NPORT-P false 0000835597 XXXXXXXX S000006419 C000147408 C000017608 SEI INSTITUTIONAL INTERNATIONAL TRUST 811-05601 0000835597 E8Z427H460ISEID6A824 ONE FREEDOM VALLEY DRIVE OAKS 19456 8003425734 SIT International Fixed Income Fund S000006419 LBQB1OG7EE0H97712G55 2020-09-30 2020-03-31 N 510844840.50 11260402.27 499584438.23 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 10270649.38000000 USD JPY EUR N U.S. DOLLARS N/A N/A 1.00000000 NC USD 590.26000000 0.000118150197 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16094.47000000 USD 2020-04-03 590.26000000 N N N LIBERTY MUTUAL GROUP INC. QUR0DG15Z6FFGYCHH861 N/A 300000.00000000 PA 290436.16000000 0.058135549823 Long DBT NUSS US N 2 2059-05-23 Fixed 3.62500000 N N N N N N Freddie Mac N/A 3137G0NX3 470000.00000000 PA USD 418255.54000000 0.083720690236 Long DBT USGA US N 2 2029-10-25 Floating 5.07674880 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 405.06000000 0.000081079386 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15440.01000000 USD 2020-04-03 405.06000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1645.48000000 0.000329369746 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 135000.00000000 NOK 14501.85000000 USD 2020-04-03 1645.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 327.60000000 0.000065574500 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20000.00000000 GBP 25127.04000000 USD 2020-04-03 327.60000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1538.70000000 -0.00030799598 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 48657.65000000 USD 38000.00000000 GBP 2020-04-03 -1538.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 905.76000000 0.000181302684 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 31116.62000000 USD 2020-04-03 905.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3580.38000000 0.000716671642 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 295000.00000000 NOK 31673.92000000 USD 2020-04-03 3580.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3667.25000000 0.000734060094 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 295000.00000000 NOK 31760.79000000 USD 2020-04-03 3667.25000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -355.26000000 -0.00007111110 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 NZD 14455.48000000 USD 2020-04-30 -355.26000000 N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620MBL9 185000.00000000 PA 192413.24000000 0.038514658439 Long DBT NUSS US N 2 2025-12-03 Fixed 0.62500000 N N N N N N ENEL - SPA WOCMU6HCI0OJWNPRZS33 N/A 175000.00000000 PA 185342.51000000 0.037099336131 Long DBT NUSS IT N 2 2080-05-24 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1520.23000000 -0.00030429890 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 54000.00000000 AUD 31530.45000000 USD 2020-04-03 -1520.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -280.58000000 -0.00005616267 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14473.56000000 USD 2020-04-03 -280.58000000 N N N U.S. BANCORP N1GZ7BBF3NP8GI976H15 902973BB1 226000.00000000 PA 238405.07000000 0.047720675776 Long DBT NUSS US N 2 2024-06-07 Fixed 0.85000000 N N N N N N N/A N/A CDS369101 -134000.00000000 NC USD -29648.37000000 -0.00593460639 N/A DCR XX N 2 BRK: CREDIT SUISSE N/A Y 2063-05-11 0.00000000 USD -7930.52000000 USD -134000.00000000 USD -21717.85000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 612.35000000 0.000122571872 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 17000.00000000 CHF 18183.79000000 USD 2020-04-03 612.35000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 5046.15000000 0.001010069492 N/A DFE XX N 2 BARCLAYS CAPITAL INC. N/A 311234.74000000 USD 450000.00000000 SGD 2020-04-30 5046.15000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 214.40000000 0.000042915668 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 84847.75000000 USD 892200.00000000 NOK 2020-05-26 214.40000000 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 05971KAA7 400000.00000000 PA USD 423275.18000000 0.084725453318 Long DBT NUSS ES N 2 2025-11-19 Fixed 5.17900000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1089.53000000 0.000218087257 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 14131.88000000 USD 2020-04-03 1089.53000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1613.40000000 -0.00032294841 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14374.53000000 USD 134000.00000000 NOK 2020-04-03 -1613.40000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -40342.69000000 -0.00807524952 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 296520.93000000 USD 4576000.00000000 ZAR 2020-04-03 -40342.69000000 N N N EXPEDIA GROUP, INC. N/A 30212PAM7 250000.00000000 PA USD 225845.91000000 0.045206754397 Long DBT CORP US N 2 2026-02-15 Fixed 5.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1696.18000000 0.000339518181 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 32481.75000000 USD 2020-04-03 1696.18000000 N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 1100000.00000000 PA 1249290.63000000 0.250065961707 Long DBT NUSS BE Y 2 2024-10-22 Fixed 0.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -845.12000000 -0.00016916459 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14194.10000000 USD 19000.00000000 CAD 2020-04-03 -845.12000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -476.74000000 -0.00009542731 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13825.72000000 USD 19000.00000000 CAD 2020-04-03 -476.74000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 261000.00000000 PA 285447.56000000 0.057136999905 Long DBT NUSS US N 2 2022-09-14 Fixed 1.62500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 703.78000000 0.000140873082 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13225.43000000 USD 138000.00000000 SEK 2020-04-03 703.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 91.24000000 0.000018263178 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 309000.00000000 SEK 31280.55000000 USD 2020-04-03 91.24000000 N N N UNIONE DI BANCHE ITALIANE SOCIETA PER AZIONI 81560097964CBDAED282 N/A 185000.00000000 PA 208402.44000000 0.041715158450 Long DBT NUSS IT N 2 2023-01-27 Fixed 1.00000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 868000.00000000 PA 964026.02000000 0.192965582237 Long DBT NUSS FR N 2 2022-05-25 Fixed 0.00000000 N N N N N N EURO N/A N/A 1.00000000 NC 270.25000000 0.000054094959 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 13994.46000000 USD 13000.00000000 EUR 2020-04-03 270.25000000 N N N Exportation et developpement Canada Z6MHCSLXHKYG4B6PHW02 N/A 1259000.00000000 PA 784522.53000000 0.157035021502 Long DBT NUSS CA N 2 2021-06-07 Fixed 2.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1339.35000000 0.000268092818 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 52000.00000000 CAD 37873.41000000 USD 2020-04-03 1339.35000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -978.68000000 -0.00019589881 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 17137.98000000 USD 23000.00000000 CAD 2020-04-03 -978.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 389.46000000 0.000077956791 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 31175.03000000 USD 2020-04-03 389.46000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13.41000000 0.000002684230 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14773.34000000 USD 2020-04-30 13.41000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087J39 3965000.00000000 PA 3162027.26000000 0.632931496265 Long DBT NUSS CA N 2 2029-06-01 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4334.58000000 0.000867637113 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 102000.00000000 NZD 64803.66000000 USD 2020-04-03 4334.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 34045.55000000 0.006814773919 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1035000.00000000 EUR 1169736.30000000 USD 2020-04-03 34045.55000000 N N N ORANGE S.A. 969500MCOONR8990S771 N/A 300000.00000000 PA 318455.76000000 0.063744131248 Long DBT NUSS FR N 2 2168-04-15 Fixed 2.37500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 58.53000000 0.000011715737 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13274.00000000 USD 140000.00000000 NOK 2020-04-03 58.53000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3430000.00000000 PA 812235.63000000 0.162582251936 Long DBT NUSS MY N 2 2022-09-30 Fixed 3.79500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 852000.00000000 PA 938649.97000000 0.187886150602 Long DBT NUSS ES N 2 2021-10-31 Fixed 0.05000000 N N N N N N EURO N/A N/A 1.00000000 NC 236.01000000 0.000047241263 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14028.70000000 USD 13000.00000000 EUR 2020-04-03 236.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 287.17000000 0.000057481774 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 142000.00000000 SEK 14620.12000000 USD 2020-04-03 287.17000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -169.69000000 -0.00003396623 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13022.73000000 USD 21000.00000000 AUD 2020-04-03 -169.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 927.56000000 0.000185666311 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 13780.60000000 USD 2020-04-03 927.56000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -9783.89000000 -0.00195840567 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 142368.46000000 USD 874000.00000000 TRY 2020-04-03 -9783.89000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 845.15000000 0.000169170601 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14406.34000000 USD 160000.00000000 NOK 2020-04-30 845.15000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -495.07000000 -0.00009909636 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 12438.90000000 USD 17000.00000000 CAD 2020-04-03 -495.07000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -43.52000000 -0.00000871124 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32911.06000000 USD 3548000.00000000 JPY 2020-04-03 -43.52000000 N N N Banco Bilbao Vizcaya Argentaria, S.A. K8MS7FD7N5Z2WQ51AZ71 N/A 200000.00000000 PA 240602.61000000 0.048160549366 Long DBT NUSS ES N 2 2024-06-12 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 58.16000000 0.000011641675 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1583000.00000000 JPY 14746.56000000 USD 2020-04-30 58.16000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1100600000.00000000 PA 274964.68000000 0.055038679942 Long DBT NUSS CO N 2 2026-08-26 Fixed 7.50000000 N N N N N N New Zealand 549300237GPHG2AI7C34 N/A 971000.00000000 PA 612515.71000000 0.122605041936 Long DBT NUSS NZ N 2 2021-05-15 Fixed 6.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 594639.86000000 0.119026898056 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 16325063.29000000 EUR 18510883.15000000 USD 2020-04-08 594639.86000000 N N N EURO N/A N/A 1.00000000 NC -1446.32000000 -0.00028950461 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 33267.61000000 USD 29000.00000000 EUR 2020-04-03 -1446.32000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 307.18000000 0.000061487103 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13823.90000000 USD 140000.00000000 SEK 2020-04-03 307.18000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -682.05000000 -0.00013652346 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13443.18000000 USD 134000.00000000 NOK 2020-04-03 -682.05000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -467.84000000 -0.00009364583 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13816.82000000 USD 19000.00000000 CAD 2020-04-03 -467.84000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -754.32000000 -0.00015098949 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14885.40000000 USD 140000.00000000 SEK 2020-04-03 -754.32000000 N N N Japan N/A N/A -5.00000000 NC -707007.55000000 -0.14151912988 N/A DIR SG N 1 GOLDMAN, SACHS & CO. N/A Short Japan Govt. Bond Futures 10YR MINI JGB FUT Jun 2020 2020-06-15 -745568.67000000 JPY 38561.12000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 551.15000000 0.000110321690 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31343.70000000 USD 3443000.00000000 JPY 2020-04-03 551.15000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 975000.00000000 PA 1219512.03000000 0.244105287650 Long DBT NUSS IT Y 2 2040-03-01 Fixed 3.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9166.47000000 0.001834818961 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 377000.00000000 EUR 422843.20000000 USD 2020-04-03 9166.47000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -410.78000000 -0.00008222433 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14050.47000000 USD 11000.00000000 GBP 2020-04-03 -410.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 29.33000000 0.000005870879 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1620000.00000000 JPY 15036.49000000 USD 2020-04-03 29.33000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 807.17000000 0.000161568283 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31495.28000000 USD 3487000.00000000 JPY 2020-04-03 807.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -50111.27000000 -0.01003059066 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 5197000.00000000 AUD 3130464.92000000 USD 2020-04-30 -50111.27000000 N N N EURO N/A N/A 1.00000000 NC -1000.17000000 -0.00020020039 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 32821.46000000 USD 29000.00000000 EUR 2020-04-03 -1000.17000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -983.38000000 -0.00019683959 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33850.92000000 USD 3548000.00000000 JPY 2020-04-03 -983.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 591.69000000 0.000118436435 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 15062.29000000 USD 2020-04-03 591.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 788.21000000 0.000157773128 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14427.90000000 USD 2020-04-03 788.21000000 N N N Husky Energy Inc. 5493001LRMU2TM8ZZZ78 448055AP8 205000.00000000 PA USD 145266.67000000 0.029077500995 Long DBT NUSS CA N 2 2029-04-15 Fixed 4.40000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1784.04000000 -0.00035710479 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 30832.91000000 USD 49000.00000000 NZD 2020-04-03 -1784.04000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 161.27000000 0.000032280829 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14796.02000000 USD 148000.00000000 SEK 2020-04-30 161.27000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1515.31000000 -0.00030331409 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 63000.00000000 AUD 37043.81000000 USD 2020-04-03 -1515.31000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 742000.00000000 PA 820336.75000000 0.164203823663 Long DBT NUSS IT Y 2 2050-09-01 Fixed 2.45000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 583.57000000 0.000116811084 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 198000.00000000 EUR 217846.15000000 USD 2020-04-03 583.57000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 379.77000000 0.000076017179 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15414.72000000 USD 2020-04-03 379.77000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 905.23000000 0.000181196596 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31097.48000000 USD 3449000.00000000 JPY 2020-04-30 905.23000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -51.29000000 -0.00001026653 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 28144.83000000 USD 295000.00000000 NOK 2020-04-03 -51.29000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 424.38000000 0.000084946601 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 45054.65000000 USD 44000.00000000 CHF 2020-04-03 424.38000000 N N N United States of America N/A N/A 56.00000000 NC USD 7766500.00000000 1.554592058054 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2020 2020-06-22 7718117.96000000 USD 48382.04000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -7312.07000000 -0.00146363045 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 146723.08000000 USD 919000.00000000 TRY 2020-04-03 -7312.07000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -5576.92000000 -0.00111631179 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 153383.77000000 USD 143000.00000000 CHF 2020-04-03 -5576.92000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 507.52000000 0.000101588432 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16011.73000000 USD 2020-04-03 507.52000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -5318.51000000 -0.00106458680 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 129000.00000000 AUD 73635.88000000 USD 2020-04-03 -5318.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1163.74000000 0.000232941603 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 65000.00000000 CAD 46831.32000000 USD 2020-04-03 1163.74000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -371.18000000 -0.00007429775 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 15125.32000000 USD 21000.00000000 CAD 2020-04-03 -371.18000000 N N N Konungariket Sverige ERE94C0BSULG2RM19605 N/A 3370000.00000000 PA 352176.34000000 0.070493857104 Long DBT NUSS SE Y 2 2020-12-01 Fixed 5.00000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1817.04000000 -0.00036371028 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 30583.37000000 USD 47000.00000000 AUD 2020-04-03 -1817.04000000 N N N KfW 549300GDPG70E3MBBU98 N/A 1135000.00000000 PA 1262319.96000000 0.252673995305 Long DBT NUSS DE N 2 2023-06-07 Fixed 0.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -838.44000000 -0.00016782748 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 38000.00000000 AUD 22419.44000000 USD 2020-04-03 -838.44000000 N N N Medtronic Global Holdings S.C.A. 549300JXMTTP8GKYIX14 N/A 115000.00000000 PA 119604.44000000 0.023940785750 Long DBT NUSS LU N 2 2025-07-02 Fixed 0.25000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -918.88000000 -0.00018392886 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 221256.72000000 USD 360000.00000000 AUD 2020-04-03 -918.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 591.31000000 0.000118360372 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14856.02000000 USD 2020-04-03 591.31000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -855.08000000 -0.00017115825 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33287.22000000 USD 3501000.00000000 JPY 2020-04-03 -855.08000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EL4 67000.00000000 PA USD 70685.00000000 0.014148759366 Long DBT CORP US N 2 2168-04-23 Fixed 6.50000000 N N N N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 N/A 220000.00000000 PA 245187.62000000 0.049078314142 Long DBT NUSS AU N 2 2021-03-24 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -232.01000000 -0.00004644059 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 12810.34000000 USD 2020-04-03 -232.01000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 34611.79000000 0.006928116120 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 486190.34000000 USD 419762.50000000 GBP 2020-05-15 34611.79000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 57.62000000 0.000011533585 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 16101.68000000 USD 23000.00000000 CAD 2020-04-03 57.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1568.09000000 0.000313878872 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49000.00000000 NZD 30616.96000000 USD 2020-04-03 1568.09000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -9737.53000000 -0.00194912596 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 142322.10000000 USD 874000.00000000 TRY 2020-04-03 -9737.53000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 618.30000000 0.000123762862 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 32000.00000000 GBP 40297.41000000 USD 2020-04-03 618.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3783.46000000 0.000757321427 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 295000.00000000 NOK 31877.00000000 USD 2020-04-03 3783.46000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1065.18000000 -0.00021321320 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 17071.70000000 USD 27000.00000000 NZD 2020-04-03 -1065.18000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 258.34000000 0.000051710978 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12594.70000000 USD 21000.00000000 AUD 2020-04-03 258.34000000 N N N EURO N/A N/A 1.00000000 NC -27555.84000000 -0.00551575227 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 982320.72000000 USD 869970.16000000 EUR 2020-04-08 -27555.84000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 205.91000000 0.000041216255 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14554.02000000 USD 21000.00000000 CAD 2020-04-30 205.91000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 180000.00000000 PA 236485.47000000 0.047336436426 Long DBT NUSS GB N 2 2021-05-21 Fixed 10.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 249.21000000 0.000049883459 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42000.00000000 CAD 29757.49000000 USD 2020-04-03 249.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15659.47000000 0.003134499156 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2352000.00000000 ZAR 147331.50000000 USD 2020-04-03 15659.47000000 N N N ENEL Finance International N.V. 0YQH6LCEF474UTUV4B96 N/A 160000.00000000 PA 224721.36000000 0.044981657314 Long DBT NUSS NL N 2 2024-08-14 Fixed 5.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 888.14000000 0.000177775753 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13930.49000000 USD 2020-04-03 888.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 153.62000000 0.000030749556 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14910.66000000 USD 2020-04-03 153.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1413.61000000 -0.00028295717 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 16000.00000000 GBP 18425.95000000 USD 2020-04-03 -1413.61000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -417.04000000 -0.00008347738 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1582000.00000000 JPY 14262.08000000 USD 2020-04-30 -417.04000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -5441.07000000 -0.00108911919 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 658151.38000000 USD 1101000.00000000 NZD 2020-04-03 -5441.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15227.62000000 0.003048057312 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 485722.12000000 EUR 548292.36000000 USD 2020-04-08 15227.62000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 9202000.00000000 PA 919197.52000000 0.183992424435 Long DBT NUSS NO Y 2 2023-05-24 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 105.87000000 0.000021191612 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1445000.00000000 JPY 13491.89000000 USD 2020-04-03 105.87000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 1507.57000000 0.000301764803 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 31076.05000000 USD 55000.00000000 NZD 2020-04-30 1507.57000000 N N N EURO N/A N/A 1.00000000 NC 8560.42000000 0.001713508136 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 322819.88000000 USD 302000.00000000 EUR 2020-04-03 8560.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4306.18000000 -0.00086195238 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 591000.00000000 NOK 51976.13000000 USD 2020-04-03 -4306.18000000 N N N Magyarorszag 5299003F3UFKGCCMAP43 N/A 75010000.00000000 PA 242299.26000000 0.048500161626 Long DBT NUSS HU N 2 2024-06-26 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 561.54000000 0.000112401419 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15318.58000000 USD 2020-04-03 561.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1602.62000000 0.000320790616 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 31837.16000000 USD 2020-04-03 1602.62000000 N N N WESTERN POWER DISTRIBUTION (WEST MIDLANDS) PLC 549300L22M2RCLXON143 N/A 100000.00000000 PA 159195.52000000 0.031865588240 Long DBT NUSS GB N 2 2032-04-16 Fixed 5.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -424.30000000 -0.00008493058 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 23682.18000000 USD 38000.00000000 AUD 2020-04-03 -424.30000000 N N N EURO N/A N/A 1.00000000 NC 3310.55000000 0.000662660752 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 545975.66000000 USD 500502.92000000 EUR 2020-04-08 3310.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 330.01000000 0.000066056901 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 162000.00000000 NOK 15757.65000000 USD 2020-04-03 330.01000000 N N N EURO N/A N/A 1.00000000 NC -1004.79000000 -0.00020112515 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 280065.11000000 USD 254327.20000000 EUR 2020-04-02 -1004.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 633.05000000 0.000126715316 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1620000.00000000 JPY 15640.21000000 USD 2020-04-03 633.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 177.84000000 0.000035597585 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14648.44000000 USD 2020-04-03 177.84000000 N N N Prosus N.V. 635400Z5LQ5F9OLVT688 74365PAA6 275000.00000000 PA USD 248610.29000000 0.049763417547 Long DBT NUSS NL Y 2 2030-01-21 Fixed 3.68000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1236.43000000 0.000247491696 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 30000.00000000 EUR 34155.00000000 USD 2020-04-03 1236.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2314.63000000 0.000463311068 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 188000.00000000 NOK 20218.31000000 USD 2020-04-03 2314.63000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -1418.85000000 -0.00028400604 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 65816.20000000 USD 638000.00000000 SEK 2020-04-03 -1418.85000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -835.79000000 -0.00016729704 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14184.77000000 USD 19000.00000000 CAD 2020-04-03 -835.79000000 N N N BPCE S.A. 9695005MSX1OYEMGDF46 N/A 300000.00000000 PA 323081.73000000 0.064670094838 Long DBT NUSS FR N 2 2023-01-18 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -179.68000000 -0.00003596589 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13460.01000000 USD 2020-04-03 -179.68000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 232.48000000 0.000046534676 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32069.97000000 USD 3487000.00000000 JPY 2020-04-03 232.48000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -98582.34000000 -0.01973286845 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 711384.07000000 USD 10954068.06000000 ZAR 2020-04-08 -98582.34000000 N N N Japan 353800WZS8AXZXFUC241 JK7713619 254500000.00000000 PA 2402609.59000000 0.480921623282 Long DBT USGA JP N 2 2026-03-10 Fixed 0.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 999687.57000000 0.200103824999 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 23047000.00000000 CAD 17192004.86000000 USD 2020-04-03 999687.57000000 N N N POLISH ZLOTY N/A N/A 1.00000000 NC -100474.18000000 -0.02011155118 N/A DFE PA N 2 J P MORGAN CHASE BANK N/A 1871803.60000000 USD 7354000.00000000 PLN 2020-05-26 -100474.18000000 N N N CENTRICA PLC E26EDV109X6EEPBKVH76 N/A 164000.00000000 PA 226517.17000000 0.045341118070 Long DBT NUSS GB N 2 2029-03-13 Fixed 4.37500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -850.26000000 -0.00017019345 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14880.40000000 USD 139000.00000000 SEK 2020-04-03 -850.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -139678.38000000 -0.02795891331 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 7753935.90000000 AUD 4605605.31000000 USD 2020-06-11 -139678.38000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -262.12000000 -0.00005246760 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1583000.00000000 JPY 14426.28000000 USD 2020-04-30 -262.12000000 N N N Nederlandse Waterschapsbank N.V. JLP5FSPH9WPSHY3NIM24 N/A 281000.00000000 PA 351890.83000000 0.070436707605 Long DBT NUSS NL N 2 2036-05-27 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -177.35000000 -0.00003549950 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14321.98000000 USD 2020-04-30 -177.35000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 162.30000000 0.000032487000 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14794.99000000 USD 148000.00000000 SEK 2020-04-30 162.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1661.56000000 0.000332588422 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 135000.00000000 NOK 14517.93000000 USD 2020-04-03 1661.56000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -406.59000000 -0.00008138564 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32709.04000000 USD 3487000.00000000 JPY 2020-04-03 -406.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 982.61000000 0.000196685469 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 40000.00000000 EUR 44874.04000000 USD 2020-04-03 982.61000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 119.89000000 0.000023997945 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14634.25000000 USD 21000.00000000 CAD 2020-04-03 119.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1782.01000000 0.000356698460 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 52000.00000000 NZD 32609.38000000 USD 2020-04-03 1782.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -306.51000000 -0.00006135299 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13333.18000000 USD 2020-04-03 -306.51000000 N N N SILGAN HOLDINGS INC. KAF673KJXD92C8KSLU49 N/A 260000.00000000 PA 252762.32000000 0.050594514291 Long DBT CORP US Y 2 2028-06-01 Fixed 2.25000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -317.01000000 -0.00006345473 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13170.05000000 USD 21000.00000000 AUD 2020-04-03 -317.01000000 N N N N/A N/A N/A -240.00000000 NC USD -33148500.00000000 -6.63521468311 N/A DFE US N 1 GOLDMAN, SACHS & CO. N/A Short Currency Futures EUR/USD Future (Consolidated) (IMM) Jun 2020 2020-06-18 -34238687.40000000 USD 1090187.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 725.44000000 0.000145208686 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3570000.00000000 JPY 33796.78000000 USD 2020-04-03 725.44000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 260.83000000 0.000052209392 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14696.46000000 USD 148000.00000000 SEK 2020-04-30 260.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3037.75000000 -0.00060805536 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 704000.00000000 NOK 64005.82000000 USD 2020-04-03 -3037.75000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 707.69000000 0.000141655733 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 216577.33000000 USD 2150000.00000000 SEK 2020-04-30 707.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 71748.97000000 0.014361730372 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20824805.32000000 EUR 22938498.07000000 USD 2020-04-24 71748.97000000 N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 3522000.00000000 PA 129265.65000000 0.025874635018 Long DBT NUSS TH N 2 2038-06-17 Fixed 3.30000000 N N N N N N CZECH REPUBLIC KORUNA N/A N/A 1.00000000 NC 20997.83000000 0.004203059261 N/A DFE CZ N 2 MORGAN STANLEY & CO, INC N/A 980589.76000000 USD 25007000.00000000 CZK 2020-04-03 20997.83000000 N N N DEXIA CREDIT LOCAL S.A. F4G136OIPBYND1F41110 N/A 200000.00000000 PA 225710.74000000 0.045179697910 Long DBT NUSS FR N 2 2024-02-03 Fixed 0.62500000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 28570000.00000000 PA 1248704.80000000 0.249948698246 Long DBT NUSS MX N 2 2031-05-29 Floating 7.75000080 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 320250000.00000000 PA 2978676.53000000 0.596230847492 Long DBT NUSS JP N 2 2022-01-01 Fixed 0.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 592573.40000000 0.118613262274 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 18583000.00000000 NZD 11609208.93000000 USD 2020-04-03 592573.40000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 703.08000000 0.000140732966 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14235.49000000 USD 148000.00000000 SEK 2020-04-03 703.08000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1149.03000000 -0.00022999715 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13910.16000000 USD 134000.00000000 NOK 2020-04-03 -1149.03000000 N N N CAISSE FRANCAISE DE FINANCEMENT LOCAL SA 549300E6W08778I4OW85 N/A 500000.00000000 PA 563766.64000000 0.112847117896 Long DBT NUSS FR N 2 2026-01-19 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 20929.80000000 0.004189441943 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 501000.00000000 EUR 570669.96000000 USD 2020-04-03 20929.80000000 N N N Lincoln Financing S.a r.l. 222100831I4WRVCLV609 N/A 170000.00000000 PA 154262.26000000 0.030878115528 Long DBT NUSS LU Y 2 2024-04-01 Fixed 3.62500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -813.52000000 -0.00016283933 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14162.50000000 USD 19000.00000000 CAD 2020-04-03 -813.52000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 712.11000000 0.000142540468 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 13473.24000000 USD 2020-04-03 712.11000000 N N N ANHEUSER-BUSCH INBEV N.V. 5493008H3828EMEXB082 N/A 205000.00000000 PA 235418.53000000 0.047122870927 Long DBT NUSS BE N 2 2029-05-24 Fixed 2.25000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 1288.83000000 0.000257980413 N/A DFE XX N 2 JP MORGAN N/A 146520.77000000 USD 3468000.00000000 MXN 2020-04-03 1288.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2030.97000000 0.000406531878 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 33030.28000000 USD 2020-04-03 2030.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 382220.99000000 0.076507785421 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 45755000.00000000 MXN 2332344.43000000 USD 2020-04-03 382220.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1661.89000000 -0.00033265447 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 27000.00000000 GBP 31828.95000000 USD 2020-04-30 -1661.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 746.44000000 0.000149412179 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16250.65000000 USD 2020-04-03 746.44000000 N N N Republique Francaise N/A N/A 9.00000000 NC 1651239.35000000 0.330522575092 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long France Govt. Bond Future Eurex Long Term Euro OAT Bond Future Jun 2020 2020-06-11 1684873.42000000 EUR -33634.07000000 N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -51642.09000000 -0.01033700933 N/A DFE BR N 2 MORGAN STANLEY & CO, INC N/A 1458860.81000000 USD 7298680.63000000 BRL 2020-04-02 -51642.09000000 N N N KOREAN WON N/A N/A 1.00000000 NC 39247.77000000 0.007856083375 N/A DFE KR N 2 JP MORGAN N/A 1989871.39000000 USD 2470823300.00000000 KRW 2020-04-27 39247.77000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 784.68000000 0.000157066541 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31647.46000000 USD 3501000.00000000 JPY 2020-04-03 784.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1091.53000000 -0.00021848759 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 54000.00000000 AUD 31959.15000000 USD 2020-04-03 -1091.53000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 394.26000000 0.000078917590 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15898.47000000 USD 2020-04-03 394.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8305.91000000 0.001662563795 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 874000.00000000 TRY 140890.48000000 USD 2020-04-03 8305.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -84446.91000000 -0.01690343083 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 44810000.00000000 MXN 1817997.40000000 USD 2020-04-30 -84446.91000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -587.73000000 -0.00011764377 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13936.71000000 USD 19000.00000000 CAD 2020-04-03 -587.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -111.69000000 -0.00002235658 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1582000.00000000 JPY 14567.43000000 USD 2020-04-30 -111.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -174.57000000 -0.00003494304 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14296.03000000 USD 2020-04-03 -174.57000000 N N N Japan 353800WZS8AXZXFUC241 N/A 587750000.00000000 PA 6459778.38000000 1.293030343956 Long DBT NUSS JP N 2 2032-09-20 Fixed 1.70000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 572000.00000000 PA 670655.36000000 0.134242644221 Long DBT NUSS ES Y 2 2025-04-30 Fixed 1.60000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -25.95000000 -0.00000519431 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 5204.28000000 USD 5000.00000000 CHF 2020-04-30 -25.95000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1987.63000000 -0.00039785666 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 31036.50000000 USD 49000.00000000 NZD 2020-04-03 -1987.63000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 277000.00000000 PA 435018.60000000 0.087076090988 Long DBT NUSS PT Y 2 2037-04-15 Fixed 4.10000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -642.41000000 -0.00012858887 N/A DFE XX N 2 BARCLAYS CAPITAL INC. N/A 37164.09000000 USD 52000.00000000 SGD 2020-04-03 -642.41000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -2232.43000000 -0.00044685739 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 30998.76000000 USD 47000.00000000 AUD 2020-04-03 -2232.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7.50000000 0.000001501247 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 46000.00000000 CAD 32326.09000000 USD 2020-04-03 7.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -390.72000000 -0.00007820900 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 303437.27000000 GBP 376085.92000000 USD 2020-05-15 -390.72000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 723.41000000 0.000144802348 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14087.33000000 USD 25000.00000000 NZD 2020-04-30 723.41000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 806.04000000 0.000161342095 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14495.20000000 USD 25000.00000000 AUD 2020-04-03 806.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 264.77000000 0.000052998047 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15021.81000000 USD 2020-04-03 264.77000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3149.63000000 0.000630449981 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2267000.00000000 ZAR 130063.11000000 USD 2020-04-03 3149.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -205.49000000 -0.00004113218 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 31615.80000000 USD 2020-04-03 -205.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -230.77000000 -0.00004619239 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 31000.00000000 NZD 18147.09000000 USD 2020-04-03 -230.77000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -418.56000000 -0.00008378163 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 17778.17000000 USD 14000.00000000 GBP 2020-04-03 -418.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 770.08000000 0.000154144112 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49000.00000000 NZD 29818.95000000 USD 2020-04-03 770.08000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 11907200.00000000 PA 479602.43000000 0.096000274087 Long DBT NUSS MX N 2 2026-03-05 Fixed 5.75000000 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 369604BS1 180000.00000000 PA 179049.61000000 0.035839709226 Long DBT NUSS US N 2 2025-05-17 Fixed 0.87500000 N N N N N N EURO N/A N/A 1.00000000 NC -5249.66000000 -0.00105080534 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1149627.73000000 USD 1042743.40000000 EUR 2020-04-08 -5249.66000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 3574000.00000000 PA 152626.56000000 0.030550703408 Long DBT NUSS MX N 2 2020-06-11 Fixed 8.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2684.74000000 0.000537394641 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 704700.00000000 NZD 420064.62000000 USD 2020-05-22 2684.74000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -716.41000000 -0.00014340118 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14746.55000000 USD 139000.00000000 SEK 2020-04-03 -716.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 73.74000000 0.000014760267 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1564000.00000000 JPY 14585.84000000 USD 2020-04-30 73.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -272.84000000 -0.00005461339 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 46000.00000000 CAD 32058.43000000 USD 2020-04-30 -272.84000000 N N N STARBUCKS CORPORATION OQSJ1DU9TAOC51A47K68 855244AV1 210000.00000000 PA USD 197750.10000000 0.039582918295 Long DBT CORP US N 2 2027-03-12 Fixed 2.00000000 N N N N N N ENGIE S.A. LAXUQCHT4FH58LRZDY46 N/A 100000.00000000 PA 108272.38000000 0.021672488515 Long DBT NUSS FR N 2 2023-02-28 Fixed 0.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2419.83000000 0.000484368570 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 31071.01000000 USD 27000.00000000 GBP 2020-04-30 2419.83000000 N N N CREDIT AGRICOLE HOME LOAN SFH S.A. 969500C9913Z7PKUGB44 N/A 300000.00000000 PA 363810.53000000 0.072822630602 Long DBT NUSS FR N 2 2031-03-24 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 81483.07000000 0.016310169766 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20243000.00000000 SEK 2124736.29000000 USD 2020-04-03 81483.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 764.80000000 0.000153087234 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 13525.93000000 USD 2020-04-03 764.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -95674.03000000 -0.01915072261 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11864000.00000000 SGD 8242895.85000000 USD 2020-04-30 -95674.03000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -857.38000000 -0.00017161863 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14988.46000000 USD 140000.00000000 SEK 2020-04-03 -857.38000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1684.83000000 -0.00033724629 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 31919.37000000 USD 51000.00000000 NZD 2020-04-03 -1684.83000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 120.71000000 0.000024162081 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 15179.35000000 USD 25000.00000000 AUD 2020-04-30 120.71000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 882.99000000 0.000176744896 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31602.21000000 USD 3501000.00000000 JPY 2020-04-30 882.99000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -537.29000000 -0.00010754738 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 33612.95000000 USD 32000.00000000 CHF 2020-04-03 -537.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 180.54000000 0.000036138035 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14445.25000000 USD 2020-04-03 180.54000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -3135.11000000 -0.00062754356 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 129556.92000000 USD 2267000.00000000 ZAR 2020-04-30 -3135.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -36523.78000000 -0.00731083220 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 220862800.00000000 JPY 2012453.99000000 USD 2020-04-27 -36523.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -151.51000000 -0.00003032720 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14733.31000000 USD 2020-04-30 -151.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1184.22000000 0.000237041010 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 31969.79000000 USD 2020-04-03 1184.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 736.73000000 0.000147468564 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14376.42000000 USD 2020-04-03 736.73000000 N N N Japan N/A N/A 5.00000000 NC 707007.55000000 0.141519129880 N/A DIR SG N 1 GOLDMAN, SACHS & CO. N/A Long Japan Govt. Bond Futures 10YR MINI JGB FUT Jun 2020 2020-06-15 736866.80000000 JPY -29859.25000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -13460.00000000 -0.00269423924 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 141549.12000000 USD 2288000.00000000 ZAR 2020-04-03 -13460.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3589.13000000 -0.00071842309 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3959050.71000000 NOK 373843.41000000 USD 2020-05-14 -3589.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1713.46000000 -0.00034297705 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 28000.00000000 GBP 33005.76000000 USD 2020-04-03 -1713.46000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 552000.00000000 PA 653340.21000000 0.130776733621 Long DBT NUSS IT Y 2 2033-09-01 Fixed 2.45000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 421.49000000 0.000084368120 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14892.09000000 USD 2020-04-03 421.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 710.97000000 0.000142312279 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 16000.00000000 EUR 18267.54000000 USD 2020-04-03 710.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 924.00000000 0.000184953719 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13966.35000000 USD 2020-04-03 924.00000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 345000.00000000 PA 412619.97000000 0.082592638686 Long DBT NUSS US N 2 2023-12-20 Fixed 2.12500000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -2097.78000000 -0.00041990499 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 31146.65000000 USD 49000.00000000 NZD 2020-04-03 -2097.78000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 2055000.00000000 PA 2264397.73000000 0.453256257945 Long DBT NUSS FR N 2 2021-02-25 Fixed 0.00000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -1289.79000000 -0.00025817257 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 39533.52000000 USD 37000.00000000 CHF 2020-04-03 -1289.79000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -13519.95000000 -0.00270623921 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 149502.68000000 USD 2429000.00000000 ZAR 2020-04-03 -13519.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3427.69000000 -0.00068610824 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 420000.00000000 NOK 36569.89000000 USD 2020-04-03 -3427.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -893.45000000 -0.00017883863 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 32053.02000000 USD 2020-04-30 -893.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 30134.34000000 0.006031881238 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 6763711.87000000 ZAR 408515.62000000 USD 2020-04-08 30134.34000000 N N N Mizuho Financial Group, Inc. 353800CI5L6DDAN5XZ33 N/A 385000.00000000 PA 403464.89000000 0.080760099619 Long DBT NUSS JP N 2 2024-10-16 Fixed 0.95600000 N N N N N N SEVERN TRENT UTILITIES FINANCE PLC. 213800KY9PT6WBH33232 N/A 175000.00000000 PA 233472.50000000 0.046733341179 Long DBT NUSS GB N 2 2026-01-16 Fixed 3.62500000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 93672.04000000 0.018749991559 N/A DFE XX N 2 BARCLAYS CAPITAL INC. N/A 8238888.89000000 USD 11864000.00000000 SGD 2020-04-03 93672.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 342.61000000 0.000068578997 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14607.32000000 USD 2020-04-03 342.61000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -10455.26000000 -0.00209279136 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 372637.36000000 USD 39097000.00000000 JPY 2020-04-03 -10455.26000000 N N N Japan 353800WZS8AXZXFUC241 N/A 38700000.00000000 PA 521771.57000000 0.104441117471 Long DBT NUSS JP N 2 2053-03-20 Fixed 1.90000000 N N N N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 N/A 280000.00000000 PA 307726.26000000 0.061596446256 Long DBT NUSS CA N 2 2021-04-19 Fixed 0.12500000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 498.85000000 0.000099852990 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14322.00000000 USD 25000.00000000 NZD 2020-04-03 498.85000000 N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 N/A 540000.00000000 PA 491627.11000000 0.098407210549 Long DBT NUSS US N 2 2023-09-07 Fixed 0.95500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -741.52000000 -0.00014842736 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14143.30000000 USD 2020-04-30 -741.52000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 526.20000000 0.000105327540 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 31579.46000000 USD 31000.00000000 CHF 2020-04-30 526.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1372.44000000 0.000274716323 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 32371.75000000 USD 2020-04-03 1372.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -12027.40000000 -0.00240748091 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49101000.00000000 JPY 443490.04000000 USD 2020-04-27 -12027.40000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -387390.19000000 -0.07754248538 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 3300449.28000000 USD 30554500.00000000 NOK 2020-05-26 -387390.19000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 193.40000000 0.000038712174 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13155.58000000 USD 19000.00000000 CAD 2020-04-03 193.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1888.55000000 -0.00037802418 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 76749000.00000000 THB 2337770.33000000 USD 2020-04-30 -1888.55000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 863000.00000000 PA 1011529.14000000 0.202474108998 Long DBT NUSS DE N 2 2026-02-15 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 904.33000000 0.000181016447 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13946.68000000 USD 2020-04-03 904.33000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 90000.00000000 PA 103927.84000000 0.020802857744 Long DBT NUSS IT Y 2 2067-03-01 Fixed 2.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -536.52000000 -0.00010739325 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 32409.95000000 USD 2020-04-30 -536.52000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -567.85000000 -0.00011366446 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 45013.27000000 USD 43000.00000000 CHF 2020-04-03 -567.85000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1327.67000000 -0.00026575487 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 50239.90000000 USD 5280000.00000000 JPY 2020-04-03 -1327.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -61.08000000 -0.00001222616 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 76500000.00000000 HUF 233054.08000000 USD 2020-04-30 -61.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1074.91000000 0.000215160825 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1920000.00000000 JPY 18861.18000000 USD 2020-04-03 1074.91000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -3259.66000000 -0.00065247428 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 93777.63000000 USD 73000.00000000 GBP 2020-04-03 -3259.66000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -765.02000000 -0.00015313127 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14404.71000000 USD 11000.00000000 GBP 2020-04-03 -765.02000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 16038.36000000 0.003210340189 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 415216.04000000 USD 347700.00000000 GBP 2020-04-24 16038.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 16644.28000000 0.003331624991 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2352000.00000000 ZAR 148316.31000000 USD 2020-04-03 16644.28000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1034.49000000 0.000207070100 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 AUD 14499.58000000 USD 2020-04-03 1034.49000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -802.88000000 -0.00016070956 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14833.02000000 USD 139000.00000000 SEK 2020-04-03 -802.88000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 1685000.00000000 PA 1859633.30000000 0.372236034130 Long DBT NUSS FR N 2 2021-05-25 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 50.04000000 0.000010016324 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 16000.00000000 EUR 17606.61000000 USD 2020-04-03 50.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1169.87000000 0.000234168623 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 14022.91000000 USD 2020-04-03 1169.87000000 N N N Rogers Communications Inc. 54930030NVF3Y2OL0A78 775109AV3 165000.00000000 PA 118664.14000000 0.023752569319 Long DBT NUSS CA N 2 2022-06-06 Fixed 4.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8.25000000 -0.00000165137 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 CAD 17563.09000000 USD 2020-04-30 -8.25000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1713.89000000 -0.00034306312 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 27000.00000000 GBP 31776.95000000 USD 2020-04-30 -1713.