NPORT-P false 0000918706 XXXXXXXX S000005247 C000014299 Global Macro Portfolio 811-08342 0000918706 XY6HWOQF1NBIQHYB7D92 TWO INTERNATIONAL PLACE BOSTON 02110 617-482-8260 Global Macro Portfolio S000005247 XY6HWOQF1NBIQHYB7D92 2023-10-31 2023-07-31 N 1927440302.30 112225127.17 1815215175.13 0.00000000 15250927.33000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 135278243.34000000 CLP COP CZK DOP EUR GBP IDR INR ISK JPY KRW MXN NZD PEN PHP PLN RSD UAH USD UYU ZAR N Vietnam Dairy Products JSC N/A 000000000 90281.00000000 NS 297477.67000000 0.016388011409 Long EC CORP VN N 2 N N N COOF 1989537006 N/A 000000000 529313.25000000 PA USD 29730.22000000 0.001637834478 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 344600000.00000000 OU Notional Amount -7881.72000000 -0.00043420306 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-09-20 0.00000000 INR 0.00000000 INR 344600000.00000000 INR -7881.72000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 21933.90000000 0.001208336086 N/A DFE NG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 578844.29000000 USD 515167294.00000000 NGN 2024-07-03 21933.90000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6410000.00000000 OU Notional Amount USD -31176.96000000 -0.00171753522 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-06 0.00000000 USD 0.00000000 USD 6410000.00000000 USD -31176.96000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -79310.96000000 -0.00436923187 N/A DFE KE N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1327128.00000000 USD 178630000.00000000 KES 2023-08-04 -79310.96000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1831321.99000000 0.100887322621 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 331163200.00000000 CNY 48191202.96000000 USD 2023-08-08 1831321.99000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAE88 2713527.45000000 PA USD 2802232.26000000 0.154374660282 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 7.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 789474.00000000 OU Notional Amount -11066.31000000 -0.00060964177 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-10-26 0.00000000 EUR 0.00000000 EUR 789474.00000000 EUR -11066.31000000 N N N COOF 9663935001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.96000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -433.00000000 NC 528374.69000000 0.029108102292 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short CME 1 Year Mid-Curve 3 Month Eurodollar Option OEU3 Comdty 2023-09-07 -50660928.89000000 EUR 528374.69000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CFR7 82947664.00000000 PA USD 82003912.02000000 4.517586297400 Long DBT UST US N 2 2027-10-15 Fixed 1.62500000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 25807.02000000 0.001421705831 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4833766.65000000 USD 4409299.00000000 EUR 2023-09-20 25807.02000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -38100000.00000000 OU Notional Amount USD -94830.90000000 -0.00522422362 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD -94830.90000000 -0.01000000 DFE CN -38100000.00000000 USD -285750000.00000000 CNY 2024-01-18 1.00000000 7.50000000 USD 2024-01-18 XXXX 50904.70000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -447238.81000000 -0.02463833578 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 98802000.00000000 EGP 2673937.75000000 USD 2023-09-25 -447238.81000000 N N N COOF 1847217009 N/A 000000000 1621257.19000000 PA USD 159942.42000000 0.008811209943 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N COOF 2014207006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.16000000 N N N N N N COOF 1311887002 N/A 000000000 1645934.86000000 PA USD 85288.74000000 0.004698547101 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 1.66000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 149407.04000000 0.008230817042 N/A DFE CA N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 13889460.32000000 USD 18500000.00000000 CAD 2023-09-20 149407.04000000 N N N TIMES CHINA HLDG LTD 2549000KTINB9ZPZP710 000000000 3999000.00000000 PA USD 215636.60000000 0.011879396060 Long DBT CORP KY Y 2 2024-06-04 None 0.00000000 Y N N N N N COOF 1425577001 N/A 000000000 1814270.86000000 PA USD 110182.69000000 0.006069952009 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 1.91000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -306.00000000 NC USD 531511.82000000 0.029280926431 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CBOT 5 Year U.S. Treasury Notes FVU3 Comdty 2023-09-29 -33218527.60000000 USD 531511.82000000 N N N ISLAMIC REP OF PAKISTAN 529900LOP29R5WKHOD86 000000000 -10213000.00000000 PA USD -5578820.61000000 -0.30733660044 Short DBT NUSS PK Y 2 2026-04-08 Fixed 6.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 198000000.00000000 OU Notional Amount USD -760674.02000000 -0.04190544627 N/A DCO FR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Bloomberg Commodity Index BCOM INDEX Y equity-performance leg equity-performance leg 2023-08-25 0.00000000 USD 0.00000000 USD 198000000.00000000 USD -760674.02000000 N N N KIDO Group Corp N/A 000000000 10295.00000000 NS 28247.02000000 0.001556125157 Long EC CORP VN N 2 N N N United States Treasury 254900HROIFWPRGM1V77 912810TE8 9176328.00000000 PA USD 5919321.60000000 0.326094761717 Long DBT UST US N 2 2052-02-15 Fixed 0.12500000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 490340000.00000000 PA 8222364.92000000 0.452969159395 Long DBT NUSS DO Y 2 2027-02-12 Fixed 8.00000000 N N N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 194000.00000000 PA USD 14435.93000000 0.000795273761 Long DBT NUSS LB Y 2 2027-11-29 None 0.00000000 Y N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396QCX5 1196763.20000000 PA USD 1199344.02000000 0.066071727276 Long ABS-MBS USGSE US N 2 2039-07-25 Variable 5.79900000 N N N N N N ISLAMIC REP OF PAKISTAN 529900LOP29R5WKHOD86 000000000 -3059000.00000000 PA USD -1862931.00000000 -0.10262865942 Short DBT NUSS PK Y 2 2025-09-30 Fixed 8.25000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -155705.78000000 -0.00857781392 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 708500000.00000000 ARS 2418088.74000000 USD 2023-08-02 -155705.78000000 N N N COOF 9667855009 N/A 000000000 1462513.68000000 PA USD 152904.29000000 0.008423480152 Long ABS-MBS CORP US N 2 2042-10-15 Fixed 2.91000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 32107.88000000 0.001768819500 N/A DFE ZA N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 7675652.08000000 USD 138457135.00000000 ZAR 2023-09-20 32107.88000000 N N N EDEN RE II LTD N/A 000000000 2800000.00000000 NS USD 2974160.00000000 0.163846140157 Long STIV CORP US N 3 N N N Titan Cement International SA 213800H2CDP9I374WH83 000000000 3416.00000000 NS 71834.15000000 0.003957335250 Long EC CORP BE N 2 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -84649.60000000 -0.00466333695 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 27174000.00000000 PEN 7428852.62000000 USD 2023-09-20 -84649.60000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -3837.12000000 -0.00021138650 N/A DFE NG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 624275.71000000 USD 530630105.00000000 NGN 2024-06-24 -3837.12000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388SAM7 1299281.83000000 PA USD 1338446.67000000 0.073734876632 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.00000000 N N N N N N COOF 9576235005 N/A 000000000 1016561.88000000 PA USD 120577.72000000 0.006642613044 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.71000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -46238.30000000 -0.00254726275 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 7900118.87000000 EUR 8660635.43000000 USD 2023-09-20 -46238.30000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5900000.00000000 OU Notional Amount 996923.44000000 0.054920400273 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2036-10-15 0.00000000 EUR 0.00000000 EUR 5900000.00000000 EUR 996923.44000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 33790.84000000 0.001861533578 N/A DFE ZA N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 7673969.12000000 USD 138457135.00000000 ZAR 2023-09-20 33790.84000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7412000000.00000000 OU Notional Amount 210448.44000000 0.011593580908 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 7412000000.00000000 COP 210448.44000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -4017.87000000 -0.00022134400 N/A DFE CZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1545724.84000000 EUR 37000000.00000000 CZK 2023-09-20 -4017.87000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -227656.85000000 -0.01254159028 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 49000000.00000000 PEN 13320647.00000000 USD 2023-09-20 -227656.85000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2770000000.00000000 OU Notional Amount 7222.88000000 0.000397907647 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 2770000000.00000000 KRW 7222.88000000 N N N COOF 9635435007 N/A 000000000 2164850.35000000 PA USD 294036.32000000 0.016198427824 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.71000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PJJ5 1844.25000000 PA USD 1874.58000000 0.000103270401 Long ABS-MBS USGSE US N 2 2025-10-17 Fixed 8.50000000 N N N N N N COOF 9632135005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.11000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2369000000.00000000 OU Notional Amount 6814.00000000 0.000375382494 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 2369000000.00000000 KRW 6814.00000000 N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 000000000 5492000.00000000 PA USD 2537468.32000000 0.139788844582 Long DBT NUSS LK Y 2 2025-11-03 Fixed 6.85000000 N Y N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A 4458.21000000 0.000245602287 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2579517.65000000 EUR 1013670472.00000000 HUF 2023-09-20 4458.21000000 N N N MT LOGAN RE DIVERSIFED OPTI N/A 000000000 4400.00000000 NS USD 4231032.96000000 0.233087130273 Long STIV CORP US N 3 N N N COOF 9032505005 N/A 000000000 1273626.37000000 PA USD 128246.91000000 0.007065107859 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 2.96000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -2364.54000000 -0.00013026224 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 274233.85000000 EUR 299873.89000000 USD 2023-09-20 -2364.54000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381D3W3 379.48000000 PA USD 379.48000000 0.000020905510 Long ABS-MBS USGSE US N 2 2025-08-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406C7A0 171496.80000000 PA USD 175839.13000000 0.009686957910 Long ABS-MBS USGSE US N 2 2032-07-01 Floating 6.33400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797FB8 30000000.00000000 PA USD 29654045.70000000 1.633638045025 Long STIV UST US N 2 2023-10-19 None 0.00000000 N N N N N N SUNAC CHINA HOLDINGS LTD 549300OLARYHDXP3WK18 000000000 2000000.00000000 PA USD 230034.32000000 0.012672564837 Long DBT CORP KY Y 2 2023-07-09 Fixed 6.50000000 N Y N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PES3 206150000.00000000 PA 4542922.83000000 0.250269108160 Long DBT NUSS DO N 2 2033-02-03 Fixed 13.62500000 N N N N N N Spark New Zealand Ltd 529900HUN51H3Y7QBB66 000000000 -371300.00000000 NS -1195417.34000000 -0.06585540691 Short EC CORP NZ N 2 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ET6N1 105493.16000000 PA USD 109488.70000000 0.006031720178 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 8.50000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 2428000.00000000 PA USD 1113845.00000000 0.061361595873 Long DBT NUSS GH Y 2 2029-04-07 Fixed 7.75000000 N Y N N N N COOF 9482625003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N COOF 9334725007 N/A 000000000 1413183.54000000 PA USD 127969.25000000 0.007049811601 Long ABS-MBS CORP US N 2 2042-07-15 Fixed 2.41000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 5448000000.00000000 OU Notional Amount 1632.59000000 0.000089939199 N/A DE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 TITULOS DE TESORERIA TITULOS DE TESORERIA Y equity-performance leg 2023-08-11 0.00000000 COP 0.00000000 COP 5448000000.00000000 COP 1632.59000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 453000.00000000 PA USD 33920.64000000 0.001868684245 Long DBT NUSS LB Y 2 2030-02-26 None 0.00000000 Y N N N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 123000000.00000000 PA 374983.77000000 0.020657813747 Long STIV NUSS LK N 2 2023-09-15 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 10235.55000000 0.000563875299 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 10035233840.00000000 UGX 2756932.37000000 USD 2023-09-29 10235.55000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 149904110.00000000 OU Notional Amount USD 7996538.81000000 0.440528424374 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of South Africa Government International Bonds Republic of South Africa Government International Bonds Y buy protection 2028-06-20 10880475.68000000 USD 0.00000000 USD 149904110.00000000 USD -2883936.87000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 799921.00000000 OU Notional Amount 9467.35000000 0.000521555247 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-10-19 0.00000000 EUR 0.00000000 EUR 799921.00000000 EUR 9467.35000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -649.00000000 NC USD -4945790.82000000 -0.27246306045 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX Light Sweet Crude Oil Futures CLU3 Comdty 2023-08-22 -48142409.18000000 USD -4945790.82000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3510000.00000000 OU Notional Amount USD 117290.34000000 0.006461511649 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2053-03-13 0.00000000 USD 0.00000000 USD 3510000.00000000 USD 117290.34000000 N N N Meridian Energy Ltd 254900IFKXIGNCY3A092 000000000 -240400.00000000 NS -843774.59000000 -0.04648344733 Short EC CORP NZ N 2 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 54920000000.00000000 OU Notional Amount -724142.82000000 -0.03989294657 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-06-21 0.00000000 COP 0.00000000 COP 54920000000.00000000 COP -724142.82000000 N N N Credit Agricole CIB 1VUV7VQFKUOQSJ21A208 000000000 1.00000000 NC -49147.29000000 -0.00270751868 N/A DFE MY N 2 Credit Agricole CIB 1VUV7VQFKUOQSJ21A208 2313449.76000000 USD 10200000.00000000 MYR 2023-08-15 -49147.29000000 N N N RIKISBREF 549300K5GD3JPA2LLG98 000000000 168246575.00000000 PA 1223518.22000000 0.067403481238 Long DBT NUSS IS N 2 2024-04-15 Fixed 2.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 9190000000.00000000 OU Notional Amount -265638.34000000 -0.01463398629 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-03-15 0.00000000 COP 0.00000000 COP 9190000000.00000000 COP -265638.34000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 62957.20000000 0.003468305072 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 127039395631.00000000 IDR 8464214.51000000 USD 2023-10-18 62957.20000000 N N N COOF 1792627005 N/A 000000000 572782.61000000 PA USD 86922.56000000 0.004788554061 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -91328.61000000 -0.00503128286 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 11308564.73000000 CAD 8490262.76000000 USD 2023-09-20 -91328.61000000 N N N COOF 1126547003 N/A 000000000 1425563.91000000 PA USD 85326.87000000 0.004700647679 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 1.91000000 N N N N N N Freddie Mac - STACR 5493000IT4TAVS1FNX06 35565RBD4 1932807.20000000 PA USD 2103397.54000000 0.115875934094 Long ABS-MBS USGSE US N 2 2050-09-25 Floating 10.43300000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 1907500.00000000 PA 2097296.99000000 0.115539855480 Long RA CORP LU N 2 Repurchase N 2.10000000 2024-06-20 1907500.00000000 USD 2103114.13000000 USD N N N ALPHA HOLDING SA 549300R872G37EN6NT94 020ESCAB5 1849000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP MX N 3 2022-12-19 None 0.00000000 N N N N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 178000000.00000000 PA 544654.26000000 0.030004941973 Long STIV NUSS LK N 2 2023-09-08 None 0.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 5121.85000000 0.000282162140 N/A DFE OM N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 9252872.07000000 USD 3568000.00000000 OMR 2024-04-08 5121.85000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 11091260.64000000 PA USD 11091260.64000000 0.611016302197 Long RA CORP US N 2 Repurchase N 5.00000000 2024-07-27 11091260.64000000 USD 11091260.64000000 USD CDS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389AZU0 242081.12000000 PA USD 239717.90000000 0.013206032170 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 3.91500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5500000.00000000 OU Notional Amount USD 1089.99000000 0.000060047426 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Mexico Government International Bonds Mexico Government International Bonds Y buy protection 2028-06-20 99261.54000000 USD 0.00000000 USD 5500000.00000000 USD -98171.55000000 N N N COOF 9600905006 N/A 000000000 522510.15000000 PA USD 74728.55000000 0.004116787421 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 3.71000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1559000000.00000000 OU Notional Amount -28754.27000000 -0.00158406950 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-09-20 0.00000000 INR 0.00000000 INR 1559000000.00000000 INR -28754.27000000 N N N COOF 1691217001 N/A 000000000 1545175.92000000 PA USD 177169.57000000 0.009760251700 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N RIKISBREF 549300K5GD3JPA2LLG98 000000000 2433367831.00000000 PA 18469973.83000000 1.017508782598 Long DBT NUSS IS N 2 2025-06-12 Fixed 8.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PJM8 36532.87000000 PA USD 37423.29000000 0.002061644840 Long ABS-MBS USGSE US N 2 2028-02-17 Fixed 7.50000000 N N N N N N COOF 8557585005 N/A 000000000 407160.74000000 PA USD 67400.31000000 0.003713075503 Long ABS-MBS CORP US N 2 2042-06-15 Fixed 3.78000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -241387.41000000 -0.01329800528 N/A DFE IL N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 9345394.19000000 USD 33445764.00000000 ILS 2023-08-24 -241387.41000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 593325.00000000 PA USD 593325.00000000 0.032686207570 Long RA CORP US N 2 Repurchase N 0.00000000 2024-07-17 593325.00000000 USD 593325.00000000 USD N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 59303.83000000 0.003267041330 N/A DFE CO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 790406.55000000 USD 3378000000.00000000 COP 2023-09-20 59303.83000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -83894.45000000 -0.00462173582 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 93219000.00000000 UYU 2394528.64000000 USD 2023-09-20 -83894.45000000 N N N COOF 2199827010 N/A 000000000 616635.39000000 PA USD 74961.33000000 0.004129611245 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.21000000 N N N N N N Georgia Capital PLC 213800Q65T5GNBOW7H65 000000000 130000.00000000 NS 1551257.49000000 0.085458600790 Long EC CORP GB N 2 N N N COOF 9726965008 N/A 000000000 552489.90000000 PA USD 57939.88000000 0.003191901477 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N REPUBLIC OF CYPRUS 213800IOEYYAHPDLUL60 000000000 7242000.00000000 PA 8298304.16000000 0.457152643592 Long DBT NUSS CY Y 2 2033-04-13 Fixed 4.12500000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 298425.00000000 PA USD 298425.00000000 0.016440199712 Long RA CORP US N 2 Repurchase N 0.00000000 2024-07-19 298425.00000000 USD 298425.00000000 USD N N N COOF 9748825002 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 2.46000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 150718.96000000 0.008303090568 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 6657823.89000000 USD 6177682.08000000 EUR 2023-09-20 150718.96000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -76.00000000 NC USD 204250.00000000 0.011252109545 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CBOT 2 Year U.S. Treasury Notes Futures TUU3 Comdty 2023-09-29 -15634625.00000000 USD 204250.00000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283HHD0 7624.74000000 PA USD 7695.74000000 0.000423957451 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 9.00000000 N N N N N N PETRA DIAMONDS US TREAS 635400LZYOO6WHAO2H58 000000000 627030.97000000 PA USD 570598.18000000 0.031434189611 Long DBT CORP GB Y 2 2026-03-08 Fixed 9.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 3452164660.00000000 OU Notional Amount 121853.14000000 0.006712875788 N/A DIR CL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A Y 2033-01-13 0.00000000 CLP 0.00000000 CLP 3452164660.00000000 CLP 121853.14000000 N N N EDEN RE II LTD UNSECURED 144A 549300LKX8PCP3SC3F42 000000000 255989.12000000 NS USD 116475.05000000 0.006416597414 Long STIV CORP US N 3 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 000000000 51923000.00000000 PA 1139091.39000000 0.062752416661 Long DBT NUSS UA N 2 2023-11-01 Fixed 10.95000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 99180872.00000000 PA 5803055.00000000 0.319689647789 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.50000000 N N N N N N COOF 9645535006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.71000000 N N N N N N COOF 2347087005 N/A 000000000 290456.82000000 PA USD 41657.77000000 0.002294921867 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -83562.21000000 -0.00460343275 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 6425779.30000000 NZD 3907741.29000000 USD 2023-09-20 -83562.21000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 45.00000000 NC USD 243622.52000000 0.013421137247 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Nikkei 225 Index Futures NXU3 Index 2023-09-07 7247752.48000000 USD 243622.52000000 N N N COOF 9335025000 N/A 000000000 2421655.87000000 PA USD 306228.46000000 0.016870091446 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.16000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 418.01000000 0.000023028123 N/A DFE CO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3377.77000000 USD 15090000.00000000 COP 2023-09-20 418.01000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 54000000.00000000 OU Notional Amount USD -1370163.06000000 -0.07548212899 N/A DCR US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 Penerbangan Malaysia Bhd Penerbangan Malaysia Bhd Y buy protection 2028-06-20 0.00000000 USD -363432.29000000 USD 54000000.00000000 USD -1006730.77000000 N N N United States Treasury 254900HROIFWPRGM1V77 912797FC6 30000000.00000000 PA USD 29623194.60000000 1.631938461393 Long STIV UST US N 2 2023-10-26 None 0.00000000 N N N N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 1000000.00000000 PA 35151.92000000 0.001936515322 Long DBT NUSS ZM N 2 2028-08-30 Fixed 12.