NPORT-P false 0000795402 XXXXXXXX S000019674 C000194388 C000055046 C000055047 C000055044 C000055045 Templeton Income Trust 811-04706 0000795402 549300DPTR6CMWVWRC18 300 S.E. 2nd Street Fort Lauderdale 33301-1923 954-527-7500 Templeton International Bond Fund S000019674 CEXYBE8CTL9TICH1IR64 2020-12-31 2020-09-30 N 363612723.86 12120296.38 351492427.48 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 1281434.86000000 AUD IDR BRL EUR SEK USD KRW COP INR MXN GHS SGD NOK JPY ARS CHF N N/A N/A N/A -4825000.00000000 PA USD -19924.88000000 -0.00566865128 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange USD/JPY 1.00000000 98.80000000 USD 2021-02-01 XXXX 16996.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -6723.95000000 -0.00191297151 N/A DFE N/A N 2 UBS BFM8T61CT2L1QCEMIK50 1609669.56000000 EUR 1732012.50000000 CHF 2020-10-13 -6723.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 76911.06000000 0.021881285053 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 35879000.00000000 MXN 1698414.20000000 USD 2020-10-02 76911.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -10414.57000000 -0.00296295714 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 955000000.00000000 KRW 808979.25000000 USD 2021-03-22 -10414.57000000 N N N N/A N/A N/A 1.00000000 NC N/A -85224.56000000 -0.02424648536 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1005086.00000000 EUR 1093734.59000000 USD 2020-10-30 -85224.56000000 N N N N/A N/A N/A -27569000.00000000 PA USD -236550.32000000 -0.06729883818 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/JPY 1.00000000 109.90000000 USD 2021-08-11 XXXX 122012.09000000 N N N Federative Republic of Brazil 254900ZFY40OYEADAP90 N/A 10700000.00000000 PA 1834887.90000000 0.522027718535 Long STIV NUSS BR N 2 2022-01-01 None 0.00000000 N N N N N N N/A N/A N/A 2431000.00000000 PA USD 75506.32000000 0.021481634907 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange USD/MXN 1.00000000 22.45020000 USD 2020-11-09 XXXX 45145.56000000 N N N N/A N/A N/A 1.00000000 NC N/A 7695.50000000 0.002189378603 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1222821.76000000 USD 6912000.00000000 BRL 2020-10-02 7695.50000000 N N N N/A N/A N/A 1300000.00000000 PA USD 8622.18000000 0.002453020129 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Purchased N/A Foreign Exchange USD/MXN 1.00000000 19.43000000 USD 2021-08-30 XXXX 807.88000000 N N N N/A N/A N/A 1.00000000 NC N/A 66084.38000000 0.018801082138 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 19626000.00000000 MXN 952404.06000000 USD 2020-10-08 66084.38000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 60255700.00000000 PA 2677140.49000000 0.761649549378 Long STIV NUSS MX N 2 2021-02-25 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 58246.52000000 0.016571201950 N/A DFE N/A N 2 Standard Chartered Bank U4LOSYZ7YG4W3S5F2G91 16556987.56000000 USD 19373000000.00000000 KRW 2020-11-19 58246.52000000 N N N N/A N/A N/A 1.00000000 NC N/A -18615.58000000 -0.00529615392 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 3033083.26000000 EUR 373739552.00000000 JPY 2021-03-31 -18615.58000000 N N N N/A N/A N/A 1.00000000 NC N/A 10628.82000000 0.003023911518 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 805000.00000000 AUD 586993.93000000 USD 2020-10-23 10628.82000000 N N N Japan 353800WZS8AXZXFUC241 N/A 1248600000.00000000 PA 11844713.14000000 3.369834515332 Long STIV NUSS JP N 2 2021-03-25 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -32836.23000000 -0.00934194521 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 494000000.00000000 JPY 4651337.97000000 USD 2020-10-30 -32836.23000000 N N N N/A N/A N/A -1098560.40000000 PA USD -5744.37000000 -0.00163427987 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written N/A Foreign Exchange USD/AUD 1.00000000 1.51653000 USD 2021-01-22 XXXX 2247.77000000 N N N N/A N/A N/A 1.00000000 NC N/A 330974.13000000 0.094162520761 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 23430000.00000000 AUD 1800946950.00000000 JPY 2021-03-16 330974.13000000 N N N N/A N/A N/A 1.00000000 NC N/A -2894.97000000 -0.00082362229 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2449819.51000000 EUR 302751144.00000000 JPY 2020-10-30 -2894.97000000 N N N Republic of Korea 549300O0QCVSQGPGDT58 N/A 3725000000.00000000 PA 3202051.17000000 0.910987241732 Long DBT NUSS KR N 2 2020-12-10 Fixed 1.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 40843.17000000 0.011619928853 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 2290000.00000000 AUD 177124630.00000000 JPY 2020-12-14 40843.17000000 N N N N/A N/A N/A 1.00000000 NC N/A 42001.20000000 0.011949389721 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 10572641.00000000 BRL 1921704.38000000 USD 2020-12-02 42001.20000000 N N N N/A N/A N/A 1.00000000 NC N/A 4487.88000000 0.001276807023 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 8042000.00000000 MXN 363201.16000000 USD 2021-01-22 4487.88000000 N N N N/A N/A N/A -2431000.00000000 PA USD -233.40000000 -0.00006640256 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 31.74470000 USD 2020-11-09 XXXX 22284.95000000 N N N N/A N/A N/A 1.00000000 NC N/A -5466.95000000 -0.00155535356 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 1498000.00000000 AUD 1067086.82000000 USD 2020-10-29 -5466.95000000 N N N N/A N/A N/A -578000.00000000 PA USD -3961.69000000 -0.00112710536 N/A DFE US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Written N/A Foreign Exchange USD/MXN 1.00000000 30.35750000 USD 2021-06-09 XXXX 2082.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 76.41000000 0.000021738732 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 28538970.00000000 JPY 271196.62000000 USD 2021-02-26 76.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -7106.75000000 -0.00202187855 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1266366.11000000 EUR 1359861.92000000 CHF 2021-01-14 -7106.75000000 N N N N/A N/A N/A -1781000.00000000 PA USD -18352.95000000 -0.00522143538 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 27.24200000 USD 2021-04-09 XXXX 5190.09000000 N N N N/A N/A N/A 4180000.00000000 PA 404.17000000 0.000114986829 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/JPY 1.00000000 81.10000000 AUD 2020-10-30 XXXX -5939.71000000 N N N N/A N/A N/A 1734000.00000000 PA USD 159676.36000000 0.045428108123 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 29.19000000 USD 2024-08-29 XXXX 11982.91000000 N N N N/A N/A N/A 1.00000000 NC N/A 51722.66000000 0.014715156275 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 4632451.54000000 USD 494000000.00000000 JPY 2020-10-30 51722.66000000 N N N N/A N/A N/A 1.00000000 NC N/A 75480.65000000 0.021474331763 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 31060000.00000000 MXN 1460911.45000000 USD 2021-01-22 75480.65000000 N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 153089000.00000000 PA 457118.05000000 0.130050611126 Long DBT NUSS AR N 3 2026-10-17 Fixed 15.