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 953.36000000 0.000190830603 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 46000.00000000 CAD 33271.95000000 USD 2020-04-03 953.36000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 2088000.00000000 PA 1547394.46000000 0.309736321147 Long DBT NUSS SG N 2 2022-09-01 Fixed 3.12500000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -1100.43000000 -0.00022026907 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 37276.93000000 USD 35000.00000000 CHF 2020-04-03 -1100.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4537.24000000 0.000908202828 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 432428.42000000 EUR 479113.82000000 USD 2020-04-08 4537.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -34.06000000 -0.00000681766 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1582000.00000000 JPY 14621.08000000 USD 2020-04-03 -34.06000000 N N N Santander Holdings USA, Inc. 549300SMVCQN2P0O6I58 80282KAT3 460000.00000000 PA USD 455467.62000000 0.091169296948 Long DBT CORP US N 2 2022-03-28 Fixed 3.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -665.06000000 -0.00013312264 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14219.76000000 USD 2020-04-30 -665.06000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1324.40000000 -0.00026510033 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14656.93000000 USD 140000.00000000 NOK 2020-04-03 -1324.40000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -1491.66000000 -0.00029858015 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 33084.72000000 USD 313000.00000000 SEK 2020-04-03 -1491.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 487.96000000 0.000097673178 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15245.00000000 USD 2020-04-03 487.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1643.36000000 -0.00032894539 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 684581.07000000 EUR 749662.82000000 USD 2020-04-08 -1643.36000000 N N N European Union 529900FZRK8FGMPEOM08 N/A 575000.00000000 PA 780592.30000000 0.156248321658 Long DBT NUSS XX N 2 2028-04-04 Fixed 2.87500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 754.86000000 0.000151097580 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12710.23000000 USD 22000.00000000 AUD 2020-04-03 754.86000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -917.64000000 -0.00018368066 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13678.77000000 USD 134000.00000000 NOK 2020-04-03 -917.64000000 N N N EURO N/A N/A 1.00000000 NC -20.23000000 -0.00000404936 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14297.78000000 USD 13000.00000000 EUR 2020-04-30 -20.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 595.58000000 0.000119215082 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32416.87000000 USD 2020-04-03 595.58000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -945.65000000 -0.00018928732 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 33184.93000000 USD 26000.00000000 GBP 2020-04-03 -945.65000000 N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 300000.00000000 PA 352234.11000000 0.070505420714 Long DBT NUSS FR N 2 2027-05-19 Fixed 1.12500000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -833.37000000 -0.00016681264 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14182.35000000 USD 19000.00000000 CAD 2020-04-03 -833.37000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -878.19000000 -0.00017578409 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13731.23000000 USD 21000.00000000 AUD 2020-04-03 -878.19000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 4546000.00000000 PA 454461.47000000 0.090967899562 Long DBT NUSS NO Y 2 2026-02-19 Fixed 1.50000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 185000.00000000 PA 113402.04000000 0.022699273900 Long DBT NUSS AU N 2 2020-04-15 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 742.79000000 0.000148681572 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14382.48000000 USD 2020-04-03 742.79000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 169.01000000 0.000033830117 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14585.13000000 USD 21000.00000000 CAD 2020-04-03 169.01000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -868.57000000 -0.00017385849 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13721.61000000 USD 21000.00000000 AUD 2020-04-03 -868.57000000 N N N Vattenfall AB 549300T5RZ1HA5HZ3109 N/A 213000.00000000 PA 246698.95000000 0.049380831571 Long DBT NUSS SE N 2 2021-03-17 Fixed 6.25000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 468.60000000 0.000093797957 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32602.74000000 USD 3570000.00000000 JPY 2020-04-03 468.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 27489.12000000 0.005502397171 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 577000.00000000 AUD 380641.71000000 USD 2020-04-03 27489.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6915.14000000 0.001384178423 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1977000.00000000 CHF 2050370.67000000 USD 2020-04-03 6915.14000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 20.64000000 0.000004131433 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13619.05000000 USD 11000.00000000 GBP 2020-04-03 20.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -242.89000000 -0.00004861840 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 12610.15000000 USD 2020-04-03 -242.89000000 N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 N/A 455000.00000000 PA 505449.05000000 0.101173898008 Long DBT NUSS AU N 2 2024-04-11 Fixed 0.37500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -107.35000000 -0.00002148785 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12960.39000000 USD 21000.00000000 AUD 2020-04-03 -107.35000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 704.09000000 0.000140935134 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 33000.00000000 CHF 34813.36000000 USD 2020-04-03 704.09000000 N N N UNEDIC 969500V3L9W19NIA5E82 N/A 700000.00000000 PA 851144.76000000 0.170370550975 Long DBT NUSS FR N 2 2033-05-25 Fixed 1.25000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -202.66000000 -0.00004056571 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13837.84000000 USD 23000.00000000 NZD 2020-04-03 -202.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 482.17000000 0.000096514215 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15986.38000000 USD 2020-04-03 482.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 21251.86000000 0.004253907522 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2352000.00000000 ZAR 152923.89000000 USD 2020-04-03 21251.86000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -995.29000000 -0.00019922357 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 17594.64000000 USD 28000.00000000 NZD 2020-04-03 -995.29000000 N N N LEAR CORPORATION 549300UPNBTXA1SYTQ33 521865AY1 193000.00000000 PA USD 174180.68000000 0.034865113216 Long DBT CORP US N 2 2027-09-15 Fixed 3.80000000 N N N N N N EURO N/A N/A 1.00000000 NC -212625.27000000 -0.04256042697 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 71057782.56000000 USD 64564000.00000000 EUR 2020-04-03 -212625.27000000 N N N BRK:JPM N/A N/A 1230000.00000000 NC 3239.45000000 0.000648428924 N/A DIR XX N 2 BRK:JPM N/A Y 2025-02-28 0.00000000 GBP 0.00000000 GBP -1230000.00000000 GBP 3239.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 336.62000000 0.000067380001 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15840.83000000 USD 2020-04-03 336.62000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -33593.72000000 -0.00672433275 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 1184142.78000000 USD 124200000.00000000 JPY 2020-04-03 -33593.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18782.79000000 0.003759682760 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2288000.00000000 ZAR 146871.91000000 USD 2020-04-03 18782.79000000 N N N Japan 353800WZS8AXZXFUC241 N/A 125400000.00000000 PA 1181318.99000000 0.236460325743 Long DBT NUSS JP N 2 2027-06-20 Fixed 0.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -164725.49000000 -0.03297250222 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21369500.00000000 EUR 23300127.48000000 USD 2020-04-24 -164725.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2293.20000000 0.000459021503 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 31059.53000000 USD 2020-04-03 2293.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -139.08000000 -0.00002783913 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 EUR 11931.06000000 USD 2020-04-03 -139.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -328.66000000 -0.00006578667 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1582000.00000000 JPY 14350.46000000 USD 2020-04-30 -328.66000000 N N N Japan 353800WZS8AXZXFUC241 N/A 149750000.00000000 PA 1617044.77000000 0.323677970380 Long DBT NUSS JP N 2 2033-03-20 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1001.58000000 0.000200482625 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1620000.00000000 JPY 16008.74000000 USD 2020-04-03 1001.58000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 210.74000000 0.000042183059 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14549.19000000 USD 21000.00000000 CAD 2020-04-30 210.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1127.49000000 0.000225685572 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 AUD 14592.58000000 USD 2020-04-03 1127.49000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 5355900.00000000 PA 228395.57000000 0.045717110566 Long DBT NUSS MX N 2 2021-06-10 Floating 6.50000160 N N N N N N EURO N/A N/A 1.00000000 NC 3202.71000000 0.000641074812 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 497968.08000000 USD 456660.74000000 EUR 2020-04-08 3202.71000000 N N N POLISH ZLOTY N/A N/A 1.00000000 NC -11532.43000000 -0.00230840456 N/A DFE PA N 2 CREDIT SUISSE - FIRST BOSTON N/A 1300727.88000000 USD 5352272.80000000 PLN 2020-05-20 -11532.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -587.64000000 -0.00011762576 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13052.05000000 USD 2020-04-03 -587.64000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 202.10000000 0.000040453621 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 17404.23000000 USD 17000.00000000 CHF 2020-04-30 202.10000000 N N N Japan 353800WZS8AXZXFUC241 N/A 451400000.00000000 PA 4316639.25000000 0.864045978952 Long DBT NUSS JP N 2 2036-09-20 Fixed 0.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -835.75000000 -0.00016728903 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14184.73000000 USD 19000.00000000 CAD 2020-04-03 -835.75000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -240.76000000 -0.00004819205 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14540.43000000 USD 2020-04-30 -240.76000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 2359000.00000000 PA 2773715.19000000 0.555204481514 Long DBT NUSS FR N 2 2023-05-25 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 30842.82000000 0.006173695103 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12932518.04000000 CNY 1856333.15000000 USD 2020-04-16 30842.82000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -194.34000000 -0.00003890033 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 28573.58000000 USD 298000.00000000 NOK 2020-04-03 -194.34000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 36336.22000000 0.007273289001 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1037000.00000000 EUR 1174221.54000000 USD 2020-04-03 36336.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 887.94000000 0.000177735720 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 29654.27000000 USD 2020-04-03 887.94000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -473.39000000 -0.00009475675 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14108.57000000 USD 23000.00000000 NZD 2020-04-03 -473.39000000 N N N Takeda Pharmaceutical Company Limited 549300ZLMVP4X0OGR454 N/A 430000.00000000 PA 470695.66000000 0.094217438330 Long DBT NUSS JP Y 2 2022-11-21 Fixed 1.12500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -386.51000000 -0.00007736630 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 58665.21000000 USD 47000.00000000 GBP 2020-04-03 -386.51000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -430.82000000 -0.00008623567 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14561.90000000 USD 140000.00000000 SEK 2020-04-03 -430.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7075.47000000 -0.00141627109 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1051092.99000000 EUR 1146466.01000000 USD 2020-04-08 -7075.47000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -2750.09000000 -0.00055047551 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 41128.72000000 USD 403000.00000000 NOK 2020-04-03 -2750.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 413.67000000 0.000082802819 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14884.27000000 USD 2020-04-03 413.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 675.60000000 0.000135232394 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15432.64000000 USD 2020-04-03 675.60000000 N N N Japan 353800WZS8AXZXFUC241 N/A 328900000.00000000 PA 3015320.35000000 0.603565707667 Long DBT NUSS JP N 2 2056-03-20 Fixed 0.40000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 730.85000000 0.000146291586 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13501.17000000 USD 141000.00000000 SEK 2020-04-03 730.85000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6298.69000000 -0.00126078586 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 36091000.00000000 JPY 328036.78000000 USD 2020-04-03 -6298.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2.18000000 0.000000436362 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 30787.75000000 USD 2020-04-03 2.18000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 2081000.00000000 PA 1466075.20000000 0.293458940633 Long DBT NUSS SG N 2 2020-07-01 Fixed 2.00000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 169400000.00000000 PA 1546576.26000000 0.309572545029 Long DBT NUSS JP N 2 2036-06-20 Fixed 0.20000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -10570.44000000 -0.00211584652 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 2054025.97000000 USD 1977000.00000000 CHF 2020-04-03 -10570.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2458.35000000 0.000492078978 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 46000.00000000 GBP 59497.07000000 USD 2020-04-03 2458.35000000 N N N Development Bank of Japan Inc. 5493001HGBABMWFZUI25 25159MAD9 132000000.00000000 PA 1261966.67000000 0.252603278531 Long DBT NUSS JP N 2 2023-06-20 Fixed 1.05000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 391.14000000 0.000078293071 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14908.92000000 USD 25000.00000000 AUD 2020-04-30 391.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 208317.25000000 0.041698106277 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11629000.00000000 SGD 8375828.30000000 USD 2020-04-03 208317.25000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -434.75000000 -0.00008702232 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14069.93000000 USD 23000.00000000 NZD 2020-04-03 -434.75000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -669.50000000 -0.00013401138 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33740.84000000 USD 3570000.00000000 JPY 2020-04-03 -669.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 657.73000000 0.000131655421 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15479.62000000 USD 2020-04-03 657.73000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -738.40000000 -0.00014780284 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14667.61000000 USD 138000.00000000 SEK 2020-04-03 -738.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1128.07000000 0.000225801669 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32949.36000000 USD 2020-04-03 1128.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 569.70000000 0.000114034776 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 312000.00000000 SEK 32061.82000000 USD 2020-04-03 569.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -133.68000000 -0.00002675823 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13506.01000000 USD 2020-04-03 -133.68000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -168.57000000 -0.00003374204 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14198.71000000 USD 139000.00000000 SEK 2020-04-03 -168.57000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -628.76000000 -0.00012585660 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14268.45000000 USD 11000.00000000 GBP 2020-04-03 -628.76000000 N N N Wepa Hygieneprodukte GmbH 529900KQ44OJDIDU6J81 N/A 108000.00000000 PA 103690.05000000 0.020755260185 Long DBT NUSS DE Y 2 2027-12-15 Fixed 2.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -918.90000000 -0.00018393287 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49000.00000000 NZD 28129.97000000 USD 2020-04-03 -918.90000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 51.58000000 0.000010324581 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 4995.23000000 USD 50000.00000000 SEK 2020-04-03 51.58000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 6757000.00000000 PA 703177.14000000 0.140752410641 Long DBT NUSS NO Y 2 2028-04-26 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3.45000000 0.000000690573 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1583000.00000000 JPY 14691.85000000 USD 2020-04-30 3.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1130.52000000 0.000226292076 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 AUD 14595.61000000 USD 2020-04-03 1130.52000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 67.94000000 0.000013599302 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15102.89000000 USD 2020-04-03 67.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 412.85000000 0.000082638682 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 15281.06000000 USD 2020-04-03 412.85000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 503.64000000 0.000100811787 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16007.85000000 USD 2020-04-03 503.64000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -8801.07000000 -0.00176167817 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 172423.27000000 USD 276000.00000000 NZD 2020-04-03 -8801.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 660.47000000 0.000132203877 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14300.16000000 USD 2020-04-03 660.47000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2528.71000000 0.000506162683 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 30962.13000000 USD 27000.00000000 GBP 2020-04-30 2528.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -226.25000000 -0.00004528763 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14244.35000000 USD 2020-04-03 -226.25000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1170.91000000 -0.00023437679 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13932.04000000 USD 134000.00000000 NOK 2020-04-03 -1170.91000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 423.96000000 0.000084862531 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 19359.55000000 USD 196000.00000000 SEK 2020-04-03 423.96000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -5386.37000000 -0.00107817009 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 144797.38000000 USD 919000.00000000 TRY 2020-04-03 -5386.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 285.53000000 0.000057153501 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 30496.39000000 USD 2020-04-03 285.53000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -25.63000000 -0.00000513026 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32436.60000000 USD 3493000.00000000 JPY 2020-04-30 -25.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -193.34000000 -0.00003870016 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14277.26000000 USD 2020-04-03 -193.34000000 N N N WM MORRISON SUPERMARKETS P L C 213800IN6LSRGTZSOS29 N/A 225000.00000000 PA 290422.08000000 0.058132731481 Long DBT NUSS GB N 2 2026-07-27 Fixed 3.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 469.22000000 0.000093922060 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 21938.64000000 USD 222000.00000000 SEK 2020-04-03 469.22000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -18.82000000 -0.00000376713 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32682.56000000 USD 3526000.00000000 JPY 2020-04-03 -18.82000000 N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 80413TAA7 275000.00000000 PA USD 271592.20000000 0.054363622886 Long DBT NUSS SA Y 2 2021-10-26 Fixed 2.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3583.06000000 0.000717208088 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 168000.00000000 EUR 187927.07000000 USD 2020-04-03 3583.06000000 N N N LEAR CORPORATION 549300UPNBTXA1SYTQ33 521865BB0 81000.00000000 PA USD 70129.42000000 0.014037550939 Long DBT CORP US N 2 2030-05-30 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 313.16000000 0.000062684098 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14783.76000000 USD 2020-04-03 313.16000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1987.13000000 -0.00039775658 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 17319.54000000 USD 161000.00000000 NOK 2020-04-03 -1987.13000000 N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 130000.00000000 PA 178470.74000000 0.035723838923 Long DBT NUSS FI Y 2 2047-04-15 Fixed 1.37500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 15922.39000000 0.003187126896 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 438772.06000000 USD 4769200.00000000 NOK 2020-05-26 15922.39000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -1053.19000000 -0.00021081321 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 20836.70000000 USD 196000.00000000 SEK 2020-04-03 -1053.19000000 N N N Bundesrepublik Deutschland N/A N/A -23.00000000 NC -3412258.48000000 -0.68301936947 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Short Germany Govt. Bond Futures Euro-BOBL Future Jun 2020 2020-06-11 -3487702.41000000 EUR 75443.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 77.49000000 0.000015510891 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 14899.38000000 USD 2020-04-03 77.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -33.91000000 -0.00000678764 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 570000.00000000 JPY 5255.03000000 USD 2020-04-30 -33.91000000 N N N Instituto de Credito Oficial PJQDPSI1D8J2Q1IM3G17 N/A 180000.00000000 PA 208652.82000000 0.041765276104 Long DBT NUSS ES N 2 2021-03-08 Fixed 6.00000000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1171000.00000000 PA 924743.35000000 0.185102513055 Long DBT NUSS SG N 2 2039-07-01 Fixed 2.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 14656.44000000 0.002933726288 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2761000.00000000 MXN 132333.00000000 USD 2020-04-03 14656.44000000 N N N NATIONAL OILWELL VARCO, INC. 549300EHF3IW1AR6U008 637071AM3 205000.00000000 PA USD 153035.89000000 0.030632637506 Long DBT CORP US N 2 2029-12-01 Fixed 3.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 27708.60000000 0.005546329685 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 72091000.00000000 JPY 695536.55000000 USD 2020-04-03 27708.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1152.77000000 -0.00023074577 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 625000.00000000 EUR 685130.63000000 USD 2020-04-24 -1152.77000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 570000.00000000 PA 663030.51000000 0.132716405728 Long DBT NUSS NL Y 2 2026-07-15 Fixed 0.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 164.90000000 0.000033007433 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14792.39000000 USD 148000.00000000 SEK 2020-04-30 164.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1142.64000000 -0.00022871809 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 GBP 34829.00000000 USD 2020-04-30 -1142.64000000 N N N ANHEUSER-BUSCH INBEV N.V. 5493008H3828EMEXB082 N/A 230000.00000000 PA 240680.69000000 0.048176178355 Long DBT NUSS BE N 2 2027-07-01 Fixed 1.12500000 N N N N N N EURO N/A N/A 1.00000000 NC -207.47000000 -0.00004152851 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14472.18000000 USD 13000.00000000 EUR 2020-04-03 -207.47000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -609.88000000 -0.00012207746 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13958.86000000 USD 19000.00000000 CAD 2020-04-03 -609.88000000 N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 156000.00000000 PA 175096.85000000 0.035048499633 Long DBT NUSS XX N 2 2024-10-14 Fixed 0.25000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -14304.59000000 -0.00286329775 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 10366189.08000000 USD 1117470000.00000000 JPY 2020-04-03 -14304.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 252913.19000000 0.050624713391 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 5664000.00000000 GBP 7276116.00000000 USD 2020-04-03 252913.19000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 922421.00000000 PA 1053649.17000000 0.210905122211 Long DBT NUSS NL Y 2 2025-07-15 Fixed 0.25000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 33.48000000 0.000006701569 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12819.56000000 USD 21000.00000000 AUD 2020-04-03 33.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3205.22000000 0.000641577229 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 308000.00000000 NOK 32536.78000000 USD 2020-04-03 3205.22000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -118.24000000 -0.00002366767 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13467.22000000 USD 19000.00000000 CAD 2020-04-03 -118.24000000 N N N Statsministeriet, Departementet 549300PTO6LS1PTM6607 N/A 4025000.00000000 PA 634389.67000000 0.126983472953 Long DBT NUSS DK N 2 2023-11-15 Fixed 1.50000000 N N N N N N EURO N/A N/A 1.00000000 NC 39832.79000000 0.007973184701 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1481250.89000000 USD 1385992.98000000 EUR 2020-04-08 39832.79000000 N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HCB9 291000.00000000 PA 283583.95000000 0.056763967869 Long DBT NUSS US N 2 2024-06-12 Fixed 0.80000000 N N N N N N B.A.T. INTERNATIONAL FINANCE P.L.C. 21380041YBGOQDFAC823 N/A 333000.00000000 PA 339128.22000000 0.067882062379 Long DBT NUSS GB N 2 2027-03-13 Fixed 1.25000000 N N N N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 408000.00000000 PA 577588.51000000 0.115613791343 Long DBT NUSS CH N 2 2042-04-30 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2120.05000000 0.000424362697 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 87000.00000000 CHF 92044.50000000 USD 2020-04-03 2120.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 361.59000000 0.000072378155 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14832.19000000 USD 2020-04-03 361.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 186.25000000 0.000037280985 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15221.20000000 USD 2020-04-03 186.25000000 N N N Swedbank Hypotek AB 549300TJREQ7GHIXWR36 N/A 360000.00000000 PA 399449.62000000 0.079956377627 Long DBT NUSS SE N 2 2022-03-11 Fixed 0.37500000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 141000.00000000 PA 173710.17000000 0.034770932940 Long DBT NUSS ES Y 2 2030-07-30 Fixed 1.95000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 500.87000000 0.000100257326 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14799.19000000 USD 25000.00000000 AUD 2020-04-30 500.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -505.15000000 -0.00010111403 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 97000.00000000 NOK 8732.39000000 USD 2020-04-03 -505.15000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1778.01000000 -0.00035589779 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14539.14000000 USD 134000.00000000 NOK 2020-04-03 -1778.01000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 H3698DBW3 286000.00000000 PA USD 263577.60000000 0.052759369553 Long DBT NUSS CH N 2 2169-01-17 Fixed 7.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 201.82000000 0.000040397575 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15023.71000000 USD 2020-04-03 201.82000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 326000.00000000 PA 586269.18000000 0.117351369485 Long DBT NUSS AT Y 2 2037-03-15 Fixed 4.15000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -23168.55000000 -0.00463756438 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 123206500.00000000 JPY 1118592.00000000 USD 2020-04-09 -23168.55000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 277.98000000 0.000055642245 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13071.00000000 USD 19000.00000000 CAD 2020-04-03 277.98000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 775000.00000000 PA 898131.60000000 0.179775735845 Long DBT NUSS PT Y 2 2022-10-17 Fixed 2.20000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -17300.73000000 -0.00346302420 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 145389.85000000 USD 2288000.00000000 ZAR 2020-04-03 -17300.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 481.89000000 0.000096458168 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14121.58000000 USD 2020-04-03 481.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1991.11000000 0.000398553246 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 123034.13000000 EUR 137017.20000000 USD 2020-04-08 1991.11000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 29.89000000 0.000005982972 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 15883.40000000 USD 26000.00000000 AUD 2020-04-03 29.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 525.23000000 0.000105133378 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 CHF 13962.22000000 USD 2020-04-03 525.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1423.33000000 0.000284902789 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 360000.00000000 SEK 37760.39000000 USD 2020-04-03 1423.33000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -136.02000000 -0.00002722662 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 29184.89000000 USD 49000.00000000 NZD 2020-04-03 -136.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 494.29000000 0.000098940231 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15529.24000000 USD 2020-04-03 494.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 755.80000000 0.000151285737 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 135000.00000000 NOK 13612.17000000 USD 2020-04-03 755.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 209.76000000 0.000041986896 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1920000.00000000 JPY 17996.03000000 USD 2020-04-03 209.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -885.22000000 -0.00017719126 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 13999.60000000 USD 2020-04-30 -885.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -331.31000000 -0.00006631711 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13017.67000000 USD 2020-04-03 -331.31000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087D35 300000.00000000 PA 282010.75000000 0.056449066147 Long DBT NUSS CA N 2 2048-12-01 Fixed 2.75000000 N N N N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 405000.00000000 PA 450800.52000000 0.090235100516 Long DBT NUSS CH N 2 2024-06-11 Fixed 1.25000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -422.20000000 -0.00008451023 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 33497.86000000 USD 32000.00000000 CHF 2020-04-03 -422.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 884.48000000 0.000177043144 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 31095.34000000 USD 2020-04-03 884.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -284.31000000 -0.00005690929 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 31565.60000000 USD 2020-04-30 -284.31000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 245.50000000 0.000049140842 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14711.79000000 USD 148000.00000000 SEK 2020-04-30 245.50000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 861.19000000 0.000172381270 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 27518.05000000 USD 298000.00000000 NOK 2020-04-03 861.19000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1267.32000000 -0.00025367483 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14599.85000000 USD 140000.00000000 NOK 2020-04-03 -1267.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 113.10000000 0.000022638815 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15617.31000000 USD 2020-04-03 113.10000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1058.70000000 -0.00021191612 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13911.74000000 USD 21000.00000000 AUD 2020-04-03 -1058.70000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -733.11000000 -0.00014674396 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 30943.97000000 USD 43000.00000000 CAD 2020-04-03 -733.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 734.71000000 0.000147064228 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14374.40000000 USD 2020-04-03 734.71000000 N N N EBAY INC. OML71K8X303XQONU6T67 278642AV5 139000.00000000 PA USD 131272.09000000 0.026276256815 Long DBT CORP US N 2 2025-03-11 Fixed 1.90000000 N N N N N N United States of America N/A N/A -37.00000000 NC USD -4638296.88000000 -0.92843101687 N/A DIR US N 1 MORGAN STANLEY & CO, INC N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Jun 2020 2020-07-03 -4497188.49000000 USD -141108.39000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -1991.96000000 -0.00039872338 N/A DFE XX N 2 JP MORGAN N/A 35492.06000000 USD 786000.00000000 MXN 2020-04-03 -1991.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2316.36000000 0.000463657356 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 56000.00000000 AUD 36591.13000000 USD 2020-04-03 2316.36000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -822.71000000 -0.00016467886 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13675.75000000 USD 21000.00000000 AUD 2020-04-03 -822.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1702.57000000 -0.00034079724 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 63000.00000000 AUD 36856.55000000 USD 2020-04-03 -1702.57000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -155.32000000 -0.00003108983 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13193.66000000 USD 2020-04-03 -155.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 680.21000000 0.000136155161 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 15150.81000000 USD 2020-04-03 680.21000000 N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200JT9 593000.00000000 PA 647756.38000000 0.129659038679 Long DBT NUSS US N 2 2025-01-31 Fixed 0.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 68598.42000000 0.013731096237 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14793000.00000000 EUR 16315347.63000000 USD 2020-04-30 68598.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 262.26000000 0.000052495630 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1944000.00000000 JPY 18270.85000000 USD 2020-04-03 262.26000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1927.55000000 -0.00038583067 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 31435.83000000 USD 42000.00000000 CAD 2020-04-03 -1927.55000000 N N N United States of America N/A N/A -10.00000000 NC USD -1253593.75000000 -0.25092730158 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Short U.S. Treasury Futures US 5-Year Note (consolidated) Jun 2020 2020-07-03 -1253364.90000000 USD -228.85000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 500.38000000 0.000100159244 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32107.77000000 USD 3520000.00000000 JPY 2020-04-03 500.38000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 6573.87000000 0.001315867648 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 425176.65000000 USD 348100.00000000 GBP 2020-04-24 6573.87000000 N N N EURO N/A N/A 1.00000000 NC -4920.90000000 -0.00098499865 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 305963.47000000 USD 274306.33000000 EUR 2020-04-08 -4920.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 75.73000000 0.000015158598 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13715.42000000 USD 2020-04-03 75.73000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -10406.69000000 -0.00208306928 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 377016.83000000 USD 39575000.00000000 JPY 2020-04-03 -10406.69000000 N N N Federal National Mortgage Association N/A 30711XDA9 88140.06680000 PA USD 82839.62000000 0.016581705445 Long DBT USGA US N 2 2029-01-25 Floating 5.19999840 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -816.04000000 -0.00016334375 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17773.34000000 USD 168000.00000000 SEK 2020-04-03 -816.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 464.09000000 0.000092895207 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1944000.00000000 JPY 18472.68000000 USD 2020-04-03 464.09000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -19.86000000 -0.00000397530 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12872.90000000 USD 21000.00000000 AUD 2020-04-03 -19.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 855.47000000 0.000171236318 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15677.36000000 USD 2020-04-03 855.47000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -819.81000000 -0.00016409838 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13862.16000000 USD 22000.00000000 NZD 2020-04-03 -819.81000000 N N N BOARDWALK PIPELINES, LP 549300W6AQ2GHHCGL606 096630AG3 119000.00000000 PA USD 89664.71000000 0.017947858888 Long DBT CORP XX N 2 2029-05-03 Fixed 4.80000000 N N N N N N Canada Housing Trust No. 1 549300M44WH89JG50067 13509PFY4 2465000.00000000 PA 1771540.70000000 0.354602858783 Long DBT NUSS CA Y 2 2022-06-15 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2053.52000000 0.000411045629 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 161000.00000000 NOK 17385.93000000 USD 2020-04-03 2053.52000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 753000.00000000 PA 1346993.95000000 0.269622879922 Long DBT NUSS ES Y 2 2041-07-30 Fixed 4.70000000 N N N N N N Banco Bilbao Vizcaya Argentaria, S.A. K8MS7FD7N5Z2WQ51AZ71 N/A 200000.00000000 PA 185435.11000000 0.037117871536 Long DBT NUSS ES N 2 2168-12-24 Fixed 5.87500000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 200000.00000000 PA 276342.48000000 0.055314469157 Long DBT NUSS GB N 2 2024-09-07 Fixed 2.75000000 N N N N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 994000000.00000000 PA 822327.63000000 0.164602330871 Long DBT NUSS KR N 2 2026-12-10 Fixed 1.50000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 894000.00000000 PA 1034927.83000000 0.207157739673 Long DBT NUSS IT N 2 2028-02-01 Fixed 2.00000000 N N N N N N EURO N/A N/A 1.00000000 NC -312.45000000 -0.00006254198 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14577.16000000 USD 13000.00000000 EUR 2020-04-03 -312.45000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 2605000.00000000 PA 2859351.72000000 0.572346034262 Long DBT NUSS IT N 2 2021-11-01 Fixed 0.35000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 616.03000000 0.000123308484 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15437.92000000 USD 2020-04-03 616.03000000 N N N United States of America N/A N/A -17.00000000 NC USD -2652531.25000000 -0.53094753299 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Short U.S. Treasury Futures CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2020 2020-06-22 -2481711.60000000 USD -170819.65000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1047.30000000 -0.00020963423 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14512.39000000 USD 22000.00000000 AUD 2020-04-03 -1047.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7378.81000000 -0.00147698956 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1562000.00000000 NOK 141374.10000000 USD 2020-04-03 -7378.81000000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254AA8 500000.00000000 PA USD 348255.00000000 0.069708936738 Long DBT NUSS GB Y 2 2168-07-30 Floating 3.27949920 N N N N N N People's Republic of China 300300CHN201808MOF68 N/A 18210000.00000000 PA 2857848.87000000 0.572045214243 Long DBT NUSS CN N 2 2049-07-22 Fixed 3.86000000 N N N N N N Landwirtschaftliche Rentenbank 529900Z3J0N6S0F7CT25 N/A 225000.00000000 PA 258895.78000000 0.051822226672 Long DBT NUSS DE N 2 2027-05-18 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -49.26000000 -0.00000986019 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1620000.00000000 JPY 14957.90000000 USD 2020-04-03 -49.26000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 412100000.00000000 PA 97864.41000000 0.019589163014 Long DBT NUSS CO N 2 2032-06-30 Fixed 7.00000000 N N N N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AF2 265000.00000000 PA 301630.17000000 0.060376214092 Long DBT NUSS US N 2 2027-03-09 Fixed 1.75000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 96.81000000 0.000019378105 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 30902.50000000 USD 25000.00000000 GBP 2020-04-03 96.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 237.47000000 0.000047533506 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 10000.00000000 GBP 12637.19000000 USD 2020-04-03 237.47000000 N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 14448CAD6 290000.00000000 PA USD 285500.95000000 0.057147686787 Long DBT CORP US Y 2 2023-02-15 Fixed 1.92300000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 612.24000000 0.000122549854 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15434.13000000 USD 2020-04-03 612.24000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -13567.82000000 -0.00271582118 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 149550.55000000 USD 2429000.00000000 ZAR 2020-04-03 -13567.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 172.67000000 0.000034562725 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15207.62000000 USD 2020-04-03 172.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2167.67000000 0.000433894620 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 183000.00000000 EUR 203151.59000000 USD 2020-04-30 2167.67000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 255000.00000000 PA USD 259315.71000000 0.051906282533 Long DBT NUSS GB N 2 2028-03-13 Fixed 4.04100000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 374.59000000 0.000074980317 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15131.63000000 USD 2020-04-03 374.59000000 N N N EURO N/A N/A 1.00000000 NC -143.47000000 -0.00002871786 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 31964.76000000 USD 29000.00000000 EUR 2020-04-03 -143.47000000 N N N Freddie Mac N/A 3137G0ET2 179764.28550000 PA USD 175089.35000000 0.035046998385 Long DBT USGA US N 2 2027-10-25 Floating 3.47675040 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 2442.93000000 0.000488992413 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 125955.54000000 USD 1347000.00000000 NOK 2020-04-30 2442.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2354.80000000 -0.00047135175 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1347000.00000000 NOK 125923.16000000 USD 2020-04-03 -2354.80000000 N N N FIDELITY NATIONAL INFORMATION SERVICES, INC. 6WQI0GK1PRFVBA061U48 31620MBD7 400000.00000000 PA 425989.88000000 0.085268844944 Long DBT CORP US N 2 2027-05-21 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -663.64000000 -0.00013283840 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 AUD 14637.60000000 USD 2020-04-03 -663.64000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -323.07000000 -0.00006466774 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 11846.18000000 USD 121000.00000000 NOK 2020-04-03 -323.07000000 N N N Konungariket Sverige ERE94C0BSULG2RM19605 N/A 1205000.00000000 PA 195229.12000000 0.039078302897 Long DBT NUSS SE Y 2 2039-03-30 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 21857.78000000 0.004375192325 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2352000.00000000 ZAR 153529.81000000 USD 2020-04-03 21857.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 47375.91000000 0.009483063597 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3882443.04000000 BRL 795928.53000000 USD 2020-04-02 47375.91000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1096.87000000 -0.00021955647 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33529.01000000 USD 3501000.00000000 JPY 2020-04-03 -1096.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 420.74000000 0.000084217995 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13769.72000000 USD 2020-04-03 420.74000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2226.53000000 0.000445676412 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 27532.80000000 USD 24000.00000000 GBP 2020-04-03 2226.53000000 N N N JAB Holdings B.V. 529900RRNKUM3INJGF98 N/A 200000.00000000 PA 219629.79000000 0.043962496265 Long DBT NUSS NL N 2 2024-05-22 Fixed 1.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 55.50000000 0.000011109233 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14901.79000000 USD 148000.00000000 SEK 2020-04-30 55.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 651.14000000 0.000130336325 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 15519.35000000 USD 2020-04-03 651.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -904.00000000 -0.00018095039 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 13980.82000000 USD 2020-04-30 -904.00000000 N N N Japan 353800WZS8AXZXFUC241 N/A 212700000.00000000 PA 2622186.80000000 0.524873594800 Long DBT NUSS JP N 2 2040-09-20 Fixed 2.00000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -109.68000000 -0.00002195424 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14139.82000000 USD 139000.00000000 SEK 2020-04-03 -109.68000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -501.69000000 -0.00010042146 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 12445.52000000 USD 17000.00000000 CAD 2020-04-03 -501.69000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 267.53000000 0.000053550507 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1944000.00000000 JPY 18276.12000000 USD 2020-04-03 267.53000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1202.91000000 -0.00024078211 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 48000.00000000 AUD 28175.47000000 USD 2020-04-03 -1202.91000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 360000.00000000 PA 375357.19000000 0.075133883539 Long DBT CORP US N 2 2026-10-27 Fixed 1.37500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 104.22000000 0.000020861338 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 16853.08000000 USD 168000.00000000 SEK 2020-04-03 104.22000000 N N N Konungariket Sverige ERE94C0BSULG2RM19605 N/A 3040000.00000000 PA 333052.70000000 0.066665947638 Long DBT NUSS SE Y 2 2022-06-01 Fixed 3.50000000 N N N N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 200000.00000000 PA 279312.68000000 0.055909003288 Long DBT NUSS FR N 2 2026-10-07 Fixed 4.25000000 N N N N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 N/A 305000.00000000 PA USD 305392.67000000 0.061129340033 Long DBT NUSS NL N 2 2025-07-28 Fixed 4.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 512.19000000 0.000102523209 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 17052.26000000 USD 25000.00000000 CAD 2020-04-03 512.19000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1046.35000000 -0.00020944407 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 16959.64000000 USD 26000.00000000 AUD 2020-04-03 -1046.35000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 7648.30000000 0.001530932393 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 408993.18000000 USD 4375000.00000000 NOK 2020-04-03 7648.30000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -746.39000000 -0.00014940217 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14776.53000000 USD 139000.00000000 SEK 2020-04-03 -746.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 600.00000000 0.000120099817 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 13361.13000000 USD 2020-04-03 600.00000000 N N N N/A N/A N/A 18.00000000 NC 1659267.30000000 0.332129500646 N/A DIR AU N 1 MORGAN STANLEY & CO, INC N/A Long Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Jun 2020 2020-06-15 1608032.11000000 AUD 51235.19000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 79800.03000000 0.015973281770 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 12279134.84000000 USD 1334128000.00000000 JPY 2020-04-03 79800.03000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 36052.74000000 0.007216545841 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 2129131.51000000 USD 21451000.00000000 SEK 2020-04-03 36052.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 551.61000000 0.000110413767 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 38000.00000000 CHF 39828.95000000 USD 2020-04-03 551.61000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 213.12000000 0.000042659455 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1920000.00000000 JPY 17999.39000000 USD 2020-04-03 213.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19112.03000000 0.003825585534 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 445000.00000000 CAD 331759.28000000 USD 2020-04-03 19112.03000000 N N N EURO N/A N/A 1.00000000 NC -466.06000000 -0.00009328953 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 34481.92000000 USD 31000.00000000 EUR 2020-04-03 -466.06000000 N N N Japan 353800WZS8AXZXFUC241 N/A 549500000.00000000 PA 5599499.42000000 1.120831433388 Long DBT NUSS JP N 2 2047-09-20 Fixed 0.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 322.80000000 0.000064613701 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15079.84000000 USD 2020-04-03 322.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 506.85000000 0.000101454321 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 199000.00000000 SEK 20593.17000000 USD 2020-04-03 506.85000000 N N N CREDIT AGRICOLE HOME LOAN SFH S.A. 969500C9913Z7PKUGB44 N/A 700000.00000000 PA 778650.82000000 0.155859702667 Long DBT NUSS FR N 2 2024-02-23 Fixed 0.25000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -463.12000000 -0.00009270104 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13812.10000000 USD 19000.00000000 CAD 2020-04-03 -463.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 255.47000000 0.000051136500 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14726.07000000 USD 2020-04-03 255.47000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -11357.24000000 -0.00227333742 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 627311.84000000 USD 1039000.00000000 NZD 2020-04-03 -11357.24000000 N N N EURO N/A N/A 1.00000000 NC 62.40000000 0.000012490381 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 31758.89000000 USD 29000.00000000 EUR 2020-04-03 62.40000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 195000.00000000 PA 233932.51000000 0.046825419708 Long DBT NUSS US N 2 2022-06-30 Fixed 1.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -318.62000000 -0.00006377700 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 31502.67000000 USD 2020-04-03 -318.62000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1528.05000000 -0.00030586421 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14289.18000000 USD 134000.00000000 NOK 2020-04-03 -1528.05000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1882000.00000000 PA 2148829.88000000 0.430123461734 Long DBT NUSS DE N 2 2026-08-15 Fixed 0.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 204.77000000 0.000040988066 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14555.16000000 USD 21000.00000000 CAD 2020-04-30 204.77000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -14435.53000000 -0.00288950753 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 113845156.00000000 JPY 1040573.00000000 USD 2020-04-09 -14435.53000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3360000.00000000 PA 812519.41000000 0.162639055147 Long DBT NUSS MY N 2 2024-07-15 Fixed 4.18100000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -240.71000000 -0.00004818204 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13589.69000000 USD 19000.00000000 CAD 2020-04-03 -240.71000000 N N N ENGIE S.A. LAXUQCHT4FH58LRZDY46 N/A 300000.00000000 PA 329328.15000000 0.065920418011 Long DBT NUSS FR N 2 2024-03-27 Fixed 0.87500000 N N N N N N CNH INDUSTRIAL FINANCE EUROPE S.A. 5493007GVB1I2FDSS786 N/A 220000.00000000 PA 249629.28000000 0.049967385069 Long DBT NUSS LU N 2 2023-05-17 Fixed 2.87500000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -6962.69000000 -0.00139369633 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 142945.42000000 USD 2429000.00000000 ZAR 2020-04-03 -6962.69000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -4155.82000000 -0.00083185537 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 143566.83000000 USD 919000.00000000 TRY 2020-04-03 -4155.