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -114490.11000000 -0.00630724729 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 13278322.75000000 EUR 14519806.09000000 USD 2023-09-20 -114490.11000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2448000000.00000000 OU Notional Amount -34905.96000000 -0.00192296541 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 2448000000.00000000 KRW -34905.96000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202CLR2 80249.48000000 PA USD 82168.67000000 0.004526662796 Long ABS-MBS USGA US N 2 2025-12-20 Fixed 7.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 68661.57000000 0.003782558174 N/A DFE NZ N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 8702731.00000000 USD 14121460.00000000 NZD 2023-09-20 68661.57000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 3691000.00000000 PA 1051298.20000000 0.057915899690 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -1977.00000000 -0.00010891270 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 81033.32000000 EUR 87331.39000000 USD 2023-09-20 -1977.00000000 N N N DOM REP CB NOTES 549300DTVR57NON7XL66 000000000 31580000.00000000 PA 524468.98000000 0.028892937167 Long DBT NUSS DO Y 2 2027-03-12 Fixed 8.00000000 N N N N N N EDEN RE II LTD UNSECURED 144A N/A 000000000 193871.74000000 NS USD 133655.18000000 0.007363048845 Long STIV CORP US N 3 N N N Bank of Georgia Group PLC 213800XKDG12NQG8VC53 000000000 40603.00000000 NS 1697648.43000000 0.093523261223 Long EC CORP GB N 2 N N N Piraeus Financial Holdings SA M6AD1Y1KW32H8THQ6F76 000000000 1035900.00000000 NS 3923688.34000000 0.216155549697 Long EC CORP GR N 2 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 1333595340.00000000 OU Notional Amount -188943.23000000 -0.01040886130 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A N/A Y 2038-04-08 0.00000000 CLP 0.00000000 CLP 1333595340.00000000 CLP -188943.23000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -380.00000000 NC -686415.14000000 -0.03781453292 N/A DE DE N 2 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex EURO STOXX 50 Futures VGU3 Index 2023-09-15 -16461960.01000000 EUR -686415.14000000 N N N Sunrisemezz PLC 213800ZHKUVSY51WLW40 000000000 134028.00000000 NS 37664.73000000 0.002074945742 Long EC CORP CY N 2 N N N CORURIPE NETHERLANDS BV 724500EL5MDC9RD0FW48 22088DAA8 903000.00000000 PA USD 640859.10000000 0.035304855797 Long DBT CORP NL N 2 2027-02-10 Fixed 10.00000000 N N N N N N COOF 9703695007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 3.16000000 N N N N N N COOF 9664715007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-11-15 Fixed 2.41000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC N/A 258078.02000000 0.014217489118 N/A DFE HU N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3877901.40000000 EUR 1655088317.00000000 HUF 2024-01-30 258078.02000000 N N N Auckland International Airport Ltd 549300HFZIZDJWB7AK60 000000000 -239400.00000000 NS -1249727.57000000 -0.06884735138 Short EC CORP NZ N 2 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 5058000.00000000 OU Notional Amount USD -47789.45000000 -0.00263271542 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Emirate of Dubai Government International Bonds Emirate of Dubai Government International Bonds Y buy protection 2024-12-20 23357.27000000 USD 0.00000000 USD 5058000.00000000 USD -71146.72000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 750000.00000000 PA USD 56205.00000000 0.003096327133 Long DBT NUSS LB N 2 2022-05-27 None 0.00000000 Y N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 31500000000.00000000 PA 24131677.12000000 1.329411380569 Long DBT NUSS KR N 2 2024-12-10 Fixed 1.87500000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -53612.45000000 -0.00295350384 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 9160039.46000000 EUR 10041844.12000000 USD 2023-09-20 -53612.45000000 N N N COOF 1814867009 N/A 000000000 427267.53000000 PA USD 23737.34000000 0.001307687392 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.46000000 N N N N N N COOF 7774145004 N/A 000000000 916589.57000000 PA USD 56883.15000000 0.003133686340 Long ABS-MBS CORP US N 2 2039-07-15 Fixed 2.39000000 N N N N N N COOF 2005677005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 2450425.86000000 PA USD 2450425.86000000 0.134993685243 Long RA CORP US N 2 Repurchase N 4.90000000 2024-07-27 2450425.86000000 USD 2450425.86000000 USD CDS N N N COOF 1607627004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 1.91000000 N N N N N N SERBIA TREASURY BONDS 254900W94OCY91V32O78 000000000 1539040000.00000000 PA 12925220.98000000 0.712048971223 Long DBT NUSS RS N 2 2032-08-20 Fixed 4.50000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325BR5 -3174000.00000000 PA USD -2487064.00000000 -0.13701207625 Short DBT NUSS CO N 2 2044-02-26 Fixed 5.62500000 N N N N N N COOF 9384175006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2037-05-15 Fixed 2.56000000 N N N N N N BULGARIAN ENERGY HLD 635400E1RWKJXPSBCV07 000000000 1155000.00000000 PA 1073661.44000000 0.059147888069 Long DBT CORP BG Y 2 2028-07-22 Fixed 2.45000000 N N N N N N COOF 8430145005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2036-06-15 Fixed 2.53000000 N N N N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 9573000.00000000 PA 10889436.97000000 0.599897858898 Long DBT NUSS MK Y 2 2027-03-13 Fixed 6.96000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 223000000.00000000 OU Notional Amount 29382.80000000 0.001618695149 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 CZK 0.00000000 CZK 223000000.00000000 CZK 29382.80000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 14524217.00000000 OU Notional Amount -57443.84000000 -0.00316457468 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 PLN 0.00000000 PLN 14524217.00000000 PLN -57443.84000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31373HXY7 86176.64000000 PA USD 83967.54000000 0.004625762342 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 3.83600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387CV57 50920.90000000 PA USD 50558.03000000 0.002785236190 Long ABS-MBS USGSE US N 2 2028-05-01 Floating 4.31900000 N N N N N N COOF 8471595007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-07-15 Fixed 3.03000000 N N N N N N COOF 9648365009 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.58000000 N N N N N N COOF 9575225000 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2027-07-15 Fixed 2.71000000 N N N N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 312000000.00000000 PA 929390.18000000 0.051200000569 Long STIV NUSS LK N 2 2023-10-27 None 0.00000000 N N N N N N Republic of Iraq N/A 000000000 7701375.00000000 PA USD 7171974.78000000 0.395103284627 Long DBT NUSS IQ Y 2 2028-01-15 Fixed 5.80000000 N N N N N N COOF 9631805003 N/A 000000000 2047410.18000000 PA USD 181644.85000000 0.010006794372 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.71000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 45563559.00000000 OU Notional Amount -74654.10000000 -0.00411268597 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 PLN 0.00000000 PLN 45563559.00000000 PLN -74654.10000000 N N N COOF 9682415004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.71000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HEA7 3695.77000000 PA USD 3683.49000000 0.000202923050 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 6.00000000 N N N N N N REPUBLIC OF POLAND 259400R9L8QEP0TPXS31 000000000 -2000000.00000000 PA -2018060.39000000 -0.11117472009 Short DBT NUSS PL Y 2 2032-05-25 Fixed 2.75000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC N/A -20409.63000000 -0.00112436422 N/A DFE XX N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 5868000.00000000 PLN 1307457.50000000 EUR 2023-09-20 -20409.63000000 N N N INDIA GOVERNMENT BOND 335800IV7VCDQGIOI391 000000000 1102690000.00000000 PA 13526400.25000000 0.745167869645 Long DBT NUSS IN N 2 2033-02-06 Fixed 7.26000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1961584000.00000000 OU Notional Amount -38219.22000000 -0.00210549253 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 1961584000.00000000 KRW -38219.22000000 N N N Republic of Zambia 213800DMLAZ6LGMMD849 000000000 3169000.00000000 PA USD 1685860.47000000 0.092873863831 Long DBT NUSS ZM Y 2 2022-09-20 Fixed 5.37500000 N Y N N N N DOM REP CB NOTES 549300DTVR57NON7XL66 25714RDA9 138420000.00000000 PA 2544532.98000000 0.140178035907 Long DBT NUSS DO N 2 2025-10-03 Fixed 12.00000000 N N N N N N COOF 2235657005 N/A 000000000 1965739.51000000 PA USD 140767.21000000 0.007754849779 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.16000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 20731000000.00000000 OU Notional Amount 95317.13000000 0.005251009979 N/A DIR CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 TITULOS DE TESORERIA TITULOS DE TESORERIA Y equity-performance leg 2023-08-11 0.00000000 COP 0.00000000 COP 20731000000.00000000 COP 95317.13000000 N N N COOF 2160437003 N/A 000000000 359272.41000000 PA USD 20685.27000000 0.001139549199 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -325370.73000000 -0.01792463694 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 20525823667.00000000 UGX 5209599.92000000 USD 2024-02-06 -325370.73000000 N N N Binh Minh Plastics JSC N/A 000000000 14820.00000000 NS 61325.98000000 0.003378441346 Long EC CORP VN N 2 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 20452.42000000 0.001126721519 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 530000000.00000000 PHP 9697901.23000000 USD 2023-09-20 20452.42000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 1463000.00000000 PA USD 108899.87000000 0.005999281599 Long DBT NUSS LB Y 2 2035-11-02 None 0.00000000 Y N N N N N REPUBLIC OF UZBEKISTAN 213800L6VDKUM3TCM927 000000000 16470000000.00000000 PA 1423581.17000000 0.078424926670 Long DBT NUSS UZ Y 2 2023-11-25 Fixed 14.50000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -64381.48000000 -0.00354676849 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 11000000.00000000 EUR 12058931.17000000 USD 2023-09-20 -64381.48000000 N N N COOF 9561145010 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2027-07-15 Fixed 2.96000000 N N N N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 2570000.00000000 PA 2725408.73000000 0.150142460648 Long DBT NUSS MK Y 2 2025-01-18 Fixed 2.75000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -75444.02000000 -0.00415620258 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 8630000.00000000 CAD 6473497.89000000 USD 2023-09-20 -75444.02000000 N N N Societatea De Producere A Energiei Electrice in Hidrocentrale Hidroelectrica SA 787200IISRQXO9PRB732 000000000 23097.00000000 NS 577502.21000000 0.031814531847 Long EC CORP RO N 1 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -10002.01000000 -0.00055100960 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 546500000.00000000 COP 127465.94000000 USD 2023-09-20 -10002.01000000 N N N Reginn HF 9676000V0KP4AUXNSZ66 000000000 1291872.00000000 NS 246006.92000000 0.013552493575 Long EC CORP IS N 2 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381D3R4 131.78000000 PA USD 133.13000000 0.000007334116 Long ABS-MBS USGSE US N 2 2026-01-15 Fixed 8.00000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 2332913.16000000 PA USD 2332913.16000000 0.128519923806 Long RA CORP US N 2 Repurchase N 4.95000000 2024-07-27 2332913.16000000 USD 2332913.16000000 USD CDS N N N Mobile World Investment Corp 254900ZRFNB8CRAHHO95 000000000 1082498.00000000 NS 2625825.97000000 0.144656457591 Long EC CORP VN N 2 N N N COOF 2371767008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N WOW AIR EHF 549300LW49V05P8Z2H93 000000000 79200.00000000 PA 0.00000000 0.000000 Long DBT CORP IS N 3 2099-12-31 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9950000.00000000 OU Notional Amount USD 445803.48000000 0.024559263612 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2047-01-07 0.00000000 USD 0.00000000 USD 9950000.00000000 USD 445803.48000000 N N N COOF 2126017002 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.46000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 1993321.34000000 PA USD 1993321.34000000 0.109811848606 Long RA CORP US N 2 Repurchase N 3.40000000 2024-07-27 1993321.34000000 USD 1993321.34000000 USD N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PJK2 22866.35000000 PA USD 22892.45000000 0.001261142497 Long ABS-MBS USGSE US N 2 2026-06-17 Fixed 7.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5900000.00000000 OU Notional Amount 997674.39000000 0.054961770024 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2036-10-15 0.00000000 EUR 0.00000000 EUR 5900000.00000000 EUR 997674.39000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -26940.05000000 -0.00148412432 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 7468000.00000000 PEN 2037932.06000000 USD 2023-09-20 -26940.05000000 N N N COOF 9447195010 N/A 000000000 2384068.47000000 PA USD 274538.53000000 0.015124296764 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.41000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 96000000.00000000 PA 1606525.86000000 0.088503329082 Long DBT NUSS DO Y 2 2027-01-15 Fixed 8.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1783000000.00000000 OU Notional Amount -40780.92000000 -0.00224661629 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-09-20 0.00000000 INR 0.00000000 INR 1783000000.00000000 INR -40780.92000000 N N N COOF 1728057006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2028-02-15 Fixed 3.71000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -8102.43000000 -0.00044636195 N/A DFE UG N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2779843.17000000 USD 10035233840.00000000 UGX 2023-08-03 -8102.43000000 N N N COOF 1717067003 N/A 000000000 416705.13000000 PA USD 40552.51000000 0.002234033218 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 2.91000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 154208.84000000 0.008495347665 N/A DFE PE N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 16793336.80000000 USD 61294000.00000000 PEN 2023-09-20 154208.84000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 51782.29000000 0.002852680536 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4724980000.00000000 CLP 5654595.50000000 USD 2023-09-20 51782.29000000 N N N KWG GROUP HOLDINGS 549300LK82ZOM9ZE7H90 000000000 1571000.00000000 PA USD 121752.50000000 0.006707331542 Long DBT CORP KY N 2 2024-08-30 Fixed 7.87500000 N Y N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -13391.89000000 -0.00073775771 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2288093.24000000 EUR 2508359.90000000 USD 2023-09-20 -13391.89000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AZP5 21590.14000000 PA USD 21346.90000000 0.001175998321 Long ABS-MBS USGSE US N 2 2027-07-01 Floating 3.92300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MS37 995336.40000000 PA USD 1029285.48000000 0.056703221419 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 7.00000000 N N N N N N COOF 1988577005 N/A 000000000 1714690.38000000 PA USD 137570.33000000 0.007578734019 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.41000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 26112000000.00000000 PA 1829484.99000000 0.100786122497 Long DBT NUSS ID N 2 2042-06-15 Fixed 7.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31373UV20 25253.78000000 PA USD 25195.42000000 0.001388012856 Long ABS-MBS USGSE US N 2 2024-07-01 Floating 3.71000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2457000000.00000000 OU Notional Amount -54362.13000000 -0.00299480363 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 0.00000000 CLP 0.00000000 CLP 2457000000.00000000 CLP -54362.13000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 82460000.00000000 OU Notional Amount 1377033.52000000 0.075860621862 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-10-15 0.00000000 PLN 0.00000000 PLN 82460000.00000000 PLN 1377033.52000000 N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 3011921.25000000 PA USD 3011921.25000000 0.165926403176 Long RA CORP US N 2 Repurchase N 2.75000000 2024-07-27 3011921.25000000 USD 3011921.25000000 USD N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -326057.11000000 -0.01796244954 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 134000000.00000000 ZAR 7133578.93000000 USD 2023-09-20 -326057.11000000 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 000000000 23905000.00000000 PA 530864.74000000 0.029245278866 Long DBT NUSS UA N 2 2023-08-23 Fixed 10.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 34340000000.00000000 OU Notional Amount 366734.74000000 0.020203375612 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 34340000000.00000000 COP 366734.74000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -53032.29000000 -0.00292154289 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 9060916.52000000 EUR 9933178.97000000 USD 2023-09-20 -53032.29000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PL45 312938.34000000 PA USD 316076.81000000 0.017412635941 Long ABS-MBS USGSE US N 2 2031-08-17 Fixed 7.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -24949.91000000 -0.00137448773 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 2494732.70000000 EUR 2718270.48000000 USD 2023-08-04 -24949.91000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -179754.97000000 -0.00990268109 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 39000000.00000000 PEN 10603588.91000000 USD 2023-09-20 -179754.97000000 N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 13357000.00000000 PA 10757220.81000000 0.592614085502 Long DBT NUSS BJ Y 2 2052-01-19 Fixed 6.87500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 18000000.00000000 OU Notional Amount USD -518247.18000000 -0.02855017890 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Qatar Government International Bonds Qatar Government International Bonds Y buy protection 2028-06-20 0.00000000 USD -403712.64000000 USD 18000000.00000000 USD -114534.54000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 18578.81000000 0.001023504554 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 789404095.00000000 PHP 14432574.50000000 USD 2023-09-20 18578.81000000 N N N Eimskipafelag Islands hf 549300IUR8Q7Y44KBL02 000000000 220734.00000000 NS 894955.61000000 0.049303003977 Long EC CORP IS N 2 N N N COOF 2299707006 N/A 000000000 869758.08000000 PA USD 77681.38000000 0.004279458494 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -70322.16000000 -0.00387403989 N/A DFE ID N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 9305466.71000000 USD 139649000000.00000000 IDR 2023-10-18 -70322.16000000 N N N COOF 1212507009 N/A 000000000 2786441.94000000 PA USD 357777.85000000 0.019709941548 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 3.66000000 N N N N N N COOF 7760935004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-02-15 Fixed 2.89000000 N N N N N N Contact Energy Ltd 549300FT5JOXS1PZ1I32 000000000 -156000.00000000 NS -805512.04000000 -0.04437556775 Short EC CORP NZ N 2 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31392PAB1 334344.42000000 PA USD 342717.74000000 0.018880281781 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 7.00000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 9388000.00000000 PA 8226329.14000000 0.453187547829 Long DBT NUSS RS Y 2 2028-09-23 Fixed 1.00000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 1305000.00000000 PA USD 585292.50000000 0.032243698048 Long DBT NUSS GH Y 2 2042-05-07 Fixed 8.87500000 N Y N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 313399C47 161674.56000000 PA USD 163265.35000000 0.008994269783 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 6.50000000 N N N N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 000000000 1945960000.00000000 PA 4598674.55000000 0.253340464150 Long DBT NUSS HU N 2 2032-11-24 Fixed 4.75000000 N N N N N N Zacapa S.A.R.L 213800VIVQIJLORBU468 000000000 1086250.00000000 PA USD 1079868.28000000 0.059489822187 Long LON CORP LU N 2 2029-03-22 Floating 9.24200000 N N N N N N DOM REP CB NOTES 549300DTVR57NON7XL66 25714PEU8 161230000.00000000 PA 3072342.46000000 0.169255000844 Long DBT NUSS DO N 2 2026-01-30 Fixed 13.00000000 N N N N N N COOF 9466195005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 3.29000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 326355.33000000 0.017978878453 N/A DFE CO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2639558.99000000 USD 11790910000.00000000 COP 2023-09-20 326355.33000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 -44.00000000 NC -164847.60000000 -0.00908143575 N/A DE AU N 2 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Short SFE S&P ASX Share Price Index 200 Futures XPU3 Index 2023-09-21 -7877350.00000000 AUD -164847.60000000 N N N COOF 9626165007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 2.11000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 42400000.00000000 OU Notional Amount USD 1607760.51000000 0.088571345812 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.EM.S39 2I65BZFD9 Y buy protection 2028-06-20 2756438.94000000 USD 0.00000000 USD 42400000.00000000 USD -1148678.43000000 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 925000.00000000 PA USD 542909.33000000 0.029908813976 Long DBT NUSS EG Y 2 2049-03-01 Fixed 8.70000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 4064683520.00000000 OU Notional Amount -645127.81000000 -0.03554001855 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A N/A Y 2032-04-11 0.00000000 CLP 0.00000000 CLP 4064683520.00000000 CLP -645127.81000000 N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 2716162.88000000 PA USD 2716162.88000000 0.149633107810 Long RA CORP US N 2 Repurchase N 5.05000000 2024-07-27 2716162.88000000 USD 2716162.88000000 USD UST N N N COOF 1136997002 N/A 000000000 1047239.77000000 PA USD 173047.75000000 0.009533181100 Long ABS-MBS CORP US N 2 2043-06-15 Fixed 3.66000000 N N N N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 000000000 1708687.50000000 PA USD 382746.00000000 0.021085434126 Long DBT NUSS EC Y 2 2040-07-31 Variable 1.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2000000.00000000 OU Notional Amount 37187.08000000 0.002048632058 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-01-24 34.47000000 EUR 0.00000000 EUR 2000000.00000000 EUR 37149.25000000 N N N ALPHA HOLDING SA 549300R872G37EN6NT94 000000000 1741119.95000000 PA USD 26116.80000000 0.001438771576 Long DBT CORP MX Y 2 2022-12-19 None 0.00000000 Y N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC N/A -20246.13000000 -0.00111535702 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 5841209.00000000 PLN 1301551.96000000 EUR 2023-09-20 -20246.13000000 N N N SERBIA TREASURY BONDS 254900W94OCY91V32O78 000000000 2181570000.00000000 PA 21136070.42000000 1.164383744119 Long DBT NUSS RS N 2 2028-02-08 Fixed 5.87500000 N N N N N N COOF 2259587002 N/A 000000000 212860.80000000 PA USD 25321.75000000 0.001394972361 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3264000000.00000000 OU Notional Amount -40619.15000000 -0.00223770440 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 3264000000.00000000 KRW -40619.15000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -222007.19000000 -0.01223035114 N/A DFE XX N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 10043913.67000000 USD 8932213.90000000 EUR 2023-08-04 -222007.19000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 26040000.00000000 OU Notional Amount 434381.39000000 0.023930021958 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-10-14 0.00000000 PLN 0.00000000 PLN 26040000.00000000 PLN 434381.39000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A 4335.56000000 0.000238845513 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2350190.63000000 EUR 944682626.00000000 HUF 2024-01-11 4335.56000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225A6T2 653.74000000 PA USD 661.41000000 0.000036437002 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 9.