NPORT-P false 0000215829 XXXXXXXX S000058189 C000190811 FIDELITY SCHOOL STREET TRUST 811-02676 0000215829 WX9R9SUUXPO900BH1D05 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Series International Credit Fund S000058189 549300Z58RLCX0URKA18 2020-12-31 2020-03-31 N 111162400.60 4297482.39 106864918.21 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 857152.87000000 GBP EUR USD CAD N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A -2344.30000000 -0.00219370401 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 69169.17000000 USD 94000.00000000 CAD 2020-05-14 -2344.30000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC N/A 1742.40000000 0.001630469595 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 200000.00000000 EUR 222693.60000000 USD 2020-05-14 1742.40000000 N N N CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 N/A 1650000.00000000 PA USD 1588125.00000000 1.486105100346 Long EP CORP CH N 2 N N N BAYER AG 549300J4U55H3WP1XT59 N/A 2500000.00000000 PA 2570508.10000000 2.405380683442 Long DBT CORP DE N 2 2075-04-02 Variable 0.02375000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 1350000.00000000 PA USD 1375065.37000000 1.286732253233 Long DBT CORP IT N 2 2022-01-14 Fixed 0.06572000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2765000.00000000 PA 2988528.12000000 2.796547426469 Long DBT CORP CH N 2 2026-02-12 Variable 0.04750000 N N N N N N VODAFONE GRP PLC 213800TB53ELEUKM7Q61 N/A 200000.00000000 PA USD 195848.00000000 0.183266878673 Long DBT CORP GB N 2 2078-10-03 Variable 0.06250000 N N N N N N INTERNATIONAL FLAVS and FRAG INC BZLRL03D3GPGMOGFO832 N/A 900000.00000000 PA 934676.64000000 0.874633748526 Long DBT CORP US N 2 2026-09-25 Fixed 0.01800000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC N/A -25731.68000000 -0.02407869713 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 909536.48000000 USD 800000.00000000 EUR 2020-05-14 -25731.68000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A -22190.85000000 -0.02076532726 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 647517.43000000 USD 503000.00000000 GBP 2020-05-14 -22190.85000000 N N N ACCENTRO REAL ESTATE AG 391200VKLY50XNAFCM46 N/A 450000.00000000 PA 347394.72000000 0.325078356694 Long DBT CORP DE N 2 2023-02-13 Fixed 0.03625000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 N/A 200000.00000000 PA USD 192700.00000000 0.180321103714 Long EP CORP CH N 2 N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 N/A 650000.00000000 PA 666602.68000000 0.623780648659 Long EP CORP LU N 2 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A 1200.89000000 0.001123745771 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 87065.88000000 USD 71000.00000000 GBP 2020-05-14 1200.89000000 N N N TULLOW OIL PLC 2138003EYHWO75RKS857 N/A 350000.00000000 PA USD 78946.88000000 0.073875394584 Long DBT CORP GB N 2 2022-04-15 Fixed 0.06250000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC N/A 825057.88000000 0.772056811365 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 13773000.00000000 GBP 17947568.75000000 USD 2020-05-14 825057.88000000 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 3129.17000000 0.002928154582 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 278000.00000000 EUR 310251.34000000 USD 2020-05-14 3129.17000000 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A -4313.35000000 -0.00403626379 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 161000.00000000 EUR 173552.37000000 USD 2020-05-14 -4313.35000000 N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAD9 355000.00000000 PA USD 352922.06000000 0.330250624724 Long DBT CORP GB N 2 2023-04-26 Variable 0.03622000 N N N N N N ALPHA BANK SA 5299009N55YRQC69CN08 N/A 250000.00000000 PA 173469.90000000 0.162326330198 Long DBT CORP GR N 2 2030-02-13 Variable 0.04250000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 N/A 950000.00000000 PA USD 630978.13000000 0.590444591704 Long DBT CORP AR N 2 2021-03-23 Fixed 0.08500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 18.00000000 NC USD 432931.20000000 