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -21621.53000000 -0.00615135015 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2990000.00000000 AUD 223526420.00000000 JPY 2020-10-14 -21621.53000000 N N N N/A N/A N/A -1219000.00000000 PA USD -6889.98000000 -0.00196020723 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 25.43270000 USD 2020-12-07 XXXX 5877.83000000 N N N N/A N/A N/A 578000.00000000 PA USD 31477.78000000 0.008955464624 N/A DFE US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased N/A Foreign Exchange USD/MXN 1.00000000 22.83100000 USD 2021-06-09 XXXX -1105.84000000 N N N N/A N/A N/A 13785000.00000000 PA USD 22687.43000000 0.006454599936 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange USD/JPY 1.00000000 103.60000000 USD 2020-10-29 XXXX -47671.21000000 N N N N/A N/A N/A 3658000.00000000 PA USD 46018.15000000 0.013092216617 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 23.97050000 USD 2020-12-07 XXXX -20904.96000000 N N N N/A N/A N/A -1219000.00000000 PA USD -20610.41000000 -0.00586368535 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 23.45950000 USD 2020-12-07 XXXX 6654.96000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 2960000.00000000 PA 521872.10000000 0.148473212848 Long DBT NUSS GH N 2 2022-01-24 Fixed 18.75000100 N N N N N N N/A N/A N/A 2376358.60000000 PA USD 28634.79000000 0.008146630698 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.44885500 USD 2021-01-22 XXXX -9637.26000000 N N N N/A N/A N/A 5552000.00000000 PA 85053.76000000 0.024197892571 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 71.44000000 AUD 2021-06-21 XXXX -89715.38000000 N N N N/A N/A N/A 1.00000000 NC N/A 32586.84000000 0.009270993470 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 223125000.00000000 JPY 3000000.00000000 AUD 2020-10-14 32586.84000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 230620000.00000000 PA 10772314.08000000 3.064735748997 Long DBT NUSS MX N 2 2021-12-09 Fixed 7.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -44897.20000000 -0.01277330505 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 1897151.46000000 EUR 19538004.00000000 SEK 2020-12-14 -44897.20000000 N N N N/A N/A N/A 1.00000000 NC N/A -7094.51000000 -0.00201839625 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1265372.15000000 EUR 1359870.14000000 CHF 2020-10-14 -7094.51000000 N N N N/A N/A N/A -1494125.20000000 PA USD -6646.07000000 -0.00189081456 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange USD/AUD 1.00000000 1.38007200 USD 2020-10-21 XXXX 8556.56000000 N N N N/A N/A N/A -578000.00000000 PA USD -3403.81000000 -0.00096838786 N/A DFE US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Written N/A Foreign Exchange USD/MXN 1.00000000 19.60850000 USD 2021-06-09 XXXX -176.00000000 N N N N/A N/A N/A -9194000.00000000 PA USD -93935.25000000 -0.02672468669 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange USD/JPY 1.00000000 98.00000000 USD 2021-08-11 XXXX 1314.59000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 50000.00000000 PA 9165.42000000 0.002607572534 Long DBT NUSS GH N 2 2021-06-21 Fixed 24.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -58162.35000000 -0.01654725548 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 781000.00000000 EUR 858404.91000000 USD 2020-11-23 -58162.35000000 N N N N/A N/A N/A 2220000.00000000 PA 24728.44000000 0.007035269629 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 69.20000000 AUD 2021-06-24 XXXX -5214.69000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 119018000.00000000 PA 5557900.11000000 1.581228975499 Long DBT NUSS MX N 2 2022-06-09 Fixed 6.50000200 N N N N N N N/A N/A N/A 1.00000000 NC N/A -9937.34000000 -0.00282718466 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 150402430.00000000 JPY 1416085.40000000 USD 2020-10-23 -9937.34000000 N N N N/A N/A N/A 1301000.00000000 PA USD 11631.00000000 0.003309032881 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Purchased N/A Foreign Exchange USD/MXN 1.00000000 19.88000000 USD 2021-08-11 XXXX 3798.98000000 N N N Republic of Colombia 549300MHDRBVRF6B9117 N/A 11789100000.00000000 PA 3296210.15000000 0.937775579870 Long DBT NUSS CO N 2 2022-05-04 Fixed 7.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 51462.25000000 0.014641069330 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 12406827.00000000 BRL 2257264.21000000 USD 2020-12-02 51462.25000000 N N N N/A N/A N/A 1.00000000 NC N/A -40710.47000000 -0.01158217555 N/A DFE N/A N 2 UBS BFM8T61CT2L1QCEMIK50 1318138.71000000 EUR 1385634.00000000 CHF 2020-11-09 -40710.47000000 N N N N/A N/A N/A 13785000.00000000 PA USD 32871.11000000 0.009351868612 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/JPY 1.00000000 110.80000000 USD 2021-02-24 XXXX -25246.45000000 N N N N/A N/A N/A 1.00000000 NC N/A -11562.86000000 -0.00328964697 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 1739995.00000000 AUD 130187295.00000000 JPY 2020-10-13 -11562.86000000 N N N N/A N/A N/A 1.00000000 NC N/A -38716.91000000 -0.01101500543 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 2818495.69000000 EUR 29307000.00000000 SEK 2021-03-15 -38716.91000000 N N N N/A N/A N/A -3611000.00000000 PA -19971.83000000 -0.00568200861 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange AUD/JPY 1.00000000 66.00000000 AUD 2021-04-29 XXXX 33040.42000000 N N N N/A N/A N/A -1135000.00000000 PA USD -13704.64000000 -0.00389898584 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Written N/A Foreign Exchange USD/MXN 1.00000000 23.68000000 USD 2020-11-25 XXXX -1045.98000000 N N N N/A N/A N/A 1.00000000 NC N/A -8880.20000000 -0.00252642711 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 9625600.00000000 BRL 1703284.26000000 USD 2020-11-04 -8880.20000000 N N N N/A N/A N/A 1657976.50000000 PA USD 15235.28000000 0.004334454687 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.33958500 USD 2021-02-08 XXXX 10465.86000000 N N N N/A N/A N/A 1.00000000 NC N/A -35756.80000000 -0.01017285073 N/A DFE N/A N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 5500000.00000000 AUD 411596350.00000000 JPY 2020-10-13 -35756.80000000 N N N N/A N/A N/A -4990000.00000000 PA -75285.72000000 -0.02141887395 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange AUD/JPY 1.00000000 75.70000000 AUD 2020-12-21 XXXX 7448.19000000 N N N N/A N/A N/A 1.00000000 NC N/A -10026.56000000 -0.00285256785 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 2761000.00000000 AUD 1967356.07000000 USD 2021-01-27 -10026.56000000 N N N N/A N/A N/A 1.00000000 NC N/A 40051.11000000 0.011394586872 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 5362214.37000000 AUD 408505823.00000000 JPY 2021-02-22 40051.11000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 9325500.00000000 PA 420483.98000000 0.119628176064 Long STIV NUSS MX N 2 2020-10-22 None 0.00000000 N N N N N N N/A N/A N/A -2148300.00000000 PA USD -13253.31000000 -0.00377058194 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written N/A Foreign Exchange USD/AUD 1.00000000 1.29032300 USD 2021-05-05 XXXX 21993.81000000 N N N N/A N/A N/A 1.00000000 NC N/A -3619.43000000 -0.00102973199 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 48798.00000000 EUR 53649.01000000 USD 2020-11-23 -3619.43000000 N N N N/A N/A N/A 2791123.20000000 PA USD 23128.33000000 0.006580036493 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.47754100 USD 2021-01-21 XXXX -14735.10000000 N N N N/A N/A N/A 834540.75000000 PA USD 413.01000000 0.000117501820 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.33067200 USD 2020-10-28 XXXX -3368.50000000 N N N N/A N/A N/A 1.00000000 NC N/A 182329.07000000 0.051872830179 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 12656749.00000000 BRL 2433662.58000000 USD 2020-11-04 182329.