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 689080.28000000 0.037961355184 N/A DFE EG N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 4925726.79000000 USD 177966509.00000000 EGP 2023-09-28 689080.28000000 N N N COOF 9637215004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.71000000 N N N N N N FEDERAL REP OF ETHIOPIA N/A 000000000 14706000.00000000 PA USD 10184787.36000000 0.561078791073 Long DBT NUSS ET Y 2 2024-12-11 Fixed 6.62500000 N N N N N N a2 Milk Co Ltd/The 529900PVC9CV0KFA2U62 000000000 -184200.00000000 NS -631982.28000000 -0.03481583278 Short EC CORP NZ N 2 N N N VTR COMUNICACIONES SPA 213800XDZJKMC1AEUV94 000000000 1147000.00000000 PA USD 678352.39000000 0.037370356930 Long DBT CORP CL Y 2 2028-01-15 Fixed 5.12500000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -9699.85000000 -0.00053436364 N/A DFE ID N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2134169.87000000 USD 32124378520.00000000 IDR 2023-10-17 -9699.85000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 173000000.00000000 OU Notional Amount -3007.51000000 -0.00016568338 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 173000000.00000000 JPY -3007.51000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373RUM9 503.30000000 PA USD 501.50000000 0.000027627578 Long ABS-MBS USGA US N 2 2023-10-26 Fixed 6.45000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 545000.00000000 PA USD 250475.46000000 0.013798664942 Long DBT NUSS GH Y 2 2027-02-11 Fixed 6.37500000 N Y N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283H6C4 400089.79000000 PA USD 412103.47000000 0.022702733849 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.50000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -100408.37000000 -0.00553148581 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4115546.87000000 EUR 4435415.40000000 USD 2023-09-20 -100408.37000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2915000000.00000000 OU Notional Amount -22466.53000000 -0.00123767861 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 2915000000.00000000 KRW -22466.53000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 3090000.00000000 OU Notional Amount USD -30926.76000000 -0.00170375173 N/A DCR QA N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 STATE OF QATAR STATE OF QATAR Y buy protection 2024-09-20 0.00000000 USD -301.27000000 USD 3090000.00000000 USD -30625.49000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PJY2 16.01000000 PA USD 16.06000000 0.000000884743 Long ABS-MBS USGSE US N 2 2024-09-17 Fixed 7.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 40250000.00000000 OU Notional Amount USD -211835.35000000 -0.01166998562 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Bundesrepublik Deutschland Bundesanleihe Bundesrepublik Deutschland Bundesanleihe Y buy protection 2028-06-20 0.00000000 USD -162920.89000000 USD 40250000.00000000 USD -48914.46000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1016142.62000000 -0.05597918273 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 374959200.00000000 MXN 21179110.04000000 USD 2023-09-20 -1016142.62000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 84766.30000000 0.004669765940 N/A DFE ZA N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 32018053.90000000 USD 576673967.00000000 ZAR 2023-09-20 84766.30000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8GT5 513476.01000000 PA USD 523098.42000000 0.028817433170 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -236229.82000000 -0.01301387423 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 15661925653.00000000 UGX 4064832.69000000 USD 2023-09-06 -236229.82000000 N N N OPAP SA 213800M4NRGFJCI34834 000000000 92863.00000000 NS 1633232.23000000 0.089974580004 Long EC CORP GR N 2 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3118000.00000000 OU Notional Amount USD -617918.51000000 -0.03404106127 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Petroleos Mexicanos Petroleos Mexicanos Y sell protection 2028-06-20 0.00000000 USD -660012.05000000 USD 3118000.00000000 USD 42093.54000000 N N N COOF 2319337000 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.16000000 N N N N N N COOF 9617315002 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 2.41000000 N N N N N N Mainfreight Ltd 5493007BE0VNXX7RYQ88 000000000 -16900.00000000 NS -712754.70000000 -0.03926557632 Short EC CORP NZ N 2 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -251.00000000 NC 430923.18000000 0.023739509558 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short EUX 10 Year Euro BUND Futures RXU3 Comdty 2023-09-07 -33774926.36000000 EUR 430923.18000000 N N N Eik fasteignafelag hf 2138005WRSDC4DI3BJ43 000000000 3253209.00000000 NS 304687.14000000 0.016785180301 Long EC CORP IS N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5900000.00000000 OU Notional Amount -1334673.44000000 -0.07352700981 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2046-10-15 0.00000000 EUR 0.00000000 EUR 5900000.00000000 EUR -1334673.44000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T3WY0 8959.43000000 PA USD 8949.83000000 0.000493045128 Long ABS-MBS USGSE US N 2 2024-01-15 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 31600000.00000000 OU Notional Amount 336605.69000000 0.018543569633 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-12-15 0.00000000 PLN 0.00000000 PLN 31600000.00000000 PLN 336605.69000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PJF3 5956.25000000 PA USD 6011.94000000 0.000331197098 Long ABS-MBS USGSE US N 2 2025-12-17 Fixed 7.50000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -43258.05000000 -0.00238308111 N/A DFE ID N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 5815782.62000000 USD 87289081331.00000000 IDR 2023-10-18 -43258.05000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -161783.14000000 -0.00891261500 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 6631181.67000000 EUR 7146570.37000000 USD 2023-09-20 -161783.14000000 N N N Republic of South Africa 378900AAFB4F17004C49 000000000 884300000.00000000 PA 44378793.60000000 2.444822752036 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8.00000000 N N N N N N SHIMAO GROUP HOLDINGS LT 254900WTJ6B5CU69ZD26 000000000 5100000.00000000 PA USD 388875.00000000 0.021423080047 Long DBT CORP KY Y 2 2026-07-15 None 0.00000000 Y N N N N N REPUBLIC OF PARAGUAY 529900UXKJTJPCU0HK83 000000000 3870000.00000000 PA USD 3355379.59000000 0.184847484528 Long DBT NUSS PY Y 2 2050-03-30 Fixed 5.40000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -78.00000000 NC 137390.58000000 0.007568831611 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 30 Year Euro BUXL Futures UBU3 Comdty 2023-09-07 -10622197.28000000 EUR 137390.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381D2Y0 244.88000000 PA USD 246.40000000 0.000013574148 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 9.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4643000000.00000000 OU Notional Amount -24015.13000000 -0.00132299081 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-06-22 0.00000000 CLP 0.00000000 CLP 4643000000.00000000 CLP -24015.13000000 N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 2910000.00000000 PA USD 1328154.76000000 0.073167896467 Long DBT NUSS LK Y 2 2024-03-14 Fixed 6.85000000 N Y N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F4ZS4 4122790.35000000 PA USD 834572.33000000 0.045976495868 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 4.00000000 N N N N N N COOF 2006697002 N/A 000000000 1098074.40000000 PA USD 64239.19000000 0.003538929757 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -80790.99000000 -0.00445076655 N/A DFE PE N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 6165914.89000000 USD 22008000.00000000 PEN 2023-09-20 -80790.99000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 119721000000.00000000 PA 8496697.81000000 0.468082127475 Long DBT NUSS ID N 2 2043-06-15 Fixed 7.12500000 N N N N N N NEW ZEALAND GVT ILB 549300237GPHG2AI7C34 000000000 34379459.10000000 PA 22376617.46000000 1.232725341137 Long DBT NUSS NZ Y 2 2030-09-20 Fixed 3.00000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 2325784.80000000 PA USD 2325784.80000000 0.128127223255 Long RA CORP US N 2 Repurchase N 4.75000000 2024-07-27 2325784.80000000 USD 2325784.80000000 USD CDS N N N COOF 9657845002 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-10-15 Fixed 2.96000000 N N N N N N COOF 1293627000 N/A 000000000 1397246.57000000 PA USD 108237.26000000 0.005962778489 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.41000000 N N N N N N Unison Trust N/A 90919VAA0 22662824.13000000 PA USD 19607739.46000000 1.080188163290 Long ABS-MBS CORP US N 2 2050-04-25 Variable 4.50000000 N N N N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 6529000.00000000 PA 5589431.14000000 0.307921133349 Long DBT NUSS BJ Y 2 2032-01-19 Fixed 4.87500000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 550220000000.00000000 PA 36563359.55000000 2.014271368537 Long DBT NUSS ID N 2 2028-05-15 Fixed 6.12500000 N N N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 1595000.00000000 PA USD 119625.00000000 0.006590127806 Long DBT NUSS LB N 2 2033-05-17 None 0.00000000 Y N N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 2947000.00000000 PA USD 221025.00000000 0.012176242410 Long DBT NUSS LB Y 2 2025-06-12 None 0.00000000 Y N N N N N COOF 8868325005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-07-15 Fixed 2.98000000 N N N N N N Pnmac Gmsr Issuer Trust N/A 69354WAC0 9000000.00000000 PA USD 9040906.80000000 0.498062539574 Long ABS-MBS CORP US N 2 2025-02-25 Floating 9.26200000 N N N N N N COOF 2231267009 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N ALPHA HOLDING, SA 549300R872G37EN6NT94 020ESCAA7 1849000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP MX N 3 2022-12-19 None 0.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 11365.42000000 0.000626119710 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2128792.59000000 USD 1941856.88000000 EUR 2023-09-20 11365.42000000 N N N COOF 1553317009 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BL5 436258118.67000000 PA 12573544.04000000 0.692675128120 Long DBT NUSS UY N 2 2040-07-02 Fixed 3.87500000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 6979000.00000000 PA 1736762.55000000 0.095678053698 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.40000000 N N N N N N INDIA GOVERNMENT BOND 335800IV7VCDQGIOI391 000000000 2963600000.00000000 PA 35888029.91000000 1.977067534565 Long DBT NUSS IN N 2 2029-04-18 Fixed 7.10000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -8280.52000000 -0.00045617291 N/A DFE CZ N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3130848.93000000 EUR 74940000.00000000 CZK 2023-09-20 -8280.52000000 N N N National Bank of Greece SA 5UMCZOEYKCVFAW8ZLO05 000000000 251300.00000000 NS 1730630.97000000 0.095340265645 Long EC CORP GR N 2 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 199008.27000000 0.010963343229 N/A DFE AU N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 6529210.00000000 USD 10000000.00000000 AUD 2023-09-20 199008.27000000 N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -568248.51000000 -0.03130474655 N/A DFE JP N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 21776853.66000000 USD 2994331969.00000000 JPY 2023-09-20 -568248.51000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374J7D7 53107.84000000 PA USD 52859.49000000 0.002912023363 Long ABS-MBS USGSE US N 2 2025-05-01 Floating 3.91000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 368000.00000000 PA 279284.27000000 0.015385739047 Long DBT NUSS RS Y 2 2033-03-03 Fixed 1.65000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 6227.44000000 0.000343068969 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 137000000.00000000 PHP 2507756.66000000 USD 2023-09-20 6227.44000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1532400000.00000000 OU Notional Amount -35049.18000000 -0.00193085538 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-09-20 0.00000000 INR 0.00000000 INR 1532400000.00000000 INR -35049.18000000 N N N COOF 1963907001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -111252.11000000 -0.00612886623 N/A DFE AU N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 7140894.56000000 USD 10448000.00000000 AUD 2023-09-20 -111252.11000000 N N N REPUBLIC OF SURINAME INT 254900SYU4G5JM13TN77 000000000 44764000.00000000 PA USD 37445086.00000000 2.062845579578 Long DBT NUSS SR Y 2 2026-10-26 Fixed 9.25000000 N Y N N N N COOF 1856857004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.16000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31346AF83 107282.47000000 PA USD 106603.95000000 0.005872799625 Long ABS-MBS USGSE US N 2 2030-06-01 Floating 4.55800000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A 7879.09000000 0.000434058182 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 691942.90000000 EUR 280523129.77000000 HUF 2024-01-11 7879.09000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC 7565.67000000 0.000416791910 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 295548.70000000 USD 3501513277.00000000 UZS 2023-08-01 7565.67000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31358S2U4 40463.94000000 PA USD 41031.98000000 0.002260447166 Long ABS-MBS USGSE US N 2 2027-03-18 Fixed 8.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 8969400000.00000000 OU Notional Amount -272748.68000000 -0.01502569412 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-03-15 0.00000000 COP 0.00000000 COP 8969400000.00000000 COP -272748.68000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -104585.98000000 -0.00576162988 N/A DFE AU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 6669981.37000000 USD 9758000.00000000 AUD 2023-09-20 -104585.98000000 N N N COOF 9668685008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2033-09-15 Fixed 3.21000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374J6U0 20951.01000000 PA USD 20886.89000000 0.001150656422 Long ABS-MBS USGSE US N 2 2024-11-01 Floating 4.11000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 121861127.00000000 OU Notional Amount 25974.46000000 0.001430930082 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 CZK 0.00000000 CZK 121861127.00000000 CZK 25974.46000000 N N N SUSSEX CAPITAL LTD N/A 000000000 816.91000000 NS USD 130945.94000000 0.007213797118 Long STIV CORP US N 3 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 40800000.00000000 OU Notional Amount USD -570961.32000000 -0.03145419495 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Philippines Government International Bonds Philippines Government International Bonds Y buy protection 2028-06-20 174438.40000000 USD 0.00000000 USD 40800000.00000000 USD -745399.72000000 N N N COOF 2237857010 N/A 000000000 3378373.34000000 PA USD 182216.60000000 0.010038292016 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 1.66000000 N N N N N N COOF 9642635006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.21000000 N N N N N N Freddie Mac - STACR 5493000IRODEKU3J3Q16 35564KTB5 1478700.00000000 PA USD 1526822.07000000 0.084112456248 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 8.56900000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 17794.35000000 0.000980288741 N/A DFE IL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1449782.76000000 USD 5390720.00000000 ILS 2023-08-28 17794.35000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 29618.06000000 0.001631655596 N/A DFE NG N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 616594.16000000 USD 554934742.00000000 NGN 2024-07-08 29618.06000000 N N N Bank Rakyat Indonesia Persero Tbk PT 254900HB6S4B12GBNP64 000000000 3500000.00000000 NS 1310413.72000000 0.072190544567 Long EC CORP ID N 2 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -15645.07000000 -0.00086188514 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 22308000.00000000 SAR 5911596.35000000 USD 2025-06-18 -15645.07000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GLW1 463868.85000000 PA USD 467678.21000000 0.025764340030 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 6.50000000 N N N N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 3150000.00000000 PA 131832.34000000 0.007262628794 Long DBT NUSS ZM N 2 2026-06-28 Fixed 11.00000000 N N N N N N COOF 8187925002 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-04-15 Fixed 3.03000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 3878000.00000000 PA 3225697.26000000 0.177703299542 Long DBT NUSS CI Y 2 2048-03-22 Fixed 6.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359H6F6 16068.82000000 PA USD 16139.26000000 0.000889110019 Long ABS-MBS USGSE US N 2 2024-07-25 Fixed 8.00000000 N N N N N N JSW STEEL LTD 335800EK6HZSC4CVAJ09 000000000 1466000.00000000 PA USD 1194834.08000000 0.065823275189 Long DBT CORP IN Y 2 2032-04-05 Fixed 5.05000000 N N N N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 000000000 3592000.00000000 PA USD 1630950.26000000 0.089848866533 Long DBT NUSS LK Y 2 2030-03-28 Fixed 7.55000000 N Y N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -268895.36000000 -0.01481341516 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 58132994.40000000 BRL 11940000.00000000 USD 2023-09-11 -268895.36000000 N N N COOF 2303637002 N/A 000000000 326952.42000000 PA USD 47680.72000000 0.002626725506 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2851000000.00000000 OU Notional Amount -54165.76000000 -0.00298398563 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 0.00000000 CLP 0.00000000 CLP 2851000000.00000000 CLP -54165.76000000 N N N COOF 2373147003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 1.91000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -1292.18000000 -0.00007118605 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 220777.83000000 EUR 242031.33000000 USD 2023-09-20 -1292.18000000 N N N COOF 9612025010 N/A 000000000 508132.90000000 PA USD 58037.35000000 0.003197271089 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 2.96000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 2179260000.00000000 OU Notional Amount -7019.58000000 -0.00038670787 N/A DE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 KFE KOSPI 200 Index Futures KMU3 Index Y equity-performance leg equity-performance leg 2023-09-14 0.00000000 KRW 0.00000000 KRW 2179260000.00000000 KRW -7019.58000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 5012.50000000 0.000276138061 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 10035233840.00000000 UGX 2741867.17000000 USD 2023-10-31 5012.50000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PJG1 18965.09000000 PA USD 18903.25000000 0.001041377918 Long ABS-MBS USGSE US N 2 2024-08-17 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AZL4 1168378.64000000 PA USD 1202255.60000000 0.066232125891 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.50000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -138897.91000000 -0.00765187025 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 23731621.14000000 EUR 26016180.53000000 USD 2023-09-20 -138897.91000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 7625000.00000000 PA USD 572485.00000000 0.031538134312 Long DBT NUSS LB N 2 2023-05-26 None 0.00000000 Y N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -79922.81000000 -0.00440293862 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 9860000.00000000 CAD 7402414.07000000 USD 2023-09-20 -79922.81000000 N N N FIN DEPT GOVT SHARJAH 254900ZNL8O3F1CLJO24 000000000 19846000.00000000 PA USD 12878962.47000000 0.709500595105 Long DBT NUSS AE Y 2 2050-07-28 Fixed 4.00000000 N N N N N N COOF 9631225006 N/A 000000000 112851.02000000 PA USD 15784.55000000 0.000869569085 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -25807.02000000 -0.00142170583 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4409299.03000000 EUR 4833766.68000000 USD 2023-09-20 -25807.02000000 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 3295350.00000000 PA USD 3295350.00000000 0.181540461161 Long RA CORP US N 2 Repurchase N 4.80000000 2024-07-27 3295350.00000000 USD 3295350.00000000 USD CDS N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -211380.22000000 -0.01164491256 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 36115702.03000000 EUR 39592433.18000000 USD 2023-09-20 -211380.22000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 19210000.00000000 OU Notional Amount USD 892688.70000000 0.049178120160 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 892688.70000000 0.05000000 DFE US 94618855.00000000 BRL 19210000.00000000 USD 2024-01-22 1.00000000 4.92550000 USD 2024-01-22 XXXX 148781.45000000 N N N COOF 2254917006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202DQC8 137258.00000000 PA USD 141382.25000000 0.007788732263 Long ABS-MBS USGA US N 2 2031-10-20 Fixed 7.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -99524.61000000 -0.00548279958 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3913383.77000000 EUR 1500000000.00000000 HUF 2023-09-20 -99524.61000000 N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 10500000.00000000 PA 373021.32000000 0.020549702597 Long DBT NUSS ZM N 2 2028-06-28 Fixed 12.00000000 N N N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 7663000.00000000 PA USD 573154.09000000 0.031574994405 Long DBT NUSS LB Y 2 2024-11-04 None 0.00000000 Y N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 64016800000.00000000 OU Notional Amount 190689.47000000 0.010505061472 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-01-28 0.00000000 CLP 0.00000000 CLP 64016800000.00000000 CLP 190689.47000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 474500000.00000000 OU Notional Amount -22527.45000000 -0.00124103468 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 474500000.00000000 JPY -22527.45000000 N N N COOF 2363557004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714WBR3 368500000.00000000 PA 7592255.00000000 0.418256474715 Long DBT NUSS DO N 2 2029-09-23 Fixed 12.75000000 N N N N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 5303000.00000000 PA USD 2405689.40000000 0.132529158689 Long DBT NUSS LK Y 2 2027-05-11 Fixed 6.20000000 N Y N N N N DOM REP CB NOTES 549300DTVR57NON7XL66 25714PER5 216700000.00000000 PA 4110520.39000000 0.226448106335 Long DBT NUSS DO N 2 2025-12-05 Fixed 13.