DBT
CORP
N/A
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
2975000.00000000
PA
USD
3154457.59000000
0.055758253979
Long
DBT
CORP
CH
N
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
100000000.00000000
PA
876891.69000000
0.015499954641
Long
DBT
NUSS
ID
N
2
2023-05-31
Fixed
0.92000000
N
N
N
N
N
N
Laurel Road Prime Student Loan
N/A
Laurel Road Prime Student Loan Trust 2018-C
51888JAA6
1103451.71884000
PA
USD
1122023.80000000
0.019832914606
Long
ABS-O
CORP
US
N
2
2043-08-25
Variable
0.01000000
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
7730000.00000000
PA
5891969.19000000
0.104146562495
Long
DBT
CORP
AE
N
2
2028-02-09
Fixed
4.75000000
N
N
N
N
N
N
Jupiter Mortgages No.1
6354009QIELPOGEAFS09
Jupiter Mortgage NO 1 PLC
000000000
4200000.00000000
PA
5670154.81000000
0.100225767182
Long
ABS-MBS
CORP
GB
N
2
2060-07-20
Floating
1.49156000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
600000.00000000
PA
655659.89000000
0.011589457023
Long
DBT
NUSS
SA
N
2
2030-03-03
Fixed
0.62500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
4825000.00000000
PA
4852767.75000000
0.085777617542
Long
DBT
NUSS
MX
N
2
2033-10-25
Fixed
1.45000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31
61766RAX4
298108.85000000
PA
USD
296892.42000000
0.005247876215
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
2.73100000
N
N
N
N
N
N
OSLO KOMMUNE
5967007LIEEXZXGVU850
City of Oslo Norway
000000000
3000000.00000000
PA
335026.87000000
0.005921941498
Long
DBT
NUSS
NO
N
2
2027-12-01
Fixed
2.30000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BP7
4042000.00000000
PA
USD
4095337.06000000
0.072389257870
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
1466862.28000000
0.025928286314
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-10-22
0.00000000
USD
0.00000000
USD
-29797000.00000000
GBP
1466862.28000000
N
N
N
KANE BIDCO LTD
213800IT8MD1MLYZWC24
Kane Bidco Ltd
000000000
8325000.00000000
PA
11588290.26000000
0.204834845000
Long
DBT
CORP
JE
N
2
2027-02-15
Fixed
6.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-64.20000000
-0.00000113480
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-29
112.63000000
USD
0.00000000
USD
-200000000.00000000
JPY
-176.83000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BG8
3115000.00000000
PA
USD
3209480.60000000
0.056730841779
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CDS KINGDOM OF SAUDI ARABIA
000000000
1.00000000
NC
USD
13064.79000000
0.000230933483
N/A
DCR
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
SAUDI INTERNATIONAL BOND
Saudi Government International Bond
Y
Default Event
2022-06-20
5726.82000000
USD
0.00000000
USD
3000000.00000000
USD
7337.97000000
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137ASNK6
2815079.20000000
PA
USD
28.15000000
0.000000497579
Long
ABS-MBS
USGSE
US
N
2
2022-03-25
Variable
1.57541100
N
N
N
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM 20-C9 Mortgage Trust
233063AJ5
20000000.00000000
PA
USD
19512568.00000000
0.344904533125
Long
ABS-MBS
CORP
US
N
2
2053-08-15
Fixed
1.88200000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
165167DG9
600000.00000000
PA
USD
625937.84000000
0.011064089486
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
2000.00000000
PA
2923.90000000
0.000051682913
Long
DBT
NUSS
GR
N
2
2036-02-24
Variable
4.30000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK
000000000
8990000.00000000
PA
1469265.67000000
0.025970768683
Long
DBT
NUSS
CN
N
2
2024-09-19
Fixed
4.35000000
N
N
N
N
N
N
RUSSIAN RAIL(RZD CAP)
635400VKMH1VQDFMW392
Russian Railways Via RZD Capital PLC
000000000
621000.00000000
PA
668717.50000000
0.011820263592
Long
DBT
CORP
IE
N
2
2027-05-23
Fixed
2.20000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GS_21-PJ2
000000000
1.00000000
NC
USD
15543.06000000
0.000274739432
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2022-02-14
0.00000000
USD
-4512.50000000
USD
36100000.00000000
USD
20055.56000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
2882000.00000000
PA
2033105.13000000
0.035937205992
Long
DBT
CORP
NL
N
2
2026-12-14
Fixed
3.50000000
N
N
N
N
N
N
CITIFINANCIAL CREDIT CO
549300DHDKQKAHEHPH39
CitiFinancial Credit Co
201615CY5
662000.00000000
PA
USD
762431.76000000
0.013476758683
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
7.87500000
N
N
N
N
N
N
BEAZER HOMES USA
549300DUPYT2T0F60I45
Beazer Homes USA Inc
07556QBT1
1675000.00000000
PA
USD
1793588.64000000
0.031703507836
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.25000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS MYR
000000000
1.00000000
NC
14238.57000000
0.000251681241
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2025-04-28
0.00000000
USD
0.00000000
USD
1700000.00000000
MYR
14238.57000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-861178.68000000
-0.01522221116
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2050-09-03
0.00000000
USD
-33.87000000
USD
3540000.00000000
GBP
-861144.81000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
18500000.00000000
PA
3089570.99000000
0.054611317170
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
3.60000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCN8
1025000.00000000
PA
USD
1073950.44000000
0.018983168955
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
6.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
2525111.03000000
0.044633911891
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2049-05-11
618545.59000000
USD
0.00000000
USD
9135000.00000000
EUR
1906565.44000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS RUB
000000000
1.00000000
NC
-1865700.68000000
-0.03297816166
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2026-01-12
0.00000000
USD
0.00000000
USD
1846000000.00000000
RUB
-1865700.68000000
N
N
N
HYDRO-QUEBEC
6THEVG93PYJH84S4D167
Hydro-Quebec
44889ZCN4
1000000.00000000
PA
1123937.76000000
0.019866745800
Long
DBT
NUSS
CA
N
2
2040-02-15
Fixed
6.00000000
N
N
N
N
N
N
AIRPORT AUTHORITY HK
254900748HGC4RBR4O84
Airport Authority
00946AAD6
610000.00000000
PA
USD
608033.34000000
0.010747609195
Long
DBT
NUSS
HK
N
2
2032-01-12
Fixed
2.50000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
181308.69000000
0.003204815946
Long
DBT
NUSS
ES
N
2
2055-07-30
None
0.00000000
N
N
N
N
N
N
ALBERTA CPN STRIP
LQPXMHHNJKIPJYE53543
Province of Alberta Coupon Strip
01305ZQN5
550000.00000000
PA
390447.92000000
0.006901565060
Long
DBT
NUSS
CA
N
2
2026-12-01
None
0.00000000
N
N
N
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAG8
575000.00000000
PA
USD
574338.12000000
0.010152011828
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
7.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-142449.37000000
-0.00251793784
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-04-11
12454.57000000
USD
0.00000000
USD
18100000.00000000
PLN
-154903.94000000
N
N
N
JEFFERIES GROUP LLC
NY9Q8VBNB6D1L6YV0J84
Jefferies Group LLC
47233JDX3
9275000.00000000
PA
USD
8853163.82000000
0.156488696619
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
2.75000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
400000.00000000
PA
USD
339013.80000000
0.005992414551
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
817477AF9
13215000.00000000
PA
USD
11898344.62000000
0.210315371924
Long
DBT
NUSS
RS
N
2
2030-12-01
Fixed
2.12500000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
-81100000.00000000
OU
Other
USD
-179897.23000000
-0.00317986695
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
DE
US
2025-05-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
-81100000.00000000
USD
1.13000000
USD
2023-05-17
XXXX
428352.77000000
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
HSBC Bank PLC
000000000
11320000.00000000
PA
USD
11030498.13000000
0.194975300414
Long
DBT
CORP
GB
N
2
2024-09-28
Floating
0.13225000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
000000000
100000000.00000000
PA
875338.97000000
0.015472508732
Long
DBT
NUSS
HU
N
2
2025-09-18
Fixed
0.74000000
N
N
N
N
N
N
ROSSINI SARL
549300EC5JCCW6F83R11
Rossini Sarl
000000000
1980000.00000000
PA
2297238.05000000
0.040606024645
Long
DBT
CORP
LU
N
2
2025-10-30
Fixed
6.75000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
2100000.00000000
PA
2573459.33000000
0.045488517386
Long
DBT
NUSS
IT
N
2
2067-03-01
Fixed
2.80000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
457.56000000
0.000008087839
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-21
0.00000000
USD
-87.06000000
USD
190000000.00000000
JPY
544.62000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
2200000.00000000
PA
2539267.03000000
0.044884133624
Long
DBT
CORP
US
N
2
2022-12-14
Fixed
3.24000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AL3
22142126.00000000
PA
USD
21808944.57000000
0.385495330233
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.75600000
N
N
N
N
N
N
Race Point CLO Ltd
5493008ABAJEYBWITR69
Race Point VIII CLO Ltd
74982LAY6
8540381.00000000
PA
USD
8534816.94000000
0.150861590950
Long
ABS-CBDO
CORP
KY
N
2
2030-02-20
Floating
1.19963000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBN1
1687500.00000000
PA
USD
1687500.00000000
0.029828282963
Long
DBT
CORP
MX
N
2
2024-02-15
Floating
0.58500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
13438.08000000
0.000237531764
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-07-11
0.00000000
USD
0.00000000
USD
8535000.00000000
SEK
13438.08000000
N
N
N
BON Y OBLI EST PRINCIPAL
9598007A56S18711AH60
Spain Government Bond Principal Strip
000000000
1700000.00000000
PA
1455463.43000000
0.025726800019
Long
DBT
NUSS
ES
N
2
2041-07-30
None
0.00000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
4550000.00000000
PA
USD
4356488.14000000
0.077005369462
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-1434932.28000000
-0.02536389101
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-10-24
0.00000000
USD
0.00000000
USD
6480000000.00000000
CLP
-1434932.28000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-1200796.60000000
-0.02122530415
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2040-04-30
0.00000000
USD
-29.18000000
USD
5890000.00000000
GBP
-1200767.42000000
N
N
N
ASIAN INFRASTRUCTURE INV
25490065OSV2524LCR32
Asian Infrastructure Investment Bank/The
000000000
72000000.00000000
PA
2119020.87000000
0.037455854290
Long
DBT
NUSS
N/A
N
2
2025-09-09
Fixed
0.37500000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
1100000000.00000000
PA
9671512.37000000
0.170953841574
Long
DBT
NUSS
PH
N
2
2028-08-15
Fixed
0.99000000
N
N
N
N
N
N
TRANSPORT FOR LONDON
213800FGQ9DJHGRLQZ89
Transport for London
000000000
4237000.00000000
PA
6443088.12000000
0.113888151468
Long
DBT
CORP
GB
N
2
2031-03-31
Fixed
4.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QBA5
10852256.35000000
PA
USD
10743424.50000000
0.189900981323
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.60600000
N
N
N
N
N
N
HYDRO-QUEBEC
6THEVG93PYJH84S4D167
Hydro-Quebec
448814HZ9
2000000.00000000
PA
2113291.46000000
0.037354581127
Long
DBT
NUSS
CA
N
2
2045-02-15
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-P8
17326DAB8
2000000.00000000
PA
USD
2021226.00000000
0.035727230258
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.10900000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS THB
000000000
1.00000000
NC
33281.24000000
0.000588279848
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2024-07-04
0.00000000
USD
0.00000000
USD
60000000.00000000
THB
33281.24000000
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
2180000.00000000
PA
USD
2065514.58000000
0.036510076063
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MY4
6600000.00000000
PA
USD
6399895.92000000
0.113124685297
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.56100000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BE1
9000000.00000000
PA
2473403.97000000
0.043719936889
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
REPUBLIC OF ICELAND
254900IPCJWRC6XAJN15
Iceland Government International Bond
000000000
2634000.00000000
PA
2947315.10000000
0.052096799280
Long
DBT
NUSS
IS
N
2
2024-06-20
Fixed
0.10000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
1306000.00000000
PA
USD
1361984.54000000
0.024074465333
Long
DBT
NUSS
DO
N
2
2024-04-18
Fixed
5.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
170589.06000000
0.003015335556
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-03-27
0.00000000
USD
0.00000000
USD
58000000.00000000
SEK
170589.06000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B51
1000000.00000000
PA
USD
953890.88000000
0.016860993828
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
2.90000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS KRW
000000000
1.00000000
NC
7420.94000000
0.000131172680
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Y
2024-11-05
0.00000000
USD
0.00000000
USD
900000000.00000000
KRW
7420.94000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
500000.00000000
PA
876068.12000000
0.015485397202
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
8.12500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-4