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3192.55000000 -0.00063904112 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 711000.00000000 NZD 417918.69000000 USD 2020-05-22 -3192.55000000 N N N N/A N/A CDS531211 -2077600.00000000 NC USD -80047.97000000 -0.01602291101 N/A DO XX N 2 BRK: CITIGROUP N/A Y 2020-12-20 94252.86000000 USD 0.00000000 USD -2077600.00000000 USD -174300.83000000 N N N Prologis Euro Finance LLC 549300MI5D1784PRQH06 N/A 300000.00000000 PA 297184.90000000 0.059486420564 Long DBT NUSS US N 2 2028-02-06 Fixed 0.37500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 997.82000000 0.000199730000 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14253.67000000 USD 160000.00000000 NOK 2020-04-30 997.82000000 N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 745000.00000000 PA 835259.63000000 0.167190882277 Long DBT NUSS XX N 2 2029-09-14 Fixed 0.25000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 20116.11000000 0.004026568575 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 3128990.92000000 USD 339386000.00000000 JPY 2020-04-30 20116.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 393.81000000 0.000078827515 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13742.79000000 USD 2020-04-03 393.81000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 370.46000000 0.000074153630 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 31948.13000000 USD 46000.00000000 CAD 2020-04-03 370.46000000 N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 276000.00000000 PA 128001.69000000 0.025621632742 Long DBT NUSS IL N 2 2042-01-31 Fixed 5.50000000 N N N N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 130000.00000000 PA 168769.17000000 0.033781910941 Long DBT NUSS NL N 2 2029-05-23 Fixed 4.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1195.35000000 0.000239268861 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 32000.00000000 NZD 20166.04000000 USD 2020-04-03 1195.35000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -18862.09000000 -0.00377555595 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 337534.96000000 USD 257000.00000000 GBP 2020-04-03 -18862.09000000 N N N THE ROYAL BANK OF SCOTLAND GROUP PUBLIC LIMITED COMPANY 2138005O9XJIJN4JPN90 780097AU5 200000.00000000 PA USD 165210.00000000 0.033069484827 Long DBT NUSS GB N 2 2168-03-31 Floating 3.77012880 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 487.56000000 0.000097593111 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14812.50000000 USD 25000.00000000 AUD 2020-04-30 487.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 587.44000000 0.000117585728 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25200000.00000000 JPY 234032.18000000 USD 2020-04-03 587.44000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 29271.23000000 0.005859115648 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 1296291.15000000 USD 2165900.00000000 AUD 2020-04-23 29271.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -107.18000000 -0.00002145383 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14777.64000000 USD 2020-04-30 -107.18000000 N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 N/A 160000.00000000 PA 163421.72000000 0.032711531323 Long DBT NUSS JE N 2 2049-08-09 Fixed 2.75000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 1595.40000000 0.000319345415 N/A DFE XX N 2 JP MORGAN N/A 422453.79000000 USD 9983700.00000000 MXN 2020-04-27 1595.40000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 678.70000000 0.000135852910 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 40070.83000000 USD 58000.00000000 CAD 2020-04-03 678.70000000 N N N Samsonite Finco S.a r.l. 222100JLR1QL2IJ49Q65 N/A 100000.00000000 PA 71078.93000000 0.014227610902 Long DBT NUSS LU Y 2 2026-05-15 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -191.79000000 -0.00003838990 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 50000.00000000 SEK 4855.02000000 USD 2020-04-03 -191.79000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 5302.58000000 0.001061398152 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 432208.96000000 USD 738000.00000000 NZD 2020-04-03 5302.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 465.23000000 0.000093123397 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1944000.00000000 JPY 18473.82000000 USD 2020-04-03 465.23000000 N N N BNG BANK N.V. 529900GGYMNGRQTDOO93 N/A 225000.00000000 PA 254575.86000000 0.050957523997 Long DBT NUSS NL N 2 2025-04-16 Fixed 0.50000000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 521100000.00000000 PA 132794.84000000 0.026581060144 Long DBT NUSS CO N 2 2022-05-04 Fixed 7.00000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 423.29000000 0.000084728419 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13606.85000000 USD 139000.00000000 SEK 2020-04-03 423.29000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 76.67000000 0.000015346755 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14155.35000000 USD 141000.00000000 SEK 2020-04-03 76.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 304.79000000 0.000061008705 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15126.68000000 USD 2020-04-03 304.79000000 N N N Japan 353800WZS8AXZXFUC241 N/A 134250000.00000000 PA 1213193.21000000 0.242840472433 Long DBT NUSS XX N 2 2046-06-20 Fixed 0.30000000 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 N/A 290000000.00000000 PA 3165786.94000000 0.633684057737 Long DBT NUSS XX N 2 2027-06-21 Fixed 2.35000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 870.29000000 0.000174202784 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 25807.24000000 USD 45000.00000000 NZD 2020-04-03 870.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 599.43000000 0.000119985722 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15634.38000000 USD 2020-04-03 599.43000000 N N N GE Capital UK Funding Unlimited Company BR7Z6BPTFF652NNO9651 N/A 165000.00000000 PA 241600.36000000 0.048360265354 Long DBT NUSS IE N 2 2038-05-05 Fixed 6.25000000 N N N N N N IHO Verwaltungs GmbH 529900JL0HDVGZMUJF32 ZS8102544 175000.00000000 PA 152140.95000000 0.030453500621 Long DBT NUSS DE Y 2 2025-05-15 Fixed 3.62500000 N N Y N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -789.55000000 -0.00015804135 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 100000.00000000 SGD 69444.44000000 USD 2020-04-03 -789.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -673.19000000 -0.00013474999 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 32273.28000000 USD 2020-04-30 -673.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 826.21000000 0.000165379450 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 31037.07000000 USD 2020-04-03 826.21000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1580.24000000 -0.00031631089 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 29673.78000000 USD 295000.00000000 NOK 2020-04-03 -1580.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 190.74000000 0.000038179732 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15225.69000000 USD 2020-04-03 190.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 398.26000000 0.000079718255 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13440.61000000 USD 2020-04-03 398.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 663.79000000 0.000132868430 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15420.83000000 USD 2020-04-03 663.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10698.16000000 0.002141411777 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 7862000.00000000 DKK 1166797.76000000 USD 2020-04-03 10698.16000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -13346.25000000 -0.00267147032 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 141435.37000000 USD 2288000.00000000 ZAR 2020-04-03 -13346.25000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -11887.32000000 -0.00237944160 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 283016.42000000 USD 2681100.00000000 SEK 2020-05-26 -11887.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 761.57000000 0.000152440697 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 142000.00000000 SEK 15094.52000000 USD 2020-04-03 761.57000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18593.53000000 0.003721799274 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 48061000.00000000 JPY 463815.25000000 USD 2020-04-03 18593.53000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -13405.73000000 -0.00268337621 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 141494.85000000 USD 2288000.00000000 ZAR 2020-04-03 -13405.73000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -161.34000000 -0.00003229484 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17118.64000000 USD 168000.00000000 SEK 2020-04-03 -161.34000000 N N N EURO N/A N/A 1.00000000 NC -54366.49000000 -0.01088234257 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1357233.13000000 USD 1187156.26000000 EUR 2020-04-08 -54366.49000000 N N N ZF NORTH AMERICA CAPITAL, INC. 529900JYGMS9CW9IQX78 N/A 200000.00000000 PA 200297.44000000 0.040092810078 Long DBT NUSS US N 2 2023-04-27 Fixed 2.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 51188.07000000 0.010246129799 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 3129633.40000000 USD 5197000.00000000 AUD 2020-04-03 51188.07000000 N N N Volkswagen Leasing Gesellschaft mit beschraenkter Haftung 5299004GLEUX88BSNB74 N/A 520000.00000000 PA 540959.30000000 0.108281855599 Long DBT NUSS DE N 2 2024-04-04 Fixed 1.12500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 569.61000000 0.000114016762 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13359.60000000 USD 138000.00000000 SEK 2020-04-03 569.61000000 N N N EURO N/A N/A 1.00000000 NC 86035.20000000 0.017221353071 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 4602491.29000000 USD 4269000.00000000 EUR 2020-04-30 86035.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 51.97000000 0.000010402645 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15086.92000000 USD 2020-04-03 51.97000000 N N N Bundesrepublik Deutschland N/A N/A -12.00000000 NC -2763751.30000000 -0.55321004589 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Short Germany Govt. Bond Futures EURO BUXL 30Y BND Jun 2020 2020-06-11 -2696154.14000000 EUR -67597.16000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 448.79000000 0.000089832662 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32159.36000000 USD 3520000.00000000 JPY 2020-04-03 448.79000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 529.07000000 0.000105902017 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 24604.06000000 USD 249000.00000000 SEK 2020-04-03 529.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -817.96000000 -0.00016372807 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 75000.00000000 NZD 43644.60000000 USD 2020-04-03 -817.96000000 N N N Freddie Mac N/A 3137G0MC0 100790.62000000 PA USD 100215.55000000 0.020059782157 Long DBT USGA US N 2 2029-07-25 Floating 2.82674880 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -804.15000000 -0.00016096378 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14153.13000000 USD 19000.00000000 CAD 2020-04-03 -804.15000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 314.41000000 0.000062934306 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32117.73000000 USD 3501000.00000000 JPY 2020-04-03 314.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 51363.06000000 0.010281156911 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4375000.00000000 NOK 468004.54000000 USD 2020-04-03 51363.06000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 122.72000000 0.000024564416 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15626.93000000 USD 2020-04-03 122.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 925.27000000 0.000185207930 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42000.00000000 CAD 30433.55000000 USD 2020-04-03 925.27000000 N N N Japan 353800WZS8AXZXFUC241 N/A 252050000.00000000 PA 3150047.15000000 0.630533481218 Long DBT NUSS JP N 2 2042-03-20 Fixed 2.00000000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1259000.00000000 PA 938159.92000000 0.187788059076 Long DBT NUSS SG N 2 2026-06-01 Fixed 2.12500000 N N N N N N EURO N/A N/A 1.00000000 NC -571.63000000 -0.00011442109 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 35684.77000000 USD 32000.00000000 EUR 2020-04-03 -571.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 747.14000000 0.000149552296 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16251.35000000 USD 2020-04-03 747.14000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 175000.00000000 PA 433151.67000000 0.086702394400 Long DBT USGA XX N 2 2027-11-22 Fixed 1.25000000 N N N N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 N/A 350000.00000000 PA 384297.60000000 0.076923452892 Long DBT NUSS GB N 2 2022-09-26 Fixed 1.52600000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -18049.39000000 -0.00361288075 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3560000.00000000 PLN 839444.46000000 USD 2020-04-30 -18049.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -245.30000000 -0.00004910080 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13103.68000000 USD 2020-04-03 -245.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1486.37000000 0.000297521276 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 33307.66000000 USD 2020-04-03 1486.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 464.34000000 0.000092945248 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14729.05000000 USD 2020-04-03 464.34000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1006.96000000 0.000201559520 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 86000.00000000 CHF 89897.79000000 USD 2020-04-03 1006.96000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 16510.56000000 0.003304858745 N/A DFE XX N 2 JP MORGAN N/A 400301.04000000 USD 9813300.00000000 MXN 2020-04-27 16510.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 400.58000000 0.000080182641 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1944000.00000000 JPY 18409.17000000 USD 2020-04-03 400.58000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 691.51000000 0.000138417041 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31663.79000000 USD 3487000.00000000 JPY 2020-04-30 691.51000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1454.45000000 -0.00029113196 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 37261.81000000 USD 376000.00000000 NOK 2020-04-03 -1454.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 118.15000000 0.000023649655 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13757.84000000 USD 2020-04-03 118.15000000 N N N United Kingdom of Great Britain and Northern Ireland N/A N/A 41.00000000 NC 6923655.99000000 1.385883038016 N/A DIR GB N 1 GOLDMAN, SACHS & CO. N/A Long U.K. Gilt Futures U.K. Long Gilt Future Jun 2020 2020-06-29 6746900.05000000 GBP 176755.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 58.53000000 0.000011715737 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14557.86000000 USD 2020-04-30 58.53000000 N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 N/A 350000.00000000 PA 401076.95000000 0.080282114355 Long DBT NUSS GB N 2 2021-04-12 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 185.85000000 0.000037200918 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14942.89000000 USD 2020-04-03 185.85000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 852.64000000 0.000170669847 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 200000.00000000 EUR 220507.20000000 USD 2020-04-30 852.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 674.79000000 0.000135070260 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15709.74000000 USD 2020-04-03 674.79000000 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 N/A 400000.00000000 PA 448545.82000000 0.089783785417 Long DBT NUSS ES N 2 2022-03-03 Fixed 1.00000000 N N N N N N Deutsche Telekom International Finance B.V. 529900ERDFHS6C1M4U58 N/A 330000.00000000 PA 359277.33000000 0.071915236445 Long DBT NUSS NL N 2 2023-04-03 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 27085.76000000 0.005421658067 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4438000.00000000 ILS 1281732.85000000 USD 2020-04-03 27085.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1323.32000000 0.000264884151 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 332000.00000000 SEK 34834.17000000 USD 2020-04-03 1323.32000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1013.60000000 -0.00020288862 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33445.74000000 USD 3501000.00000000 JPY 2020-04-03 -1013.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 854.72000000 0.000171086193 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 EUR 21703.15000000 USD 2020-04-03 854.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 377.91000000 0.000075644870 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 16000.00000000 EUR 17934.48000000 USD 2020-04-03 377.91000000 N N N N/A N/A CDS486162 -1345000.00000000 NC USD -297589.99000000 -0.05956750595 N/A DCR XX N 2 BRK: GOLDMAN SACHS N/A Y 2063-05-11 0.00000000 USD -162120.00000000 USD -1345000.00000000 USD -135469.99000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 660.42000000 0.000132193869 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14278.15000000 USD 148000.00000000 SEK 2020-04-03 660.42000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -8790.89000000 -0.00175964047 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 148201.90000000 USD 919000.00000000 TRY 2020-04-03 -8790.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 870.89000000 0.000174322883 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13913.24000000 USD 2020-04-03 870.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 577.25000000 0.000115546033 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 15445.46000000 USD 2020-04-03 577.25000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -576.03000000 -0.00011530183 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14606.17000000 USD 139000.00000000 SEK 2020-04-03 -576.03000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18.62000000 0.000003727097 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 32965.09000000 USD 2020-04-30 18.62000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 344.18000000 0.000068893258 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14955.88000000 USD 25000.00000000 AUD 2020-04-30 344.18000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -395.14000000 -0.00007909373 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1566000.00000000 JPY 14111.78000000 USD 2020-04-03 -395.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -60665.81000000 -0.01214325454 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3953000.00000000 EUR 4280806.48000000 USD 2020-04-30 -60665.81000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -8119.97000000 -0.00162534486 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 147530.98000000 USD 919000.00000000 TRY 2020-04-03 -8119.97000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -439.46000000 -0.00008796510 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13788.44000000 USD 19000.00000000 CAD 2020-04-03 -439.46000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 177.21000000 0.000035471481 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14647.81000000 USD 2020-04-03 177.21000000 N N N EURO N/A N/A 1.00000000 NC -143.83000000 -0.00002878992 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14408.54000000 USD 13000.00000000 EUR 2020-04-03 -143.83000000 N N N EURO N/A N/A 1.00000000 NC -20.78000000 -0.00000415945 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14298.33000000 USD 13000.00000000 EUR 2020-04-30 -20.78000000 N N N Anheuser-Busch InBev Finance Inc. 5493000EYEKDT0FBSQ91 03524BAG1 550000.00000000 PA 379878.10000000 0.076038817651 Long DBT NUSS US N 2 2024-05-15 Fixed 2.60000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 445000.00000000 PA 563748.81000000 0.112843548929 Long DBT NUSS GB N 2 2025-06-07 Fixed 0.62500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -909.84000000 -0.00018211936 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 36148.88000000 USD 3804000.00000000 JPY 2020-04-03 -909.84000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 99.49000000 0.000019914551 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 142000.00000000 SEK 14432.44000000 USD 2020-04-03 99.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 816.21000000 0.000163377787 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15638.10000000 USD 2020-04-03 816.21000000 N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 N/A 330000.00000000 PA 362480.40000000 0.072556383318 Long DBT NUSS GB N 2 2022-01-14 Fixed 1.12500000 N N N N N N ENEL Finance International N.V. 0YQH6LCEF474UTUV4B96 N/A 145000.00000000 PA 232588.37000000 0.046556368093 Long DBT NUSS NL N 2 2040-09-14 Fixed 5.75000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -399.40000000 -0.00007994644 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 15903.61000000 USD 15000.00000000 CHF 2020-04-03 -399.40000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -815.45000000 -0.00016322566 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13857.80000000 USD 22000.00000000 NZD 2020-04-03 -815.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19047.37000000 0.003812642777 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1035000.00000000 EUR 1154738.12000000 USD 2020-04-03 19047.37000000 N N N Development Bank of Japan Inc. 5493001HGBABMWFZUI25 25159MAG2 220000000.00000000 PA 2311825.68000000 0.462749738200 Long DBT NUSS JP N 2 2026-03-19 Fixed 2.30000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796TQ2 28664000.00000000 PA USD 28663433.03000000 5.737455140026 Long DBT UST US N 2 2020-04-09 None 0.00000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 200000.00000000 PA USD 244796.34000000 0.048999993047 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 749000.00000000 PA 873091.21000000 0.174763492052 Long DBT NUSS AT Y 2 2026-10-20 Fixed 0.75000000 N N N N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 735000.00000000 PA 781072.81000000 0.156344503597 Long DBT NUSS CH N 2 2021-04-28 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 661.84000000 0.000132478105 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42000.00000000 CAD 30170.12000000 USD 2020-04-03 661.84000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 550000.00000000 PA 809856.60000000 0.162106050154 Long DBT NUSS NL Y 2 2033-01-15 Fixed 2.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -520.96000000 -0.00010427866 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32953.10000000 USD 3501000.00000000 JPY 2020-04-03 -520.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -329.52000000 -0.00006595881 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 12712.83000000 USD 2020-04-03 -329.52000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VEV2 175000.00000000 PA 183941.54000000 0.036818909062 Long DBT NUSS US N 2 2027-04-08 Fixed 0.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -307.01000000 -0.00006145307 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13041.97000000 USD 2020-04-03 -307.01000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -343.06000000 -0.00006866907 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13675.59000000 USD 140000.00000000 NOK 2020-04-03 -343.06000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 552000.00000000 PA 596297.37000000 0.119358675805 Long DBT NUSS IT N 2 2030-04-01 Fixed 1.35000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 8993.82000000 0.001800260238 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 398010.08000000 USD 328042.00000000 GBP 2020-05-15 8993.82000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 12802.49000000 0.002562627860 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 351790.46000000 USD 615000.00000000 NZD 2020-04-03 12802.49000000 N N N ASSICURAZIONI GENERALI - SOCIETA PER AZIONI 549300X5UKJVE386ZB61 N/A 230000.00000000 PA 273858.92000000 0.054817343984 Long DBT NUSS IT N 2 2047-10-27 Fixed 5.50000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 480.55000000 0.000096189945 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 10183.18000000 USD 18000.00000000 NZD 2020-04-30 480.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 329.08000000 0.000065870746 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14593.79000000 USD 2020-04-03 329.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 0.33000000 0.000000066054 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14885.15000000 USD 2020-04-30 0.33000000 N N N Canada N/A N/A -52.00000000 NC -5375543.67000000 -1.07600302544 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A Short Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Jun 2020 2020-06-22 -5472607.51000000 CAD 97063.84000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -2411.73000000 -0.00048274722 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 36686.50000000 USD 56000.00000000 AUD 2020-04-03 -2411.73000000 N N N Province of Manitoba 5493003QILFOB3JRKE30 563469TR6 710000.00000000 PA 523305.44000000 0.104748146650 Long DBT NUSS CA N 2 2021-12-01 Fixed 3.85000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -9370.63000000 -0.00187568492 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 145353.36000000 USD 2429000.00000000 ZAR 2020-04-03 -9370.63000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 50.01000000 0.000010010319 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14907.28000000 USD 148000.00000000 SEK 2020-04-30 50.01000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 605.81000000 0.000121262784 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14695.43000000 USD 25000.00000000 AUD 2020-04-03 605.81000000 N N N GE Capital UK Funding Unlimited Company BR7Z6BPTFF652NNO9651 N/A 160000.00000000 PA 227904.37000000 0.045618788849 Long DBT NUSS IE N 2 2033-01-18 Fixed 5.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -404.67000000 -0.00008100132 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1584000.00000000 JPY 14293.01000000 USD 2020-04-30 -404.67000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -651.34000000 -0.00013037635 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14291.03000000 USD 11000.00000000 GBP 2020-04-03 -651.34000000 N N N EURO N/A N/A 1.00000000 NC 1236.72000000 0.000247549744 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 64430.84000000 USD 59835.48000000 EUR 2020-04-08 1236.72000000 N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 229000.00000000 PA 428444.11000000 0.085760099237 Long DBT NUSS BE N 2 2045-06-22 Fixed 3.75000000 N N N N N N Republica Federativa do Brasil 254900ZFY40OYEADAP90 N/A 1203000.00000000 PA 952702.75000000 0.190699044464 Long DBT NUSS BR N 2 2050-08-15 Fixed 6.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -293.14000000 -0.00005867676 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 10129.23000000 USD 14000.00000000 CAD 2020-04-03 -293.14000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -809.93000000 -0.00016212074 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14158.91000000 USD 19000.00000000 CAD 2020-04-03 -809.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -17276.05000000 -0.00345808409 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1419050.00000000 AUD 851203.24000000 USD 2020-04-23 -17276.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 32563.75000000 0.006518167402 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 5065000.00000000 TRY 800917.14000000 USD 2020-04-03 32563.75000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -734.56000000 -0.00014703420 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 32776.60000000 USD 31000.00000000 CHF 2020-04-03 -734.56000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1137.19000000 -0.00022762718 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 37209.96000000 USD 3894000.00000000 JPY 2020-04-03 -1137.19000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -284.64000000 -0.00005697535 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32716.78000000 USD 3501000.00000000 JPY 2020-04-03 -284.64000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 2170000.00000000 PA 2743981.25000000 0.549252746887 Long DBT NUSS GB N 2 2023-07-22 Fixed 0.75000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 200000.00000000 PA USD 184320.00000000 0.036894664023 Long DBT NUSS CH Y 2 2169-01-17 Fixed 7.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -14.02000000 -0.00000280633 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 30224.88000000 USD 43000.00000000 CAD 2020-04-03 -14.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1557.86000000 -0.00031183117 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 31388.61000000 USD 2020-04-30 -1557.86000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -5591.99000000 -0.00111932830 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 145003.00000000 USD 919000.00000000 TRY 2020-04-03 -5591.99000000 N N N BAXTER INTERNATIONAL INC. J5OIVXX3P24RJRW5CK77 071813BT5 405000.00000000 PA 429273.51000000 0.085926117218 Long DBT NUSS US N 2 2024-05-15 Fixed 0.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 578.00000000 0.000115696157 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15335.04000000 USD 2020-04-03 578.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1213.92000000 -0.00024298595 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 31691.31000000 USD 2020-04-03 -1213.92000000 N N N EDP - Energias de Portugal, S.A. 529900CLC3WDMGI9VH80 N/A 300000.00000000 PA 339181.67000000 0.067892761272 Long DBT NUSS PT N 2 2079-04-30 Fixed 4.49600000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5176.85000000 0.001036231236 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 526778.36000000 EUR 583299.52000000 USD 2020-04-08 5176.85000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 109.19000000 0.000021856165 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 2260.53000000 USD 4000.00000000 NZD 2020-04-30 109.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -0.94000000 -0.00000018815 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1445000.00000000 JPY 13385.08000000 USD 2020-04-03 -0.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -10966.95000000 -0.00219521449 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 37800000.00000000 JPY 339773.05000000 USD 2020-04-30 -10966.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1186.41000000 0.000237479374 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 32185.72000000 USD 2020-04-03 1186.41000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 21684AAF3 250000.00000000 PA USD 240840.88000000 0.048208243005 Long DBT NUSS NL N 2 2026-07-21 Fixed 3.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -251.40000000 -0.00005032182 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13097.58000000 USD 2020-04-03 -251.40000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 1078.30000000 0.000215839389 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 25770.75000000 USD 266000.00000000 SEK 2020-04-03 1078.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4.51000000 0.000000902750 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 630.00000000 CHF 655.64000000 USD 2020-04-01 4.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -57449.24000000 -0.01149940542 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1018158000.00000000 JPY 9374440.66000000 USD 2020-04-03 -57449.24000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 869.81000000 0.000174106704 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 27896.52000000 USD 47000.00000000 AUD 2020-04-03 869.81000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 125.05000000 0.000025030803 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13510.13000000 USD 23000.00000000 NZD 2020-04-03 125.05000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -28564.54000000 -0.00571766008 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 878943.35000000 USD 1210000.00000000 CAD 2020-04-24 -28564.54000000 N N N MARRIOTT INTERNATIONAL, INC. 225YDZ14ZO8E1TXUSU86 571903BB8 120000.00000000 PA USD 105494.69000000 0.021116488410 Long DBT CORP US N 2 2028-12-01 Fixed 4.65000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6569.84000000 -0.00131506097 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 8803400.00000000 MXN 367347.11000000 USD 2020-04-27 -6569.84000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 915.53000000 0.000183258310 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1935000.00000000 JPY 18840.75000000 USD 2020-04-03 915.53000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -289.05000000 -0.00005785808 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 35000.00000000 CAD 24301.18000000 USD 2020-04-03 -289.05000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 76.66000000 0.000015344753 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 30922.65000000 USD 25000.00000000 GBP 2020-04-03 76.66000000 N N N SKY LIMITED 2138003TS48MQKF4BZ29 N/A 205000.00000000 PA 244593.94000000 0.048959479375 Long DBT NUSS GB N 2 2026-09-15 Fixed 2.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1660.33000000 -0.00033234221 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14421.46000000 USD 134000.00000000 NOK 2020-04-03 -1660.33000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 976.15000000 0.000195392395 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13908.67000000 USD 12000.00000000 GBP 2020-04-30 976.15000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -364.86000000 -0.00007303269 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 31000.00000000 CHF 31740.80000000 USD 2020-04-30 -364.86000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -715.65000000 -0.00014324905 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14355.34000000 USD 11000.00000000 GBP 2020-04-03 -715.65000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -49672.56000000 -0.00994277567 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 640000.00000000 GBP 744184.32000000 USD 2020-04-30 -49672.56000000 N N N Japan 353800WZS8AXZXFUC241 N/A 166850000.00000000 PA 2062121.03000000 0.412767266591 Long DBT NUSS JP N 2 2042-09-20 Fixed 1.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -352.50000000 -0.00007055864 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1566000.00000000 JPY 14154.42000000 USD 2020-04-03 -352.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 312.09000000 0.000062469920 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14576.80000000 USD 2020-04-03 312.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2387.53000000 0.000477903196 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 31153.86000000 USD 2020-04-03 2387.53000000 N N N EURO N/A N/A 1.00000000 NC -17124.09000000 -0.00342766681 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1102601.49000000 USD 989073.82000000 EUR 2020-04-08 -17124.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -481.71000000 -0.00009642213 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 54000.00000000 AUD 32566.42000000 USD 2020-04-30 -481.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6862.08000000 0.001373557596 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 518000.00000000 EUR 575256.10000000 USD 2020-04-03 6862.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 146675.75000000 0.029359551414 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 80148000.00000000 CNY 11447097.81000000 USD 2020-04-03 146675.75000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 386000.00000000 PA 439493.72000000 0.087971859483 Long DBT NUSS IT Y 2 2021-05-01 Fixed 3.75000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -221.95000000 -0.00004442692 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 16977.37000000 USD 166000.00000000 SEK 2020-04-03 -221.95000000 N N N EURO N/A N/A 1.00000000 NC -20373.68000000 -0.00407812542 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 683134.27000000 USD 604000.00000000 EUR 2020-04-03 -20373.68000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 2434800.00000000 PA 105486.46000000 0.021114841041 Long DBT NUSS MX N 2 2027-06-03 Floating 7.49999880 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 145000.00000000 PA 207046.80000000 0.041443804921 Long DBT NUSS GB N 2 2040-03-29 Fixed 6.00000000 N N N N N N MASTERCARD INCORPORATED. AR5L2ODV9HN37376R084 57636QAC8 445000.00000000 PA 493557.50000000 0.098793609694 Long DBT NUSS US N 2 2022-12-01 Fixed 1.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2335.45000000 0.000467478532 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 31101.78000000 USD 2020-04-03 2335.45000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1121000.00000000 PA 2161630.73000000 0.432685761321 Long DBT NUSS DE N 2 2042-07-04 Fixed 3.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 634.67000000 0.000127039585 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1935000.00000000 JPY 18559.89000000 USD 2020-04-03 634.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 275.73000000 0.000055191871 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1911000.00000000 JPY 17978.62000000 USD 2020-04-03 275.73000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -356.79000000 -0.00007141735 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14386.93000000 USD 139000.00000000 SEK 2020-04-03 -356.79000000 N N N Banco de Sabadell, S.A. SI5RG2M0WQQLZCXKRM20 N/A 400000.00000000 PA 445952.80000000 0.089264750035 Long DBT NUSS ES N 2 2021-11-12 Fixed 0.87500000 N N N N N N European Financial Stability Facility SA 222100OW6UHQXNHKN143 N/A 1695000.00000000 PA 1912199.25000000 0.382757969158 Long DBT NUSS LU N 2 2025-02-17 Fixed 0.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 608.87000000 0.000121875293 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 30819.73000000 USD 2020-04-03 608.87000000 N N N Telefonica Europe B.V. 7245007FZS0M65WUGP67 N/A 300000.00000000 PA 320019.75000000 0.064057189438 Long DBT NUSS NL N 2 2169-03-14 Fixed 4.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 39.34000000 0.000007874544 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 12800.47000000 USD 2020-04-03 39.34000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 277.64000000 0.000055574189 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15099.53000000 USD 2020-04-03 277.64000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 1868.18000000 0.000373946795 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 27180.69000000 USD 49000.00000000 NZD 2020-04-03 1868.18000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1001.31000000 -0.00020042858 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 107453.11000000 USD 85799.33000000 GBP 2020-05-15 -1001.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1454.22000000 0.000291085928 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 32239.79000000 USD 2020-04-03 1454.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 973.20000000 0.000194801904 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15795.09000000 USD 2020-04-03 973.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2200.53000000 -0.00044047208 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 28798.78000000 USD 2020-04-03 -2200.53000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -292.01000000 -0.00005845057 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14489.18000000 USD 2020-04-30 -292.01000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1609000.00000000 PA 2000882.25000000 0.400509322726 Long DBT NUSS IT N 2 2029-08-01 Fixed 3.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -14308.26000000 -0.00286403236 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 254406.06000000 USD 405000.00000000 NZD 2020-04-03 -14308.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -210.48000000 -0.00004213101 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14549.45000000 USD 2020-04-30 -210.48000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087G73 525000.00000000 PA 373410.79000000 0.074744279730 Long DBT NUSS CA N 2 2022-09-01 Fixed 1.00000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 584000.00000000 PA 629015.75000000 0.125907794932 Long DBT NUSS ES Y 2 2030-04-30 Fixed 0.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 660.43000000 0.000132195871 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14278.14000000 USD 148000.00000000 SEK 2020-04-03 660.43000000 N N N EURO N/A N/A 1.00000000 NC -459.47000000 -0.00009197043 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 32280.76000000 USD 29000.00000000 EUR 2020-04-03 -459.47000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -482.35000000 -0.00009655024 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 10000.00000000 GBP 11917.37000000 USD 2020-04-03 -482.35000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1811.97000000 -0.00036269544 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14573.10000000 USD 134000.00000000 NOK 2020-04-03 -1811.97000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1650.81000000 -0.00033043663 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14411.94000000 USD 134000.00000000 NOK 2020-04-03 -1650.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -111801.40000000 -0.02237887961 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 17347106.97000000 CAD 12083944.81000000 USD 2020-05-22 -111801.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 48.55000000 0.000009718076 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1613000.00000000 JPY 14990.87000000 USD 2020-04-03 48.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 776.54000000 0.000155437187 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1613000.00000000 JPY 15718.86000000 USD 2020-04-03 776.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 20964.06000000 0.004196299643 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2352000.00000000 ZAR 152636.09000000 USD 2020-04-03 20964.06000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 435000.00000000 PA 494427.14000000 0.098967682370 Long DBT NUSS AT Y 2 2051-03-20 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1101.44000000 -0.00022047123 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 54000.00000000 AUD 31949.24000000 USD 2020-04-03 -1101.44000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 765000.00000000 PA 851852.27000000 0.170512170678 Long DBT NUSS AT Y 2 2024-07-15 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -80.93000000 -0.00001619946 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 39000.00000000 SEK 3860.52000000 USD 2020-04-30 -80.93000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -20817.55000000 -0.00416697326 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 465863.61000000 USD 4668000.00000000 NOK 2020-05-26 -20817.55000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -991.80000000 -0.00019852499 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 17151.10000000 USD 23000.00000000 CAD 2020-04-03 -991.80000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -392.04000000 -0.00007847322 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14031.73000000 USD 11000.00000000 GBP 2020-04-03 -392.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 280.68000000 0.000056182694 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14545.39000000 USD 2020-04-03 280.68000000 N N N Japan 353800WZS8AXZXFUC241 N/A 71550000.00000000 PA 673009.42000000 0.134713847850 Long DBT NUSS JP N 2 2027-03-20 Fixed 0.10000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -783.73000000 -0.00015687638 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14813.87000000 USD 139000.00000000 SEK 2020-04-03 -783.73000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -2499.20000000 -0.00050025577 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 30592.74000000 USD 295000.00000000 NOK 2020-04-03 -2499.20000000 N N N Canada Housing Trust No. 1 549300M44WH89JG50067 13509PFD0 2235000.00000000 PA 1668913.06000000 0.334060257343 Long DBT NUSS CA Y 2 2025-12-15 Fixed 2.25000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 895.96000000 0.000179341054 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 27197.58000000 USD 295000.00000000 NOK 2020-04-03 895.96000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -2064.54000000 -0.00041325146 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 30830.87000000 USD 47000.00000000 AUD 2020-04-03 -2064.54000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -250.41000000 -0.00005012365 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13103.45000000 USD 21000.00000000 AUD 2020-04-03 -250.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7934.54000000 -0.00158822801 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4375000.00000000 NOK 409098.35000000 USD 2020-04-30 -7934.54000000 N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 N/A 295000.00000000 PA 316504.57000000 0.063353568642 Long DBT NUSS GG N 2 2022-04-14 Fixed 1.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 679.31000000 0.000135975012 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 30320.00000000 USD 25000.00000000 GBP 2020-04-03 679.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -178.68000000 -0.00003576572 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 GBP 17180.93000000 USD 2020-04-03 -178.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11504.70000000 0.002302853956 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 993000.00000000 NOK 106070.41000000 USD 2020-04-03 11504.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 142679.97000000 0.028559730664 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2688000.00000000 CAD 2031785.96000000 USD 2020-04-24 142679.97000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 901.05000000 0.000180359901 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14400.19000000 USD 25000.00000000 AUD 2020-04-03 901.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2936.40000000 -0.00058776850 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 111000.00000000 NZD 62868.18000000 USD 2020-04-03 -2936.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1591.10000000 0.000318484700 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 308000.00000000 NOK 30922.66000000 USD 2020-04-03 1591.10000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 1359000.00000000 PA 1565484.14000000 0.313357266600 Long DBT NUSS FR N 2 2029-05-25 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -297.79000000 -0.00005960754 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 12744.56000000 USD 2020-04-03 -297.79000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 932.89000000 0.000186733198 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13951.93000000 USD 12000.00000000 GBP 2020-04-30 932.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 100.30000000 0.000020076686 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 27000.00000000 NZD 16106.82000000 USD 2020-04-03 100.30000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 540.72000000 0.000108233955 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14416.57000000 USD 148000.00000000 SEK 2020-04-30 540.72000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 252.40000000 0.000050521990 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 75201.45000000 USD 73000.00000000 CHF 2020-04-03 252.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 614.50000000 0.000123002230 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15371.54000000 USD 2020-04-03 614.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 145.39000000 0.000029102187 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1582000.00000000 JPY 14800.53000000 USD 2020-04-03 145.39000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1124.96000000 -0.00022517915 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13886.09000000 USD 134000.00000000 NOK 2020-04-03 -1124.96000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -845.61000000 -0.00016926267 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14480.79000000 USD 23000.00000000 NZD 2020-04-03 -845.61000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 298.48000000 0.000059745656 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13647.46000000 USD 2020-04-03 298.48000000 N N N MIZUHO FINANCIAL GROUP (CAYMAN) 3 LIMITED 549300AM6U7J7ZZI1G88 60688UAB2 450000.00000000 PA USD 471532.55000000 0.094384955558 Long DBT NUSS KY Y 2 2024-03-27 Fixed 4.60000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 195000.00000000 PA 171951.96000000 0.034418998439 Long DBT NUSS AU N 2 2033-04-21 Fixed 4.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -186554.97000000 -0.03734202984 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 6216469.56000000 USD 650920000.00000000 JPY 2020-04-03 -186554.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -208.44000000 -0.00004172267 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14290.89000000 USD 2020-04-30 -208.44000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -1620.88000000 -0.00032444565 N/A DFE XX N 2 BARCLAYS CAPITAL INC. N/A 58510.41000000 USD 81000.00000000 SGD 2020-04-03 -1620.88000000 N N N EURO N/A N/A 1.00000000 NC -50490.01000000 -0.01010640166 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1706294.21000000 USD 1509000.00000000 EUR 2020-04-03 -50490.01000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 1254790000.00000000 PA 1105564.77000000 0.221296879045 Long DBT NUSS KR N 2 2024-09-10 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1599.39000000 -0.00032014407 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 27166.94000000 USD 2020-04-03 -1599.39000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 165000.00000000 PA 240704.43000000 0.048180930305 Long DBT NUSS FR Y 2 2066-05-25 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1631.59000000 0.000326589436 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 48000.00000000 AUD 31009.97000000 USD 2020-04-03 1631.59000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1904000.00000000 PA 2475030.78000000 0.495417909486 Long DBT NUSS IT Y 2 2035-03-01 Fixed 3.35000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 37.28000000 0.000007462202 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 157000.00000000 SEK 15904.14000000 USD 2020-04-30 37.28000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -590.53000000 -0.00011820424 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 29644.01000000 USD 2020-04-03 -590.53000000 N N N EURO N/A N/A 1.00000000 NC -362.08000000 -0.00007247623 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14626.79000000 USD 13000.00000000 EUR 2020-04-03 -362.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -405.75000000 -0.00008121750 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 287000.00000000 SEK 28599.27000000 USD 2020-04-30 -405.75000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 9212.56000000 0.001844044628 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 650534.00000000 USD 71192742.00000000 JPY 2020-04-09 9212.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 20.92000000 0.000004187480 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 38000.00000000 CAD 26718.89000000 USD 2020-04-03 20.92000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -29528.29000000 -0.00591057041 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 422000.00000000 GBP 493740.00000000 USD 2020-04-03 -29528.29000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -431.00000000 -0.00008627170 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32863.14000000 USD 3501000.00000000 JPY 2020-04-03 -431.00000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -483.91000000 -0.00009686250 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14123.60000000 USD 11000.00000000 GBP 2020-04-03 -483.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1200.12000000 -0.00024022365 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 351000.00000000 NOK 32226.43000000 USD 2020-04-03 -1200.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1802.03000000 0.000360705791 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 14563.16000000 USD 2020-04-03 1802.03000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -5119.25000000 -0.00102470165 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 141101.98000000 USD 2429000.00000000 ZAR 2020-04-03 -5119.25000000 N N N COMCAST CORPORATION 51M0QTTNCGUN7KFCFZ59 20030NDC2 180000.00000000 PA 177322.70000000 0.035494039932 Long DBT NUSS US N 2 2032-02-20 Fixed 0.75000000 N N N N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 2126000.00000000 PA 2381016.43000000 0.476599398979 Long DBT NUSS BE Y 2 2020-09-28 Fixed 3.75000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 1069.06000000 0.000213989852 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14232.18000000 USD 25000.00000000 AUD 2020-04-03 1069.06000000 N N N People's Republic of China 300300CHN201808MOF68 N/A 57800000.00000000 PA 8461187.92000000 1.693645212404 Long DBT NUSS CN N 2 2026-06-06 Fixed 3.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 381.46000000 0.000076355460 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15885.67000000 USD 2020-04-03 381.46000000 N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 482000.00000000 PA 582061.93000000 0.116509219554 Long DBT NUSS FI Y 2 2024-04-15 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 53143.52000000 0.010637545114 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4784730753.00000000 IDR 346217.85000000 USD 2020-05-05 53143.52000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -2477.83000000 -0.00049597821 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 125050.30000000 USD 808000.00000000 TRY 2020-04-03 -2477.