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -321927.55000000 -0.01773495255 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 55003440.00000000 EUR 60298427.01000000 USD 2023-09-20 -321927.55000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2192300000.00000000 OU Notional Amount -28794.44000000 -0.00158628246 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 2192300000.00000000 KRW -28794.44000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 8849.98000000 0.000487544403 N/A DFE OM N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 15554518.59000000 USD 6000000.00000000 OMR 2024-05-28 8849.98000000 N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 837000.00000000 PA USD 386352.50000000 0.021284115805 Long DBT NUSS GH Y 2 2035-02-11 Fixed 7.87500000 N Y N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 19000000.00000000 OU Notional Amount USD 693192.58000000 0.038187901329 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2046-10-29 0.00000000 USD 0.00000000 USD 19000000.00000000 USD 693192.58000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 000000000 15931000.00000000 PA USD 15811517.50000000 0.871054722141 Long LON CORP MX N 2 2024-06-28 Floating 8.31100000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 4146000.00000000 PA 4042949.90000000 0.222725655635 Long DBT NUSS RO Y 2 2028-03-07 Fixed 2.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PLD5 11914.43000000 PA USD 11958.10000000 0.000658770385 Long ABS-MBS USGSE US N 2 2024-06-17 Fixed 8.00000000 N N N N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 000000000 1964450000.00000000 PA 3237496.99000000 0.178353345342 Long DBT NUSS HU N 2 2041-04-25 Fixed 3.00000000 N N N N N N COOF 2121127001 N/A 000000000 1010361.05000000 PA USD 138777.38000000 0.007645230268 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 862000.00000000 PA USD 862000.00000000 0.047487483126 Long RA CORP US N 2 Repurchase N 2.25000000 2024-07-28 862000.00000000 USD 862000.00000000 USD N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PK95 41439.63000000 PA USD 41406.29000000 0.002281067862 Long ABS-MBS USGSE US N 2 2027-09-17 Fixed 7.50000000 N N N N N N COOF 9650315004 N/A 000000000 769032.71000000 PA USD 80672.85000000 0.004444258240 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.21000000 N N N N N N Landsbankinn HF 549300TLZPT6JELDWM92 000000000 560000000.00000000 PA 4211520.88000000 0.232012211979 Long DBT CORP IS Y 2 2023-11-23 Fixed 5.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -289432.34000000 -0.01594479508 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 20070467680.00000000 UGX 5254049.13000000 USD 2023-08-03 -289432.34000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 656.00000000 NC USD 4422029.74000000 0.243609121419 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX Light Sweet Crude Oil Futures CLZ3 Comdty 2023-11-20 48287570.26000000 USD 4422029.74000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -100067.56000000 -0.00551271063 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 17097200.88000000 EUR 18743088.06000000 USD 2023-09-20 -100067.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374CLQ7 2106030.73000000 PA USD 2185378.28000000 0.120392243847 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 7.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 54000000.00000000 OU Notional Amount USD 149040.40000000 0.008210618886 N/A DCO US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Bloomberg Commodity Index 3 Month Forward BCOMF3 INDEX Y equity-performance leg 2023-08-25 0.00000000 USD 0.00000000 USD 54000000.00000000 USD 149040.40000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 12624.04000000 0.000695456944 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 510989.77000000 EUR 574510.91000000 USD 2023-08-04 12624.04000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -16637.91000000 -0.00091658059 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 1672318.06000000 USD 19357081591.00000000 UZS 2023-09-15 -16637.91000000 N N N Bank Central Asia Tbk PT 254900BR956G2OHVOM21 000000000 2370000.00000000 NS 1435346.26000000 0.079073064156 Long EC CORP ID N 2 N N N COOF 9027485007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-12-15 Fixed 2.41000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 40000000.00000000 OU Notional Amount USD -1261178.00000000 -0.06947815428 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 U.K. Gilts U.K. Gilts Y buy protection 2028-06-20 0.00000000 USD -1251767.98000000 USD 40000000.00000000 USD -9410.02000000 N N N Fletcher Building Ltd 549300UPHQTT2LG75045 000000000 -155800.00000000 NS -540188.12000000 -0.02975890282 Short EC CORP NZ N 2 N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 10232000.00000000 PA 8957657.54000000 0.493476347197 Long DBT NUSS RS Y 2 2029-06-26 Fixed 1.50000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -4469.69000000 -0.00024623471 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 763676.10000000 EUR 837192.50000000 USD 2023-09-20 -4469.69000000 N N N IPOTEKA-BANK ATIB 213800UWVX5JSNXJS434 000000000 833000.00000000 PA USD 774227.69000000 0.042652116432 Long DBT CORP UZ Y 2 2025-11-19 Fixed 5.50000000 N N N N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 13209000.00000000 PA USD 6147809.79000000 0.338682150426 Long DBT NUSS LK Y 2 2026-07-18 Fixed 6.82500000 N Y N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PL78 290839.31000000 PA USD 295598.01000000 0.016284461150 Long ABS-MBS USGSE US N 2 2030-02-17 Fixed 6.60000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -106482.96000000 -0.00586613429 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 222932331.00000000 KES 1376114.49000000 USD 2023-12-21 -106482.96000000 N N N Fisher & Paykel Healthcare Corp Ltd N/A 000000000 -94600.00000000 NS -1444262.63000000 -0.07956426597 Short EC CORP NZ N 2 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 426000000.00000000 PA 1279092.47000000 0.070465060425 Long STIV NUSS LK N 2 2023-10-13 None 0.00000000 N N N N N N COOF 1651067010 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 1.91000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 1904244.57000000 PA USD 1904244.57000000 0.104904619358 Long RA CORP US N 2 Repurchase N 3.25000000 2024-07-27 1904244.57000000 USD 1904244.57000000 USD N N N Galaxy Cosmos Mezz PLC 2138002CVPZMTIF4VV87 000000000 23855.00000000 NS 14502.05000000 0.000798916304 Long EC CORP CY N 2 N N N COOF 8887125010 N/A 000000000 536836.81000000 PA USD 26373.70000000 0.001452924169 Long ABS-MBS CORP US N 2 2027-05-15 Fixed 3.78000000 N N N N N N REPUBLIC OF ZAMBIA 213800DMLAZ6LGMMD849 000000000 5026000.00000000 PA USD 2673756.63000000 0.147296952263 Long DBT NUSS ZM Y 2 2022-09-20 Fixed 5.37500000 N Y N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PKD6 20027.50000000 PA USD 20768.93000000 0.001144158019 Long ABS-MBS USGSE US N 2 2030-03-17 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390PTM9 1682.08000000 PA USD 1689.45000000 0.000093071610 Long ABS-MBS USGSE US N 2 2025-07-01 Floating 7.72500000 N N N N N N Motor Oil Hellas Corinth Refineries SA 213800U3Y9UL7Y4QVM11 000000000 41500.00000000 NS 1048804.60000000 0.057778527547 Long EC CORP GR N 2 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KU69 391313.51000000 PA USD 397842.17000000 0.021917080434 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 7.00000000 N N N N N N Republic of Cyprus 213800IOEYYAHPDLUL60 000000000 812000.00000000 PA 807014.64000000 0.044458345823 Long DBT NUSS CY Y 2 2034-02-26 Fixed 2.75000000 N N N N N N COOF 2323427006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 448000.00000000 PA USD 33600.00000000 0.001851020223 Long DBT NUSS LB N 2 2020-06-19 None 0.00000000 Y N N N N N JPMorgan Securities PLC K6Q0W1PS1L1O4IQL9C32 000000000 9250000.00000000 OU Notional Amount USD -268752.65000000 -0.01480555328 N/A DCR GB N 2 JPMorgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Czech Republic International Bonds Czech Republic International Bonds Y buy protection 2028-06-20 0.00000000 USD -260515.65000000 USD 9250000.00000000 USD -8237.00000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 8628000.00000000 PA USD 646582.32000000 0.035620147344 Long DBT NUSS LB N 2 2029-05-25 None 0.00000000 Y N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -13600.51000000 -0.00074925056 N/A DFE MY N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 657372.78000000 USD 2900000.00000000 MYR 2023-08-15 -13600.51000000 N N N ALPHA HOLDING SA 549300R872G37EN6NT94 020ESCAC3 3890000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP MX N 3 2025-02-10 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 28400000.00000000 OU Notional Amount USD -1123031.42000000 -0.06186767471 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2036-10-29 0.00000000 USD 0.00000000 USD 28400000.00000000 USD -1123031.42000000 N N N COOF 2137117003 N/A 000000000 983721.85000000 PA USD 80060.02000000 0.004410497504 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.41000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -446654.24000000 -0.02460613188 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 19047525.86000000 BRL 3553642.88000000 USD 2023-09-11 -446654.24000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359HG81 5180.30000000 PA USD 5181.05000000 0.000285423462 Long ABS-MBS USGSE US N 2 2024-05-17 Fixed 7.50000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -85251.16000000 -0.00469647682 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 17900000.00000000 MYR 3898083.62000000 USD 2023-09-20 -85251.16000000 N N N Republic of Poland 259400R9L8QEP0TPXS31 000000000 -7156000.00000000 PA -6942603.43000000 -0.38246724273 Short DBT NUSS PL Y 2 2029-03-07 Fixed 1.00000000 N N N N N N COOF 9624165003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 1.81000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -8102.43000000 -0.00044636195 N/A DFE UG N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2779843.17000000 USD 10035233840.00000000 UGX 2023-08-03 -8102.43000000 N N N Arion Banki HF RIL4VBPDB0M7Z3KXSF19 000000000 1015472.00000000 NS 1151010.53000000 0.063409040744 Long EC CORP IS Y 2 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31300LA96 504628.40000000 PA USD 510929.82000000 0.028147066364 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 4.62700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359UNJ0 101092.72000000 PA USD 101825.67000000 0.005609564716 Long ABS-MBS USGSE US N 2 2028-07-20 Fixed 6.50000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -72619.67000000 -0.00400060945 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 178630000.00000000 KES 1175197.37000000 USD 2023-08-04 -72619.67000000 N N N COOF 2309137006 N/A 000000000 644448.22000000 PA USD 89339.89000000 0.004921724499 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.16000000 N N N N N N Bank Mandiri Persero Tbk PT 549300RSKQN4Z5ZSGH94 000000000 2570000.00000000 NS 976973.46000000 0.053821358116 Long EC CORP ID N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5900000.00000000 OU Notional Amount -1336892.34000000 -0.07364924876 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2046-10-15 0.00000000 EUR 0.00000000 EUR 5900000.00000000 EUR -1336892.34000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 15520000.00000000 OU Notional Amount -351068.20000000 -0.01934030768 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-12-21 0.00000000 PLN 0.00000000 PLN 15520000.00000000 PLN -351068.20000000 N N N Islandsbanki HF 549300PZMFIQR79Q0T97 000000000 668258.00000000 NS 598764.67000000 0.032985878379 Long EC CORP IS N 2 N N N COOF 8133675004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-02-15 Fixed 2.38000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 8087.38000000 0.000445532855 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 206000000.00000000 PHP 3769510.88000000 USD 2023-09-20 8087.38000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -62722.87000000 -0.00345539585 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 13100000.00000000 MYR 2845351.87000000 USD 2023-08-15 -62722.87000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -829562.47000000 -0.04570050324 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 195803000.00000000 EGP 5347982.25000000 USD 2023-09-28 -829562.47000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 772260.00000000 PA USD 772260.00000000 0.042543716611 Long RA CORP US N 2 Repurchase N 2.50000000 2024-07-28 772260.00000000 USD 772260.00000000 USD N N N Arion Banki HF RIL4VBPDB0M7Z3KXSF19 000000000 1000000000.00000000 PA 7467235.60000000 0.411369170019 Long DBT CORP IS Y 2 2024-04-12 Fixed 6.00000000 N N N N N N RELIANCE COMMUNICATION 3358004XUDHE13A1HZ26 000000000 1800000.00000000 PA USD 112500.00000000 0.006197612357 Long DBT CORP IN Y 2 2020-11-06 None 0.00000000 Y N N N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 444000.00000000 PA USD 199800.00000000 0.011006959546 Long DBT NUSS GH Y 2 2049-06-16 Fixed 8.62700000 N Y N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 3446000.00000000 PA USD 258811.83000000 0.014257914628 Long DBT NUSS LB N 2 2024-12-03 None 0.00000000 Y N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 18926.91000000 0.001042681344 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2400339.64000000 USD 2195104.00000000 EUR 2023-09-20 18926.91000000 N N N Coteccons Construction JSC N/A 000000000 36000.00000000 NS 109274.46000000 0.006019917720 Long EC CORP VN N 2 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2522000000.00000000 OU Notional Amount -49128.42000000 -0.00270647913 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 0.00000000 CLP 0.00000000 CLP 2522000000.00000000 CLP -49128.42000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2405000000.00000000 OU Notional Amount -24485.31000000 -0.00134889297 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-01 0.00000000 JPY 0.00000000 JPY 2405000000.00000000 JPY -24485.31000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7412000000.00000000 OU Notional Amount 215884.10000000 0.011893030807 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 7412000000.00000000 COP 215884.10000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -74355.90000000 -0.00409625817 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 20113562.09000000 PEN 5486963.50000000 USD 2023-09-20 -74355.90000000 N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 000000000 3160000.00000000 PA USD 1441498.50000000 0.079411990366 Long DBT NUSS LK Y 2 2024-06-28 Fixed 6.35000000 N Y N N N N SUSSEX CAPITAL LTD SER 16 NOV N/A 000000000 792.75000000 NS USD 463526.09000000 0.025535600206 Long STIV CORP US N 3 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 000000000 2405000000.00000000 OU Notional Amount 0.00000000 0.000000 N/A DIR US N 2 Morgan Stanley IGJSJL3JD5P30I6NJZ34 N/A N/A Y 2027-12-01 0.00000000 JPY 0.00000000 JPY 2405000000.00000000 JPY 0.00000000 N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 40321.40000000 0.002221301394 N/A DFE CA N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 4512824.77000000 USD 6000000.00000000 CAD 2023-09-20 40321.40000000 N N N COOF 8264205003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2037-04-15 Fixed 3.53000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PMR3 213571.14000000 PA USD 216594.40000000 0.011932161154 Long ABS-MBS USGSE US N 2 2029-08-17 Fixed 7.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6180000.00000000 OU Notional Amount USD -27257.51000000 -0.00150161316 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-07 0.00000000 USD 0.00000000 USD 6180000.00000000 USD -27257.51000000 N N N Sunac China Holdings Ltd 549300OLARYHDXP3WK18 000000000 3270000.00000000 PA USD 367931.11000000 0.020269283500 Long DBT CORP KY Y 2 2023-04-19 None 0.00000000 Y N N N N N COOF 1908407001 N/A 000000000 1550278.31000000 PA USD 119100.73000000 0.006561245830 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.16000000 N N N N N N RMOF SD 12/8/2017 N/A 000000000 18323368.00000000 PA USD 1171950.40000000 0.064562615829 Long ABS-MBS CORP US N 2 2039-10-29 Fixed 2.33000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 9666000.00000000 OU Notional Amount USD 1189384.38000000 0.065523051828 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of South Africa Republic of South Africa Y buy protection 2031-06-20 1162637.47000000 USD 0.00000000 USD 9666000.00000000 USD 26746.91000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 42249.11000000 0.002327498721 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1866301.96000000 USD 1731710.00000000 EUR 2023-09-20 42249.11000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 262726.67000000 0.014473582724 N/A DFE BR N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 11940000.00000000 USD 58103622.00000000 BRL 2023-09-11 262726.67000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 37800000.00000000 OU Notional Amount USD -527306.98000000 -0.02904928226 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of Poland Government International Bonds Republic of Poland Government International Bonds Y buy protection 2028-06-20 73272.55000000 USD 0.00000000 USD 37800000.00000000 USD -600579.53000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -1469.75000000 -0.00008096836 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4090000.00000000 THB 118564.47000000 USD 2023-09-20 -1469.75000000 N N N COOF 1738297001 N/A 000000000 899315.22000000 PA USD 100110.94000000 0.005515100433 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 000000000 1130012.00000000 PA USD 253122.69000000 0.013944500545 Long DBT NUSS EC Y 2 2040-07-31 Variable 1.50000000 N N N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 4621000.00000000 PA USD 346112.90000000 0.019067320764 Long DBT NUSS LB Y 2 2031-11-20 None 0.00000000 Y N N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 7602000.00000000 PA USD 569070.52000000 0.031350030993 Long DBT NUSS LB Y 2 2024-04-22 None 0.00000000 Y N N N N N COOF 9632055005 N/A 000000000 1804427.56000000 PA USD 104510.25000000 0.005757457927 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.91000000 N N N N N N COOF 2237237001 N/A 000000000 2405591.58000000 PA USD 204514.60000000 0.011266686330 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.41000000 N N N N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 4477000.00000000 PA 4651964.04000000 0.256276176165 Long DBT NUSS MK Y 2 2026-06-03 Fixed 3.67500000 N N N N N N RIKISBREF 549300K5GD3JPA2LLG98 000000000 1418285267.00000000 PA 10653890.05000000 0.586921605546 Long DBT NUSS IS N 2 2031-01-24 Fixed 6.50000000 N N N N N N COOF 1205867003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 3.16000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 12829.12000000 0.000706754779 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2402949.23000000 USD 2191939.00000000 EUR 2023-09-20 12829.12000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PLG8 168597.96000000 PA USD 169548.81000000 0.009340424888 Long ABS-MBS USGSE US N 2 2030-10-17 Fixed 8.00000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286BM8 1024000000.00000000 PA 18446097.36000000 1.016193430549 Long DBT NUSS PH N 2 2036-01-14 Fixed 6.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6013000000.00000000 OU Notional Amount 15274.85000000 0.000841489769 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 6013000000.00000000 KRW 15274.85000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 155000000.00000000 OU Notional Amount -3761.88000000 -0.00020724154 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 155000000.00000000 JPY -3761.88000000 N N N COOF 2033337005 N/A 000000000 282348.83000000 PA USD 20346.87000000 0.001120906781 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.16000000 N N N N N N SEPLAT ENERGY PL 029200711C4S4CB2E982 000000000 3306000.00000000 PA USD 2961018.90000000 0.163122198435 Long DBT CORP NG Y 2 2026-04-01 Fixed 7.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385W2S7 44439.70000000 PA USD 45167.86000000 0.002488292331 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 448827.52000000 0.024725857636 N/A DFE BR N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3551469.60000000 USD 19047525.86000000 BRL 2023-09-11 448827.52000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 399960.00000000 OU Notional Amount 6653.77000000 0.000366555441 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-10-17 0.00000000 EUR 0.00000000 EUR 399960.00000000 EUR 6653.77000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5900000.00000000 OU Notional Amount -1334673.44000000 -0.07352700981 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2046-10-15 0.00000000 EUR 0.00000000 EUR 5900000.00000000 EUR -1334673.44000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKZC2 537393.67000000 PA USD 548567.24000000 0.030220507602 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.50000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 8825.72000000 0.000486207922 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 375000000.00000000 PHP 6856077.23000000 USD 2023-09-20 8825.72000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 59542.64000000 0.003280197346 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4492030000.00000000 CLP 5386127.10000000 USD 2023-09-20 59542.64000000 N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 3809000.00000000 PA 3063394.15000000 0.168762039452 Long DBT NUSS BJ Y 2 2035-01-22 Fixed 4.