64828FCQ3
837401.30000000
PA
USD
835334.26000000
0.014765384697
Long
ABS-MBS
CORP
US
N
2
2048-01-25
Floating
0.85771000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
250.97000000
0.000004436150
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-30
0.00000000
USD
-229.53000000
USD
125000000.00000000
JPY
480.50000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS RUSSIAN FEDERATION
000000000
1.00000000
NC
USD
-51576.59000000
-0.00091166881
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
RUSSIAN FEDERATION
RUSSIAN FOREIGN BOND - EUROBOND
Y
Default Event
2022-12-20
0.00000000
USD
-4080.11000000
USD
7350000.00000000
USD
-47496.48000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BL7
2340000.00000000
PA
USD
2458062.99000000
0.043448769426
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
FIRST ABU DHABI BANK PJSC
2138002Y3WMK6RZS8H90
FIRST ABU DHABI BANK PJSC
000000000
2170000.00000000
PA
344358.53000000
0.006086888102
Long
DBT
CORP
AE
N
2
2025-07-02
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
97126.99000000
0.001716818572
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-03-18
14.28000000
USD
0.00000000
USD
33000000.00000000
CNY
97112.71000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAL9
15400000.00000000
PA
USD
14995225.94000000
0.265055906631
Long
DBT
CORP
ES
N
2
2026-03-25
Fixed
1.84900000
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
2100000.00000000
PA
3749269.05000000
0.066272152965
Long
DBT
NUSS
IT
N
2
2048-01-27
Fixed
5.34500000
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
000000000
6825000.00000000
PA
10059997.71000000
0.177820716033
Long
DBT
CORP
AE
N
2
2030-09-25
Fixed
4.25000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516BY1
3000000.00000000
PA
3275346.17000000
0.057895082881
Long
DBT
CORP
US
N
2
2032-03-10
Fixed
0.75000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF PORTUGAL
000000000
1.00000000
NC
USD
269797.29000000
0.004768942168
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PORTUGAL OBRIGACOES DO TESOURO OT
PORTUGAL OBRIGACOES DO TESOURO OT
Y
Default Event
2025-06-20
0.00000000
USD
-58217.26000000
USD
10000000.00000000
USD
328014.55000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CNH/USD FORWARD
000000000
1.00000000
NC
USD
5203.04000000
0.000091969036
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-3094704.92000000
USD
19777863.00000000
CNY
2022-02-18
5203.04000000
N
N
N
EMIRATES TELECOM CORP
529900XDPQPWEQ9BGB80
Emirates Telecommunications Group Co PJSC
000000000
4000000.00000000
PA
4955030.06000000
0.087585208131
Long
DBT
CORP
AE
N
2
2026-06-18
Fixed
2.75000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS CITIBANK NA
000000000
1.00000000
NC
USD
-5950.73000000
-0.00010518521
N/A
DCR
CORP
US
N
3
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK NA
CITIBANK NA
Y
Default Event
2022-06-20
0.00000000
USD
-14558.79000000
USD
50000000.00000000
USD
8608.06000000
N
N
N
BNG BANK NV
529900GGYMNGRQTDOO93
BNG Bank NV
000000000
10000000.00000000
PA
638342.16000000
0.011283348489
Long
DBT
NUSS
NL
N
2
2022-06-07
Fixed
0.50000000
N
N
N
N
N
N
SNCF RESEAU
969500VZN4KDEZ14C105
SNCF Reseau
000000000
1000000.00000000
PA
1657860.48000000
0.029304374229
Long
DBT
NUSS
FR
N
2
2028-12-07
Fixed
5.25000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK
000000000
16000000.00000000
PA
2666511.81000000
0.047133314841
Long
DBT
NUSS
CN
N
2
2027-01-19
Fixed
4.20000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
000000000
700000000.00000000
PA
6130717.76000000
0.108366686882
Long
DBT
CORP
GB
N
2
2023-09-26
Fixed
0.84200000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DE9
690000.00000000
PA
USD
690671.18000000
0.012208317269
Long
DBT
NUSS
PE
N
2
2026-01-23
Fixed
2.39200000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
82439.35000000
0.001457199560
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-03-13
12680.82000000
USD
0.00000000
USD
1750000.00000000
NZD
69758.53000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-402482.64000000
-0.00711429100
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-22000000.00000000
USD
19187252.41000000
EUR
2022-04-19
-402482.64000000
N
N
N
BANK OF CHINA LTD/MACAU
54930047DU4WCPOIO219
BANK OF CHINA LTD/MACAU
000000000
4950000.00000000
PA
777881.00000000
0.013749839751
Long
DBT
CORP
MO
N
2
2022-04-17
Fixed
3.30000000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAG7
45000.00000000
PA
USD
57674.38000000
0.001019453467
Long
DBT
CORP
US
N
2
2041-05-30
Fixed
5.70000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CZK
000000000
1.00000000
NC
-108449.29000000
-0.00191695176
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-29
0.00000000
USD
0.00000000
USD
193410000.00000000
CZK
-108449.29000000
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/PEN FORWARD
000000000
1.00000000
NC
USD
-930548.51000000
-0.01644839364
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-61356356.00000000
PEN
14955262.20000000
USD
2022-03-16
-930548.51000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-FCMT
95003EAC0
1800000.00000000
PA
USD
1799998.74000000
0.031816812889
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Floating
1.95600000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBE5
3819380.76000000
PA
USD
3908008.73000000
0.069078038650
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
3.43200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-1543569.32000000
-0.02728416145
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2030-07-10
0.00000000
USD
-128.25000000
USD
271000000.00000000
MXN
-1543441.07000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
-145152.58000000
-0.00256571983
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-11-05
0.00000000
USD
0.00000000
USD
30000000.00000000
SEK
-145152.58000000
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
2000000.00000000
PA
2539311.32000000
0.044884916495
Long
DBT
NUSS
CY
N
2
2050-04-16
Fixed
2.25000000
N
N
N
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
000000000
10000000.00000000
PA
1086198.14000000
0.019199659540
Long
DBT
NUSS
N/A
N
2
2029-11-12
Fixed
1.25000000
N
N
N
N
N
N
BANGKO PILIPINAS BOND
4IDQTQC5NXVM3WSFHR30
Bangko Sentral ng Pilipinas International Bond
059891AA9
3560000.00000000
PA
USD
4356778.02000000
0.077010493386
Long
DBT
NUSS
PH
N
2
2027-06-15
Fixed
8.60000000
N
N
N
N
N
N
MRA Issuance Trust
N/A
MRA Issuance Trust 2020-7
55347FAA0
11820000.00000000
PA
USD
11802596.23000000
0.208622921512
Long
ABS-MBS
CORP
US
N
2
2022-09-15
Floating
1.40188000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF GREECE
000000000
1.00000000
NC
-86341.59000000
-0.00152617563
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2029-12-20
16541.89000000
USD
0.00000000
USD
5000000.00000000
EUR
-102883.48000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 5 YEAR EURO BOBL
000000000
-1968.00000000
NC
4511252.04000000
0.079740979181
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESOBLIGATION
Bundesobligation
2022-03-08
-299192070.15000000
USD
4511252.04000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
150043.55000000
0.002652172720
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-03-13
22.34000000
USD
0.00000000
USD
50870000.00000000
CNY
150021.21000000
N
N
N
AFLAC INC
549300N0B7DOGLXWPP39
Aflac Inc
001055AS1
80000000.00000000
PA
706725.43000000
0.012492092505
Long
DBT
CORP
US
N
2
2027-01-25
Fixed
0.93200000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/AUD FORWARD
000000000
1.00000000
NC
USD
285687.57000000
0.005049819067
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6023000.00000000
AUD
4547605.92000000
USD
2022-05-31
285687.57000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS KRW
000000000
1.00000000
NC
-30249.54000000
-0.00053469145
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2027-04-26
0.00000000
USD
0.00000000
USD
2040000000.00000000
KRW
-30249.54000000
N
N
N
REGIE AUTONOME DES TRANS
969500K59E47ULNCAQ69
Regie Autonome des Transports Parisiens
000000000
4300000.00000000
PA
4795763.72000000
0.084770013194
Long
DBT
NUSS
FR
N
2
2036-12-19
Fixed
0.40000000
N
N
N
N
N
N
WARNER MEDIA LLC
5493004RSX004WU3UT62
Warner Media LLC
887317AR6
11250000.00000000
PA
USD
11641643.44000000
0.205777916852
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
4.05000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
3330000.00000000
PA
USD
3346351.97000000
0.059150182789
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.09967000
N
N
N
N
N
N
TFS_18-3-A1
N/A
TFS_18-3-A1
000000000
5882344.44000000
PA
5947667.88000000
0.105131093628
Long
ABS-MBS
CORP
LU
N
2
2023-03-16
Floating
0.01000000
N
N
N
N
N
N
LOXAM SAS
969500BNA2YRNE1R5K91
Loxam SAS
000000000
5200000.00000000
PA
5591395.96000000
0.098833624210
Long
DBT
CORP
FR
N
2
2026-04-15
Fixed
2.87500000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
3736000.00000000
PA
3225449.71000000
0.057013112079
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
12827.42000000
0.000226737726
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-10-03
0.00000000
USD
0.00000000
USD
1235000.00000000
NZD
12827.42000000
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RBV9
600000000.00000000
PA
5206252.09000000
0.092025813641
Long
DBT
CORP
US
N
2
2029-05-23
Fixed
0.76900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-348366.36000000
-0.00615773058
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2050-08-26
0.00000000
USD
-3776.66000000
USD
500000000.00000000
JPY
-344589.70000000
N
N
N
DEUTSCHE BANK AG LONDON
7LTWFZYICNSX8D621K86
Deutsche Bank AG/London
000000000
1814000.00000000
PA
USD
1793132.58000000
0.031695446511
Long
DBT
CORP
DE
N
2
2022-11-07
None
0.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
000000000
1870000.00000000
PA
1351569.41000000
0.023890367292
Long
DBT
CORP
GB
N
2
2024-02-16
Fixed
3.35000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-1398325.64000000
-0.02471683132
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-9708000.00000000
USD
931628556.00000000
JPY
2023-10-31
-1398325.64000000
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAA1
7250000.00000000
PA
USD
7430759.83000000
0.131346255907
Long
DBT
CORP
N/A
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
-310781.81000000
-0.00549338534
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-27
0.00000000
USD
0.00000000
USD
100000000.00000000
NOK
-310781.81000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
4000000.00000000
PA
4454902.70000000
0.078744947147
Long
DBT
NUSS
GR
N
2
2030-06-18
Fixed
1.50000000
N
N
N
N
N
N
PGIM Institutional Money Market Fund - D
N/A
PGIM Institutional Money Market Fund - D
000000000
60980432.47000000
NS
USD
60937746.17000000
1.077136791655
Long
STIV
RF
US
N
1
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
100000000.00000000
PA
869328.08000000
0.015366260123
Long
DBT
NUSS
JP
N
2
2030-09-20
Fixed
0.10000000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HBV1
600000.00000000
PA
USD
593672.40000000
0.010493764939
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
4.28000000
N
N
N
N
N
N
Taurus CMBS
6354001CXJE7XMMVG324
Taurus 2021-4 UK DAC
000000000
5243799.25000000
PA
7026312.31000000
0.124197233643
Long
ABS-MBS
CORP
IE
N
2
2031-08-17
Floating
1.54995000
N
N
N
N
N
N
Oak Hill European Credit Partn
549300KDAJJQKITHIP59
OAK Hill European Credit Partners VI DAC
000000000
3000000.00000000
PA
3371197.98000000
0.059589361347
Long
ABS-CBDO
CORP
IE
N
2
2032-01-20
Fixed
1.15000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
3600000.00000000
PA
3694841.12000000
0.065310083811
Long
DBT
NUSS
RO
N
2
2031-07-16
Fixed
2.12400000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS KINGDOM OF SPAIN
000000000
1.00000000
NC
USD
44092.38000000
0.000779377770
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SPAIN GOVERNMENT INTERNATIONAL BOND
SPAIN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2025-06-20
14592.85000000
USD
0.00000000
USD
1645000.00000000
USD
29499.53000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
2227000.00000000
PA
2473151.03000000
0.043715465916
Long
SN
CORP
US
N
2
2025-06-30
Floating
0.12700000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
454.20000000
0.000008028448
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-28
0.00000000
USD
-82.20000000
USD
130000000.00000000
JPY
536.40000000
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AL7
5715000.00000000
PA
USD
5780774.74000000
0.102181087225
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.87500000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CE7
3760000.00000000
PA
USD
3674951.92000000
0.064958521924
Long
DBT
CORP
DE
N
2
2026-11-24
Fixed
2.12900000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TAH2
2458444.25000000
PA
USD
2483094.33000000
0.043891223881
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
2.64967000
N
N
N
N
N
N
RUSSIAN RAIL(RZD CAP)
635400VKMH1VQDFMW392
Russian Railways Via RZD Capital PLC
000000000
8121000.00000000
PA
13572823.41000000
0.239913491725
Long
DBT
CORP
IE
N
2
2031-03-25