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 6980.17000000 0.001985866395 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 1193566.19000000 USD 6743649.00000000 BRL 2020-10-02 6980.17000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 23888100.00000000 PA 1057810.30000000 0.300948247330 Long STIV NUSS MX N 2 2021-03-25 None 0.00000000 N N N N N N Federative Republic of Brazil 254900ZFY40OYEADAP90 N/A 1269000.00000000 PA 230411.49000000 0.065552333986 Long DBT NUSS BR N 2 2021-01-01 Fixed 9.99999800 N N N N N N N/A N/A N/A 4441000.00000000 PA 49468.01000000 0.014073705756 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 69.20000000 AUD 2021-06-24 XXXX -56693.03000000 N N N N/A N/A N/A 2499000.00000000 PA 16234.65000000 0.004618776602 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 68.50000000 AUD 2021-03-24 XXXX -26601.09000000 N N N Republic of India N/A N/A 19100000.00000000 PA 274563.01000000 0.078113492221 Long DBT NUSS IN N 2 2023-05-20 Fixed 7.16000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 15505.05000000 0.004411204563 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 8946292.54000000 AUD 677024107.00000000 JPY 2020-11-24 15505.05000000 N N N N/A N/A N/A -1463000.00000000 PA USD -35710.84000000 -0.01015977506 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 27.92840000 USD 2021-12-07 XXXX 2037.49000000 N N N N/A N/A N/A -1419000.00000000 PA USD -19228.18000000 -0.00547043933 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 25.86850000 USD 2021-03-24 XXXX 24870.08000000 N N N N/A N/A N/A 1.00000000 NC N/A 44710.73000000 0.012720254123 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 80924000.00000000 MXN 3673421.22000000 USD 2020-12-08 44710.73000000 N N N Japan 353800WZS8AXZXFUC241 N/A 165600000.00000000 PA 1570664.08000000 0.446855737763 Long STIV NUSS JP N 2 2021-02-10 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 45399.39000000 0.012916178685 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2449809.55000000 EUR 308141454.00000000 JPY 2021-02-26 45399.39000000 N N N N/A N/A N/A 1.00000000 NC N/A 105382.08000000 0.029981322999 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 32372000.00000000 MXN 1566422.47000000 USD 2020-10-13 105382.08000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 14460000.00000000 PA 11516620.10000000 3.276491667990 Long DBT NUSS SG N 2 2025-06-01 Fixed 2.37500000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 50000.00000000 PA 8414.53000000 0.002393943465 Long DBT NUSS GH N 2 2023-09-18 Fixed 19.00000100 N N N N N N United Mexican States 254900EGTWEU67VP6075 N/A 95838000.00000000 PA 4388800.70000000 1.248618848339 Long DBT NUSS MX N 2 2021-06-10 Fixed 6.50000200 N N N N N N N/A N/A N/A 2016741.00000000 PA USD 29208.10000000 0.008309738053 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.45878900 USD 2021-03-22 XXXX -7435.66000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 16574800.00000000 PA 746116.20000000 0.212270917285 Long STIV NUSS MX N 2 2020-11-05 None 0.00000000 N N N N N N N/A N/A N/A -4164000.00000000 PA -62961.77000000 -0.01791269600 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange AUD/JPY 1.00000000 78.00000000 AUD 2021-06-21 XXXX -14038.50000000 N N N N/A N/A N/A -946000.00000000 PA USD -9938.83000000 -0.00282760856 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange USD/MXN 1.00000000 20.23600000 USD 2021-06-30 XXXX -4023.49000000 N N N N/A N/A N/A 1.00000000 NC N/A -112792.37000000 -0.03208955902 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 4307285.00000000 EUR 520745157.00000000 JPY 2020-10-02 -112792.37000000 N N N N/A N/A N/A 1.00000000 NC N/A 10167.41000000 0.002892639842 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 1425000.00000000 EUR 1681642.50000000 USD 2020-10-29 10167.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -47817.47000000 -0.01360412522 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 1900158.50000000 EUR 19537999.72000000 SEK 2020-11-17 -47817.47000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 8740000.00000000 PA 1410439.45000000 0.401271646195 Long DBT NUSS GH N 2 2032-03-15 Fixed 19.75000100 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 280000.00000000 PA 51497.85000000 0.014651197571 Long DBT NUSS GH N 2 2021-07-19 Fixed 24.75000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 N/A 192279000000.00000000 PA 13351631.50000000 3.798554522418 Long DBT NUSS ID N 2 2025-06-15 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 90076.14000000 0.025626765460 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 43647100.00000000 MXN 2024448.05000000 USD 2021-03-17 90076.14000000 N N N N/A N/A N/A 1.00000000 NC N/A 30402.97000000 0.008649679942 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 52377100.00000000 MXN 2339830.14000000 USD 2021-04-30 30402.97000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 130000.00000000 PA 22230.89000000 0.006324713781 Long DBT NUSS GH N 2 2022-11-28 Fixed 17.59999900 N N N N N N N/A N/A N/A 1.00000000 NC N/A -195803.91000000 -0.05570643766 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 13355000000.00000000 KRW 11262438.86000000 USD 2021-03-08 -195803.91000000 N N N N/A N/A N/A -4441000.00000000 PA -53420.30000000 -0.01519813680 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange AUD/JPY 1.00000000 76.95000000 AUD 2021-01-22 XXXX -6043.43000000 N N N N/A N/A N/A -1186217.90000000 PA USD -17916.25000000 -0.00509719373 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written N/A Foreign Exchange USD/AUD 1.00000000 1.40193500 USD 2020-11-05 XXXX 28304.72000000 N N N Japan 353800WZS8AXZXFUC241 N/A 225000000.00000000 PA 2132875.43000000 0.606805513646 Long STIV NUSS JP N 2 2020-10-12 None 0.00000000 N N N N N N Republic of India N/A N/A 82200000.00000000 PA 1265728.58000000 0.360101237194 Long DBT NUSS IN N 2 2024-11-14 Fixed 9.15000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 N/A 686000000.00000000 PA 53455.44000000 0.015208134178 Long DBT NUSS ID N 2 2024-09-15 Fixed 10.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 71794.78000000 0.020425697507 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 18129572.57000000 USD 1918000000.00000000 JPY 2020-12-18 71794.78000000 N N N N/A N/A N/A 1.00000000 NC N/A -22203.52000000 -0.00631692698 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 1879213.97000000 EUR 19537999.72000000 SEK 2020-10-15 -22203.52000000 N N N N/A N/A N/A 1.00000000 NC N/A 100688.37000000 0.028645957104 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 6743649.00000000 BRL 1301234.73000000 USD 2020-10-02 100688.37000000 N N N N/A N/A N/A 1.00000000 NC N/A -114264.63000000 -0.03250841869 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 19127000.00000000 MXN 749519.97000000 USD 2020-10-08 -114264.63000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 18431500.00000000 PA 821542.33000000 0.233729738045 Long STIV NUSS MX N 2 2021-01-28 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -64122.85000000 -0.01824302459 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 807000.00000000 EUR 883035.54000000 USD 2020-11-27 -64122.85000000 N N N N/A N/A N/A 1.00000000 NC N/A 54504.27000000 0.015506527520 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2682455.42000000 AUD 208330217.00000000 JPY 2020-10-14 54504.27000000 N N N Republic of India N/A N/A 82000000.00000000 PA 1183435.61000000 0.336688792553 Long DBT NUSS IN N 2 2022-06-11 Fixed 8.15000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 9058.12000000 0.002577045561 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 1704551.09000000 USD 9625600.00000000 BRL 2020-10-02 9058.12000000 N N N N/A N/A N/A 1.00000000 NC N/A 24099.72000000 0.006856398066 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 68408000.00000000 MXN 3061281.11000000 USD 2021-03-02 24099.72000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 1510000.00000000 PA 263136.13000000 0.074862531715 Long DBT NUSS GH N 2 2021-05-17 Fixed 16.25000100 N N N N N N N/A N/A N/A 1.00000000 NC N/A 53164.31000000 0.015125307359 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 3273545.91000000 EUR 410956043.00000000 JPY 2021-02-24 53164.31000000 N N N N/A N/A N/A 624000.00000000 PA 234.90000000 0.000066829320 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 66.78000000 AUD 2020-11-12 XXXX -9442.68000000 N N N N/A N/A N/A 1.00000000 NC N/A 15009.88000000 0.004270328128 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1814738.38000000 USD 192605080.00000000 JPY 2021-02-26 15009.88000000 N N N Republic of Indonesia 529900FWX0GRR7WG5W79 N/A 1060000000.00000000 PA 86623.66000000 0.024644530928 Long DBT NUSS ID N 2 2025-09-15 Fixed 11.00000000 N N N N N N Kingdom of Norway 549300O6E2WAK3IAXE34 N/A 12526000.00000000 PA 1429490.87000000 0.406691797103 Long DBT NUSS NO N 2 2025-03-13 Fixed 1.