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 183208310.00000000 OU Notional Amount 44172.23000000 0.002433443186 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 CZK 0.00000000 CZK 183208310.00000000 CZK 44172.23000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -271360.17000000 -0.01494920126 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 55810000.00000000 NZD 34394419.37000000 USD 2023-09-20 -271360.17000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2852000000.00000000 OU Notional Amount -50069.64000000 -0.00275833084 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 0.00000000 CLP 0.00000000 CLP 2852000000.00000000 CLP -50069.64000000 N N N COOF 8544575003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-09-15 Fixed 2.48000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 250198.87000000 0.013783427630 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 8328985.21000000 USD 12751049.00000000 AUD 2023-09-20 250198.87000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5900000.00000000 OU Notional Amount 997674.39000000 0.054961770024 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2036-10-15 0.00000000 EUR 0.00000000 EUR 5900000.00000000 EUR 997674.39000000 N N N COOF 9579435001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 000000000 400000.00000000 PA USD 182000.00000000 0.010026359546 Long DBT NUSS LK Y 2 2023-04-18 Fixed 5.75000000 N Y N N N N COOF 8690125006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.78000000 N N N N N N Pnmac Gmsr Issuer Trust N/A 69354WAD8 8064000.00000000 PA USD 8033760.00000000 0.442578935548 Long ABS-MBS CORP US N 2 2025-08-25 Floating 8.06200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CBV7 331874.10000000 PA USD 341877.93000000 0.018834016742 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 7.00000000 N N N N N N Bank of Cyprus Holdings PLC 635400L14KNHZXPUZM19 000000000 2520596.00000000 NS 7960238.39000000 0.438528638315 Long EC CORP IE N 2 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -107160.40000000 -0.00590345439 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 117351000.00000000 UYU 3012862.64000000 USD 2023-09-20 -107160.40000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 15424.99000000 0.000849760965 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 31125616677.00000000 IDR 2073796.83000000 USD 2023-10-18 15424.99000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -8873.55000000 -0.00048884287 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 683462.30000000 EUR 265000000.00000000 HUF 2023-09-20 -8873.55000000 N N N Republic of El Salvador 529900AKDMUSFSDOM949 000000000 863000.00000000 PA USD 790624.34000000 0.043555406038 Long DBT NUSS SV Y 2 2025-01-30 Fixed 5.87500000 N N N N N N COOF 9667865001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.61000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PMQ5 103467.46000000 PA USD 104239.28000000 0.005742530220 Long ABS-MBS USGSE US N 2 2032-03-25 Fixed 7.50000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -26487.59000000 -0.00145919835 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4525578.04000000 EUR 4961239.46000000 USD 2023-09-20 -26487.59000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2313884.00000000 OU Notional Amount -26313.79000000 -0.00144962373 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-10-11 0.00000000 EUR 0.00000000 EUR 2313884.00000000 EUR -26313.79000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 22743.90000000 0.001252958894 N/A DFE MY N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1221773.75000000 USD 5600000.00000000 MYR 2023-08-30 22743.90000000 N N N COOF 9584325008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 1.91000000 N N N N N N SUSSEX CAPITAL LTD N/A 000000000 5500.00000000 NS USD 5490572.45000000 0.302475019227 Long STIV CORP US N 3 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359R3U4 65141.40000000 PA USD 66089.29000000 0.003640851558 Long ABS-MBS USGSE US N 2 2028-04-18 Fixed 7.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -136845.65000000 -0.00753881147 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 23380978.90000000 EUR 25631783.20000000 USD 2023-09-20 -136845.65000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7PT7 2131479.53000000 PA USD 2168298.17000000 0.119451302507 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N COOF 9630945008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 1.61000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 14824000000.00000000 OU Notional Amount 405844.15000000 0.022357908613 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 14824000000.00000000 COP 405844.15000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GVM2 904355.93000000 PA USD 923159.43000000 0.050856749251 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 6.50000000 N N N N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 420000000.00000000 PA 1265992.63000000 0.069743391711 Long STIV NUSS LK N 2 2023-10-06 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359VU27 108223.97000000 PA USD 107365.97000000 0.005914779221 Long ABS-MBS USGSE US N 2 2029-06-25 Fixed 6.00000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 8524000.00000000 PA 9461870.18000000 0.521253364870 Long DBT NUSS RO Y 2 2026-09-27 Fixed 5.00000000 N N N N N N INDIABULLS HOUSING FIN 335800A2A3G53ZQZTQ21 000000000 2970000.00000000 PA USD 2468114.55000000 0.135968153187 Long DBT CORP IN Y 2 2026-09-28 Fixed 4.50000000 N N N N N INDIABULLS HOUSING FIN USD XXXX N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 14402.65000000 0.000793440369 N/A DFE NG N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 624275.71000000 USD 546549008.00000000 NGN 2024-06-26 14402.65000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 757813425.00000000 OU Notional Amount -81440.54000000 -0.00448655019 N/A DIR CL N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A N/A Y 2032-04-20 0.00000000 CLP 0.00000000 CLP 757813425.00000000 CLP -81440.54000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -62509.89000000 -0.00344366281 N/A DFE KR N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 13290234.95000000 USD 16855340473.00000000 KRW 2023-09-20 -62509.89000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 100000000.00000000 PA 282060.26000000 0.015538668024 Long STIV NUSS LK N 2 2024-03-15 None 0.00000000 N N N N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 435000000.00000000 PA 1257789.68000000 0.069291492118 Long STIV NUSS LK N 2 2024-01-05 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31363WDP7 265.10000000 PA USD 269.27000000 0.000014834054 Long ABS-MBS USGSE US N 2 2026-07-20 Fixed 8.50000000 N N N N N N Military Commercial Joint Stock Bank 5493007XE88E8JRNTJ93 000000000 914921.00000000 NS 779039.54000000 0.042917200708 Long EC CORP VN N 2 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 56300000.00000000 OU Notional Amount USD -1280743.37000000 -0.07055600832 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Spain Government International Bonds Spain Government International Bonds Y buy protection 2028-06-20 0.00000000 USD -1213158.90000000 USD 56300000.00000000 USD -67584.47000000 N N N COOF 1661267004 N/A 000000000 1348656.80000000 PA USD 119815.04000000 0.006600597088 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.41000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796YJ2 35000000.00000000 PA USD 34668018.35000000 1.909857234832 Long STIV UST US N 2 2023-10-05 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5422000000.00000000 OU Notional Amount 5776.97000000 0.000318252628 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-06-21 0.00000000 KRW 0.00000000 KRW 5422000000.00000000 KRW 5776.97000000 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 000000000 211153000.00000000 PA 3950237.82000000 0.217618157567 Long DBT NUSS UA N 2 2024-10-30 Fixed 12.70000000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 17353000.00000000 PA 4114747.45000000 0.226680974596 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -111032.09000000 -0.00611674536 N/A DFE AU N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 7010147.10000000 USD 10254000.00000000 AUD 2023-09-20 -111032.09000000 N N N RMOF SD 10/06/17 N/A 000000000 7413353.69000000 PA USD 629378.32000000 0.034672380917 Long ABS-MBS CORP US N 2 2036-03-19 Fixed 2.24000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -21041.77000000 -0.00115918874 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2440380.37000000 EUR 2668548.61000000 USD 2023-09-20 -21041.77000000 N N N JPMorgan Securities PLC K6Q0W1PS1L1O4IQL9C32 000000000 56000000.00000000 NC USD 40656.00000000 0.002239734470 N/A DCR US N 2 JPMorgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 56000000.00000000 OU Notional Amount N/A 40656.00000000 0.00000000 DCR US CDX.NA.HY.S40 2I65BRZI4 buy protection 2028-06-20 0.00000000 N/A 0.00000000 N/A 56000000.00000000 USD 1.00000000 96.00000000 USD 2023-09-20 XXXX -774144.00000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2148000000.00000000 OU Notional Amount -45975.59000000 -0.00253279008 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 0.00000000 CLP 0.00000000 CLP 2148000000.00000000 CLP -45975.59000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2838000000.00000000 OU Notional Amount -23381.86000000 -0.00128810403 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-01 0.00000000 JPY 0.00000000 JPY 2838000000.00000000 JPY -23381.86000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -9071.93000000 -0.00049977160 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1550000.00000000 EUR 1699213.03000000 USD 2023-09-20 -9071.93000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1477814.83000000 -0.08141265290 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 579972886.07000000 ZAR 30808652.65000000 USD 2023-09-20 -1477814.83000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 286000000.00000000 PA 797824.82000000 0.043952079672 Long STIV NUSS LK N 2 2024-04-19 None 0.00000000 N N N N N N Republic of Poland 259400R9L8QEP0TPXS31 000000000 -2794000.00000000 PA -2881340.15000000 -0.15873270505 Short DBT NUSS PL Y 2 2026-08-07 Fixed 1.12500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 19250000.00000000 OU Notional Amount USD -86957.45000000 -0.00479047614 N/A DCR GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Sweden Government International Bonds Sweden Government International Bonds Y buy protection 2028-06-20 0.00000000 USD -63132.97000000 USD 19250000.00000000 USD -23824.48000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 960000000.00000000 OU Notional Amount -17440.17000000 -0.00096077700 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-09-20 0.00000000 INR 0.00000000 INR 960000000.00000000 INR -17440.17000000 N N N REPUBLIC OF UZBEKISTAN 213800L6VDKUM3TCM927 000000000 2500000000.00000000 PA 212143.99000000 0.011686988567 Long DBT NUSS UZ Y 2 2024-07-19 Fixed 14.00000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 2455403.96000000 PA USD 2455403.96000000 0.135267928212 Long RA CORP US N 2 Repurchase N 5.05000000 2024-07-27 2455403.96000000 USD 2455403.96000000 USD CDS N N N Freddie Mac - STACR 5493000ITFTMJUMPDE35 35565XBD1 3825650.11000000 PA USD 4288598.92000000 0.236258432540 Long ABS-MBS USGSE US N 2 2050-08-25 Floating 11.18300000 N N N N N N INTL FINANCE CORP QKL54NQY28TCDAI75F60 000000000 16000000000.00000000 PA 1382698.77000000 0.076172719848 Long DBT NUSS XX N 2 2025-02-21 Fixed 16.00000000 N N N N N N Hellenic Telecommunications Organization SA ELPUFM0XZRZO4LFXW404 000000000 127496.00000000 NS 2012137.23000000 0.110848413872 Long EC CORP GR N 2 N N N Ryman Healthcare Ltd 529900UR74KKRFG56I57 000000000 -96000.00000000 NS -406611.40000000 -0.02240017633 Short EC CORP NZ N 2 N N N GOVERNMENT OF UKRAINE 6354001WLTJXOMEXPY07 000000000 822303000.00000000 PA 18039756.26000000 0.993808145015 Long DBT NUSS UA N 2 2023-11-22 Fixed 11.67000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 84987.98000000 0.004681978267 N/A DFE ZA N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 2141769.05000000 USD 40000000.00000000 ZAR 2023-09-20 84987.98000000 N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 571827000.00000000 PA 1396619.90000000 0.076939633335 Long DBT NUSS AM N 2 2050-10-29 Fixed 9.75000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 41000000.00000000 OU Notional Amount USD -5319.75000000 -0.00029306442 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 French Republic Government Bonds OAT French Republic Government Bonds OAT Y buy protection 2028-06-20 91647.36000000 USD 0.00000000 USD 41000000.00000000 USD -96967.11000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10200000.00000000 OU Notional Amount -351817.82000000 -0.01938160416 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2053-06-15 0.00000000 EUR 0.00000000 EUR 10200000.00000000 EUR -351817.82000000 N N N JSC GEORGIA CAPITAL 635400VNH3KVFQNWDH25 000000000 6762000.00000000 PA USD 6719737.50000000 0.370189583695 Long DBT CORP GE Y 2 2024-03-09 Fixed 6.12500000 N N N N N N EXPORT-IMPORT BK INDIA 335800OFZ8YEIVN1QI11 30216JAG0 4490000.00000000 PA USD 4472015.89000000 0.246362852805 Long DBT NUSS IN N 2 2033-01-18 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -224280.92000000 -0.01235561067 N/A DFE IL N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 8956844.00000000 USD 32081176.00000000 ILS 2023-08-24 -224280.92000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5387780000.00000000 OU Notional Amount 97705.67000000 0.005382594379 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-06-14 0.00000000 CLP 0.00000000 CLP 5387780000.00000000 CLP 97705.67000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 33800.28000000 0.001862053626 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 6330938.86000000 USD 5775000.00000000 EUR 2023-09-20 33800.28000000 N N N COOF 9679725002 N/A 000000000 656271.11000000 PA USD 68191.12000000 0.003756641137 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.21000000 N N N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 3522000.00000000 PA USD 262406.61000000 0.014455950655 Long DBT NUSS LB Y 2 2028-11-03 None 0.00000000 Y N N N N N LIMAK ISKENDERUN 5299001DUZ9PI7TCRC47 000000000 4382160.72000000 PA USD 3926416.01000000 0.216305816731 Long DBT CORP TR Y 2 2036-07-10 Fixed 9.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PD51 4939.15000000 PA USD 5024.41000000 0.000276794182 Long ABS-MBS USGSE US N 2 2027-05-17 Fixed 9.50000000 N N N N N N COOF 9675505009 N/A 000000000 1843992.22000000 PA USD 141112.60000000 0.007773877275 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.36000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 858000.00000000 PA 736429.63000000 0.040569825555 Long DBT NUSS RO Y 2 2030-07-13 Fixed 1.75000000 N N N N N N Eurobank Ergasias Services and Holdings SA JEUVK5RWVJEN8W0C9M24 000000000 1206500.00000000 NS 2107623.53000000 0.116108743408 Long EC CORP GR N 2 N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 621020000.00000000 PA 1513871.56000000 0.083399014108 Long DBT NUSS AM N 2 2052-10-29 Fixed 9.75000000 N N N N N N Republic of Albania 254900EDM43U3SGRND29 000000000 2157000.00000000 PA 2287631.34000000 0.126025353431 Long DBT NUSS AL Y 2 2025-10-09 Fixed 3.50000000 N N N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 1505000.00000000 PA USD 102252.71000000 0.005633090302 Long DBT NUSS LB Y 2 2023-01-27 None 0.00000000 Y N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 5448000000.00000000 OU Notional Amount 7750.30000000 0.000426963156 N/A DE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 TITULOS DE TESORERIA TITULOS DE TESORERIA Y equity-performance leg 2023-08-11 0.00000000 COP 0.00000000 COP 5448000000.00000000 COP 7750.30000000 N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 115980000.00000000 PA 5199031.58000000 0.286414065463 Long DBT NUSS ZM N 2 2026-01-25 Fixed 11.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 45113.40000000 0.002485292136 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 8449936.14000000 USD 7707921.72000000 EUR 2023-09-20 45113.40000000 N N N REPUBLIC OF ALBANIA 254900EDM43U3SGRND29 000000000 13405000.00000000 PA 14545355.91000000 0.801302022442 Long DBT NUSS AL Y 2 2028-06-09 Fixed 5.90000000 N N N N N N Hagar hf 635400TICHH43JJTNP54 000000000 921987.00000000 NS 473743.27000000 0.026098463503 Long EC CORP IS N 2 N N N Bank of Industry Limited N/A 000000000 3819114.00000000 PA USD 3828661.79000000 0.210920547737 Long LON CORP NG N 2 2023-12-11 Floating 11.51100000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11880785000.00000000 OU Notional Amount -171134.01000000 -0.00942775337 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 11880785000.00000000 KRW -171134.01000000 N N N COOF 2093807006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.21000000 N N N N N N ISLAMIC REP OF PAKISTAN 529900LOP29R5WKHOD86 000000000 -1464000.00000000 PA USD -786900.00000000 -0.04335023256 Short DBT NUSS PK Y 2 2027-12-05 Fixed 6.87500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 2580000.00000000 OU Notional Amount USD -13976.01000000 -0.00076993682 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.EM.S31 2I65BZDL3 Y buy protection 2024-06-20 70263.70000000 USD 0.00000000 USD 2580000.00000000 USD -84239.71000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -34320.21000000 -0.00189069651 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 5863834.18000000 EUR 6428324.80000000 USD 2023-09-20 -34320.21000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 12641.12000000 0.000696397880 N/A DFE IL N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1601693.70000000 USD 5929792.00000000 ILS 2023-08-28 12641.12000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -417945.85000000 -0.02302458990 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 98002000.00000000 EGP 2673997.27000000 USD 2023-09-28 -417945.85000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T6UU3 4918.50000000 PA USD 4879.85000000 0.000268830388 Long ABS-MBS USGSE US N 2 2026-02-15 Fixed 6.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -76123.51000000 -0.00419363561 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 13770000.00000000 NZD 8476963.47000000 USD 2023-09-20 -76123.51000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 597182.81000000 PA USD 597182.81000000 0.032898733890 Long RA CORP US N 2 Repurchase N 0.00000100 2024-07-27 597182.81000000 USD 597182.81000000 USD N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -97622.58000000 -0.00537801696 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 20000000.00000000 MYR 4353030.80000000 USD 2023-09-20 -97622.58000000 N N N COOF 9632755003 N/A 000000000 1677645.84000000 PA USD 94545.35000000 0.005208492706 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 1.66000000 N N N N N N Infratil Ltd N/A 000000000 -144800.00000000 NS -895625.44000000 -0.04933990483 Short EC CORP NZ N 2 N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 20.00000000 NC 149330.34000000 0.008226591648 N/A DE HK N 2 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Long HKG Hang Seng Index Futures HIQ3 Index 2023-08-30 19139356.16000000 HKD 149330.34000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 68052.24000000 0.003748990253 N/A DFE MY N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3341148.25000000 USD 15320000.00000000 MYR 2023-09-20 68052.24000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CVV1 8114530.00000000 PA USD 8265702.48000000 0.455356620705 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2103000000.00000000 OU Notional Amount -23966.93000000 -0.00132033548 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-21 0.00000000 KRW 0.00000000 KRW 2103000000.00000000 KRW -23966.93000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 38100000.00000000 OU Notional Amount USD 681304.20000000 0.037532971811 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 681304.20000000 0.04000000 DFE US 266700000.00000000 CNY 38100000.00000000 USD 2024-01-18 1.00000000 7.00000000 USD 2024-01-18 XXXX 277028.60000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -3555.39000000 -0.00019586603 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 412346.56000000 EUR 450899.73000000 USD 2023-09-20 -3555.39000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 9250000.00000000 OU Notional Amount USD 210989.08000000 0.011623364705 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Hungary Government International Bonds Hungary Government International Bonds Y buy protection 2028-06-20 296012.61000000 USD 0.00000000 USD 9250000.00000000 USD -85023.53000000 N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 3382000.00000000 PA USD 251130.41000000 0.013834746064 Long DBT NUSS LB Y 2 2021-04-12 None 0.00000000 Y N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 53652040000.00000000 OU Notional Amount 139114.34000000 0.007663793356 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-01-27 0.00000000 CLP 0.00000000 CLP 53652040000.00000000 CLP 139114.34000000 N N N Bank Negara Indonesia Persero Tbk PT 549300HZ8J3MLVXQ8F85 000000000 270000.00000000 NS 158949.71000000 0.008756521660 Long EC CORP ID N 2 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -10668.85000000 -0.00058774574 N/A DFE XX N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 3324409.69000000 USD 3013574.00000000 EUR 2023-08-04 -10668.85000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1456000000.00000000 OU Notional Amount -20659.20000000 -0.00113811300 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 0.00000000 CLP 0.00000000 CLP 1456000000.00000000 CLP -20659.20000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 95243.05000000 0.005246928920 N/A DFE IL N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 9277556.24000000 USD 34449394.00000000 ILS 2023-08-11 95243.05000000 N N N TESNIK CUATRO LTD N/A 000000000 409000.00000000 NS USD 459184.30000000 0.025296411482 Long EC CORP US N 3 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -67851.34000000 -0.00373792269 N/A DFE XX N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3238269.67000000 USD 2883234.00000000 EUR 2023-08-04 -67851.34000000 N N N COOF 1283797001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 2.91000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DJ50 132.93000000 PA USD 134.81000000 0.000007426667 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 9.50000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 3015000.00000000 PA 1999902.53000000 0.110174405624 Long DBT NUSS EG Y 2 2031-04-11 Fixed 6.37500000 N N N N N N COOF 9662825001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.21000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 16042220000.00000000 OU Notional Amount 203294.44000000 0.011199467852 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-06-06 0.00000000 CLP -4111115.00000000 CLP 16042220000.00000000 CLP 208440.50000000 N N N COOF 2188787005 N/A 000000000 216903.71000000 PA USD 25575.85000000 0.001408970702 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N COOF 2254177009 N/A 000000000 1445174.90000000 PA USD 146567.28000000 0.008074374983 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.41000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 5379500000.00000000 OU Notional Amount 3962.25000000 0.000218279907 N/A DIR CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 TITULOS DE TESORERIA TITULOS DE TESORERIA Y equity-performance leg 2023-08-25 0.00000000 COP 0.00000000 COP 5379500000.00000000 COP 3962.25000000 N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -2501.48000000 -0.00013780625 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 182735.36000000 USD 2106025000.00000000 UZS 2023-09-05 -2501.48000000 N N N DIG INTL FIN/DIG INTL HL N/A 000000000 1120000.00000000 PA USD 1018124.80000000 0.056088380812 Long DBT CORP XX Y 2 2024-05-25 Fixed 8.75000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -1523955.99000000 -0.08395456422 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 607100000.00000000 MXN 34412588.28000000 USD 2023-09-20 -1523955.99000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714RCZ5 345900000.00000000 PA 6351792.09000000 0.349919512409 Long DBT NUSS DO N 2 2025-08-08 Fixed 12.00000000 N N N N N N ARAGVI FINANCE INTL 635400VKAYT1VT6VBF50 000000000 5849000.00000000 PA USD 4048092.90000000 0.223008982927 Long DBT CORP IE Y 2 2026-04-29 Fixed 8.45000000 N N N N N N EUROPE ASIA INVESTMENT FINANCE 724500NLUHSB0SRCRO66 000000000 125249130000.00000000 PA 10281852.73000000 0.566426111398 Long LON CORP NL N 3 2025-07-20 Fixed 18.