Fixed
7.48700000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
862000.00000000
PA
777937.69000000
0.013750841804
Long
DBT
NUSS
ES
N
2
2038-07-30
None
0.00000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
2138000.00000000
PA
2268281.52000000
0.040094188456
Long
DBT
NUSS
RO
N
2
2038-02-08
Fixed
3.37500000
N
N
N
N
N
N
LOXAM SAS
969500BNA2YRNE1R5K91
Loxam SAS
000000000
4800000.00000000
PA
5259112.47000000
0.092960174750
Long
DBT
CORP
FR
N
2
2027-07-15
Fixed
5.75000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF KAZAKHSTAN
000000000
1.00000000
NC
USD
70701.43000000
0.001249719857
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF KAZAKHSTAN
Kazakhstan Government International Bond
Y
Default Event
2023-06-20
0.06000000
USD
0.00000000
USD
7695000.00000000
USD
70701.37000000
N
N
N
SWISS INSURED BRAZIL
254900OBFHBLNHXH1Z48
Swiss Insured Brazil Power Finance Sarl
000000000
20173944.40000000
PA
3585302.94000000
0.063373884802
Long
DBT
CORP
LU
N
2
2032-07-16
Fixed
9.85000000
N
N
N
N
N
N
AMERIGAS PART/FIN CORP
N/A
AmeriGas Partners LP / AmeriGas Finance Corp
030981AK0
3800000.00000000
PA
USD
3925164.93000000
0.069381291976
Long
DBT
CORP
US
N
2
2025-05-20
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BGK32
11779805.90000000
PA
USD
162060.68000000
0.002864587745
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Variable
0.51841200
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-352189.30000000
-0.00622530494
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-22864550.00000000
USD
20000000.00000000
EUR
2022-04-19
-352189.30000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC22
36253BAX1
35000000.00000000
PA
USD
282565.50000000
0.004994633297
Long
ABS-MBS
CORP
US
N
2
2047-06-10
Variable
0.29634500
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BN6H2
44510881.00000000
PA
USD
1316106.63000000
0.023263526500
Long
ABS-MBS
USGSE
US
N
2
2025-12-25
Variable
0.88115500
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1875000.00000000
PA
USD
1672979.94000000
0.029571626099
Long
DBT
NUSS
UA
N
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
515.37000000
0.000009109690
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-14
194.39000000
USD
0.00000000
USD
-1000000000.00000000
JPY
320.98000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/CZK FORWARD
000000000
1.00000000
NC
USD
-33926.29000000
-0.00059968176
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-4871868.58000000
USD
105692753.00000000
CZK
2022-04-19
-33926.29000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1847.16000000
0.000032650436
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-04
0.00000000
USD
-339.58000000
USD
1000000000.00000000
JPY
2186.74000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
23506000.00000000
PA
USD
23391892.94000000
0.413475556543
Long
DBT
CORP
US
N
2
N/A
Fixed
4.60000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
16000000.00000000
PA
2758720.27000000
0.048763193381
Long
DBT
NUSS
CN
N
2
2036-07-04
Fixed
3.90000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-RENT
36260XAQ9
4453853.65000000
PA
USD
4425945.80000000
0.078233104416
Long
ABS-MBS
CORP
US
N
2
2035-11-21
Floating
1.95910000
N
N
N
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAR4
1825000.00000000
PA
USD
1894353.16000000
0.033484623460
Long
DBT
CORP
US
N
2
2028-12-31
Fixed
8.25000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
IRS CNY
000000000
1.00000000
NC
117036.05000000
0.002068731505
N/A
DIR
CORP
GB
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
Y
2031-11-02
0.00000000
USD
0.00000000
USD
30000000.00000000
CNY
117036.05000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CAD
000000000
1.00000000
NC
-200586.58000000
-0.00354557230
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-04-22
145851.72000000
USD
0.00000000
USD
18000000.00000000
CAD
-346438.30000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS CHF
000000000
1.00000000
NC
2759.41000000
0.000048775385
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-03
0.00000000
USD
-504.47000000
USD
700000.00000000
CHF
3263.88000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
-4196.54000000
-0.00007417812
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-06-23
0.00000000
USD
0.00000000
USD
6725000.00000000
NOK
-4196.54000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
125970.11000000
0.002226650125
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-01-17
0.00000000
USD
0.00000000
USD
43090000.00000000
ZAR
125970.11000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS KINGDOM OF SPAIN
000000000
1.00000000
NC
USD
266430.55000000
0.004709431606
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SPAIN GOVERNMENT INTERNATIONAL BOND
SPAIN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2025-06-20
0.00000000
USD
-64730.22000000
USD
9940000.00000000
USD
331160.77000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
4857000.00000000
PA
5442955.16000000
0.096209781730
Long
DBT
CORP
MX
N
2
2026-04-16
Fixed
3.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-528365.10000000
-0.00933939182
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-02-08
0.00000000
USD
0.00000000
USD
15800000000.00000000
COP
-528365.10000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
3216000.00000000
PA
3570020.46000000
0.063103751387
Long
DBT
CORP
US
N
2
2025-08-12
Floating
0.01000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
4626000.00000000
PA
USD
4392373.40000000
0.077639678018
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
13490000.00000000
PA
USD
12502823.52000000
0.221000152768
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95300000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
1085000.00000000
PA
1169295.23000000
0.020668485326
Long
DBT
NUSS
PH
N
2
2041-04-28
Fixed
1.75000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
000000000
1042000.00000000
PA
762483.37000000
0.013477670942
Long
DBT
CORP
JP
N
2
2023-07-19
Fixed
3.75200000
N
N
N
N
N
N
KAZAKHSTAN TEMIR ZHOLY
213800X9NVS4IWFKLS77
Kazakhstan Temir Zholy National Co JSC
000000000
5550000.00000000
PA
6024126.32000000
0.106482574507
Long
DBT
CORP
KZ
N
2
2022-06-20
Fixed
3.63800000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS KRW
000000000
1.00000000
NC
-811816.19000000
-0.01434967883
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-07-16
0.00000000
USD
-42.26000000
USD
10000000000.00000000
KRW
-811773.93000000
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
17018000.00000000
PA
29616839.80000000
0.523507838838
Long
DBT
NUSS
IT
N
2
2034-12-07
Fixed
5.25000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31359MEE9
20307000.00000000
PA
33781404.95000000
0.597120773780
Long
DBT
USGSE
US
N
2
2028-12-07
Fixed
5.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-107494.01000000
-0.00190006622
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-12-16
0.00000000
USD
0.00000000
USD
562610000.00000000
CLP
-107494.01000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-3288198.20000000
-0.05812225561
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-09-03
0.00000000
USD
-232307.37000000
USD
4674000000.00000000
HUF
-3055890.83000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-RENT
36260XAN6
7700218.09000000
PA
USD
7646842.49000000
0.135165737226
Long
ABS-MBS
CORP
US
N
2
2035-11-21
Floating
1.65910000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS EMIRATE OF DUBAI
000000000
1.00000000
NC
USD
11355.28000000
0.000200716151
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
DUBAI GOVT INT'L BONDS
Emirate of Dubai Government International Bonds
Y
Default Event
2024-12-20
2179.11000000
USD
0.00000000
USD
1000000.00000000
USD
9176.17000000
N
N
N
ASCENT RESOURCES UTICA
549300EGLQ2M2CL7JZ89
Ascent Resources Utica Holdings LLC
000000000
1199000.00000000
PA
USD
1291173.13000000
0.022822801467
Long
LON
CORP
US
N
2
2025-11-01
Floating
10.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AYCV1
5368458.99000000
PA
USD
909684.84000000
0.016079607001
Long
ABS-MBS
USGSE
US
N
2
2043-02-15
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AUD/JPY FORWARD
000000000
1.00000000
NC
USD
-337121.55000000
-0.00595896710
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-3979000.00000000
AUD
277535250.00000000
JPY
2023-10-31
-337121.55000000
N
N
N
KINGDOM OF DENMARK
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
5000000.00000000
PA
730087.63000000
0.012905043209
Long
DBT
NUSS
DK
N
2
2052-11-15
Fixed
0.25000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-696476.64000000
-0.01231093469
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2025-12-20
0.00000000
USD
-119802.72000000
USD
7390000.00000000
USD
-576673.92000000
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HBA6
12775000.00000000
PA
USD
12570755.98000000
0.222200928258
Long
DBT
CORP
JP
N
2
2032-01-22
Fixed
2.99900000
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
JPY/AUD FORWARD
000000000
1.00000000
NC
USD
977494.28000000
0.017278207987
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-599449000.00000000
JPY
8947000.00000000
AUD
2023-10-31
977494.28000000
N
N
N
Real Estate Asset Liquidity Tr
N/A
Real Estate Asset Liquidity Trust
75585RRT4
2133434.86000000
PA
1668095.48000000
0.029485288288
Long
ABS-MBS
CORP
CA
N
2
2055-02-12
Variable
2.38100000
N
N
N
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
000000000
1150000.00000000
PA
1096416.79000000
0.019380284597
Long
DBT
NUSS
N/A
N
2
2037-01-30
Fixed
4.60000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2014-GC21
17322MBC9
27500000.00000000
PA
USD
269409.25000000
0.004762083165
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
0.43661400
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS COP
000000000
1.00000000
NC
10111.06000000
0.000178723294
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2026-11-04
0.00000000
USD
0.00000000
USD
10220000000.00000000
COP
10111.06000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-82480.48000000
-0.00145792657
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2071-11-10
0.00000000
USD
0.00000000
USD
12343000.00000000
EUR
-82480.48000000
N
N
N
Ferrellgas Partners LP
529900YP52A6C5K57L34
Ferrellgas Partners LP
315293308
2731.00000000
NS
USD
696405.00000000
0.012309668383
Long
EC
CORP
US
N
2
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BR9
3040000.00000000
PA
USD
3117271.84000000
0.055100957936
Long
DBT
CORP
DE
N
2
2023-02-27
Fixed
3.95000000
N
N
N
N
N
N
MOZART DEBT MERGER SUB
N/A
Mozart Debt Merger Sub Inc
62482BAB8
550000.00000000
PA
USD
534875.00000000
0.009454460948
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
1017465.39000000
0.017984738108
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-11
0.00000000
USD
-332249.90000000
USD
14225000.00000000
EUR
1349715.29000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS CLP
000000000
1.00000000
NC
-7401.11000000
-0.00013082216
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2027-12-19
0.00000000
USD
0.00000000
USD
94000000.00000000
CLP
-7401.11000000
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAK9
629000.00000000
PA
USD
835164.59000000
0.014762385606
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJ70
427712.65000000
PA
USD
432873.05000000
0.007651472487
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.25771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-122533.04000000
-0.00216589640
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-01-04
4122.02000000
USD
0.00000000
USD
2000000000.00000000
JPY
-126655.06000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-603634.20000000
-0.01066984991
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-09
0.00000000
USD
0.00000000
USD
8250000.00000000
USD
-603634.20000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AH1
13125000.00000000
PA
USD
12505737.69000000
0.221051663694
Long
DBT
CORP
CH
N
2
2027-08-10
Fixed
1.49400000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
168000.00000000
PA
160926.65000000
0.002844542608
Long
DBT
NUSS
ES
N
2
2036-01-31
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
72630.20000000
0.001283812833
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-03-25
0.00000000
USD
-5405.20000000
USD
208000000.00000000
ZAR
78035.40000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1239.19000000
0.000021903946
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-06
0.00000000
USD
-228.96000000
USD
675000000.00000000
JPY
1468.15000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-187.13000000
-0.00000330771
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-27
377.16000000
USD
0.00000000
USD
-175000000.00000000
JPY
-564.29000000
N
N
N
Wells Fargo Commercial Mortgag
549300MZIB10PDVAE312
Wells Fargo Commercial Mortgage Trust 2016-C35
95000FAX4
24000000.00000000
PA
USD
909129.60000000
0.016069792568
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Variable
0.92799100
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
500000000.00000000
PA
4366065.00000000
0.077174650226
Long
DBT