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 100.77000000 0.000020170764 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13740.46000000 USD 2020-04-03 100.77000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -527.39000000 -0.00010556573 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14162.57000000 USD 23000.00000000 NZD 2020-04-03 -527.39000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -331.23000000 -0.00006630110 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13680.21000000 USD 19000.00000000 CAD 2020-04-03 -331.23000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 389000.00000000 PA 715106.61000000 0.143140289263 Long DBT NUSS NL Y 2 2037-01-15 Fixed 4.00000000 N N N N N N Republique Francaise N/A N/A -3.00000000 NC -550413.11000000 -0.11017419036 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Short France Govt. Bond Future Eurex Long Term Euro OAT Bond Future Jun 2020 2020-06-11 -574168.70000000 EUR 23755.59000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -31651.71000000 -0.00633560767 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 1177800.52000000 USD 123725000.00000000 JPY 2020-04-03 -31651.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 801.21000000 0.000160375291 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 15669.42000000 USD 2020-04-03 801.21000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 835000.00000000 PA 939262.08000000 0.188008674435 Long DBT NUSS US N 2 2024-06-19 Fixed 2.37500000 N N N N N N AyT Cedulas Cajas Global, Fondo de Titulizacion de Activos 959800XDZEM9FGN2F384 N/A 600000.00000000 PA 725884.33000000 0.145297626277 Long DBT NUSS ES N 2 2022-12-14 Fixed 3.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -9691.91000000 -0.00193999437 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 182000.00000000 GBP 215983.04000000 USD 2020-04-03 -9691.91000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -140.90000000 -0.00002820344 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13780.59000000 USD 11000.00000000 GBP 2020-04-03 -140.90000000 N N N BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 N/A 200000.00000000 PA 178851.62000000 0.035800078287 Long DBT NUSS ES N 2 2168-12-29 Fixed 5.25000000 N N N N N N EURO N/A N/A 1.00000000 NC -48548.31000000 -0.00971773864 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 2580101.32000000 USD 2306720.36000000 EUR 2020-04-08 -48548.31000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -322.33000000 -0.00006451962 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14453.41000000 USD 140000.00000000 SEK 2020-04-03 -322.33000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1102.33000000 -0.00022064938 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13863.46000000 USD 134000.00000000 NOK 2020-04-03 -1102.33000000 N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 490000.00000000 PA 588584.97000000 0.117814912747 Long DBT NUSS BE Y 2 2031-06-22 Fixed 1.00000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC -4463.75000000 -0.00089349260 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 143874.76000000 USD 919000.00000000 TRY 2020-04-03 -4463.75000000 N N N AIB GROUP PUBLIC LIMITED COMPANY 635400AKJBGNS5WNQL34 00135TAB0 450000.00000000 PA USD 457514.46000000 0.091579005467 Long DBT NUSS IE Y 2 2025-04-10 Fixed 4.26300000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -275.02000000 -0.00005504975 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13073.96000000 USD 2020-04-03 -275.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 55.96000000 0.000011201309 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 27000.00000000 GBP 33546.80000000 USD 2020-04-30 55.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1434.30000000 0.000287098614 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 32219.87000000 USD 2020-04-03 1434.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11636.95000000 0.002329325957 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 455000.00000000 CHF 482657.74000000 USD 2020-04-24 11636.95000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 662.29000000 0.000132568180 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 NZD 13111.81000000 USD 2020-04-03 662.29000000 N N N Province de Quebec 549300WN65YFEQH74Y36 74814ZEW9 520000.00000000 PA 434504.23000000 0.086973131416 Long DBT NUSS CA N 2 2048-12-01 Fixed 3.50000000 N N N N N N KfW 549300GDPG70E3MBBU98 N/A 510000.00000000 PA 583663.12000000 0.116829723933 Long DBT NUSS DE N 2 2027-09-15 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -854.32000000 -0.00017100612 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 12785.37000000 USD 2020-04-03 -854.32000000 N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ACX0 1614000.00000000 PA 1195461.06000000 0.239291092459 Long DBT NUSS CA N 2 2025-06-02 Fixed 2.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 529.24000000 0.000105936045 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16033.45000000 USD 2020-04-03 529.24000000 N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 205000.00000000 PA 274291.46000000 0.054903923943 Long DBT NUSS FR N 2 2021-12-01 Fixed 5.50000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 885000.00000000 PA 1017313.99000000 0.203632041383 Long DBT NUSS XX Y 2 2029-02-20 Fixed 0.50000000 N N N N N N Royaume de Belgique 549300SZ25JZFHRHWD76 AQ7883202 1249000.00000000 PA 1465568.98000000 0.293357612417 Long DBT NUSS BE Y 2 2028-06-22 Fixed 0.80000000 N N N N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 904678AJ8 350000.00000000 PA USD 356568.35000000 0.071372989771 Long DBT NUSS IT Y 2 2022-01-14 Fixed 6.57200000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1712.87000000 0.000342858958 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 308000.00000000 SEK 32801.25000000 USD 2020-04-03 1712.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 228.96000000 0.000045830090 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1920000.00000000 JPY 18015.23000000 USD 2020-04-03 228.96000000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AM1 445000.00000000 PA USD 450100.56000000 0.090094992068 Long DBT NUSS GB N 2 2025-12-10 Fixed 4.58200000 N N N N N N BERKSHIRE HATHAWAY FINANCE CORPORATION 549300RLHFT5RU20WM87 084664CT6 144000.00000000 PA 184431.70000000 0.036917022606 Long DBT NUSS US N 2 2059-06-19 Fixed 2.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -935.26000000 -0.00018720759 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 13949.56000000 USD 2020-04-30 -935.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 149.67000000 0.000029958899 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14414.38000000 USD 2020-04-03 149.67000000 N N N EURO N/A N/A 1.00000000 NC -9872.85000000 -0.00197621247 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 389533.72000000 USD 346000.00000000 EUR 2020-04-03 -9872.85000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087F58 655000.00000000 PA 461935.26000000 0.092463900924 Long DBT NUSS CA N 2 2021-09-01 Fixed 0.75000000 N N N N N N Valtioneuvosto 743700M6Y2OQRVSBRD14 N/A 445000.00000000 PA 513629.13000000 0.102811274870 Long DBT NUSS FI Y 2 2029-09-15 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -394.76000000 -0.00007901767 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 NZD 14415.98000000 USD 2020-04-30 -394.76000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 200000.00000000 PA 215335.15000000 0.043102853796 Long DBT NUSS ID Y 2 2024-07-18 Fixed 2.15000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2270.93000000 -0.00045456379 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49262400.00000000 JPY 454743.84000000 USD 2020-04-27 -2270.93000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 636.31000000 0.000127367858 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12216.73000000 USD 21000.00000000 AUD 2020-04-03 636.31000000 N N N Mitsubishi UFJ Financial Group, Inc. 353800V2V8PUY9TK3E06 N/A 250000.00000000 PA 255258.57000000 0.051094179575 Long DBT NUSS JP N 2 2024-07-19 Fixed 0.33900000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 20694.86000000 0.004142414858 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2288000.00000000 ZAR 148783.98000000 USD 2020-04-03 20694.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 591.77000000 0.000118452448 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15413.66000000 USD 2020-04-03 591.77000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -353.56000000 -0.00007077081 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 15107.70000000 USD 21000.00000000 CAD 2020-04-03 -353.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -134.68000000 -0.00002695840 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1011000.00000000 JPY 9246.22000000 USD 2020-04-30 -134.68000000 N N N DIAGEO FINANCE PLC BPF79TJMIH3DK8XCKI50 N/A 240000.00000000 PA 258884.10000000 0.051819888729 Long DBT NUSS GB N 2 2021-10-22 Fixed 0.25000000 N N N N N N EURO N/A N/A 1.00000000 NC -488.50000000 -0.00009778126 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14753.21000000 USD 13000.00000000 EUR 2020-04-03 -488.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6419.11000000 -0.00128488990 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 271000.00000000 EUR 291212.81000000 USD 2020-04-30 -6419.11000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -243.98000000 -0.00004883658 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14375.06000000 USD 140000.00000000 SEK 2020-04-03 -243.98000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 848000.00000000 PA 1680143.64000000 0.336308241696 Long DBT NUSS GB N 2 2045-01-22 Fixed 3.50000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -25447.28000000 -0.00509368948 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 1107676.70000000 USD 116825000.00000000 JPY 2020-04-03 -25447.28000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 11806.66000000 0.002363296191 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 663750.00000000 USD 72898798.00000000 JPY 2020-04-09 11806.66000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 1608000.00000000 PA 1096916.12000000 0.219565710230 Long DBT NUSS NZ N 2 2023-04-15 Fixed 5.50000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -60.18000000 -0.00001204601 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12913.22000000 USD 21000.00000000 AUD 2020-04-03 -60.18000000 N N N WESTERN POWER DISTRIBUTION (WEST MIDLANDS) PLC 549300L22M2RCLXON143 N/A 230000.00000000 PA 305297.56000000 0.061110302210 Long DBT NUSS GB N 2 2024-10-17 Fixed 3.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 264.45000000 0.000052933994 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14529.16000000 USD 2020-04-03 264.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -97.99000000 -0.00001961430 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14786.83000000 USD 2020-04-30 -97.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 377.62000000 0.000075586821 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2213606.78000000 NZD 1311283.10000000 USD 2020-06-04 377.62000000 N N N Ireland 549300KXBEJAOJ9OVF93 N/A 250000.00000000 PA 319881.06000000 0.064029428365 Long DBT NUSS IE N 2 2050-05-15 Fixed 1.50000000 N N N N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -1015.93000000 -0.00020335501 N/A DFE XX N 2 BARCLAYS CAPITAL INC. N/A 38239.95000000 USD 53000.00000000 SGD 2020-04-03 -1015.93000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -271.27000000 -0.00005429912 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 16430.57000000 USD 23000.00000000 CAD 2020-04-03 -271.27000000 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94989NBD8 78237.65160000 PA USD 82118.79000000 0.016437419526 Long ABS-MBS US N 2 2058-09-15 Fixed 3.41100000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -25335.29000000 -0.00507127285 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 281942.29000000 USD 2691500.00000000 NOK 2020-05-26 -25335.29000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -721.25000000 -0.00014436998 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 33796.91000000 USD 32000.00000000 CHF 2020-04-03 -721.25000000 N N N Europcar Mobility Group S.A. 969500XCGTMV08D76N87 ZS2399252 170000.00000000 PA 83939.56000000 0.016801876435 Long DBT NUSS FR Y 2 2026-04-30 Fixed 4.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 617.86000000 0.000123674789 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32439.15000000 USD 2020-04-03 617.86000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 262.08000000 0.000052459600 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13086.90000000 USD 19000.00000000 CAD 2020-04-03 262.08000000 N N N N/A N/A CDS304019 -127000.00000000 NC USD -28099.58000000 -0.00562459072 N/A DCR XX N 2 BRK: CREDIT SUISSE N/A Y 2063-05-11 0.00000000 USD -8822.28000000 USD -127000.00000000 USD -19277.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3510.86000000 -0.00070275607 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 703000.00000000 SEK 67447.35000000 USD 2020-04-03 -3510.86000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -2835.94000000 -0.00056765979 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 90873.97000000 USD 71000.00000000 GBP 2020-04-03 -2835.94000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -354.89000000 -0.00007103704 N/A DFE XX N 2 BARCLAYS CAPITAL INC. N/A 14401.69000000 USD 20000.00000000 SGD 2020-04-03 -354.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 52.65000000 0.000010538759 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 130000.00000000 NOK 12432.85000000 USD 2020-04-03 52.65000000 N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YBL2 800000.00000000 PA USD 800626.80000000 0.160258554657 Long DBT CORP US Y 2 2022-11-21 Fixed 2.30000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19384.83000000 0.003880190918 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 76500000.00000000 HUF 252109.15000000 USD 2020-04-03 19384.83000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1057.88000000 -0.00021175199 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14522.97000000 USD 22000.00000000 AUD 2020-04-03 -1057.88000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2434.65000000 0.000487335035 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 31044.60000000 USD 27000.00000000 GBP 2020-04-03 2434.65000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1393000.00000000 PA 2207398.39000000 0.441846907365 Long DBT NUSS IT Y 2 2040-09-01 Fixed 5.00000000 N N N N N N ORANGE S.A. 969500MCOONR8990S771 N/A 500000.00000000 PA 574798.38000000 0.115055301169 Long DBT NUSS FR N 2 2023-03-01 Fixed 2.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10314.62000000 0.002064639970 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 874000.00000000 TRY 142899.19000000 USD 2020-04-03 10314.62000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -971.85000000 -0.00019453167 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17929.15000000 USD 168000.00000000 SEK 2020-04-03 -971.85000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 166512.73000000 0.033330247553 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 9398000.00000000 SGD 6770805.57000000 USD 2020-04-24 166512.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1707.21000000 0.000341726016 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 14468.34000000 USD 2020-04-03 1707.21000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -133278.26000000 -0.02667782456 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 6419173.40000000 USD 62159000.00000000 SEK 2020-05-26 -133278.26000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 N/A 680000.00000000 PA 449482.22000000 0.089971221199 Long DBT CORP US N 2 2025-02-17 Fixed 4.05000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -655.36000000 -0.00013118102 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14584.57000000 USD 138000.00000000 SEK 2020-04-03 -655.36000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -575.88000000 -0.00011527180 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13924.86000000 USD 19000.00000000 CAD 2020-04-03 -575.88000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 362.16000000 0.000072492250 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 12986.82000000 USD 19000.00000000 CAD 2020-04-03 362.16000000 N N N DANISH KRONE N/A N/A 1.00000000 NC 4411.33000000 0.000882999881 N/A DFE DK N 2 MORGAN STANLEY & CO, INC N/A 1151688.27000000 USD 7862000.00000000 DKK 2020-04-03 4411.33000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 580000.00000000 PA 1136239.69000000 0.227436966216 Long DBT NUSS FR N 2 2041-04-25 Fixed 4.50000000 N N N N N N EURO N/A N/A 1.00000000 NC -3675.55000000 -0.00073572147 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 506684.48000000 USD 458000.00000000 EUR 2020-04-30 -3675.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4003.51000000 -0.00080136803 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 108000.00000000 AUD 62097.84000000 USD 2020-04-03 -4003.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -96.35000000 -0.00001928602 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14663.58000000 USD 2020-04-30 -96.35000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -19526.40000000 -0.00390852847 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 1170075.46000000 USD 124200000.00000000 JPY 2020-04-03 -19526.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -113179.12000000 -0.02265465281 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13316000.00000000 NZD 7775611.88000000 USD 2020-04-30 -113179.12000000 N N N Arena Luxembourg Finance S.a r.l. 222100KX2LPK5KRSIG74 N/A 175000.00000000 PA 163215.82000000 0.032670317069 Long DBT NUSS LU Y 2 2028-02-01 Fixed 1.87500000 N N N N N N EURO N/A N/A 1.00000000 NC 11733.33000000 0.002348617991 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1580996.45000000 USD 1451276.03000000 EUR 2020-04-08 11733.33000000 N N N EURO N/A N/A 1.00000000 NC -2094.28000000 -0.00041920441 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 202931.92000000 USD 183037.40000000 EUR 2020-04-02 -2094.28000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -815.48000000 -0.00016323166 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14069.34000000 USD 2020-04-30 -815.48000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -840.04000000 -0.00016814775 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14189.02000000 USD 19000.00000000 CAD 2020-04-03 -840.04000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 588.89000000 0.000117875969 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 11860.63000000 USD 21000.00000000 NZD 2020-04-03 588.89000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 3380000.00000000 PA 801573.07000000 0.160447966081 Long DBT NUSS MY N 2 2021-09-30 Fixed 4.04800000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 61.26000000 0.000012262191 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14896.03000000 USD 148000.00000000 SEK 2020-04-30 61.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 52370.13000000 0.010482738450 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 7298680.63000000 BRL 1456430.03000000 USD 2020-05-05 52370.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -44.06000000 -0.00000881932 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 30190.48000000 USD 2020-04-03 -44.06000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1702.98000000 -0.00034087931 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 30159.02000000 USD 48000.00000000 NZD 2020-04-03 -1702.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1057.98000000 0.000211772008 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 14100.33000000 USD 2020-04-03 1057.98000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -497.08000000 -0.00009949869 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13846.06000000 USD 19000.00000000 CAD 2020-04-03 -497.08000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1025.43000000 -0.00020525659 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33457.57000000 USD 3501000.00000000 JPY 2020-04-03 -1025.43000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -490.03000000 -0.00009808752 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 28946.07000000 USD 48000.00000000 NZD 2020-04-03 -490.03000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -488.11000000 -0.00009770320 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14127.80000000 USD 11000.00000000 GBP 2020-04-03 -488.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -215.01000000 -0.00004303776 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 10000.00000000 CHF 10141.66000000 USD 2020-04-30 -215.01000000 N N N EURO N/A N/A 1.00000000 NC -348.73000000 -0.00006980401 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 17905.30000000 USD 16000.00000000 EUR 2020-04-03 -348.73000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 17509600.00000000 PA 729261.58000000 0.145973638126 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 154.96000000 0.000031017779 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 15023.17000000 USD 2020-04-03 154.96000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 615.07000000 0.000123116324 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 40134.46000000 USD 58000.00000000 CAD 2020-04-03 615.07000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1161.69000000 -0.00023253126 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 214581.96000000 USD 360000.00000000 NZD 2020-04-03 -1161.69000000 N N N United States of America 254900HROIFWPRGM1V77 912828Y38 296900.00000000 PA USD 326298.25000000 0.065313933947 Long DBT USGA XX N 2 2028-07-15 Fixed 0.75000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -2276.77000000 -0.00045573277 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 20180.45000000 USD 188000.00000000 NOK 2020-04-03 -2276.77000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1558.89000000 -0.00031203734 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14320.02000000 USD 134000.00000000 NOK 2020-04-03 -1558.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 386.87000000 0.000077438360 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15208.76000000 USD 2020-04-03 386.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 466.54000000 0.000093385614 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14937.14000000 USD 2020-04-03 466.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 93674.28000000 0.018750439932 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20190329.19000000 SEK 2134898.79000000 USD 2020-05-14 93674.28000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 249.47000000 0.000049935502 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 18700.00000000 EUR 20768.03000000 USD 2020-04-01 249.47000000 N N N BP CAPITAL MARKETS P.L.C. 549300CRVT18MXX0AG93 N/A 165000.00000000 PA 179602.46000000 0.035950371199 Long DBT NUSS GB N 2 2024-01-25 Fixed 1.11700000 N N N N N N Credit Suisse AG (St Peter Port Branch) N/A N/A 220000.00000000 PA 244659.45000000 0.048972592274 Long DBT NUSS CH N 2 2021-09-17 Fixed 0.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -100.43000000 -0.00002010270 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14860.36000000 USD 21000.00000000 CAD 2020-04-30 -100.43000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 449.07000000 0.000089888708 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13190.62000000 USD 11000.00000000 GBP 2020-04-03 449.07000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -320.30000000 -0.00006411328 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13669.28000000 USD 19000.00000000 CAD 2020-04-03 -320.30000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 526.18000000 0.000105323536 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13604.90000000 USD 140000.00000000 SEK 2020-04-03 526.18000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1385.14000000 -0.00027725843 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14146.27000000 USD 134000.00000000 NOK 2020-04-03 -1385.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 295.15000000 0.000059079102 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15117.04000000 USD 2020-04-03 295.15000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 472.21000000 0.000094520558 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 31257.78000000 USD 2020-04-03 472.21000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 320.33000000 0.000064119291 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14636.96000000 USD 148000.00000000 SEK 2020-04-30 320.33000000 N N N NATIONAL AUSTRALIA BANK LIMITED F8SB4JFBSYQFRQEH3Z21 N/A 750000.00000000 PA 524396.81000000 0.104966602214 Long DBT NUSS AU N 2 2024-03-11 Fixed 5.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -407.82000000 -0.00008163184 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13450.17000000 USD 22000.00000000 NZD 2020-04-03 -407.82000000 N N N UBS Group AG 549300SZJ9VS8SGXAN81 127346771 200000.00000000 PA USD 189750.00000000 0.037981567374 Long DBT NUSS CH N 2 2168-08-07 Fixed 6.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1678.70000000 0.000336019273 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 14439.83000000 USD 2020-04-03 1678.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1150.60000000 0.000230311417 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 16000.00000000 GBP 20990.16000000 USD 2020-04-03 1150.60000000 N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 83367TBJ7 325000.00000000 PA USD 316483.68000000 0.063349387166 Long DBT NUSS FR Y 2 2025-04-14 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4814.73000000 0.000963746992 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1233000.00000000 SEK 129269.17000000 USD 2020-04-03 4814.73000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 1009000.00000000 PA 1182276.05000000 0.236651896962 Long DBT NUSS ES Y 2 2028-04-30 Fixed 1.40000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 433.33000000 0.000086738090 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 9644.85000000 USD 17000.00000000 NZD 2020-04-03 433.33000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 N/A 170000.00000000 PA 162283.16000000 0.032483629909 Long DBT NUSS EG Y 2 2025-04-11 Fixed 4.75000000 N N N N N N United States of America N/A N/A 1.00000000 NC USD 221875.00000000 0.044411911785 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Jun 2020 2020-06-22 221220.19000000 USD 654.81000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -537.37000000 -0.00010756339 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14668.45000000 USD 140000.00000000 SEK 2020-04-03 -537.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 145.16000000 0.000029056149 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14902.20000000 USD 2020-04-03 145.16000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 1055000.00000000 PA 626068.70000000 0.125317894652 Long DBT NUSS NZ N 2 2020-04-15 Fixed 3.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -117.66000000 -0.00002355157 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14877.59000000 USD 21000.00000000 CAD 2020-04-30 -117.66000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -342.74000000 -0.00006860501 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13691.72000000 USD 19000.00000000 CAD 2020-04-03 -342.74000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 46789500.00000000 PA 2253686.52000000 0.451112233996 Long DBT NUSS MX N 2 2024-12-05 Floating 10.00000080 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -586.05000000 -0.00011730749 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 54000.00000000 NOK 4556.50000000 USD 2020-04-03 -586.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2330.31000000 0.000466449677 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 69000.00000000 NZD 43235.86000000 USD 2020-04-03 2330.31000000 N N N BRK: DEUTSCHE BANK N/A N/A 23220000.00000000 NC 106786.23000000 0.021375011275 N/A DIR XX N 2 BRK: DEUTSCHE BANK N/A Y 2024-06-03 0.00000000 CNY 0.00000000 CNY -23220000.00000000 CNY 106786.23000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 359.40000000 0.000071939790 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 4116.52000000 USD 47000.00000000 NOK 2020-04-03 359.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -739.72000000 -0.00014806706 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 62000.00000000 CAD 42820.12000000 USD 2020-04-03 -739.72000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -387.26000000 -0.00007751642 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14619.28000000 USD 141000.00000000 SEK 2020-04-03 -387.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9772.30000000 0.001956085748 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 874000.00000000 TRY 142356.87000000 USD 2020-04-03 9772.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 41618.42000000 0.008330607764 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14491912.81000000 CNY 2086326.05000000 USD 2020-04-16 41618.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 266384.83000000 0.053321282573 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1354877100.00000000 HUF 4398437.52000000 USD 2020-05-26 266384.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2006.59000000 0.000401651822 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 32241.13000000 USD 2020-04-03 2006.59000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 10537.13000000 0.002109178988 N/A DFE XX N 2 JP MORGAN N/A 136699.58000000 USD 3468000.00000000 MXN 2020-04-30 10537.13000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 18.36000000 0.000003675054 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 28075.18000000 USD 295000.00000000 NOK 2020-04-03 18.36000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 56928.62000000 0.011395194814 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 9390392.48000000 USD 1018158000.00000000 JPY 2020-04-30 56928.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -6.16000000 -0.00000123302 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 NZD 14804.58000000 USD 2020-04-30 -6.16000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1086.41000000 0.000217462738 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 254000.00000000 EUR 280047.70000000 USD 2020-04-30 1086.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 244.06000000 0.000048852602 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1620000.00000000 JPY 15251.22000000 USD 2020-04-03 244.06000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 77.80000000 0.000015572943 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13561.89000000 USD 11000.00000000 GBP 2020-04-03 77.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -896.67000000 -0.00017948317 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 AUD 14404.57000000 USD 2020-04-03 -896.67000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 393000.00000000 PA 461827.72000000 0.092442375033 Long DBT NUSS ES Y 2 2027-04-30 Fixed 1.50000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC 455.50000000 0.000091175778 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 31586.54000000 USD 31000.00000000 CHF 2020-04-03 455.50000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 147.11000000 0.000029446473 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14810.18000000 USD 148000.00000000 SEK 2020-04-30 147.11000000 N N N THE WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FN1 242000.00000000 PA USD 263673.11000000 0.052778487443 Long DBT CORP US N 2 2025-03-24 Fixed 3.35000000 N N N N N N EURO N/A N/A 1.00000000 NC 351.54000000 0.000070366483 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 13913.17000000 USD 13000.00000000 EUR 2020-04-03 351.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -892.32000000 -0.00017861244 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 54000.00000000 AUD 32155.81000000 USD 2020-04-30 -892.32000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -360.22000000 -0.00007210392 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14491.30000000 USD 140000.00000000 SEK 2020-04-03 -360.22000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -231.27000000 -0.00004629247 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 20115.72000000 USD 197000.00000000 SEK 2020-04-03 -231.27000000 N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 N/A 885000.00000000 PA 988232.04000000 0.197810813223 Long DBT NUSS AU N 2 2024-05-17 Fixed 0.50000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -983.18000000 -0.00019679956 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 20766.69000000 USD 196000.00000000 SEK 2020-04-03 -983.18000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 553.03000000 0.000110698003 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 4782.48000000 USD 9000.00000000 NZD 2020-04-03 553.03000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087F82 1375000.00000000 PA 988520.04000000 0.197868461135 Long DBT NUSS CA N 2 2027-06-01 Fixed 1.00000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 N/A 350000.00000000 PA 445876.43000000 0.089249463329 Long DBT NUSS FR N 2 2025-11-12 Fixed 4.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -24.87000000 -0.00000497813 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13660.05000000 USD 23000.00000000 NZD 2020-04-03 -24.87000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -898.17000000 -0.00017978342 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 13986.65000000 USD 2020-04-30 -898.17000000 N N N WPC Eurobond B.V. 5493005XDMOLBARL5M14 N/A 405000.00000000 PA 388294.05000000 0.077723407753 Long DBT NUSS NL N 2 2028-04-15 Fixed 1.35000000 N N N N N N NATIONAL GRID NORTH AMERICA INC. 5Q3U0WRKWZZGRMPYFT08 N/A 300000.00000000 PA 329447.32000000 0.065944271836 Long DBT NUSS US N 2 2024-07-12 Fixed 1.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -349.97000000 -0.00007005222 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 15104.11000000 USD 21000.00000000 CAD 2020-04-03 -349.97000000 N N N Japan 353800WZS8AXZXFUC241 N/A 444650000.00000000 PA 4783586.35000000 0.957513081662 Long DBT NUSS JP N 2 2034-09-20 Fixed 1.40000000 N N N N N N FCA Bank SpA (Dublin Branch) N/A N/A 900000.00000000 PA 987457.12000000 0.197655700305 Long DBT NUSS IT N 2 2020-04-17 Fixed 1.37500000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 439.87000000 0.000088047178 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14380.98000000 USD 25000.00000000 NZD 2020-04-03 439.87000000 N N N EBAY INC. OML71K8X303XQONU6T67 278642AU7 130000.00000000 PA USD 133983.58000000 0.026819005907 Long DBT CORP US N 2 2027-06-05 Fixed 3.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12473.55000000 0.002496785136 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1172586.18000000 MYR 285578.71000000 USD 2020-08-13 12473.55000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 171.85000000 0.000034398589 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13463.33000000 USD 23000.00000000 NZD 2020-04-03 171.85000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 421.90000000 0.000084450188 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14686.61000000 USD 2020-04-03 421.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 462.99000000 0.000092675024 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14727.70000000 USD 2020-04-03 462.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -277.22000000 -0.00005549011 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1582000.00000000 JPY 14401.90000000 USD 2020-04-30 -277.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2671.07000000 0.000534658367 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 273942.29000000 EUR 303314.11000000 USD 2020-04-08 2671.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 187.35000000 0.000037501168 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14686.68000000 USD 2020-04-30 187.35000000 N N N European Financial Stability Facility SA 222100OW6UHQXNHKN143 N/A 695000.00000000 PA 789451.12000000 0.158021559437 Long DBT NUSS LU N 2 2025-07-11 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2878.39000000 0.000576156857 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 308000.00000000 NOK 32209.95000000 USD 2020-04-03 2878.39000000 N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 N/A 330000.00000000 PA 385767.27000000 0.077217631391 Long DBT NUSS AU N 2 2022-05-03 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4574.48000000 0.000915657024 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2428000.00000000 ZAR 139974.63000000 USD 2020-04-30 4574.48000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -796.12000000 -0.00015935644 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 16300.33000000 USD 15000.00000000 CHF 2020-04-03 -796.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 219.96000000 0.000044028593 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 EUR 12290.10000000 USD 2020-04-03 219.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 583.83000000 0.000116863127 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16088.04000000 USD 2020-04-03 583.83000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 34.44000000 0.000006893729 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3468000.00000000 MXN 147271.15000000 USD 2020-04-30 34.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1584.70000000 -0.00031720363 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 54000.00000000 AUD 31463.43000000 USD 2020-04-30 -1584.70000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 119.39000000 0.000023897862 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13910.75000000 USD 139000.00000000 SEK 2020-04-03 119.39000000 N N N BRK:GOLDMAN SACHS N/A N/A 200000.00000000 NC -34240.49000000 -0.00685379434 N/A DIR XX N 2 BRK:GOLDMAN SACHS N/A Y 2050-03-05 0.00000000 GBP 0.00000000 GBP -200000.00000000 GBP -34240.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -57200.91000000 -0.01144969811 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 80148000.00000000 CNY 11267977.90000000 USD 2020-04-28 -57200.91000000 N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 300000.00000000 PA 418558.25000000 0.083781282596 Long DBT NUSS FR N 2 2047-12-20 Fixed 2.25000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 3395.08000000 0.000679580815 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 57074.00000000 USD 102000.00000000 NZD 2020-04-03 3395.08000000 N N N Nationwide Building Society 549300XFX12G42QIKN82 N/A 225000.00000000 PA 251629.09000000 0.050367679764 Long DBT NUSS GB N 2 2024-02-23 Fixed 0.50000000 N N N N N N MCKESSON CORPORATION 549300WZWOM80UCFSF54 581557BF1 355000.00000000 PA 386891.72000000 0.077442708458 Long DBT CORP US N 2 2021-08-17 Fixed 0.62500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1608.24000000 -0.00032191555 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14369.37000000 USD 134000.00000000 NOK 2020-04-03 -1608.24000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -804.96000000 -0.00016112591 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 22584.88000000 USD 31000.00000000 CAD 2020-04-03 -804.96000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 973.51000000 0.000194863956 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31279.72000000 USD 3476000.00000000 JPY 2020-04-30 973.51000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1059.50000000 -0.00021207626 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33667.65000000 USD 3520000.00000000 JPY 2020-04-03 -1059.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2422.69000000 0.000484941045 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 188000.00000000 NOK 20326.37000000 USD 2020-04-03 2422.69000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1113.75000000 -0.00022293528 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 17112.78000000 USD 168000.00000000 NOK 2020-04-03 -1113.75000000 N N N Svenska Handelsbanken AB NHBDILHZTYCNBV5UYZ31 W9124Y2Y7 325000.00000000 PA USD 305661.20000000 0.061183090706 Long DBT NUSS SE N 2 2169-03-01 Fixed 5.25000000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 200000.00000000 PA 172349.62000000 0.034498596595 Long DBT NUSS SG N 2 2046-03-01 Fixed 2.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9697.79000000 0.001941171353 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1977000.00000000 CHF 2057210.64000000 USD 2020-04-30 9697.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -761.24000000 -0.00015237464 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 96000.00000000 CAD 66686.26000000 USD 2020-04-03 -761.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 37.63000000 0.000007532260 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 23000.00000000 CHF 23810.76000000 USD 2020-04-03 37.63000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -17182.57000000 -0.00343937254 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 145271.69000000 USD 2288000.00000000 ZAR 2020-04-03 -17182.57000000 N N N DH Europe Finance S.a r.l. 2221002WRBW5MJ8VL618 23290YAC0 150000.00000000 PA 166868.89000000 0.033401538805 Long DBT NUSS LU N 2 2022-01-04 Fixed 1.70000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -511.86000000 -0.00010245715 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 12455.69000000 USD 17000.00000000 CAD 2020-04-03 -511.86000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 102000.00000000 PA 176752.32000000 0.035379869042 Long DBT NUSS ES N 2 2032-07-30 Fixed 5.75000000 N N N N N N SNCF RESEAU 969500VZN4KDEZ14C105 N/A 200000.00000000 PA 237384.16000000 0.047516323935 Long DBT NUSS FR N 2 2030-05-25 Fixed 1.12500000 N N N N N N Freddie Mac N/A 3137G0HT9 25488.67550000 PA USD 25331.66000000 0.005070546250 Long DBT USGA US N 2 2028-07-25 Floating 4.52675160 N N N N N N CNP ASSURANCES SA 969500QKVPV2H8UXM738 N/A 200000.00000000 PA 237285.41000000 0.047496557507 Long DBT NUSS FR N 2 2047-06-10 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2849.99000000 -0.00057047213 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 89000.00000000 AUD 51618.22000000 USD 2020-04-30 -2849.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -69583.20000000 -0.01392821606 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 23814500800.00000000 IDR 1390221.88000000 USD 2020-04-22 -69583.20000000 N N N Medtronic Global Holdings S.C.A. 549300JXMTTP8GKYIX14 58507LAH2 400000.00000000 PA 431100.43000000 0.086291805150 Long DBT NUSS LU N 2 2027-03-07 Fixed 1.12500000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -589.62000000 -0.00011802209 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13631.97000000 USD 22000.00000000 NZD 2020-04-03 -589.62000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 403000.00000000 PA 749907.13000000 0.150106182782 Long DBT NUSS FR N 2 2032-10-25 Fixed 5.75000000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VEU4 391000.00000000 PA USD 439133.81000000 0.087899817607 Long DBT CORP US N 2 2029-12-03 Fixed 4.01600000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1798.17000000 -0.00035993314 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 29201.14000000 USD 2020-04-03 -1798.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4762.72000000 -0.00095333634 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 57000.00000000 GBP 65915.70000000 USD 2020-04-03 -4762.72000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -7945.97000000 -0.00159051591 N/A DFE XX N 2 JP MORGAN N/A 130225.59000000 USD 2869000.00000000 MXN 2020-04-03 -7945.97000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -737.91000000 -0.00014770476 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14768.05000000 USD 139000.00000000 SEK 2020-04-03 -737.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -83877.99000000 -0.01678955219 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 581804000.00000000 JPY 5305768.09000000 USD 2020-04-03 -83877.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 787.39000000 0.000157608992 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16291.60000000 USD 2020-04-03 787.39000000 N N N GLAXOSMITHKLINE CAPITAL PLC 549300U0LV41VX7LEP38 N/A 595000.00000000 PA 652112.48000000 0.130530983372 Long DBT NUSS GB N 2 2020-09-12 Fixed 0.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 54583.05000000 0.010925690598 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3414976.58000000 BRL 713006.02000000 USD 2020-04-02 54583.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 657.23000000 0.000131555338 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1613000.00000000 JPY 15599.55000000 USD 2020-04-03 657.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 222.03000000 0.000044442937 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 8000.00000000 CHF 8490.94000000 USD 2020-04-03 222.03000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -451.47000000 -0.00009036910 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 58730.17000000 USD 47000.00000000 GBP 2020-04-03 -451.47000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 490000.00000000 PA 536978.97000000 0.107485127419 Long DBT NUSS US N 2 2023-03-30 Fixed 1.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1558.86000000 0.000312031336 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 65000.00000000 CAD 47226.44000000 USD 2020-04-03 1558.86000000 N N N Japan 353800WZS8AXZXFUC241 N/A 17150000.00000000 PA 190558.73000000 0.038143447917 Long DBT NUSS JP N 2 2031-06-20 Fixed 1.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1098.91000000 0.000219964817 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 AUD 14564.00000000 USD 2020-04-03 1098.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1526.41000000 0.000305535938 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 50000.00000000 CAD 36655.31000000 USD 2020-04-03 1526.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 110205.20000000 0.022059374065 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14431000.00000000 ZAR 918095.99000000 USD 2020-04-03 110205.20000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 330.26000000 0.000066106943 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13304.92000000 USD 23000.00000000 NZD 2020-04-03 330.26000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -390.36000000 -0.00007813694 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13243.40000000 USD 21000.00000000 AUD 2020-04-03 -390.36000000 N N N EURO N/A N/A 1.00000000 NC -820.72000000 -0.00016428053 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 50198.58000000 USD 45000.00000000 EUR 2020-04-03 -820.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -441.83000000 -0.00008843950 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 12411.21000000 USD 2020-04-03 -441.83000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1340.23000000 -0.00026826896 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14101.36000000 USD 134000.00000000 NOK 2020-04-03 -1340.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 840.37000000 0.000168213806 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 171000.00000000 SEK 18100.47000000 USD 2020-04-03 840.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 986.79000000 0.000197522165 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1926000.00000000 JPY 18828.64000000 USD 2020-04-03 986.79000000 N N N BROADCOM INC. 549300WV6GIDOZJTV909 11135FAE1 195000.00000000 PA USD 191705.89000000 0.038373070762 Long DBT CORP US Y 2 2026-04-15 Fixed 4.25000000 N N N N N N SPRINT SPECTRUM CO LLC N/A 85208NAD2 265000.00000000 PA USD 270300.00000000 0.054104967912 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N Federal National Mortgage Association N/A 30711XAR5 254446.69370000 PA USD 245321.01000000 0.049105014333 Long DBT USGA US N 2 2024-11-25 Floating 6.62675040 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 250000.00000000 PA 192523.79000000 0.038536786830 Long DBT NUSS SG N 2 2036-08-01 Fixed 2.25000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -807.23000000 -0.00016158029 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14156.21000000 USD 19000.00000000 CAD 2020-04-03 -807.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 229438.37000000 0.045925844050 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19834621.07000000 EUR 22002386.48000000 USD 2020-04-15 229438.37000000 N N N POLISH ZLOTY N/A N/A 1.00000000 NC 17499.59000000 0.003502829283 N/A DFE PA N 2 J P MORGAN CHASE BANK N/A 839622.64000000 USD 3560000.00000000 PLN 2020-04-03 17499.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1124.92000000 -0.00022517114 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20000.00000000 GBP 23674.52000000 USD 2020-04-03 -1124.92000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -19998.04000000 -0.00400293493 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2251000.00000000 NZD 1314471.45000000 USD 2020-04-03 -19998.04000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -512.79000000 -0.00010264330 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13861.77000000 USD 19000.00000000 CAD 2020-04-03 -512.79000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -180.50000000 -0.00003613002 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 8611.44000000 USD 12000.00000000 CAD 2020-04-03 -180.50000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 393000.00000000 PA 328803.56000000 0.065815412738 Long DBT NUSS AU N 2 2037-04-21 Fixed 3.75000000 N N N N N N Akzo Nobel N.V. 724500XYIJUGXAA5QD70 N/A 340000.00000000 PA 389516.88000000 0.077968177187 Long DBT NUSS NL N 2 2022-07-27 Fixed 2.62500000 N N N N N N DIGITAL EURO FINCO, LLC 635400OUEAPTXSW3SC91 N/A 175000.00000000 PA 198414.37000000 0.039715882805 Long DBT NUSS US N 2 2024-04-15 Fixed 2.62500000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1833400000.00000000 PA 512692.85000000 0.102623863108 Long DBT NUSS CO N 2 2024-07-24 Fixed 10.00000000 N N N N N N Bundesrepublik Deutschland N/A N/A 3.00000000 NC 445077.19000000 0.089089482365 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Germany Govt. Bond Futures Euro-BOBL Future Jun 2020 2020-06-11 447045.71000000 EUR -1968.52000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -792.65000000 -0.00015866186 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14087.02000000 USD 2020-04-03 -792.65000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -724.97000000 -0.00014511460 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14856.05000000 USD 140000.00000000 SEK 2020-04-03 -724.97000000 N N N Altria Group, Inc. XSGZFLO9YTNO9VCQV219 02209SAY9 440000.00000000 PA 468068.42000000 0.093691553255 Long DBT NUSS US N 2 2027-06-15 Fixed 2.20000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 N/A 200000.00000000 PA 224195.66000000 0.044876429857 Long DBT NUSS FR N 2 2169-01-29 Fixed 5.37500000 N N N N N N KfW 549300GDPG70E3MBBU98 500769CG7 160000000.00000000 PA 2148616.81000000 0.430080812287 Long DBT NUSS DE N 2 2037-06-20 Fixed 2.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3938.75000000 0.000788405262 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 60600000.00000000 JPY 565317.76000000 USD 2020-04-03 3938.75000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -6293.17000000 -0.00125968095 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 145704.18000000 USD 919000.00000000 TRY 2020-04-03 -6293.17000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -458.25000000 -0.00009172623 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14097.94000000 USD 11000.00000000 GBP 2020-04-03 -458.25000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -0.87000000 -0.00000017414 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 12760.26000000 USD 2020-04-03 -0.87000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 776.04000000 0.000155337104 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14162.53000000 USD 148000.00000000 SEK 2020-04-03 776.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8212.88000000 0.001643942319 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 500000.00000000 SGD 359382.84000000 USD 2020-04-03 8212.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7731.38000000 0.001547562215 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 874000.00000000 TRY 140315.95000000 USD 2020-04-03 7731.38000000 N N N SEAGATE HDD CAYMAN 529900BD50TRWEG1SF63 81180WAH4 6000.00000000 PA USD 6008.84000000 0.001202767648 Long DBT NUSS KY N 2 2023-06-01 Fixed 4.75000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -60419.05000000 -0.01209386149 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 2224877.88000000 USD 233650000.00000000 JPY 2020-04-03 -60419.05000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 392.11000000 0.000078487232 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 31649.93000000 USD 31000.00000000 CHF 2020-04-03 392.11000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 535.50000000 0.000107189087 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13696.52000000 USD 141000.00000000 SEK 2020-04-03 535.50000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -884.74000000 -0.00017709518 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14233.72000000 USD 19000.00000000 CAD 2020-04-03 -884.