0.405120040563 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UNITED STATES TREASURY BOND UNDERLYING TREASURY BOND GENERIC IV FOR FUTURES TRADING 2020-06-19 3560818.80000000 USD 432931.20000000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 N/A 840000.00000000 PA 776784.50000000 0.726884475290 Long EP CORP GB N 2 N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 N/A 400000.00000000 PA 436673.40000000 0.408621844581 Long DBT CORP LU N 2 2024-02-15 Fixed 0.02000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 1250000.00000000 NC -25585.49000000 -0.02394189826 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 GAS NATURAL CAPITAL MARKETS SA GAS NAT CAP EMTN 4.5% 1/27/20 Y 2022-06-20 0.00000000 EUR 16429.39000000 EUR 1250000.00000000 EUR -10627.38000000 N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RK6 64000.00000000 PA USD 79927.50000000 0.074793020327 Long DBT UST US N 2 2045-02-15 Fixed 0.02500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JC6 192000.00000000 PA USD 203018.83000000 0.189977060199 Long DBT CORP US N 2 2026-11-20 Fixed 0.04300000 N N N N N N SYDNEY FUTURES EXCHANGE LTD N/A N/A 8.00000000 NC 1788.63000000 0.001673729817 N/A DIR CORP AU N 1 SYDNEY FUTURES EXCHANGE LTD N/A Long AUSTRALIA, COMMONWEALTH OF AUST 10YR BOND FUT UNDERLYING 2020-06-15 780114.23000000 AUD 1788.63000000 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 21342.52000000 0.019971493318 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 702272.66000000 USD 655000.00000000 EUR 2020-05-14 21342.52000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC N/A -6421.74000000 -0.00600921247 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 237315.74000000 USD 209000.00000000 EUR 2020-05-14 -6421.74000000 N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 N/A 295000.00000000 PA 339358.69000000 0.317558554934 Long DBT CORP GB N 2 2025-06-22 Variable 0.03125000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 705000.00000000 PA 808866.07000000 0.756905150491 Long DBT CORP DK N 2 2028-01-14 Variable 0.02250000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 269.14000000 0.000251850658 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 89240.83000000 USD 72000.00000000 GBP 2020-05-14 269.14000000 N N N GRAND CITY PROPERTIES SA 5299002QLUYKK2WBMB18 N/A 900000.00000000 PA 944860.15000000 0.884163077861 Long EP CORP LU N 2 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A -383420.96000000 -0.35879029940 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 27777421.32000000 EUR 30305000.00000000 USD 2020-05-15 -383420.96000000 N N N LAGARDERE SCA 969500VX2NV2AQQ65G45 N/A 900000.00000000 PA 876045.82000000 0.819769326242 Long DBT CORP FR N 2 2024-06-21 Fixed 0.01625000 N N N N N N ALPHA TRAINS FINANCE SA 529900FR0E130P05IY43 N/A 802000.00000000 PA 928893.61000000 0.869222215820 Long DBT CORP LU N 2 2030-06-30 Fixed 0.02064000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AP2 185000.00000000 PA USD 173900.00000000 0.162728800913 Long DBT CORP LU N 2 2026-10-15 Fixed 0.06625000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A -1206.76000000 -0.00112923868 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 46000.00000000 GBP 55980.16000000 USD 2020-05-14 -1206.76000000 N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 N/A 1390000.00000000 PA 1645055.15000000 1.539378102332 Long DBT CORP GB N 2 2026-06-18 Fixed 0.03375000 N N N N N N BANK NOVA SCOTIA BC N/A 064159KJ4 800000.00000000 PA USD 611000.00000000 0.571749841046 Long EP CORP CA N 2 N N N IMPERIAL TOBACCO FINANCE 2138008L3B3MCG1DFS50 45262BAB9 2407000.00000000 PA USD 2222073.15000000 2.079328920304 Long DBT CORP GB N 2 2026-07-26 Fixed 0.03500000 N N N N N N FIDELITY REVERE STREET TRUST 549300BDV45LJNXBZC55 31635A105 2381201.48600000 NS USD 2381915.85000000 2.228903451101 Long STIV RF US N 1 N N N EUROFINS SCIENTIFIC SE 529900JEHFM47DYY3S57 N/A 1080000.00000000 PA 1102445.07000000 1.031624866669 Long EP CORP LU N 2 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 N/A 2050000.00000000 PA 