NUSS
MX
N
2
2025-04-18
Fixed
0.85000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
000000000
1000000.00000000
PA
1090856.13000000
0.019281994262
Long
DBT
NUSS
CL
N
2
2031-07-02
Fixed
0.83000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2019-2
52604AAA6
2300000.00000000
PA
USD
2324629.09000000
0.041090189204
Long
ABS-O
CORP
US
N
2
2028-04-20
Fixed
2.78000000
N
N
N
N
N
N
CODERE NEW HOLDCO SA
N/A
CODERE NEW HOLDCO SA
000000000
441107.00000000
PA
495561.66000000
0.008759557582
Long
DBT
CORP
N/A
N
3
2027-11-30
Fixed
7.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS ILS
000000000
1.00000000
NC
51302.94000000
0.000906831769
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2026-06-24
0.00000000
USD
0.00000000
USD
5000000.00000000
ILS
51302.94000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF COLOMBIA
000000000
1.00000000
NC
USD
-50438.56000000
-0.00089155297
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF COLOMBIA
Colombia Government International Bond
Y
Default Event
2026-12-20
0.00000000
USD
-57009.00000000
USD
1000000.00000000
USD
6570.44000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF GREECE
000000000
1.00000000
NC
USD
-336918.60000000
-0.00595537975
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
HELLENIC REPUBLIC
Hellenic Republic Government Bond
Y
Default Event
2031-12-20
0.00000000
USD
-176517.34000000
USD
6000000.00000000
USD
-160401.26000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS RUSSIAN FEDERATION
000000000
1.00000000
NC
USD
-20829.64000000
-0.00036818512
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RUSSIAN FEDERATION
RUSSIAN FOREIGN BOND - EUROBOND
Y
Default Event
2023-06-20
0.00000000
USD
-10266.89000000
USD
1640000.00000000
USD
-10562.75000000
N
N
N
LOXAM SAS
969500BNA2YRNE1R5K91
Loxam SAS
000000000
900000.00000000
PA
960896.07000000
0.016984817703
Long
DBT
CORP
FR
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP CAPITAL XIII
N/A
Citigroup Capital XIII
173080201
4000.00000000
NS
USD
107680.00000000
0.001903353783
Long
EP
CORP
US
N
1
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
MYR/USD FORWARD
000000000
1.00000000
NC
USD
244477.68000000
0.004321392247
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-14537674.98000000
USD
61814194.00000000
MYR
2022-03-16
244477.68000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
101410.18000000
0.001792528322
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-05-12
9.23000000
USD
0.00000000
USD
16800000.00000000
ZAR
101400.95000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
27000000.00000000
PA
825838.38000000
0.014597535336
Long
DBT
CORP
US
N
2
2027-06-28
None
0.00000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
45000000.00000000
PA
1531433.66000000
0.027069651289
Long
DBT
NUSS
TH
N
2
2031-06-20
Fixed
3.65000000
N
N
N
N
N
N
MIZUHO BANK LTD/SYDNEY
RB0PEZSDGCO3JS6CEU02
Mizuho Bank Ltd/Sydney
000000000
600000.00000000
PA
423385.78000000
0.007483775317
Long
DBT
CORP
JP
N
2
2024-08-07
Fixed
1.70000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
000000000
1000000.00000000
PA
683098.79000000
0.012074467555
Long
DBT
CORP
US
N
2
2031-03-23
Fixed
3.00000000
N
N
N
N
N
N
UBS AG AUSTRALIA
BFM8T61CT2L1QCEMIK50
UBS AG/Australia
000000000
1855000.00000000
PA
1269922.04000000
0.022447166785
Long
DBT
CORP
CH
N
2
2025-07-30
Fixed
1.20000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-174.90000000
-0.00000309153
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-28
175.51000000
USD
0.00000000
USD
-100000000.00000000
JPY
-350.41000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS REPUBLIC OF UKRAINE
000000000
1.00000000
NC
USD
-62045.93000000
-0.00109672507
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
UKRAINE GOVERNMENT
Ukraine Government International Bond
Y
Default Event
2023-12-20
14672.16000000
USD
0.00000000
USD
1000000.00000000
USD
-76718.09000000
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC FMSR ISSUER TRUST 2018-FT1
69346MAA7
4290000.00000000
PA
USD
4267102.55000000
0.075425388027
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
2.45771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
75599.78000000
0.001336303188
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2034-12-03
0.00000000
USD
-83.19000000
USD
70000000.00000000
JPY
75682.97000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
CHINA DEVELOPMENT BANK
000000000
25000000.00000000
PA
4251057.42000000
0.075141773995
Long
DBT
NUSS
CN
N
2
2032-08-02
Fixed
4.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
889.90000000
0.000015729889
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-29
112.76000000
USD
0.00000000
USD
-1300000000.00000000
JPY
777.14000000
N
N
N
BULGARIA
529900PG0XCL4LICL838
Bulgaria Government International Bond
000000000
3167000.00000000
PA
3423349.65000000
0.060511195284
Long
DBT
NUSS
BG
N
2
2030-09-23
Fixed
0.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-739959.45000000
-0.01307953769
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-12-14
0.00000000
USD
0.00000000
USD
23700000000.00000000
COP
-739959.45000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-501203.68000000
-0.00885928603
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2041-11-25
0.00000000
USD
0.00000000
USD
30272000.00000000
EUR
-501203.68000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
428.76000000
0.000007578770
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-08
0.00000000
USD
-83.35000000
USD
120000000.00000000
JPY
512.11000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
5755.13000000
0.000101727790
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-23
0.00000000
USD
-840.14000000
USD
2000000000.00000000
JPY
6595.27000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-994862.77000000
-0.01758521375
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-05-31
0.00000000
USD
0.00000000
USD
-88904000.00000000
USD
-994862.77000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
4030000.00000000
PA
USD
5067399.86000000
0.089571458911
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS KRW
000000000
1.00000000
NC
808.55000000
0.000014291945
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2022-10-07
0.00000000
USD
0.00000000
USD
655000000.00000000
KRW
808.55000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS ESKOM HOLDINGS SOC LTD
000000000
1.00000000
NC
USD
-124752.03000000
-0.00220511931
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
ESKOM HOLDINGS SOC LTD
Eskom Holdings SOC Ltd
Y
Default Event
2023-12-20
0.00000000
USD
-218310.37000000
USD
3000000.00000000
USD
93558.34000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAD8
1850000.00000000
PA
USD
1868500.00000000
0.033027642499
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.00000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1738.54000000
0.000030730467
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-10
0.00000000
USD
-165.50000000
USD
600000000.00000000
JPY
1904.04000000
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299AK0
800000.00000000
PA
USD
1113116.79000000
0.019675474123
Long
DBT
NUSS
PA
N
2
2029-04-01
Fixed
9.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS EUR
000000000
1.00000000
NC
-535086.90000000
-0.00945820649
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2023-05-15
0.00000000
USD
0.00000000
USD
14000000.00000000
EUR
-535086.90000000
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
000000000
300000.00000000
PA
224837.66000000
0.003974234870
Long
DBT
CORP
US
N
2
2027-07-13
Fixed
4.00000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AH0
2590000.00000000
PA
USD
2182823.46000000
0.038583630118
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
5.00000000
N
N
N
N
N
N
FREEPORT TERMINAL MALTA
N/A
Freeport Terminal Malta PLC
356834AA9
3000000.00000000
PA
USD
3830516.46000000
0.067708283772
Long
DBT
CORP
MT
N
2
2028-05-15
Fixed
7.25000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBH1
3080000.00000000
PA
USD
3338878.40000000
0.059018079819
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LAP4
500000.00000000
PA
549230.36000000
0.009708206571
Long
DBT
CORP
LU
N
2
2039-07-02
Fixed
1.50000000
N
N
N
N
N
N
ISRAEL ELECTRIC CORP LTD
254900JW7GE35YNJGJ55
Israel Electric Corp Ltd
46507NAE0
3000000.00000000
PA
USD
3210074.13000000
0.056741333027
Long
DBT
CORP
IL
N
2
2023-06-21
Fixed
6.87500000
N
N
N
N
N
N
EUROPEAN INVESTMENT BANK
5493006YXS1U5GIHE750
European Investment Bank
000000000
9350000.00000000
PA
4595676.05000000
0.081233259631
Long
DBT
NUSS
N/A
N
2
2037-05-28
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS CLP
000000000
1.00000000
NC
-70024.94000000
-0.00123776220
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2028-01-23
0.00000000
USD
0.00000000
USD
842800000.00000000
CLP
-70024.94000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-1923783.87000000
-0.03400484126
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-12-09
0.00000000
USD
0.00000000
USD
2516000000.00000000
HUF
-1923783.87000000
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HBE9
571562.89000000
PA
USD
629962.62000000
0.011135231576
Long
ABS-O
CORP
US
N
2
2028-02-25
Fixed
31.35500000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-1 Ltd
75279YAA9
4840000.00000000
PA
USD
4839998.55000000
0.085551908914
Long
ABS-MBS
CORP
BM
N
2
2033-12-27
Floating
1.69967000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS KINGDOM OF SPAIN
000000000
1.00000000
NC
USD
146442.49000000
0.002588520313
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SPAIN GOVERNMENT INTERNATIONAL BOND
SPAIN GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2025-12-20
76146.83000000
USD
0.00000000
USD
5000000.00000000
USD
70295.66000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS KRW
000000000
1.00000000
NC
-53149.36000000
-0.00093946912
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2028-10-17
0.00000000
USD
0.00000000
USD
1280000000.00000000
KRW
-53149.36000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
340000.00000000
PA
490643.67000000
0.008672627095
Long
DBT
NUSS
MX
N
2
2114-03-19
Fixed
5.62500000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-795777.58000000
-0.01406618004
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-5354000.00000000
USD
511039300.00000000
JPY
2023-10-31
-795777.58000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
000000000
55495000.00000000
PA
104884.97000000
0.001853948778
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
0.67000000
N
Y
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XB1
300000.00000000
PA
USD
306585.94000000
0.005419219064
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
50498.10000000
0.000892605402
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-02-07
0.00000000
USD
0.00000000
USD
36000000.00000000
NOK
50498.10000000
N
N
N
Madison Avenue Trust
N/A
Eleven Madison Trust 2015-11MD Mortgage Trust
556227AG1
500000.00000000
PA
USD
505016.15000000
0.008926675332
Long
ABS-MBS
CORP
US
N
2
2035-09-10
Variable
3.55480000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BQ7
1000000.00000000
PA
USD
1024726.85000000
0.018113091817
Long
DBT
NUSS
CO
N
2
2024-02-26
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
408802.61000000
0.007226002919
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-09-29
0.00000000
USD
-11114.92000000
USD
655000000.00000000
JPY
419917.53000000
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
Newmont Corp
651639AY2
1995000.00000000
PA
USD
1891806.61000000
0.033439610592
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.25000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
000000000
300000000.00000000
PA
2649973.93000000
0.046840990951
Long
DBT
CORP
FR
N
2
2028-07-12
Fixed
0.98900000
N
N
N
N
N
N
TOTE SHIPHOLDINGS INC
N/A
Tote Shipholdings LLC
89156HAA5
99000.00000000
PA
USD
106022.94000000
0.001874063558
Long
DBT
CORP
US
N
2
2040-10-16
Fixed
3.40000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS TECK RESOURCES LTD
000000000
1.00000000
NC
USD
2303941.99000000
0.040724523620
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
TECK RESOURCES LIMITED
Teck Resources Ltd
Y
Default Event
2026-06-20
2304813.03000000
USD
0.00000000
USD
14000000.00000000
USD
-871.04000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-68.37000000
-0.00000120850
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-02
69.08000000
USD
0.00000000
USD
-100000000.00000000
JPY
-137.45000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
1006000.00000000
PA
736475.33000000
0.013017952319
Long
DBT
CORP
FR
N
2
2028-07-20
Fixed
5.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
9403.49000000
0.000166216272
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-11-16
10.26000000
USD
0.00000000
USD
3000000.00000000
SEK
9393.23000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-69668.28000000
-0.00123145787
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-7040035.45000000
USD
6192480.00000000
EUR
2022-04-19
-69668.28000000
N
N
N
Capital Four CLO
549300MUYIMW1VRJ5K26