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -680.53000000 -0.00013621921 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 45000.00000000 NZD 25997.00000000 USD 2020-04-03 -680.53000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2020.41000000 0.000404418121 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 30786.74000000 USD 2020-04-03 2020.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 791.86000000 0.000158503736 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15613.75000000 USD 2020-04-03 791.86000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -326.72000000 -0.00006539835 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13369.07000000 USD 22000.00000000 NZD 2020-04-03 -326.72000000 N N N TOTAL CAPITAL INTERNATIONAL SA 549300U37G2I8G4RUG09 N/A 640000.00000000 PA 410610.12000000 0.082190334321 Long DBT NUSS FR N 2 2021-11-26 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -969.75000000 -0.00019411133 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 27796.58000000 USD 2020-04-03 -969.75000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 104000.00000000 PA 167073.72000000 0.033442538881 Long DBT NUSS ES N 2 2029-01-31 Fixed 6.00000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 83.52000000 0.000016717894 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13845.69000000 USD 138000.00000000 SEK 2020-04-03 83.52000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -52.41000000 -0.00001049071 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4000.00000000 CHF 4082.05000000 USD 2020-04-03 -52.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1628.57000000 0.000325984933 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 34000.00000000 GBP 43787.63000000 USD 2020-04-03 1628.57000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087B45 1761000.00000000 PA 1334306.86000000 0.267083351260 Long DBT NUSS CA N 2 2024-06-01 Fixed 2.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12822.68000000 0.002566669219 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2761000.00000000 MXN 130499.24000000 USD 2020-04-03 12822.68000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -906.38000000 -0.00018142678 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33338.52000000 USD 3501000.00000000 JPY 2020-04-03 -906.38000000 N N N HUNGARIAN FORINT N/A N/A 1.00000000 NC -152.39000000 -0.00003050335 N/A DFE HU N 2 MORGAN STANLEY & CO, INC N/A 232876.71000000 USD 76500000.00000000 HUF 2020-04-03 -152.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 17816.75000000 0.003566314047 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1035000.00000000 EUR 1153507.50000000 USD 2020-04-03 17816.75000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -24984.25000000 -0.00500100645 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 808950.96000000 USD 84628000.00000000 JPY 2020-04-03 -24984.25000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -11095.68000000 -0.00222098191 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 147078.41000000 USD 2429000.00000000 ZAR 2020-04-03 -11095.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5.73000000 0.000001146953 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14890.55000000 USD 2020-04-30 5.73000000 N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 64000.00000000 PA 117561.16000000 0.023531789824 Long DBT NUSS BE Y 2 2035-03-28 Fixed 5.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 27124.03000000 0.005429318434 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1037000.00000000 EUR 1165009.35000000 USD 2020-04-03 27124.03000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7137.05000000 0.001428597340 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 219000.00000000 EUR 247442.63000000 USD 2020-04-03 7137.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 962.64000000 0.000192688147 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 23000.00000000 CHF 24735.77000000 USD 2020-04-03 962.64000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -560.59000000 -0.00011221126 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14025.68000000 USD 22000.00000000 AUD 2020-04-03 -560.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -664.18000000 -0.00013294649 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 12975.51000000 USD 2020-04-03 -664.18000000 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -53987.29000000 -0.01080643948 N/A DFE ID N 2 JP MORGAN N/A 347622.66000000 USD 4793890316.00000000 IDR 2020-05-05 -53987.29000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1169.32000000 -0.00023405853 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14501.85000000 USD 140000.00000000 NOK 2020-04-03 -1169.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3041.49000000 -0.00060880399 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 509437100.00000000 KRW 415324.56000000 USD 2020-04-27 -3041.49000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1218.93000000 -0.00024398878 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14071.97000000 USD 21000.00000000 AUD 2020-04-03 -1218.93000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -310.95000000 -0.00006224173 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14542.97000000 USD 141000.00000000 SEK 2020-04-03 -310.95000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -1789.83000000 -0.00035826376 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 150630.29000000 USD 144000.00000000 CHF 2020-04-03 -1789.83000000 N N N METROPOLITAN LIFE GLOBAL FUNDING I 635400MMSOCXNNNZDZ82 59217GEE5 1000000.00000000 PA USD 978917.19000000 0.195946293577 Long DBT CORP US Y 2 2023-01-13 Fixed 1.95000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -365.41000000 -0.00007314279 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33232.95000000 USD 3548000.00000000 JPY 2020-04-03 -365.41000000 N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 N/A 900000.00000000 PA 987577.60000000 0.197679816348 Long DBT NUSS US N 2 2023-07-27 Fixed 2.00000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1356.11000000 -0.00027144760 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14117.24000000 USD 134000.00000000 NOK 2020-04-03 -1356.11000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 2160100000.00000000 PA 544908.00000000 0.109072252516 Long DBT NUSS CO N 2 2030-09-18 Fixed 7.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 416.51000000 0.000083371291 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2268000.00000000 JPY 21426.54000000 USD 2020-04-03 416.51000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -471.88000000 -0.00009445450 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13233.01000000 USD 134000.00000000 NOK 2020-04-03 -471.88000000 N N N EURO N/A N/A 1.00000000 NC -11826.77000000 -0.00236732153 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 417822.50000000 USD 370000.00000000 EUR 2020-04-03 -11826.77000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1978.76000000 -0.00039608119 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 29020.55000000 USD 2020-04-03 -1978.76000000 N N N EURO N/A N/A 1.00000000 NC -1402.53000000 -0.00028073932 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 50780.39000000 USD 45000.00000000 EUR 2020-04-03 -1402.53000000 N N N EURO N/A N/A 1.00000000 NC 348.57000000 0.000069771989 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 13928.98000000 USD 13000.00000000 EUR 2020-04-30 348.57000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 381.94000000 0.000076451540 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14852.54000000 USD 2020-04-03 381.94000000 N N N Pemerintah Republik Indonesia 529900FWX0GRR7WG5W79 N/A 300000.00000000 PA 300470.72000000 0.060144131203 Long DBT NUSS ID N 2 2026-09-18 Fixed 1.45000000 N N N N N N THE SOUTHERN COMPANY 549300FC3G3YU2FBZD92 842587CM7 700000.00000000 PA USD 700605.86000000 0.140237726876 Long DBT CORP US N 2 2020-06-15 Fixed 2.75000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CB3 167000.00000000 PA 203613.36000000 0.040756545724 Long DBT NUSS GB N 2 2028-07-22 Fixed 3.00000000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 75000.00000000 PA 138839.33000000 0.027790963724 Long DBT NUSS AT Y 2 2117-09-20 Fixed 2.10000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -20207.19000000 -0.00404479972 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 366668.82000000 USD 37400000.00000000 JPY 2020-04-03 -20207.19000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 388.05000000 0.000077674557 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 28640.99000000 USD 49000.00000000 NZD 2020-04-30 388.05000000 N N N Statsministeriet, Departementet 549300PTO6LS1PTM6607 N/A 2040000.00000000 PA 557052.46000000 0.111503164905 Long DBT NUSS DK N 2 2039-11-15 Fixed 4.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 222.32000000 0.000044500985 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 12538.81000000 USD 134000.00000000 NOK 2020-04-03 222.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4298.73000000 0.000860461149 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 649800.23000000 EUR 717434.04000000 USD 2020-04-08 4298.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -592.98000000 -0.00011869464 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 55000.00000000 NZD 31990.64000000 USD 2020-04-30 -592.98000000 N N N UBS Group AG 549300SZJ9VS8SGXAN81 N/A 427000.00000000 PA 465719.87000000 0.093221452543 Long DBT NUSS CH N 2 2022-11-16 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 525.63000000 0.000105213445 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15560.58000000 USD 2020-04-03 525.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 994.46000000 0.000199057441 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 EUR 24037.46000000 USD 2020-04-03 994.46000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 1155.05000000 0.000231202157 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 11697.99000000 USD 21000.00000000 AUD 2020-04-03 1155.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -267.73000000 -0.00005359054 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20000.00000000 AUD 11973.26000000 USD 2020-04-03 -267.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 35159.21000000 0.007037691190 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1035000.00000000 EUR 1170849.96000000 USD 2020-04-03 35159.21000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 407.61000000 0.000081589811 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 31698.05000000 USD 31000.00000000 CHF 2020-04-30 407.61000000 N N N Becton Dickinson Euro Finance S.a r.l. 549300W40NLZ25XUTH09 ZS7774319 200000.00000000 PA 214528.02000000 0.042941293519 Long DBT NUSS LU N 2 2023-06-04 Fixed 0.63200000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 243.59000000 0.000048758524 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15065.48000000 USD 2020-04-03 243.59000000 N N N Prologis Euro Finance LLC 549300MI5D1784PRQH06 74341EAB8 161000.00000000 PA 159816.40000000 0.031989867531 Long DBT NUSS US N 2 2027-09-10 Fixed 0.25000000 N N N N N N INTERNATIONAL GAME TECHNOLOGY PLC 549300UQ6KHRCZDRGZ76 N/A 170000.00000000 PA 144173.85000000 0.028858755190 Long DBT NUSS GB N 2 2024-07-15 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1129.60000000 0.000226107923 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 AUD 14594.69000000 USD 2020-04-03 1129.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -194.54000000 -0.00003894036 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14304.79000000 USD 2020-04-30 -194.54000000 N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AA4 325000.00000000 PA 341851.06000000 0.068427083359 Long DBT NUSS US N 2 2028-03-15 Fixed 1.55000000 N N N N N N Kutxabank, S.A. 549300U4LIZV0REEQQ46 N/A 300000.00000000 PA 350417.55000000 0.070141806506 Long DBT NUSS ES N 2 2025-09-22 Fixed 1.25000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 345000.00000000 PA 616749.63000000 0.123452530304 Long DBT NUSS FR N 2 2038-10-25 Fixed 4.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 310.33000000 0.000062117627 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 29197.95000000 USD 42000.00000000 CAD 2020-04-03 310.33000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -400.45000000 -0.00008015662 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13749.43000000 USD 19000.00000000 CAD 2020-04-03 -400.45000000 N N N EURO N/A N/A 1.00000000 NC -141.76000000 -0.00002837558 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14406.47000000 USD 13000.00000000 EUR 2020-04-03 -141.76000000 N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693475AY1 885000.00000000 PA USD 907153.87000000 0.181581690817 Long DBT CORP US N 2 2024-11-01 Fixed 2.20000000 N N N N N N EURO N/A N/A 1.00000000 NC -199.29000000 -0.00003989115 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14464.00000000 USD 13000.00000000 EUR 2020-04-03 -199.29000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -1202.20000000 -0.00024064000 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 18159.50000000 USD 168000.00000000 SEK 2020-04-03 -1202.20000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 492.43000000 0.000098567922 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13436.78000000 USD 138000.00000000 SEK 2020-04-03 492.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 196.37000000 0.000039306668 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20000.00000000 CHF 20868.66000000 USD 2020-04-03 196.37000000 N N N Orsted A/S W9NG6WMZIYEU8VEDOG48 N/A 210000.00000000 PA 251815.66000000 0.050405024802 Long DBT NUSS DK N 2 2099-06-26 Fixed 6.25000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC 500.15000000 0.000100113206 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 31541.89000000 USD 31000.00000000 CHF 2020-04-03 500.15000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -17116.19000000 -0.00342608550 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 145205.31000000 USD 2288000.00000000 ZAR 2020-04-03 -17116.19000000 N N N Ireland 549300KXBEJAOJ9OVF93 N/A 351000.00000000 PA 491077.26000000 0.098297149074 Long DBT NUSS IE N 2 2025-03-13 Fixed 5.40000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -382.77000000 -0.00007661767 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 29149.10000000 USD 47000.00000000 AUD 2020-04-03 -382.77000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -525.54000000 -0.00010519543 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 31524.85000000 USD 25000.00000000 GBP 2020-04-03 -525.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 70381.54000000 0.014088016882 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 67107050.00000000 THB 2115673.57000000 USD 2020-04-16 70381.54000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 2160000.00000000 PA 2513446.79000000 0.503107502488 Long DBT NUSS DE N 2 2027-02-15 Fixed 0.25000000 N N N N N N EURO N/A N/A 1.00000000 NC -63820.67000000 -0.01277475139 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 16295968.80000000 USD 14793000.00000000 EUR 2020-04-03 -63820.67000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -1571.92000000 -0.00031464550 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 52219.02000000 USD 49000.00000000 CHF 2020-04-03 -1571.92000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 786.05000000 0.000157340769 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15607.94000000 USD 2020-04-03 786.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 556.65000000 0.000111422605 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 121000.00000000 NOK 12079.76000000 USD 2020-04-03 556.65000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 5205000.00000000 PA 6114391.52000000 1.223895512370 Long DBT NUSS FR N 2 2028-05-25 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5567.48000000 0.001114422222 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 921000.00000000 TRY 145281.89000000 USD 2020-04-03 5567.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2248.20000000 0.000450014017 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 252565.62000000 EUR 279431.02000000 USD 2020-04-08 2248.20000000 N N N Rzeczpospolita Polska 259400R9L8QEP0TPXS31 N/A 1860000.00000000 PA 474606.80000000 0.095000316999 Long DBT NUSS PL N 2 2027-07-25 Fixed 2.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1119.94000000 -0.00022417431 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14452.47000000 USD 140000.00000000 NOK 2020-04-03 -1119.94000000 N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 2520822.00000000 PA 791690.82000000 0.158469872041 Long DBT NUSS IL N 2 2023-03-31 Fixed 4.25000000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZD8 750000.00000000 PA 773560.68000000 0.154840827856 Long DBT NUSS US N 2 2021-05-14 Floating 0.01699920 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 859850000.00000000 PA 8147846.37000000 1.630924773971 Long DBT NUSS JP N 2 2022-06-20 Fixed 0.90000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2074.99000000 0.000415343201 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 31415.85000000 USD 27000.00000000 GBP 2020-04-30 2074.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1962.18000000 -0.00039276243 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 50000.00000000 AUD 28640.30000000 USD 2020-04-03 -1962.18000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 625.55000000 0.000125214068 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14265.24000000 USD 2020-04-03 625.55000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -1095.10000000 -0.00021920218 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 34170.76000000 USD 32000.00000000 CHF 2020-04-03 -1095.10000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -714.48000000 -0.00014301486 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 32756.52000000 USD 31000.00000000 CHF 2020-04-03 -714.48000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 1515000.00000000 PA 1740555.25000000 0.348400613951 Long DBT NUSS DE N 2 2030-02-15 Fixed 0.00000000 N N N N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1230000.00000000 PA 825994.15000000 0.165336244845 Long DBT NUSS AU N 2 2024-04-21 Fixed 2.75000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 683234YD4 1355000.00000000 PA 1252186.22000000 0.250645561426 Long DBT NUSS CA N 2 2037-06-02 Fixed 4.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2876.55000000 0.000575788551 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 322000.00000000 NOK 33541.36000000 USD 2020-04-03 2876.55000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -241.63000000 -0.00004836619 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13002.76000000 USD 134000.00000000 NOK 2020-04-03 -241.63000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 181.90000000 0.000036410261 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 43229.90000000 USD 42000.00000000 CHF 2020-04-03 181.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 954.97000000 0.000191152871 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15712.01000000 USD 2020-04-03 954.97000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 493.27000000 0.000098736061 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32114.88000000 USD 3520000.00000000 JPY 2020-04-03 493.27000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -50347.14000000 -0.01007780390 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 1195179.00000000 USD 123537923.00000000 JPY 2020-04-09 -50347.14000000 N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAQ4 63000.00000000 PA USD 61740.00000000 0.012358271250 Long DBT CORP US Y 2 2027-12-15 Fixed 4.25000000 N N N N N N Volkswagen Bank Gesellschaft mit beschraenkter Haftung 529900GJD3OQLRZCKW37 N/A 200000.00000000 PA 216166.87000000 0.043269336163 Long DBT NUSS DE N 2 2021-09-08 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5637.40000000 0.001128417854 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 547000.00000000 CHF 571897.56000000 USD 2020-04-24 5637.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15673.31000000 0.003137269458 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2352000.00000000 ZAR 147345.34000000 USD 2020-04-03 15673.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19301.21000000 0.003863453006 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 5521000.00000000 MXN 254611.70000000 USD 2020-04-03 19301.21000000 N N N EURO N/A N/A 1.00000000 NC 221.11000000 0.000044258784 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14043.60000000 USD 13000.00000000 EUR 2020-04-03 221.11000000 N N N Rzeczpospolita Polska 259400R9L8QEP0TPXS31 N/A 1493000.00000000 PA 392310.15000000 0.078527295884 Long DBT NUSS PL N 2 2029-10-25 Fixed 2.75000000 N N N N N N DNB BANK ASA 549300GKFG0RYRRQ1414 N/A 355000.00000000 PA USD 318700.54000000 0.063793127970 Long DBT NUSS NO N 2 2169-03-26 Fixed 6.50000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2.25000000 0.000000450374 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13637.44000000 USD 11000.00000000 GBP 2020-04-03 2.25000000 N N N Ceska republika 3157007EFDLQABN47912 N/A 14630000.00000000 PA 629547.59000000 0.126014251410 Long DBT NUSS CZ N 2 2028-08-25 Fixed 2.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -31782.81000000 -0.00636184948 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4438000.00000000 ILS 1224782.67000000 USD 2020-04-30 -31782.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1544.04000000 0.000309064871 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49000.00000000 NZD 30592.91000000 USD 2020-04-03 1544.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 560.96000000 0.000112285322 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16065.17000000 USD 2020-04-03 560.96000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 225833.24000000 0.045204218289 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 36850971.37000000 USD 4002384000.00000000 JPY 2020-04-03 225833.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 25530.55000000 0.005110357338 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 64500000.00000000 JPY 623037.91000000 USD 2020-04-03 25530.55000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 906.63000000 0.000181476829 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14393.43000000 USD 25000.00000000 AUD 2020-04-30 906.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9372.29000000 0.001876017202 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 874000.00000000 TRY 141956.86000000 USD 2020-04-03 9372.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 92.61000000 0.000018537406 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14563.21000000 USD 2020-04-03 92.61000000 N N N KfW 549300GDPG70E3MBBU98 N/A 483000.00000000 PA 287628.57000000 0.057573564744 Long DBT NUSS DE N 2 2020-05-29 Fixed 3.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1751.75000000 0.000350641426 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49000.00000000 NZD 30800.62000000 USD 2020-04-03 1751.75000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 95000.00000000 PA 181832.27000000 0.036396704157 Long DBT NUSS DE N 2 2034-07-04 Fixed 4.75000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 5080000.00000000 PA 5424017.73000000 1.085705901732 Long DBT NUSS IT N 2 2025-02-01 Fixed 0.35000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -5309.40000000 -0.00106276328 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 86105.88000000 USD 115000.00000000 CAD 2020-04-03 -5309.40000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -905.22000000 -0.00018119459 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14254.20000000 USD 19000.00000000 CAD 2020-04-03 -905.22000000 N N N BANQUE CANADIENNE IMPERIALE DE COMMERCE 2IGI19DL77OX0HC3ZE78 N/A 445000.00000000 PA 488725.11000000 0.097826327763 Long DBT NUSS CA N 2 2022-07-25 Fixed 0.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -850.07000000 -0.00017015542 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14199.05000000 USD 19000.00000000 CAD 2020-04-03 -850.07000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1853.11000000 -0.00037093028 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 360058.60000000 USD 3757369.91000000 NOK 2020-05-14 -1853.11000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 288000.00000000 PA 462813.60000000 0.092639715047 Long DBT NUSS AT N 2 2027-07-15 Fixed 6.25000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 2312000.00000000 PA 2560747.73000000 0.512575559613 Long DBT NUSS IT N 2 2022-08-01 Fixed 0.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 640.52000000 0.000128210558 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1944000.00000000 JPY 18649.11000000 USD 2020-04-03 640.52000000 N N N NORTHUMBRIAN WATER FINANCE PLC 213800JTFA6F3S7XX781 N/A 190000.00000000 PA 267682.12000000 0.053580956394 Long DBT NUSS GB N 2 2023-02-06 Fixed 6.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 223.43000000 0.000044723170 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15727.64000000 USD 2020-04-03 223.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 471.02000000 0.000094282360 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14735.73000000 USD 2020-04-03 471.02000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 980000.00000000 PA 2212400.31000000 0.442848123500 Long DBT NUSS GB N 2 2046-12-07 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 619.48000000 0.000123999058 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 312000.00000000 SEK 32111.60000000 USD 2020-04-03 619.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 406.29000000 0.000081325591 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15910.50000000 USD 2020-04-03 406.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 579.42000000 0.000115980394 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16083.63000000 USD 2020-04-03 579.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15.93000000 0.000003188650 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13655.62000000 USD 2020-04-03 15.93000000 N N N CK HUTCHISON FINANCE (16) (II) LIMITED 254900X1B76DSAVBLZ88 N/A 212000.00000000 PA 227135.67000000 0.045464920966 Long DBT NUSS KY N 2 2024-10-03 Fixed 0.87500000 N N N N N N Vattenfall AB 549300T5RZ1HA5HZ3109 N/A 175000.00000000 PA 186014.57000000 0.037233859937 Long DBT NUSS SE N 2 2077-03-19 Fixed 3.00000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -13136.73000000 -0.00262953146 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 141225.85000000 USD 2288000.00000000 ZAR 2020-04-03 -13136.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18913.88000000 0.003785922569 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 501000.00000000 EUR 568654.04000000 USD 2020-04-03 18913.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8009.10000000 0.001603152417 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 640000.00000000 EUR 710903.68000000 USD 2020-04-30 8009.10000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 405000.00000000 PA 382438.53000000 0.076551329612 Long DBT NUSS ES Y 2 2050-10-31 Fixed 1.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -24.26000000 -0.00000485603 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13373.24000000 USD 19000.00000000 CAD 2020-04-03 -24.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1916.40000000 0.000383598818 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42000.00000000 CAD 31424.68000000 USD 2020-04-03 1916.40000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -412.49000000 -0.00008256662 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 33488.15000000 USD 32000.00000000 CHF 2020-04-03 -412.49000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -5867.06000000 -0.00117438806 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 145278.07000000 USD 919000.00000000 TRY 2020-04-03 -5867.06000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 813.63000000 0.000162861357 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 308000.00000000 NOK 30145.19000000 USD 2020-04-03 813.63000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -8249.32000000 -0.00165123638 N/A DFE XX N 2 JP MORGAN N/A 130528.94000000 USD 2869000.00000000 MXN 2020-04-03 -8249.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 17631.02000000 0.003529137148 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1410000.00000000 NOK 151908.62000000 USD 2020-04-03 17631.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 179960.76000000 0.036022090807 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20559000.00000000 CAD 14629928.77000000 USD 2020-04-30 179960.76000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -83.58000000 -0.00001672990 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17141.81000000 USD 169000.00000000 SEK 2020-04-03 -83.58000000 N N N ALLIED IRISH BANKS, PUBLIC LIMITED COMPANY 3U8WV1YX2VMUHH7Z1Q21 N/A 177000.00000000 PA 191571.03000000 0.038346076326 Long DBT NUSS IE N 2 2025-11-26 Fixed 4.12500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 402.11000000 0.000080488896 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13829.91000000 USD 141000.00000000 SEK 2020-04-03 402.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1783.06000000 0.000356908635 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 14544.19000000 USD 2020-04-03 1783.06000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2187.93000000 0.000437949990 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 28811.38000000 USD 25000.00000000 GBP 2020-04-03 2187.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 628.31000000 0.000125766527 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14268.00000000 USD 2020-04-03 628.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 972.44000000 0.000194649778 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 14014.79000000 USD 2020-04-03 972.44000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 362.97000000 0.000072654384 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 31968.30000000 USD 46000.00000000 CAD 2020-04-30 362.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 63127.99000000 0.012636100160 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4335200.00000000 PLN 1107330.78000000 USD 2020-05-26 63127.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -194.88000000 -0.00003900842 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14689.94000000 USD 2020-04-30 -194.88000000 N N N SEAGATE HDD CAYMAN 529900BD50TRWEG1SF63 81180WAL5 61000.00000000 PA USD 60657.18000000 0.012141527108 Long DBT NUSS KY N 2 2025-01-01 Fixed 4.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 76159.12000000 0.015244494057 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25007000.00000000 CZK 1077746.71000000 USD 2020-04-03 76159.12000000 N N N European Stability Mechanism 222100W4EEAQ77386N50 N/A 570000.00000000 PA 666860.55000000 0.133483050905 Long DBT NUSS XX N 2 2025-09-23 Fixed 1.00000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -773.95000000 -0.00015491875 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14413.64000000 USD 11000.00000000 GBP 2020-04-03 -773.95000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 1362.62000000 0.000272750689 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 42758.25000000 USD 4755000.00000000 JPY 2020-04-30 1362.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1125.16000000 -0.00022521918 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 31780.07000000 USD 2020-04-03 -1125.16000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9594.91000000 0.001920578237 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 806000.00000000 NOK 86352.18000000 USD 2020-04-03 9594.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1349.83000000 0.000270190561 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 32135.40000000 USD 2020-04-03 1349.83000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -561.89000000 -0.00011247147 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13910.87000000 USD 19000.00000000 CAD 2020-04-03 -561.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1477.43000000 0.000295731789 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 CAD 34498.60000000 USD 2020-04-03 1477.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -35.66000000 -0.00000713793 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 12725.47000000 USD 2020-04-03 -35.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 310.14000000 0.000062079595 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 NZD 15120.88000000 USD 2020-04-30 310.14000000 N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST N/A 94989JAY2 114311.45480000 PA USD 116615.56000000 0.023342512511 Long ABS-MBS US N 2 2048-05-15 Fixed 3.29000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1059.14000000 -0.00021200420 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 19437.00000000 USD 31000.00000000 NZD 2020-04-03 -1059.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 994.23000000 0.000199011403 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1613000.00000000 JPY 15936.55000000 USD 2020-04-03 994.23000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -821.51000000 -0.00016443866 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13863.86000000 USD 22000.00000000 NZD 2020-04-03 -821.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -123.84000000 -0.00002478860 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1564000.00000000 JPY 14388.26000000 USD 2020-04-30 -123.84000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 268.16000000 0.000053676611 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13617.14000000 USD 2020-04-03 268.16000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 494.43000000 0.000098968254 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14805.63000000 USD 25000.00000000 AUD 2020-04-30 494.43000000 N N N Federal National Mortgage Association N/A 30711XEC4 117955.65660000 PA USD 112463.24000000 0.022511357719 Long DBT USGA US N 2 2029-05-25 Floating 5.97674880 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 526.91000000 0.000105469658 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14997.51000000 USD 2020-04-03 526.91000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 300000.00000000 PA 365068.63000000 0.073074459903 Long DBT NUSS NL N 2 2032-05-31 Fixed 1.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 2862.26000000 0.000572928174 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 418519.94000000 USD 4166900.00000000 SEK 2020-05-26 2862.26000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RG8 130000.00000000 PA USD 127400.00000000 0.025501194643 Long DBT CORP US N 2 2168-12-15 Fixed 5.90000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RJP8 310000.00000000 PA 298539.08000000 0.059757481849 Long DBT CORP US N 2 2030-03-04 Fixed 0.80000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -906.55000000 -0.00018146081 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 19876.16000000 USD 27000.00000000 CAD 2020-04-03 -906.55000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -236.64000000 -0.00004736736 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14468.66000000 USD 141000.00000000 SEK 2020-04-03 -236.64000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1.24000000 -0.00000024820 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1440000.00000000 JPY 13338.46000000 USD 2020-04-03 -1.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 571.14000000 0.000114323016 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14210.83000000 USD 2020-04-03 571.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 550.66000000 0.000110223609 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15307.70000000 USD 2020-04-03 550.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -154.57000000 -0.00003093971 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13485.12000000 USD 2020-04-03 -154.57000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1113.67000000 0.000222919273 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2268000.00000000 JPY 22123.70000000 USD 2020-04-03 1113.67000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -121068.14000000 -0.02423376925 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 2088286.80000000 USD 2800000.00000000 CAD 2020-04-03 -121068.14000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1984.88000000 0.000397306210 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 29014.43000000 USD 25000.00000000 GBP 2020-04-03 1984.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 741.35000000 0.000148393333 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13783.70000000 USD 2020-04-03 741.35000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 337.84000000 0.000067624204 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15159.73000000 USD 2020-04-03 337.84000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -4496.50000000 -0.00090004805 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 86900.44000000 USD 139000.00000000 NZD 2020-04-03 -4496.50000000 N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GVU5 425000.00000000 PA USD 425314.25000000 0.085133606544 Long DBT CORP US N 2 2021-04-25 Fixed 2.62500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -780.71000000 -0.00015627188 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14420.40000000 USD 11000.00000000 GBP 2020-04-03 -780.71000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -20275.26000000 -0.00405842505 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 348705.33000000 USD 554000.00000000 NZD 2020-04-03 -20275.26000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1203.83000000 -0.00024096627 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 22545.86000000 USD 36000.00000000 NZD 2020-04-03 -1203.83000000 N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 13180000.00000000 PA 1386336.41000000 0.277497917051 Long DBT NUSS XX N 2 2025-05-12 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 86.94000000 0.000017402463 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 14955.15000000 USD 2020-04-03 86.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 67.27000000 0.000013465191 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14331.98000000 USD 2020-04-03 67.27000000 N N N Canada N/A N/A -20.00000000 NC -1793655.81000000 -0.35902955991 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A Short Canada Govt. Bond Futures Canadian Govt 5 Year Bond Future Jun 2020 2020-06-22 -1868454.61000000 CAD 74798.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8555.23000000 -0.00171246927 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 370000.00000000 AUD 217903.10000000 USD 2020-04-03 -8555.23000000 N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VBX1 170000.00000000 PA 254456.16000000 0.050933564084 Long DBT NUSS US N 2 2034-02-17 Fixed 4.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9266.50000000 0.001854841602 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 921000.00000000 TRY 148980.91000000 USD 2020-04-03 9266.50000000 N N N DH Europe Finance II S.a r.l. 222100KDGL314CKTZ511 N/A 154000.00000000 PA 151092.93000000 0.030243722269 Long DBT NUSS LU N 2 2028-03-18 Fixed 0.45000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 741.67000000 0.000148457386 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 43473.87000000 USD 4773000.00000000 JPY 2020-04-03 741.67000000 N N N EURO N/A N/A 1.00000000 NC 28478.62000000 0.005700461787 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 1632616.15000000 USD 1513569.38000000 EUR 2020-04-08 28478.62000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 984000.00000000 PA 1155422.89000000 0.231276797590 Long DBT NUSS DE N 2 2029-02-15 Fixed 0.25000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -410.33000000 -0.00008213426 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13875.42000000 USD 22000.00000000 AUD 2020-04-03 -410.33000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 83707.61000000 0.016755447847 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 67107050.00000000 THB 2129030.77000000 USD 2020-04-17 83707.61000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -92.62000000 -0.00001853940 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14667.31000000 USD 2020-04-30 -92.62000000 N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 10600000.00000000 PA 1670137.74000000 0.334305397085 Long DBT NUSS CN N 2 2028-02-09 Fixed 4.88000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -829.57000000 -0.00016605200 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13871.92000000 USD 22000.00000000 NZD 2020-04-03 -829.57000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 585.54000000 0.000117205412 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32406.83000000 USD 2020-04-03 585.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 90.12000000 0.000018038992 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3468000.00000000 MXN 147326.83000000 USD 2020-04-30 90.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 410.22000000 0.000082112245 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 32000.00000000 CHF 33485.88000000 USD 2020-04-03 410.22000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -8367.91000000 -0.00167497411 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 251429.88000000 USD 410000.00000000 NZD 2020-04-03 -8367.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 818.11000000 0.000163758103 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13860.46000000 USD 2020-04-03 818.11000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 EJ0234298 30338000.00000000 PA 1295730.07000000 0.259361575510 Long DBT NUSS MX N 2 2022-06-09 Fixed 6.50000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -344.85000000 -0.00006902737 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13197.89000000 USD 21000.00000000 AUD 2020-04-03 -344.85000000 N N N EURO N/A N/A 1.00000000 NC 93.80000000 0.000018775604 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14170.91000000 USD 13000.00000000 EUR 2020-04-03 93.80000000 N N N EURO N/A N/A 1.00000000 NC -534.23000000 -0.00010693487 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14798.94000000 USD 13000.00000000 EUR 2020-04-03 -534.23000000 N N N COMPAGNIE CREDIT FORD DU CANADA N/A 34527ABL3 1600000.00000000 PA 1115554.15000000 0.223296416908 Long DBT NUSS CA N 2 2020-05-07 Fixed 2.45000000 N N N N N N EURO N/A N/A 1.00000000 NC 172.81000000 0.000034590749 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14104.74000000 USD 13000.00000000 EUR 2020-04-30 172.81000000 N N N Odebrecht Finance, Ltd. N/A G6710EAP5 200000.00000000 PA USD 8002.00000000 0.001601731236 Long DBT NUSS KY N 2 2025-04-25 Fixed 4.37500000 Y N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 301.73000000 0.000060396196 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15123.62000000 USD 2020-04-03 301.73000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 790.60000000 0.000158251526 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31564.70000000 USD 3487000.00000000 JPY 2020-04-30 790.60000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 296.92000000 0.000059433396 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 30531.46000000 USD 2020-04-03 296.92000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1950.27000000 -0.00039037845 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 31458.55000000 USD 42000.00000000 CAD 2020-04-03 -1950.27000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -9529.25000000 -0.00190743531 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 142113.82000000 USD 874000.00000000 TRY 2020-04-03 -9529.25000000 N N N EURO N/A N/A 1.00000000 NC -284.66000000 -0.00005697935 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14549.37000000 USD 13000.00000000 EUR 2020-04-03 -284.66000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -2399.37000000 -0.00048027316 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 31165.70000000 USD 47000.00000000 AUD 2020-04-03 -2399.37000000 N N N EURO N/A N/A 1.00000000 NC -291.72000000 -0.00005839253 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 18945.58000000 USD 17000.00000000 EUR 2020-04-03 -291.72000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 18935000.00000000 PA 805949.73000000 0.161324026195 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 567.70000000 0.000113634444 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14207.39000000 USD 2020-04-03 567.70000000 N N N ING Groep N.V. 549300NYKK9MWM7GGW15 456837AR4 200000.00000000 PA USD 173126.00000000 0.034654001756 Long DBT NUSS NL N 2 2168-11-16 Fixed 5.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -49.97000000 -0.00001000231 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 NOK 4425.95000000 USD 2020-04-03 -49.97000000 N N N EURO N/A N/A 1.00000000 NC -200.91000000 -0.00004021542 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14465.62000000 USD 13000.00000000 EUR 2020-04-03 -200.91000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -10360.23000000 -0.00207376955 N/A DFE XX N 2 JP MORGAN N/A 132639.85000000 USD 2869000.00000000 MXN 2020-04-03 -10360.23000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 88.15000000 0.000017644664 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13260.83000000 USD 19000.00000000 CAD 2020-04-03 88.15000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5.51000000 0.000001102916 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 770.00000000 CHF 801.33000000 USD 2020-04-01 5.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 452005.52000000 0.090476300983 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 9662711.61000000 GBP 12440596.26000000 USD 2020-05-15 452005.52000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -5668.81000000 -0.00113470508 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 95028.04000000 USD 146000.00000000 AUD 2020-04-03 -5668.81000000 N N N CHEPLAPHARM Arzneimittel GmbH 529900ONXKBELT7EW052 N/A 191000.00000000 PA 191760.76000000 0.038384053890 Long DBT NUSS DE Y 2 2027-02-11 Fixed 3.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1217.07000000 -0.00024361647 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13978.20000000 USD 134000.00000000 NOK 2020-04-03 -1217.07000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -142.86000000 -0.00002859576 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14617.07000000 USD 2020-04-30 -142.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 420.92000000 0.000084254025 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 308000.00000000 SEK 31509.30000000 USD 2020-04-03 420.92000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -620.18000000 -0.00012413917 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 20459.74000000 USD 16000.00000000 GBP 2020-04-03 -620.18000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -591.45000000 -0.00011838839 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 12261.59000000 USD 2020-04-03 -591.45000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 780000.00000000 PA 184349.44000000 0.036900556921 Long DBT NUSS MY N 2 2022-03-10 Fixed 3.88200000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -838.07000000 -0.00016775342 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14187.05000000 USD 19000.00000000 CAD 2020-04-03 -838.07000000 N N N NXP B.V. 724500RKKW4NOJ9YQF60 62954HAB4 190000.00000000 PA USD 194707.46000000 0.038973884112 Long DBT NUSS NL Y 2 2029-06-18 Fixed 4.30000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -14.72000000 -0.00000294644 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 12775.85000000 USD 134000.00000000 NOK 2020-04-03 -14.72000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -124.11000000 -0.00002484264 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 28217.65000000 USD 295000.00000000 NOK 2020-04-03 -124.11000000 N N N Swedbank AB M312WZV08Y7LYUC71685 N/A 200000.00000000 PA USD 175000.00000000 0.035029113520 Long DBT NUSS SE N 2 2169-03-17 Fixed 5.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -48.39000000 -0.00000968605 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 362000.00000000 NOK 34425.72000000 USD 2020-04-03 -48.39000000 N N N Bell Canada Inc. N/A 07813ZBF0 80000.00000000 PA 58998.84000000 0.011809583222 Long DBT NUSS CA N 2 2023-09-11 Fixed 4.70000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 2.32000000 0.000000464385 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13462.77000000 USD 22000.00000000 AUD 2020-04-03 2.32000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -13473.96000000 -0.00269703356 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 149456.69000000 USD 2429000.00000000 ZAR 2020-04-03 -13473.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 648.24000000 0.000129755843 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14912.95000000 USD 2020-04-03 648.24000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 948000.00000000 PA 1091677.60000000 0.218517134734 Long DBT NUSS NL Y 2 2029-07-15 Fixed 0.25000000 N N N N N N CAISSE FRANCAISE DE FINANCEMENT LOCAL SA 549300E6W08778I4OW85 N/A 100000.00000000 PA 136154.58000000 0.027253567081 Long DBT NUSS FR N 2 2028-10-02 Fixed 3.00000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087D35 400000.00000000 PA 376014.33000000 0.075265420863 Long DBT CORP CA N 2 2048-12-01 Fixed 2.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 134.36000000 0.000026894352 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 420000.00000000 JPY 4025.11000000 USD 2020-04-03 134.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 269.88000000 0.000054020898 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14534.59000000 USD 2020-04-03 269.88000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1235.69000000 -0.00024734357 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 17148.98000000 USD 26000.00000000 AUD 2020-04-03 -1235.69000000 N N N EURO N/A N/A 1.00000000 NC -9034.55000000 -0.00180841301 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 375527.99000000 USD 334000.00000000 EUR 2020-04-03 -9034.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -19968.51000000 -0.00399702402 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 802190168.00000000 KRW 639354.00000000 USD 2020-05-14 -19968.51000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -961.01000000 -0.00019236187 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17817.37000000 USD 167000.00000000 SEK 2020-04-03 -961.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 172.19000000 0.000034466646 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42000.00000000 CAD 29680.47000000 USD 2020-04-03 172.19000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 347.31000000 0.000069519779 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 24684.89000000 USD 248000.00000000 SEK 2020-04-03 347.31000000 N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 440000.00000000 PA 824819.24000000 0.165101067383 Long DBT NUSS BE Y 2 2041-03-28 Fixed 4.25000000 N N N N N N THE PNC FINANCIAL SERVICES GROUP, INC. CFGNEKW0P8842LEUIA51 693476BN2 150000.00000000 PA USD 152212.21000000 0.030467764476 Long DBT CORP US N 2 2022-03-08 Fixed 3.30000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC -3936.36000000 -0.00078792686 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 143347.37000000 USD 919000.00000000 TRY 2020-04-03 -3936.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 355.13000000 0.000071085080 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1582000.00000000 JPY 15010.27000000 USD 2020-04-03 355.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2655.45000000 -0.00053153176 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 181475.44000000 EUR 196508.14000000 USD 2020-04-08 -2655.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 345.08000000 0.000069073408 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 178000.00000000 GBP 221136.52000000 USD 2020-04-30 345.08000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 30.31000000 0.000006067042 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 30969.00000000 USD 25000.00000000 GBP 2020-04-03 30.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 216850.50000000 0.043406175894 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 5664000.00000000 GBP 7240053.31000000 USD 2020-04-03 216850.50000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1060.23000000 -0.00021222238 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33770.28000000 USD 3531000.00000000 JPY 2020-04-03 -1060.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 36240.35000000 0.007254099052 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4576000.00000000 ZAR 292418.59000000 USD 2020-04-03 36240.35000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 595.86000000 0.000119271129 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15352.90000000 USD 2020-04-03 595.86000000 N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -78636.25000000 -0.01574033216 N/A DFE ID N 2 JP MORGAN N/A 694952.52000000 USD 10061977818.00000000 IDR 2020-05-05 -78636.25000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -97.24000000 -0.00001946417 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 16256.54000000 USD 23000.00000000 CAD 2020-04-03 -97.24000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1153.72000000 -0.00023093593 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 34910.57000000 USD 3644000.00000000 JPY 2020-04-03 -1153.72000000 N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172BG3 300000.00000000 PA 331386.81000000 0.066332492495 Long DBT NUSS US N 2 2021-03-03 Fixed 1.87500000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 344000.00000000 PA 360684.21000000 0.072196846498 Long DBT NUSS DK N 2 2168-10-06 Fixed 5.87500000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 N/A 170000.00000000 PA 180742.40000000 0.036178548843 Long DBT NUSS US N 2 2026-07-27 Fixed 1.62500000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -1144.03000000 -0.00022899632 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 33186.07000000 USD 31000.00000000 CHF 2020-04-03 -1144.03000000 N N N BHP BILLITON FINANCE LIMITED 549300KZMIS43NMT0A66 N/A 101000.00000000 PA 109389.02000000 0.021896002282 Long DBT NUSS AU N 2 2076-04-22 Fixed 4.75000000 N N N N N N Nationwide Building Society 549300XFX12G42QIKN82 N/A 550000.00000000 PA 627753.27000000 0.125655088902 Long DBT NUSS GB N 2 2021-02-08 Fixed 4.