1807342.90000000 1.691240615042 Long DBT CORP MX N 2 2024-02-21 Fixed 0.03750000 N N N N N N LAGARDERE SCA 969500VX2NV2AQQ65G45 N/A 700000.00000000 PA 738599.55000000 0.691152496414 Long DBT CORP FR N 2 2023-04-13 Fixed 0.02750000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A -2464.26000000 -0.00230595787 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 115000.00000000 CAD 79289.57000000 USD 2020-05-14 -2464.26000000 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 N/A 390000.00000000 PA 320044.35000000 0.299484952930 Long DBT CORP MX N 2 2025-11-24 Fixed 0.03625000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC N/A -409870.63000000 -0.38354086342 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 32887000.00000000 EUR 35922239.89000000 USD 2020-05-14 -409870.63000000 N N N LUMINOR BANK AS/ESTONIA 213800JD2L89GGG7LF07 N/A 260000.00000000 PA 291006.56000000 0.272312527697 Long DBT CORP EE N 2 2022-10-21 Fixed 0.01375000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC N/A 7693.95000000 0.007199696709 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 186000.00000000 GBP 238928.03000000 USD 2020-05-14 7693.95000000 N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 N/A 305451.97000000 PA 330372.38000000 0.309149518414 Long DBT CORP NL N 2 2020-07-25 Fixed 0.00375000 N N N N N N LONDON CLEARING HOUSE N/A N/A 2260000.00000000 NC 95110.74000000 0.089000900944 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2035-06-17 0.00000000 EUR 0.00000000 EUR 2355157.22000000 EUR 95110.74000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 200000.00000000 PA 205046.76000000 0.191874717572 Long EP CORP GB N 2 N N N CEETRUS SA 5493007LOTJ0I8E94R81 N/A 400000.00000000 PA 427810.50000000 0.400328290299 Long DBT CORP FR N 2 2026-11-26 Fixed 0.02750000 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 N/A 1260000.00000000 PA 1283453.91000000 1.201005841297 Long DBT CORP LU N 2 2027-07-15 Fixed 0.01625000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 N/A 200000.00000000 PA 210804.24000000 0.197262341590 Long EP CORP GB N 2 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A -3542.87000000 -0.00331527882 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 89323.26000000 USD 69000.00000000 GBP 2020-05-14 -3542.87000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636BAT6 1250000.00000000 PA USD 1281750.00000000 1.199411389134 Long DBT CORP DK N 2 2024-01-12 Fixed 0.05375000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A 2284.97000000 0.002138185326 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 160114.16000000 USD 147000.00000000 EUR 2020-05-14 2284.97000000 N N N TELEFONICA EUROPE BV 7245007FZS0M65WUGP67 N/A 900000.00000000 PA 927713.15000000 0.868117587641 Long EP CORP NL N 2 N N N ARGENTUM NETHERLANDS BV 724500RPEZI5VVQQWE89 N/A 250000.00000000 PA USD 249390.00000000 0.233369382747 Long DBT CORP NL N 2 2050-08-15 Variable 0.05750000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810PU6 50000.00000000 PA USD 82132.81000000 0.076856662949 Long DBT UST US N 2 2037-05-15 Fixed 0.05000000 N N N N N N ORSTED A/S W9NG6WMZIYEU8VEDOG48 N/A 350000.00000000 PA 342003.11000000 0.320033099476 Long EP CORP DK N 2 N N N GENERALI FINANCE BV 724500SJJXADYHYHO803 N/A 200000.00000000 PA 216168.40000000 0.202281912175 Long EP CORP NL N 2 N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 N/A 1220000.00000000 PA 1340492.23000000 1.254380064527 Long DBT NUSS ID N 2 2023-06-14 Fixed 0.02625000 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 N/A 1060000.00000000 PA 1145622.37000000 1.072028490911 Long DBT CORP SE N 2 2025-01-14 Fixed 0.01750000 N N N N N N UNITED KINGDOM,G.B. and N.IRELAND ECTRVYYCEF89VWYS6K36 N/A 758000.00000000 PA 1097662.09000000 1.027149141538 Long DBT NUSS GB N 2 2037-09-07 Fixed 0.01750000 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 N/A 650000.00000000 PA 618614.40000000 0.578875097985 Long EP CORP SE N 2 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A 14741.48000000 0.013794498930 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 