Capital Four CLO II DAC
000000000
23000000.00000000
PA
25869013.57000000
0.457261189187
Long
ABS-CBDO
CORP
IE
N
2
2034-01-15
Floating
1.05000000
N
N
N
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
221108.53000000
0.003908318695
Long
DBT
NUSS
ES
N
2
2048-07-30
None
0.00000000
N
N
N
N
N
N
CHESAPEAKE ENERGY FLLO BACKSTOP
N/A
CHESAPEAKE ENERGY FLLO BACKSTOP
000000000
1212.00000000
NS
USD
82622.04000000
0.001460428792
Long
EC
CORP
US
N
2
N
N
N
Taurus CMBS
6354001CXJE7XMMVG324
Taurus 2021-4 UK DAC
000000000
7170825.52000000
PA
9613157.71000000
0.169922363464
Long
ABS-MBS
CORP
IE
N
2
2031-08-17
Floating
2.14995000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAD3
2625000.00000000
PA
USD
2508662.70000000
0.044343170889
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS PEOPLES REPUBLIC OF CHINA
000000000
1.00000000
NC
USD
4734.62000000
0.000083689235
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
PEOPLE'S REPUBLIC OF CHINA
PEOPLE'S REPUBLIC OF CHINA
Y
Default Event
2022-03-20
0.00000000
USD
-926.20000000
USD
2000000.00000000
USD
5660.82000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
701.18000000
0.000012394071
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-09
0.00000000
USD
-136.60000000
USD
200000000.00000000
JPY
837.78000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-101.54000000
-0.00000179482
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-04
82.31000000
USD
0.00000000
USD
-90000000.00000000
JPY
-183.85000000
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
3000000.00000000
PA
3361087.27000000
0.059410644239
Long
SN
NUSS
IT
N
2
2026-05-11
Floating
0.11700000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-383334.77000000
-0.00677583288
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-13
0.00000000
USD
0.00000000
USD
5270000.00000000
USD
-383334.77000000
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
200000.00000000
PA
119647.15000000
0.002114885360
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
BOC AVIATION USA CORP
254900QKLTY6MF4Y3P65
BOC Aviation USA Corp
66980P2A6
1670000.00000000
PA
USD
1653572.34000000
0.029228576982
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
1.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-198.22000000
-0.00000350374
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-15
265.44000000
USD
0.00000000
USD
-275500000.00000000
JPY
-463.66000000
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
92553PAU6
5680000.00000000
PA
USD
7225576.96000000
0.127719439488
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.85000000
N
N
N
N
N
N
RAK CAPITAL
549300F0KUUDMGB5G459
RAK Capital
000000000
1400000.00000000
PA
USD
1440025.79000000
0.025453923993
Long
DBT
NUSS
KY
N
2
2025-03-31
Fixed
3.09400000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
000000000
800000.00000000
PA
911183.77000000
0.016106102117
Long
DBT
NUSS
MX
N
2
2028-04-17
Fixed
1.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS DKK
000000000
1.00000000
NC
9404.03000000
0.000166225817
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-06-22
0.00000000
USD
0.00000000
USD
1865000.00000000
DKK
9404.03000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1100000.00000000
PA
1297584.75000000
0.022936133387
Long
DBT
NUSS
RO
N
2
2028-05-26
Fixed
2.87500000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
CDS REPUBLIC OF INDONESIA
000000000
1.00000000
NC
USD
29842.02000000
0.000527488128
N/A
DCR
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
REPUBLIC OF INDONESIA
REPUBLIC OF INDONESIA
Y
Default Event
2025-06-20
0.00000000
USD
-65289.42000000
USD
2155000.00000000
USD
95131.44000000
N
N
N
CITY OF TORONTO CANADA
54930037NB6NXS8EKP78
City of Toronto Canada
891288DP4
1000000.00000000
PA
799265.01000000
0.014127823929
Long
DBT
NUSS
CA
N
2
2046-06-24
Fixed
3.25000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-G
63941UAB9
2000000.00000000
PA
USD
1974643.40000000
0.034903835310
Long
ABS-O
CORP
US
N
2
2069-09-16
Fixed
2.50000000
N
N
N
N
N
N
HOUSING &DEVELOPMENT BRD
254900QGEU61YJ8GAO70
Housing & Development Board
000000000
500000.00000000
PA
378029.31000000
0.006682053467
Long
DBT
NUSS
SG
N
2
2028-01-24
Fixed
2.32000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
2117.84000000
0.000037434981
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-06
0.00000000
USD
-127.57000000
USD
745000000.00000000
JPY
2245.41000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
61135.10000000
0.001080625221
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-08-28
0.00000000
USD
-2351.31000000
USD
100000000.00000000
JPY
63486.41000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
CNH/USD FORWARD
000000000
1.00000000
NC
USD
-23597.26000000
-0.00041710562
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-26263764.45000000
CNY
4092886.53000000
USD
2022-02-18
-23597.26000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBJ0
6600000.00000000
PA
USD
6443460.94000000
0.113894741441
Long
DBT
CORP
FR
N
2
2033-01-21
Fixed
3.33700000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
5200000.00000000
PA
5420548.89000000
0.095813728064
Long
DBT
NUSS
RU
N
2
2036-05-27
Fixed
2.65000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
1505000.00000000
PA
1842963.55000000
0.032576259710
Long
DBT
NUSS
ID
N
2
2025-07-30
Fixed
3.37500000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
3500000.00000000
PA
3878878.78000000
0.068563137085
Long
DBT
CORP
LU
N
2
2026-03-21
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
7058.39000000
0.000124764239
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2022-03-20
0.00000000
USD
-4570.20000000
USD
3000000.00000000
USD
11628.59000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
2500000.00000000
PA
USD
2658978.40000000
0.047000154138
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
2400000.00000000
PA
USD
2530434.94000000
0.044728017428
Long
DBT
CORP
GB
N
2
2030-05-22
Fixed
3.97300000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS THB
000000000
1.00000000
NC
-253588.85000000
-0.00448244146
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-04-28
0.00000000
USD
0.00000000
USD
173600000.00000000
THB
-253588.85000000
N
N
N
JBS USA LUX/JBS USA FIN
N/A
JBS USA LUX SA / JBS USA Finance Inc
472141AA8
2741000.00000000
PA
USD
2932478.78000000
0.051834552198
Long
DBT
CORP
N/A
N
2
2028-02-15
Fixed
6.75000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAN8
875400.00000000
PA
USD
1188686.05000000
0.021011237839
Long
DBT
NUSS
MX
N
2
2033-04-08
Fixed
7.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE1 Mortgage Trust
12624BAE6
1672729.95000000
PA
USD
1.67000000
0.000000029518
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
1.88779700
N
N
N
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM 16-C3 Mortgage Trust
23312VAC0
1500000.00000000
PA
USD
1503624.60000000
0.026578097801
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.36200000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS ILS
000000000
1.00000000
NC
91698.16000000
0.001620858467
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Y
2028-04-26
0.00000000
USD
0.00000000
USD
5600000.00000000
ILS
91698.16000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS CNY
000000000
1.00000000
NC
57001.97000000
0.001007567935
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2026-04-02
3.26000000
USD
0.00000000
USD
10000000.00000000
CNY
56998.71000000
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690EAA6
2600000.00000000
PA
USD
2792124.92000000
0.049353654627
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
7.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-301692.55000000
-0.00533272340
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-07-19
0.00000000
USD
0.00000000
USD
25830000000.00000000
COP
-301692.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
185087.90000000
0.003271617335
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-12-19
0.00000000
USD
-10960.19000000
USD
2300000.00000000
EUR
196048.09000000
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
000000000
900000.00000000
PA
1058808.86000000
0.018715526092
Long
DBT
CORP
ID
N
2
2025-10-25
Fixed
2.87500000
N
N
N
N
N
N
KT CORP
9884005ACF8449EANY26
KT Corp
000000000
700000000.00000000
PA
6082785.89000000
0.107519442212
Long
DBT
CORP
KR
N
2
2022-07-19
Fixed
0.22000000
N
N
N
N
N
N
Santander Consumer Auto Receiv
N/A
Santander Consumer Auto Receivables Trust 2021-A
80282Y205
6000.00000000
PA
USD
831106.12000000
0.014690648011
Long
ABS-O
CORP
US
N
2
2028-08-15
None
0.00000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
150000.00000000
PA
196151.94000000
0.003467185523
Long
DBT
NUSS
GR
N
2
2029-03-12
Fixed
3.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS PLN
000000000
1.00000000
NC
-295500.36000000
-0.00522327013
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-03-28
0.00000000
USD
0.00000000
USD
30000000.00000000
PLN
-295500.36000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
311.66000000
0.000005508908
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-07
0.00000000
USD
0.00000000
USD
140000000.00000000
JPY
311.66000000
N
N
N
APS RESECURITIZATION TRUST
N/A
APS Resecuritization Trust 2016-1
00192JAA4
657399.96000000
PA
USD
652735.51000000
0.011537765625
Long
ABS-MBS
CORP
US
N
2
2057-07-27
Floating
0.25188000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RAU6
1550000.00000000
PA
3171350.74000000
0.056056857629
Long
DBT
CORP
US
N
2
2040-04-30
Fixed
7.00000000
N
N
N
N
N
N
BNG BANK NV
529900GGYMNGRQTDOO93
BNG Bank NV
629435AA6
1000000.00000000
PA
863533.44000000
0.015263833953
Long
DBT
CORP
NL
N
2
2025-03-07
Fixed
5.15000000
N
N
N
N
N
N
ADCB FINANCE CAYMAN LTD
213800R9XDKRM525M609
ADCB Finance Cayman Ltd
000000000
1130000.00000000
PA
814799.58000000
0.014402413292
Long
DBT
CORP
KY
N
2
2022-10-25
Fixed
3.75000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
148409.45000000
0.002623288337
Long
DBT
NUSS
GB
N
2
2057-07-22
Fixed
1.75000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
000000000
89000000.00000000
PA
13692253.97000000
0.242024548637
Long
DBT
CORP
DE
N
2
2025-04-10
Floating
3.67000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AQ2
4398882.59000000
PA
USD
4390507.12000000
0.077606689617
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
2.87189000
N
N
N
N
N
N
BNQ CEN TUNISIA INT BOND
254900B5LFB16S9T2T11
Banque Centrale de Tunisie International Bond
000000000
100000000.00000000
PA
469258.55000000
0.008294623296
Long
DBT
NUSS
TN
N
2
2031-03-17
Fixed
4.20000000
N
N
N
N
N
N
AUCKLAND COUNCIL
213800RWHTSELJS5LA96
Auckland Council
000000000
1000000.00000000
PA
707410.60000000
0.012504203584
Long
DBT
NUSS
NZ
N
2
2027-09-16
Fixed
2.90000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137ATRX2
7766126.30000000
PA
USD
9768.23000000
0.000172663424
Long
ABS-MBS
USGSE
US
N
2
2022-05-25
Variable
1.33250600
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
750000.00000000
PA
542519.67000000
0.009589588284
Long
DBT
CORP
CH
N
2
2024-03-08
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
1563122.80000000
0.027629789146
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
30469990.00000000
BRL
1563122.80000000
N
N
N
Ford Credit Auto Owner Trust/F
N/A
Ford Credit Auto Owner Trust 2020-REV2
34532JAC8
1300000.00000000
PA
USD
1269293.74000000
0.022436060942
Long
ABS-O
CORP
US
N
2
2033-04-15
Fixed
1.74000000
N
N
N
N
N
N
NEWDAY FUNDING
213800GBPRAJHSB5YK19
Newday Funding Master Issuer PLC - Series 2021-1
000000000
3700000.00000000
PA
4994030.88000000
0.088274587387
Long
ABS-O
CORP
GB
N
2
2029-03-15
Floating
1.12651900
N
N
N
N
N
N
EXPORT-IMPORT BANK CHINA
300300C1020211000045
EXPORT-IMPORT BANK OF CHINA/THE
000000000
10000000.00000000
PA
1658816.79000000
0.029321277983
Long
DBT
NUSS
CN
N
2
2029-05-20
Fixed
3.86000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAR1
515000.00000000
PA
USD
544817.53000000
0.009630205302
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-2185549.72000000
-0.03863181954
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
73942230.66000000
BRL
-2185549.72000000
N
N
N
EAST JAPAN RAILWAY CO
353800SENYJ2DSM6PS44
East Japan Railway Co
000000000
1500000.00000000
PA
2642017.14000000
0.046700346575
Long
DBT
CORP
JP
N
2
2033-04-22
Fixed
5.25000000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
200000.00000000
PA
141428.57000000
0.002499894165
Long
DBT
NUSS
US
N
2
2022-03-28
Fixed
0.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RBD4
1310000.00000000
PA
USD
1378983.68000000
0.024374942464
Long
ABS-MBS
CORP
US
N
2
2050-09-25
Floating
5.35771000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591DU3
300000.00000000
PA
577671.36000000
0.010210930243
Long
DBT
USGA
US
N
2
2043-06-07
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
258557.35000000
PA
USD
259206.48000000
0.004581738803
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
2.20771000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
4865000.00000000
PA
USD
4871966.29000000
0.086116971310
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88400000