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 472700000.00000000 OU Notional Amount -24533.61000000 -0.00135155381 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 472700000.00000000 JPY -24533.61000000 N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 198000000.00000000 PA 578832.00000000 0.031887789829 Long STIV NUSS LK N 2 2023-12-08 None 0.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 9100000.00000000 OU Notional Amount USD -21155.59000000 -0.00116545907 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Finland Government International Bonds Finland Government International Bonds Y buy protection 2028-06-20 4075.34000000 USD 0.00000000 USD 9100000.00000000 USD -25230.93000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283HSP1 378536.42000000 PA USD 389759.67000000 0.021471816418 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 6.50000000 N N N N N N Republic of Zambia 213800DMLAZ6LGMMD849 000000000 3738000.00000000 PA USD 2180842.65000000 0.120142376500 Long DBT NUSS ZM Y 2 2024-04-14 Fixed 8.50000000 N Y N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7973800000.00000000 OU Notional Amount 205986.78000000 0.011347788560 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 7973800000.00000000 COP 205986.78000000 N N N HONDURAS GOVERNMENT 5493002DW1JNBNG17615 000000000 4103000.00000000 PA USD 3785017.50000000 0.208516188706 Long DBT NUSS HN Y 2 2027-01-19 Fixed 6.25000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -42719.00000000 -0.00235338490 N/A DFE NG N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1237402.94000000 USD 1020857426.00000000 NGN 2024-06-21 -42719.00000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC N/A -17452.21000000 -0.00096144028 N/A DFE HU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 1212778.92000000 EUR 469625350.00000000 HUF 2023-09-20 -17452.21000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -101048.15000000 -0.00556673122 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4004249.86000000 EUR 1535109267.00000000 HUF 2023-09-20 -101048.15000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5242000000.00000000 OU Notional Amount -1866.25000000 -0.00010281150 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-06-21 0.00000000 KRW 0.00000000 KRW 5242000000.00000000 KRW -1866.25000000 N N N COOF 9131835005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.66000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 290821.86000000 0.016021343584 N/A DFE CO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2418592.12000000 USD 10771200000.00000000 COP 2023-09-20 290821.86000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BUU0 558105.52000000 PA USD 587809.60000000 0.032382364804 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 8.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 433000000.00000000 OU Notional Amount 640896.89000000 0.035306937644 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-02-18 0.00000000 MXN 0.00000000 MXN 433000000.00000000 MXN 640896.89000000 N N N COOF 2287837002 N/A 000000000 1321755.08000000 PA USD 140264.44000000 0.007727152236 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 1101000.00000000 PA 1210549.93000000 0.066689059599 Long RA CORP LU N 2 Repurchase N 2.25000000 2024-06-20 1101000.00000000 USD 1213907.55000000 USD N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1780576.00000000 OU Notional Amount -13071.27000000 -0.00072009479 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-10-27 0.00000000 EUR 0.00000000 EUR 1780576.00000000 EUR -13071.27000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 6270000.00000000 PA 5659244.71000000 0.311767155075 Long DBT NUSS RO Y 2 2049-04-03 Fixed 4.62500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 59477600000.00000000 OU Notional Amount -1632747.34000000 -0.08994786746 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-08 0.00000000 COP 0.00000000 COP 59477600000.00000000 COP -1632747.34000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PL86 164571.96000000 PA USD 165071.33000000 0.009093761018 Long ABS-MBS USGSE US N 2 2035-06-17 Fixed 7.00000000 N N N N N N VTR COMUNICACIONES SPA 213800XDZJKMC1AEUV94 000000000 1149000.00000000 PA USD 678852.18000000 0.037397890305 Long DBT CORP CL Y 2 2029-04-15 Fixed 4.37500000 N N N N N N WOW AIR EHF 549300LW49V05P8Z2H93 000000000 3600000.00000000 PA 0.00000000 0.000000 Long DBT CORP IS N 3 2049-12-31 None 0.00000000 N N N N N N COOF 2266577008 N/A 000000000 2545091.26000000 PA USD 182803.23000000 0.010070609396 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.16000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -103231.16000000 -0.00568699300 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 5647500000.00000000 COP 1317354.79000000 USD 2023-09-20 -103231.16000000 N N N COOF 2231357001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202KPP4 22274.24000000 PA USD 21908.42000000 0.001206932395 Long ABS-MBS USGA US N 2 2024-10-20 Floating 3.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -326770.58000000 -0.01800175452 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 20778000000.00000000 COP 4899778.33000000 USD 2023-09-20 -326770.58000000 N N N COOF 9766785007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -13429.95000000 -0.00073985443 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1557577.85000000 EUR 1703206.71000000 USD 2023-09-20 -13429.95000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202BSS5 450.94000000 PA USD 450.01000000 0.000024791000 Long ABS-MBS USGA US N 2 2023-10-20 Fixed 7.50000000 N N N N N N IHS NETHERLANDS HOLDCO 5493006Z6YQYCCN2XI74 000000000 561000.00000000 PA USD 513438.42000000 0.028285264856 Long DBT CORP NL Y 2 2027-09-18 Fixed 8.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 5379500000.00000000 OU Notional Amount 4817.00000000 0.000265367988 N/A DE CO N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 TITULOS DE TESORERIA TITULOS DE TESORERIA Y equity-performance leg 2023-08-25 0.00000000 COP 0.00000000 COP 5379500000.00000000 COP 4817.00000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 8340000.00000000 PA 9638833.52000000 0.531002255383 Long DBT NUSS RO Y 2 2029-09-27 Fixed 6.62500000 N N N N N N Government of The Republic of Kenya Acting through The National Treasury N/A 000000000 4830000.00000000 PA USD 4837443.03000000 0.266494192880 Long LON NUSS KE N 2 2025-06-29 Floating 12.20300000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1129918.91000000 -0.06224710576 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 931678061.93000000 ZAR 50744992.48000000 USD 2023-09-18 -1129918.91000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 13136.71000000 0.000723699877 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 289000000.00000000 PHP 5290085.21000000 USD 2023-09-20 13136.71000000 N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 500800000.00000000 PA 1246338.94000000 0.068660672138 Long DBT NUSS AM N 2 2026-04-29 Fixed 9.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 65786.60000000 0.003624176400 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 217922104000.00000000 IDR 14477219.06000000 USD 2023-10-18 65786.60000000 N N N Hellenic Republic 2138003EKTMKZ5598902 000000000 85770100.00000000 PA 364957.48000000 0.020105466558 Long DBT NUSS GR N 2 2042-10-15 Variable 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2976000000.00000000 OU Notional Amount 60.80000000 0.000003349465 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 2976000000.00000000 KRW 60.80000000 N N N COOF 1826907005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.16000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGW5 28184117.54000000 PA USD 27379922.36000000 1.508356845795 Long DBT UST US N 2 2028-04-15 Fixed 1.25000000 N N N N N N COOF 2148227007 N/A 000000000 1056414.98000000 PA USD 47917.97000000 0.002639795582 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 2.96000000 N N N N N N Morgan Stanley & Co. LLC 549300BI6Y5SI6BYPB26 61747C707 265755581.11000000 NS USD 265755581.11000000 14.64044509714 Long STIV RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 14433000000.00000000 OU Notional Amount -424422.22000000 -0.02338137240 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-03-15 0.00000000 COP 0.00000000 COP 14433000000.00000000 COP -424422.22000000 N N N Republic of Colombia 549300MHDRBVRF6B9117 195325DQ5 -42853000.00000000 PA USD -31275168.44000000 -1.72294551458 Short DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N N Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 000000000 1.00000000 NC -111022.52000000 -0.00611621814 N/A DFE XX N 2 Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 9439457.95000000 USD 8483442.68000000 EUR 2023-08-04 -111022.52000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2806000000.00000000 OU Notional Amount 13727.64000000 0.000756254144 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 2806000000.00000000 KRW 13727.64000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 799921.00000000 OU Notional Amount 17164.06000000 0.000945566136 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-10-18 0.00000000 EUR 0.00000000 EUR 799921.00000000 EUR 17164.06000000 N N N IRSA Inversiones y Representaciones SA 549300QJINFBX83IZ837 000000000 201760.00000000 NS USD 92809.60000000 0.005112870433 Long EC CORP AR N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 44982400000.00000000 OU Notional Amount -1258108.75000000 -0.06930906964 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-05 0.00000000 COP 0.00000000 COP 44982400000.00000000 COP -1258108.75000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -279124.83000000 -0.01537695551 N/A DFE HU N 2 UBS AG BFM8T61CT2L1QCEMIK50 7641522.82000000 EUR 2898811683.00000000 HUF 2023-09-20 -279124.83000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359XSV2 21927.93000000 PA USD 22434.74000000 0.001235927305 Long ABS-MBS USGSE US N 2 2030-02-25 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PK53 31097.65000000 PA USD 31256.91000000 0.001721939659 Long ABS-MBS USGSE US N 2 2030-04-17 Fixed 8.00000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 3618000.00000000 OU Notional Amount USD 502243.52000000 0.027668539073 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Put Purchased Bank of America N.A. B4TYDEB6GKMZO031MB27 Bank of America N.A. B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 502243.52000000 0.03000000 DFE US 16281000.00000000 BRL 3618000.00000000 USD 2023-10-27 1.00000000 4.50000000 USD 2023-10-27 XXXX -30644.48000000 N N N COOF 9626555006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.41000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 22700000.00000000 OU Notional Amount -196518.36000000 -0.01082617436 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-21 0.00000000 PLN 0.00000000 PLN 22700000.00000000 PLN -196518.36000000 N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 000000000 1061000.00000000 PA USD 583528.78000000 0.032146534911 Long DBT NUSS EG Y 2 2061-02-16 Fixed 7.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 9820000.00000000 OU Notional Amount USD 298767.22000000 0.016459052573 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Romania Government International Bonds Romania Government International Bonds Y buy protection 2028-06-20 510564.53000000 USD 0.00000000 USD 9820000.00000000 USD -211797.31000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B2XJ6 719574.33000000 PA USD 140303.83000000 0.007729322227 Long ABS-MBS USGSE US N 2 2048-08-25 Fixed 4.00000000 N N N N N N Freddie Mac - STACR 5493000IRODEKU3J3Q16 35564KTJ8 2957300.00000000 PA USD 3157795.77000000 0.173962614089 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 10.31900000 N N N N N N COOF 9627715008 N/A 000000000 415000.82000000 PA USD 15222.10000000 0.000838583778 Long ABS-MBS CORP US N 2 2027-08-15 Fixed 2.71000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 8750000.00000000 OU Notional Amount USD -329863.63000000 -0.01817215030 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Republic of Austria Government International Bonds Republic of Austria Government International Bonds Y buy protection 2028-06-20 0.00000000 USD -326488.97000000 USD 8750000.00000000 USD -3374.66000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 5202000.00000000 PA 3772584.49000000 0.207831255582 Long DBT NUSS RO Y 2 2050-01-28 Fixed 3.37500000 N N N N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 10491000.00000000 PA 9516604.36000000 0.524268664695 Long DBT NUSS MK Y 2 2028-03-10 Fixed 1.62500000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 177440.45000000 0.009775174449 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 7838212.52000000 USD 7272944.71000000 EUR 2023-09-20 177440.45000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -495.00000000 NC USD 807687.52000000 0.044495414707 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CBOT 10 Year U.S. Treasury Notes TYU3 Comdty 2023-09-20 -55953781.27000000 USD 807687.52000000 N N N COOF 1693407003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 2.41000000 N N N N N N COOF 9643545005 N/A 000000000 802938.60000000 PA USD 92208.06000000 0.005079731662 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.46000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128HDZJ1 5324.65000000 PA USD 5219.48000000 0.000287540566 Long ABS-MBS USGSE US N 2 2029-06-01 Floating 4.21300000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 14533000.00000000 OU Notional Amount USD -272196.99000000 -0.01499530158 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 SAUDI INTERNATIONAL BOND SAUDI INTERNATIONAL BOND Y buy protection 2031-06-20 211180.04000000 USD 0.00000000 USD 14533000.00000000 USD -483377.03000000 N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 110503.82000000 0.006087643025 N/A DFE CA N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 8471087.75000000 USD 11308565.00000000 CAD 2023-09-20 110503.82000000 N N N COOF 2298157005 N/A 000000000 3478339.82000000 PA USD 284171.53000000 0.015654977651 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.41000000 N N N N N N PANAMA BONOS DEL TESORO 549300SHS4T08CL0LP14 000000000 1106000.00000000 PA USD 1098258.00000000 0.060502909795 Long DBT NUSS PA Y 2 2033-07-25 Fixed 6.37500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 16600000.00000000 OU Notional Amount USD 1118179.65000000 0.061600391254 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y buy protection 2028-12-20 1238574.11000000 USD 0.00000000 USD 16600000.00000000 USD -120394.46000000 N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -14605.83000000 -0.00080463353 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1930000.00000000 CAD 1449989.52000000 USD 2023-09-20 -14605.83000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 60930563.00000000 OU Notional Amount 9721.00000000 0.000535528797 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 CZK 0.00000000 CZK 60930563.00000000 CZK 9721.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B1TS3 4622870.93000000 PA USD 818904.60000000 0.045113362383 Long ABS-MBS USGSE US N 2 2048-04-25 Fixed 3.00000000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 246500.00000000 PA USD 246500.00000000 0.013579657297 Long RA CORP US N 2 Repurchase N 0.00000100 2024-07-28 246500.00000000 USD 246500.00000000 USD N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359HWH3 5481.00000000 PA USD 5475.05000000 0.000301619889 Long ABS-MBS USGSE US N 2 2024-04-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDH9 238899.18000000 PA USD 243171.57000000 0.013396294463 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4471000000.00000000 OU Notional Amount -31448.54000000 -0.00173249653 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 262212.27000000 COP 0.00000000 COP 4471000000.00000000 COP -31507.94000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 9724.54000000 0.000535723815 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 252000000.00000000 PHP 4611077.56000000 USD 2023-09-20 9724.54000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -224510.58000000 -0.01236826262 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3310000.00000000 OMR 8357530.61000000 USD 2024-07-29 -224510.58000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2590000.00000000 OU Notional Amount -181846.25000000 -0.01001788947 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2053-03-13 0.00000000 EUR 0.00000000 EUR 2590000.00000000 EUR -181846.25000000 N N N Bank for Foreign Trade of Vietnam JSC 2549004TS5QUBFGAWE51 000000000 99972.00000000 NS 386952.72000000 0.021317181858 Long EC CORP VN N 2 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 9373000000.00000000 PA 663817.24000000 0.036569617150 Long DBT NUSS ID N 2 2048-05-15 Fixed 7.37500000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC N/A -132989.02000000 -0.00732635016 N/A DFE HU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3937090.62000000 EUR 1497388162.00000000 HUF 2023-09-20 -132989.02000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 48600000.00000000 OU Notional Amount USD -1728002.65000000 -0.09519547179 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S40 2I65BRZI4 Y buy protection 2028-06-20 68093.41000000 USD 0.00000000 USD 48600000.00000000 USD -1796096.06000000 N N N COOF 2329437010 N/A 000000000 260289.92000000 PA USD 26638.77000000 0.001467526845 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1199881.00000000 OU Notional Amount 3315.59000000 0.000182655480 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-10-17 0.00000000 EUR 0.00000000 EUR 1199881.00000000 EUR 3315.59000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -1137.65000000 -0.00006267301 N/A DFE NG N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 228667.38000000 USD 194367272.00000000 NGN 2024-06-20 -1137.65000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -253577.52000000 -0.01396955707 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3568000.00000000 OMR 9004416.40000000 USD 2024-04-08 -253577.52000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 80000000.00000000 OU Notional Amount USD -2029871.20000000 -0.11182537628 N/A DCR US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 Penerbangan Malaysia Bhd Penerbangan Malaysia Bhd Y buy protection 2028-06-20 0.00000000 USD -640453.82000000 USD 80000000.00000000 USD -1389417.38000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1016090.37000000 -0.05597630429 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 364000000.00000000 MXN 20530445.81000000 USD 2023-09-20 -1016090.37000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2873000000.00000000 OU Notional Amount -42146.83000000 -0.00232186412 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 0.00000000 CLP 0.00000000 CLP 2873000000.00000000 CLP -42146.83000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225BTN8 18522.30000000 PA USD 18739.28000000 0.001032344829 Long ABS-MBS USGA US N 2 2028-11-20 Fixed 7.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 32127300000.00000000 OU Notional Amount 393723.71000000 0.021690194936 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 32127300000.00000000 COP 393723.71000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -23000.25000000 -0.00126708118 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 46800000.00000000 SAR 12438538.21000000 USD 2024-03-14 -23000.25000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 26000000.00000000 OU Notional Amount -341905.86000000 -0.01883555540 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-21 0.00000000 PLN 0.00000000 PLN 26000000.00000000 PLN -341905.86000000 N N N COOF 6578505003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2029-02-15 Fixed 2.99000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325CU7 -3175000.00000000 PA USD -2296569.92000000 -0.12651777879 Short DBT NUSS CO N 2 2045-06-15 Fixed 5.00000000 N N N N N N COOF 9657945008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.46000000 N N N N N N REPUBLIC OF ALBANIA 254900EDM43U3SGRND29 000000000 209000.00000000 PA 214820.96000000 0.011834462544 Long DBT NUSS AL Y 2 2027-06-16 Fixed 3.50000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 17108.11000000 0.000942483857 N/A DFE IL N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 1597226.71000000 USD 5929792.00000000 ILS 2023-08-28 17108.11000000 N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 476321000.00000000 PA 1062767.50000000 0.058547742138 Long DBT NUSS AM N 2 2031-10-29 Fixed 8.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412BLZ3 63944.75000000 PA USD 69929.78000000 0.003852423721 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 11.50000000 N N N N N N COOF 9612715005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 3.21000000 N N N N N N COOF 8193515004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-03-15 Fixed 1.93000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 86.00000000 NC USD -274125.00000000 -0.01510151544 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Ultra Long Term U.S. Treasury Bond Futures WNU3 Comdty 2023-09-20 11644937.50000000 USD -274125.00000000 N N N COOF 2117027003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.21000000 N N N N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC 2756.68000000 0.000151865191 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 147327.28000000 USD 1744360902.00000000 UZS 2023-08-15 2756.68000000 N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 6802000.00000000 PA USD 3094910.00000000 0.170498244087 Long DBT NUSS LK Y 2 2023-04-18 Fixed 5.75000000 N Y N N N N SRI LANKA T-BILL 254900HXCCIOHM74FA02 000000000 85000000.00000000 PA 249954.63000000 0.013769972476 Long STIV NUSS LK N 2 2023-11-24 None 0.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC N/A 13228.91000000 0.000728779165 N/A DFE HU N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 760332.10000000 EUR 309903511.23000000 HUF 2024-01-11 13228.91000000 N N N COOF 9693035003 N/A 000000000 790430.27000000 PA USD 89927.60000000 0.004954101377 Long ABS-MBS CORP US N 2 2042-10-15 Fixed 2.91000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 20731000000.00000000 OU Notional Amount -23258.27000000 -0.00128129548 N/A DE CO N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 TITULOS DE TESORERIA TITULOS DE TESORERIA Y equity-performance leg 2023-08-11 0.00000000 COP 0.00000000 COP 20731000000.00000000 COP -23258.27000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -17895.53000000 -0.00098586273 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1220103.40000000 EUR 472341313.00000000 HUF 2023-09-20 -17895.53000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7X76 2035922.41000000 PA USD 2088105.85000000 0.115033516610 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HJZ6 759226.13000000 PA USD 747933.40000000 0.041203566951 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.90900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAE96 948249.51000000 PA USD 984777.27000000 0.054251269132 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 7.