949710.51000000 USD 873000.00000000 EUR 2020-05-14 14741.48000000 N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JBD9 475000.00000000 PA USD 446508.95000000 0.417825566592 Long DBT CORP US N 2 2042-09-15 Fixed 0.04500000 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA S.A K8MS7FD7N5Z2WQ51AZ71 N/A 600000.00000000 PA 559170.30000000 0.523249640168 Long EP CORP ES N 2 N N N MARKS and SPENCER PLC 213800CN1RI3UCIZWB95 N/A 750000.00000000 PA 800564.44000000 0.749136810666 Long DBT CORP GB N 2 2027-07-10 Fixed 0.03250000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A -2182.86000000 -0.00204263479 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 52000.00000000 AUD 29808.27000000 USD 2020-05-14 -2182.86000000 N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 N/A 350000.00000000 PA 370176.85000000 0.346396980599 Long DBT CORP GB N 2 2023-09-07 Fixed 0.04500000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 500000.00000000 PA 510091.25000000 0.477323389699 Long EP CORP FR N 2 N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZQ9 1815000.00000000 PA USD 1683412.50000000 1.575271406367 Long DBT CORP US N 2 2024-03-18 Fixed 0.05584000 N N N N N N HEATHROW FUNDING LTD 7TI96JO3DYEIQWZ7Z726 N/A 650000.00000000 PA 911862.25000000 0.853284936978 Long DBT CORP JE N 2 2024-02-14 Fixed 0.07125000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 48.00000000 NC USD 244403.76000000 0.228703454879 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 5772846.24000000 USD 244403.76000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC N/A 692.08000000 0.000647621325 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 100000.00000000 CAD 71782.36000000 USD 2020-05-14 692.08000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 3050000.00000000 NC 92896.48000000 0.086928883263 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A NC N/A N/A DCR CORP FR N/A ITXEX532 2024-12-20 0.00000000 EUR 0.00000000 EUR 3050000.00000000 EUR 1.00000000 537.50000000 EUR 2020-04-15 XXXX 4806.08000000 N N N ICE FUTURES EUROPE FINANCIALS N/A N/A -3.00000000 NC -8128.58000000 -0.00760640642 N/A DIR CORP GB N 1 ICE FUTURES EUROPE FINANCIALS N/A Short UNITED KINGDOM,G.B. and N.IRELAND LONG GILT FUTURE UNDERLYING 2020-06-26 -520069.16000000 GBP -8128.58000000 N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 N/A 500000.00000000 PA 504278.97000000 0.471884485991 Long DBT CORP GB N 2 2028-02-07 Variable 0.02000000 N N N N N N CLOVERIE PLC 5493002N598MXOKUEF55 N/A 702000.00000000 PA USD 642330.00000000 0.601067226512 Long DBT CORP IE N 2 2044-09-11 Variable 0.04500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 2.00000000 NC USD 7840.32000000 0.007336664015 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UNDERLYING TREASURY 10 YR NOTEGENERIC IV FOR FUTURES TRADING 2020-06-19 269534.68000000 USD 7840.32000000 N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 N/A 360000.00000000 PA 394137.64000000 0.368818548314 Long DBT CORP LU N 2 2022-07-06 Fixed 0.01400000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 300000.00000000 NC -3544.84000000 -0.00331712226 N/A DCR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 VOLVO TREAS AB VOLVO TREAS AB MTN 2.375 11/19 Y 2024-06-20 0.00000000 EUR 6393.40000000 EUR 300000.00000000 EUR 2779.82000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 200000.00000000 PA USD 200000.00000000 0.187152157461 Long DBT CORP CH N 2 2024-05-15 Fixed 0.05125000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BR3 100000.00000000 PA 105560.10000000 0.098779002284 Long DBT CORP US N 2 2022-05-17 Fixed 0.00375000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 8450000.00000000 NC 302664.25000000 0.283221336870 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A NC N/A N/A DCR CORP FR N/A ITXEX532 2024-12-20 0.00000000 EUR 0.00000000 EUR 8450000.00000000 EUR 1.00000000 512.50000000 EUR 2020-04-15 XXXX 15296.78000000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 N/A 1.00000000 NC N/A 2305.09000000 0.002157012833 N/A DFE CORP CA N 