N
N
N
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
000000000
4625460.00000000
PA
5253194.57000000
0.092855569834
Long
DBT
CORP
LU
N
2
2027-06-30
Fixed
5.00000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS
82VOJDD5PTRDMVVMGV31
Citigroup Global Markets Holdings Inc/United States
000000000
8398000.00000000
PA
USD
8829820.29000000
0.156076075927
Long
DBT
CORP
US
N
2
2024-06-12
Variable
3.50000000
N
N
N
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAD2
2320000.00000000
PA
USD
2250287.29000000
0.039776122095
Long
DBT
CORP
CA
N
2
2030-02-15
Fixed
4.87500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/NZD FORWARD
000000000
1.00000000
NC
USD
-129425.77000000
-0.00228773243
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-4473914.59000000
USD
6612387.00000000
NZD
2022-04-19
-129425.77000000
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AK7
1955000.00000000
PA
USD
2066517.29000000
0.036527799985
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
MXN/USD FORWARD
000000000
1.00000000
NC
USD
343787.74000000
0.006076798807
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-4577424.93000000
USD
110647804.14000000
MXN
2023-04-28
343787.74000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBV7
6200000.00000000
PA
USD
5545298.41000000
0.098018803016
Long
DBT
CORP
US
N
2
2041-11-19
Fixed
2.52500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS AUD
000000000
1.00000000
NC
146906.91000000
0.002596729410
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-09-25
0.00000000
USD
0.00000000
USD
7580000.00000000
AUD
146906.91000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
60000.00000000
PA
80830.12000000
0.001428754780
Long
DBT
NUSS
GR
N
2
2032-02-24
Variable
4.30000000
N
N
N
N
N
N
ITALY GOV'T INT BOND
815600DE60799F5A9309
Republic of Italy Government International Bond
000000000
15045000.00000000
PA
18929958.69000000
0.334606319581
Long
DBT
NUSS
IT
N
2
2024-07-31
Fixed
5.12500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
300000000.00000000
PA
2766944.73000000
0.048908569096
Long
DBT
CORP
US
N
2
2025-09-16
Fixed
2.36000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AUD/JPY FORWARD
000000000
1.00000000
NC
USD
-1392558.12000000
-0.02461488453
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-17436000.00000000
AUD
1257135600.00000000
JPY
2022-05-31
-1392558.12000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS KINGDOM OF SPAIN
000000000
1.00000000
NC
USD
201029.08000000
0.003553393944
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
KINGDOM OF SPAIN
KINGDOM OF SPAIN
Y
Default Event
2025-06-20
0.00000000
USD
-60464.57000000
USD
7500000.00000000
USD
261493.65000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BF0
500000.00000000
PA
USD
517425.68000000
0.009146026427
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.50000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513JB59
1240000.00000000
PA
USD
1486730.30000000
0.026279473824
Long
DBT
NUSS
IL
N
2
2120-04-03
Fixed
4.50000000
N
N
N
N
N
CF INDUSTRIES INC
5FVKT86LAD2F40NPC183
CF Industries Inc
12527GAD5
1230000.00000000
PA
USD
1407575.09000000
0.024880324786
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.95000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MBD7
5600000.00000000
PA
6478240.97000000
0.114509513931
Long
DBT
CORP
US
N
2
2027-05-21
Fixed
1.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS REPUBLIC OF HUNGARY
000000000
1.00000000
NC
USD
16299.68000000
0.000288113462
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
HUNGARY
Hungary Government International Bond
Y
Default Event
2022-06-20
0.00000000
USD
-2564.62000000
USD
3550000.00000000
USD
18864.30000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
113601.23000000
0.002008017560
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-07-26
0.00000000
USD
-5919.69000000
USD
285000000.00000000
JPY
119520.92000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-322337.82000000
-0.00569764960
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-12-23
28.13000000
USD
0.00000000
USD
1667000000.00000000
HUF
-322365.95000000
N
N
N
EG FINCO LTD
2138003OUK4UQHRJLT65
EG Finco Ltd
000000000
23880000.00000000
PA
26895055.97000000
0.475397534692
Long
LON
CORP
GB
N
2
2027-04-12
Floating
7.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XL2
200000.00000000
PA
USD
204838.01000000
0.003620720666
Long
DBT
CORP
US
N
2
2025-08-04
Fixed
4.13400000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CA0
3365000.00000000
PA
USD
3085494.69000000
0.054539264412
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-1768928.43000000
-0.03126761348
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-11-05
0.00000000
USD
0.00000000
USD
57000000000.00000000
COP
-1768928.43000000
N
N
N
DEUTSCHE BAHN FIN GMBH
52990002BAIDUAIIYU29
Deutsche Bahn Finance GMBH
000000000
900000.00000000
PA
677955.60000000
0.011983556428
Long
DBT
CORP
DE
N
2
2027-09-27
Fixed
3.80000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
300000000.00000000
PA
2515091.45000000
0.044456805599
Long
DBT
NUSS
JP
N
2
2039-12-20
Fixed
0.30000000
N
N
N
N
N
N
QUEBEC CITY
N/A
City of Quebec Canada
747874SN6
2500000.00000000
PA
1930437.79000000
0.034122456085
Long
DBT
NUSS
CA
N
2
2029-11-28
Fixed
2.25000000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
1360.36000000
0.000024045749
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-07-04
0.00000000
USD
-1610.12000000
USD
900000000.00000000
JPY
2970.48000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
3200000.00000000
PA
USD
3342565.31000000
0.059083249713
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
-81038.00000000
-0.00143242927
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-06-01
37.39000000
USD
0.00000000
USD
80785000.00000000
CNY
-81075.39000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
33900000.00000000
PA
299002.62000000
0.005285176151
Long
DBT
CORP
US
N
2
2043-09-25
Variable
0.50000000
N
N
N
N
N
N
WELLTOWER INC
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040QAM6
10300000.00000000
PA
USD
10175132.59000000
0.179855842421
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.80000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CZK
000000000
1.00000000
NC
-1049719.02000000
-0.01855485390
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-03-31
0.00000000
USD
0.00000000
USD
106030000.00000000
CZK
-1049719.02000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS COP
000000000
1.00000000
NC
-84062.48000000
-0.00148589003
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2028-01-26
0.00000000
USD
0.00000000
USD
6670000000.00000000
COP
-84062.48000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
3090000.00000000
PA
USD
3187248.29000000
0.056337863033
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/PLN FORWARD
000000000
1.00000000
NC
USD
-561459.43000000
-0.00992436785
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-17222796.17000000
USD
68400335.00000000
PLN
2022-04-19
-561459.43000000
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BK7
624550.00000000
PA
USD
701077.16000000
0.012392253574
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-562672.78000000
-0.00994581505
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-12
0.00000000
USD
0.00000000
USD
3010200000.00000000
CLP
-562672.78000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
MXN/USD FORWARD
000000000
1.00000000
NC
USD
1216117.42000000
0.021496115271
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-8742705.77000000
USD
206269280.00000000
MXN
2022-02-25
1216117.42000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CHF
000000000
1.00000000
NC
-58597.33000000
-0.00103576754
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-11-05
0.00000000
USD
0.00000000
USD
4000000.00000000
CHF
-58597.33000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
000000000
9621000.00000000
PA
13369483.00000000
0.236319242666
Long
DBT
CORP
NL
N
2
2029-10-01
Fixed
5.37500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHA1
219000.00000000
PA
USD
219610.13000000
0.003881832947
Long
DBT
CORP
US
N
2
N/A
Floating
3.59863000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
33048.44000000
0.000584164871
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-03-02
0.00000000
USD
-6174.23000000
USD
9000000000.00000000
JPY
39222.67000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
408.21000000
0.000007215527
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-20
0.00000000
USD
-63.00000000
USD
135000000.00000000
JPY
471.21000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SE2
1458000.00000000
PA
1077474.63000000
0.019045462607
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
3.70000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIO
W22LROWP2IHZNBB6K528
Goldman Sachs International
000000000
3685000.00000000
PA
4247244.06000000
0.075074368969
Long
DBT
CORP
GB
N
2
2024-05-29
Fixed
1.75000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
000000000
1500000.00000000
PA
1736318.73000000
0.030691203788
Long
DBT
CORP
GB
N
2
2023-03-22
Fixed
2.50000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109BJ9
700000.00000000
PA
550798.41000000
0.009735923454
Long
DBT
CORP
CA
N
2
2029-05-01
Fixed
3.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CAD
000000000
1.00000000
NC
101389.89000000
0.001792169676
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-12-03
93409.13000000
USD
0.00000000
USD
2500000.00000000
CAD
7980.76000000
N
N
N
AFRICAN DEVELOPMENT BANK
549300LNCLMO3ITVCU07
African Development Bank
000000000
64600000.00000000
PA
1433324.28000000
0.025335467971
Long
DBT
NUSS
N/A
N
2
2032-09-07
Fixed
0.50000000
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWY
3538005TH2GJERPBFN83
Central Nippon Expressway Co Ltd
000000000
3000000.00000000
PA
2097512.46000000
0.037075671215
Long
DBT
CORP
JP
N
2
2024-09-26
Fixed
1.87300000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
32226.79000000
0.000569641369
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-05-08
0.00000000
USD
-395.76000000
USD
94310000.00000000
JPY
32622.55000000
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAH3
2200000.00000000
PA
USD
2481208.49000000
0.043857889737
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
SWEDISH EXPORT CREDIT
1FOLRR5RWTWWI397R131
Svensk Exportkredit AB
000000000
1400000.00000000
PA
58752.28000000
0.001038506448
Long
DBT
NUSS
SE
N
2
2027-06-25
None
0.00000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAB2
2600000.00000000
PA
USD
2762721.68000000
0.048833922382
Long
DBT
CORP
N/A
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
2000000.00000000
PA
1094534.79000000
0.019347018328
Long
DBT
NUSS
NZ
N
2
2041-05-15
Fixed
1.75000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942AX0
2202000.00000000
PA
USD
2498290.00000000
0.044159822841
Long
DBT
NUSS
UY
N
2
2025-09-28
Fixed
6.87500000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
407000000.00000000
PA
3561444.98000000
0.062952171035
Long
DBT
NUSS
JP
N
2
2038-06-20
Fixed
0.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD CALL VERSUS MXN PUT
000000000
-103800000.00000000
NC
USD
-3.11000000
-0.00000005497
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD CALL VERSUS MXN PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2022-02-23
-103800000.00000000
USD
36.00000000
USD
2022-02-23
XXXX
4730567.71000000
N
N
N
COMM Mortgage Trust
5493004GWEVMOU8S3L34
COMM 2014-UBS4 Mortgage Trust
12591QAA0
50000000.00000000
PA
USD
264285.00000000
0.004671506822
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
0.21645000
N
N
N
N
N
N
REPUBLIC OF AUSTRIA
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
100000.00000000
PA
113168.78000000
0.002000373565
Long
DBT
NUSS
AT
N
2
2051-03-20
Fixed
0.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CDS REPUBLIC OF INDONESIA
000000000
1.00000000
NC
USD
94165.08000000
0.001664463793
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
REPUBLIC OF INDONESIA
REPUBLIC OF INDONESIA
Y
Default Event
2025-06-20
0.00000000
USD
-212395.37000000
USD
6800000.00000000
USD
306560.45000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS MYR
000000000
1.00000000
NC
67278.01000000
0.001189207418
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2023-08-19
0.00000000
USD
0.00000000
USD
16000000.00000000
MYR
67278.01000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
000000000
5415000.00000000
PA
6526503.58000000
0.115362604768
Long
DBT
NUSS
ZA
N
2
2026-07-24
Fixed
3.75000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS ESKOM HOLDINGS SOC LTD
000000000
1.00000000
NC
125083.63000000
0.002210980687
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
ESKOM HOLDINGS SOC LTD
Eskom Holdings SOC Ltd
Y
Default Event
2023-12-20
219488.50000000
USD
0.00000000
USD
-2640000.00000000
EUR
-94404.87000000
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
000000000
1200000.00000000
PA
1266932.35000000
0.022394320966
Long
DBT
NUSS
PE
N
2
2033-03-11
Fixed
1.25000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