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -68787.88000000 -0.01957023099 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 810000.00000000 EUR 881336.70000000 USD 2020-10-30 -68787.88000000 N N N Republic of India N/A N/A 51000000.00000000 PA 741950.52000000 0.211085776532 Long DBT NUSS IN N 2 2022-09-21 Fixed 8.13000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 N/A 57000000.00000000 PA 15122.24000000 0.004302294677 Long DBT NUSS CO N 2 2023-03-21 Fixed 4.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1352.33000000 0.000384739440 N/A DFE N/A N 2 Standard Chartered Bank U4LOSYZ7YG4W3S5F2G91 18025000.00000000 SGD 13212484.61000000 USD 2021-03-08 1352.33000000 N N N N/A N/A N/A -1537376.20000000 PA USD -75474.86000000 -0.02147268450 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Written N/A Foreign Exchange USD/AUD 1.00000000 1.44466900 USD 2021-02-08 XXXX -47288.54000000 N N N N/A N/A N/A 1.00000000 NC N/A -174463.82000000 -0.04963515750 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 3273651.18000000 EUR 386673856.00000000 JPY 2020-11-24 -174463.82000000 N N N Republic of India N/A N/A 156700000.00000000 PA 2362913.25000000 0.672251538088 Long DBT NUSS IN N 2 2023-11-25 Fixed 8.83000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -821169.19000000 -0.23362357928 N/A DFE N/A N 2 Standard Chartered Bank U4LOSYZ7YG4W3S5F2G91 19373000000.00000000 KRW 15794064.89000000 USD 2020-11-19 -821169.19000000 N N N N/A N/A N/A 1.00000000 NC N/A -3588.23000000 -0.00102085556 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1682519.64000000 EUR 1813150.46000000 CHF 2020-11-12 -3588.23000000 N N N N/A N/A N/A -800559.45000000 PA USD -6259.17000000 -0.00178074106 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange USD/AUD 1.00000000 1.38715500 USD 2020-10-28 XXXX 5242.93000000 N N N Kingdom of Norway 549300O6E2WAK3IAXE34 N/A 39383000.00000000 PA 4325154.86000000 1.230511533636 Long DBT NUSS NO N 2 2021-05-25 Fixed 3.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 256049.26000000 0.072846309047 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 66237000.00000000 MXN 3244414.84000000 USD 2020-10-16 256049.26000000 N N N N/A N/A N/A -4180000.00000000 PA -9334.68000000 -0.00265572719 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange AUD/JPY 1.00000000 77.45000000 AUD 2020-10-30 XXXX 28442.01000000 N N N N/A N/A N/A 1.00000000 NC N/A -33995.18000000 -0.00967166782 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 937500000.00000000 JPY 8862658.57000000 USD 2020-12-18 -33995.18000000 N N N N/A N/A N/A 1.00000000 NC N/A 15579.67000000 0.004432434038 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 1160000.00000000 AUD 89077560.00000000 JPY 2021-03-17 15579.67000000 N N N N/A N/A N/A -1301000.00000000 PA USD -23608.34000000 -0.00671659989 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Written N/A Foreign Exchange USD/MXN 1.00000000 27.38000000 USD 2021-08-11 XXXX 3933.83000000 N N N Letras de la Nacion Argentina con Ajuste por CER 549300KPBYGYF7HCHO27 N/A 50886671.30000000 PA 351530.83000000 0.100010925561 Long STIV NUSS AR N 3 2020-12-04 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -19309.31000000 -0.00549352090 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 473306.50000000 EUR 535688.30000000 USD 2020-10-16 -19309.31000000 N N N N/A N/A N/A 1.00000000 NC N/A 48684.34000000 0.013850750739 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 14740000.00000000 MXN 714268.41000000 USD 2020-10-09 48684.34000000 N N N Republic of Indonesia 529900FWX0GRR7WG5W79 N/A 25026000000.00000000 PA 1832885.40000000 0.521458004981 Long DBT NUSS ID N 2 2024-03-15 Fixed 8.37500000 N N N N N N Republic of India N/A N/A 43400000.00000000 PA 636276.68000000 0.181021447478 Long DBT NUSS IN N 2 2023-12-15 Fixed 7.68000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 45426.96000000 0.012924022382 N/A DFE N/A N 2 UBS BFM8T61CT2L1QCEMIK50 2528160.12000000 EUR 2771268.00000000 CHF 2020-11-09 45426.96000000 N N N N/A N/A N/A 1.00000000 NC N/A -13775.44000000 -0.00391912852 N/A DFE N/A N 2 UBS BFM8T61CT2L1QCEMIK50 3222985.14000000 EUR 3464145.00000000 CHF 2021-02-10 -13775.44000000 N N N N/A N/A N/A 1464000.00000000 PA USD 17086.84000000 0.004861225637 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange USD/MXN 1.00000000 20.66200000 USD 2021-03-24 XXXX -1226.34000000 N N N N/A N/A N/A -1892000.00000000 PA USD -22423.93000000 -0.00637963388 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 28.40070000 USD 2021-06-30 XXXX 21073.15000000 N N N N/A N/A N/A 1.00000000 NC N/A -84143.48000000 -0.02393891686 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 989467.66000000 EUR 1077005.86000000 USD 2020-11-20 -84143.48000000 N N N N/A N/A N/A 578000.00000000 PA USD 30106.27000000 0.008565268451 N/A DFE US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 22.83100000 USD 2021-06-09 XXXX -2477.35000000 N N N N/A N/A N/A 1.00000000 NC N/A 173167.52000000 0.049266358664 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 21107900.00000000 BRL 3930927.24000000 USD 2020-10-02 173167.52000000 N N N N/A N/A N/A 1.00000000 NC N/A -45439.94000000 -0.01292771520 N/A DFE N/A N 2 Standard Chartered Bank U4LOSYZ7YG4W3S5F2G91 153361000.00000000 INR 2033358.75000000 USD 2020-10-26 -45439.94000000 N N N N/A N/A N/A 2905068.00000000 PA USD 15517.41000000 0.004414720997 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.52905200 USD 2021-02-08 XXXX -32139.35000000 N N N N/A N/A N/A 1.00000000 NC N/A -14306.93000000 -0.00407033804 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 6821235.54000000 EUR 74475000.00000000 NOK 2020-10-01 -14306.93000000 N N N N/A N/A N/A 1.00000000 NC N/A 9730.97000000 0.002768472160 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 974000.00000000 AUD 707318.80000000 USD 2021-02-12 9730.97000000 N N N N/A N/A N/A -3696000.00000000 PA USD -57387.37000000 -0.01632677278 N/A DFE US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Written N/A Foreign Exchange USD/MXN 1.00000000 22.02300000 USD 2020-10-23 XXXX -2288.