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 70588.41000000 0.014129425297 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4335200.00000000 PLN 1114791.20000000 USD 2020-05-26 70588.41000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 230000.00000000 PA 503539.95000000 0.100791760404 Long DBT NUSS GB N 2 2042-12-07 Fixed 4.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -550.91000000 -0.00011027365 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 18454.59000000 USD 188000.00000000 NOK 2020-04-03 -550.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -223786.69000000 -0.04479456781 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4002384000.00000000 JPY 36913678.06000000 USD 2020-04-30 -223786.69000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 285.17000000 0.000057081441 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 19265.00000000 USD 33000.00000000 NZD 2020-04-30 285.17000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 322000.00000000 PA 239576.52000000 0.047955160662 Long DBT NUSS AU N 2 2041-05-21 Fixed 2.75000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -902.46000000 -0.00018064213 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13944.81000000 USD 22000.00000000 NZD 2020-04-03 -902.46000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4817.27000000 -0.00096425541 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 7862000.00000000 DKK 1152878.90000000 USD 2020-04-30 -4817.27000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 565.45000000 0.000113184069 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14255.40000000 USD 25000.00000000 NZD 2020-04-03 565.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 361.16000000 0.000072292083 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1920000.00000000 JPY 18147.43000000 USD 2020-04-03 361.16000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -830.69000000 -0.00016627619 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14179.67000000 USD 19000.00000000 CAD 2020-04-03 -830.69000000 N N N CREDIT AGRICOLE ASSURANCES SA 969500K2MUPSI57XK083 N/A 100000.00000000 PA 110793.86000000 0.022177203996 Long DBT NUSS FR N 2 2169-01-13 Fixed 4.25000000 N N N N N N TOTAL SA 529900S21EQ1BO4ESM68 N/A 260000.00000000 PA 288462.86000000 0.057740561539 Long DBT NUSS FR N 2 2168-10-06 Fixed 3.36900000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 29392.88000000 0.005883465886 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 494056.50000000 USD 422000.00000000 GBP 2020-04-30 29392.88000000 N N N EURO N/A N/A 1.00000000 NC -5187.35000000 -0.00103833298 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 502715.36000000 USD 453100.00000000 EUR 2020-04-24 -5187.35000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1205.20000000 -0.00024124050 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 175492.19000000 EUR 191391.96000000 USD 2020-04-08 -1205.20000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 1027.71000000 0.000205712972 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 29637.10000000 USD 322000.00000000 NOK 2020-04-03 1027.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 104.58000000 0.000020933398 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15139.53000000 USD 2020-04-03 104.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 368.18000000 0.000073697251 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15872.39000000 USD 2020-04-03 368.18000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 423.18000000 0.000084706401 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 30576.13000000 USD 25000.00000000 GBP 2020-04-03 423.18000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -824.77000000 -0.00016509121 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14173.75000000 USD 19000.00000000 CAD 2020-04-03 -824.77000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 783.42000000 0.000156814332 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31648.72000000 USD 3501000.00000000 JPY 2020-04-03 783.42000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -28.70000000 -0.00000574477 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14260.72000000 USD 141000.00000000 SEK 2020-04-03 -28.70000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -12086.40000000 -0.00241929072 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 148069.13000000 USD 2429000.00000000 ZAR 2020-04-03 -12086.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2049.41000000 0.000410222945 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 32260.27000000 USD 2020-04-03 2049.41000000 N N N HYUNDAI CAPITAL SERVICES, INC. 549300MALMDAGL2ZJJ27 N/A 680000.00000000 PA 425726.99000000 0.085216223209 Long DBT NUSS KR N 2 2022-03-30 Fixed 3.50000000 N N N N N N NEW ZEALAND LOCAL GOVERNMENT FUNDING AGENCY LIMITED 254900ZJG39H1CAH6K02 N/A 479000.00000000 PA 338730.98000000 0.067802548293 Long DBT NUSS NZ N 2 2027-04-15 Fixed 4.50000000 N N N N N N SABIC Capital II B.V. 2138005PCUTH59D4RJ83 78520LAA8 345000.00000000 PA USD 341859.12000000 0.068428696700 Long DBT NUSS NL Y 2 2023-10-10 Fixed 4.00000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC 188.32000000 0.000037695329 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 14311.01000000 USD 14000.00000000 CHF 2020-04-30 188.32000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 329725.16000000 0.065999886058 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 20857024.30000000 USD 2287077000.00000000 JPY 2020-04-03 329725.16000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -20300.16000000 -0.00406340919 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 339386000.00000000 JPY 3123663.14000000 USD 2020-04-03 -20300.16000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7850.88000000 0.001571482095 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 874000.00000000 TRY 140435.45000000 USD 2020-04-03 7850.88000000 N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 405000.00000000 PA 486607.03000000 0.097402359393 Long DBT NUSS XX N 2 2031-03-14 Fixed 1.00000000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 491000.00000000 PA 114560.98000000 0.022931254705 Long DBT NUSS MY N 2 2021-02-15 Fixed 3.44100000 N N N N N N United States of America N/A N/A 46.00000000 NC USD 10137609.38000000 2.029208398867 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US 2-YEAR NOTE (Globex) Jun 2020 2020-07-03 10032958.66000000 USD 104650.72000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 654000.00000000 PA 842291.14000000 0.168598354060 Long DBT NUSS GB N 2 2022-09-07 Fixed 1.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -306.08000000 -0.00006126692 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13655.06000000 USD 19000.00000000 CAD 2020-04-03 -306.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -130.26000000 -0.00002607367 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14650.93000000 USD 2020-04-30 -130.26000000 N N N European Financial Stability Facility SA 222100OW6UHQXNHKN143 N/A 600000.00000000 PA 670808.12000000 0.134273221635 Long DBT NUSS LU N 2 2025-04-28 Fixed 0.20000000 N N N N N N EURO N/A N/A 1.00000000 NC -192.41000000 -0.00003851400 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14457.12000000 USD 13000.00000000 EUR 2020-04-03 -192.41000000 N N N N/A N/A N/A 18.00000000 NC 1659267.31000000 0.332129502647 N/A DIR AU N 1 GOLDMAN, SACHS & CO. N/A Long Australia Govt. Bond Futures AUST 10Y BOND (consolidated) Jun 2020 2020-06-15 1589755.38000000 AUD 69511.93000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 573.77000000 0.000114849454 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14247.08000000 USD 25000.00000000 NZD 2020-04-03 573.77000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 1113000.00000000 PA 1479386.17000000 0.296123349086 Long DBT NUSS PT Y 2 2024-02-15 Fixed 5.65000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 98.11000000 0.000019638321 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1613000.00000000 JPY 15040.43000000 USD 2020-04-03 98.11000000 N N N BMW Finance N.V. 5299006ZHG3IXU0PNJ56 N/A 585000.00000000 PA 641374.70000000 0.128381641003 Long DBT NUSS NL N 2 2020-11-17 Fixed 0.87500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -620.92000000 -0.00012428729 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14260.61000000 USD 11000.00000000 GBP 2020-04-03 -620.92000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 139.12000000 0.000027847144 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14818.17000000 USD 148000.00000000 SEK 2020-04-30 139.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 372.16000000 0.000074493913 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14636.87000000 USD 2020-04-03 372.16000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -182.20000000 -0.00003647031 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 36162.33000000 USD 3884000.00000000 JPY 2020-04-03 -182.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9161.00000000 0.001833724051 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2761000.00000000 MXN 126837.56000000 USD 2020-04-03 9161.00000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 804000.00000000 PA 956045.16000000 0.191368082518 Long DBT NUSS NL Y 2 2040-01-15 Fixed 0.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 434.45000000 0.000086962276 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 23000.00000000 CAD 16593.75000000 USD 2020-04-03 434.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19553.66000000 0.003913985005 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 501000.00000000 EUR 569293.82000000 USD 2020-04-03 19553.66000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -906.19000000 -0.00018138875 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14371.28000000 USD 22000.00000000 AUD 2020-04-03 -906.19000000 N N N ENI S.P.A. BUCRF72VH5RBN7X3VL35 26874RAJ7 515000.00000000 PA USD 498453.98000000 0.099773720287 Long DBT NUSS IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N DS SMITH PLC 39RSBE4RCI4M15BLWH36 N/A 430000.00000000 PA 464322.81000000 0.092941808124 Long DBT NUSS GB N 2 2024-07-26 Fixed 1.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -600.31000000 -0.00012016186 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14240.00000000 USD 11000.00000000 GBP 2020-04-03 -600.31000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 5529000.00000000 PA 4418113.09000000 0.884357628442 Long DBT NUSS SG N 2 2029-07-01 Fixed 2.87500000 N N N N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 124857AX1 313000.00000000 PA USD 292659.15000000 0.058580517647 Long DBT CORP US N 2 2028-06-01 Fixed 3.70000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -278.19000000 -0.00005568428 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14308.33000000 USD 139000.00000000 SEK 2020-04-03 -278.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1614.70000000 0.000323208626 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 302000.00000000 CHF 313766.23000000 USD 2020-04-03 1614.70000000 N N N Province de Quebec 549300WN65YFEQH74Y36 748148QT3 720000.00000000 PA 731594.06000000 0.146440522165 Long DBT NUSS CA N 2 2032-06-01 Fixed 6.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -329713.08000000 -0.06599746804 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2287077000.00000000 JPY 20891699.32000000 USD 2020-04-30 -329713.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 400.55000000 0.000080176636 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15904.76000000 USD 2020-04-03 400.55000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 513.46000000 0.000102777420 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 24619.67000000 USD 249000.00000000 SEK 2020-04-03 513.46000000 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -38478.34000000 -0.00770206937 N/A DFE RU N 2 CITI N/A 628083.93000000 USD 46142500.00000000 RUB 2020-04-14 -38478.34000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -90701.20000000 -0.01815532932 N/A DFE MX N 2 MORGAN STANLEY & CO, INC N/A 667715.17000000 USD 13577238.45000000 MXN 2020-04-23 -90701.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2670.62000000 0.000534568292 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 605000.00000000 EUR 666528.50000000 USD 2020-04-03 2670.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 304.15000000 0.000060880599 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15339.10000000 USD 2020-04-03 304.15000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 591.10000000 0.000118318337 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15412.99000000 USD 2020-04-03 591.10000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -111.48000000 -0.00002231454 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17068.78000000 USD 168000.00000000 SEK 2020-04-03 -111.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -234.69000000 -0.00004697704 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1564000.00000000 JPY 14277.41000000 USD 2020-04-30 -234.69000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 4560.17000000 0.000912792643 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 164286.81000000 USD 18197000.00000000 JPY 2020-04-30 4560.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 749.77000000 0.000150078733 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 142000.00000000 SEK 15082.72000000 USD 2020-04-03 749.77000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 298.11000000 0.000059671594 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15055.15000000 USD 2020-04-03 298.11000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1037.62000000 0.000207696621 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1935000.00000000 JPY 18962.84000000 USD 2020-04-03 1037.62000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -498.47000000 -0.00009977692 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 15385.20000000 USD 1607000.00000000 JPY 2020-04-03 -498.47000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -108.56000000 -0.00002173006 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 200000.00000000 EUR 219546.00000000 USD 2020-04-30 -108.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -236.34000000 -0.00004730731 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13112.64000000 USD 2020-04-03 -236.34000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 615.02000000 0.000123106316 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17351.64000000 USD 178000.00000000 SEK 2020-04-03 615.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 847.31000000 0.000169602961 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13889.66000000 USD 2020-04-03 847.31000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -282.70000000 -0.00005658703 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14211.91000000 USD 138000.00000000 SEK 2020-04-03 -282.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 500.06000000 0.000100095191 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16004.27000000 USD 2020-04-03 500.06000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1417.87000000 0.000283809881 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 325000.00000000 SEK 34222.16000000 USD 2020-04-03 1417.87000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -441.29000000 -0.00008833141 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13790.27000000 USD 19000.00000000 CAD 2020-04-03 -441.29000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC 806.42000000 0.000161418158 N/A DFE XX N 2 BARCLAYS CAPITAL INC. N/A 69478.22000000 USD 100000.00000000 SGD 2020-04-30 806.42000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -2552.38000000 -0.00051090062 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 141963.39000000 USD 919000.00000000 TRY 2020-04-03 -2552.38000000 N N N N/A N/A CDS377257 -406000.00000000 NC USD -89830.14000000 -0.01798097240 N/A DCR XX N 2 BRK: DEUTSCHE BANK N/A Y 2063-05-11 0.00000000 USD -28072.33000000 USD -406000.00000000 USD -61757.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -74.64000000 -0.00001494041 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13565.05000000 USD 2020-04-03 -74.64000000 N N N Bundesrepublik Deutschland N/A N/A -10.00000000 NC -1892864.59000000 -0.37888782058 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Short Germany Govt. Bond Futures Euro-Bund Future Jun 2020 2020-06-11 -1936450.83000000 EUR 43586.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 716.19000000 0.000143357147 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14355.88000000 USD 2020-04-03 716.19000000 N N N BRAZILIAN REAL N/A N/A 1.00000000 NC -2110.44000000 -0.00042243909 N/A DFE BR N 2 MORGAN STANLEY & CO, INC N/A 70245.06000000 USD 354000.00000000 BRL 2020-04-27 -2110.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -36951.42000000 -0.00739643134 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1419050.00000000 AUD 831567.56000000 USD 2020-04-07 -36951.42000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -480.12000000 -0.00009610387 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14510.26000000 USD 139000.00000000 SEK 2020-04-03 -480.12000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1136.18000000 -0.00022742501 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14601.27000000 USD 22000.00000000 AUD 2020-04-03 -1136.18000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -734.67000000 -0.00014705622 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14369.85000000 USD 23000.00000000 NZD 2020-04-03 -734.67000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -336.03000000 -0.00006726190 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13975.72000000 USD 11000.00000000 GBP 2020-04-03 -336.03000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -856.86000000 -0.00017151454 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14205.84000000 USD 19000.00000000 CAD 2020-04-03 -856.86000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -758.64000000 -0.00015185420 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 22538.56000000 USD 31000.00000000 CAD 2020-04-03 -758.64000000 N N N MOLSON COORS INTERNATIONAL LP 549300JY2HGCZWKZS671 U60901AB8 1105000.00000000 PA 772494.64000000 0.154627442507 Long DBT NUSS US N 2 2020-09-18 Fixed 2.75000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -762.49000000 -0.00015262485 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13523.62000000 USD 134000.00000000 NOK 2020-04-03 -762.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 641.88000000 0.000128482785 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16146.09000000 USD 2020-04-03 641.88000000 N N N EURO N/A N/A 1.00000000 NC -540.36000000 -0.00010816189 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 18096.93000000 USD 16000.00000000 EUR 2020-04-03 -540.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1082.17000000 0.000216614033 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 13935.21000000 USD 2020-04-03 1082.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1612.37000000 0.000322742238 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 66000.00000000 CAD 47982.52000000 USD 2020-04-03 1612.37000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -825.97000000 -0.00016533141 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14174.95000000 USD 19000.00000000 CAD 2020-04-03 -825.97000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 526.00000000 0.000105287506 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 218080.48000000 USD 369000.00000000 NZD 2020-04-30 526.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1873.89000000 -0.00037508974 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 26892.44000000 USD 2020-04-03 -1873.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -395.35000000 -0.00007913577 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 214000.00000000 NOK 20003.52000000 USD 2020-04-30 -395.35000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 179.80000000 0.000035989912 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 28586.53000000 USD 47000.00000000 AUD 2020-04-03 179.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 194.84000000 0.000039000414 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15699.05000000 USD 2020-04-03 194.84000000 N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 N/A 400000.00000000 PA 400128.16000000 0.080092198511 Long DBT NUSS NL N 2 2169-03-22 Fixed 5.75000000 N N N N N N TAIWAN DOLLAR N/A N/A 1.00000000 NC 12864.04000000 0.002574948099 N/A DFE TW N 2 STANDARD CHARTERED N/A 1538483.83000000 USD 46482212.00000000 TWD 2020-05-21 12864.04000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -815.82000000 -0.00016329972 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13858.17000000 USD 22000.00000000 NZD 2020-04-03 -815.82000000 N N N THAILAND BAHT N/A N/A 1.00000000 NC -3354.29000000 -0.00067141602 N/A DFE TH N 2 J P MORGAN CHASE BANK N/A 2342050.66000000 USD 76749000.00000000 THB 2020-04-03 -3354.29000000 N N N EURO N/A N/A 1.00000000 NC -186.74000000 -0.00003737906 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14451.45000000 USD 13000.00000000 EUR 2020-04-03 -186.74000000 N N N Kerajaan Malaysia 254900GSIL471JOBYY43 N/A 2032000.00000000 PA 489688.48000000 0.098019162032 Long DBT NUSS MY N 2 2029-08-15 Fixed 3.88500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 443.22000000 0.000088717735 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 15555.81000000 USD 168000.00000000 NOK 2020-04-03 443.22000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -1262.71000000 -0.00025275206 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 374397.48000000 USD 361000.00000000 CHF 2020-04-03 -1262.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 21557.72000000 0.004315130406 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2352000.00000000 ZAR 153229.75000000 USD 2020-04-03 21557.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -379.13000000 -0.00007588907 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 30000.00000000 EUR 32569.05000000 USD 2020-04-30 -379.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 740.09000000 0.000148141123 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 32000.00000000 EUR 35853.23000000 USD 2020-04-03 740.09000000 N N N N/A N/A N/A 12.00000000 NC 860121.16000000 0.172167324316 N/A DIR AU N 1 GOLDMAN, SACHS & CO. N/A Long Australia Govt. Bond Futures AUST 3YR BOND FUT (consolidated) Jun 2020 2020-06-16 879392.52000000 AUD -19271.36000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 924.91000000 0.000185135870 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 11928.13000000 USD 21000.00000000 AUD 2020-04-03 924.91000000 N N N INTERNATIONAL FINANCE CORPORATION QKL54NQY28TCDAI75F60 45950KCN8 1000000.00000000 PA 735827.45000000 0.147287904444 Long DBT NUSS XX N 2 2023-07-19 Fixed 2.37500000 N N N N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 346000.00000000 PA 521181.08000000 0.104322921235 Long DBT NUSS BE Y 2 2034-06-22 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 274.40000000 0.000054925650 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15778.61000000 USD 2020-04-03 274.40000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1386.30000000 0.000277490628 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 61000.00000000 EUR 68320.73000000 USD 2020-04-03 1386.30000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -859.75000000 -0.00017209303 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14324.84000000 USD 22000.00000000 AUD 2020-04-03 -859.75000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -217.49000000 -0.00004353418 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32825.64000000 USD 3520000.00000000 JPY 2020-04-03 -217.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 448.01000000 0.000089676532 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15952.22000000 USD 2020-04-03 448.01000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 6036.00000000 0.001208204166 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 355501.56000000 USD 39013239.00000000 JPY 2020-04-09 6036.00000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -380155.25000000 -0.07609429375 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13714000.00000000 NZD 7742375.84000000 USD 2020-05-22 -380155.25000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -42964.26000000 -0.00859999966 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 1418342.83000000 USD 148470000.00000000 JPY 2020-04-03 -42964.26000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 167.66000000 0.000033559892 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 3982.18000000 USD 7000.00000000 NZD 2020-04-03 167.66000000 N N N EURO N/A N/A 1.00000000 NC -755.21000000 -0.00015116763 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 18311.78000000 USD 16000.00000000 EUR 2020-04-03 -755.21000000 N N N EURO N/A N/A 1.00000000 NC -479.50000000 -0.00009597977 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14744.21000000 USD 13000.00000000 EUR 2020-04-03 -479.50000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -57773.16000000 -0.01156424331 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 526411.50000000 USD 4921000.00000000 NOK 2020-04-03 -57773.16000000 N N N Intertrust Group B.V. 724500E2H60ZHP192G28 N/A 180000.00000000 PA 188024.62000000 0.037636204335 Long DBT NUSS NL Y 2 2025-11-15 Fixed 3.37500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 254.59000000 0.000050960354 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 34317.46000000 USD 3732000.00000000 JPY 2020-04-03 254.59000000 N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ADZ4 2200000.00000000 PA 1613951.59000000 0.323058819789 Long DBT NUSS CA N 2 2048-06-02 Fixed 2.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -156.01000000 -0.00003122795 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 48000.00000000 AUD 29222.37000000 USD 2020-04-03 -156.01000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -1481.40000000 -0.00029652645 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 314252.71000000 USD 302000.00000000 CHF 2020-04-30 -1481.40000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 5683.63000000 0.001137671545 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 420845.89000000 USD 4217800.00000000 SEK 2020-05-26 5683.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1170.36000000 -0.00023426670 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 31776.11000000 USD 2020-04-30 -1170.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 246367.80000000 0.049314546480 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 27687168.34000000 MXN 1423034.38000000 USD 2020-04-23 246367.80000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -151.20000000 -0.00003026515 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13786.38000000 USD 23000.00000000 NZD 2020-04-03 -151.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1219.73000000 0.000244148917 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 52000.00000000 CHF 54967.68000000 USD 2020-04-03 1219.73000000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 N/A 465000.00000000 PA 494100.96000000 0.098902392106 Long DBT NUSS US N 2 2024-11-21 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -37286.33000000 -0.00746346906 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21451000.00000000 SEK 2130611.84000000 USD 2020-04-30 -37286.33000000 N N N KfW 549300GDPG70E3MBBU98 N/A 220000.00000000 PA 271013.49000000 0.054247784610 Long DBT NUSS DE N 2 2033-05-09 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 398.32000000 0.000079730265 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14038.01000000 USD 2020-04-03 398.32000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -10410.64000000 -0.00208385994 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 861451.21000000 USD 1210511.56000000 CAD 2020-05-22 -10410.64000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -251.03000000 -0.00005024776 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13104.07000000 USD 21000.00000000 AUD 2020-04-03 -251.03000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 882.39000000 0.000176624797 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31472.91000000 USD 3487000.00000000 JPY 2020-04-30 882.39000000 N N N Japan 353800WZS8AXZXFUC241 N/A 119300000.00000000 PA 1516758.24000000 0.303603980414 Long DBT NUSS JP N 2 2038-09-20 Fixed 2.40000000 N N N N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 N/A 750000.00000000 PA 514152.19000000 0.102915973888 Long DBT NUSS AU N 2 2023-08-16 Fixed 5.00000000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 68323ADM3 585000.00000000 PA 429678.15000000 0.086007112535 Long DBT NUSS CA N 2 2026-06-02 Fixed 2.40000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -350.00000000 -0.00007005822 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32958.15000000 USD 3520000.00000000 JPY 2020-04-03 -350.00000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -385.39000000 -0.00007714211 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13850.48000000 USD 22000.00000000 AUD 2020-04-03 -385.39000000 N N N Kommuninvest i Sverige Aktiebolag EV2XZWMLLXF2QRX0CD47 N/A 5830000.00000000 PA 604170.91000000 0.120934693670 Long DBT NUSS SE N 2 2024-10-02 Fixed 1.00000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -36.49000000 -0.00000730407 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12889.53000000 USD 21000.00000000 AUD 2020-04-03 -36.49000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1722.10000000 -0.00034470649 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 30488.43000000 USD 47000.00000000 AUD 2020-04-03 -1722.10000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1734.01000000 0.000347090475 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 32519.58000000 USD 2020-04-03 1734.01000000 N N N Japan 353800WZS8AXZXFUC241 N/A 92700000.00000000 PA 914282.78000000 0.183008658804 Long DBT NUSS JP N 2 2037-03-20 Fixed 0.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 507.17000000 0.000101518374 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15329.06000000 USD 2020-04-03 507.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12470.41000000 0.002496156614 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2428000.00000000 ZAR 148397.15000000 USD 2020-04-03 12470.41000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -776.41000000 -0.00015541116 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 19381.47000000 USD 18000.00000000 CHF 2020-04-03 -776.41000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 5806000.00000000 PA 598209.86000000 0.119741491972 Long DBT NUSS NO Y 2 2029-09-06 Fixed 1.75000000 N N N N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -11631.98000000 -0.00232833113 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 147614.71000000 USD 2429000.00000000 ZAR 2020-04-03 -11631.98000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1953.08000000 -0.00039094092 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 32163.94000000 USD 43000.00000000 CAD 2020-04-03 -1953.08000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -895.57000000 -0.00017926298 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 31894.88000000 USD 25000.00000000 GBP 2020-04-03 -895.57000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2865.99000000 0.000573674794 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 503451600.00000000 KRW 416316.55000000 USD 2020-04-27 2865.99000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 1008.42000000 0.000201851763 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 73101.02000000 USD 8000000.00000000 JPY 2020-04-03 1008.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -678.79000000 -0.00013587092 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 67000.00000000 NZD 39041.09000000 USD 2020-04-03 -678.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 69259.91000000 0.013863504284 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 CAD 1193925.61000000 USD 2020-05-07 69259.91000000 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 N/A 365000.00000000 PA 387964.44000000 0.077657430918 Long DBT NUSS US N 2 2023-10-26 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1391.39000000 0.000278509475 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 35000.00000000 NZD 22140.58000000 USD 2020-04-03 1391.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 525.22000000 0.000105131377 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14164.91000000 USD 2020-04-03 525.22000000 N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AE6 190000.00000000 PA 194252.52000000 0.038882820427 Long DBT CORP US N 2 2024-12-15 Fixed 0.30000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 459.33000000 0.000091942415 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15281.22000000 USD 2020-04-03 459.33000000 N N N UNICREDIT, SOCIETA PER AZIONI 549300TRUWO2CD2G5692 N/A 220000.00000000 PA 224496.22000000 0.044936591859 Long DBT NUSS IT N 2 2029-02-20 Fixed 4.87500000 N N N N N N United States of America N/A N/A 11.00000000 NC USD 2440625.00000000 0.488531029638 N/A DIR US N 1 GOLDMAN, SACHS & CO. N/A Long U.S. Treasury Futures US Ultra T-Bond Futures (Composite) Jun 2020 2020-06-22 2445239.01000000 USD -4614.01000000 N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 124857AP8 13000.00000000 PA USD 12112.08000000 0.002424431001 Long DBT CORP US N 2 2025-01-15 Fixed 3.50000000 N N N N N N EURO N/A N/A 1.00000000 NC 222.35000000 0.000044506990 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14055.20000000 USD 13000.00000000 EUR 2020-04-30 222.35000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 1692.21000000 0.000338723521 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13544.96000000 USD 160000.00000000 NOK 2020-04-03 1692.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2515.21000000 0.000503460437 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2428000.00000000 ZAR 137915.36000000 USD 2020-04-30 2515.21000000 N N N Republica de Colombia 549300MHDRBVRF6B9117 N/A 1112100000.00000000 PA 252707.40000000 0.050583521155 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.00000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1076.25000000 -0.00021542904 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14408.78000000 USD 140000.00000000 NOK 2020-04-03 -1076.25000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -96.33000000 -0.00001928202 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33112.09000000 USD 3564000.00000000 JPY 2020-04-03 -96.33000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 925.08000000 0.000185169899 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14374.98000000 USD 25000.00000000 AUD 2020-04-30 925.08000000 N N N DP WORLD CRESCENT LIMITED 21380096JRTWB8TL9236 N/A 265000.00000000 PA USD 241660.39000000 0.048372281341 Long DBT NUSS KY N 2 2028-09-26 Fixed 4.84800000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -1860.60000000 -0.00037242953 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 34468.75000000 USD 3520000.00000000 JPY 2020-04-03 -1860.60000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -326.58000000 -0.00006537033 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32758.72000000 USD 3501000.00000000 JPY 2020-04-03 -326.58000000 N N N EURO N/A N/A 1.00000000 NC -274.25000000 -0.00005489562 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14538.96000000 USD 13000.00000000 EUR 2020-04-03 -274.25000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8443.65000000 -0.00169013471 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 122254320.00000000 JPY 1124493.00000000 USD 2020-04-09 -8443.65000000 N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 N/A 100000.00000000 PA 104761.40000000 0.020969708418 Long DBT NUSS FR N 2 2025-01-23 Fixed 1.12500000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 1207550000.00000000 PA 13342613.75000000 2.670742466933 Long DBT NUSS JP N 2 2033-06-20 Fixed 1.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -296.66000000 -0.00005938135 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13052.32000000 USD 2020-04-03 -296.66000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -100.66000000 -0.00002014874 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13449.64000000 USD 19000.00000000 CAD 2020-04-03 -100.66000000 N N N DEXIA CREDIT LOCAL S.A. F4G136OIPBYND1F41110 N/A 300000.00000000 PA 337747.13000000 0.067605614617 Long DBT NUSS FR N 2 2025-01-17 Fixed 0.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1585.07000000 -0.00031727769 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14346.20000000 USD 134000.00000000 NOK 2020-04-03 -1585.07000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 60000.00000000 PA 80918.43000000 0.016197147830 Long DBT NUSS FR Y 2 2039-06-25 Fixed 1.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 732.46000000 0.000146613854 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32553.75000000 USD 2020-04-03 732.46000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 292.12000000 0.000058472597 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 11564.56000000 USD 20000.00000000 NZD 2020-04-03 292.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 640.79000000 0.000128264603 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14280.48000000 USD 2020-04-03 640.79000000 N N N Ceska republika 3157007EFDLQABN47912 N/A 7470000.00000000 PA 324608.95000000 0.064975792911 Long DBT NUSS CZ N 2 2022-09-12 Fixed 4.70000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 673.63000000 0.000134838067 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12791.46000000 USD 22000.00000000 AUD 2020-04-03 673.63000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 255000.00000000 PA 297734.87000000 0.059596506059 Long DBT NUSS IT Y 2 2047-03-01 Fixed 2.70000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC -9252.50000000 -0.00185203927 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 141837.07000000 USD 874000.00000000 TRY 2020-04-03 -9252.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 390.20000000 0.000078104914 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15212.09000000 USD 2020-04-03 390.20000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -575.79000000 -0.00011525379 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14303.88000000 USD 2020-04-03 -575.79000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1079.32000000 -0.00021604355 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 41663.50000000 USD 4381000.00000000 JPY 2020-04-03 -1079.32000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -440.38000000 -0.00008814926 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32742.83000000 USD 3487000.00000000 JPY 2020-04-03 -440.38000000 N N N General Motors Financial of Canada, Ltd. 5493001CSMJPUBB7NS44 37045YAB0 1900000.00000000 PA 1322437.91000000 0.264707586706 Long DBT NUSS CA N 2 2020-05-22 Fixed 3.08000000 N N N N N N Reino de Espana 9598007A56S18711AH60 N/A 3965000.00000000 PA 4432088.37000000 0.887155009411 Long DBT NUSS ES Y 2 2027-07-30 Fixed 0.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 167.86000000 0.000033599925 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 EUR 15529.86000000 USD 2020-04-03 167.86000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1052.67000000 0.000210709125 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13827.00000000 USD 12000.00000000 GBP 2020-04-03 1052.67000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -2794.86000000 -0.00055943696 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 93312.83000000 USD 73000.00000000 GBP 2020-04-03 -2794.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1349.30000000 0.000270084473 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 171504.12000000 EUR 189569.68000000 USD 2020-04-08 1349.30000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 308.78000000 0.000061807369 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13040.20000000 USD 19000.00000000 CAD 2020-04-03 308.78000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -478.61000000 -0.00009580162 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17435.91000000 USD 168000.00000000 SEK 2020-04-03 -478.61000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -303.26000000 -0.00006070245 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14581.56000000 USD 2020-04-30 -303.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 469.38000000 0.000093954087 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15973.59000000 USD 2020-04-03 469.38000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1912.87000000 -0.00038289223 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 22387.82000000 USD 215000.00000000 NOK 2020-04-03 -1912.87000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -345.03000000 -0.00006906340 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14375.17000000 USD 139000.00000000 SEK 2020-04-03 -345.03000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -610.52000000 -0.00012220556 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 219217.00000000 USD 369000.00000000 NZD 2020-04-30 -610.52000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -543.31000000 -0.00010875238 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 29592.18000000 USD 49000.00000000 NZD 2020-04-03 -543.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 486.92000000 0.000097465005 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14751.63000000 USD 2020-04-03 486.92000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -779.66000000 -0.00015606170 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13822.01000000 USD 22000.00000000 NZD 2020-04-03 -779.66000000 N N N CLEAN HARBORS, INC. 5493000SJVZVZJKHJF48 184496AN7 124000.00000000 PA USD 121383.60000000 0.024296913736 Long DBT CORP US Y 2 2027-07-15 Fixed 4.87500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1395.89000000 -0.00027941022 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14157.02000000 USD 134000.00000000 NOK 2020-04-03 -1395.89000000 N N N REPUBLIKA SLOVENIJA 485100000LWQHIX4XX88 N/A 305000.00000000 PA 359282.01000000 0.071916173224 Long DBT NUSS SI N 2 2027-03-22 Fixed 1.25000000 N N N N N N Philip Morris International Inc. HL3H1H2BGXWVG3BSWR90 718172CF4 285000.00000000 PA 300897.74000000 0.060229606243 Long DBT NUSS US N 2 2024-11-08 Fixed 0.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 879.29000000 0.000176004281 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14518.98000000 USD 2020-04-03 879.29000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -1284.14000000 -0.00025704163 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 34359.80000000 USD 32000.00000000 CHF 2020-04-03 -1284.14000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 19132.34000000 0.003829650913 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 1314426.43000000 USD 2251000.00000000 NZD 2020-04-30 19132.34000000 N N N N/A N/A CDS514907 -600000.00000000 NC USD -132753.90000000 -0.02657286533 N/A DCR XX N 2 BRK: CITIGROUP GLOBAL MARKETS INC. N/A Y 2063-05-11 0.00000000 USD -45144.57000000 USD -600000.00000000 USD -87609.33000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 588.12000000 0.000117721841 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15623.07000000 USD 2020-04-03 588.12000000 N N N EURO N/A N/A 1.00000000 NC -121.83000000 -0.00002438626 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 3413.69000000 USD 3000.00000000 EUR 2020-04-03 -121.83000000 N N N Slovenska Republika 097900BHFM0000074794 N/A 75000.00000000 PA 94674.45000000 0.018950640323 Long DBT NUSS SK N 2 2024-11-15 Fixed 3.37500000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 532.45000000 0.000106578579 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14424.84000000 USD 148000.00000000 SEK 2020-04-30 532.45000000 N N N EURO N/A N/A 1.00000000 NC -2888.68000000 -0.00057821656 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 210006.19000000 USD 188722.96000000 EUR 2020-04-08 -2888.68000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 14697.82000000 0.002942009173 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 210977.13000000 USD 182000.00000000 GBP 2020-04-03 14697.82000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -124.70000000 -0.00002496074 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 16880.12000000 USD 166000.00000000 SEK 2020-04-03 -124.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 554.73000000 0.000111038286 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14819.44000000 USD 2020-04-03 554.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 327.28000000 0.000065510447 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1193000.00000000 JPY 11378.85000000 USD 2020-04-03 327.28000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -657.47000000 -0.00013160337 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33321.21000000 USD 3526000.00000000 JPY 2020-04-03 -657.47000000 N N N Canada N/A N/A 33.00000000 NC 3411402.67000000 0.682848065101 N/A DIR CA N 1 GOLDMAN, SACHS & CO. N/A Long Canada Govt. Bond Futures Canadian Govt 10 Year Bond Future Jun 2020 2020-06-22 3540363.00000000 CAD -128960.33000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1062.84000000 0.000212744817 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 13915.88000000 USD 2020-04-03 1062.84000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 606.48000000 0.000121396895 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31343.95000000 USD 3449000.00000000 JPY 2020-04-03 606.48000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1566.06000000 -0.00031347253 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 16898.47000000 USD 161000.00000000 NOK 2020-04-03 -1566.06000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -77.64000000 -0.00001554091 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12930.68000000 USD 21000.00000000 AUD 2020-04-03 -77.64000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -167.17000000 -0.00003346181 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 12566.89000000 USD 10000.00000000 GBP 2020-04-03 -167.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -234.88000000 -0.00004701507 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14546.31000000 USD 2020-04-30 -234.88000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 200000.00000000 PA 170622.25000000 0.034152835225 Long DBT NUSS NL N 2 2168-12-29 Fixed 3.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC -864.30000000 -0.00017300378 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14894.44000000 USD 139000.00000000 SEK 2020-04-03 -864.30000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 344.43000000 0.000068943300 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 41814.63000000 USD 34000.00000000 GBP 2020-04-03 344.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4.01000000 0.000000802667 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14763.94000000 USD 2020-04-30 4.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1219.30000000 -0.00024406284 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 45000.00000000 AUD 26322.93000000 USD 2020-04-03 -1219.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -556.48000000 -0.00011138857 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 46000.00000000 CAD 31762.11000000 USD 2020-04-03 -556.48000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -17185.33000000 -0.00343992500 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 145274.45000000 USD 2288000.00000000 ZAR 2020-04-03 -17185.33000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 436.91000000 0.000087454685 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14520.38000000 USD 148000.00000000 SEK 2020-04-30 436.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1248.94000000 -0.00024999577 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 28985.60000000 USD 2020-04-03 -1248.94000000 N N N Repubblica Italiana N/A N/A 10.00000000 NC 1551620.09000000 0.310582150136 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Italy Govt. Bond Futures Euro-BTP Futures Jun 2020 2020-06-11 1654198.36000000 EUR -102578.27000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 197.65000000 0.000039562881 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15019.54000000 USD 2020-04-03 197.65000000 N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 09659W2D5 395000.00000000 PA USD 391532.10000000 0.078371556445 Long DBT NUSS FR Y 2 2025-01-09 Fixed 3.37500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -431.25000000 -0.00008632174 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13192.38000000 USD 134000.00000000 NOK 2020-04-03 -431.25000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -4543.68000000 -0.00090949190 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 1288583.25000000 USD 1238238.99000000 CHF 2020-05-29 -4543.68000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1430.10000000 0.000286257915 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 37009.04000000 USD 31000.00000000 GBP 2020-04-03 1430.10000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 7.92000000 0.000001585317 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14892.74000000 USD 2020-04-30 7.92000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 313.24000000 0.000062700111 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 32018.03000000 USD 46000.00000000 CAD 2020-04-30 313.24000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 806.46000000 0.000161426165 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 29572.79000000 USD 2020-04-03 806.46000000 N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 914000.00000000 PA 1014649.62000000 0.203098724130 Long DBT NUSS NL Y 2 2022-01-15 Fixed 0.00000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1010.61000000 -0.00020229012 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13863.65000000 USD 21000.00000000 AUD 2020-04-03 -1010.61000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10.91000000 0.000002183815 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14792.10000000 USD 2020-04-30 10.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2.05000000 0.000000410341 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 14823.94000000 USD 2020-04-03 2.05000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 225.71000000 0.000045179549 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14490.42000000 USD 2020-04-03 225.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -817.70000000 -0.00016367603 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 17000.00000000 GBP 20269.12000000 USD 2020-04-30 -817.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 520.41000000 0.000104168576 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15277.45000000 USD 2020-04-03 520.41000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 931000.00000000 PA 1702713.46000000 0.340825960478 Long DBT NUSS DE N 2 2046-08-15 Fixed 2.50000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -460.88000000 -0.00009225267 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13313.92000000 USD 21000.00000000 AUD 2020-04-03 -460.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -149.95000000 -0.00003001494 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 12892.40000000 USD 2020-04-03 -149.95000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -11251.70000000 -0.00225221186 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 147234.43000000 USD 2429000.00000000 ZAR 2020-04-03 -11251.70000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -651.14000000 -0.00013033632 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33259.29000000 USD 3520000.00000000 JPY 2020-04-03 -651.14000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -693.16000000 -0.00013874731 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13454.29000000 USD 134000.00000000 NOK 2020-04-03 -693.16000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2340.94000000 0.000468577445 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 31149.90000000 USD 27000.00000000 GBP 2020-04-30 2340.94000000 N N N COLOMBIA PESO N/A N/A 1.00000000 NC 8126.58000000 0.001626667962 N/A DFE CO N 2 JP MORGAN N/A 1113796.09000000 USD 4560995000.00000000 COP 2020-04-27 8126.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 407.59000000 0.000081585807 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 142000.00000000 SEK 14740.54000000 USD 2020-04-03 407.59000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1318.13000000 -0.00026384528 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 32317.44000000 USD 25000.00000000 GBP 2020-04-03 -1318.