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2672700000.00000000 OU Notional Amount 74001.14000000 0.004076714486 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 2672700000.00000000 COP 74001.14000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1545000000.00000000 OU Notional Amount -30467.97000000 -0.00167847704 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-21 0.00000000 CLP 0.00000000 CLP 1545000000.00000000 CLP -30467.97000000 N N N COOF 9669465003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 2.91000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 613331000.00000000 OU Notional Amount -8539.38000000 -0.00047043348 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 613331000.00000000 KRW -8539.38000000 N N N COOF 1533797005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.96000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -12676.00000000 -0.00069831941 N/A DFE AU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 9411996.92000000 USD 13970000.00000000 AUD 2023-09-20 -12676.00000000 N N N United States Treasury 254900HROIFWPRGM1V77 912797FA0 35000000.00000000 PA USD 34631275.00000000 1.907833047810 Long STIV UST US N 2 2023-10-12 None 0.00000000 N N N N N N Vingroup JSC 254900MJ9C15O3O1V757 000000000 78738.00000000 NS 183296.82000000 0.010097801214 Long EC CORP VN N 2 N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 5245000.00000000 PA 174181.19000000 0.009595622182 Long DBT NUSS ZM N 2 2031-01-25 Fixed 13.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -1490849.47000000 -0.08213072975 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 579000000.00000000 ZAR 30741458.49000000 USD 2023-09-20 -1490849.47000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -449285.52000000 -0.02475108880 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 23436000000.00000000 COP 5445863.20000000 USD 2023-09-20 -449285.52000000 N N N CORURIPE NETHERLANDS BV 724500EL5MDC9RD0FW48 000000000 1989000.00000000 PA USD 1411593.30000000 0.077764516259 Long DBT CORP NL Y 2 2027-02-10 Fixed 10.00000000 N N N N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 372550000.00000000 PA 914750.38000000 0.050393495632 Long DBT NUSS AM N 2 2028-04-29 Fixed 9.25000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BF8 539428000.00000000 PA 15100015.50000000 0.831858156921 Long DBT NUSS UY N 2 2033-07-20 Fixed 9.75000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 524429.79000000 0.028890778194 N/A DFE CO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4190431.48000000 USD 18743800000.00000000 COP 2023-09-20 524429.79000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -12829.12000000 -0.00070675477 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 2191938.89000000 EUR 2402949.11000000 USD 2023-09-20 -12829.12000000 N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 5356000.00000000 PA USD 401164.40000000 0.022100101712 Long DBT NUSS LB Y 2 2028-03-20 None 0.00000000 Y N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T8U70 27337.17000000 PA USD 27124.03000000 0.001494259764 Long ABS-MBS USGSE US N 2 2027-01-15 Fixed 6.50000000 N N N N N N COOF 2148157010 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 2.96000000 N N N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 450000.00000000 PA USD 33732.84000000 0.001858338364 Long DBT NUSS LB Y 2 2025-02-26 None 0.00000000 Y N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 3670000.00000000 PA 4035166.42000000 0.222296864596 Long RA CORP LU N 2 Repurchase N 2.60000000 2024-06-20 3670000.00000000 USD 4046358.50000000 USD N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385JP51 120702.98000000 PA USD 122178.60000000 0.006730805343 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6070000.00000000 OU Notional Amount 1082065.15000000 0.059610847508 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2037-01-15 0.00000000 EUR 0.00000000 EUR 6070000.00000000 EUR 1082065.15000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -1330.62000000 -0.00007330370 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 119700000.00000000 INR 1452123.59000000 USD 2023-09-20 -1330.62000000 N N N COOF 9541525009 N/A 000000000 269054.23000000 PA USD 10524.81000000 0.000579810600 Long ABS-MBS CORP US N 2 2027-07-15 Fixed 2.96000000 N N N N N N COOF 9511595007 N/A 000000000 855424.74000000 PA USD 37634.57000000 0.002073284231 Long ABS-MBS CORP US N 2 2027-06-15 Fixed 3.21000000 N N N N N N Mytilineos SA 213800KT8MEUJEJ2KW41 000000000 56975.00000000 NS 2371058.04000000 0.130621320958 Long EC CORP GR N 2 N N N GRUPO KALTEX SA DE CV 4469000001BKEKA98385 40054FAC1 1124000.00000000 PA USD 1011600.00000000 0.055728930314 Long DBT CORP MX N 2 2025-09-30 Fixed 14.50000000 N N Y N N N Barclays Capital, Inc. AC28XWWI3WIBK2824319 000000000 3357000.00000000 OU Notional Amount USD -31717.91000000 -0.00174733609 N/A DCR US N 2 Barclays Capital, Inc. AC28XWWI3WIBK2824319 Emirate of Dubai Government International Bonds Emirate of Dubai Government International Bonds Y buy protection 2024-12-20 15488.85000000 USD 0.00000000 USD 3357000.00000000 USD -47206.76000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 28800000.00000000 OU Notional Amount USD -440247.74000000 -0.02425319852 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Saudi Government International Bonds Saudi Government International Bonds Y buy protection 2033-06-20 91755.08000000 USD 0.00000000 USD 28800000.00000000 USD -532002.82000000 N N N COOF 8222885010 N/A 000000000 889686.17000000 PA USD 102855.03000000 0.005666272043 Long ABS-MBS CORP US N 2 2042-04-15 Fixed 2.93000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 7215.85000000 0.000397520365 N/A DFE PE N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 745406.25000000 USD 2722000.00000000 PEN 2023-09-20 7215.85000000 N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 000000000 -1376000.00000000 PA USD -399150.14000000 -0.02198913635 Short DBT NUSS EC Y 2 2030-07-31 None 0.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -29832.78000000 -0.00164348449 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 500000.00000000 OMR 1267427.12000000 USD 2024-04-22 -29832.78000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -367624.73000000 -0.02025240506 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 81577110.00000000 BRL 16860000.00000000 USD 2023-08-09 -367624.73000000 N N N COOF 9473635004 N/A 000000000 881187.41000000 PA USD 99730.98000000 0.005494168480 Long ABS-MBS CORP US N 2 2042-07-15 Fixed 3.46000000 N N N N N N INDIAN RAILWAY FINANCE 335800F2JHSOGXQEBY56 45434M2C5 15006000.00000000 PA USD 12420305.19000000 0.684233217095 Long DBT CORP IN Y 2 2031-02-10 Fixed 2.80000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 18143.87000000 0.000999543759 N/A DFE XX N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3398426.06000000 USD 3100000.00000000 EUR 2023-09-20 18143.87000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 30240300000.00000000 OU Notional Amount 74985.72000000 0.004130954887 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-01-20 0.00000000 CLP 0.00000000 CLP 30240300000.00000000 CLP 74985.72000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 462878.39000000 0.025499918485 N/A DFE BR N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 7966000.00000000 USD 39912846.40000000 BRL 2023-08-09 462878.39000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6070000.00000000 OU Notional Amount -1491711.92000000 -0.08217824203 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Euro-stat Eurozone HICP ex Tobacco NSA 2047-01-15 0.00000000 EUR 0.00000000 EUR 6070000.00000000 EUR -1491711.92000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 487486.37000000 0.026855569338 N/A DFE CO N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3967078.78000000 USD 17709000000.00000000 COP 2023-09-20 487486.37000000 N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 600000.00000000 PA USD 272122.13000000 0.014991177560 Long DBT NUSS LK Y 2 2029-03-14 Fixed 7.85000000 N Y N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -169570.39000000 -0.00934161372 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 34875138.00000000 NZD 21492745.42000000 USD 2023-09-20 -169570.39000000 N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -12075.26000000 -0.00066522471 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1610000.00000000 CAD 1209685.63000000 USD 2023-09-20 -12075.26000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 68016.64000000 0.003747029053 N/A DFE PE N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4419513.39000000 USD 16230000.00000000 PEN 2023-09-20 68016.64000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 12396000.00000000 OU Notional Amount USD -45112.14000000 -0.00248522272 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 STATE OF QATAR STATE OF QATAR Y buy protection 2023-12-20 0.00000000 USD -34045.19000000 USD 12396000.00000000 USD -11066.95000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 23475783.00000000 OU Notional Amount -42629.91000000 -0.00234847695 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 PLN 0.00000000 PLN 23475783.00000000 PLN -42629.91000000 N N N COOF 2191127007 N/A 000000000 186941.85000000 PA USD 21092.59000000 0.001161988412 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 9100000.00000000 OU Notional Amount USD 44062.02000000 0.002427371730 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 SOCIALIST REP OF VIETNAM SOCIALIST REP OF VIETNAM Y sell protection 2024-06-20 24124.13000000 USD 0.00000000 USD 9100000.00000000 USD 19937.89000000 N N N COOF 9681265005 N/A 000000000 490399.11000000 PA USD 21766.26000000 0.001199100817 Long ABS-MBS CORP US N 2 2028-02-15 Fixed 2.96000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 116000000.00000000 OU Notional Amount USD -2619343.80000000 -0.14429935557 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Saudi Government International Bonds Saudi Government International Bonds Y buy protection 2028-06-20 0.00000000 USD -1578684.89000000 USD 116000000.00000000 USD -1040658.91000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PH99 700.39000000 PA USD 700.52000000 0.000038591568 Long ABS-MBS USGSE US N 2 2024-08-17 Fixed 7.00000000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 1554000.00000000 PA USD 715982.19000000 0.039443378383 Long DBT NUSS GH Y 2 2032-03-26 Fixed 8.12500000 N Y N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -219813.41000000 -0.01210949605 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 51960000.00000000 EGP 1421614.23000000 USD 2023-09-25 -219813.41000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 38800000.00000000 OU Notional Amount USD -1620755.93000000 -0.08928726203 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Colombia Government International Bonds Colombia Government International Bonds Y sell protection 2028-06-20 0.00000000 USD -2737798.92000000 USD 38800000.00000000 USD 1117042.99000000 N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 2770716.10000000 PA 3046403.42000000 0.167826022046 Long RA CORP LU N 2 Repurchase N 2.25000000 2024-07-28 2770716.10000000 USD 3054853.04000000 USD N N N COOF 2260027006 N/A 000000000 350604.11000000 PA USD 32728.67000000 0.001803018752 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N COOF 1368227004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 3.16000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 335579.96000000 0.018487062283 N/A DFE BR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 16860000.00000000 USD 81425370.00000000 BRL 2023-08-09 335579.96000000 N N N IVORY COAST 254900ICW11T82O6H590 000000000 4421000.00000000 PA 3913114.64000000 0.215573045753 Long DBT NUSS CI Y 2 2040-10-17 Fixed 6.87500000 N N N N N N REPUBLIC OF KENYA 549300VVURQQYU45PR87 000000000 623000.00000000 PA USD 539586.53000000 0.029725761297 Long DBT NUSS KE Y 2 2032-05-22 Fixed 8.00000000 N N N N N N COOF 8224545006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2041-03-15 Fixed 2.38000000 N N N N N N Siminn HF 254900X9GQZM6UGXYF10 000000000 1879514.00000000 NS 144633.97000000 0.007967869153 Long EC CORP IS N 2 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 48145.48000000 0.002652329082 N/A DFE MY N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2493177.60000000 USD 11420000.00000000 MYR 2023-09-20 48145.48000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 176.00000000 NC 46821.14000000 0.002579371340 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long ICF Long Gilt Futures G U3 Comdty 2023-09-27 16882396.45000000 GBP 46821.14000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4580000.00000000 OU Notional Amount USD -26098.67000000 -0.00143777279 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-06 0.00000000 USD 0.00000000 USD 4580000.00000000 USD -26098.67000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -10815.45000000 -0.00059582192 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 1254354.00000000 EUR 1371632.34000000 USD 2023-09-20 -10815.45000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 2300000.00000000 OU Notional Amount USD 98803.40000000 0.005443068202 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD 98803.40000000 0.01000000 DFE US 11263100.00000000 BRL 2300000.00000000 USD 2024-01-23 1.00000000 4.89700000 USD 2024-01-23 XXXX 9770.40000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -29698.55000000 -0.00163608978 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 8232000.00000000 PEN 2246416.50000000 USD 2023-09-20 -29698.55000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 57611.94000000 0.003173835300 N/A DFE MY N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2764776.31000000 USD 12700000.00000000 MYR 2023-08-30 57611.94000000 N N N Republic of South Africa 378900AAFB4F17004C49 000000000 269203626.00000000 PA 12871045.53000000 0.709064451771 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 10372.66000000 0.000571428673 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 505890.78000000 EUR 566652.66000000 USD 2023-08-04 10372.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FSQ9 98829.19000000 PA USD 100619.91000000 0.005543139534 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.00000000 N N N N N N COOF 2239927000 N/A 000000000 698141.61000000 PA USD 70009.73000000 0.003856828157 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.91000000 N N N N N N COOF 2230627008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.41000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -45673.78000000 -0.00251616340 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 7803664.40000000 EUR 8554895.62000000 USD 2023-09-20 -45673.78000000 N N N Desa, LLC N/A 000000000 829862.50000000 PA USD 442696.79000000 0.024388116409 Long LON CORP US N 3 2024-06-30 Floating 8.22000000 N N N N N N BONO GAR PROV DEL CHUBUT 529900V5CYYSD8ADKQ03 000000000 830756.50000000 PA USD 726330.41000000 0.040013460660 Long DBT NUSS AR Y 2 2030-07-26 Variable 7.75000000 N N N N N N COOF 2326577000 N/A 000000000 1392413.65000000 PA USD 167789.15000000 0.009243485416 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N ALPHA HOLDING SA 549300R872G37EN6NT94 000000000 3890000.00000000 PA USD 58350.00000000 0.003214494942 Long DBT CORP MX Y 2 2025-02-10 None 0.00000000 Y N N N N N COOF 2099157002 N/A 000000000 571500.76000000 PA USD 35275.90000000 0.001943345366 Long ABS-MBS CORP US N 2 2028-04-15 Fixed 3.71000000 N N N N N N Hoa Phat Group JSC 549300ODJEFGL5CWKD32 000000000 475478.00000000 NS 566756.83000000 0.031222570071 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5241000000.00000000 OU Notional Amount 4652.82000000 0.000256323330 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-06-21 0.00000000 KRW 0.00000000 KRW 5241000000.00000000 KRW 4652.82000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 313920CC2 839136.06000000 PA USD 832433.67000000 0.045858677329 Long ABS-MBS USGSE US N 2 2031-07-25 Fixed 6.00000000 N N N N N N FPT Corp N/A 000000000 662286.00000000 NS 2560848.52000000 0.141076857172 Long EC CORP VN N 2 N N N COOF 7041165002 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 3.69000000 N N N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 5758000.00000000 PA USD 431504.52000000 0.023771535513 Long DBT NUSS LB Y 2 2022-10-04 None 0.00000000 Y N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325BM6 -3176000.00000000 PA USD -2711261.19000000 -0.14936307425 Short DBT NUSS CO N 2 2041-01-18 Fixed 6.12500000 N N N N N N Tanzania N/A 000000000 55298823.53000000 PA USD 56573240.22000000 3.116613445893 Long LON CORP TZ N 2 2031-04-28 Floating 11.67200000 N N N N N N Eurohold Bulgaria AD 74780000J0W85Y204X80 000000000 5309362.00000000 NS 5064370.54000000 0.278995603903 Long EC CORP BG N 2 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -15152.71000000 -0.00083476109 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 232365316.00000000 JPY 1630671.56000000 USD 2023-09-20 -15152.71000000 N N N COOF 8753925008 N/A 000000000 1186723.31000000 PA USD 76256.49000000 0.004200961464 Long ABS-MBS CORP US N 2 2042-05-15 Fixed 1.93000000 N N N N N N VEDANTA RESOURCES 8945002DGA3BBXO3N634 000000000 1481000.00000000 PA USD 1329805.75000000 0.073258849320 Long DBT CORP GB Y 2 2024-01-21 Fixed 13.87500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 3700000.00000000 OU Notional Amount USD -13465.23000000 -0.00074179800 N/A DCR QA N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 STATE OF QATAR STATE OF QATAR Y buy protection 2023-12-20 488.28000000 USD 0.00000000 USD 3700000.00000000 USD -13953.51000000 N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 1326000.00000000 PA USD 96002.40000000 0.005288761427 Long DBT NUSS LB N 2 2034-05-17 None 0.00000000 Y N N N N N FRIGORIFICO CONCEPCION 529900Q6VZVL47QJCQ91 358648AA1 2239000.00000000 PA USD 1918196.08000000 0.105673206476 Long DBT CORP PY N 2 2028-07-21 Fixed 7.70000000 N N N N N N TBC Bank Group PLC 213800T6NS9N2WQ3B328 000000000 44224.00000000 NS 1413492.43000000 0.077869139117 Long EC CORP GB N 2 N N N COOF 8313115008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-05-15 Fixed 2.93000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -161333.14000000 -0.00888782455 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 14501783000.00000000 UGX 3831382.56000000 USD 2023-08-22 -161333.14000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -92101.38000000 -0.00507385467 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 18300000.00000000 MYR 3974804.52000000 USD 2023-08-30 -92101.38000000 N N N COOF 1825007004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31392ASN9 254345.91000000 PA USD 257783.34000000 0.014201255230 Long ABS-MBS USGSE US N 2 2031-12-25 Fixed 6.00000000 N N N N N N TIMES CHINA HLDG LTD 2549000KTINB9ZPZP710 000000000 2966000.00000000 PA USD 133470.00000000 0.007352847300 Long DBT CORP KY Y 2 2023-07-16 None 0.00000000 Y N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -18763.12000000 -0.00103365817 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 2470000.00000000 CAD 1855615.39000000 USD 2023-09-20 -18763.12000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 105841000000.00000000 OU Notional Amount 284401.68000000 0.015667656589 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-01-21 0.00000000 CLP 0.00000000 CLP 105841000000.00000000 CLP 284401.68000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 29163200000.00000000 OU Notional Amount -785705.40000000 -0.04328442218 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-09 0.00000000 COP 0.00000000 COP 29163200000.00000000 COP -785705.40000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -345032.52000000 -0.01900780275 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 134000000.00000000 ZAR 7114603.52000000 USD 2023-09-20 -345032.52000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC -10221.07000000 -0.00056307759 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 27826000.00000000 PEN 7683556.54000000 USD 2023-09-20 -10221.07000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CEZ0 12354342.61000000 PA USD 11338872.60000000 0.624657217246 Long DBT UST US N 2 2032-07-15 Fixed 0.62500000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 678000.00000000 PA 578392.21000000 0.031863561847 Long DBT NUSS RO Y 2 2031-07-16 Fixed 2.12400000 N N N N N N National Stock Exchange Of India N/A 000000000 -354.00000000 NC USD -3695.76000000 -0.00020359900 N/A DE IN N 1 National Stock Exchange Of India N/A Short IFSC NIFTY 50 Index Futures JGSQ3 Index 2023-08-31 -14044440.24000000 USD -3695.76000000 N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 337000.00000000 PA USD 25254.78000000 0.001391282992 Long DBT NUSS LB Y 2 2020-04-14 None 0.00000000 Y N N N N N COOF 8641855006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-01-15 Fixed 3.78000000 N N N N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC -12858.56000000 -0.00070837662 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 836159.03000000 USD 9849953397.00000000 UZS 2023-11-27 -12858.56000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 165000000.00000000 OU Notional Amount -5643.04000000 -0.00031087443 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 165000000.00000000 JPY -5643.04000000 N N N ZAMBIA GOVERNMENT BOND 213800DMLAZ6LGMMD849 000000000 3500000.00000000 PA 120768.78000000 0.006653138517 Long DBT NUSS ZM N 2 2028-11-29 Fixed 12.00000000 N N N N N N COOF 9679295004 N/A 000000000 650980.37000000 PA USD 67641.37000000 0.003726355471 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.21000000 N N N N N N COOF 9675065008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.21000000 N N N N N N COOF 9574295008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-07-15 Fixed 1.91000000 N N N N N N COOF 9652355009 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.71000000 N N N N N N COOF 2128077002 N/A 000000000 899358.72000000 PA USD 64635.94000000 0.003560786670 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.16000000 N N N N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 000000000 14725000000.00000000 PA 17384091.61000000 0.957687653132 Long DBT NUSS CL Y 2 2037-11-01 Fixed 5.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ET6P6 32417.53000000 PA USD 33182.89000000 0.001828041680 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 9.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A 8630.80000000 0.000475469802 N/A DFE HU N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1497001.42000000 EUR 590426641.00000000 HUF 2023-09-20 8630.80000000 N N N ARDSHININVESTBK (DILIJAN 549300DCGXFXAP2FEV07 000000000 3334000.00000000 PA USD 3275655.00000000 0.180455465824 Long DBT CORP NL Y 2 2025-01-28 Fixed 6.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 1699000.00000000 PA 1202072.24000000 0.066222024610 Long DBT NUSS RO Y 2 2041-04-14 Fixed 2.75000000 N N N N N N ARMENIAN TREASURY BONDS 5299000H77JSW90G7935 000000000 4549715000.00000000 PA 11127972.47000000 0.613038752786 Long DBT NUSS AM N 2 2033-10-29 Fixed 9.60000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -92970.77000000 -0.00512174927 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 20500000.00000000 PEN 5575197.17000000 USD 2023-09-20 -92970.77000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PGF6 1949.10000000 PA USD 1946.26000000 0.000107219244 Long ABS-MBS USGSE US N 2 2024-09-17 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359KQT7 8092.35000000 PA USD 8048.01000000 0.000443363966 Long ABS-MBS USGSE US N 2 2026-07-25 Fixed 7.