5520000.00000000
PA
USD
6121672.16000000
0.108206796680
Long
DBT
CORP
GB
N
2
2029-05-16
Fixed
4.97200000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
233527.17000000
0.004127830818
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2035-01-07
0.00000000
USD
-10256.96000000
USD
260000000.00000000
JPY
243784.13000000
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
5910000.00000000
PA
6657319.13000000
0.117674902985
Long
DBT
NUSS
DE
N
2
2031-08-15
None
0.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBK6
6765000.00000000
PA
USD
6735598.16000000
0.119058564648
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
3.41900000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAB1
861000.00000000
PA
USD
911312.60000000
0.016108379319
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-114050.73000000
-0.00201596293
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2042-01-14
0.00000000
USD
0.00000000
USD
17000000.00000000
EUR
-114050.73000000
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
48128U2R9
600000.00000000
PA
USD
593247.06000000
0.010486246621
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
4.39300000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS HUF
000000000
1.00000000
NC
-115112.72000000
-0.00203473468
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-18
10193.20000000
USD
0.00000000
USD
370000000.00000000
HUF
-125305.92000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
42564.32000000
0.000752367751
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-06-30
0.00000000
USD
-2876.92000000
USD
125000000.00000000
JPY
45441.24000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
727.84000000
0.000012865314
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-08-30
0.00000000
USD
-570.01000000
USD
130000000.00000000
JPY
1297.85000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP6
48128KAS0
4600000.00000000
PA
USD
4659221.78000000
0.082356495196
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.10850000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
19309.01000000
0.000341306437
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-06-27
21.50000000
USD
0.00000000
USD
15000000.00000000
SEK
19287.51000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
438400.00000000
PA
473832.29000000
0.008375468813
Long
DBT
NUSS
ES
N
2
2029-07-30
None
0.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
000000000
100000000.00000000
PA
894325.69000000
0.015808118366
Long
DBT
CORP
FR
N
2
2025-01-30
Fixed
2.04700000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-2614345.24000000
-0.04621121753
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
77540636.33000000
BRL
-2614345.24000000
N
N
N
China Government Bond
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
76500000.00000000
PA
13430977.85000000
0.237406226836
Long
DBT
NUSS
CN
N
2
2035-11-30
Fixed
4.00000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series 2004-HE2
59020UKZ7
27672.95000000
PA
USD
27522.64000000
0.000486490722
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
1.30771000
N
N
N
N
N
N
CODERE FINANCE 2 LUXEMBO
2221005CUH65GSJUKB29
Codere Finance 2 Luxembourg SA
000000000
1097000.00000000
PA
1296621.69000000
0.022919110320
Long
DBT
CORP
LU
N
2
2026-09-30
Fixed
11.00000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
CDS REPUBLIC OF SOUTH AFRICA
000000000
1.00000000
NC
USD
626.60000000
0.000011075793
N/A
DCR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
REPUBLIC OF SOUTH AFRICA
Republic of South Africa Government International Bond
Y
Default Event
2023-12-20
0.00000000
USD
-64588.02000000
USD
3000000.00000000
USD
65214.62000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WAH5
116017.44000000
PA
USD
116163.34000000
0.002053305466
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Floating
3.10771000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAM5
6990000.00000000
PA
USD
6667270.86000000
0.117850809959
Long
DBT
CORP
US
N
2
2027-01-28
Fixed
1.12200000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/JPY FORWARD
000000000
1.00000000
NC
USD
75783.70000000
0.001339554161
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-115153152.00000000
JPY
1102893.90000000
USD
2023-10-31
75783.70000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
2857.26000000
0.000050504983
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-19
0.00000000
USD
-187.45000000
USD
1200000000.00000000
JPY
3044.71000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
2870000.00000000
PA
USD
3198932.16000000
0.056544387347
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
10000000.00000000
PA
2190201.05000000
0.038714036543
Long
DBT
NUSS
MY
N
2
2031-04-15
Fixed
2.63200000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF FRANCE
000000000
1.00000000
NC
USD
-31985.70000000
-0.00056537985
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FRENCH REPUBLIC GOVERNMENT BOND OAT
FRANCE (GOVT OF)
Y
Default Event
2026-12-20
0.00000000
USD
-21441.65000000
USD
-11140000.00000000
USD
-10544.05000000
N
N
N
LLOYDS BANK PLC
H7FNTJ4851HG0EXQ1Z70
Lloyds Bank PLC
000000000
1200000.00000000
PA
USD
889005.48000000
0.015714078230
Long
DBT
CORP
GB
N
2
2032-04-02
Variable
7.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS HALLIBURTON COMPANY
000000000
1.00000000
NC
USD
50354.81000000
0.000890072605
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
HALLIBURTON CO
Halliburton Co
Y
Default Event
2026-12-20
39711.48000000
USD
0.00000000
USD
4240000.00000000
USD
10643.33000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS SEK
000000000
1.00000000
NC
18008.41000000
0.000318317006
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-06-22
0.00000000
USD
0.00000000
USD
15390000.00000000
SEK
18008.41000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAZ6
2900000.00000000
PA
3518911.97000000
0.062200356719
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-8126.49000000
-0.00014364399
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-07-22
0.00000000
USD
-420.20000000
USD
60000000.00000000
JPY
-7706.29000000
N
N
N
REPUBLIC OF KAZAKHSTAN
5493007OEK8EF02UO833
Kazakhstan Government International Bond
000000000
5700000.00000000
PA
6100966.51000000
0.107840803206
Long
DBT
NUSS
KZ
N
2
2034-09-30
Fixed
1.50000000
N
N
N
N
N
N
UNITED KINGDOM GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
100000.00000000
PA
195560.26000000
0.003456726975
Long
DBT
NUSS
GB
N
2
2040-12-07
Fixed
4.25000000
N
N
N
N
N
N
LOXAM SAS
969500BNA2YRNE1R5K91
Loxam SAS
000000000
3800000.00000000
PA
4057116.76000000
0.071713675101
Long
DBT
CORP
FR
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
LIMA METRO LINE 2 FIN LT
5493009BVQNQT1UKQ352
Lima Metro Line 2 Finance Ltd
000000000
98723.71000000
PA
USD
111292.28000000
0.001967204515
Long
DBT
CORP
KY
N
2
2034-07-05
Fixed
5.87500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LAH9
191576.17000000
PA
USD
193963.13000000
0.003428496074
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
3.20771000
N
N
N
N
N
N
CORP ANDINA DE FOMENTO
UKZ46SXGNYCZK0UOZE76
Corp Andina de Fomento
219868BZ8
1350000.00000000
PA
USD
1369111.88000000
0.024200448335
Long
DBT
NUSS
N/A
N
2
2023-01-06
Fixed
2.75000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
9560000.00000000
PA
10596478.79000000
0.187303566083
Long
DBT
NUSS
ID
N
2
2031-10-30
Fixed
1.40000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-107.98000000
-0.00000190865
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-23
101.16000000
USD
0.00000000
USD
-130000000.00000000
JPY
-209.14000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38144GAG6
11370000.00000000
PA
USD
10856894.30000000
0.191906675724
Long
DBT
CORP
US
N
2
N/A
Fixed
3.65000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
CNH/USD FORWARD
000000000
1.00000000
NC
USD
437141.35000000
0.007726919041
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-69630306.07000000
USD
447040491.00000000
CNY
2022-02-18
437141.35000000
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2019-1
68267EAB0
1300000.00000000
PA
USD
1369364.75000000
0.024204918070
Long
ABS-O
CORP
US
N
2
2028-11-14
Fixed
3.95000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS KRW
000000000
1.00000000
NC
-183963.97000000
-0.00325175072
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-04-27
1.86000000
USD
0.00000000
USD
2455000000.00000000
KRW
-183965.83000000
N
N
N
KOREA DEVELOPMENT BANK
549300ML2LNRZUCS7149
Korea Development Bank/The
000000000
15000000000.00000000
PA
1049718.49000000
0.018554844534
Long
DBT
NUSS
KR
N
2
2025-01-22
Fixed
6.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
234630.92000000
0.004147340725
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-10-09
0.00000000
USD
-22.36000000
USD
76000000.00000000
CNY
234653.28000000
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
3000000.00000000
PA
4211721.21000000
0.074446466379
Long
DBT
NUSS
CY
N
2
2049-05-03
Fixed
2.75000000
N
N
N
N
N
N
Hayfin Emerald CLO
549300FO5F55WI5RCR50
Hayfin Emerald CLO V DAC
000000000
18500000.00000000
PA
20790644.17000000
0.367495832472
Long
ABS-CBDO
CORP
IE
N
2
2032-11-17
Floating
1.10000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-93556.73000000
-0.00165371058
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-05-06
59.49000000
USD
0.00000000
USD
2100000000.00000000
JPY
-93616.22000000
N
N
N
CROATIA
74780000O00QGQ7CER13
Croatia Government International Bond
000000000
3000000.00000000
PA
3721835.34000000
0.065787234171
Long
DBT
NUSS
HR
N
2
2030-01-27
Fixed
2.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ZAR
000000000
1.00000000
NC
355915.98000000
0.006291177814
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-11-07
36.68000000
USD
0.00000000
USD
68200000.00000000
ZAR
355879.30000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
950.99000000
0.000016809717
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-07
0.00000000
USD
-101.01000000
USD
350000000.00000000
JPY
1052.00000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
86148.29000000
0.001522758856
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-07-01
0.00000000
USD
-24.62000000
USD
28500000.00000000
CNY
86172.91000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
1200000.00000000
PA
USD
1336479.94000000
0.023623645526
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS STATE OF ILLINOIS
000000000
1.00000000
NC
USD
15813.05000000
0.000279511780
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
ILLINOIS ST
State of Illinois
Y
Default Event
2024-12-20
0.00000000
USD
-97091.30000000
USD
2800000.00000000
USD
112904.35000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NOK
000000000
1.00000000
NC
43157.18000000
0.000762847156
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-03-15
12059.22000000
USD
0.00000000
USD
26300000.00000000
NOK
31097.96000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS ILS
000000000
1.00000000
NC
42253.54000000
0.000746874398
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-05-13
0.00000000
USD
0.00000000
USD
10250000.00000000
ILS
42253.54000000
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
50000000.00000000
PA
498637.78000000
0.008813931139
Long
DBT
NUSS
JP
N
2
2034-06-20
Fixed
1.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CJ6
1255000.00000000
PA
USD
1227071.47000000
0.021689739273
Long
DBT
CORP
GB
N
2
2026-04-18
Fixed
1.64500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
5787000.00000000
PA
USD
5474777.11000000
0.096772267140
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
CITY OF OTTAWA
5493007HQAUURLO7D125
City of Ottawa Ontario
689551DE6
2570000.00000000
PA
2426387.13000000
0.042888866306
Long
DBT
NUSS
CA
N
2
2030-08-13
Fixed
5.05000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/MXN FORWARD
000000000
1.00000000
NC
USD
148854.91000000
0.002631162296
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-3431538.71000000
USD
74426624.00000000
MXN
2022-03-16
148854.91000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-31013.33000000
-0.00054819222
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-07-02
0.00000000
USD
-221.47000000
USD
300000000.00000000
JPY
-30791.86000000
N
N
N
ORGANON & CO/ORG
549300SH15FO4Y2G3V63
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAB7
2100000.00000000
PA
USD
2099262.50000000
0.037106604956
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
5.12500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-1029.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-152126310.42000000
USD
0.00000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
276.70000000
0.000004890954
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-06-20
4707.02000000
USD
0.00000000
USD
-3276010000.00000000
JPY
-4430.32000000
N
N
N
REPUBLIC OF CYPRUS
213800IOEYYAHPDLUL60
Cyprus Government International Bond
000000000
10200000.00000000
PA
13376102.90000000
0.236436256148
Long
DBT
NUSS
CY
N
2
2034-02-26
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA2
35564KGR4
2000000.00000000
PA
USD
2006396.80000000