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 560.92000000 0.000112277316 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16065.13000000 USD 2020-04-03 560.92000000 N N N BEAR STEARNS ARM TRUST N/A 07384MW81 9509.28590000 PA USD 8515.91000000 0.001704598732 Long ABS-MBS US N 2 2034-09-25 Floating 4.60600920 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -755.83000000 -0.00015129174 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13798.18000000 USD 22000.00000000 NZD 2020-04-03 -755.83000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1427.91000000 -0.00028581955 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 30194.24000000 USD 47000.00000000 AUD 2020-04-03 -1427.91000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 8.42000000 0.000001685400 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32423.72000000 USD 3501000.00000000 JPY 2020-04-03 8.42000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -805.11000000 -0.00016115594 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14154.09000000 USD 19000.00000000 CAD 2020-04-03 -805.11000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 9865000.00000000 PA 6437395.44000000 1.288550032264 Long DBT NUSS NZ N 2 2025-04-15 Fixed 2.75000000 N N N N N N EURO N/A N/A 1.00000000 NC -350.42000000 -0.00007014229 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 11323.28000000 USD 10000.00000000 EUR 2020-04-03 -350.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -25058.53000000 -0.00501587481 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 554000.00000000 GBP 662071.00000000 USD 2020-04-24 -25058.53000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -182191.03000000 -0.03646851584 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14626494.02000000 USD 20559000.00000000 CAD 2020-04-03 -182191.03000000 N N N KfW 549300GDPG70E3MBBU98 N/A 500000.00000000 PA 614064.54000000 0.122915065604 Long DBT NUSS DE N 2 2032-09-15 Fixed 1.12500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -618.42000000 -0.00012378688 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 55000.00000000 NZD 31987.45000000 USD 2020-04-03 -618.42000000 N N N COMPAGNIE DE FINANCEMENT FONCIER S.A. DKGVVH5FKILG8R13CO13 N/A 300000.00000000 PA 335582.47000000 0.067172322498 Long DBT NUSS FR N 2 2024-12-11 Fixed 0.37500000 N N N N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 110000.00000000 PA 156818.77000000 0.031389842837 Long DBT NUSS AT Y 2 2034-05-23 Fixed 2.40000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 12.19000000 0.000002440027 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 NZD 14822.93000000 USD 2020-04-30 12.19000000 N N N EURO N/A N/A 1.00000000 NC -414.10000000 -0.00008288889 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14678.81000000 USD 13000.00000000 EUR 2020-04-03 -414.10000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 243.18000000 0.000048676456 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13592.16000000 USD 2020-04-03 243.18000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1092.46000000 0.000218673744 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 NZD 18284.65000000 USD 2020-04-03 1092.46000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 271.11000000 0.000054267102 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13960.91000000 USD 141000.00000000 SEK 2020-04-03 271.11000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 888.21000000 0.000177789765 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 25960.84000000 USD 266000.00000000 SEK 2020-04-03 888.21000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -13813.79000000 -0.00276505610 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 141902.91000000 USD 2288000.00000000 ZAR 2020-04-03 -13813.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 650.81000000 0.000130270270 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 CHF 14087.80000000 USD 2020-04-03 650.81000000 N N N Clarios Global LP 549300474L1ZLXZY2P98 N/A 106000.00000000 PA 96535.98000000 0.019323256012 Long DBT NUSS CA Y 2 2026-05-15 Fixed 4.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 17311.82000000 0.003465244045 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 317669.55000000 USD 269992.40000000 GBP 2020-05-15 17311.82000000 N N N Japan 353800WZS8AXZXFUC241 N/A 259650000.00000000 PA 3169363.11000000 0.634399886679 Long DBT NUSS JP N 2 2043-03-20 Fixed 1.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 235414.66000000 0.047122096283 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 64564000.00000000 EUR 71144298.32000000 USD 2020-04-30 235414.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -536955.93000000 -0.10748051558 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3184689051.00000000 JPY 29007888.47000000 USD 2020-04-27 -536955.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 502.77000000 0.000100637642 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15324.66000000 USD 2020-04-03 502.77000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1490.16000000 0.000298279907 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 32275.73000000 USD 2020-04-03 1490.16000000 N N N Repubblica Italiana 815600DE60799F5A9309 N/A 1530000.00000000 PA 1697963.07000000 0.339875092189 Long DBT NUSS IT N 2 2023-03-01 Fixed 0.95000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC -7094.54000000 -0.00142008826 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 146505.55000000 USD 919000.00000000 TRY 2020-04-03 -7094.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -20.89000000 -0.00000418147 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42175.00000000 SEK 4235.90000000 USD 2020-04-01 -20.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 66.50000000 0.000013311063 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1440000.00000000 JPY 13406.20000000 USD 2020-04-03 66.50000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -61.93000000 -0.00001239630 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14821.86000000 USD 21000.00000000 CAD 2020-04-30 -61.93000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -863.19000000 -0.00017278160 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14212.17000000 USD 19000.00000000 CAD 2020-04-03 -863.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 573.45000000 0.000114785400 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14838.16000000 USD 2020-04-03 573.45000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 640000.00000000 PA 872059.25000000 0.174556928372 Long DBT NUSS PT Y 2 2027-04-14 Fixed 4.12500000 N N N N N N United Kingdom of Great Britain and Northern Ireland N/A N/A 3.00000000 NC 506608.97000000 0.101406074976 N/A DIR GB N 1 GOLDMAN, SACHS & CO. N/A Long U.K. Gilt Futures U.K. Long Gilt Future Jun 2020 2020-06-29 527999.11000000 GBP -21390.14000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 200000.00000000 PA 215060.84000000 0.043047946161 Long DBT NUSS CH N 2 2026-02-12 Fixed 4.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 6463.58000000 0.001293791300 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 343000.00000000 EUR 382832.59000000 USD 2020-04-03 6463.58000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 306000.00000000 PA 341479.41000000 0.068352691530 Long DBT NUSS FR N 2 2025-03-25 Fixed 0.00000000 N N N N N N NATIONAL AUSTRALIA BANK LIMITED F8SB4JFBSYQFRQEH3Z21 N/A 206000.00000000 PA 251279.00000000 0.050297603522 Long DBT NUSS AU N 2 2025-06-06 Fixed 2.25000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 382.21000000 0.000076505585 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14917.85000000 USD 25000.00000000 AUD 2020-04-30 382.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1429.54000000 0.000286145822 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 14190.67000000 USD 2020-04-03 1429.54000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -2002.33000000 -0.00040079911 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 32213.19000000 USD 43000.00000000 CAD 2020-04-03 -2002.33000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -4996.44000000 -0.00100011922 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 68044585.00000000 JPY 625576.00000000 USD 2020-04-09 -4996.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -3058.22000000 -0.00061215277 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 84000.00000000 AUD 48349.98000000 USD 2020-04-30 -3058.22000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -119.44000000 -0.00002390787 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 19701.08000000 USD 194000.00000000 SEK 2020-04-03 -119.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 259.06000000 0.000051855097 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15080.95000000 USD 2020-04-03 259.06000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087XG4 1205000.00000000 PA 1347117.79000000 0.269647668524 Long DBT NUSS CA N 2 2033-06-01 Fixed 5.75000000 N N N N N N United States of America N/A N/A 37.00000000 NC USD 5131437.50000000 1.027141181214 N/A DIR US N 1 CITIGROUP GLOBAL MARKETS N/A Long U.S. Treasury Futures US 10 Year Treasury Note Future (consolidated) Jun 2020 2020-06-22 4902174.59000000 USD 229262.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 744.15000000 0.000148953799 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16248.36000000 USD 2020-04-03 744.15000000 N N N SINGAPORE DOLLAR N/A N/A 1.00000000 NC -3133.12000000 -0.00062714523 N/A DFE XX N 2 BARCLAYS CAPITAL INC. N/A 114805.17000000 USD 159000.00000000 SGD 2020-04-03 -3133.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 0.85000000 0.000000170141 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 12761.98000000 USD 2020-04-03 0.85000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1820.10000000 -0.00036432279 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 32030.96000000 USD 43000.00000000 CAD 2020-04-03 -1820.10000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2613.85000000 0.000523204847 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2175000.00000000 SEK 222150.27000000 USD 2020-04-03 2613.85000000 N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC -8921.15000000 -0.00178571414 N/A DFE MY N 2 BARCLAYS CAPITAL INC. N/A 280540.88000000 USD 1166208.44000000 MYR 2020-08-13 -8921.15000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1178.81000000 0.000235958110 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 58000.00000000 CAD 41928.34000000 USD 2020-04-03 1178.81000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 111.07000000 0.000022232477 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14120.95000000 USD 141000.00000000 SEK 2020-04-03 111.07000000 N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 N/A 115000.00000000 PA 126754.26000000 0.025371939215 Long DBT NUSS US N 2 2020-07-23 Fixed 1.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1927.26000000 -0.00038577262 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 480000.00000000 NOK 43827.21000000 USD 2020-04-30 -1927.26000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 167.33000000 0.000033493837 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 15699.53000000 USD 157000.00000000 SEK 2020-04-30 167.33000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1076.12000000 -0.00021540302 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33943.66000000 USD 3548000.00000000 JPY 2020-04-03 -1076.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 874.89000000 0.000175123549 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 32000.00000000 EUR 35988.03000000 USD 2020-04-03 874.89000000 N N N SUEZ S.A. 549300JQIZM6CL7POC81 N/A 300000.00000000 PA 314361.89000000 0.062924676179 Long DBT NUSS FR N 2 2168-04-19 Fixed 2.87500000 N N N N N N EURO N/A N/A 1.00000000 NC -2908.08000000 -0.00058209979 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 222234.44000000 USD 199847.52000000 EUR 2020-04-08 -2908.08000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -597.41000000 -0.00011958138 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33029.55000000 USD 3501000.00000000 JPY 2020-04-03 -597.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 453.30000000 0.000090735412 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14923.90000000 USD 2020-04-03 453.30000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -140.38000000 -0.00002809935 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32804.12000000 USD 3526000.00000000 JPY 2020-04-03 -140.38000000 N N N Swiss Re Finance (Luxembourg) S.A. 549300CLQZ6TM98LW631 87089NAA8 200000.00000000 PA USD 203800.00000000 0.040793904774 Long DBT NUSS LU Y 2 2049-04-02 Fixed 5.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1049.66000000 0.000210106624 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32870.95000000 USD 2020-04-03 1049.66000000 N N N EURO N/A N/A 1.00000000 NC -559.15000000 -0.00011192302 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14823.86000000 USD 13000.00000000 EUR 2020-04-03 -559.15000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -858.28000000 -0.00017179878 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 29907.15000000 USD 49000.00000000 NZD 2020-04-03 -858.28000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 240000.00000000 PA 403283.85000000 0.080723861501 Long DBT NUSS ES Y 2 2066-07-30 Fixed 3.45000000 N N N N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 800000.00000000 PA 995117.24000000 0.199188998665 Long DBT NUSS FR N 2 2034-05-25 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 46219.12000000 0.009251513150 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22954100.68000000 CNY 3284882.32000000 USD 2020-04-16 46219.12000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -6873.17000000 -0.00137577744 N/A DFE XX N 2 JP MORGAN N/A 129152.79000000 USD 2869000.00000000 MXN 2020-04-03 -6873.17000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 969.69000000 0.000194099320 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 14012.04000000 USD 2020-04-03 969.69000000 N N N CYRUSONE LP 549300TDXOX1X4TWIB58 23283PAS3 154000.00000000 PA 147383.89000000 0.029501297222 Long DBT CORP US N 2 2027-01-22 Fixed 1.45000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3677.95000000 0.000736201874 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 322000.00000000 NOK 34342.76000000 USD 2020-04-03 3677.95000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 661.39000000 0.000132388030 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13267.82000000 USD 138000.00000000 SEK 2020-04-03 661.39000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -726.66000000 -0.00014545288 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 30937.52000000 USD 43000.00000000 CAD 2020-04-03 -726.66000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -80.29000000 -0.00001607135 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33151.63000000 USD 3570000.00000000 JPY 2020-04-03 -80.29000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 640.58000000 0.000128222568 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14660.66000000 USD 25000.00000000 AUD 2020-04-03 640.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -236.59000000 -0.00004735735 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 31000.00000000 NZD 18141.27000000 USD 2020-04-03 -236.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1195.80000000 -0.00023935893 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 326000.00000000 SEK 31750.67000000 USD 2020-04-30 -1195.80000000 N N N THAMES WATER UTILITIES FINANCE PLC 213800ESMPQ4RQ7G8351 N/A 155000.00000000 PA 242142.35000000 0.048468753522 Long DBT NUSS GB N 2 2046-06-04 Fixed 4.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2518.11000000 -0.00050404092 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 351000.00000000 NOK 30908.44000000 USD 2020-04-03 -2518.11000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 88.36000000 0.000017686699 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 15368.36000000 USD 22000.00000000 CAD 2020-04-03 88.36000000 N N N Schweizerische Eidgenossenschaft 5067006OA1BJ88912Q83 N/A 75000.00000000 PA 81913.75000000 0.016396377415 Long DBT NUSS CH N 2 2022-05-25 Fixed 2.00000000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 345000.00000000 PA 421006.22000000 0.084271283847 Long DBT NUSS NL Y 2 2024-07-15 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -522.37000000 -0.00010456090 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42000.00000000 CAD 28985.91000000 USD 2020-04-03 -522.37000000 N N N EURO N/A N/A 1.00000000 NC -171.59000000 -0.00003434654 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 13339.02000000 USD 12000.00000000 EUR 2020-04-03 -171.59000000 N N N CHINESE YUAN RENMINBI N/A N/A 1.00000000 NC 35769.92000000 0.007159934790 N/A DFE MY N 2 BANK OF AMERICA N/A 11264652.14000000 USD 80148000.00000000 CNY 2020-04-03 35769.92000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 271.46000000 0.000054337160 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 4977.23000000 USD 52000.00000000 SEK 2020-04-03 271.46000000 N N N CENTRICA PLC E26EDV109X6EEPBKVH76 N/A 100000.00000000 PA 134867.57000000 0.026995950970 Long DBT NUSS GB N 2 2044-09-12 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -71288.05000000 -0.01426946969 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 52971600.00000000 MXN 2178635.74000000 USD 2020-04-27 -71288.05000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 94.96000000 0.000019007797 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13254.02000000 USD 19000.00000000 CAD 2020-04-03 94.96000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -832.30000000 -0.00016659846 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14862.44000000 USD 139000.00000000 SEK 2020-04-03 -832.30000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 64.04000000 0.000012818653 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 3490.54000000 USD 6000.00000000 NZD 2020-04-30 64.04000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1711.43000000 -0.00034257071 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14472.56000000 USD 134000.00000000 NOK 2020-04-03 -1711.43000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 230.97000000 0.000046232424 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14495.68000000 USD 2020-04-03 230.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1028.66000000 0.000205903130 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 46000.00000000 CAD 33347.25000000 USD 2020-04-03 1028.66000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 811.39000000 0.000162412985 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 11588.33000000 USD 10000.00000000 GBP 2020-04-03 811.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3042.81000000 0.000609068210 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 66000.00000000 CAD 49412.96000000 USD 2020-04-03 3042.81000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -875.46000000 -0.00017523764 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14224.44000000 USD 19000.00000000 CAD 2020-04-03 -875.46000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 231.51000000 0.000046340514 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 399000.00000000 EUR 438048.53000000 USD 2020-04-03 231.51000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -619.70000000 -0.00012404309 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14259.97000000 USD 2020-04-03 -619.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 135.21000000 0.000027064493 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 15003.42000000 USD 2020-04-03 135.21000000 N N N EURO N/A N/A 1.00000000 NC -220.89000000 -0.00004421474 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14485.60000000 USD 13000.00000000 EUR 2020-04-03 -220.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 543.49000000 0.000108788416 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 31329.06000000 USD 2020-04-03 543.49000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 687000.00000000 PA 809411.24000000 0.162016904062 Long DBT NUSS ES Y 2 2029-04-30 Fixed 1.45000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC 7082.63000000 0.001417704287 N/A DFE XX N 2 JP MORGAN N/A 366834.32000000 USD 8803400.00000000 MXN 2020-04-27 7082.63000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 676.27000000 0.000135366506 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12176.77000000 USD 21000.00000000 AUD 2020-04-03 676.27000000 N N N Bundesrepublik Deutschland N/A N/A 28.00000000 NC 3446810.85000000 0.689935591711 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Germany Govt. Bond Futures Euro-Schatz Future Jun 2020 2020-06-11 3506489.51000000 EUR -59678.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 675.81000000 0.000135274429 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 5200200.00000000 NOK 496461.70000000 USD 2020-05-26 675.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -7772.79000000 -0.00155585110 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 32400000.00000000 JPY 292861.50000000 USD 2020-04-30 -7772.79000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EH3 150000.00000000 PA USD 152250.00000000 0.030475328763 Long DBT CORP US N 2 2169-03-05 Fixed 6.25000000 N N N N N N SWISS FRANC N/A N/A 1.00000000 NC -1196.88000000 -0.00023957511 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 34272.54000000 USD 32000.00000000 CHF 2020-04-03 -1196.88000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 308.74000000 0.000061799362 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 11320.20000000 USD 19000.00000000 AUD 2020-04-03 308.74000000 N N N BPIFRANCE FINANCEMENT SA 969500STN7T9MRUMJ267 N/A 600000.00000000 PA 662632.74000000 0.132636785554 Long DBT NUSS FR N 2 2022-11-25 Fixed 0.00000000 N N N N N N ZURICH FINANCE (UK) PLC 213800LG3O6I2B27MS24 N/A 235000.00000000 PA 298802.70000000 0.059810249706 Long ABS-MBS GB N 2 2049-10-30 Fixed 6.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -250.20000000 -0.00005008162 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 8000.00000000 GBP 9669.58000000 USD 2020-04-03 -250.20000000 N N N EURO N/A N/A 1.00000000 NC 186.50000000 0.000037331026 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14078.21000000 USD 13000.00000000 EUR 2020-04-03 186.50000000 N N N EURO N/A N/A 1.00000000 NC -27585.25000000 -0.00552163916 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 641331.78000000 USD 559238.38000000 EUR 2020-04-08 -27585.25000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 192.79000000 0.000038590073 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 30000.00000000 EUR 33140.97000000 USD 2020-04-30 192.79000000 N N N Europcar Mobility Group S.A. 969500XCGTMV08D76N87 AP6034312 100000.00000000 PA 50855.31000000 0.010179522440 Long DBT NUSS FR Y 2 2024-11-15 Fixed 4.12500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -1562.90000000 -0.00031284000 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 36968.68000000 USD 3822000.00000000 JPY 2020-04-03 -1562.90000000 N N N BANK OF IRELAND MORTGAGE BANK 635400LWGWFFKITHYD44 N/A 555000.00000000 PA 616764.51000000 0.123455508779 Long DBT NUSS IE N 2 2022-05-07 Fixed 0.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -252.50000000 -0.00005054200 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14218.10000000 USD 2020-04-03 -252.50000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 5.98000000 0.000001196994 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33065.36000000 USD 3570000.00000000 JPY 2020-04-03 5.98000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -202.49000000 -0.00004053168 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14962.42000000 USD 21000.00000000 CAD 2020-04-30 -202.49000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 641.16000000 0.000128338665 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14169.58000000 USD 25000.00000000 NZD 2020-04-30 641.16000000 N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 N/A 22113000.00000000 PA 1146114.03000000 0.229413476941 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 694.13000000 0.000138941477 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 135000.00000000 NOK 13550.50000000 USD 2020-04-03 694.13000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -412.38000000 -0.00008254460 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 16411.41000000 USD 168000.00000000 NOK 2020-04-03 -412.38000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 487.47000000 0.000097575096 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 612118.00000000 USD 66105784.00000000 JPY 2020-04-09 487.47000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 322.86000000 0.000064625711 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15144.75000000 USD 2020-04-03 322.86000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18382.25000000 0.003679508125 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2288000.00000000 ZAR 146471.37000000 USD 2020-04-03 18382.25000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 705000.00000000 PA 912466.33000000 0.182645066614 Long DBT NUSS ES Y 2 2033-07-30 Fixed 2.35000000 N N N N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 20805000.00000000 PA 906168.44000000 0.181384440878 Long DBT NUSS TH N 2 2044-06-29 Fixed 4.67500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 75.85000000 0.000015182618 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14832.89000000 USD 2020-04-03 75.85000000 N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 4771000.00000000 PA 5396464.45000000 1.080190661886 Long DBT NUSS DE N 2 2024-10-18 Fixed 0.00000000 N N N N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 N/A 235000.00000000 PA 254342.11000000 0.050910735110 Long DBT NUSS JE N 2 2022-05-23 Fixed 1.87500000 N N N N N N Province of Ontario C7PVKCRGLG18EBQGZV36 683234B98 540000.00000000 PA 509053.43000000 0.101895373643 Long DBT NUSS CA N 2 2041-06-02 Fixed 4.65000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 164.24000000 0.000032875323 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 15032.45000000 USD 2020-04-03 164.24000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1959.77000000 -0.00039228003 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 31468.05000000 USD 42000.00000000 CAD 2020-04-03 -1959.77000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 524.48000000 0.000104983254 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 11104.46000000 USD 19000.00000000 AUD 2020-04-03 524.48000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A 210000.00000000 PA 231129.73000000 0.046264397429 Long DBT NUSS US N 2 2026-04-27 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 93219.31000000 0.018659370241 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 16629530.49000000 EUR 18360184.02000000 USD 2020-05-05 93219.31000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 108000.00000000 PA 255253.25000000 0.051093114690 Long DBT NUSS GB N 2 2049-12-07 Fixed 4.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 384.31000000 0.000076925934 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 135000.00000000 NOK 13240.68000000 USD 2020-04-03 384.31000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 307.52000000 0.000061555159 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1136000.00000000 JPY 10831.06000000 USD 2020-04-03 307.52000000 N N N Republik Oesterreich 529900QWWUI4XRVR7I03 N/A 1135000.00000000 PA 1352567.51000000 0.270738519156 Long DBT NUSS AT Y 2 2022-04-20 Fixed 3.65000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 167.81000000 0.000033589917 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13467.37000000 USD 23000.00000000 NZD 2020-04-03 167.81000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -548.42000000 -0.00010977523 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 45000.00000000 CAD 31067.59000000 USD 2020-04-03 -548.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -541.49000000 -0.00010838808 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13098.20000000 USD 2020-04-03 -541.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 646.91000000 0.000129489621 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13689.26000000 USD 2020-04-03 646.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1873.68000000 -0.00037504771 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 26892.65000000 USD 2020-04-03 -1873.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 284.08000000 0.000056863260 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15788.29000000 USD 2020-04-03 284.08000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2022.84000000 0.000404904525 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 93000.00000000 NZD 57156.41000000 USD 2020-04-03 2022.84000000 N N N European Financial Stability Facility SA 222100OW6UHQXNHKN143 N/A 270000.00000000 PA 392958.62000000 0.078657097765 Long DBT NUSS LU N 2 2048-07-10 Fixed 1.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 539.34000000 0.000107957726 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16043.55000000 USD 2020-04-03 539.34000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -310.25000000 -0.00006210161 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14160.35000000 USD 2020-04-03 -310.25000000 N N N EURO N/A N/A 1.00000000 NC -672.91000000 -0.00013469394 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14937.62000000 USD 13000.00000000 EUR 2020-04-03 -672.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 56134.07000000 0.011236152630 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3560000.00000000 PLN 913256.30000000 USD 2020-04-03 56134.07000000 N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 N/A 216000.00000000 PA 247775.37000000 0.049596294647 Long DBT NUSS NO N 2 2021-03-11 Fixed 5.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 464.49000000 0.000092975273 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1920000.00000000 JPY 18250.76000000 USD 2020-04-03 464.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 74790.71000000 0.014970584405 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 7997610.27000000 NOK 837235.70000000 USD 2020-05-14 74790.71000000 N N N EURO N/A N/A 1.00000000 NC 252.90000000 0.000050622073 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 20614.28000000 USD 19000.00000000 EUR 2020-04-30 252.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 940.27000000 0.000188210426 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 GBP 18299.88000000 USD 2020-04-03 940.27000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -48.98000000 -0.00000980414 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1582000.00000000 JPY 14630.14000000 USD 2020-04-30 -48.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 128.79000000 0.000025779425 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13768.48000000 USD 2020-04-03 128.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 597.63000000 0.000119625423 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14862.34000000 USD 2020-04-03 597.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 395.76000000 0.000079217839 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1613000.00000000 JPY 15338.08000000 USD 2020-04-03 395.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 630.21000000 0.000126146843 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1620000.00000000 JPY 15637.37000000 USD 2020-04-03 630.21000000 N N N CHUBB INA HOLDINGS INC. CZCBJZWDMLTHWJDXU843 171239AC0 115000.00000000 PA 116236.60000000 0.023266657466 Long DBT NUSS US N 2 2027-06-15 Fixed 0.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 157.00000000 0.000031426118 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15191.95000000 USD 2020-04-03 157.00000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 1341000.00000000 PA 1087322.75000000 0.217645440248 Long DBT NUSS SG N 2 2027-03-01 Fixed 3.50000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 119.93000000 0.000024005951 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 11974.58000000 USD 127000.00000000 NOK 2020-04-03 119.93000000 N N N EURO N/A N/A 1.00000000 NC 307.22000000 0.000061495110 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 13957.49000000 USD 13000.00000000 EUR 2020-04-03 307.22000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -3049.80000000 -0.00061046737 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 156000.99000000 USD 258000.00000000 NZD 2020-04-03 -3049.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -585.21000000 -0.00011713935 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 13054.48000000 USD 2020-04-03 -585.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 750.90000000 0.000150304921 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14390.59000000 USD 2020-04-03 750.90000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -862.83000000 -0.00017270954 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49000.00000000 NZD 28186.04000000 USD 2020-04-03 -862.83000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -909.19000000 -0.00018198925 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14544.37000000 USD 23000.00000000 NZD 2020-04-03 -909.19000000 N N N Motion Bondco DAC 635400KFD3IETNQLA755 N/A 245000.00000000 PA 195302.13000000 0.039092917043 Long DBT NUSS IE Y 2 2027-11-15 Fixed 4.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -442.44000000 -0.00008856160 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 GBP 16917.17000000 USD 2020-04-03 -442.44000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -289.82000000 -0.00005801221 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13638.80000000 USD 19000.00000000 CAD 2020-04-03 -289.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -608.93000000 -0.00012188730 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 29625.61000000 USD 2020-04-03 -608.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1829.74000000 0.000366252400 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42000.00000000 CAD 31338.02000000 USD 2020-04-03 1829.74000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 391.44000000 0.000078353121 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 15521.85000000 USD 26000.00000000 AUD 2020-04-03 391.44000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10369.09000000 0.002075543032 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 270000.00000000 GBP 345161.60000000 USD 2020-04-03 10369.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 584.31000000 0.000116959207 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15341.35000000 USD 2020-04-03 584.31000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 4201000.00000000 PA 439630.79000000 0.087999296286 Long DBT NUSS NO Y 2 2024-03-14 Fixed 3.00000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1386.32000000 -0.00027749463 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14718.85000000 USD 140000.00000000 NOK 2020-04-03 -1386.32000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1959.01000000 0.000392127906 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 773000.00000000 MXN 34905.04000000 USD 2020-04-03 1959.01000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 82.19000000 0.000016451673 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 8869.65000000 USD 94000.00000000 NOK 2020-04-03 82.19000000 N N N N/A N/A CDS531199 -2400000.00000000 NC USD -8617.61000000 -0.00172495565 N/A DO XX N 2 BRK: CITIGROUP N/A Y 2024-12-20 33317.80000000 USD 0.00000000 USD -2400000.00000000 USD -41935.41000000 N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 018489AG9 100000.00000000 PA 113282.86000000 0.022675418073 Long DBT NUSS LU N 2 2028-11-15 Fixed 2.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 102.28000000 0.000020473015 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15137.23000000 USD 2020-04-03 102.28000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 551.74000000 0.000110439789 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 31343.11000000 USD 3443000.00000000 JPY 2020-04-03 551.74000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 85409.49000000 0.017096106976 N/A DFE XX N 2 JP MORGAN N/A 1824437.12000000 USD 44810000.00000000 MXN 2020-04-03 85409.49000000 N N N Wepa Hygieneprodukte GmbH 529900KQ44OJDIDU6J81 N/A 190000.00000000 PA 180787.39000000 0.036187554328 Long DBT NUSS DE Y 2 2027-12-15 Fixed 2.87500000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -769.26000000 -0.00015397997 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14404.44000000 USD 23000.00000000 NZD 2020-04-03 -769.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2310.41000000 0.000462466366 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 31076.74000000 USD 2020-04-03 2310.41000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1143.59000000 0.000228908251 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32964.88000000 USD 2020-04-03 1143.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 42.69000000 0.000008545102 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3200.00000000 EUR 3553.89000000 USD 2020-04-01 42.69000000 N N N COMM MORTGAGE TRUST N/A 12630DAX2 70000.00000000 PA USD 73866.92000000 0.014785672720 Long ABS-MBS US N 2 2047-02-10 Fixed 3.95500000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 14550000.00000000 PA 160663.92000000 0.032159512527 Long DBT NUSS JP N 2 2028-09-20 Fixed 2.20000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -667.12000000 -0.00013353498 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 31182.79000000 USD 2020-04-30 -667.12000000 N N N BMW Finance N.V. 5299006ZHG3IXU0PNJ56 N/A 200000000.00000000 PA 1852244.38000000 0.370757020887 Long DBT NUSS NL N 2 2021-01-29 Fixed 0.45400000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -543.41000000 -0.00010877240 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14183.10000000 USD 11000.00000000 GBP 2020-04-03 -543.41000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 3939.46000000 0.000788547380 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 562378.79000000 USD 5940000.00000000 NOK 2020-05-26 3939.46000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 573.32000000 0.000114759379 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14213.01000000 USD 2020-04-03 573.32000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -861.82000000 -0.00017250737 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14497.00000000 USD 23000.00000000 NZD 2020-04-03 -861.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 499.72000000 0.000100027134 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13848.70000000 USD 2020-04-03 499.72000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1056.55000000 0.000211485770 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 13909.59000000 USD 2020-04-03 1056.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 733.71000000 0.000146864062 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14373.40000000 USD 2020-04-03 733.71000000 N N N BOOKING HOLDINGS INC. FXM8FAOHMYDIPD38UZ17 09857LAC2 355000.00000000 PA 390239.91000000 0.078112903472 Long DBT NUSS US N 2 2024-09-23 Fixed 2.37500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 517.42000000 0.000103570079 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 11882.30000000 USD 10000.00000000 GBP 2020-04-03 517.42000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -3440.21000000 -0.00068861432 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 82879.98000000 USD 134000.00000000 NZD 2020-04-03 -3440.21000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 670.59000000 0.000134229561 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1613000.00000000 JPY 15612.91000000 USD 2020-04-03 670.59000000 N N N JOHNSON CONTROLS INTERNATIONAL PUBLIC LIMITED COMPANY 549300XQ6S1GYKGBL205 478375AT5 395000.00000000 PA 424408.84000000 0.084952373917 Long DBT NUSS IE N 2 2025-02-25 Fixed 1.37500000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 10150.93000000 0.002031874738 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 355627.69000000 USD 617000.00000000 NZD 2020-04-03 10150.93000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 178900.89000000 0.035809940484 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4859000.00000000 AUD 3152849.61000000 USD 2020-04-03 178900.89000000 N N N Ireland 549300KXBEJAOJ9OVF93 N/A 205000.00000000 PA 225393.06000000 0.045116109060 Long DBT NUSS IE N 2 2020-04-18 Fixed 4.50000000 N N N N N N Canada 4BFD7AQU0A75QLAHK410 135087E67 7545000.00000000 PA 5575141.95000000 1.115955887207 Long DBT NUSS CA N 2 2026-06-01 Fixed 1.50000000 N N N N N N Carnival Corporation F1OF2ZSX47CR0BCWA982 143658BB7 180000.00000000 PA 150498.70000000 0.030124777411 Long DBT NUSS PA N 2 2021-02-22 Fixed 1.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 495.06000000 0.000099094359 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14759.77000000 USD 2020-04-03 495.06000000 N N N Republica Portuguesa 549300P6U1FJ3IMP7K42 N/A 199371.00000000 PA 241087.15000000 0.048257537975 Long DBT NUSS PT Y 2 2029-06-15 Fixed 1.95000000 N N N N N N Nederlandse Waterschapsbank N.V. JLP5FSPH9WPSHY3NIM24 N/A 225000.00000000 PA 258101.81000000 0.051663300585 Long DBT NUSS NL N 2 2027-01-18 Fixed 0.62500000 N N N N N N EURO N/A N/A 1.00000000 NC -11919.63000000 -0.00238590898 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 454125.79000000 USD 403000.00000000 EUR 2020-04-03 -11919.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2092.23000000 0.000418794069 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 32303.09000000 USD 2020-04-03 2092.23000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 88917.10000000 0.017798212513 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 76749000.00000000 THB 2427613.47000000 USD 2020-04-03 88917.10000000 N N N ANGLO AMERICAN CAPITAL PLC TINT358G1SSHR3L3PW36 N/A 220000.00000000 PA 213788.43000000 0.042793252479 Long DBT NUSS GB N 2 2025-09-18 Fixed 1.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 4156.34000000 0.000831959461 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 349000.00000000 NOK 37392.43000000 USD 2020-04-03 4156.34000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 503.76000000 0.000100835807 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14974.36000000 USD 2020-04-03 503.76000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -727.76000000 -0.00014567307 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14757.90000000 USD 139000.00000000 SEK 2020-04-03 -727.76000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 57.27000000 0.000011463527 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13582.42000000 USD 11000.00000000 GBP 2020-04-03 57.27000000 N N N ENGIE S.A. LAXUQCHT4FH58LRZDY46 N/A 500000.00000000 PA 541081.01000000 0.108306217847 Long DBT NUSS FR N 2 2169-02-28 Fixed 3.25000000 N N N N N N ABN AMRO Bank N.V. BFXS5XCH7N0Y05NIXW11 N/A 300000.00000000 PA 364751.97000000 0.073011075223 Long DBT NUSS NL N 2 2033-01-10 Fixed 1.25000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1057.49000000 -0.00021167392 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 37016.69000000 USD 29000.00000000 GBP 2020-04-03 -1057.49000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 562.96000000 0.000112685655 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 31479.08000000 USD 31000.00000000 CHF 2020-04-03 562.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 719.12000000 0.000143943634 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 20000.00000000 NZD 12575.80000000 USD 2020-04-03 719.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 194.54000000 0.000038940364 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15016.43000000 USD 2020-04-03 194.54000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -789916.22000000 -0.15811465681 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11341000.00000000 GBP 13277475.75000000 USD 2020-04-30 -789916.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5917.76000000 0.001184536496 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1175000.00000000 CAD 831698.84000000 USD 2020-04-24 5917.76000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -789.79000000 -0.00015808939 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14122.32000000 USD 140000.00000000 NOK 2020-04-03 -789.79000000 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -23074.91000000 -0.00461882081 N/A DFE RU N 2 CITI N/A 612680.50000000 USD 46142500.00000000 RUB 2020-04-14 -23074.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 877.19000000 0.000175583931 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 NZD 13326.71000000 USD 2020-04-03 877.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1214.17000000 0.000243035992 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 31425.03000000 USD 2020-04-03 1214.17000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -50.49000000 -0.00001010639 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 28506.53000000 USD 48000.00000000 NZD 2020-04-03 -50.49000000 N N N EURO N/A N/A 1.00000000 NC -220.59000000 -0.00004415469 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14485.30000000 USD 13000.00000000 EUR 2020-04-03 -220.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1051.97000000 0.000210569008 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 228000.00000000 SEK 24065.44000000 USD 2020-04-03 1051.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 751.39000000 0.000150403003 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1460000.00000000 JPY 14276.36000000 USD 2020-04-03 751.39000000 N N N TEMASEK FINANCIAL (I) LIMITED 549300XMGMDF3VRJMF12 87973PAC8 495000.00000000 PA USD 505340.54000000 0.101152177956 Long DBT NUSS SG Y 2 2023-01-23 Fixed 2.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -209.91000000 -0.00004201692 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 30575.66000000 USD 2020-04-03 -209.91000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -79076.55000000 -0.01582846541 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1334128000.00000000 JPY 12300078.37000000 USD 2020-04-30 -79076.55000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 924.67000000 0.000185087830 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 17453.19000000 USD 31000.00000000 NZD 2020-04-03 924.67000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 820000.00000000 PA 647734.90000000 0.129654739105 Long DBT NUSS AU N 2 2027-04-21 Fixed 4.75000000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC 83874.91000000 0.016788935679 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 5314588.99000000 USD 581804000.00000000 JPY 2020-04-30 83874.91000000 N N N Federal National Mortgage Association N/A 30711XDP6 36616.82720000 PA USD 36269.77000000 0.007259987946 Long DBT USGA US N 2 2029-04-25 Floating 2.92674960 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 400000.00000000 PA 754168.24000000 0.150959113672 Long DBT NUSS GB N 2 2044-01-22 Fixed 3.25000000 N N N N N N PROLOGIS, L.P. GL16H1DHB0QSHP25F723 74340XAZ4 115000.00000000 PA 130235.41000000 0.026068748350 Long DBT NUSS US N 2 2022-01-18 Fixed 3.00000000 N N N N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 320000.00000000 PA 433576.70000000 0.086787471110 Long DBT NUSS BE Y 2 2050-06-22 Fixed 1.70000000 N N N N N N Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 N/A 465000.00000000 PA USD 462289.98000000 0.092534903936 Long DBT NUSS SE N 2 2168-05-13 Fixed 5.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 334.03000000 0.000066861570 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 31997.24000000 USD 46000.00000000 CAD 2020-04-30 334.03000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 1221.79000000 0.000244561260 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14015.38000000 USD 160000.00000000 NOK 2020-04-03 1221.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -70667.67000000 -0.01414529048 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 5806900.00000000 CHF 5940696.36000000 USD 2020-04-24 -70667.67000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1657.23000000 0.000331721701 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 90000.00000000 AUD 56741.69000000 USD 2020-04-03 1657.23000000 N N N LSTAR COMMERCIAL MORTGAGE TRUST N/A 50219QAC8 158736.00000000 PA USD 159343.77000000 0.031895262903 Long ABS-MBS US N 2 2049-03-10 Fixed 2.57900000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -68.87000000 -0.00001378545 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14685.27000000 USD 2020-04-03 -68.87000000 N N N SOUTH AFRICAN RAND N/A N/A 1.00000000 NC -19347.81000000 -0.00387278075 N/A DFE ZA N 2 GOLDMAN, SACHS & CO. N/A 147436.93000000 USD 2288000.00000000 ZAR 2020-04-03 -19347.81000000 N N N ING Groep N.V. 549300NYKK9MWM7GGW15 456837AP8 325000.00000000 PA USD 326568.66000000 0.065368060934 Long DBT NUSS NL N 2 2024-04-09 Fixed 3.55000000 N N N N N N BRK: DEUTSCHE BANK N/A N/A 31000000.00000000 NC 106636.67000000 0.021345074393 N/A DIR XX N 2 BRK: DEUTSCHE BANK N/A Y 2024-09-09 0.00000000 CNY 0.00000000 CNY -31000000.00000000 CNY 106636.67000000 N N N EURO N/A N/A 1.00000000 NC -4323.66000000 -0.00086545129 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 159040.95000000 USD 141000.00000000 EUR 2020-04-03 -4323.66000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 864.42000000 0.000173027807 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13906.77000000 USD 2020-04-03 864.42000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -45.45000000 -0.00000909756 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33116.79000000 USD 3570000.00000000 JPY 2020-04-03 -45.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 71077.97000000 0.014227418742 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 10894896.19000000 ZAR 680569.46000000 USD 2020-04-08 71077.97000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -522.34000000 -0.00010455489 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33593.68000000 USD 3570000.00000000 JPY 2020-04-03 -522.34000000 N N N EURO N/A N/A 1.00000000 NC -177.59000000 -0.00003554754 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14442.30000000 USD 13000.00000000 EUR 2020-04-03 -177.59000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -78.11000000 -0.00001563499 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 30707.46000000 USD 2020-04-03 -78.11000000 N N N BRK: GOLDMAN SACHS N/A N/A 460000.00000000 NC -156160.14000000 -0.03125800726 N/A DIR XX N 2 BRK: GOLDMAN SACHS N/A Y 2047-10-03 0.00000000 GBP 0.00000000 GBP -460000.00000000 GBP -156160.14000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -2481.86000000 -0.00049678488 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 295000.00000000 NOK 25611.68000000 USD 2020-04-03 -2481.86000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -866.38000000 -0.00017342013 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14215.36000000 USD 19000.00000000 CAD 2020-04-03 -866.38000000 N N N BPCE SFH SA 969500T1UBNNTYVWOS04 N/A 200000.00000000 PA 231834.27000000 0.046405422639 Long DBT NUSS FR N 2 2021-09-13 Fixed 3.75000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -460.74000000 -0.00009222465 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 31460.05000000 USD 25000.00000000 GBP 2020-04-03 -460.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 155.84000000 0.000031193926 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 14977.73000000 USD 2020-04-03 155.84000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -3044.80000000 -0.00060946654 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 146391.00000000 USD 1417500.00000000 SEK 2020-05-26 -3044.80000000 N N N Volkswagen International Finance N.V. 5299004PWNHKYTR23649 N/A 600000.00000000 PA 635175.61000000 0.127140791704 Long DBT NUSS NL N 2 2023-10-02 Fixed 1.12500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1276.42000000 0.000255496349 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 29722.89000000 USD 25000.00000000 GBP 2020-04-03 1276.42000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 742.35000000 0.000148593499 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 32000.00000000 EUR 35855.49000000 USD 2020-04-03 742.35000000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 N/A 125000.00000000 PA 107315.63000000 0.021480979347 Long DBT NUSS US N 2 2024-07-19 Fixed 1.74400000 N N N N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 052528AH9 200000.00000000 PA USD 206470.63000000 0.041328475068 Long DBT NUSS AU Y 2 2024-03-19 Fixed 4.50000000 N N N N N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 N/A 490000.00000000 PA 615969.01000000 0.123296276437 Long DBT NUSS FR N 2 2026-01-23 Fixed 3.37500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC 48.22000000 0.000009652022 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 28045.32000000 USD 295000.00000000 NOK 2020-04-03 48.22000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -2453.78000000 -0.00049116421 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 33668.31000000 USD 51000.00000000 AUD 2020-04-03 -2453.78000000 N N N Konungariket Sverige ERE94C0BSULG2RM19605 N/A 1725000.00000000 PA 188832.98000000 0.037798010816 Long DBT NUSS SE Y 2 2026-11-12 Fixed 1.00000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -2042.57000000 -0.00040885380 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 17374.98000000 USD 161000.00000000 NOK 2020-04-03 -2042.57000000 N N N COMPAGNIE DE FINANCEMENT FONCIER S.A. DKGVVH5FKILG8R13CO13 N/A 387000.00000000 PA 625673.36000000 0.125238760882 Long DBT NUSS FR N 2 2027-01-26 Fixed 5.