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -20775.62000000 -0.00114452657 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 3549650.81000000 EUR 3891363.16000000 USD 2023-09-20 -20775.62000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9970000.00000000 OU Notional Amount USD -401776.24000000 -0.02213380790 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation Based on US CPI Urban Consumers NSA 2037-01-07 0.00000000 USD 0.00000000 USD 9970000.00000000 USD -401776.24000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 25074.45000000 0.001381348632 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 49794000000.00000000 IDR 3318007.36000000 USD 2023-10-18 25074.45000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -68996.14000000 -0.00380098959 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 4294721.85000000 EUR 4664299.84000000 USD 2023-09-20 -68996.14000000 N N N HONDURAS GOVERNMENT 5493002DW1JNBNG17615 000000000 4819000.00000000 PA USD 3975675.00000000 0.219019488954 Long DBT NUSS HN Y 2 2030-06-24 Fixed 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359HZF4 40507.48000000 PA USD 40471.83000000 0.002229588566 Long ABS-MBS USGSE US N 2 2024-04-25 Fixed 7.00000000 N N N N N N Government of The Republic of Kenya Acting through The National Treasury 549300VVURQQYU45PR87 000000000 871249.98000000 PA USD 872677.09000000 0.048075682814 Long LON NUSS KE N 2 2024-10-24 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 58030.59000000 0.003196898681 N/A DFE MY N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2736979.73000000 USD 12560000.00000000 MYR 2023-09-20 58030.59000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -388133.57000000 -0.02138223475 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 6400000.00000000 OMR 16212792.91000000 USD 2024-05-28 -388133.57000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CS29 3244.10000000 PA USD 3274.16000000 0.000180373106 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 9.50000000 N N N N N N REPUBLIC OF KENYA 549300VVURQQYU45PR87 000000000 1760000.00000000 PA USD 1596909.60000000 0.087973570399 Long DBT NUSS KE Y 2 2027-05-22 Fixed 7.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 14700000.00000000 OU Notional Amount USD 649754.70000000 0.035794913402 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD 649754.70000000 0.04000000 DFE US 72132900.00000000 BRL 14700000.00000000 USD 2024-01-23 1.00000000 4.90700000 USD 2024-01-23 XXXX 73808.70000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC N/A -10537.77000000 -0.00058052456 N/A DFE XX N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 3000000.00000000 PLN 668340.49000000 EUR 2023-09-20 -10537.77000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1408858.71000000 -0.07761386800 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 579000000.00000000 ZAR 30823449.25000000 USD 2023-09-20 -1408858.71000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385W6C8 316112.46000000 PA USD 321199.01000000 0.017694817363 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4336000000.00000000 OU Notional Amount 62169.08000000 0.003424887630 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2033-06-22 0.00000000 CLP 0.00000000 CLP 4336000000.00000000 CLP 62169.08000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC 102343.77000000 0.005638106787 N/A DFE US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 203239000000.00000000 IDR 13542766.14000000 USD 2023-10-18 102343.77000000 N N N REPUBLIC OF ALBANIA 254900EDM43U3SGRND29 000000000 11000000.00000000 PA 115874.99000000 0.006383540176 Long DBT NUSS AL N 2 2024-01-18 None 0.00000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -47.00000000 NC 346887.85000000 0.019110012672 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short TSE Japanese 10 Year Bond Futures JBU3 Comdty 2023-09-12 -6948950000.00000000 JPY 346887.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408GLF2 11428.96000000 PA USD 11728.92000000 0.000646144884 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 9.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335PLX1 9298.66000000 PA USD 9285.22000000 0.000511521726 Long ABS-MBS USGSE US N 2 2024-03-17 Fixed 6.50000000 N N N N N N COOF 9627335001 N/A 000000000 1088923.59000000 PA USD 113966.02000000 0.006278375234 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.96000000 N N N N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 000000000 1143090000.00000000 PA 1977380.09000000 0.108933646935 Long DBT NUSS HU N 2 2051-04-28 Fixed 4.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -343735.41000000 -0.01893634510 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 134900000.00000000 ZAR 7166002.66000000 USD 2023-09-20 -343735.41000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -48479.94000000 -0.00267075444 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 457151000.00000000 ARS 1494445.90000000 USD 2023-08-18 -48479.94000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -175777.19000000 -0.00968354564 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 471741325.32000000 KES 3027451.88000000 USD 2023-09-21 -175777.19000000 N N N COOF 9683905000 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-11-15 Fixed 2.41000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 11377600000.00000000 OU Notional Amount -208154.95000000 -0.01146723280 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 11377600000.00000000 COP -208154.95000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 144000000.00000000 OU Notional Amount USD 400010.40000000 0.022036527981 N/A DCO FR N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Bloomberg Commodity 1-Month Forward Index BCOMF1 INDEX Y equity-performance leg 2023-08-25 0.00000000 USD 0.00000000 USD 144000000.00000000 USD 400010.40000000 N N N COOF 9723235006 N/A 000000000 1417095.33000000 PA USD 116238.75000000 0.006403579674 Long ABS-MBS CORP US N 2 2042-12-15 Fixed 2.41000000 N N N N N N COOF 1856837009 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.41000000 N N N N N N Barclays Capital Securities Ltd. K9WDOH4D2PYBSLSOB484 000000000 1660485.75000000 PA USD 1660485.75000000 0.091475973358 Long RA CORP US N 2 Repurchase N 4.50000000 2024-07-27 1660485.75000000 USD 1660485.75000000 USD N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -27353.32000000 -0.00150689132 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 6960304.00000000 ZMW 336246.57000000 USD 2023-09-20 -27353.32000000 N N N HTA GROUP LTD 213800WEFU8O8X6EPU13 000000000 2353000.00000000 PA USD 2252079.83000000 0.124066824740 Long DBT CORP MU Y 2 2025-12-18 Fixed 7.00000000 N N N N N N Refrigeration Electrical Engineering Corp N/A 000000000 287788.00000000 NS 814695.06000000 0.044881459298 Long EC CORP VN N 2 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3628800.00000000 OU Notional Amount -21489.02000000 -0.00118382769 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-10-10 0.00000000 EUR 0.00000000 EUR 3628800.00000000 EUR -21489.02000000 N N N COOF 8667815003 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2032-08-15 Fixed 2.03000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31397VD87 5240143.86000000 PA USD 942668.34000000 0.051931492911 Long ABS-MBS USGSE US N 2 2048-02-25 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 8554300000.00000000 OU Notional Amount 232506.35000000 0.012808748691 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 8554300000.00000000 COP 232506.35000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -64038.08000000 -0.00352785063 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 6766439.00000000 BHD 17699754.11000000 USD 2025-06-18 -64038.08000000 N N N COOF 9110125005 N/A 000000000 1383965.39000000 PA USD 106789.94000000 0.005883045793 Long ABS-MBS CORP US N 2 2042-02-15 Fixed 2.16000000 N N N N N N URU MONETARY REG BILL 549300DTMS39GZYBX161 000000000 88660000.00000000 PA 2170248.80000000 0.119558762494 Long DBT NUSS UY N 2 2024-07-03 None 0.00000000 N N N N N N COOF 1971467000 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.41000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 17038.46000000 0.000938646846 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 434000000.00000000 PHP 7941590.88000000 USD 2023-09-20 17038.46000000 N N N COOF 2308487004 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.46000000 N N N N N N COOF 9595035010 N/A 000000000 1070996.37000000 PA USD 129252.07000000 0.007120482010 Long ABS-MBS CORP US N 2 2042-08-15 Fixed 3.46000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -86081.69000000 -0.00474223062 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 4100000.00000000 BHD 10754098.36000000 USD 2024-03-18 -86081.69000000 N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -214552.35000000 -0.01181966484 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 36657680.13000000 EUR 40186585.59000000 USD 2023-09-20 -214552.35000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 62519600000.00000000 OU Notional Amount 1672939.03000000 0.092162023154 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-05-05 0.00000000 COP 0.00000000 COP 62519600000.00000000 COP 1672939.03000000 N N N Republic of Sri Lanka 254900HXCCIOHM74FA02 000000000 8111000.00000000 PA USD 3677477.19000000 0.202591805114 Long DBT NUSS LK Y 2 2028-04-18 Fixed 6.75000000 N Y N N N N COOF 9056075001 N/A 000000000 209057.74000000 PA USD 8706.45000000 0.000479637352 Long ABS-MBS CORP US N 2 2027-03-15 Fixed 3.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397UBN8 647929.30000000 PA USD 498323.33000000 0.027452576247 Long ABS-MBS USGSE US N 2 2041-05-25 Floating 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128C6R76 105169.21000000 PA USD 102221.20000000 0.005631354420 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381D4D4 2593.75000000 PA USD 2618.00000000 0.000144225325 Long ABS-MBS USGSE US N 2 2027-11-15 Fixed 7.50000000 N N N N N N EBOS Group Ltd 254900KJ40C7HBYTWC21 000000000 -13100.00000000 NS -313931.74000000 -0.01729446427 Short EC CORP NZ N 2 N N N Ivory Coast N/A 000000000 2665000.00000000 PA 3118795.20000000 0.171814077070 Long LON CORP TZ N 2 2028-01-06 Floating 9.63800000 N N N N N N COOF 9329855006 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-04-15 Fixed 2.46000000 N N N N N N UZBEK ICB (DARYO FNC) N/A 000000000 151973440000.00000000 PA 13155631.13000000 0.724742240492 Long DBT CORP NL N 3 2025-06-15 Fixed 18.75000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 1791000.00000000 PA USD 798427.80000000 0.043985297772 Long DBT NUSS GH Y 2 2061-03-11 Fixed 8.75000000 N Y N N N N ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 000000000 1.00000000 NC 2674.01000000 0.000147310910 N/A DFE UZ N 2 ICBC Standard Bank PLC F01VVKN4DRF2NWKGQ283 154277.85000000 USD 1845934481.00000000 UZS 2023-10-13 2674.01000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128SGAA8 280319.74000000 PA USD 276037.30000000 0.015206863835 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 3.88800000 N N N N N N ALPHA HOLDING SA 549300R872G37EN6NT94 020ESCAD1 3890000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP MX N 3 2025-02-10 None 0.00000000 N N N N N N COOF 9678215000 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.46000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A -7255.90000000 -0.00039972671 N/A DFE CZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 3090742.10000000 EUR 74000000.00000000 CZK 2023-09-20 -7255.90000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 74356.69000000 0.004096301695 N/A DFE ZA N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 32064028.80000000 USD 577312838.46000000 ZAR 2023-09-20 74356.69000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 232600000.00000000 PA 5116792.92000000 0.281883546926 Long DBT NUSS DO Y 2 2034-06-10 Fixed 13.00000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -437812.47000000 -0.02411903976 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 39794153.00000000 BRL 7966000.00000000 USD 2023-08-09 -437812.47000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -17550.52000000 -0.00096685617 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 14017368.00000000 EGP 389263.20000000 USD 2024-01-22 -17550.52000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 7263654300.00000000 OU Notional Amount 22434.16000000 0.001235895353 N/A DE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 KFE KOSPI 200 Index Futures KMU3 Index Y equity-performance leg equity-performance leg 2023-09-14 0.00000000 KRW 0.00000000 KRW 7263654300.00000000 KRW 22434.16000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3264000000.00000000 OU Notional Amount -38864.56000000 -0.00214104424 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 3264000000.00000000 KRW -38864.56000000 N N N COOF 2045537003 N/A 000000000 1504439.92000000 PA USD 100737.95000000 0.005549642344 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 1.91000000 N N N N N N COOF 2268427002 N/A 000000000 1199227.63000000 PA USD 110578.03000000 0.006091731245 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 2.66000000 N N N N N N COOF 1860197010 N/A 000000000 300382.64000000 PA USD 31134.64000000 0.001715203818 Long ABS-MBS CORP US N 2 2043-02-15 Fixed 2.91000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 7879514.58000000 PA USD 7879514.58000000 0.434081572694 Long RA CORP US N 2 Repurchase N 5.05000000 2024-07-27 7879514.58000000 USD 7879514.58000000 USD CDS N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -39721.92000000 -0.00218827610 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 6786752.00000000 EUR 7440088.66000000 USD 2023-09-20 -39721.92000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3373000000.00000000 OU Notional Amount -51495.38000000 -0.00283687469 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 KRW 0.00000000 KRW 3373000000.00000000 KRW -51495.38000000 N N N NATIONAL BANK OF UZBEKIS 253400TZJ7T1YULTGN68 000000000 326000.00000000 PA USD 311330.00000000 0.017151134712 Long DBT NUSS UZ Y 2 2025-10-21 Fixed 4.85000000 N N N N N N EDEN RE II LTD SERIES 2022 1 C N/A 000000000 415091.28000000 NS USD 291892.19000000 0.016080307943 Long STIV CORP US N 3 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36201VYZ9 125786.25000000 PA USD 128796.07000000 0.007095361021 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 6.50000000 N N N N N N COOF 9641005003 N/A 000000000 599276.85000000 PA USD 68819.91000000 0.003791281107 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 3.46000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC 201365.85000000 0.011093222046 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 5507990000.00000000 CLP 6732661.04000000 USD 2023-09-20 201365.85000000 N N N COOF 1689717010 N/A 000000000 1403783.58000000 PA USD 138195.52000000 0.007613175666 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 2.46000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13580000.00000000 OU Notional Amount -225349.04000000 -0.01241445328 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-12-21 0.00000000 PLN 0.00000000 PLN 13580000.00000000 PLN -225349.04000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 512600000.00000000 OU Notional Amount -18892.32000000 -0.00104077578 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-03-15 0.00000000 JPY 0.00000000 JPY 512600000.00000000 JPY -18892.32000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -234643.19000000 -0.01292646696 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3711000.00000000 OMR 9388519.24000000 USD 2024-07-08 -234643.19000000 N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 1579000.00000000 PA USD 722392.50000000 0.039796521640 Long DBT NUSS GH Y 2 2029-05-16 Fixed 7.62500000 N Y N N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 000000000 1372629917.34000000 PA 79503809.31000000 4.379855920073 Long DBT NUSS MX N 2 2028-11-30 Fixed 4.00000000 N N N N N N Reitir fasteignafelag hf 967600GFEYNJK2W4G048 000000000 875641.00000000 NS 571062.60000000 0.031459774456 Long EC CORP IS N 2 N N N COOF 1788507001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2028-02-15 Fixed 2.96000000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 29333000.00000000 PA 7881921.32000000 0.434214159730 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15000000 N N N N N N Phu Nhuan Jewelry JSC N/A 000000000 348840.00000000 NS 1223133.48000000 0.067382285954 Long EC CORP VN N 2 N N N JUMBO SA 549300TGIVUUMY40MZ05 000000000 79363.00000000 NS 2368124.96000000 0.130459737911 Long EC CORP GR N 2 N N N COOF 2133857005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 2.46000000 N N N N N N COOF 2312927008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.66000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359B4M6 219.96000000 PA USD 219.14000000 0.000012072397 Long ABS-MBS USGSE US N 2 2023-08-25 Fixed 7.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 23540000.00000000 OU Notional Amount USD 1897665.33000000 0.104542169765 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y buy protection 2029-06-20 2023452.19000000 USD 0.00000000 USD 23540000.00000000 USD -125786.86000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 29306100000.00000000 OU Notional Amount -827719.81000000 -0.04559899131 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-04 0.00000000 COP 0.00000000 COP 29306100000.00000000 COP -827719.81000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 151509.76000000 0.008346655651 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 63243967.53000000 TRY 2490733.88000000 USD 2023-08-08 151509.76000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283HTW5 1744.54000000 PA USD 1760.79000000 0.000097001723 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 9.00000000 N N N N N N COOF 1576187010 N/A 000000000 975219.37000000 PA USD 112118.69000000 0.006176606031 Long ABS-MBS CORP US N 2 2043-01-15 Fixed 3.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371Y2S9 351801.42000000 PA USD 343548.55000000 0.018926051010 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 3.71000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2605900000.00000000 OU Notional Amount 69358.48000000 0.003820950868 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-26 0.00000000 COP 0.00000000 COP 2605900000.00000000 COP 69358.48000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RJK6 2560.64000000 PA USD 2596.89000000 0.000143062378 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 9.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9450000.00000000 OU Notional Amount USD 340803.67000000 0.018774835880 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2046-10-29 0.00000000 USD 0.00000000 USD 9450000.00000000 USD 340803.67000000 N N N COOF 9662795005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 2.61000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -4095.39000000 -0.00022561457 N/A DFE US N 2 Societe Generale SA O2RNE8IBXP4R0TD8PU41 474974.38000000 EUR 519383.06000000 USD 2023-09-20 -4095.39000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -154199.68000000 -0.00849484304 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 56700000.00000000 EGP 1424623.12000000 USD 2024-03-25 -154199.68000000 N N N Credit Agricole CIB 1VUV7VQFKUOQSJ21A208 000000000 1.00000000 NC -6734.07000000 -0.00037097915 N/A DFE US N 2 Credit Agricole CIB 1VUV7VQFKUOQSJ21A208 1400000.00000000 MYR 304811.67000000 USD 2023-09-20 -6734.07000000 N N N BARBADOS GOVT OF 529900UD1KUUS4SFD905 000000000 14062100.00000000 PA USD 13253529.25000000 0.730135436921 Long DBT NUSS BB Y 2 2029-10-01 Fixed 6.50000000 N N N N N N COOF 1985837005 N/A 000000000 1622331.83000000 PA USD 195550.08000000 0.010772831930 Long ABS-MBS CORP US N 2 2043-04-15 Fixed 3.41000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 9659.43000000 0.000532136913 N/A DFE NZ N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 278792.03000000 USD 464391.00000000 NZD 2023-09-20 9659.43000000 N N N COOF 2004107007 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2043-03-15 Fixed 2.28000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5730000.00000000 OU Notional Amount USD -24161.69000000 -0.00133106478 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-06-14 0.00000000 USD 0.00000000 USD 5730000.00000000 USD -24161.69000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -228034.84000000 -0.01256241370 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3912000.00000000 OMR 9916349.81000000 USD 2024-07-08 -228034.84000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225ATR1 5361.47000000 PA USD 5353.72000000 0.000294935833 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 6.50000000 N N N N N N COOF 9602635001 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2042-09-15 Fixed 1.11000000 N N N N N N COOF 1929207010 N/A 000000000 1134927.33000000 PA USD 64376.81000000 0.003546511228 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N Alpha Services and Holdings SA 5299009N55YRQC69CN08 000000000 740700.00000000 NS 1333934.16000000 0.073486282963 Long EC CORP GR N 2 N N N COOF 8397915008 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2036-11-15 Fixed 2.63000000 N N N N N N Nomura Holdings, Inc. 549300B3CEAHYG7K8164 000000000 9620000.00000000 OU Notional Amount USD -96283.31000000 -0.00530423672 N/A DCR QA N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 STATE OF QATAR STATE OF QATAR Y buy protection 2024-09-20 0.00000000 USD -3755.64000000 USD 9620000.00000000 USD -92527.67000000 N N N COOF 2066977005 N/A 000000000 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS CORP US N 2 2028-03-15 Fixed 3.71000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A 420043.27000000 0.023140136538 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 4362300336.00000000 HUF 11499407.77000000 EUR 2023-09-20 420043.27000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 894000.00000000 PA 630655.01000000 0.034742713626 Long DBT NUSS RO Y 2 2040-12-02 Fixed 2.62500000 N N N N N N Republic of Zambia 213800DMLAZ6LGMMD849 000000000 1295000.00000000 PA USD 751229.50000000 0.041385148730 Long DBT NUSS ZM Y 2 2027-07-30 Fixed 8.97000000 N Y N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 000000000 2842000.00000000 PA USD 1307320.00000000 0.072020111880 Long DBT NUSS GH Y 2 2034-04-07 Fixed 8.62500000 N Y N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 6588000.00000000 PA USD 493704.72000000 0.027198137541 Long DBT NUSS LB N 2 2020-03-09 None 0.00000000 Y N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 36865000.00000000 PA 10645253.50000000 0.586445818977 Long DBT NUSS PE Y 2 2033-08-12 Fixed 7.30000000 N N N N N N Public Power Corp SA 213800T9Y5XCOVRZ4Y57 000000000 65900.00000000 NS 779726.17000000 0.042955027077 Long EC CORP GR N 2 N N N 2023-08-30 Global Macro Portfolio James Kirchner James Kirchner Treasurer XXXX