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 3612.40000000 0.001027731955 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 65586000.00000000 MXN 2912370.45000000 USD 2021-03-11 3612.40000000 N N N N/A N/A N/A 1247000.00000000 PA 54.15000000 0.000015405737 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/JPY 1.00000000 84.33000000 AUD 2020-11-12 XXXX -8277.92000000 N N N N/A N/A N/A 4441000.00000000 PA 362.00000000 0.000102989416 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/JPY 1.00000000 80.40000000 AUD 2020-10-22 XXXX -12100.73000000 N N N N/A N/A N/A 1.00000000 NC N/A -38678.56000000 -0.01100409481 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 724793.00000000 EUR 810985.38000000 USD 2020-10-05 -38678.56000000 N N N N/A N/A N/A 1958000.00000000 PA USD 12125.23000000 0.003449641884 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 28.75400000 USD 2021-03-30 XXXX -79019.67000000 N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 129039105.40000000 PA 842772.98000000 0.239769882396 Long DBT NUSS AR N 3 2023-03-25 Fixed 1.40000000 N N N N N N N/A N/A N/A -5514000.00000000 PA USD -42218.52000000 -0.01201121751 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/JPY 1.00000000 107.65000000 USD 2021-02-01 XXXX 12998.68000000 N N N N/A N/A N/A 4863000.00000000 PA USD 4826.58000000 0.001373167562 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 26.71530000 USD 2020-11-09 XXXX -143062.11000000 N N N N/A N/A N/A -966455.10000000 PA USD -5122.48000000 -0.00145735145 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written N/A Foreign Exchange USD/AUD 1.00000000 1.51998800 USD 2021-01-27 XXXX 1991.55000000 N N N N/A N/A N/A 1.00000000 NC N/A 523.78000000 0.000149016012 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 206531830.00000000 JPY 1962829.17000000 USD 2021-03-08 523.78000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 180000.00000000 PA 32373.93000000 0.009210420330 Long DBT NUSS GH N 2 2021-03-01 Fixed 24.75000000 N N N N N N N/A N/A N/A 1484072.20000000 PA USD 709.56000000 0.000201870636 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.49655800 USD 2020-10-28 XXXX -17917.20000000 N N N N/A N/A N/A -1135000.00000000 PA USD -14505.63000000 -0.00412686842 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange USD/MXN 1.00000000 21.37250000 USD 2020-11-25 XXXX -986.64000000 N N N N/A N/A N/A 1.00000000 NC N/A -179962.31000000 -0.05119948423 N/A DFE N/A N 2 Standard Chartered Bank U4LOSYZ7YG4W3S5F2G91 5904297.08000000 SGD 4146217.81000000 USD 2020-11-19 -179962.31000000 N N N N/A N/A N/A 1848000.00000000 PA USD 79150.38000000 0.022518374170 N/A DFE US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased N/A Foreign Exchange USD/MXN 1.00000000 22.95000000 USD 2020-10-23 XXXX 10709.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 34219.60000000 0.009735515568 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 61493000.00000000 MXN 2785248.73000000 USD 2020-12-28 34219.60000000 N N N N/A N/A N/A -5416000.00000000 PA -259414.41000000 -0.07380369809 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange AUD/JPY 1.00000000 71.75000000 AUD 2021-04-29 XXXX -158726.09000000 N N N Republic of Colombia 549300MHDRBVRF6B9117 N/A 378000000.00000000 PA 101155.37000000 0.028778819141 Long DBT NUSS CO N 2 2021-04-14 Fixed 7.75000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 21870000.00000000 PA 16017472.76000000 4.556989427862 Long DBT NUSS AU N 2 2021-12-21 Fixed 2.00000000 N N N N N N N/A N/A N/A 797835.66000000 PA USD 19483.00000000 0.005542935914 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.39627800 USD 2021-01-22 XXXX -2591.24000000 N N N N/A N/A N/A 1.00000000 NC N/A 82152.94000000 0.023372605944 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 6712936.88000000 EUR 74475000.00000000 NOK 2021-03-31 82152.94000000 N N N N/A N/A N/A -1300000.00000000 PA USD -25233.90000000 -0.00717907358 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange USD/MXN 1.00000000 20.93750000 USD 2021-08-30 XXXX -1536.20000000 N N N N/A N/A N/A 5552000.00000000 PA 14877.57000000 0.004232685781 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 58.95000000 AUD 2021-06-21 XXXX -31569.42000000 N N N N/A N/A N/A 27570000.00000000 PA USD 11961.38000000 0.003403026371 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/JPY 1.00000000 115.00000000 USD 2021-02-24 XXXX -61043.98000000 N N N N/A N/A N/A -27570000.00000000 PA USD -301733.79000000 -0.08584361039 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/JPY 1.00000000 107.00000000 USD 2021-02-24 XXXX 45151.95000000 N N N N/A N/A N/A 3749000.00000000 PA 21521.50000000 0.006122891509 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/JPY 1.00000000 79.00000000 AUD 2021-01-22 XXXX -645.07000000 N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 37825031.40000000 PA 260481.61000000 0.074107317721 Long DBT NUSS AR N 3 2021-04-17 Fixed 1.10000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 N/A 266398000.00000000 PA 12673017.71000000 3.605488118437 Long DBT NUSS MX N 2 2023-03-09 Fixed 6.75000000 N N N N N N N/A N/A N/A 3053376.00000000 PA USD 2479.13000000 0.000705315337 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.54321000 USD 2020-11-19 XXXX -101995.10000000 N N N N/A N/A N/A 1.00000000 NC N/A -51074.82000000 -0.01453084505 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 805870800.00000000 JPY 7596448.89000000 USD 2020-12-18 -51074.82000000 N N N N/A N/A N/A -1155798.50000000 PA USD -1299.43000000 -0.00036968932 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Written N/A Foreign Exchange USD/AUD 1.00000000 1.46305800 USD 2020-10-26 XXXX 6452.84000000 N N N N/A N/A N/A 1.00000000 NC N/A 1591.44000000 0.000452766510 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 1617000.00000000 SGD 1186745.44000000 USD 2021-03-08 1591.44000000 N N N Republic of Korea 549300O0QCVSQGPGDT58 N/A 18495000000.00000000 PA 16445935.84000000 4.678887667056 Long DBT NUSS KR N 2 2026-06-10 Fixed 1.87500000 N N N N N N N/A N/A N/A -8328000.00000000 PA -49432.18000000 -0.01406351208 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange AUD/JPY 1.00000000 64.86000000 AUD 2021-06-21 XXXX 79406.89000000 N N N Republic of India N/A N/A 12000000.00000000 PA 171314.39000000 0.048739141047 Long DBT NUSS IN N 2 2022-12-19 Fixed 6.84000000 N N N N N N N/A N/A N/A -1429997.00000000 PA USD -2443.36000000 -0.00069513873 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Written N/A Foreign Exchange USD/AUD 1.00000000 1.44196100 USD 2020-10-21 XXXX 12164.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -1972753.39000000 -0.56125060905 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 28210000.00000000 AUD 18226481.00000000 USD 2020-11-19 -1972753.39000000 N N N N/A N/A N/A 1.00000000 NC N/A 8091.49000000 0.002302038214 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 16778900.00000000 MXN 749355.77000000 USD 2021-04-13 8091.49000000 N N N N/A N/A N/A -1891000.00000000 PA USD -21628.68000000 -0.00615338434 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 28.23540000 USD 2021-06-18 XXXX 22049.64000000 N N N N/A N/A N/A -1268000.00000000 PA USD -20056.39000000 -0.00570606602 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange USD/JPY 1.00000000 104.77850000 USD 2021-02-01 XXXX 8170.56000000 N N N N/A N/A N/A -775025.40000000 PA USD -4896.07000000 -0.00139293754 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written N/A Foreign Exchange USD/AUD 1.00000000 1.54059500 USD 2021-03-22 XXXX 1846.35000000 N N N N/A N/A N/A 374000.00000000 PA 340.12000000 0.000096764531 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 69.18000000 AUD 2020-11-12 XXXX -7134.48000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 360000.00000000 PA 62850.67000000 0.017881087922 Long DBT NUSS GH N 2 2021-03-22 Fixed 16.50000100 N N N N N N N/A N/A N/A 3202164.00000000 PA USD 30934.64000000 0.008800940669 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.47275400 USD 2021-02-02 XXXX -14828.64000000 N N N Japan 353800WZS8AXZXFUC241 N/A 1495900000.00000000 PA 14184278.22000000 4.035443472194 Long STIV NUSS JP N 2 2020-12-14 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2037.96000000 -0.00057980196 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 189210.72000000 USD 19695795.00000000 JPY 2021-03-24 -2037.96000000 N N N N/A N/A N/A 4990000.00000000 PA 4133.14000000 0.001175883085 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/JPY 1.00000000 82.15000000 AUD 2020-12-21 XXXX -8776.65000000 N N N N/A N/A N/A 1.00000000 NC N/A -3502.91000000 -0.00099658192 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1683812.71000000 EUR 1813163.20000000 CHF 2021-02-12 -3502.91000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 113932000.00000000 PA 5653399.86000000 1.608398764244 Long DBT NUSS MX N 2 2023-12-07 Fixed 7.99999900 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 N/A 91000000.00000000 PA 30639.20000000 0.008716887649 Long DBT NUSS CO N 2 2027-06-28 Fixed 9.85000000 N N N N N N N/A N/A N/A -1313081.60000000 PA USD -3747.40000000 -0.00106613961 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Written N/A Foreign Exchange USD/AUD 1.00000000 1.57035200 USD 2021-01-21 XXXX 2675.73000000 N N N N/A N/A N/A 1.00000000 NC N/A -14760.47000000 -0.00419937069 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 266126714.00000000 JPY 2508688.69000000 USD 2020-10-30 -14760.47000000 N N N N/A N/A N/A 1.00000000 NC N/A -26640.50000000 -0.00757925289 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 3273736.28000000 EUR 402682657.00000000 JPY 2021-03-25 -26640.50000000 N N N N/A N/A N/A 9650000.00000000 PA USD 86093.06000000 0.024493574617 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange USD/JPY 1.00000000 102.30000000 USD 2021-02-01 XXXX -50772.89000000 N N N N/A N/A N/A 1.00000000 NC N/A 35516.30000000 0.010104428210 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 2487932.86000000 USD 266126714.00000000 JPY 2020-10-30 35516.30000000 N N N N/A N/A N/A 1.00000000 NC N/A 46844.94000000 0.013327439323 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 10770000.00000000 BRL 1962570.84000000 USD 2020-11-04 46844.94000000 N N N N/A N/A N/A 1.00000000 NC N/A -1939.71000000 -0.00055184972 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 188877.76000000 USD 19695795.00000000 JPY 2020-12-24 -1939.71000000 N N N N/A N/A N/A 1.00000000 NC N/A 43691.70000000 0.012430338916 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 2481960.27000000 EUR 2719732.06000000 CHF 2020-11-12 43691.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 54561.46000000 0.015522798141 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 3273756.45000000 EUR 410833518.00000000 JPY 2020-11-24 54561.46000000 N N N N/A N/A N/A 1891000.00000000 PA USD 37240.64000000 0.010595004924 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 26.08940000 USD 2021-06-18 XXXX -32628.03000000 N N N Republic of India N/A N/A 110000000.00000000 PA 1569596.15000000 0.446551910450 Long DBT NUSS IN N 2 2021-11-08 Fixed 8.79000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2587.49000000 -0.00073614388 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 709000.00000000 AUD 505049.77000000 USD 2020-10-29 -2587.49000000 N N N Republic of Korea 549300O0QCVSQGPGDT58 N/A 1485100000.00000000 PA 1292376.29000000 0.367682541346 Long DBT NUSS KR N 2 2024-09-10 Fixed 1.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 45970.09000000 0.013078543492 N/A DFE N/A N 2 Banco Santander 549300T3TP2IYV4PHY98 163836510.98000000 MXN 7390009.52000000 USD 2020-12-11 45970.09000000 N N N N/A N/A N/A -1301000.00000000 PA USD -33982.67000000 -0.00966810871 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange USD/MXN 1.00000000 21.43000000 USD 2021-08-11 XXXX -9823.10000000 N N N Institutional Fiduciary Trust - Money Market Portfolio N/A 457756500 53500881.07100000 NS USD 53500881.07000000 15.22106221564 Long STIV RF US N 1 N N N N/A N/A N/A -4425449.80000000 PA USD -80300.59000000 -0.02284561023 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange USD/AUD 1.00000000 1.35263100 USD 2021-05-12 XXXX -28368.14000000 N N N N/A N/A N/A 1.00000000 NC N/A -19481.45000000 -0.00554249493 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2655089.17000000 AUD 198461277.00000000 JPY 2020-10-13 -19481.45000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 5500000.00000000 PA 4253892.08000000 1.210237190740 Long DBT NUSS SG N 2 2022-09-01 Fixed 3.12500000 N N N N N N Republic of Korea 549300O0QCVSQGPGDT58 N/A 59376400000.00000000 PA 50691710.57000000 14.42184997652 Long DBT NUSS KR N 2 2029-12-10 Fixed 1.37500000 N N N N N N N/A N/A N/A -1300000.00000000 PA USD -29899.14000000 -0.00850633972 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Written N/A Foreign Exchange USD/MXN 1.00000000 26.60500000 USD 2021-08-30 XXXX -3640.44000000 N N N N/A N/A N/A 7222000.00000000 PA 87885.65000000 0.025003568534 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 71.00000000 AUD 2021-04-29 XXXX -102127.03000000 N N N N/A N/A N/A 1.00000000 NC N/A 23172.25000000 0.006592531784 N/A DFE N/A N 2 Standard Chartered Bank U4LOSYZ7YG4W3S5F2G91 2980968.33000000 USD 4100000.00000000 SGD 2020-11-19 23172.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 91980.74000000 0.026168626351 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 9625600.00000000 BRL 1805589.95000000 USD 2020-10-02 91980.74000000 N N N N/A N/A N/A 1.00000000 NC N/A -16363.37000000 -0.00465539759 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 396000.00000000 EUR 447984.90000000 USD 2020-10-16 -16363.37000000 N N N Republic of Colombia 549300MHDRBVRF6B9117 N/A 4505000000.00000000 PA 1447138.29000000 0.411712508396 Long DBT NUSS CO N 2 2024-07-24 Fixed 10.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 27323.74000000 0.007773635465 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 3493966.50000000 EUR 4138498.50000000 USD 2021-03-08 27323.74000000 N N N Federative Republic of Brazil 254900ZFY40OYEADAP90 N/A 12000000.00000000 PA 2078254.18000000 0.591265705181 Long STIV NUSS BR N 2 2021-10-01 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -23735.86000000 -0.00675287947 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 3664787.32000000 USD 3104068.40000000 EUR 2020-10-30 -23735.86000000 N N N N/A N/A N/A 1.00000000 NC N/A 53221.88000000 0.015141686090 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 16773000.00000000 MXN 810235.06000000 USD 2020-10-13 53221.88000000 N N N Bonos del Tesoro Nacional en Pesos Badlar N/A N/A 5808000.00000000 PA 39184.44000000 0.011148018260 Long DBT NUSS AR N 3 2022-04-03 Floating 31.64062700 N N N N N N N/A N/A N/A 2295331.70000000 PA USD 18747.19000000 0.005333597123 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.30395100 USD 2021-05-12 XXXX 4111.12000000 N N N N/A N/A N/A 13785000.00000000 PA USD 133784.30000000 0.038061787264 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange USD/JPY 1.00000000 102.10000000 USD 2021-02-24 XXXX -72218.74000000 N N N Republic of Indonesia 529900FWX0GRR7WG5W79 N/A 1040000000.00000000 PA 82343.82000000 0.023426911524 Long DBT NUSS ID N 2 2023-08-15 Fixed 11.