2 ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 142000.00000000 EUR 159180.44000000 USD 2020-05-14 2305.09000000 N N N EUREX DEUTSCHLAND N/A N/A -11.00000000 NC 10008.94000000 0.009365973574 N/A DIR CORP DE N 1 EUREX DEUTSCHLAND N/A Short GERMANY FEDERAL REPUBLIC OF EURO-BOBL FUT UNDERLYING 2020-06-08 -1678181.99000000 EUR 10008.94000000 N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225401AP3 250000.00000000 PA USD 256096.25000000 0.239644828527 Long DBT CORP CH N 2 2031-04-01 Variable 0.04194000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BG0 2957000.00000000 PA USD 3011258.97000000 2.817818064561 Long DBT CORP US N 2 2025-06-12 Fixed 0.04450000 N N N N N N TELEFONICA EUROPE BV 7245007FZS0M65WUGP67 N/A 600000.00000000 PA 567852.33000000 0.531373943396 Long EP CORP NL N 2 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 220000.00000000 PA 231858.08000000 0.216963699484 Long EP CORP DK N 2 N N N HEIMSTADEN BOSTAD AB 549300TJR3PR8EXILG79 N/A 1500000.00000000 PA 1335887.62000000 1.250071251048 Long DBT CORP SE N 2 2199-12-31 Variable 0.03248000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BK8 125000.00000000 PA 132281.55000000 0.123783887374 Long DBT CORP US N 2 2023-05-26 Fixed 0.01250000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC N/A -105.98000000 -0.00009917192 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 414000.00000000 EUR 457263.00000000 USD 2020-05-14 -105.98000000 N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 N/A 900000.00000000 PA 962891.25000000 0.901035874193 Long DBT CORP GB N 2 2025-11-11 Variable 0.02625000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 N/A 100000.00000000 PA 113895.38000000 0.106578830459 Long DBT CORP CH N 2 2026-04-02 Variable 0.03250000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC N/A 587.02000000 0.000549310297 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 84000.00000000 CAD 60302.86000000 USD 2020-05-14 587.02000000 N N N QBE INS GROUP LTD 549300D2FBW76FPUSG65 N/A 1100000.00000000 PA USD 934946.17000000 0.874885964131 Long EP CORP AU N 2 N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 N/A 950000.00000000 PA 1011083.57000000 0.946132357499 Long EP CORP NL N 2 N N N HEIMSTADEN BOSTAD AB 549300TJR3PR8EXILG79 N/A 650000.00000000 PA 687327.83000000 0.643174431340 Long DBT CORP SE N 2 2026-01-21 Fixed 0.01125000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1900000.00000000 NC -47569.96000000 -0.04451410322 N/A DCR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 AKZO NOBEL NV AKZO NOBEL NV 1.75% 11/07/2024 REGS Y 2024-06-20 0.00000000 EUR 53393.76000000 EUR 1900000.00000000 EUR 5249.58000000 N N N AERCAP HOLDINGS NV 549300SZYINBBLJQU475 00774YAA7 1050000.00000000 PA USD 724500.00000000 0.677958690406 Long EP CORP NL N 2 N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 N/A 150000.00000000 PA 172548.18000000 0.161463820765 Long DBT CORP GB N 2 2021-09-15 Fixed 0.04375000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 N/A 550000.00000000 PA 537215.69000000 0.502705377029 Long DBT CORP MX N 2 2026-03-19 Fixed 0.03125000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC N/A 4355.75000000 0.004075940049 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 72722.28000000 USD 62000.00000000 GBP 2020-05-14 4355.75000000 N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 N/A 450000.00000000 PA 434817.77000000 0.406885418791 Long DBT CORP NL N 2 2023-03-31 Fixed 0.01250000 N N N N N N DANONE 969500KMUQ2B6CBAF162 N/A 1300000.00000000 PA 1377394.16000000 1.288911443597 Long EP CORP FR N 2 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A 2616.39000000 0.002448315166 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 62596.29000000 USD 106000.00000000 AUD 2020-05-14 2616.39000000 N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 439000.00000000 PA USD 397295.00000000 0.371773081994 Long DBT CORP NL N 2 2030-01-15 Fixed 0.05093000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC N/A 1062.81000000 0.000994535922 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 