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 514.51000000 0.000102987595 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14779.22000000 USD 2020-04-03 514.51000000 N N N AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 N/A 300000.00000000 PA 357533.82000000 0.071566244390 Long DBT NUSS AU N 2 2022-07-18 Fixed 3.62500000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 701.13000000 0.000140342642 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12151.91000000 USD 21000.00000000 AUD 2020-04-03 701.13000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC 467.73000000 0.000093623812 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32140.42000000 USD 3520000.00000000 JPY 2020-04-03 467.73000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -225.68000000 -0.00004517354 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32833.83000000 USD 3520000.00000000 JPY 2020-04-03 -225.68000000 N N N Odebrecht Finance, Ltd. N/A G6710EAL4 280000.00000000 PA USD 11202.80000000 0.002242423731 Long DBT NUSS KY N 2 2042-06-26 Fixed 7.12500000 Y N N N N N INTERNATIONAL BUSINESS MACHINES CORPORATION VGRQXHF3J8VDLUA7XE92 459200JX0 990000.00000000 PA USD 1015280.32000000 0.203224969055 Long DBT CORP US N 2 2022-05-13 Fixed 2.85000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 913.71000000 0.000182894007 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 31699.28000000 USD 2020-04-03 913.71000000 N N N Province of Ontario C7PVKCRGLG18EBQGZV36 N/A 100000000.00000000 PA 928994.60000000 0.185953470306 Long DBT NUSS CA N 2 2020-06-08 Fixed 1.65000000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1650.69000000 -0.00033041261 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14411.82000000 USD 134000.00000000 NOK 2020-04-03 -1650.69000000 N N N NEW RUSSIAN ROUBLE N/A N/A 1.00000000 NC -131831.68000000 -0.02638826791 N/A DFE RU N 2 CITI N/A 1740628.86000000 USD 126508905.50000000 RUB 2020-05-20 -131831.68000000 N N N Japan 353800WZS8AXZXFUC241 N/A 423250000.00000000 PA 5345797.86000000 1.070048914842 Long DBT NUSS JP N 2 2039-03-20 Fixed 2.30000000 N N N N N N European Investment Bank 5493006YXS1U5GIHE750 N/A 397500000.00000000 PA 4142085.72000000 0.829106233707 Long DBT NUSS XX N 2 2026-01-26 Fixed 1.90000000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 N/A 365000.00000000 PA 404404.80000000 0.080948237986 Long DBT NUSS US N 2 2026-09-05 Fixed 1.80000000 N N N N N N Repubblica Italiana 815600DE60799F5A9309 N/A 961000.00000000 PA 1243942.31000000 0.248995407944 Long DBT NUSS IT Y 2 2030-03-01 Fixed 3.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 18852.26000000 0.003773588318 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 501000.00000000 EUR 568592.42000000 USD 2020-04-03 18852.26000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 731.27000000 0.000146375656 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14226.02000000 USD 148000.00000000 SEK 2020-04-30 731.27000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -564.42000000 -0.00011297789 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 42000.00000000 CAD 28943.86000000 USD 2020-04-03 -564.42000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -421.45000000 -0.00008436011 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13770.43000000 USD 19000.00000000 CAD 2020-04-03 -421.45000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -235.38000000 -0.00004711515 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 14521.66000000 USD 2020-04-03 -235.38000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -731.68000000 -0.00014645772 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14660.89000000 USD 138000.00000000 SEK 2020-04-03 -731.68000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -500.94000000 -0.00010027133 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33109.09000000 USD 3520000.00000000 JPY 2020-04-03 -500.94000000 N N N BANQUE DE MONTREAL NQQ6HPCNCCU6TUTQYE16 N/A 235000.00000000 PA 262577.95000000 0.052559273249 Long DBT NUSS CA N 2 2022-09-21 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1002.71000000 -0.00020070881 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 288000.00000000 NOK 26424.20000000 USD 2020-04-03 -1002.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1735.56000000 0.000347400732 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 3468000.00000000 MXN 148972.27000000 USD 2020-04-30 1735.56000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -796.13000000 -0.00015935844 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 18155.74000000 USD 14000.00000000 GBP 2020-04-03 -796.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 76.18000000 0.000015248673 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 134000.00000000 NOK 12837.31000000 USD 2020-04-03 76.18000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1023.78000000 -0.00020492631 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 35743.00000000 USD 28000.00000000 GBP 2020-04-03 -1023.78000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -14038.79000000 -0.00281009353 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 145655.35000000 USD 1380500.00000000 NOK 2020-05-26 -14038.79000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1851.80000000 -0.00037066807 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 48979.61000000 USD 77000.00000000 AUD 2020-04-03 -1851.80000000 N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 1510000.00000000 PA 150758.42000000 0.030176764619 Long DBT NUSS NO Y 2 2030-08-19 Fixed 1.37500000 N N N N N N Koninkrijk der Nederlanden 254900G14ALGVKORFN62 N/A 190000.00000000 PA 350442.08000000 0.070146716587 Long DBT NUSS NL Y 2 2047-01-15 Fixed 2.75000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 N/A 250000.00000000 PA 293255.88000000 0.058699962920 Long DBT NUSS CH N 2 2025-09-12 Fixed 2.12500000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540UAC3 170000.00000000 PA 151293.42000000 0.030283853623 Long DBT NUSS US N 2 2024-03-06 Fixed 3.02100000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1361.26000000 0.000272478463 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 309000.00000000 SEK 32550.57000000 USD 2020-04-03 1361.26000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -181.74000000 -0.00003637823 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14941.67000000 USD 21000.00000000 CAD 2020-04-30 -181.74000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -607.68000000 -0.00012163709 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14247.37000000 USD 11000.00000000 GBP 2020-04-03 -607.68000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -829.89000000 -0.00016611606 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 18189.50000000 USD 14000.00000000 GBP 2020-04-03 -829.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2477.26000000 0.000495864124 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 456000.00000000 NOK 45903.21000000 USD 2020-04-03 2477.26000000 N N N MALAYSIAN RINGGIT N/A N/A 1.00000000 NC -52137.13000000 -0.01043609968 N/A DFE CN N 2 BNP PARIBAS N/A 2767790.84000000 USD 19247258.75000000 CNY 2020-04-16 -52137.13000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 570.53000000 0.000114200915 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 46000.00000000 CAD 32901.80000000 USD 2020-04-30 570.53000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 11409.09000000 0.002283716050 N/A DFE XX N 2 JP MORGAN N/A 245618.31000000 USD 6054000.00000000 MXN 2020-04-30 11409.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -1130.64000000 -0.00022631609 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 352000.00000000 NOK 32422.63000000 USD 2020-04-30 -1130.64000000 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967JM4 185000.00000000 PA USD 179218.75000000 0.035873565364 Long DBT CORP US N 2 2168-11-15 Fixed 5.95000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3086.25000000 0.000617763437 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 168000.00000000 EUR 187430.26000000 USD 2020-04-03 3086.25000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -853.62000000 -0.00017086601 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14202.60000000 USD 19000.00000000 CAD 2020-04-03 -853.62000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1907.42000000 -0.00038180132 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 17239.83000000 USD 161000.00000000 NOK 2020-04-03 -1907.42000000 N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 16455000.00000000 PA 645493.31000000 0.129206048188 Long DBT NUSS TH N 2 2029-06-22 Fixed 4.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 389.21000000 0.000077906750 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 27000.00000000 CAD 19358.82000000 USD 2020-04-03 389.21000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -10421.58000000 -0.00208604976 N/A DFE XX N 2 JP MORGAN N/A 132701.20000000 USD 2869000.00000000 MXN 2020-04-03 -10421.58000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 798.62000000 0.000159856860 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14438.31000000 USD 2020-04-03 798.62000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 2061000.00000000 PA 3603295.66000000 0.721258586990 Long DBT NUSS XX N 2 2045-05-25 Fixed 3.25000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 75.56000000 0.000015124570 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 28973.31000000 USD 49000.00000000 NZD 2020-04-03 75.56000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 449.54000000 0.000089982786 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 15953.75000000 USD 2020-04-03 449.54000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -816.88000000 -0.00016351189 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14165.86000000 USD 19000.00000000 CAD 2020-04-03 -816.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 990.09000000 0.000198182714 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1944000.00000000 JPY 18998.68000000 USD 2020-04-03 990.09000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 852000.00000000 PA 1546130.81000000 0.309483380923 Long DBT NUSS ES Y 2 2040-07-30 Fixed 4.90000000 N N N N N N KBC GROEP N.V. 213800X3Q9LSAKRUWY91 N/A 200000.00000000 PA 171947.29000000 0.034418063662 Long DBT NUSS BE N 2 2168-10-24 Fixed 4.25000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 248.85000000 0.000049811399 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14708.44000000 USD 148000.00000000 SEK 2020-04-30 248.85000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -1801.79000000 -0.00036065775 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 40928.84000000 USD 66000.00000000 NZD 2020-04-03 -1801.79000000 N N N ALFA, S.A.B. de C.V. 549300ZCGJ6T8YDJ4M34 015398AB6 205000.00000000 PA USD 192187.50000000 0.038469472884 Long DBT NUSS MX Y 2 2024-03-25 Fixed 5.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1211.63000000 0.000242527570 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 AUD 14676.72000000 USD 2020-04-03 1211.63000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -8.56000000 -0.00000171342 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15026.39000000 USD 2020-04-03 -8.56000000 N N N DH Europe Finance S.a r.l. 2221002WRBW5MJ8VL618 23290YAE6 335000.00000000 PA 354017.78000000 0.070862451451 Long DBT NUSS LU N 2 2027-06-30 Fixed 1.20000000 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 58550000.00000000 PA 639030.50000000 0.127912411015 Long DBT NUSS JP N 2 2033-03-20 Fixed 1.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -936.25000000 -0.00018740575 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 54000.00000000 AUD 32111.88000000 USD 2020-04-30 -936.25000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1098.99000000 0.000219980831 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 31333.53000000 USD 2020-04-03 1098.99000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 777.02000000 0.000155533267 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1911000.00000000 JPY 18479.91000000 USD 2020-04-03 777.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 538.74000000 0.000107837626 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32360.03000000 USD 2020-04-03 538.74000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1666.77000000 0.000333631288 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 65000.00000000 CAD 47334.35000000 USD 2020-04-03 1666.77000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 1288.62000000 0.000257938378 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 29710.69000000 USD 25000.00000000 GBP 2020-04-03 1288.62000000 N N N CARNIVAL PLC 4DR1VPDQMHD3N3QW8W95 N/A 316000.00000000 PA 175771.68000000 0.035183577899 Long DBT NUSS GB N 2 2029-10-28 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1586.25000000 0.000317513893 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 32585.56000000 USD 2020-04-03 1586.25000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 3529.01000000 0.000706389096 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 1300245.65000000 USD 2130300.00000000 AUD 2020-04-23 3529.01000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1892.96000000 -0.00037890691 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 30659.29000000 USD 47000.00000000 AUD 2020-04-03 -1892.96000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 544.12000000 0.000108914521 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 31543.43000000 USD 2020-04-03 544.12000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -11650.12000000 -0.00233196214 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 254712.09000000 USD 410000.00000000 NZD 2020-04-03 -11650.12000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -124.30000000 -0.00002488067 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14635.63000000 USD 2020-04-30 -124.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 11891.70000000 0.002380318338 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2761000.00000000 MXN 129568.26000000 USD 2020-04-03 11891.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1377.25000000 0.000275679123 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 32162.82000000 USD 2020-04-03 1377.25000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -156.70000000 -0.00003136606 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13505.68000000 USD 19000.00000000 CAD 2020-04-03 -156.70000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 858.12000000 0.000171766759 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2214000.00000000 JPY 21367.91000000 USD 2020-04-03 858.12000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -35935.10000000 -0.00719299827 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 604462.97000000 USD 959000.00000000 NZD 2020-04-03 -35935.10000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -37.78000000 -0.00000756228 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13370.31000000 USD 140000.00000000 NOK 2020-04-03 -37.78000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2127.12000000 0.000425777874 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 161000.00000000 NOK 17459.53000000 USD 2020-04-03 2127.12000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -671.33000000 -0.00013437768 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 14311.02000000 USD 11000.00000000 GBP 2020-04-03 -671.33000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 620.78000000 0.000124259274 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 47738.14000000 USD 39000.00000000 GBP 2020-04-03 620.78000000 N N N Reino de Espana 9598007A56S18711AH60 N/A 2335000.00000000 PA 2557946.81000000 0.512014909644 Long DBT NUSS ES N 2 2023-04-30 Fixed 0.00000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -523.09000000 -0.00010470502 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 13376.13000000 USD 21000.00000000 AUD 2020-04-03 -523.09000000 N N N GATWICK FUNDING LIMITED 213800NK8FA3GKS6X167 N/A 250000.00000000 PA 335968.60000000 0.067249612736 Long DBT NUSS JE N 2 2024-01-23 Fixed 5.25000000 N N N N N N Japan N/A N/A 23.00000000 NC 32505303.13000000 6.506468304970 N/A DIR JP N 1 GOLDMAN, SACHS & CO. N/A Long Japan Govt. Bond Futures Japan Govt 10 Year Bond Future (TSE) Jun 2020 2020-06-18 34551285.49000000 JPY -2045982.36000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 5412.30000000 0.001083360406 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 458612.45000000 EUR 508725.03000000 USD 2020-04-08 5412.30000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -206.89000000 -0.00004141241 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14292.44000000 USD 2020-04-30 -206.89000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -381.21000000 -0.00007630541 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 66532.53000000 USD 64000.00000000 CHF 2020-04-03 -381.21000000 N N N NOBLE ENERGY, INC. 02VFQXG2D1LR5ZH3K186 655044AQ8 205000.00000000 PA USD 119786.95000000 0.023977318113 Long DBT CORP US N 2 2029-10-15 Fixed 3.25000000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -4801.06000000 -0.00096101071 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 64169.87000000 USD 97000.00000000 AUD 2020-04-03 -4801.06000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -4182.74000000 -0.00083724385 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 143593.75000000 USD 919000.00000000 TRY 2020-04-03 -4182.74000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 579.87000000 0.000116070468 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14377.42000000 USD 148000.00000000 SEK 2020-04-30 579.87000000 N N N SWISS FRANC N/A N/A 1.00000000 NC -194.10000000 -0.00003885229 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 36370.60000000 USD 35000.00000000 CHF 2020-04-03 -194.10000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -237.11000000 -0.00004746144 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33308.45000000 USD 3570000.00000000 JPY 2020-04-03 -237.11000000 N N N Bundesrepublik Deutschland N/A N/A 24.00000000 NC 5527502.55000000 1.106420081775 N/A DIR DE N 1 GOLDMAN, SACHS & CO. N/A Long Germany Govt. Bond Futures EURO BUXL 30Y BND Jun 2020 2020-06-11 5837234.73000000 EUR -309732.18000000 N N N SKY LIMITED 2138003TS48MQKF4BZ29 N/A 50000.00000000 PA 78470.51000000 0.015707156587 Long DBT NUSS GB N 2 2027-05-21 Fixed 6.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 481.97000000 0.000096474181 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 14000.00000000 CHF 14952.57000000 USD 2020-04-03 481.97000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 449.20000000 0.000089914730 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15271.09000000 USD 2020-04-03 449.20000000 N N N TURKIYE VAKIFLAR BANKASI TURK ANONIM ORTAKLIGI 789000KAIHOLSQKQ9858 N/A 265000.00000000 PA 279082.04000000 0.055862836918 Long DBT NUSS TR N 2 2021-05-04 Fixed 2.37500000 N N N N N N J.P. MORGAN MORTGAGE TRUST N/A 466247FZ1 31552.41910000 PA USD 29459.29000000 0.005896758935 Long ABS-MBS US N 2 2034-12-25 Floating 3.84509160 N N N N N N SKY LIMITED 2138003TS48MQKF4BZ29 N/A 275000.00000000 PA 322365.89000000 0.064526807748 Long DBT NUSS GB N 2 2025-11-17 Fixed 2.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 338.03000000 0.000067662235 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13380.38000000 USD 2020-04-03 338.03000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -2758.44000000 -0.00055214690 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 43507.97000000 USD 58000.00000000 CAD 2020-04-03 -2758.44000000 N N N Royaume de Belgique 549300SZ25JZFHRHWD76 N/A 310000.00000000 PA 410239.35000000 0.082116118639 Long DBT NUSS BE Y 2 2047-06-22 Fixed 1.60000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -130.91000000 -0.00002620377 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 75000.00000000 NZD 44301.30000000 USD 2020-04-30 -130.91000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -1899.85000000 -0.00038028606 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 30666.18000000 USD 47000.00000000 AUD 2020-04-03 -1899.85000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1041.34000000 -0.00020844124 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 32040.65000000 USD 25000.00000000 GBP 2020-04-03 -1041.34000000 N N N Japan 353800WZS8AXZXFUC241 N/A 50000000.00000000 PA 513667.73000000 0.102819001292 Long DBT NUSS JP N 2 2035-12-20 Fixed 1.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 13291.22000000 0.002660455166 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2428000.00000000 ZAR 149217.96000000 USD 2020-04-03 13291.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -11539.14000000 -0.00230974768 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 6054000.00000000 MXN 246488.34000000 USD 2020-04-03 -11539.14000000 N N N Groupama Assurances Mutuelles 969500P4HYOPYINEPE06 N/A 400000.00000000 PA 475657.53000000 0.095210637802 Long DBT NUSS FR N 2 2027-01-23 Fixed 6.00000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAP6 270000.00000000 PA USD 266486.87000000 0.053341707548 Long DBT NUSS DK Y 2 2023-09-12 Fixed 3.87500000 N N N N N N Heineken N.V. 724500K5PTPSST86UQ23 N/A 335000.00000000 PA 363018.30000000 0.072664052804 Long DBT NUSS NL N 2 2026-05-04 Fixed 1.00000000 N N N N N N Bundesrepublik Deutschland N/A N/A 22.00000000 NC 4164302.09000000 0.833553203689 N/A DIR DE N 1 MORGAN STANLEY & CO, INC N/A Long Germany Govt. Bond Futures Euro-Bund Future Jun 2020 2020-06-11 4289799.98000000 EUR -125497.89000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -124.58000000 -0.00002493672 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 308000.00000000 SEK 30963.80000000 USD 2020-04-03 -124.58000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -883.81000000 -0.00017690903 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14232.79000000 USD 19000.00000000 CAD 2020-04-03 -883.81000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2331.49000000 0.000466685873 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 31159.35000000 USD 27000.00000000 GBP 2020-04-30 2331.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 8532.85000000 0.001707989550 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 193000.00000000 CAD 144130.42000000 USD 2020-04-03 8532.85000000 N N N SWISS FRANC N/A N/A 1.00000000 NC 29.03000000 0.000005810829 N/A DFE CH N 2 GOLDMAN, SACHS & CO. N/A 9291.97000000 USD 9000.00000000 CHF 2020-04-30 29.03000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 3888.72000000 0.000778390939 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2428000.00000000 ZAR 139288.87000000 USD 2020-04-30 3888.72000000 N N N Government of the Republic of Korea 549300O0QCVSQGPGDT58 N/A 361670000.00000000 PA 317580.16000000 0.063568865580 Long DBT NUSS KR N 2 2049-03-10 Fixed 2.00000000 N N N N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211KAY6 149000.00000000 PA USD 138584.90000000 0.027740035396 Long DBT CORP US Y 2 2027-12-01 Fixed 4.00000000 N N N N N N Kerajaan Malaysia 254900GSIL471JOBYY43 EK7974596 3440000.00000000 PA 828180.00000000 0.165773778489 Long DBT NUSS MY N 2 2025-09-15 Fixed 3.95500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -6550.38000000 -0.00131116574 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 70451.28000000 USD 671000.00000000 NOK 2020-04-03 -6550.38000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -35988.86000000 -0.00720375921 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 952450.97000000 USD 738900.00000000 GBP 2020-04-24 -35988.86000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -227947.62000000 -0.04562744604 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 4693669.41000000 USD 3600500.00000000 GBP 2020-04-24 -227947.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -654.96000000 -0.00013110096 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 31166.33000000 USD 2020-04-03 -654.96000000 N N N New Zealand 549300237GPHG2AI7C34 N/A 853000.00000000 PA 588640.14000000 0.117825955925 Long DBT NUSS NZ N 2 2029-04-20 Fixed 3.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -391.09000000 -0.00007828306 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1584000.00000000 JPY 14306.59000000 USD 2020-04-30 -391.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 10582.55000000 0.002118270544 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 46215442.00000000 TWD 1553026.95000000 USD 2020-05-21 10582.55000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 666.85000000 0.000133480939 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1620000.00000000 JPY 15674.01000000 USD 2020-04-03 666.85000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 673.00000000 0.000134711962 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14628.24000000 USD 25000.00000000 AUD 2020-04-03 673.00000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC -8067.26000000 -0.00161479409 N/A DFE XX N 2 JP MORGAN N/A 130346.88000000 USD 2869000.00000000 MXN 2020-04-03 -8067.26000000 N N N WEIBO CORPORATION 549300Q9ID4640FE0422 948596AD3 200000.00000000 PA USD 199938.63000000 0.040020988385 Long DBT NUSS KY N 2 2024-07-05 Fixed 3.50000000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967KH3 100000000.00000000 PA 927086.00000000 0.185571432786 Long DBT CORP US N 2 2021-02-18 Fixed 0.45700000 N N N N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -933.80000000 -0.00018691534 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14398.89000000 USD 22000.00000000 AUD 2020-04-03 -933.80000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 438.48000000 0.000087768946 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13787.46000000 USD 2020-04-03 438.48000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 636.48000000 0.000127401886 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 13000.00000000 EUR 14901.19000000 USD 2020-04-03 636.48000000 N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -741.06000000 -0.00014833528 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 14376.24000000 USD 23000.00000000 NZD 2020-04-03 -741.06000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -21836.95000000 -0.00437102285 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25007000.00000000 CZK 980820.52000000 USD 2020-04-30 -21836.95000000 N N N ANHEUSER-BUSCH INBEV N.V. 5493008H3828EMEXB082 N/A 415000.00000000 PA 457154.35000000 0.091506923558 Long DBT NUSS BE N 2 2025-03-17 Fixed 1.50000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1032.00000000 -0.00020657168 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 17191.30000000 USD 23000.00000000 CAD 2020-04-03 -1032.00000000 N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 N/A 570000.00000000 PA 632930.97000000 0.126691490279 Long DBT NUSS CA N 2 2021-09-17 Fixed 0.75000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 387.26000000 0.000077516425 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 19000.00000000 CAD 13736.24000000 USD 2020-04-03 387.26000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -88.31000000 -0.00001767669 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 CAD 14671.62000000 USD 2020-04-30 -88.31000000 N N N EURO N/A N/A 1.00000000 NC -9394.49000000 -0.00188046089 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 376985.22000000 USD 335000.00000000 EUR 2020-04-03 -9394.49000000 N N N Japan 353800WZS8AXZXFUC241 N/A 113250000.00000000 PA 1051754.76000000 0.210525925052 Long DBT NUSS JP N 2 2021-04-01 Fixed 0.10000000 N N N N N N Freddie Mac N/A 3137G0HF9 23431.42530000 PA USD 23175.00000000 0.004638855461 Long DBT USGA US N 2 2028-05-25 Floating 4.42675080 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 506.01000000 0.000101286181 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 9196.02000000 USD 96000.00000000 SEK 2020-04-30 506.01000000 N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 N/A 285000.00000000 PA 314734.29000000 0.062999218133 Long DBT NUSS NO N 2 2020-09-10 Fixed 2.00000000 N N N N N N BERKSHIRE HATHAWAY INC. 5493000C01ZX7D35SD85 084670BZ0 265000.00000000 PA 286990.39000000 0.057445822575 Long DBT NUSS US N 2 2023-01-17 Fixed 0.62500000 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -904.82000000 -0.00018111452 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 12427.93000000 USD 121000.00000000 NOK 2020-04-03 -904.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -228.92000000 -0.00004582208 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 30000.00000000 NZD 17556.10000000 USD 2020-04-03 -228.92000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2845.50000000 0.000569573385 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 295000.00000000 NOK 30939.04000000 USD 2020-04-03 2845.50000000 N N N CATALENT PHARMA SOLUTIONS, INC. 549300HALRZ339MSTH85 14879EAG3 119000.00000000 PA 120243.05000000 0.024068613991 Long DBT CORP US Y 2 2028-03-01 Fixed 2.37500000 N N N N N N JAPANESE YEN N/A N/A 1.00000000 NC -68.19000000 -0.00001364934 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 32423.49000000 USD 3487000.00000000 JPY 2020-04-30 -68.19000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 885.27000000 0.000177201276 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 23000.00000000 NZD 14520.45000000 USD 2020-04-03 885.27000000 N N N EURO N/A N/A 1.00000000 NC -58.04000000 -0.00001161765 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14322.75000000 USD 13000.00000000 EUR 2020-04-03 -58.04000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 795.60000000 0.000159252358 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 23000.00000000 NZD 14430.78000000 USD 2020-04-03 795.60000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -916.36000000 -0.00018342444 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33987.70000000 USD 3570000.00000000 JPY 2020-04-03 -916.36000000 N N N CRH Funding B.V. 549300XYDB6706OPOS81 N/A 310000.00000000 PA 343652.81000000 0.068787733104 Long DBT NUSS NL N 2 2024-01-09 Fixed 1.87500000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 1717000.00000000 PA 3631678.12000000 0.726939800780 Long DBT NUSS GB N 2 2065-07-22 Fixed 2.50000000 N N N N N N TURKISH LIRA N/A N/A 1.00000000 NC -8101.03000000 -0.00162155371 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 147512.04000000 USD 919000.00000000 TRY 2020-04-03 -8101.03000000 N N N CNP ASSURANCES SA 969500QKVPV2H8UXM738 N/A 200000.00000000 PA 219629.79000000 0.043962496265 Long DBT NUSS FR N 2 2022-10-20 Fixed 1.87500000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC -1077.67000000 -0.00021571328 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 20917.23000000 USD 16000.00000000 GBP 2020-04-03 -1077.67000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 2688.07000000 0.000538061195 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 353296.05000000 USD 286920.45000000 GBP 2020-05-15 2688.07000000 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 N/A 200000000.00000000 PA 1867097.79000000 0.373730173945 Long DBT NUSS US N 2 2020-09-16 Fixed 2.04000000 N N N N N N MEXICAN PESO N/A N/A 1.00000000 NC -61670.57000000 -0.01234437369 N/A DFE MX N 2 MORGAN STANLEY & CO, INC N/A 656721.06000000 USD 14001641.05000000 MXN 2020-04-23 -61670.57000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 N/A 850000.00000000 PA 914308.90000000 0.183013887149 Long DBT NUSS US N 2 2021-05-21 Floating 0.00000360 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1165.50000000 -0.00023329389 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 20135.11000000 USD 27000.00000000 CAD 2020-04-03 -1165.50000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -769.43000000 -0.00015401400 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 47000.00000000 AUD 27996.90000000 USD 2020-04-03 -769.43000000 N N N TURKISH LIRA N/A N/A 1.00000000 NC -2235.11000000 -0.00044739383 N/A DFE TR N 2 MORGAN STANLEY & CO, INC N/A 141646.12000000 USD 919000.00000000 TRY 2020-04-03 -2235.11000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 295.40000000 0.000059129143 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14464.53000000 USD 21000.00000000 CAD 2020-04-30 295.40000000 N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 5375000.00000000 PA 177440.91000000 0.035517701597 Long DBT NUSS TH N 2 2023-06-16 Fixed 3.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 606.00000000 0.000121300815 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14245.69000000 USD 2020-04-03 606.00000000 N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 11951.23000000 0.002392234242 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 217443.64000000 USD 185000.00000000 GBP 2020-04-03 11951.23000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 863.26000000 0.000172795614 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14437.98000000 USD 25000.00000000 AUD 2020-04-03 863.26000000 N N N ISRAELI SHEKEL N/A N/A 1.00000000 NC 30540.07000000 0.006113094736 N/A DFE IL N 2 MORGAN STANLEY & CO, INC N/A 1224107.02000000 USD 4438000.00000000 ILS 2020-04-03 30540.07000000 N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 N/A 100000.00000000 PA 127561.07000000 0.025533435439 Long DBT NUSS GB N 2 2026-01-14 Fixed 3.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1405.11000000 0.000281255758 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 456000.00000000 NOK 44831.06000000 USD 2020-04-03 1405.11000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC 87.08000000 0.000017430486 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 12765.96000000 USD 21000.00000000 AUD 2020-04-03 87.08000000 N N N KfW 549300GDPG70E3MBBU98 N/A 1230000.00000000 PA 765611.28000000 0.153249625371 Long DBT NUSS DE N 2 2021-02-17 Fixed 2.80000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 105301.39000000 0.021077796252 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 8226109000.00000000 JPY 76309342.81000000 USD 2020-04-03 105301.39000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC 587.06000000 0.000117509665 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14370.23000000 USD 148000.00000000 SEK 2020-04-30 587.06000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -900.71000000 -0.00018029184 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 49753.87000000 USD 484000.00000000 SEK 2020-04-03 -900.71000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 247.97000000 0.000049635253 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15282.92000000 USD 2020-04-03 247.97000000 N N N International Bank for Reconstruction and Development ZTMSNXROF84AHWJNKQ93 N/A 1230000.00000000 PA 764195.62000000 0.152966257857 Long DBT NUSS XX N 2 2021-01-13 Fixed 2.80000000 N N N N N N Freddie Mac N/A 3137G0FT1 1240.69850000 PA USD 1237.09000000 0.000247623805 Long DBT USGA US N 2 2027-12-25 Floating 4.22674920 N N N N N N Japan 353800WZS8AXZXFUC241 N/A 193500000.00000000 PA 1816772.41000000 0.363656725665 Long DBT NUSS JP N 2 2026-06-20 Fixed 0.10000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1087.54000000 0.000217688926 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 21000.00000000 AUD 13940.58000000 USD 2020-04-03 1087.54000000 N N N CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 14040HBW4 130000.00000000 PA USD 127349.38000000 0.025491062221 Long DBT CORP US N 2 2028-01-31 Fixed 3.80000000 N N N N N N IMPERIAL BRANDS FINANCE PLC 2138008L3B3MCG1DFS50 N/A 150000.00000000 PA 162972.78000000 0.032621668636 Long DBT NUSS GB N 2 2021-07-27 Fixed 0.50000000 N N N N N N SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC 549300ECJZDA7203MK64 N/A 200000.00000000 PA 235693.38000000 0.047177886652 Long DBT NUSS GB N 2 2035-09-27 Fixed 2.25000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 N/A 200000.00000000 PA 240885.26000000 0.048217126388 Long DBT NUSS IT N 2 2022-12-05 Fixed 3.62500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 35097.79000000 0.007025396972 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 5064000.00000000 TRY 803299.49000000 USD 2020-04-03 35097.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1921.68000000 0.000384655696 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 49000.00000000 NZD 30970.55000000 USD 2020-04-03 1921.68000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 434.29000000 0.000086930249 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 31000.00000000 EUR 34450.15000000 USD 2020-04-03 434.29000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 721.54000000 0.000144428037 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14361.23000000 USD 2020-04-03 721.54000000 N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 N/A 100000.00000000 PA 111358.07000000 0.022290139859 Long DBT NUSS FR N 2 2021-04-27 Fixed 2.25000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 80000.00000000 PA 184015.47000000 0.036833707361 Long DBT NUSS GB N 2 2052-07-22 Fixed 3.75000000 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 N/A 23680000.00000000 PA 3421416.31000000 0.684852459000 Long DBT NUSS CN N 2 2029-01-08 Fixed 3.48000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 14.82000000 0.000002966465 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 4085743.40000000 CNY 576484.66000000 USD 2020-04-16 14.82000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -808.70000000 -0.00016187453 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 14070.97000000 USD 2020-04-03 -808.70000000 N N N MEXICAN PESO N/A N/A 1.00000000 NC 680.91000000 0.000136295278 N/A DFE XX N 2 JP MORGAN N/A 121598.71000000 USD 2869000.00000000 MXN 2020-04-03 680.91000000 N N N State of Israel 213800T8ZHTFZIBYPE21 N/A 925000.00000000 PA 280951.69000000 0.056237077959 Long DBT NUSS IL N 2 2027-03-31 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -330.93000000 -0.00006624105 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 12711.42000000 USD 2020-04-03 -330.93000000 N N N EURO N/A N/A 1.00000000 NC -481.33000000 -0.00009634607 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 14746.04000000 USD 13000.00000000 EUR 2020-04-03 -481.33000000 N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A 810000.00000000 PA 848841.11000000 0.169909437733 Long DBT NUSS US N 2 2027-03-11 Fixed 1.09000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1908.62000000 0.000382041523 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 161000.00000000 NOK 17241.03000000 USD 2020-04-03 1908.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -771.78000000 -0.00015448439 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 12867.91000000 USD 2020-04-03 -771.78000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -872.62000000 -0.00017466917 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14221.60000000 USD 19000.00000000 CAD 2020-04-03 -872.62000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -695.25000000 -0.00013916566 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 14027.78000000 USD 140000.00000000 NOK 2020-04-03 -695.25000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -651.34000000 -0.00013037635 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33361.39000000 USD 3531000.00000000 JPY 2020-04-03 -651.34000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 9756.07000000 0.001952837048 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 874000.00000000 TRY 142340.64000000 USD 2020-04-03 9756.07000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -797.81000000 -0.00015969472 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14146.79000000 USD 19000.00000000 CAD 2020-04-03 -797.81000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -1144.18000000 -0.00022902634 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33576.32000000 USD 3501000.00000000 JPY 2020-04-03 -1144.18000000 N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829BP1 38000.00000000 PA USD 39560.28000000 0.007918637365 Long DBT CORP US N 2 2025-04-01 Fixed 5.65000000 N N N N N N INDONESIA RUPIAH N/A N/A 1.00000000 NC -125186.65000000 -0.02505815642 N/A DFE ID N 2 JP MORGAN N/A 1584991.73000000 USD 23814500800.00000000 IDR 2020-04-22 -125186.65000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -98.68000000 -0.00001975241 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 32000.00000000 EUR 35014.46000000 USD 2020-04-03 -98.68000000 N N N Ireland 549300KXBEJAOJ9OVF93 N/A 670000.00000000 PA 801613.68000000 0.160456094837 Long DBT NUSS IE N 2 2029-05-15 Fixed 1.10000000 N N N N N N COCA-COLA EUROPEAN PARTNERS PLC 549300LTH67W4GWMRF57 N/A 400000.00000000 PA 462668.73000000 0.092610716946 Long DBT NUSS GB N 2 2025-05-07 Fixed 2.37500000 N N N N N N Naturgy Finance B.V. 2138005FTXOJUBQ5J563 N/A 300000.00000000 PA 332118.24000000 0.066478900178 Long DBT NUSS NL N 2 2026-04-19 Fixed 1.25000000 N N N N N N Bundesrepublik Deutschland 529900AQBND3S6YJLY83 N/A 411000.00000000 PA 778032.28000000 0.155735891765 Long DBT NUSS DE N 2 2037-01-04 Fixed 4.00000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1808.42000000 -0.00036198485 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 32019.28000000 USD 43000.00000000 CAD 2020-04-03 -1808.42000000 N N N Republique Francaise 969500KCGF3SUYJHPV70 N/A 195000.00000000 PA 420391.82000000 0.084148301634 Long DBT NUSS FR Y 2 2055-04-25 Fixed 4.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 154523.94000000 0.030930495062 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 88691356.97000000 RUB 1282400.31000000 USD 2020-05-20 154523.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1003.73000000 0.000200912983 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 171000.00000000 SEK 18263.83000000 USD 2020-04-03 1003.73000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 704.71000000 0.000141059237 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 17000.00000000 CHF 18276.15000000 USD 2020-04-03 704.71000000 N N N EDP Finance B.V. 5299007L43AQDFOW5739 N/A 260000.00000000 PA 294494.35000000 0.058947862956 Long DBT NUSS NL N 2 2025-04-22 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 704.10000000 0.000140937136 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 15000.00000000 CHF 16208.31000000 USD 2020-04-03 704.10000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1196.55000000 -0.00023950906 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 12719.66000000 USD 121000.00000000 NOK 2020-04-03 -1196.55000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -23.23000000 -0.00000464986 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14980.52000000 USD 148000.00000000 SEK 2020-04-30 -23.23000000 N N N Freddie Mac N/A 3137G0JJ9 249237.62000000 PA USD 245722.92000000 0.049185463196 Long DBT USGA US N 2 2028-09-25 Floating 7.97675040 N N N N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1999.49000000 -0.00040023064 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 30378.73000000 USD 298000.00000000 NOK 2020-04-03 -1999.49000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1298.15000000 0.000259845964 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 27000.00000000 GBP 34777.40000000 USD 2020-04-03 1298.15000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1964.60000000 -0.00039324683 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 17297.01000000 USD 161000.00000000 NOK 2020-04-03 -1964.60000000 N N N NORWEIGAN KRONE N/A N/A 1.00000000 NC -1080.73000000 -0.00021632579 N/A DFE NO N 2 J P MORGAN CHASE BANK N/A 13841.86000000 USD 134000.00000000 NOK 2020-04-03 -1080.73000000 N N N GE Capital UK Funding Unlimited Company BR7Z6BPTFF652NNO9651 N/A 500000.00000000 PA 629871.79000000 0.126079145345 Long DBT NUSS IE N 2 2020-11-04 Fixed 5.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 376600.06000000 0.075382664306 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 72156000.00000000 EUR 79552350.78000000 USD 2020-04-03 376600.06000000 N N N EURO N/A N/A 1.00000000 NC -9847.72000000 -0.00197118229 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 531421.53000000 USD 475251.72000000 EUR 2020-04-08 -9847.72000000 N N N Kingdom of Thailand 254900PHJ6MSKT6C7026 N/A 11020000.00000000 PA 351747.85000000 0.070408087819 Long DBT NUSS TH N 2 2021-12-17 Fixed 3.65000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 914.41000000 0.000183034123 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 171000.00000000 SEK 18174.51000000 USD 2020-04-03 914.41000000 N N N Caixabank, S.A. 7CUNS533WID6K7DGFI87 N/A 500000.00000000 PA 589201.97000000 0.117938415393 Long DBT NUSS ES N 2 2027-01-11 Fixed 1.25000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 118300.28000000 0.023679736786 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 7775878.20000000 USD 13316000.00000000 NZD 2020-04-03 118300.28000000 N N N Japan 353800WZS8AXZXFUC241 N/A 406050000.00000000 PA 3950407.06000000 0.790738613475 Long DBT NUSS JP N 2 2022-09-20 Fixed 1.90000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -187.79000000 -0.00003758924 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 71000.00000000 NOK 6573.71000000 USD 2020-04-03 -187.79000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 491.41000000 0.000098363752 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 29000.00000000 EUR 32312.70000000 USD 2020-04-03 491.41000000 N N N AUSTRALIAN DOLLAR N/A N/A 1.00000000 NC -889.29000000 -0.00017800594 N/A DFE AU N 2 J P MORGAN CHASE BANK N/A 14354.38000000 USD 22000.00000000 AUD 2020-04-03 -889.29000000 N N N Commonwealth of Australia 213800J6B7JSBDETCB42 N/A 1224000.00000000 PA 972421.80000000 0.194646134984 Long DBT NUSS AU N 2 2047-03-21 Fixed 3.00000000 N N N N N N Volkswagen Financial Services N.V. 529900ZTQC8D1TW6BL41 N/A 630000.00000000 PA 780789.73000000 0.156287840503 Long DBT NUSS NL N 2 2020-04-17 Fixed 1.75000000 N N N N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 5560000.00000000 PA 4240532.36000000 0.848811939584 Long DBT NUSS SG N 2 2024-09-01 Fixed 3.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC -813.14000000 -0.00016276327 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 13855.49000000 USD 22000.00000000 NZD 2020-04-03 -813.14000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -567.65000000 -0.00011362443 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 14496.86000000 USD 138000.00000000 SEK 2020-04-03 -567.65000000 N N N Unilever N.V. 549300TK7G7NZTVM1Z30 N/A 220000.00000000 PA 240771.06000000 0.048194267390 Long DBT NUSS NL N 2 2023-02-14 Fixed 0.37500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1940.09000000 0.000388340759 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 51000.00000000 NZD 32174.63000000 USD 2020-04-03 1940.09000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -22.86000000 -0.00000457580 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 17000.00000000 CHF 17548.58000000 USD 2020-04-03 -22.86000000 N N N Cooperatieve Rabobank U.A. DG3RU1DBUFHT4ZF9WN62 N/A 195000.00000000 PA 263090.42000000 0.052661852505 Long DBT NUSS NL N 2 2027-09-14 Fixed 5.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1860.53000000 0.000372415523 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 25000.00000000 GBP 32859.84000000 USD 2020-04-03 1860.53000000 N N N PRUDENTIAL FINANCIAL, INC. 5PRBRS5FEH7NREC8OR45 744320AL6 199000.00000000 PA USD 193030.00000000 0.038638113045 Long DBT CORP US N 2 2042-09-15 Fixed 5.87500000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 852.97000000 0.000170735902 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 312000.00000000 SEK 32345.09000000 USD 2020-04-03 852.97000000 N N N Q-Park Holding I B.V. 2549003839B7HE3NDP48 N/A 122000.00000000 PA 113976.58000000 0.022814277483 Long DBT NUSS NL Y 2 2027-03-01 Fixed 2.00000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 117.94000000 0.000023607620 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 22000.00000000 NZD 13160.29000000 USD 2020-04-03 117.94000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1143.80000000 0.000228950285 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2240000.00000000 JPY 21894.44000000 USD 2020-04-03 1143.80000000 N N N AT&T INC. 549300Z40J86GGSTL398 N/A 200000.00000000 PA 196372.49000000 0.039307167111 Long DBT CORP US N 2 2168-05-01 Fixed 2.87500000 N N N N N N STATSMINISTERENS KONTOR 549300O6E2WAK3IAXE34 N/A 6879000.00000000 PA 699615.46000000 0.140039482110 Long DBT NUSS NO Y 2 2027-02-17 Fixed 1.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC 70.23000000 0.000014057683 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 13278.75000000 USD 19000.00000000 CAD 2020-04-03 70.23000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -838.01000000 -0.00016774141 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14186.99000000 USD 19000.00000000 CAD 2020-04-03 -838.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 620.37000000 0.000124177206 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 15442.26000000 USD 2020-04-03 620.37000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -644.02000000 -0.00012891114 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 40000.00000000 EUR 43286.89000000 USD 2020-04-30 -644.02000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 569.39000000 0.000113972725 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1593000.00000000 JPY 15326.43000000 USD 2020-04-03 569.39000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 1798.75000000 0.000360049245 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 305000.00000000 SEK 32584.32000000 USD 2020-04-03 1798.75000000 N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 530000.00000000 PA USD 519133.83000000 0.103913130648 Long DBT NUSS IT Y 2 2024-06-26 Fixed 5.01700000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 583.17000000 0.000116731017 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 11000.00000000 GBP 14222.86000000 USD 2020-04-03 583.17000000 N N N FEDEX CORPORATION 549300E707U7WNPZN687 31428XBT2 108000.00000000 PA 116925.17000000 0.023404486019 Long DBT CORP US N 2 2022-05-13 Fixed 0.70000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 19254.76000000 0.003854155279 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 2288000.00000000 ZAR 147343.88000000 USD 2020-04-03 19254.76000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 14.52000000 0.000002906415 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1911000.00000000 JPY 17717.41000000 USD 2020-04-03 14.52000000 N N N Canada 4BFD7AQU0A75QLAHK410 135087XW9 816000.00000000 PA 916160.44000000 0.183384503177 Long DBT NUSS XX N 2 2037-06-01 Fixed 5.00000000 N N N N N N NEW ZEALAND DOLLAR N/A N/A 1.00000000 NC 40321.62000000 0.008071032024 N/A DFE NZ N 2 MORGAN STANLEY & CO, INC N/A 760643.04000000 USD 1352000.00000000 NZD 2020-04-30 40321.62000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD -930.87000000 -0.00018632886 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 12000.00000000 GBP 13948.80000000 USD 2020-04-03 -930.87000000 N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 N/A 981000.00000000 PA 1419385.65000000 0.284113263221 Long DBT NUSS GB N 2 2047-07-22 Fixed 1.50000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 575.88000000 0.000115271805 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1623000.00000000 JPY 15610.83000000 USD 2020-04-03 575.88000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 44.22000000 0.000008851356 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1261.01000000 BRL 287.35000000 USD 2020-04-02 44.22000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2975.87000000 0.000595669074 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 308000.00000000 NOK 32307.43000000 USD 2020-04-03 2975.87000000 N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 N/A 304000.00000000 PA 345607.47000000 0.069178990287 Long DBT NUSS US N 2 2026-10-23 Fixed 1.75000000 N N N N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -717.01000000 -0.00014352128 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 14065.99000000 USD 19000.00000000 CAD 2020-04-03 -717.01000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 111.91000000 0.000022400617 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1600000.00000000 JPY 14933.80000000 USD 2020-04-03 111.91000000 N N N Republic of Singapore 549300ZSV6VOGFH1ER70 N/A 150000.00000000 PA 106147.77000000 0.021247213058 Long DBT NUSS SG N 2 2021-10-01 Fixed 1.25000000 N N N N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 15.51000000 0.000003104580 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 43000.00000000 CAD 30226.37000000 USD 2020-04-03 15.51000000 N N N WESTERN MIDSTREAM OPERATING, LP L6D8A6MLSY454J2JXJ60 958667AC1 415000.00000000 PA USD 180666.81000000 0.036163418268 Long DBT CORP US N 2 2030-02-01 Fixed 4.05000000 N N N N N N BRITISH STERLING POUND N/A N/A 1.00000000 NC 793555.25000000 0.158843068213 N/A DFE GB N 2 J P MORGAN CHASE BANK N/A 13268970.00000000 USD 11341000.00000000 GBP 2020-04-03 793555.25000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 552.62000000 0.000110615935 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 1605000.00000000 JPY 15420.83000000 USD 2020-04-03 552.62000000 N N N EURO N/A N/A 1.00000000 NC -569.11000000 -0.00011391667 N/A DFE XX N 2 J P MORGAN CHASE BANK N/A 21417.54000000 USD 19000.00000000 EUR 2020-04-03 -569.11000000 N N N SWEDISH KRONE N/A N/A 1.00000000 NC -328.98000000 -0.00006585073 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 17286.28000000 USD 168000.00000000 SEK 2020-04-03 -328.98000000 N N N U.S. DOLLARS N/A N/A 1.00000000 NC USD 2405.84000000 0.000481568242 N/A DFE US N 2 J P MORGAN CHASE BANK N/A 808000.00000000 TRY 124090.06000000 USD 2020-04-30 2405.84000000 N N N BPCE S.A. 9695005MSX1OYEMGDF46 05578UAB0 310000.00000000 PA USD 326807.10000000 0.065415788601 Long DBT NUSS FR N 2 2024-07-21 Fixed 5.15000000 N N N N N N SWEDISH KRONE N/A N/A 1.00000000 NC 568.28000000 0.000113750540 N/A DFE SE N 2 MORGAN STANLEY & CO, INC N/A 13562.80000000 USD 140000.00000000 SEK 2020-04-03 568.28000000 N N N CANADIAN DOLLAR N/A N/A 1.00000000 NC -1030.10000000 -0.00020619137 N/A DFE CA N 2 TD SECURITIES (USA) INC. N/A 22810.02000000 USD 31000.00000000 CAD 2020-04-03 -1030.10000000 N N N JAPANESE YEN N/A N/A 1.00000000 NC -382.86000000 -0.00007663569 N/A DFE JP N 2 MORGAN STANLEY & CO, INC N/A 33092.91000000 USD 3531000.00000000 JPY 2020-04-03 -382.86000000 N N N 2020-03-31 SEI INSTITUTIONAL INTERNATIONAL TRUST James Hoffmayer James Hoffmayer CFO