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 43793.24000000 0.012459227162 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 9293500.00000000 BRL 1696885.04000000 USD 2020-11-04 43793.24000000 N N N Republic of India N/A N/A 19000000.00000000 PA 272324.38000000 0.077476599411 Long DBT NUSS IN N 2 2022-02-15 Fixed 8.20000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -40091.19000000 -0.01140598967 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 6192601.85000000 USD 5247291.75000000 EUR 2020-10-13 -40091.19000000 N N N N/A N/A N/A 1.00000000 NC N/A -262831.74000000 -0.07477593241 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 3104068.40000000 EUR 3378219.72000000 USD 2020-10-30 -262831.74000000 N N N N/A N/A N/A -3749000.00000000 PA -60762.33000000 -0.01728695279 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange AUD/JPY 1.00000000 76.00000000 AUD 2021-01-22 XXXX -8465.30000000 N N N N/A N/A N/A 1848000.00000000 PA USD 3051.32000000 0.000868104050 N/A DFE US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased N/A Foreign Exchange USD/MXN 1.00000000 20.80350000 USD 2020-10-23 XXXX -2535.18000000 N N N N/A N/A N/A 1.00000000 NC N/A -837599.54000000 -0.23829803276 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 19729690000.00000000 KRW 16083549.36000000 USD 2020-11-19 -837599.54000000 N N N N/A N/A N/A 444000.00000000 PA 17689.99000000 0.005032822506 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/JPY 1.00000000 72.90000000 AUD 2021-04-29 XXXX 3512.95000000 N N N N/A N/A N/A -13785000.00000000 PA USD -126468.11000000 -0.03598032279 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange USD/JPY 1.00000000 106.00000000 USD 2020-10-29 XXXX 1594.54000000 N N N N/A N/A N/A 1.00000000 NC N/A -6969.60000000 -0.00198285921 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 6743649.00000000 BRL 1193164.95000000 USD 2020-10-15 -6969.60000000 N N N N/A N/A N/A 1.00000000 NC N/A 18724.49000000 0.005327138946 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 5119797.46000000 AUD 387966987.00000000 JPY 2021-02-26 18724.49000000 N N N N/A N/A N/A 1.00000000 NC N/A 54804.23000000 0.015591866485 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 2682455.41000000 AUD 208213530.00000000 JPY 2020-12-14 54804.23000000 N N N N/A N/A N/A 1.00000000 NC N/A -1134269.52000000 -0.32270098338 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 49525667500.00000000 KRW 41354097.78000000 USD 2021-02-04 -1134269.52000000 N N N N/A N/A N/A 932000.00000000 PA USD 29381.73000000 0.008359135987 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 23.74640000 USD 2021-04-09 XXXX -3330.54000000 N N N N/A N/A N/A -797835.66000000 PA USD -19220.02000000 -0.00546811780 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written N/A Foreign Exchange USD/AUD 1.00000000 1.39627800 USD 2021-01-22 XXXX 2854.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 102824.95000000 0.029253816572 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 41674000.00000000 MXN 1961914.18000000 USD 2021-01-21 102824.95000000 N N N N/A N/A N/A 18375000.00000000 PA USD 29248.74000000 0.008321300179 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/JPY 1.00000000 115.95000000 USD 2021-08-11 XXXX -31443.89000000 N N N N/A N/A N/A 2838000.00000000 PA USD 84563.31000000 0.024058358982 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 24.80700000 USD 2021-06-30 XXXX -62848.09000000 N N N N/A N/A N/A 1.00000000 NC N/A 44803.98000000 0.012746783855 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 2819320.00000000 USD 4000000.00000000 AUD 2020-11-19 44803.98000000 N N N N/A N/A N/A 4164000.00000000 PA 28861.62000000 0.008211164094 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/JPY 1.00000000 81.00000000 AUD 2021-06-21 XXXX 4533.96000000 N N N N/A N/A N/A 2708000.00000000 PA 14932.83000000 0.004248407314 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/JPY 1.00000000 81.00000000 AUD 2021-04-29 XXXX 1502.44000000 N N N Federative Republic of Brazil 254900ZFY40OYEADAP90 N/A 35520000.00000000 PA 6323491.45000000 1.799040592520 Long STIV NUSS BR N 2 2020-10-01 None 0.00000000 N N N N N N N/A N/A N/A -3013000.00000000 PA USD -72567.70000000 -0.02064559413 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange USD/MXN 1.00000000 21.63140000 USD 2021-02-12 XXXX -19939.63000000 N N N N/A N/A N/A 1268000.00000000 PA USD 26051.34000000 0.007411636201 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/JPY 1.00000000 104.77850000 USD 2021-02-01 XXXX -2175.61000000 N N N N/A N/A N/A 1735000.00000000 PA USD 148933.73000000 0.042371817528 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 29.71000000 USD 2024-08-09 XXXX -3139.02000000 N N N Kingdom of Norway 549300O6E2WAK3IAXE34 N/A 7434000.00000000 PA 846470.08000000 0.240821711599 Long DBT NUSS NO N 2 2026-02-19 Fixed 1.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 246885.93000000 0.070239331120 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 72338000.00000000 MXN 3510905.76000000 USD 2020-10-15 246885.93000000 N N N N/A N/A N/A 1.00000000 NC N/A 6646.28000000 0.001890874306 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 8326000.00000000 MXN 375332.46000000 USD 2021-03-24 6646.28000000 N N N N/A N/A N/A 1.00000000 NC N/A -7609.16000000 -0.00216481477 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 6912000.00000000 BRL 1221870.64000000 USD 2020-11-04 -7609.16000000 N N N N/A N/A N/A -444000.00000000 PA -7383.89000000 -0.00210072519 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange AUD/JPY 1.00000000 72.90000000 AUD 2021-04-29 XXXX 6793.15000000 N N N N/A N/A N/A 3450527.50000000 PA USD 15950.84000000 0.004538032330 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.54440200 USD 2021-02-10 XXXX -44875.70000000 N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 8740000.00000000 PA 1459080.16000000 0.415109984149 Long DBT NUSS GH N 2 2026-11-02 Fixed 19.00000100 N N N N N N N/A N/A N/A 1.00000000 NC N/A 23701.77000000 0.006743180833 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1402320.97000000 USD 150402430.00000000 JPY 2020-10-23 23701.77000000 N N N N/A N/A N/A 1.00000000 NC N/A -6753.14000000 -0.00192127609 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 88913.59000000 EUR 97594.22000000 USD 2020-11-23 -6753.14000000 N N N Federative Republic of Brazil 254900ZFY40OYEADAP90 N/A 25274000.00000000 PA 4419127.77000000 1.257246934644 Long STIV NUSS BR N 2 2021-07-01 None 0.00000000 N N N N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 195586493.70000000 PA 1322136.98000000 0.376149491890 Long DBT NUSS AR N 3 2022-03-18 Fixed 1.20000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 27223.00000000 0.007744974819 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 1740005.00000000 AUD 134030845.00000000 JPY 2021-03-11 27223.00000000 N N N N/A N/A N/A 1.00000000 NC N/A 16913.68000000 0.004811961418 N/A DFE N/A N 2 Standard Chartered Bank U4LOSYZ7YG4W3S5F2G91 319050200.00000000 INR 4323466.36000000 USD 2020-12-02 16913.68000000 N N N N/A N/A N/A 1.00000000 NC N/A 366.08000000 0.000104150181 N/A DFE N/A N 2 UBS BFM8T61CT2L1QCEMIK50 1605633.12000000 EUR 1732012.50000000 CHF 2021-03-10 366.08000000 N N N N/A N/A N/A 1.00000000 NC N/A -43693.03000000 -0.01243071730 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 154100000.00000000 INR 2045122.76000000 USD 2020-10-26 -43693.03000000 N N N N/A N/A N/A 1.00000000 NC N/A 11935.31000000 0.003395609426 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 3814202.00000000 BRL 690390.79000000 USD 2020-11-04 11935.31000000 N N N N/A N/A N/A 1.00000000 NC N/A -18583.88000000 -0.00528713524 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 3033084.42000000 EUR 373979308.00000000 JPY 2021-06-30 -18583.88000000 N N N N/A N/A N/A 1.00000000 NC N/A -31772.10000000 -0.00903919900 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 922000.00000000 EUR 1049623.24000000 USD 2020-10-26 -31772.