94000.00000000 CAD 67887.68000000 USD 2020-05-14 1062.81000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 1780000.00000000 PA USD 1820940.00000000 1.703964248044 Long EP CORP GB N 2 N N N CHICAGO BOARD OF TRADE N/A N/A 14.00000000 NC USD 57285.10000000 0.053605150277 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 3028074.28000000 USD 57285.10000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC N/A -1507.13000000 -0.00141031315 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 62000.00000000 CAD 42568.85000000 USD 2020-05-14 -1507.13000000 N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 N/A 200000.00000000 PA 198146.25000000 0.185417490902 Long DBT CORP US N 2 2025-03-06 Fixed 0.04535000 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 N/A 660000.00000000 PA 655508.39000000 0.613399047114 Long EP CORP NL N 2 N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 N/A 1395000.00000000 PA 1445377.33000000 1.352527428280 Long EP CORP NL N 2 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 7657.25000000 0.007165354288 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 285736.53000000 USD 236000.00000000 GBP 2020-05-14 7657.25000000 N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC N/A -8860.33000000 -0.00829114937 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 382267.86000000 USD 338000.00000000 EUR 2020-05-14 -8860.33000000 N N N SAMVARDHANA MOTHERSON AUTOMOTIVE SYSTEMS GROUP B.V 7245003HPQ1HG4CHTL79 N/A 490000.00000000 PA 424230.48000000 0.396978247965 Long DBT CORP NL N 2 2024-07-06 Fixed 0.01800000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 N/A 1050000.00000000 PA 921081.20000000 0.861911668888 Long DBT CORP IT N 2 2032-01-15 Variable 0.02731000 N N N N N N JOHN LEWIS PLC 213800JSUFNZLZLCVJ25 N/A 1094000.00000000 PA 1300127.58000000 1.216608407864 Long DBT CORP GB N 2 2025-01-21 Fixed 0.06125000 N N N N N N VESTAS WIND SYSTEMS AS 549300DYMC8BGZZC8844 N/A 405000.00000000 PA 440421.06000000 0.412128757853 Long DBT CORP DK N 2 2022-03-11 Fixed 0.02750000 N N N N N N EDF SA N/A N/A 800000.00000000 PA USD 772000.00000000 0.722407327803 Long EP CORP FR N 2 N N N CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 N/A 2500000.00000000 PA USD 2536450.00000000 2.373510448972 Long DBT CORP CH N 2 2023-08-08 Fixed 0.06500000 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 N/A 800000.00000000 PA 815436.61000000 0.763053604174 Long DBT CORP IE N 2 2029-10-14 Variable 0.02375000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JZN2 362000.00000000 PA USD 377150.73000000 0.352922864039 Long DBT CORP US N 2 2027-04-23 Fixed 0.03950000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397A29 570000.00000000 PA USD 513000.00000000 0.480045283889 Long DBT CORP US N 2 2023-01-09 Fixed 0.03087000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A 1958.86000000 0.001833024375 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 257000.00000000 EUR 285881.15000000 USD 2020-05-14 1958.86000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 3100000.00000000 PA 3352989.81000000 3.137596384447 Long DBT CORP DE N 2 2021-02-12 Fixed 0.01625000 N N N N N N CEMEX FIN LLC 529900USOXVC2TX3H980 N/A 445000.00000000 PA 467477.95000000 0.437447534542 Long DBT CORP US N 2 2024-06-15 Fixed 0.04625000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 224.55000000 0.000210125084 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 96000.00000000 AUD 59285.09000000 USD 2020-05-14 224.55000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC N/A -22341.43000000 -0.02090623412 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 743393.95000000 USD 580000.00000000 GBP 2020-05-14 -22341.43000000 N N N TLG FINANCE SARL 549300VIITIKUS3JVN97 N/A 1300000.00000000 PA 1337509.55000000 1.251588989542 Long EP CORP LU N 2 N N N ASSICURAZIONI GENERALI SPA 549300X5UKJVE386ZB61 N/A 500000.00000000 PA 590280.70000000 0.552361532565 Long EP CORP IT N 2 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC N/A -5006.64000000 -0.00468501738 