0.035465109029
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
3.19967000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
13517.42000000
0.000238934179
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-03-10
0.00000000
USD
-13.61000000
USD
18100000.00000000
CNY
13531.03000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
749643.28000000
0.013250709260
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-01-02
0.00000000
USD
0.00000000
USD
26379063.27000000
BRL
749643.28000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS COP
000000000
1.00000000
NC
-104349.80000000
-0.00184448910
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-11-28
0.00000000
USD
0.00000000
USD
13388000000.00000000
COP
-104349.80000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-465847.91000000
-0.00823433675
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-12-13
0.00000000
USD
0.00000000
USD
2400000000.00000000
CLP
-465847.91000000
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
5263.77000000
0.000093042501
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-04-18
0.00000000
USD
-852.85000000
USD
1815000000.00000000
JPY
6116.62000000
N
N
N
Banc of America Funding Corpor
549300LENCFK8RITKD65
Banc of America Funding 2014-R5 Trust
05990PAA3
52109.08000000
PA
USD
52406.28000000
0.000926334428
Long
ABS-MBS
CORP
US
N
2
2045-09-26
Floating
1.83638000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-239.27000000
-0.00000422934
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-04
531.65000000
USD
0.00000000
USD
-1000000000.00000000
JPY
-770.92000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KPN3
1230000.00000000
PA
USD
1229997.91000000
0.021741467083
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
3.79967000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS MXN PUT
000000000
-319500000.00000000
NC
USD
-65.44000000
-0.00000115671
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS MXN PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2022-02-23
-319500000.00000000
USD
31.50000000
USD
2022-02-23
XXXX
11289208.27000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHZ5
2755000.00000000
PA
USD
2678724.00000000
0.047349177750
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.49600000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VI Ltd
67401FAC4
1865000.00000000
PA
USD
1877502.03000000
0.033186762557
Long
ABS-MBS
CORP
BM
N
2
2033-10-25
Floating
2.09967000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEL5
2950000.00000000
PA
USD
2955352.57000000
0.052238869757
Long
DBT
CORP
US
N
2
2033-01-21
Fixed
2.94300000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS NZD
000000000
1.00000000
NC
14500.71000000
0.000256314833
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-07-04
0.00000000
USD
0.00000000
USD
1550000.00000000
NZD
14500.71000000
N
N
N
KOREAN AIR LINES CO LTD
988400C2UFBF4B660C58
Korean Air Lines Co Ltd
000000000
600000000.00000000
PA
5213972.89000000
0.092162286653
Long
DBT
CORP
KR
N
2
2022-02-21
Fixed
0.32000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS KRW
000000000
1.00000000
NC
-13424.48000000
-0.00023729137
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2031-01-27
0.00000000
USD
0.00000000
USD
520000000.00000000
KRW
-13424.48000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
243176.50000000
0.004298392564
Long
DBT
NUSS
ES
N
2
2043-07-30
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FVEE8
101850000.00000000
PA
USD
9887149.86000000
0.174765454060
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.38088000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAX7
955000.00000000
PA
USD
917144.68000000
0.016211467279
Long
DBT
CORP
CA
N
2
2052-02-15
Fixed
3.75000000
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
3250000.00000000
PA
USD
3350945.20000000
0.059231372812
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/JPY FORWARD
000000000
1.00000000
NC
USD
203576.31000000
0.003598418832
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-2309705226.00000000
JPY
20805025.44000000
USD
2023-10-31
203576.31000000
N
N
N
TH MSR ISSUER TRUST
N/A
TH MSR issuer Trust
87271AAA4
9330000.00000000
PA
USD
9313695.83000000
0.164629069424
Long
ABS-O
CORP
US
N
2
2024-06-25
Floating
2.90771000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
329.18000000
0.000005818592
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-02-02
0.00000000
USD
-5.94000000
USD
117300000.00000000
JPY
335.12000000
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AR5
2500000.00000000
PA
USD
2378837.43000000
0.042048376880
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
4.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAC2
575000.00000000
PA
USD
591765.79000000
0.010460063663
Long
DBT
CORP
N/A
N
2
2027-05-01
Fixed
3.15000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2T0
9230000.00000000
PA
USD
9161163.49000000
0.161932904802
Long
DBT
CORP
FR
N
2
2028-01-20
Fixed
2.59100000
N
N
N
N
N
N
SUN HUNG KAI PROP (CAP)
222100WJDEUAP4JLW867
Sun Hung Kai Properties Capital Market Ltd
000000000
1000000.00000000
PA
133378.61000000
0.002357602915
Long
DBT
CORP
HK
N
2
2029-01-18
Fixed
3.38000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
1700000000.00000000
PA
14487525.42000000
0.256081782322
Long
DBT
NUSS
PH
N
2
2029-08-15
Fixed
0.59000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re Ltd
07876MAC1
1750000.00000000
PA
USD
1795089.45000000
0.031730036183
Long
ABS-MBS
CORP
BM
N
2
2031-03-25
Floating
2.99967000
N
N
N
N
N
N
LCH LIMITED
F226TOH6YD6XJB17KS62
IRS JPY
000000000
1.00000000
NC
303.14000000
0.000005358308
N/A
DIR
CORP
GB
N
2
LCH LIMITED
F226TOH6YD6XJB17KS62
Y
2022-06-22
0.00000000
USD
-256.44000000
USD
150000000.00000000
JPY
559.58000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
407055.10000000
0.007195113898
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-07-13
0.00000000
USD
-150.05000000
USD
161860000.00000000
CNY
407205.15000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
27000000.00000000
PA
3470705.82000000
0.061348263870
Long
DBT
CORP
US
N
2
2022-08-23
Fixed
2.21000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS COP
000000000
1.00000000
NC
-109536.73000000
-0.00193617337
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2028-07-18
0.00000000
USD
0.00000000
USD
9400000000.00000000
COP
-109536.73000000
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CN4
5000000.00000000
PA
USD
4876930.60000000
0.086204720551
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.12500000
N
N
N
N
N
N
CHEC LOAN TRUST
N/A
CHEC Loan Trust 2004-1
162765AC5
478274.78000000
PA
USD
474904.19000000
0.008394415739
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
1.10771000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
50039.24000000
0.000884494583
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2039-05-11
0.00000000
USD
-3105.03000000
USD
365000.00000000
EUR
53144.27000000
N
N
N
Taurus CMBS
635400SG2ZVJCYHITE32
Taurus 2021-1 UK DAC
000000000
545989.84000000
PA
734952.33000000
0.012991031741
Long
ABS-MBS
CORP
IE
N
2
2031-05-17
Floating
2.64995000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
7380000.00000000
PA
USD
8762841.89000000
0.154892164420
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
4000000.00000000
PA
4744513.24000000
0.083864108709
Long
DBT
NUSS
ES
N
2
2030-10-31
Fixed
1.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-RPL6 Trust
12656HAC8
2453527.88000000
PA
USD
2445574.52000000
0.043228022987
Long
ABS-MBS
CORP
US
N
2
2059-03-25
Variable
2.68750000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
6000000.00000000
PA
956436.72000000
0.016905994145
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding XIV LLC
68377BAD9
500000.00000000
PA
USD
502766.35000000
0.008886907823
Long
ABS-O
CORP
US
N
2
2028-03-08
Fixed
5.40000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS KRW
000000000
1.00000000
NC
-40279.87000000
-0.00071198776
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2026-10-28
0.00000000
USD
-6.84000000
USD
1485000000.00000000
KRW
-40273.03000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
RON/USD FORWARD
000000000
1.00000000
NC
USD
-22556.44000000
-0.00039870807
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-2512040.27000000
USD
11029364.00000000
RON
2022-04-19
-22556.44000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS CNY
000000000
1.00000000
NC
10172.19000000
0.000179803829
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-12-22
0.00000000
USD
0.00000000
USD
6300000.00000000
CNY
10172.19000000
N
N
N
BON Y OBLIG ESTADO STRIP
9598007A56S18711AH60
Spain Government Bond Coupon Strip
000000000
300000.00000000
PA
147740.71000000
0.002611467675
Long
DBT
NUSS
ES
N
2
2061-07-30
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS COP
000000000
1.00000000
NC
-3910.79000000
-0.00006912720
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2026-11-01
0.00000000
USD
0.00000000
USD
4351000000.00000000
COP
-3910.79000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCG9
2900000.00000000
PA
USD
3046848.95000000
0.053856161557
Long
DBT
CORP
US
N
2
2028-01-05
Fixed
3.85000000
N
N
N
N
N
N
REPUBLIC OF LITHUANIA
529900F7Y171QF1RSU09
Lithuania Government International Bond
000000000
100000.00000000
PA
115184.86000000
0.002036009835
Long
DBT
NUSS
LT
N
2
2030-05-06
Fixed
0.75000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
1350000.00000000
PA
1482884.89000000
0.026211502282
Long
DBT
NUSS
PH
N
2
2033-04-28
Fixed
1.20000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS REPUBLIC OF PORTUGAL
000000000
1.00000000
NC
USD
40140.26000000
0.000709520019
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
PORTUGAL OBRIGACOES DO TESOURO OT
PORTUGAL OBRIGACOES DO TESOURO OT
Y
Default Event
2031-12-20
42119.90000000
USD
0.00000000
USD
1000000.00000000
USD
-1979.64000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
593.48000000
0.000010490364
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-19
219.59000000
USD
0.00000000
USD
-1200000000.00000000
JPY
373.89000000
N
N
N
CADILLAC FAIRVIEW PRP TR
N/A
Ontario Teachers' Cadillac Fairview Properties Trust
68327LAD8
1775000.00000000
PA
USD
1733930.37000000
0.030648987090
Long
DBT
CORP
CA
N
2
2031-10-15
Fixed
2.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS ILLINOIS STATE
000000000
1.00000000
NC
USD
-15605.29000000
-0.00027583941
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
STATE OF ILLINOIS
STATE OF ILLINOIS
Y
Default Event
2028-06-20
0.00000000
USD
-79348.21000000
USD
1000000.00000000
USD
63742.92000000
N
N
N
CREDIT AGRICOLE ASSRNCES
969500K2MUPSI57XK083
Credit Agricole Assurances SA
000000000
2000000.00000000
PA
2424073.26000000
0.042847966295
Long
DBT
CORP
FR
N
2
N/A
Fixed
4.25000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAM1
3500000.00000000
PA
USD
3745204.33000000
0.066200304895
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
4.25000000
N
N
N
N
N
SIMON PROPERTY GROUP LP
529900GQL5X8H7AO3T64
Simon Property Group LP
828807DQ7
10340000.00000000
PA
USD
9779364.89000000
0.172860244825
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.25000000
N
N
N
N
N
N
Fairstone Financial Issuance T
549300LY2ZF7LX6T3F37
Fairstone Financial Issuance Trust I
30575PAN6
1500000.00000000
PA
1172481.61000000
0.020724807841
Long
ABS-O
CORP
CA
N
2
2039-10-20
Fixed
2.50900000
N
N
N
N
N
N
MSG III Securitization Trust
N/A
MSG III Securitization Trust 2021-1
55368MAD3
396888.89000000
PA
USD
396931.44000000
0.007016167887
Long
ABS-MBS
CORP
US
N
2
2054-06-25
Floating
1.40771000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22535WAH0
2545000.00000000
PA
USD
2429286.64000000
0.042940118102
Long
DBT
CORP
FR
N
2
2027-01-26
Fixed
1.24700000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
CDS REPUBLIC OF ITALY
000000000
1.00000000
NC
USD
3167.31000000
0.000055985433
N/A
DCR
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
ITALY GOV'T INT BOND
Republic of Italy Government International Bond
Y
Default Event
2026-12-20
0.00000000
USD
-23064.76000000
USD
400000.00000000
USD
26232.07000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-638231.33000000
-0.01128138945
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-04-13
0.00000000
USD
0.00000000
USD
8710000.00000000
USD
-638231.33000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-1687046.57000000
-0.02982026812
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-12881000.00000000
USD
1254995830.00000000
JPY
2023-10-31
-1687046.57000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-1649504.33000000
-0.02915667075
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
USD
0.00000000
USD
56887406.48000000
BRL
-1649504.33000000
N
N
N
NORDIC INVESTMENT BANK
213800HYL1S7VAXG6Z48
Nordic Investment Bank
000000000
2000000.00000000
PA
1362676.98000000
0.024086704916
Long
DBT
NUSS
FI
N
2
2025-09-02
Fixed
3.87500000
N
N
N
N
N
N
2022-03-25
Prudential Global Total Return Fund, Inc.
Christian J. Kelly
Christian J. Kelly
Treasurer and Principal Financial and Accounting Officer
XXXX