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 517.53000000 0.000147237880 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 174629200.00000000 JPY 1657707.43000000 USD 2020-12-18 517.53000000 N N N N/A N/A N/A -1209910.50000000 PA USD -13383.82000000 -0.00380771218 N/A DFE US N 2 MORGAN STANLEY CAPITAL I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange USD/AUD 1.00000000 1.39762400 USD 2020-10-26 XXXX 10203.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -27022.33000000 -0.00768788397 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 1881928.93000000 EUR 19537998.00000000 SEK 2020-12-14 -27022.33000000 N N N N/A N/A N/A 27569000.00000000 PA USD 542815.18000000 0.154431543203 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange USD/JPY 1.00000000 102.65000000 USD 2021-08-11 XXXX 23883.89000000 N N N N/A N/A N/A 1.00000000 NC N/A 153607.62000000 0.043701544611 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 11204100.00000000 BRL 2148231.23000000 USD 2020-10-02 153607.62000000 N N N N/A N/A N/A 1.00000000 NC N/A 417683.71000000 0.118831496028 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 6452705.72000000 EUR 74475000.00000000 NOK 2020-10-02 417683.71000000 N N N N/A N/A N/A 1.00000000 NC N/A -33475.62000000 -0.00952385240 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 926408.25000000 EUR 1055262.37000000 USD 2021-01-11 -33475.62000000 N N N N/A N/A N/A 1.00000000 NC N/A -2861.30000000 -0.00081404314 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 1683675.78000000 EUR 1813150.45000000 CHF 2021-03-15 -2861.30000000 N N N Japan 353800WZS8AXZXFUC241 N/A 264500000.00000000 PA 2508392.81000000 0.713640640278 Long STIV NUSS JP N 2 2021-01-12 None 0.00000000 N N N N N N N/A N/A N/A 2495000.00000000 PA 3205.67000000 0.000912016803 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/JPY 1.00000000 65.85000000 AUD 2020-12-21 XXXX -12707.47000000 N N N United Mexican States 254900EGTWEU67VP6075 N/A 5553300.00000000 PA 248762.98000000 0.070773354004 Long STIV NUSS MX N 2 2020-12-17 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -44985.69000000 -0.01279848055 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 1897823.50000000 EUR 19537998.00000000 SEK 2020-11-13 -44985.69000000 N N N N/A N/A N/A 1.00000000 NC N/A 16553.54000000 0.004709501174 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1945751.85000000 USD 206531830.00000000 JPY 2021-03-08 16553.54000000 N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 73832000.00000000 PA 416960.41000000 0.118625716345 Long DBT NUSS AR N 3 2021-10-03 Fixed 18.20000000 N N N N N N N/A N/A N/A 1854000.00000000 PA USD 53802.87000000 0.015306978413 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 23.36050000 USD 2021-02-12 XXXX -8513.78000000 N N N Kingdom of Norway 549300O6E2WAK3IAXE34 N/A 37171000.00000000 PA 4366091.66000000 1.242158100333 Long DBT NUSS NO N 2 2024-03-14 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 7455.96000000 0.002121229197 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 19864000.00000000 MXN 902437.36000000 USD 2020-10-27 7455.96000000 N N N N/A N/A N/A -598000.00000000 PA USD -7556.46000000 -0.00214982156 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange USD/MXN 1.00000000 26.08110000 USD 2021-03-24 XXXX 2574.26000000 N N N N/A N/A N/A 1.00000000 NC N/A 68903.26000000 0.019603056741 N/A DFE N/A N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 408100000.00000000 JPY 5500000.00000000 AUD 2020-10-13 68903.26000000 N N N N/A N/A N/A 1.00000000 NC N/A 44878.03000000 0.012767851165 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 76068500.00000000 MXN 3427821.46000000 USD 2021-02-16 44878.03000000 N N N N/A N/A N/A 1.00000000 NC N/A -37489.67000000 -0.01066585424 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 1787404.59000000 AUD 130985298.00000000 JPY 2020-11-24 -37489.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -26417.22000000 -0.00751572948 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 2812895.92000000 EUR 29307000.00000000 SEK 2020-10-16 -26417.22000000 N N N N/A N/A N/A 833610.00000000 PA USD 5619.19000000 0.001598666019 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased N/A Foreign Exchange USD/AUD 1.00000000 1.33155800 USD 2021-01-22 XXXX -2050.24000000 N N N N/A N/A N/A 1.00000000 NC N/A -17837.03000000 -0.00507465555 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 3033083.26000000 EUR 373521170.00000000 JPY 2020-12-30 -17837.03000000 N N N N/A N/A N/A 1.00000000 NC N/A -255919.03000000 -0.07280925846 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 5247291.75000000 EUR 5896591.63000000 USD 2020-10-13 -255919.03000000 N N N N/A N/A N/A 1.00000000 NC N/A -84702.76000000 -0.02409803266 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 74475000.00000000 NOK 6736770.69000000 EUR 2020-10-01 -84702.76000000 N N N N/A N/A N/A -4863000.00000000 PA USD -395015.70000000 -0.11238242110 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange USD/MXN 1.00000000 23.88240000 USD 2020-11-09 XXXX -238811.28000000 N N N N/A N/A N/A 1.00000000 NC N/A -22752.20000000 -0.00647302707 N/A DFE N/A N 2 Deutsche Bank 7LTWFZYICNSX8D621K86 1878274.63000000 EUR 19538000.56000000 SEK 2020-12-15 -22752.20000000 N N N Kingdom of Norway 549300O6E2WAK3IAXE34 N/A 44234000.00000000 PA 4970326.96000000 1.414063738338 Long DBT NUSS NO N 2 2023-05-24 Fixed 2.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 27429.71000000 0.007803784052 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 3273651.18000000 EUR 408263585.00000000 JPY 2021-02-25 27429.71000000 N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 171501000.00000000 PA 674599.30000000 0.191924276957 Long DBT NUSS AR N 3 2023-10-17 Fixed 16.00000000 N N N N N N N/A N/A N/A 890000.00000000 PA USD 15503.66000000 0.004410809106 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 25.48200000 USD 2021-04-09 XXXX -37666.72000000 N N N Japan 353800WZS8AXZXFUC241 N/A 1784300000.00000000 PA 16925543.03000000 4.815336464386 Long STIV NUSS JP N 2 2021-03-10 None 0.00000000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 N/A 2910000.00000000 PA 504520.13000000 0.143536557420 Long DBT NUSS GH N 2 2024-03-25 Fixed 19.75000100 N N N N N N United Mexican States 254900EGTWEU67VP6075 N/A 18431500.00000000 PA 826962.43000000 0.235271762731 Long STIV NUSS MX N 2 2020-12-03 None 0.00000000 N N N N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 129039111.09000000 PA 793051.68000000 0.225624115343 Long DBT NUSS AR N 3 2024-03-25 Fixed 1.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -32635.53000000 -0.00928484583 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 4554501.60000000 USD 25400000.00000000 BRL 2020-10-02 -32635.53000000 N N N N/A N/A N/A 1495000.00000000 PA USD 53094.62000000 0.015105480473 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 23.22530000 USD 2021-03-24 XXXX -11386.23000000 N N N N/A N/A N/A 4390000.00000000 PA USD 78652.05000000 0.022376598711 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/MXN 1.00000000 29.73260000 USD 2021-12-07 XXXX -7826.56000000 N N N N/A N/A N/A 3013000.00000000 PA USD 19248.97000000 0.005476354110 N/A DFE US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange USD/MXN 1.00000000 20.15870000 USD 2021-02-12 XXXX 5612.13000000 N N N 2020-10-30 Templeton Income Trust Robert Kubilis Robert Kubilis Chief Financial Officer, Chief Accounting Officer and Treasurer XXXX