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 93273.41000000 USD 71000.00000000 GBP 2020-05-14 -5006.64000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A -1302.25000000 -0.00121859448 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 70000.00000000 CAD 48460.95000000 USD 2020-05-14 -1302.25000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 505000.00000000 PA 491521.17000000 0.459946237018 Long EP CORP GB N 2 N N N CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 N/A 800000.00000000 PA 865848.85000000 0.810227401567 Long DBT CORP CH N 2 2025-09-18 Variable 0.05750000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A -8131.42000000 -0.00760906398 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 208092.26000000 USD 181000.00000000 EUR 2020-05-14 -8131.42000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 880000.00000000 PA 887559.00000000 0.830542908624 Long DBT CORP DK N 2 2025-08-27 Variable 0.00500000 N N N N N N LAGARDERE SCA 969500VX2NV2AQQ65G45 N/A 1800000.00000000 PA 1676637.40000000 1.568931533457 Long DBT CORP FR N 2 2026-10-16 Fixed 0.02125000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 1100000.00000000 PA USD 1142751.75000000 1.069342277279 Long DBT CORP US N 2 2025-12-15 Fixed 0.04250000 N N N N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 N/A 1100000.00000000 PA 1091521.60000000 1.021403111781 Long DBT CORP LU N 2 2029-03-12 Fixed 0.01750000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBP9 109000.00000000 PA USD 111155.26000000 0.104014733611 Long DBT CORP US N 2 2027-04-02 Fixed 0.04700000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC N/A 1010.95000000 0.000946007367 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211575.22000000 USD 171000.00000000 GBP 2020-05-14 1010.95000000 N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 N/A 550000.00000000 PA 473362.47000000 0.442954037610 Long EP CORP IE N 2 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC N/A 1389.34000000 0.001300089892 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 102000.00000000 AUD 64141.17000000 USD 2020-05-14 1389.34000000 N N N ENERGIAS DE PORTUGAL SA 529900CLC3WDMGI9VH80 N/A 500000.00000000 PA 489472.53000000 0.458029200039 Long DBT CORP PT N 2 2080-07-20 Variable 0.01700000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 36.00000000 NC USD 407451.60000000 0.381277230006 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES $US 10YR NOTE ULTRA FUT CONTRACT UNDERLYING 2020-06-19 5209673.40000000 USD 407451.60000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 450000.00000000 PA 486931.78000000 0.455651665819 Long DBT CORP DK N 2 2022-05-24 Fixed 0.01375000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAS0 1000000.00000000 PA USD 1023868.46000000 0.958095956231 Long DBT CORP DK N 2 2022-01-12 Fixed 0.05000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 1295000.00000000 NC 76314.44000000 0.071412060457 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2040-06-17 0.00000000 EUR 0.00000000 EUR 1368448.12000000 EUR 76314.44000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC N/A -137.59000000 -0.00012875132 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 145591.29000000 USD 117000.00000000 GBP 2020-05-14 -137.59000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A -5339.88000000 -0.00499685031 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 725640.79000000 USD 652000.00000000 EUR 2020-05-14 -5339.88000000 N N N UNITED KINGDOM,G.B. and N.IRELAND ECTRVYYCEF89VWYS6K36 N/A 385000.00000000 PA 592495.55000000 0.554434102345 Long DBT NUSS GB N 2 2049-01-22 Fixed 0.01750000 N N N N N N GRUMA SAB DE CV 5493000XJLJ6C4T0PG82 N/A 465000.00000000 PA USD 442912.50000000 0.414460149709 Long DBT CORP MX N 2 2024-12-01 Fixed 0.04875000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 15526.17000000 0.014528781063 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 231869.43000000 USD 199000.00000000 GBP 2020-05-14 15526.17000000 N N N AVIVA PLC YF0Y5B0IB8SM0ZFG9G81 N/A 1900000.00000000 PA 2300554.82000000 2.152768989612 Long EP CORP GB N 2 N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 N/A 1900000.00000000 PA 1941154.73000000 1.816456478435 Long EP CORP NL N 2 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 1000000.00000000 PA 926980.83000000 0.867432311302 Long DBT CORP DE N 2 2027-01-20 Fixed 0.01625000 N N N N N N BAYER AG 549300J4U55H3WP1XT59 N/A 1400000.00000000 PA 1360702.87000000 1.273292388926 Long EP CORP DE N 2 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 2159.34000000 0.002020625698 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 65230.78000000 USD 61000.00000000 EUR 2020-05-14 2159.34000000 N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 N/A 400000.00000000 PA 425719.40000000 0.398371520917 Long EP CORP SE N 2 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 N/A 100000.00000000 PA 90162.07000000 0.084370129608 Long DBT CORP MX N 2 2022-11-24 Fixed 0.02500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467Y9 600000.00000000 PA USD 646570.61000000 0.605035423065 Long DBT CORP US N 2 2026-09-08 Fixed 0.04350000 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 N/A 1000000.00000000 PA USD 973364.00000000 0.910835862979 Long DBT CORP NL N 2 2028-03-27 Variable 0.04400000 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 N/A 650000.00000000 PA 784587.62000000 0.734186329004 Long DBT CORP IE N 2 2027-09-19 Variable 0.03125000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 3480.87000000 0.003257261651 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 92000.00000000 CAD 68883.93000000 USD 2020-05-14 3480.87000000 N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 N/A 500000.00000000 PA 496183.68000000 0.464309231047 Long DBT CORP IE N 2 2029-11-19 Variable 0.01875000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC N/A 36075.39000000 0.033757935348 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 543253.01000000 USD 466000.00000000 GBP 2020-05-14 36075.39000000 N N N RCI BANQUE S A 96950001WI712W7PQG45 N/A 780000.00000000 PA 715741.42000000 0.669762754689 Long DBT CORP FR N 2 2027-01-15 Fixed 0.01125000 N N N N N N ILIAD GROUP SA 969500FZ9BTRZS3JNB97 N/A 1700000.00000000 PA 1843161.18000000 1.724757956935 Long DBT CORP FR N 2 2021-11-25 Fixed 0.00625000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GVR2 1013000.00000000 PA USD 1064986.62000000 0.996572718005 Long DBT CORP US N 2 2025-10-21 Fixed 0.04250000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EBH7 200000.00000000 PA USD 191935.68000000 0.179605883029 Long DBT CORP GB N 2 2025-05-07 Variable 0.03932000 N N N N N N NYKREDIT REALKREDIT AS LIU16F6VZJSD6UKHD557 N/A 2762000.00000000 PA 2990080.33000000 2.797999923720 Long DBT CORP DK N 2 2036-06-03 Variable 0.04000000 N N N N N N MONTREAL EXCHANGE (THE) N/A N/A 34.00000000 NC 171039.92000000 0.160052450200 N/A DIR CORP CA N 1 MONTREAL EXCHANGE (THE) N/A Long CANADA, GOVERNMENT OF CANADA BOND FUT UNDERLYING GENERIC IV FOR FUTURES TRADING 2020-06-19 3611879.79000000 CAD 171039.92000000 N N N CHICAGO BOARD OF TRADE N/A N/A 11.00000000 NC USD 176835.56000000 0.165475782849 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UNDERLYING TREASURY 20 YR NOTEGENERIC IV FOR FUTURES TRADING 2020-06-19 1792851.94000000 USD 176835.56000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC N/A -11963.45000000 -0.01119492739 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 297898.07000000 USD 230000.00000000 GBP 2020-05-14 -11963.45000000 N N N VONOVIA FINANCE BV 5299009XLZLD9TALOZ03 N/A 300000.00000000 PA 327561.30000000 0.306519019980 Long EP CORP NL N 2 N N N LONDON CLEARING HOUSE N/A N/A 2176000.00000000 NC 49132.02000000 0.045975817717 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2030-06-17 0.00000000 EUR 0.00000000 EUR 2303679.76000000 EUR 49132.02000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC N/A 4634.39000000 0.004336680435 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 203059.74000000 USD 188000.00000000 EUR 2020-05-14 4634.39000000 N N N 2020-04-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX